Moody's downgrades AUD600 million of Australian RMBS following PMI downgrade
AUD15.2 billion remain sensitive to mortgage insurer rating action
Sydney, July 15, 2008 -- Moody's Investors
Service has today released the results of its review of Australian Residential
Mortgage Backed Securities (RMBS) following its downgrade to Aa3 from
Aa2 of the Insurance Financial Strength Rating of PMI Mortgage Insurance
Ltd (PMI Australia), which remains on review for possible downgrade.
The review covered Australian term RMBS that are rated by Moody's and
contain mortgage loans insured by PMI. It considered the proportion
of loans insured by PMI, current subordination levels, seasoning
and other structural features.
There were no senior notes downgraded. All notes downgraded were
junior notes (15 notes totaling AUD0.6 billion) whose ratings are
highly correlated to the ratings of mortgage insurers.
In total, 107 notes totaling AUD15.2 billion remain on review
for possible downgrade.
Moody's review identified three groups of securities:
(1) Securities with ratings independent of PMI's rating.
These are notes that were previously placed on review for possible downgrade
but now exhibit subordination levels in excess of the current gross subordination
required to maintain their ratings. Moody's has today confirmed
the ratings of the 9 notes totaling AUD5.2 billion falling into
this category.
(2) Securities with ratings that withstood the current downgrade of PMI
but may be negatively affected in the event of a more severe rating action.
These notes are characterized by a relatively high proportion of PMI insured
mortgage loans within the underlying portfolios and insufficient note
subordination to achieve a complete delinkage from PMI. 23 notes
totaling AUD12.4 billion fell into this category. Moody's
has classified them into groups according to the lowest rating of PMI
the current rating of the notes may withstand. Moody's has
retained these securities on review for possible downgrade pending outcome
of the PMI review.
(3) Securities with ratings that will come under pressure in the event
of any further PMI downgrade. These were junior notes whose ratings
are highly correlated to the ratings of the mortgage insurers.
Of the 84 notes totaling AUD2.8 billion that fell into this group
69 notes totaling AUD2.2 billion maintained their current Aa3 rating
and 15 notes totaling AUD0.6 billion were downgraded to Aa3.
Moody's has retained these securities on review for possible downgrade
pending outcome of the PMI review.
Moody's will seek to provide further guidance to the market with
regard to securities retained on review as soon as the review of PMI is
concluded.
The complete rating action for group 1 is as follows:
HBS Trust 2006-1, Class A, currently rated Aaa,
rating confirmed
Crusade Global Trust No. 1 of 2007, Class A-1,
currently rated Aaa, rating confirmed
Crusade Global Trust No. 1 of 2007, Class A-2,
currently rated Aaa, rating confirmed
Crusade Global Trust No. 1 of 2007, Class A-3,
currently rated Aaa, rating confirmed
Crusade Global Trust No. 2 of 2006, Class A-1,
currently rated Aaa, rating confirmed
Crusade Global Trust No. 2 of 2006, Class A-2,
currently rated Aaa, rating confirmed
Crusade Global Trust No. 2 of 2006, Class A-3,
currently rated Aaa, rating confirmed
WB Trust 2003-1, Class C, currently rated A1,
rating confirmed
WB Trust 2004-1, Class D, currently rated Baa1,
rating confirmed
The complete rating action for group 2 is as follows:
Securities able to withstand PMI downgrade to A1:
RAMS Mortgage Securities Trust Series UniCredit (1), Class A,
currently rated Aaa, on review for possible downgrade
Securities able to withstand PMI downgrade to A2:
Lion Series 2007-1 Trust, Class A, currently rated
Aaa, on review for possible downgrade
Series 2007-1E SWAN Trust, Class A1, currently rated
Aaa, on review for possible downgrade
