Moody's downgrades certain RAMP RMBS.
New York, December 18, 2008 -- Moody's Investors Service has downgraded the ratings of 94 tranches from
17 High-LTV RMBS transactions issued by RAMP. The collateral
backing these
transactions consists primarily of first-lien, fixed and
adjustable-rate, residential mortgage loans.
These actions are a result of updated loss expectations on the underlying
collateral relative to available credit enhancement. Additionally
some tranches with rating actions listed below are wrapped by a financial
guarantor. The current rating on such certificates is consistent
with Moody's practice of rating insured securities at the higher of the
guarantor's insurance financial strength rating and the underlying rating
based on Moody's modified approach to rating structured finance securities
wrapped by financial guarantors. Please see the press release dated
November 10, 2008, titled "Moody's modifies approach to rating
structured finance securities wrapped by financial guarantors".
The ratings on the notes were assigned by evaluating factors determined
to be applicable to the credit profile of the notes, such as i)
the nature, sufficiency, and quality of historical performance
information regarding the asset class as well as for the transaction sponsor,
ii) an analysis of the collateral being securitized, iii) an analysis
of the policies, procedures and alignment of interests of the key
parties to the transaction, most notably the originator and the
servicer, iv) an analysis of the transaction's allocation
of collateral cashflow and capital structure, v) an analysis of
the transaction's governance and legal structure, and (vi)
a comparison of these attributes against those of other similar transactions.
The principal methodology used in rating these transactions was "Subprime
RMBS Loss Projection Update: September 2008", which can be
found at www.moodys.com in the Credit Policy & Methodologies
directory, in the Ratings Methodologies subdirectory. Other
methodologies and factors that may have been considered in the process
of rating this issue can also be found on this page.
Moody's approach to analyzing more seasoned pools i.e.
prior to the 2nd half of 2005 takes into account the annualized loss rate
from last 12 months ("Recent Losses") and the projected loss
rate over next 12 months ("Pipeline Losses"), and then
translates these measures into lifetime losses based on a deal's expected
remaining life. Recent Losses are calculated by assessing cumulative
losses incurred over the past 12-months as a percentage of the
average pool factor in the last year. For Pipeline Losses,
Moody's uses an annualized roll rate of 15%, 30%,
65% and 90% for loans that are delinquent 60-days,
90+ days, are in foreclosure, and REO respectively.
Moody's then applies deal-specific severity assumptions,
in this case ranging from 40% to 88%. The results
of these two calculations - Recent Losses and Pipeline Losses -
are weighted to arrive at the lifetime cumulative loss projection.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Credit Policy & Methodologies directory.
Complete rating actions are as follows:
Issuer: RAMP Series 2002-RZ2 Trust
Cl. M-3 Certificate, Downgraded to Ca, previously
on 10/19/2007 Downgraded to Caa1
Issuer: RAMP Series 2003-RZ2 Trust
Cl. M-2 Certificate, Downgraded to A2, previously
on 3/19/2007 Upgraded to Aa2
Cl. M-3 Certificate, Downgraded to Baa2, previously
on 3/19/2007 Upgraded to A2
Issuer: RAMP Series 2003-RZ3 Trust
Cl. M-2 Certificate, Downgraded to A1, previously
on 3/19/2007 Upgraded to Aa2
Issuer: RAMP Series 2003-RZ4 Trust
Cl. M-2 Certificate, Downgraded to Aa3, previously
on 3/19/2007 Upgraded to Aa2
Issuer: RAMP Series 2003-RZ5 Trust
M-1 Certificate, Downgraded to Aa3, previously on 3/19/2007
Upgraded to Aaa
M-2 Certificate, Downgraded to Baa2, previously on
3/19/2007 Upgraded to Aa3
M-3 Certificate, Downgraded to B1, previously on 1/30/2004
Assigned to Baa1
Issuer: RAMP Series 2004-RZ1 Trust
M-3 Certificate, Downgraded to Baa3, previously on
5/21/2004 Assigned to Baa1
M-4 Certificate, Downgraded to Ba2, previously on 5/14/2008
