NOTE: On December 14, 2016, the press release was corrected as follows: In the second sentence of the sixth paragraph of the Ratings Rationale section, the publication date of the methodology was changed to February 2014. Revised release follows.
New York, December 09, 2016 -- Moody's Investors Service has upgraded the ratings of ten tranches and
downgraded the ratings of thirty-one tranches synthetically linked
to Prime Jumbo RMBS loans originated by miscellaneous originators via
a credit default swap, and upgraded one tranche and downgraded one
tranche backed by resecuritized synthetic RMBS.
Complete rating actions are as follows:
Issuer: Real Estate Synthetic Investment Securities, Series
2005-B
Cl. A4, Upgraded to Aaa (sf); previously on Jun 27,
2013 Confirmed at Aa3 (sf)
Issuer: RESI Finance Limited Partnership 2003-A/RESI Finance
DE Corporation 2003-A, Series 2003-A
Cl. B6, Upgraded to Baa1 (sf); previously on Nov 12,
2012 Downgraded to Baa2 (sf)
Cl. B7, Upgraded to Baa2 (sf); previously on Nov 12,
2012 Downgraded to Baa3 (sf)
Cl. B8, Upgraded to Baa2 (sf); previously on Nov 12,
2012 Downgraded to Ba1 (sf)
Cl. B9, Upgraded to Baa2 (sf); previously on Nov 12,
2012 Downgraded to Ba2 (sf)
Cl. B10, Upgraded to Baa2 (sf); previously on Nov 12,
2012 Downgraded to Ba3 (sf)
Issuer: RESI Finance Limited Partnership 2003-B
Cl. B1, Downgraded to Baa3 (sf); previously on Jun 27,
2013 Downgraded to Baa1 (sf)
Cl. B2, Downgraded to Ba2 (sf); previously on Jun 27,
2013 Downgraded to Baa1 (sf)
Cl. B3, Downgraded to Ba3 (sf); previously on Dec 4,
2012 Downgraded to Baa2 (sf)
Cl. B4, Downgraded to B1 (sf); previously on Dec 4,
2012 Downgraded to Baa3 (sf)
Cl. B5, Downgraded to B2 (sf); previously on Dec 4,
2012 Downgraded to Ba2 (sf)
Cl. B6, Downgraded to B3 (sf); previously on Dec 4,
2012 Downgraded to Ba3 (sf)
Cl. B7, Downgraded to Caa1 (sf); previously on Dec 4,
2012 Downgraded to B2 (sf)
Cl. B8, Downgraded to Caa2 (sf); previously on Dec 4,
2012 Downgraded to Caa1 (sf)
Cl. B9, Downgraded to Caa3 (sf); previously on Dec 4,
2012 Downgraded to Caa2 (sf)
Issuer: RESI Finance Limited Partnership 2003-C/RESI Finance
DE Corporation 2003-C, Series 2003-C
Cl. B1, Downgraded to Ba1 (sf); previously on Jun 27,
2013 Downgraded to Baa1 (sf)
Cl. B2, Downgraded to Ba3 (sf); previously on Jun 27,
2013 Downgraded to Baa1 (sf)
Cl. B3, Downgraded to B2 (sf); previously on Jun 27,
2013 Downgraded to Ba3 (sf)
Cl. B4, Downgraded to Caa1 (sf); previously on Jun 27,
2013 Downgraded to B2 (sf)
Cl. B5, Downgraded to Caa2 (sf); previously on Jun 27,
2013 Downgraded to Caa1 (sf)
Issuer: RESI Finance Limited Partnership 2003-CB1/RESI Finance
DE Corporation 2003-CB1
Cl. B2, Downgraded to Baa2 (sf); previously on Jun 27,
2013 Downgraded to Baa1 (sf)
Cl. B3, Downgraded to Ba2 (sf); previously on Jun 27,
2013 Downgraded to Baa1 (sf)
Cl. B4, Downgraded to Ba3 (sf); previously on Jun 27,
2013 Downgraded to Baa1 (sf)
Cl. B5, Downgraded to B1 (sf); previously on Jun 27,
2013 Downgraded to Baa2 (sf)
Cl. B6, Downgraded to Caa1 (sf); previously on Jun 27,
2013 Downgraded to Ba1 (sf)
Issuer: RESI Finance Limited Partnership 2003-D RESI Finance
Limited Partnership 2003-D/RESI Finance DE Corporation 2003-D
Cl. B1, Downgraded to Ba2 (sf); previously on Jun 5,
2013 Downgraded to Baa1 (sf)
Cl. B2, Downgraded to B1 (sf); previously on Jun 27,
2013 Downgraded to Ba1 (sf)
Cl. B3, Downgraded to Caa1 (sf); previously on Jun 27,
2013 Downgraded to B2 (sf)
Issuer: RESI Finance Limited Partnership 2004-A RESI Finance
Limited Partnership 2004-A/RESI Finance DE Corporation 2004-A
Cl. B1, Downgraded to Ba2 (sf); previously on Feb 15,
2013 Downgraded to Baa3 (sf)
Cl. B2, Downgraded to B1 (sf); previously on Feb 15,
2013 Downgraded to Ba2 (sf)
Issuer: RESI Finance Limited Partnership 2004-B RESI Finance
Limited Partnership 2004-B/RESI Finance DE Corporation 2004-B
Cl. A5, Downgraded to Baa2 (sf); previously on Dec 4,
2012 Downgraded to Baa1 (sf)
Cl. B1, Downgraded to B1 (sf); previously on Dec 4,
2012 Downgraded to Ba1 (sf)
Cl. B2, Downgraded to Caa1 (sf); previously on Dec 4,
2012 Downgraded to Ba3 (sf)
Issuer: RESI Finance Limited Partnership 2004-C RESI Finance
Limited Partnership 2004-C/RESI Finance DE Corporation 2004-C
Cl. B1, Downgraded to Ba3 (sf); previously on Apr 10,
2012 Downgraded to Ba2 (sf)
Cl. B2, Downgraded to B3 (sf); previously on Apr 10,
2012 Downgraded to B2 (sf)
Issuer: RESI Finance Limited Partnership 2005-A
Class A4 Notes, Upgraded to Aaa (sf); previously on Jun 27,
2013 Confirmed at Aa1 (sf)
Class A5 Notes, Downgraded to Ba2 (sf); previously on Jul 21,
