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22 Feb 2011
New York, February 22, 2011 -- Moody's Investors Service has downgraded the rating of class 1-A-1
issued by Deutsche Mortgage Securities, Inc. Re-REMIC
Trust Certificates, Series 2007-RS8 from B3 to Caa3.
Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC
Trust Certificates, Series 2007-RS8
Cl. 1-A-1, Downgraded to Caa3 (sf); previously
on Jan 29, 2010 B3 (sf) Placed Under Review for Possible Downgrade
RATINGS RATIONALE
The action is as a result of the bond not having sufficient credit enhancement
to maintain the current rating compared to the revised loss expectation
on the pool of mortgages backing the underlying certificate.
The resecuritization is backed by the Cl. 2-A3A (the "Underlying
Certificate") issued by Citigroup Mortgage Loan Trust 2006-AR3.
The underlying certificate is backed primarily by first-lien,
Alt-A residential mortgage loans.
The Class 1-A-1 issued in the resecuritization transaction
is a senior class, supported by a subordinated bond Class 1-A-2,
which receives principal payments after Class 1-A-1 but
absorbs losses before Class 1-A-1.
Moody's ratings on the resecuritization certificates are based on:
(i) The updated expected loss on the pool of loans backing the underlying
certificate and the updated rating on the underlying certificate.
Moody's current loss expectation on the pool backing the underlying certificate
can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF198174.
The current rating of the underlying certificate is Ca.
(ii) The credit enhancement available to the underlying certificate,
and
(iii) The structure of the resecuritization transaction.
Moody's first updated its loss assumption on the underlying pool of mortgage
loans (backing the underlying certificate) and then arrived at an updated
rating on the underlying certificate. The rating on the underlying
certificate is based on the expected recovery on the bond under ninety-six
different combinations of six loss levels, four loss timing curves
and four prepayment curves. The volatility in losses experienced
by a tranche due to small increments in losses on the underlying mortgage
pool is also taken into consideration when assigning ratings. For
details regarding Moody's approach to estimating losses on Alt-A
pools, please refer to the methodology publications "Alt-A
RMBS Loss Projection Update: February 2010 ", available on
Moodys.com.
In order to determine the ratings of the resecuritized bonds, the
loss on the underlying certificate was ascribed to the resecuritized classes,
1-A-1 and 1-A-2, according to the structure
of the resecuritized transaction. The losses on the resecuritized
certificates are allocated "bottom up" with Class 1-A-2
taking losses ahead of Class 1-A-1. Principal payments
to the certificates are allocated sequentially, with Class 1-A-1
being paid ahead of Class 1-A-2.
Other methodologies and factors that may have been considered in the process
of rating this issuer can also be found in the Rating Methodologies sub-directory
on Moody's website. In addition, Moody's publishes a weekly
summary of structured finance credit, ratings and methodologies,
available to all registered users of our website, at www.moodys.com/SFQuickCheck.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment remains at high levels,
and weakness persists in the housing market. Moody's notes an increasing
potential for a double-dip recession, which could cause a
further 20% decline in home prices (versus its baseline assumption
of roughly 5% further decline). Overall, Moody's assumes
a further 5% decline in home prices with stabilization in early
2011, accompanied by continued stress in national employment levels
through that timeframe.
As part of the sensitivity analysis, we stressed the updated expected
losses on the pools of loans backing the underlying certificates by an
additional 10% and found that the implied ratings on the resecuritization
bonds do not change.
Moody's Investors Service received and took into account a third party
due diligence report on the underlying assets or financial instruments
in this transaction and the due diligence reports had neutral impact on
the ratings.
A list of these actions including CUSIP identifiers may be found at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF236931
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, 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
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Please see ratings tab on the issuer/entity page on Moodys.com
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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
Jayesh Joseph
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Deepika Kothari
Vice President - Senior Analyst
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 $65 million of RMBS resecuritized bonds issued by Deutsche Mortgage Securities Series 2007-RS8
No Related Data.
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