Downgraded to Ba1
M-5 Certificate, Downgraded to B1, previously on 5/14/2008
Downgraded to Ba2
Issuer: RAMP Series 2004-RZ2 Trust
Cl. A-I-4 Certificate, Downgraded to Baa3,
previously on 8/7/2008 Upgraded to Baa1
Cl. A-I-5 Certificate, Downgraded to Ba1,
previously on 8/7/2008 Upgraded to Baa1
Cl. A-I-6 Certificate, Downgraded to Ba1,
previously on 8/7/2008 Upgraded to Baa1
Issuer: RAMP Series 2004-RZ3 Trust
Cl. M-II-4 Certificate, Downgraded to Ba3,
previously on 10/26/2004 Assigned to Baa2
Issuer: RAMP Series 2005-RZ2 Trust
Cl. M-5 Certificate, Downgraded to A3, previously
on 8/24/2005 Assigned to A2
Cl. M-6 Certificate, Downgraded to Ba2, previously
on 8/24/2005 Assigned to Baa1
Cl. M-7 Certificate, Downgraded to Caa3, previously
on 8/24/2005 Assigned to Baa2
Cl. M-8 Certificate, Downgraded to C, previously
on 8/24/2005 Assigned to Baa3
Cl. B-1 Certificate, Downgraded to C, previously
on 8/24/2005 Assigned to Ba1
Issuer: RAMP Series 2005-RZ3 Trust
Cl. M-5 Certificate, Downgraded to Baa2, previously
on 10/17/2008 Downgraded to Baa1
Cl. M-6 Certificate, Downgraded to B1, previously
on 10/17/2008 Downgraded to Ba2
Cl. M-7 Certificate, Downgraded to C, previously
on 10/17/2008 Downgraded to Ca
Issuer: RAMP Series 2005-RZ4 Trust
Cl. M-3 Certificate, Downgraded to A1, previously
on 12/16/2005 Assigned to Aa3
Cl. M-4 Certificate, Downgraded to Ba1, previously
on 12/16/2005 Assigned to A2
Cl. M-5 Certificate, Downgraded to B3, previously
on 12/16/2005 Assigned to A3
Cl. M-6 Certificate, Downgraded to C, previously
on 2/20/2008 Baa1 Placed Under Review for Possible Downgrade
Cl. M-7 Certificate, Downgraded to C, previously
on 2/20/2008 Baa2 Placed Under Review for Possible Downgrade
Cl. M-8 Certificate, Downgraded to C, previously
on 2/20/2008 Baa3 Placed Under Review for Possible Downgrade
Cl. B Certificate, Downgraded to C, previously on 2/20/2008
Ba1 Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-RZ1 Trust
Cl. M-4 Certificate, Downgraded to A2, previously
on 2/20/2008 A1 Placed Under Review for Possible Downgrade
Cl. M-5 Certificate, Downgraded to Baa3, previously
on 2/20/2008 A2 Placed Under Review for Possible Downgrade
Cl. M-6 Certificate, Downgraded to B2, previously
on 2/20/2008 A3 Placed Under Review for Possible Downgrade
Cl. M-7 Certificate, Downgraded to C, previously
on 2/20/2008 Baa1 Placed Under Review for Possible Downgrade
Cl. M-8 Certificate, Downgraded to C, previously
on 2/20/2008 Baa2 Placed Under Review for Possible Downgrade
Cl. M-9 Certificate, Downgraded to C, previously
on 2/20/2008 Baa3 Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-RZ2 Trust
Cl. A-2 Certificate, Downgraded to Aa2, previously
on 5/26/2006 Assigned to Aaa
Cl. A-3 Certificate, Downgraded to A1, previously
on 5/26/2006 Assigned to Aaa
Cl. M-1 Certificate, Downgraded to Baa3, previously
on 5/26/2006 Assigned to Aa1
Cl. M-2 Certificate, Downgraded to Caa1, previously
on 5/26/2006 Assigned to Aa2
Cl. M-3 Certificate, Downgraded to C, previously
on 5/26/2006 Assigned to Aa3
Cl. M-4 Certificate, Downgraded to C, previously
on 2/20/2008 A1 Placed Under Review for Possible Downgrade
Cl. M-5 Certificate, Downgraded to C, previously
on 2/20/2008 A2 Placed Under Review for Possible Downgrade
Cl. M-6 Certificate, Downgraded to C, previously
on 2/20/2008 A3 Placed Under Review for Possible Downgrade
Cl. M-7 Certificate, Downgraded to C, previously
on 2/20/2008 Baa1 Placed Under Review for Possible Downgrade
Cl. M-8 Certificate, Downgraded to C, previously
on 2/20/2008 Baa2 Placed Under Review for Possible Downgrade
Cl. M-9 Certificate, Downgraded to C, previously
on 2/20/2008 Baa3 Placed Under Review for Possible Downgrade
Cl. M-10 Certificate, Downgraded to C, previously
on 2/20/2008 Ba1 Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-RZ3 Trust
Cl. A-3 Certificate, Downgraded to Aa1, previously
on 8/14/2006 Assigned to Aaa
Cl. M-1 Certificate, Downgraded to Baa1, previously
on 8/14/2006 Assigned to Aa1
Cl. M-2 Certificate, Downgraded to B1, previously
on 8/14/2006 Assigned to Aa2
Cl. M-3 Certificate, Downgraded to Caa2, previously
on 8/14/2006 Assigned to Aa3
