New York, April 21, 2011 -- Moody's Investors Service has downgraded the ratings of 75 tranches and
confirmed the ratings of 20 tranches from eight synthetic jumbo deals
issued by RESI.
RATINGS RATIONALE
These synthetic transactions provide the owner of a sizable pool of mortgages
(the "Protection Buyer") credit protection through a credit default swap
with the issuer (the "Protection Seller") of the notes. Through
this agreement, the Protection Buyer pays a fee in return for the
transfer of a portion of the reference portfolio credit risk.
Investors in the notes have an interest in the holdings of the issuer,
which include highly rated investment instruments, a forward delivery
agreement and fee collections on the agreement with the Protection Buyer.
Investors are exposed to losses from the reference portfolio but benefit
only indirectly from cash flows from these assets. Depending on
the class of notes held, investors have credit protection from subordination.
The reference portfolios of these transactions include prime conforming
and nonconforming fixed-rate and adjustable-rate mortgages
purchased from various originators. The actions are a result of
deteriorating performance of prime jumbo pools securitized before 2005.
Although most of these pools have paid down significantly, the remaining
loans are affected by the housing and macroeconomic conditions that remain
under duress.
The principal methodology used in these ratings is described in the Monitoring
and Performance Review section in "Moody's Approach to Rating US
Residential Mortgage-Backed Securities" published in December 2008.
Other methodologies used to estimate losses on the pools are described
under "Pre-2005 US RMBS Surveillance Methodology" published in
January 2011, which accounts for the deteriorating performance and
outlook.
To assess the ratings on the bonds,Moody's considered the level
of credit enhancement available for each tranche relative to updated pool-level
loss expectations. Within the senior note waterfalls, Moody's
took into account credit enhancement provided by seniority, cross-collateralization,
excess spread, principal payment waterfall, and other structural
features .
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment levels remain high, and
weakness persists in the housing market. 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.
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: RESI Finance Limited Partnership 2003-A/RESI Finance
DE Corporation 2003-A, Series 2003-A
Cl. B3, Downgraded to Aa1 (sf); previously on Aug 1,
2006 Upgraded to Aaa (sf)
Cl. B4, Downgraded to Aa2 (sf); previously on Aug 1,
2006 Upgraded to Aaa (sf)
Cl. B5, Downgraded to A1 (sf); previously on Apr 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B6, Downgraded to A2 (sf); previously on Apr 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B7, Downgraded to A3 (sf); previously on Apr 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B8, Downgraded to Baa1 (sf); previously on Apr 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B9, Downgraded to Baa2 (sf); previously on Apr 13,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. B10, Downgraded to Ba1 (sf); previously on Aug 1,
2006 Upgraded to A1 (sf)
Issuer: RESI Finance Limited Partnership 2003-B
Cl. B1, Downgraded to Aa1 (sf); previously on Apr 11,
2006 Assigned Aaa (sf)
Cl. B2, Downgraded to Aa2 (sf); previously on Apr 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B3, Downgraded to A2 (sf); previously on Apr 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B4, Downgraded to A3 (sf); previously on Apr 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B5, Downgraded to Baa2 (sf); previously on Apr 13,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. B6, Downgraded to Baa3 (sf); previously on Apr 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. B7, Downgraded to Ba2 (sf); previously on Nov 14,
2007 Upgraded to A2 (sf)
Cl. B8, Downgraded to Ba3 (sf); previously on Nov 14,
2007 Upgraded to A3 (sf)
Cl. B9, Downgraded to B2 (sf); previously on Nov 14,
2007 Upgraded to Baa2 (sf)
Cl. B10, Downgraded to Caa3 (sf); previously on Nov
14, 2007 Upgraded to Baa3 (sf)
Issuer: RESI Finance Limited Partnership 2003-C/RESI Finance
DE Corporation 2003-C, Series 2003-C
Class A1 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A2 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A3 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A4 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A5 Notes, Downgraded to Aa2 (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B1, Downgraded to A2 (sf); previously on Dec 14,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. B2, Downgraded to A3 (sf); previously on Dec 14,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. B3, Downgraded to Ba1 (sf); previously on Dec 14,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. B4, Downgraded to Ba3 (sf); previously on Dec 14,
2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B5, Downgraded to B2 (sf); previously on Dec 14,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B6, Downgraded to Caa3 (sf); previously on Dec 14,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B7, Downgraded to Ca (sf); previously on Dec 14,
2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. B8, Downgraded to C (sf); previously on Dec 14,
2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. B9, Downgraded to C (sf); previously on Dec 14,
2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. B10, Downgraded to C (sf); previously on Dec 14,
2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: RESI Finance Limited Partnership 2003-CB1/RESI Finance
DE Corporation 2003-CB1
Cl. B1, Downgraded to Aa1 (sf); previously on Apr 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B2, Downgraded to Aa2 (sf); previously on Apr 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B3, Downgraded to A1 (sf); previously on Apr 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. B4, Downgraded to A2 (sf); previously on Apr 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. B5, Downgraded to Baa1 (sf); previously on Apr 13,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. B6, Downgraded to Baa2 (sf); previously on Apr 13,
