New York, December 30, 2010 -- Moody's Investors Service has published the ratings of 9 tranches from
9 RMBS transactions, backed by option arm loans, issued by
World Savings.
RATINGS RATIONALE
The collateral backing these transactions consists primarily of first-lien,
adjustable-rate, negative amortization, Alt-A
residential mortgage loans.
In these transactions, Wells Fargo Bank, NA, the Master
Servicer, has the obligation to repurchase loans that are more than
ninety days past due. Due to the repurchase obligation, the
ratings on these securities are the higher of Wells Fargo Bank's
long term issuer rating and the rating on the security based on the intrinsic
credit strength of the underlying mortgage pool.
The principal methodology used in determining the intrinsic credit ratings
of these securities was "Option ARM RMBS Loss Projection Update:
April 2010" rating methodology published in April 2010. As delinquent
loans in the underlying pool have been bought back by Wells Fargo in the
past year, Moody's reviewed the delinquent loans repurchase
rate in the past year to determine possible future default rates on the
remaining pools. The expected losses on these pools are without
regards to Wells Fargo loans repurchasing agreement.
Other methodologies and factors that may have been considered in the process
of rating this issuer can also be found 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 late
2011, accompanied by continued stress in national employment levels
through that timeframe.
If expected losses on the each of the collateral pools were to increase
by 10%, there will be no change in the ratings listed below.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Complete rating actions are as follows:
Issuer: World Savings Mortgage Pass-Through Certificates,
Series 28 Trust
Pool current expected loss: 4% of original balance
Cl. A, current rating Aa2 (sf)
Issuer: World Savings Mortgage Pass-Through Certificates,
Series 30
Pool current expected loss: 5% of original balance
Cl. A, current rating Aa2 (sf)
Issuer: World Savings Mortgage Pass-Through Certificates,
Series 31 Trust
Pool current expected loss: 8% of original balance
Cl. A, current rating Aa2 (sf)
Issuer: World Savings REMIC 23
Pool current expected loss: 1% of original balance
Cl. A, current rating Aaa (sf)
Issuer: World Savings REMIC 24
Pool current expected loss: 1% of original balance
Cl. A, current rating Aaa (sf)
Issuer: World Savings REMIC 25
Pool current expected loss: 3% of original balance
Cl. A, current rating Aa2 (sf)
Issuer: World Savings REMIC 26
Pool current expected loss: 2% of original balance
Cl. A, current rating Aa2 (sf)
Issuer: World Savings REMIC 27
Pool current expected loss: 2% of original balance
Cl. A, current rating Aa1 (sf)
Issuer: World Savings REMIC 29
Pool current expected loss: 4% of original balance
Cl. A, current rating Aa2 (sf)
A list of these actions including CUSIP identifiers may be found at:
Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF230509
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, and 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
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
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
Ola Hannoun-Costa
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Amita Shrivastava
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 publishes the ratings of $4.5 billion Option ARM RMBS issued by World Savings