Series 2007-1E SWAN Trust, Class A2, currently rated
Aaa, on review for possible downgrade
Series 2007-1E SWAN Trust, Class A3, currently rated
Aaa, on review for possible downgrade
Series 2007-1E SWAN Trust, Class A4, currently rated
Aaa, on review for possible downgrade
National RMBS Trust 2006-1, Class A, currently rated
Aaa, on review for possible downgrade
Securities able to withstand PMI downgrade to A3:
RAMS Mortgage Securities Trust Series 2007-3, Class AB,
currently rated Aa1, on review for possible downgrade
Securities able to withstand PMI downgrade to Baa1:
Apollo Series 2007-1E Trust, Class 1A, currently rated
Aaa, on review for possible downgrade
Apollo Series 2007-1E Trust, Class 2A, currently rated
Aaa, on review for possible downgrade
Crusade Euro Trust No. 1E of 2007, Class A-1,
currently rated Aaa, on review for possible downgrade
Crusade Euro Trust No. 1E of 2007, Class A-2,
currently rated Aaa, on review for possible downgrade
Crusade Euro Trust No. 1E of 2007, Class B, currently
rated Aa2, on review for possible downgrade
RAMS MORTGAGE SECURITIES TRUST in respect of Series 2006-1,
Class AB, currently rated Aa1, on review for possible downgrade
Securities able to withstand PMI downgrade to Baa2:
Puma Masterfund P-12 Series A, Class A, currently rated
Aaa, on review for possible downgrade
PUMA Masterfund P-12 Series B, Class A, currently rated
Aaa, on review for possible downgrade
Interstar Millennium Series 2006-4H, Class AB, currently
rated Aa1, on review for possible downgrade
Securities able to withstand PMI downgrade to Baa3:
PUMA Global Trust No.5, Class A-1, currently
rated Aaa, on review for possible downgrade
PUMA Global Trust No.5, Class A-2, currently
rated Aaa, on review for possible downgrade
PUMA Global Trust No.5, Class A-3, currently
rated Aaa, on review for possible downgrade
Challenger Millennium Series 2007-1E Trust, Class AB,
currently rated Aa1, on review for possible downgrade
Challenger Millennium Series 2007-2L Trust, Class AB,
currently rated Aa1, on review for possible downgrade
RAMS MORTGAGE SECURITIES TRUST in respect of Series 2006-1,
Class A, currently rated Aaa, on review for possible downgrade
The complete rating action for group 3 is as follows:
Securities that have maintained their current rating:
Australian Residential Mortgage Securities (ARMS) II Euro Fund VI,
Class B, currently rated Aa3, on review for possible downgrade
Australian Residential Mortgage Securities (ARMS) II Fund XV, Class
B, currently rated Aa3, on review for possible downgrade
Australian Residential Mortgage Securities (ARMS) II Global Fund 2,
Class B, currently rated Aa3, on review for possible downgrade
Australian Residential Mortgage Securities (ARMS) II Global Fund 3,
Class B-1(a), currently rated Aa3, on review for possible
downgrade
Australian Residential Mortgage Securities (ARMS) II Global Fund 3,
Class B-1(b), currently rated Aa3, on review for possible
downgrade
Australian Residential Mortgage Securities (ARMS) II Low Doc Fund I,
Class B, currently rated Aa3, on review for possible downgrade
Challenger Millennium Series 2007-1E Trust, Class B,
currently rated Aa3, on review for possible downgrade
Challenger Millennium Series 2007-2L Trust, Class B,
currently rated Aa3, on review for possible downgrade
FirstMac Bond Series 1E-2006 Trust, Class B, currently
rated Aa3, on review for possible downgrade
FirstMac Bond Series 3-2005 Trust, Class B, currently
rated Aa3, on review for possible downgrade
FirstMac Mortgage Funding Trust Series 1-2007, Class B,
currently rated Aa3, on review for possible downgrade
FirstMac Mortgage Funding Trust Series 1E-2007, Class B,
currently rated Aa3, on review for possible downgrade
Interstar Millennium Series 2003-5G Trust, Class B1,
currently rated Aa3, on review for possible downgrade
Interstar Millennium Series 2003-5G Trust, Class B2,
