Toronto, April 07, 2020 -- Moody's Investors Service, ("Moody's") has
downgraded the ratings of eighteen tranches from seven transactions backed
by prime jumbo and resecuritized RMBS loans, issued by multiple
issuers.
Complete rating actions are as follows:
Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL422283
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
Issuer: RESI Finance Limited Partnership 2003-B
Cl. B5, Downgraded to Caa1 (sf); previously on Dec 9,
2016 Downgraded to B2 (sf)
Cl. B6, Downgraded to Caa2 (sf); previously on Dec 9,
2016 Downgraded to B3 (sf)
Cl. B7, Downgraded to Caa3 (sf); previously on Dec 9,
2016 Downgraded to Caa1 (sf)
Cl. B8, Downgraded to Ca (sf); previously on Dec 9,
2016 Downgraded to Caa2 (sf)
Cl. B9, Downgraded to C (sf); previously on Dec 9,
2016 Downgraded to Caa3 (sf)
Issuer: RESI Finance Limited Partnership 2003-C/RESI Finance
DE Corporation 2003-C, Series 2003-C
Cl. B3, Downgraded to Caa1 (sf); previously on Dec 9,
2016 Downgraded to B2 (sf)
Cl. B4, Downgraded to Caa3 (sf); previously on Dec 9,
2016 Downgraded to Caa1 (sf)
Cl. B5, Downgraded to Ca (sf); previously on Dec 9,
2016 Downgraded to Caa2 (sf)
Issuer: RESI Finance Limited Partnership 2003-CB1/RESI Finance
DE Corporation 2003-CB1
Cl. B3, Downgraded to B1 (sf); previously on Dec 9,
2016 Downgraded to Ba2 (sf)
Cl. B4, Downgraded to B2 (sf); previously on Dec 9,
2016 Downgraded to Ba3 (sf)
Cl. B5, Downgraded to B3 (sf); previously on Dec 9,
2016 Downgraded to B1 (sf)
Cl. B6, Downgraded to Caa3 (sf); previously on Dec 9,
2016 Downgraded to Caa1 (sf)
Issuer: RESI Finance Limited Partnership 2003-D RESI Finance
Limited Partnership 2003-D/RESI Finance DE Corporation 2003-D
Cl. B3, Downgraded to Caa3 (sf); previously on Dec 9,
2016 Downgraded to Caa1 (sf)
Issuer: RESI Finance Limited Partnership 2004-A RESI Finance
Limited Partnership 2004-A/RESI Finance DE Corporation 2004-A
Cl. B3, Downgraded to Caa3 (sf); previously on Jun 27,
2013 Downgraded to Caa1 (sf)
Cl. B4, Downgraded to Ca (sf); previously on Jun 27,
2013 Downgraded to Caa3 (sf)
Cl. B5, Downgraded to C (sf); previously on Feb 15,
2013 Affirmed Ca (sf)
Issuer: RESI Finance Limited Partnership 2004-B RESI Finance
Limited Partnership 2004-B/RESI Finance DE Corporation 2004-B
Cl. B3, Downgraded to Caa3 (sf); previously on Jun 27,
2013 Downgraded to Caa2 (sf)
Issuer: Resix Finance Limited Credit-Linked Notes,
Series 2003-B
Cl. B9, Downgraded to C (sf); previously on Jun 4,
2019 Affirmed Caa3 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance and Moody's updated
loss expectations on the underlying pools. The rating downgrades
are due to erosion of credit enhancement available to the bonds and weak
performance of the underlying collateral.
The downgrade of Class B9 in Resix Finance Limited Credit-Linked
Notes, Series 2003-B is due to the downgrade of the referenced
tranche Class B9 in RESI Finance Limited Partnership 2003-B.
Our analysis has considered the increased uncertainty relating to the
effect of the coronavirus outbreak on the US economy as well as the effects
that the announced government measures put in place to contain the virus,
will have on the performance of residential mortgages. We regard
the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
It is a global health shock, which makes it extremely difficult
to provide an economic assessment. The degree of uncertainty around
our forecasts is unusually high.
The principal methodology used in rating all deals except Resix Finance
Limited Credit-Linked Notes, Series 2003-B was "US
RMBS Surveillance Methodology" published in February 2019 and available
at https://www.moodys.com/research/US-RMBS-Surveillance-Methodology--PBS_1127300.
The principal methodology used in rating Resix Finance Limited Credit-Linked
Notes, Series 2003-B was "Moody's Approach to Rating
Repackaged Securities" published in March 2019 and available at
https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1127292.
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of macroeconomic
uncertainty, particularly the unemployment rate. We expect
unemployment rate to rise to about 9% in the second quarter,
and decline thereafter with a slow pace of rehiring, resulting in
an unemployment rate of around 6.5% by the end of 2020.
However, there is significant uncertainty around this forecast and
risks are firmly to the downside. House prices are another key
driver of US RMBS performance. Lower increases than Moody's expects
or decreases could lead to negative rating actions. Finally,
performance of RMBS continues to remain highly dependent on servicer procedures.
Any change resulting from servicing transfers or other policy or regulatory
change can impact the performance of these transactions.
The full action including CUSIP identifiers and associated pool losses
may be found at:
Excel: https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL422283
For more information please see www.moodys.com
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
Moody's either did not receive or take into account one or more
third-party due diligence assessment(s) regarding the underlying
assets or financial instruments (the "Due Diligence Assessment(s)")
in this credit rating action.
The Due Diligence Assessment(s) referenced herein were prepared and produced
solely by parties other than Moody's. While Moody's
uses Due Diligence Assessment(s) only to the extent that Moody's
believes them to be reliable for purposes of the intended use, Moody's
does not independently audit or verify the information or procedures used
by third-party due-diligence providers in the preparation
of the Due Diligence Assessment(s) and makes no representation or warranty,
express or implied, as to the accuracy, timeliness,
completeness, merchantability or fitness for any particular purpose
of the Due Diligence Assessment(s).
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security or pursuant
to a program for which the ratings are derived exclusively from existing
ratings in accordance with Moody's rating practices. For ratings
issued on a support provider, this announcement provides certain
regulatory disclosures in relation to the credit rating action on the
support provider and in relation to each particular credit rating action
for securities that derive their credit ratings from the support provider's
credit rating. For provisional ratings, this announcement
provides certain regulatory disclosures in relation to the provisional
rating assigned, and in relation to a definitive rating that may
be assigned subsequent to the final issuance of the debt, in each
case where the transaction structure and terms have not changed prior
to the assignment of the definitive rating in a manner that would have
affected the rating. For further information please see the ratings
tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
The ratings have been disclosed to the rated entity or its designated
agents and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1133569.
At least one ESG consideration was material to the credit rating outcome
announced and described above.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the EU and is endorsed
by Moody's Deutschland GmbH, An der Welle 5, Frankfurt
am Main 60322, Germany, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that issued the credit rating is available on www.moodys.com.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead rating analyst and the Moody's legal entity that has issued
the ratings.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Siddharth Lal
Analyst
Structured Finance Group
Moody's Canada Inc.
70 York Street
Suite 1400
Toronto, ON M5J 1S9
Canada
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Soumya Vasudevan
VP-Senior Analyst
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Canada Inc.
70 York Street
Suite 1400
Toronto, ON M5J 1S9
Canada
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653