New York, January 13, 2010 -- Moody's Investors Service has placed 38 RMBS resecuritization tranches
with current outstanding balance of $1.8 billion,
on watch for possible downgrade. The rating is triggered by a downgrade
watch on the underlying ratings of the securities backing these resecuritization
tranches.
The resecuritization bonds are backed by jumbo RMBS bonds issued between
2005 and 2008. On Dec 17, 2009, Moody's placed
4474 tranches of jumbo RMBS issued between 2005 and 2008 on review for
possible downgrade due to an upward revision of loss projections on collateral
backing these transactions. On average, Moody's is
now projecting cumulative losses of 3.8% for 2005 jumbo
securitizations, 8.0% for 2006 jumbo securitizations,
10.9% for 2007 jumbo securitizations and 12.3%
for 2008 jumbo securitizations reported as a percentage of original balance.
Most resecuritization deals are structured as pass-through structures
with payments received on the underlying certificates passed through to
the resecuritization bonds. However, the resecuritization
deals typically build-in additional support for the senior bonds
issued in the transaction with certain junior bonds taking losses ahead
of the senior bonds. Increased losses on the underlying certificates
are thus likely to affect the principal recovery on the junior resecuritization
bonds and some senior resecuritization bonds as well.
As such, in assigning ratings on the notes in the resecuritization,
Moody's evaluates:
(i) The updated expected loss of the pool of loans backing the underlying
securities portfolio and the updated ratings on the underlying securities
portfolio given credit enhancement available to them, and
(ii) The structure of the resecuritization transaction, including
the cashflow allocation and the loss allocation amongst the bonds issued.
Because the ratings on the notes in the resecuritization are linked to
the ratings on the underlying securities and their mortgage pool performance,
any rating action on the underlying securities may trigger a further review
of the ratings on the notes in the resecuritization.
Other methodologies and factors that may have been considered in the process
of rating this issuer can be found in the Rating Methodologies sub-directory
on Moody's website.
Further information on Moody's analysis of this transaction is available
on www.moodys.com. 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.
Complete Rating Actions are as follows:
Issuer: BCAP 2006-RR1
Cl. PA, Aaa Placed Under Review for Possible Downgrade;
previously on Jan 4, 2007 Assigned Aaa
Cl. PB, Aa1 Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to Aa1
Cl. PC, Aa2 Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to Aa2
Cl. PD, Aa3 Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to Aa3
Cl. PE, Aa3 Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to Aa3
Cl. TA, Aa2 Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to Aa2
Cl. WZ, Aa2 Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to Aa2
Cl. CF, Aa2 Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to Aa2
Cl. CS, Aa2 Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to Aa2
Issuer: Bear Stearns ARM Trust 2006-3
Cl. A-1, A3 Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to A3
Cl. A-2, B2 Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to B2
Issuer: Bear Stearns Structured Products Inc. Trust 2007-R6
Cl. II-A-1, Caa1 Placed Under Review for Possible
Downgrade; previously on May 29, 2009 Downgraded to Caa1
Issuer: CSMC Resecuritization Trust 2006-1R
Cl. 1-A-1, Baa1 Placed Under Review for Possible
Downgrade; previously on Jun 22, 2009 Downgraded to Baa1
Cl. 1-A-2, Baa1 Placed Under Review for Possible
Downgrade; previously on Jun 22, 2009 Downgraded to Baa1
Issuer: CSMC Series 2008-3R
Cl. 2-A-1, Aa3 Placed Under Review for Possible
Downgrade; previously on Jun 2, 2009 Downgraded to Aa3
Issuer: Citigroup Mortgage Loan Trust Inc. Re-REMIC
Trust Certificates, Series 2006-8
Cl. A-1, Baa1 Placed Under Review for Possible Downgrade;
previously on Jul 15, 2009 Downgraded to Baa1
Cl. A-2, Baa1 Placed Under Review for Possible Downgrade;
previously on Jul 15, 2009 Downgraded to Baa1
Cl. A-3, Baa1 Placed Under Review for Possible Downgrade;
previously on Jul 15, 2009 Downgraded to Baa1
Cl. A-4, Baa1 Placed Under Review for Possible Downgrade;
previously on Jul 15, 2009 Downgraded to Baa1
Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC
Trust Certificates, Series 2005-WF1
Cl. I-A-2, B3 Placed Under Review for Possible
Downgrade; previously on Jul 13, 2009 Downgraded to B3
Cl. I-A-3, Caa1 Placed Under Review for Possible
Downgrade; previously on Jul 13, 2009 Downgraded to Caa1
Cl. I-A-4, A3 Placed Under Review for Possible
Downgrade; previously on Jul 13, 2009 Downgraded to A3
Cl. I-A-X, A3 Placed Under Review for Possible
Downgrade; previously on Jul 13, 2009 Downgraded to A3
Cl. II-A-1, B3 Placed Under Review for Possible
Downgrade; previously on Jul 13, 2009 Downgraded to B3
Issuer: GSMSC Pass-Through Trust 2008-2R
Cl. 1A-1, B3 Placed Under Review for Possible Downgrade;
previously on Jul 15, 2009 Downgraded to B3
Cl. 2A-1, B3 Placed Under Review for Possible Downgrade;
previously on Jul 15, 2009 Downgraded to B3
Issuer: J.P. Morgan Mortgage Trust, Series 2008-R1
Cl. 1-A-1, B3 Placed Under Review for Possible
Downgrade; previously on Jun 22, 2009 Downgraded to B3
Issuer: J.P. Morgan Mortgage Trust, Series 2008-R3
Cl. 1-A-1, B1 Placed Under Review for Possible
Downgrade; previously on Jul 22, 2009 Downgraded to B1
Issuer: J.P. Morgan Mortgage Trust, Series 2008-R4
Cl. 1-A-1, B2 Placed Under Review for Possible
Downgrade; previously on Jul 15, 2009 Downgraded to B2
Cl. 1-A-2, Caa2 Placed Under Review for Possible
Downgrade; previously on Jul 15, 2009 Downgraded to Caa2
Cl. 2-A-1, B3 Placed Under Review for Possible
Downgrade; previously on Jul 15, 2009 Downgraded to B3
Issuer: MASTR Adjustable Rate Mortgages Trust 2005-4
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on Jun 27, 2005 Assigned Aaa
Cl. A-2, Aa2 Placed Under Review for Possible Downgrade;
previously on Jul 30, 2009 Downgraded to Aa2
Cl. A-3, Ba3 Placed Under Review for Possible Downgrade;
previously on Jul 30, 2009 Downgraded to Ba3
Cl. A-X, Aaa Placed Under Review for Possible Downgrade;
previously on Jun 27, 2005 Assigned Aaa
Issuer: Residential Mortgage Securities Funding 2008-3,
Ltd.
Notes, Baa3 Placed Under Review for Possible Downgrade; previously
on Jul 13, 2009 Downgraded to Baa3
Issuer: Residential Mortgage Securities Funding 2008-6,
Ltd.
The Notes, Ba2 Placed Under Review for Possible Downgrade;
previously on Jun 22, 2009 Downgraded to Ba2
Issuer: Residential Mortgage Securities Funding 2008-7,
Ltd.
Secured Floating Rate Notes, Caa1 Placed Under Review for Possible
Downgrade; previously on Jun 22, 2009 Downgraded to Caa1
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF189541
For more information please see www.moodys.com.
New York
Amita Shrivastava
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Deepika Kothari
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's places on downgrade watch 38 tranches from 2005 - 2008 RMBS resecuritization deals