2011 Downgraded to Baa2 (sf)
Issuer: RESI Finance Limited Partnership 2005-C
Cl. A-4, Upgraded to Aaa (sf); previously on
Jun 27, 2013 Confirmed at A1 (sf)
Issuer: SASI Finance Limited Partnership 2006-A, Sovereign
Asset Synthetic Investment Securities, Series 2006-A
Cl. A, Upgraded to Ba2 (sf); previously on Jul 18,
2011 Downgraded to B2 (sf)
Issuer: Resix Finance Limited Credit-Linked Notes,
Series 2003-A
Cl. B10, Upgraded to Baa2 (sf); previously on Dec 4,
2012 Downgraded to Ba3 (sf)
Issuer: Resix Finance Limited Credit-Linked Notes,
Series 2003-B
Cl. B9, Downgraded to Caa3 (sf); previously on Dec 4,
2012 Downgraded to Caa2 (sf)
RATINGS RATIONALE
The rating actions are the result of a review of the performance of the
underlying pools using recently developed cash flow models which considered
the timing of cash flows, principal amortization of the bonds,
and build-up or reduction in credit enhancement available to the
bonds, and reflect Moody's updated loss expectations on these
bonds. These transactions were previously analyzed using an alternative,
static approach which compared expected losses to enhancement available
to the bonds. Both the static approach and the cash flow approach
are described in more detail in "US RMBS Surveillance Methodology"
published in November 2013.
Due to a combination of features in these prime jumbo RMBS transactions
-- such as shifting interest waterfalls, multiple outstanding
subordinate bonds, hyper-tranching and pools with substantial
remaining loan counts -- use of the cash flow modeling led to rating
changes.
The rating upgrades for RESI 2003-A also reflect the increase in
credit enhancement available to the bonds owing to the additional support
from tranche B-12 which does not receive principal distributions
until all other bonds have been reduced to zero. Similarly,
the rating upgrades on tranches from RESI 2005-A, RESI 2005-B,
RESI 2005-C, and SASI 2006-A reflect a buildup in
credit enhancement available to those bonds. In accordance with
the Moody's "US RMBS Surveillance Methodology" with
regards to shifting interest structures, all tranches upgraded to
Aaa have passed the shifting interest stress test whereby our projection
of losses was increased and the timing of future defaults was delayed
in order to assess the vulnerability of these bonds to tail risk.
The rating downgrades are a result of the changes which incorporate the
timing of cash flows and tail risk to the bonds. In addition,
the ratings downgrades on tranches from RESI 2003-CB1 RESI 2003-D,
RESI 2004-A, RESI 2004-B, and RESI 2005-A
take into account the declining credit enhancement available to those
bonds.
The rating actions on the resecuritized bonds are a direct result of actions
taken on the underlying securities.
For all transactions except Resix Finance Limited Credit-Linked
Notes, Series 2003-A and Resix Finance Limited Credit-Linked
Notes, Series 2003-B, the principal methodology used
in these ratings was "US RMBS Surveillance Methodology" published
in November 2013. For Resix Finance Limited Credit-Linked
Notes, Series 2003-A and Resix Finance Limited Credit-Linked
Notes, Series 2003-B, the principal methodology used
in these ratings was "Moody's Approach to Rating Resecuritizations"
published in February 2014. Please see the Rating Methodologies
page on www.moodys.com for a copy of these methodologies.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.6% in November 2016 from 5.0%
in November 2015. Moody's forecasts an unemployment central range
of 4.5% to 5.5% for the 2016 year.
Deviations from this central scenario could lead to rating actions in
the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing transfers
or other policy or regulatory change can impact the performance of these
transactions.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF443815
A list of updated estimated pool losses and bond recoveries 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
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
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 credit rating action on the support provider and in relation to
each particular credit 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 credit rating action,
and whose ratings may change as a result of this credit 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.
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.
Michael Gallagher
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
Youriy Koudinov
VP - Senior Credit Officer
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