currently rated Aa3, on review for possible downgrade
Interstar Millennium Series 2004-1E Trust, Class B,
currently rated Aa3, on review for possible downgrade
Interstar Millennium Series 2004-2G Trust, Class B,
currently rated Aa3, on review for possible downgrade
Interstar Millennium Series 2004-4E Trust, Class B,
currently rated Aa3, on review for possible downgrade
Interstar Millennium Series 2005-1G Trust, Class B,
currently rated Aa3, on review for possible downgrade
Interstar Millennium Series 2005-2L Trust, Class B,
currently rated Aa3, on review for possible downgrade
Interstar Millennium Series 2005-3E Trust, Class B,
currently rated Aa3, on review for possible downgrade
Interstar Millennium Series 2006-2G Trust, Class B,
currently rated Aa3, on review for possible downgrade
Interstar Millennium Series 2006-3L Trust, Class B,
currently rated Aa3, on review for possible downgrade
Interstar Millennium Series 2006-4H, Class B, currently
rated Aa3, on review for possible downgrade
Medallion Trust Series 2006-1G, Class B, currently
rated Aa3, on review for possible downgrade
National RMBS Trust 2004-1, Class B, currently rated
Aa3, on review for possible downgrade
National RMBS Trust 2006-1, Class B, currently rated
Aa3, on review for possible downgrade
National RMBS Trust 2006-3, Class B, currently rated
Aa3, on review for possible downgrade
Progress 2003 E-1 Trust, Class B, currently rated Aa3,
on review for possible downgrade
Progress 2004 E-1 Trust, Class B, currently rated Aa3,
on review for possible downgrade
Progress 2004-2 Trust, Class B, currently rated Aa3,
on review for possible downgrade
Progress 2005-1 Trust, Class B, currently rated Aa3,
on review for possible downgrade
Progress 2005-2 Trust, Class B, currently rated Aa3,
on review for possible downgrade
Progress 2006-1 Trust, Class B, currently rated Aa3,
on review for possible downgrade
Progress 2007-1G Trust, Class B, currently rated Aa3,
on review for possible downgrade
PUMA Global Trust No.5, Class B, currently rated Aa3,
on review for possible downgrade
Puma Global Trust S-1, Class B, currently rated Aa3,
on review for possible downgrade
Puma Masterfund H-1, Class B, currently rated Aa3,
on review for possible downgrade
PUMA Masterfund P-10 Series B, Class B, currently rated
Aa3, on review for possible downgrade
PUMA Masterfund P-10 Series C, Class B, currently rated
Aa3, on review for possible downgrade
Puma Masterfund P-10, Class B, currently rated Aa3,
on review for possible downgrade
PUMA Masterfund P-11 Series A, Class B, currently rated
Aa3, on review for possible downgrade
Puma Masterfund P-11 Series B, Class B, currently rated
Aa3, on review for possible downgrade
Puma Masterfund P-12 Series A, Class B, currently rated
Aa3, on review for possible downgrade
PUMA Masterfund P-12 Series B, Class B, currently rated
Aa3, on review for possible downgrade
PUMA Masterfund P-13 Series A, Class B, currently rated
Aa3, on review for possible downgrade
PUMA Masterfund S-2 Series A, Class B, currently rated
Aa3, on review for possible downgrade
Puma Masterfund S-3, Class B, currently rated Aa3,
on review for possible downgrade
PUMA Masterfund S-4, Class B, currently rated Aa3,
on review for possible downgrade
PUMA Masterfund S-5, Class B, currently rated Aa3,
on review for possible downgrade
RAMS MORTGAGE SECURITIES TRUST in respect of Series 2006-1,
Class B, currently rated Aa3, on review for possible downgrade
RBS Trust 2003-1, Class B, currently rated Aa3,
on review for possible downgrade
RBS Trust 2004-1, Class B, currently rated Aa3,
on review for possible downgrade
RBS Trust 2005-1, Class B, currently rated Aa3,
on review for possible downgrade
RBS Trust 2007-1, Class B, currently rated Aa3,
on review for possible downgrade
Resimac Premier Euro 2003-1 Trust, Class B, currently
rated Aa3, on review for possible downgrade
