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Rating Action:

Moody's places 1079 tranches from 299 US RMBS Shifting Interest/Pro-rata deals on Review for Downgrade due to exposure to Tail Risk

19 Jun 2013

New York, June 19, 2013 -- Moody's Investors Service has placed ratings of 1079 tranches from 299 RMBS shifting interest/pro-rata transactions on review for downgrade. The collateral backing the tranches are Jumbo, Alt-A, Option ARM, Subprime, Manufactured Housing and Scratch & Dent US residential mortgages.

Please click on this http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF333225 for the List of Affected Credit Ratings. This list is an integral part of the Press Release and identifies each affected issuer.

RATINGS RATIONALE

The ratings reflect the exposure of these bonds to tail risk due to the pro-rata pay nature of the transactions. Tail risk is the risk of a disproportionately large loss (based on current balance of the pool) on the underlying pool at the end of a transactions' term when few loans remain in the pool and credit enhancement although high in percentage terms may be very low in dollar terms. Shifting interest transactions in which the subordinate bonds receive a portion of prepayment and principal, and where there are no credit enhancement floors, expose the most senior bonds to tail risk by depleting the dollar credit enhancement available to absorb future losses. Tail risk on pro-rata structures has been exacerbated recently as high prepayments have paid down pools faster and clean-up calls by issuers (at 10% pool factor) have diminished.

The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

The methodology closes out the Request for Comment (RFC) "Moody's Approach to Addressing Tail Risk in Shifting-Interest Structures and Other US RMBS that Pay Principal Pro Rata" that was published on April 19th, 2013 with the comment period running till May 20th, 2013. The methodology incorporates the principles that were discussed in the RFC.

As detailed in the methodology noted above, we will subject the ratings of Aaa (sf) -- to A (sf) rated securities in deals with pro-rata pay mechanisms to a stress scenario analysis. Under this stress scenario analysis, we stress our projections of the pools' loss and significantly delay future defaults or haircut the credit enhancement available to the bonds. Based on the result of the stress scenario analysis, we will subject the ratings of these securities to an A3 (sf) cap or below unless they are either likely to pay off within a year or are likely to pay off two years before the date by which we project the number of loans in the underlying pool will fall below 100.

Securities being placed on review for downgrade are those that show sensitivity to a preliminary stress scenario analysis. We will resolve the watch action after conducting a detailed review of the transaction structures. In addition, we will take into account updated performance information.

REGULATORY DISCLOSURES

Moody's did not receive or take into account a third party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

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.

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 analyst and the Moody's legal entity that has issued the ratings.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

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.

Soumya Vasudevan
Associate 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

Jonathan Corwin
Associate Analyst
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Ola Hannoun-Costa
Asst Vice President - Analyst
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Ilana Fried
Associate Analyst
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Minxi Qiu
Associate Analyst
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Deepika Kothari
Vice President - 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 places 1079 tranches from 299 US RMBS Shifting Interest/Pro-rata deals on Review for Downgrade due to exposure to Tail Risk
No Related Data.
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