New York, April 11, 2013 -- Moody's Investors Service has downgraded the ratings of 14 tranches and
upgraded the rating of one tranche from four RMBS resecuritization deals.
The resecuritizations are backed by underlying bonds from different Alt-A
and Prime Jumbo RMBS transactions.
RATINGS RATIONALE
The rating actions reflect the recent performance of the pools of mortgages
backing the underlying bonds and the updated loss expectations on the
resecuritization bonds.
The principal methodology used in these ratings was "Moody's Approach
to Rating US Resecuritized Residential Mortgage-Backed Securities"
published in February 2011. The methodology used in rating Interest-Only
Securities was "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012. Please see the Credit Policy
page on www.moodys.com for a copy of these methodologies.
The principal methodology used in determining the ratings of the underlying
bonds is described in the Monitoring and Performance Review section in
"Moody's Approach to Rating US Residential Mortgage-Backed Securities"
published in December 2008. For other methodologies used for estimating
losses on RMBS pools, please refer to the methodology publications
"2005 - 2008 US RMBS Surveillance Methodology" published in July
2011, and "Pre-2005 US RMBS Surveillance Methodology" published
in January 2012. Please see the Credit Policy page on www.moodys.com
for a copy of these methodologies.
The primary source of assumption uncertainty is the uncertainty in our
central macroeconomic forecast and performance volatility due to servicer-related
issues. The unemployment rate fell from 9.0% in September
2011 to 7.6% in March 2013. Moody's forecasts an
unemployment central range of 7.0% to 8.0%
for the 2013 year. Moody's expects house prices to continue to
rise in 2013. 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.
Complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust 2007-9
Cl. I-A-1, Downgraded to Ca (sf); previously
on Jun 1, 2011 Downgraded to Caa3 (sf)
Cl. I-A-3, Downgraded to Ca (sf); previously
on Jun 1, 2011 Downgraded to Caa3 (sf)
Cl. I-A-4, Downgraded to Ca (sf); previously
on Jun 1, 2011 Confirmed at Caa3 (sf)
Cl. I-A-5, Downgraded to Ca (sf); previously
on Jun 1, 2011 Downgraded to Caa3 (sf)
Cl. I-A-6, Downgraded to Ca (sf); previously
on Jun 1, 2011 Downgraded to Caa3 (sf)
Cl. I-A-7, Downgraded to Ca (sf); previously
on Jun 1, 2011 Downgraded to Caa3 (sf)
Cl. I-A-8, Downgraded to Ca (sf); previously
on Jun 1, 2011 Downgraded to Caa3 (sf)
Cl. I-A-9, Downgraded to Ca (sf); previously
on Jun 1, 2011 Downgraded to Caa3 (sf)
Cl. I-A-11, Downgraded to Ca (sf); previously
on Jun 1, 2011 Downgraded to Caa3 (sf)
Issuer: CWMBS, Inc. Resecuritization Mortgage Pass-Through
Certificates, Series 2004-28R
Cl. A-3, Downgraded to Baa3 (sf); previously
on Jun 9, 2011 Downgraded to Baa1 (sf)
Cl. A-4, Downgraded to Ba2 (sf); previously on
Jun 9, 2011 Downgraded to Baa3 (sf)
Cl. A-5, Downgraded to Ba1 (sf); previously on
Jun 9, 2011 Downgraded to Baa1 (sf)
Issuer: MASTR Asset Securitization Trust 2004-P7
Cl. A-5, Downgraded to Baa1 (sf); previously
on May 15, 2012 Upgraded to A3 (sf)
Cl. A-6, Upgraded to Baa1 (sf); previously on
May 15, 2012 Upgraded to Baa3 (sf)
Issuer: RALI Series 2003-QR13 Trust
Cl. A-4, Downgraded to Ba2 (sf); previously on
Jun 9, 2011 Downgraded to Baa3 (sf)
The rating action including the CUSIP identifier may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF323182
REGULATORY DISCLOSURES
Moody's received and took into account one or more third party assessments
on the due diligence performed regarding the underlying assets or financial
instruments in these transactions and the assessments had a neutral impact
on the rating.
In conducting surveillance of these credits, Moody's considered
performance data contained in servicer and remittance reports.
Moody's obtains servicer reports on these transactions on a periodic basis,
at least annually.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt 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 rating action on the support provider and in relation to each particular
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 rating action, and
whose ratings may change as a result of this 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.
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.
Jayesh Joseph
Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Deepika Kothari
VP - Senior Analyst/Manager
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades $512 million of Resecuritized RMBS issued by miscellaneous issuers