Resimac Premier Euro 2004-1E Trust, Class 1B, currently
rated Aa3, on review for possible downgrade
Resimac Premier Euro 2004-2E Trust, Class B, currently
rated Aa3, on review for possible downgrade
RESIMAC Premier Euro 2005-1E Trust, Class 2B, currently
rated Aa3, on review for possible downgrade
Resimac Premier Euro 2006-1E Trust, Class 2B, currently
rated Aa3, on review for possible downgrade
RMS Trust 2003-1E, Class 1B, currently rated Aa3,
on review for possible downgrade
Series 2005-1 Reds Trust, Class B, currently rated
Aa3, on review for possible downgrade
Series 2005-2 Reds Trust, Class B, currently rated
Aa3, on review for possible downgrade
Series 2005-2(S) TORRENS Trust, Class B, currently
rated Aa3, on review for possible downgrade
Series 2006-1E REDS Trust, Class B, currently rated
Aa3, on review for possible downgrade
Series 2007-1E REDS Trust, Class B, currently rated
Aa3, on review for possible downgrade
Series 2007-2 REDS Trust, Class B, currently rated
Aa3, on review for possible downgrade
TORRENS Series 2005-3(E) Trust, Class B, currently
rated Aa3, on review for possible downgrade
TORRENS Series 2006-1(E) Trust, Class B, currently
rated Aa3, on review for possible downgrade
Unity Series 2003-1 Trust, Class B, currently rated
Aa3, on review for possible downgrade
Securities downgraded to Aa3:
Apollo Series 2004-1E Trust, Class B, currently rated
Aa2, downgraded to Aa3 and remains on review for possible downgrade
Apollo Series 2004-2 Trust, Class B, currently rated
Aa2, downgraded to Aa3 and remains on review for possible downgrade
Apollo Series 2005-1E Trust, Class B, currently rated
Aa2, downgraded to Aa3 and remains on review for possible downgrade
Apollo Series 2005-2 Trust, Class B, currently rated
Aa2, downgraded to Aa3 and remains on review for possible downgrade
Apollo Series 2006-1E Trust, Class B, currently rated
Aa2, downgraded to Aa3 and remains on review for possible downgrade
Apollo Series 2007-1E Trust, Class B, currently rated
Aa2, downgraded to Aa3 and remains on review for possible downgrade
HBS Trust 2003-1E, Class B, currently rated Aa2,
downgraded to Aa3 and remains on review for possible downgrade
HBS Trust 2004-1, Class B, currently rated Aa2,
downgraded to Aa3 and remains on review for possible downgrade
HBS Trust 2005-1E, Class B, currently rated Aa2,
downgraded to Aa3 and remains on review for possible downgrade
HBS Trust 2006-1, Class B, currently rated Aa2,
downgraded to Aa3 and remains on review for possible downgrade
Kingfisher Trust 2004-1G, Class B, currently rated
Aa2, downgraded to Aa3 and remains on review for possible downgrade
Lion Series 2007-1 Trust, Class B, currently rated
Aa2, downgraded to Aa3 and remains on review for possible downgrade
Series 2006-1E SWAN Trust, Class B, currently rated
Aa2, downgraded to Aa3 and remains on review for possible downgrade
Series 2007-1E SWAN Trust, Class B, currently rated
Aa2, downgraded to Aa3 and remains on review for possible downgrade
Torrens Series 2007-1 Trust, Class B, currently rated
Aa2, downgraded to Aa3 and remains on review for possible downgrade
The ratings address the expected loss posed to investors by the legal
final maturity. Moody's ratings address only the credit risks associated
with the transaction. Other non-credit risks have not been
addressed, but may have significant effect on yield to investors.
Moody's ratings are subject to revision, suspension or withdrawal
at any time at our absolute discretion. The ratings are expressions
of opinion and not recommendations to purchase, sell or hold securities.
Sydney
Arthur Karabatsos
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Pty Ltd
JOURNALISTS: (612) 9270-8102
SUBSCRIBERS: (612) 9270-8100
Sydney
Henry Charpentier
Managing Director
Structured Finance Group
Moody's Investors Service Pty Ltd
JOURNALISTS: (612) 9270-8102
SUBSCRIBERS: (612) 9270-8100