2010 A3 (sf) Placed Under Review for Possible Downgrade
Issuer: RESI Finance Limited Partnership 2003-D RESI Finance
Limited Partnership 2003-D/RESI Finance DE Corporation 2003-D
Class A1 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A2 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A3 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A4 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A5 Notes, Downgraded to Aa2 (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B1, Downgraded to A2 (sf); previously on Dec 14,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. B2, Downgraded to A3 (sf); previously on Dec 14,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. B3, Downgraded to Ba1 (sf); previously on Dec 14,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. B4, Downgraded to Ba2 (sf); previously on Dec 14,
2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B5, Downgraded to B2 (sf); previously on Dec 14,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B6, Downgraded to Caa3 (sf); previously on Dec 14,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B7, Downgraded to Ca (sf); previously on Dec 14,
2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. B8, Downgraded to C (sf); previously on Dec 14,
2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. B9, Downgraded to C (sf); previously on Dec 14,
2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. B10, Downgraded to C (sf); previously on Dec 14,
2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: RESI Finance Limited Partnership 2004-A RESI Finance
Limited Partnership 2004-A/RESI Finance DE Corporation 2004-A
Class A1 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A2 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A3 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A4 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A5 Notes, Downgraded to A1 (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B1, Downgraded to Baa1 (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B2, Downgraded to Baa3 (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B3, Downgraded to B1 (sf); previously on Dec 14,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. B4, Downgraded to B2 (sf); previously on Dec 14,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. B5, Downgraded to Ca (sf); previously on Dec 14,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. B6, Downgraded to C (sf); previously on Dec 14,
2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B7, Downgraded to C (sf); previously on Dec 14,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B8, Downgraded to C (sf); previously on Dec 14,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B9, Downgraded to C (sf); previously on Dec 14,
2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. B10, Downgraded to C (sf); previously on Dec 14,
2010 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: RESI Finance Limited Partnership 2004-B RESI Finance
Limited Partnership 2004-B/RESI Finance DE Corporation 2004-B
Class A1 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A2 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A3 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A4 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A5 Notes, Downgraded to A2 (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B1, Downgraded to Baa2 (sf); previously on Dec 14,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. B2, Downgraded to Ba1 (sf); previously on Dec 14,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. B3, Downgraded to B2 (sf); previously on Dec 14,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. B4, Downgraded to Ca (sf); previously on Dec 14,
2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B5, Downgraded to C (sf); previously on Dec 14,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B6, Downgraded to C (sf); previously on Dec 14,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B7, Downgraded to C (sf); previously on Dec 14,
2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. B8, Downgraded to C (sf); previously on Dec 14,
2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. B9, Downgraded to C (sf); previously on Dec 14,
2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. B10, Downgraded to C (sf); previously on Dec 14,
2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: RESI Finance Limited Partnership 2004-C RESI Finance
Limited Partnership 2004-C/RESI Finance DE Corporation 2004-C
Class A1 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A2 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A3 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A4 Notes, Confirmed at Aaa (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class A5 Notes, Downgraded to Aa3 (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B1, Downgraded to A3 (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B2, Downgraded to Baa2 (sf); previously on Dec 14,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B3, Downgraded to Ba3 (sf); previously on Dec 14,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. B4, Downgraded to B1 (sf); previously on Dec 14,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. B5, Downgraded to Caa3 (sf); previously on Dec 14,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. B6, Downgraded to Ca (sf); previously on Dec 14,
2010 A3 (sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243904
A list of updated estimated pool losses and sensitivity analysis is being
posted on an ongoing basis for the duration of this review period and
may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269
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, 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
Bulat Mustafin
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Deepika Kothari
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 takes action on $12.4 billion of Synthetic Jumbo RMBS issued by RESI between 2003 and 2004