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06 Apr 2011
New York, April 06, 2011 -- Moody's Investors Service has downgraded the ratings of five tranches
from Renaissance Home Equity Loan Trust 2003-1. The collateral
backing these deals primarily consists of first-lien, fixed
and adjustable rate Subprime residential mortgages.
RATINGS RATIONALE
The actions are a result of deteriorating performance of Subprime pools
securitized before 2005. Although most of these pools have paid
down significantly, the remaining loans are affected by the housing
and macroeconomic conditions that remain under duress.
The actions reflect Moody's updated loss expectations on Subprime pools
securitized before 2005.
The principal methodology used in these ratings was " Pre-2005
US RMBS Surveillance Methodology" published in January 2011.
Moody's final rating actions are based on current levels of credit enhancement,
collateral performance and updated pool-level loss expectations.
Moody's took into account credit enhancement provided by seniority,
cross-collateralization, excess spread, time tranching,
and other structural features within the senior note waterfalls.
In addition to adjustments to reflect updated loss expectations,
Moody's has also adjusted the rating of tranche Class B-A to address
the resolution of a previous credit enhancement miscalculation.
Our previous rating action mistakenly reflected additional credit enhancement
to Class B-A from Class B-F; in fact the Pooling and
Servicing Agreement and Prospectus allocate losses to Classes B-A
and B-F on a pro-rata basis. Classes B-A and
B-F should thus have same amount of credit enhancement, and
the rating of Class B-A has been adjusted accordingly.
Certain securities, as noted below, are insured by financial
guarantors. For securities insured by a financial guarantor,
the rating on the securities is the higher of (i) the guarantor's financial
strength rating and (ii) the current underlying rating (i.e.,
absent consideration of the guaranty) on the security. The principal
methodology used in determining the underlying rating is the same methodology
for rating securities that do not have a financial guaranty and is as
described earlier.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment levels remain high, and
weakness persists in the housing market. Overall, Moody's
assumes a further 5% decline in home prices with stabilization
in late 2011, accompanied by continued stress in national employment
levels through that timeframe.
For more information please see www.moodys.com.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Complete rating actions are as follows:
Issuer: Renaissance Home Equity Loan Trust 2003-1
A, Downgraded to Aa2 (sf); previously on Jun 4, 2003
Assigned Aaa (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed
at Aa3, Outlook Negative on Nov 12, 2009)
Underlying Rating: Downgraded to Aa2 (sf); previously on Jul
16, 2008 Assigned Aaa (sf)
M-1, Downgraded to Baa2 (sf); previously on Apr 8,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
M-2, Downgraded to B3 (sf); previously on Apr 8,
2010 A2 (sf) Placed Under Review for Possible Downgrade
B-A, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
B-F, Downgraded to Ca (sf); previously on Apr 8,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF241353
A list of updated estimated pool losses and sensitivity analysis is being
posted on an ongoing basis for the duration of this review period and
may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information, and confidential
and proprietary Moody's Analytics information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Qiuzi Huang
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Debashish Chatterjee
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades $24 million of Subprime RMBS issued by Renaissance in 2003
No Related Data.
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