Cl. M-4 Certificate, Downgraded to C, previously
on 2/20/2008 A1 Placed Under Review for Possible Downgrade
Cl. M-5 Certificate, Downgraded to C, previously
on 2/20/2008 A2 Placed Under Review for Possible Downgrade
Cl. M-6 Certificate, Downgraded to C, previously
on 2/20/2008 A3 Placed Under Review for Possible Downgrade
Cl. M-7 Certificate, Downgraded to C, previously
on 2/20/2008 Baa1 Placed Under Review for Possible Downgrade
Cl. M-8 Certificate, Downgraded to C, previously
on 2/20/2008 Baa2 Placed Under Review for Possible Downgrade
Cl. M-9 Certificate, Downgraded to C, previously
on 2/20/2008 Baa3 Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-RZ4 Trust
Cl. A-2 Certificate, Downgraded to Aa2, previously
on 10/4/2006 Assigned to Aaa
Cl. A-3 Certificate, Downgraded to A1, previously
on 10/4/2006 Assigned to Aaa
Cl. M-1 Certificate, Downgraded to Baa2, previously
on 10/4/2006 Assigned to Aa1
Cl. M-2 Certificate, Downgraded to B2, previously
on 10/4/2006 Assigned to Aa2
Cl. M-3 Certificate, Downgraded to Caa2, previously
on 2/20/2008 Aa3 Placed Under Review for Possible Downgrade
Cl. M-4 Certificate, Downgraded to C, previously
on 2/20/2008 A1 Placed Under Review for Possible Downgrade
Cl. M-5 Certificate, Downgraded to C, previously
on 2/20/2008 A2 Placed Under Review for Possible Downgrade
Cl. M-6 Certificate, Downgraded to C, previously
on 2/20/2008 A3 Placed Under Review for Possible Downgrade
Cl. M-7 Certificate, Downgraded to C, previously
on 2/20/2008 Baa1 Placed Under Review for Possible Downgrade
Cl. M-8 Certificate, Downgraded to C, previously
on 2/20/2008 Baa2 Placed Under Review for Possible Downgrade
Cl. M-9 Certificate, Downgraded to C, previously
on 2/20/2008 Baa3 Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-RZ5 Trust
Cl. A-2 Certificate, Downgraded to Aa1, previously
on 1/3/2007 Assigned to Aaa
Cl. A-3 Certificate, Downgraded to Aa3, previously
on 1/3/2007 Assigned to Aaa
Cl. M-1 Certificate, Downgraded to Ba1, previously
on 1/3/2007 Assigned to Aa1
Cl. M-2 Certificate, Downgraded to Caa2, previously
on 1/3/2007 Assigned to Aa2
Cl. M-3 Certificate, Downgraded to C, previously
on 2/20/2008 Aa3 Placed Under Review for Possible Downgrade
Cl. M-4 Certificate, Downgraded to C, previously
on 2/20/2008 A1 Placed Under Review for Possible Downgrade
Cl. M-5 Certificate, Downgraded to C, previously
on 2/20/2008 A2 Placed Under Review for Possible Downgrade
Cl. M-6 Certificate, Downgraded to C, previously
on 2/20/2008 A3 Placed Under Review for Possible Downgrade
Cl. M-7 Certificate, Downgraded to C, previously
on 2/20/2008 Baa1 Placed Under Review for Possible Downgrade
Cl. M-8 Certificate, Downgraded to C, previously
on 2/20/2008 Baa2 Placed Under Review for Possible Downgrade
Cl. M-9 Certificate, Downgraded to C, previously
on 2/20/2008 Baa3 Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2007-RZ1 Trust
Cl. A-2 Certificate, Downgraded to Baa2, previously
on 3/8/2007 Assigned to Aaa
Cl. A-3 Certificate, Downgraded to Baa3, previously
on 3/8/2007 Assigned to Aaa
Cl. M-1S Certificate, Downgraded to B1, previously
on 3/8/2007 Assigned to Aa1
Cl. M-2S Certificate, Downgraded to Caa2, previously
on 3/8/2007 Assigned to Aa2
Cl. M-3S Certificate, Downgraded to C, previously
on 3/8/2007 Assigned to Aa3
Cl. M-4 Certificate, Downgraded to C, previously
on 3/8/2007 Assigned to A1
Cl. M-5 Certificate, Downgraded to C, previously
on 3/8/2007 Assigned to A2
Cl. M-6 Certificate, Downgraded to C, previously
on 3/8/2007 Assigned to A3
Cl. M-7 Certificate, Downgraded to C, previously
on 3/8/2007 Assigned to A3
Cl. M-8 Certificate, Downgraded to C, previously
on 3/8/2007 Assigned to Baa1
Cl. M-9 Certificate, Downgraded to C, previously
on 3/8/2007 Assigned to Baa2
Cl. M-10 Certificate, Downgraded to C, previously
on 3/8/2007 Assigned to Baa3
Cl. B Certificate, Downgraded to C, previously on 3/8/2007
Assigned to Ba2
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF151459
For more information please see www.moodys.com.
New York
Navneet Agarwal
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Joseph Rocco
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653