New York, June 16, 2015 -- Moody's Investors Service has downgraded the ratings of eight tranches
from two transactions backed by Alt-A RMBS, issued by multiple
issuers.
Complete rating actions are as follows:
Issuer: Morgan Stanley Mortgage Resecuritization Trust 2008-1R
Cl. A1, Downgraded to Ca (sf); previously on Dec 20,
2013 Downgraded to Caa3 (sf)
Cl. A3, Downgraded to Ca (sf); previously on Dec 20,
2013 Downgraded to Caa3 (sf)
Cl. A6, Downgraded to Ca (sf); previously on Mar 28,
2011 Downgraded to Caa3 (sf)
Cl. A7, Downgraded to Ca (sf); previously on Dec 20,
2013 Downgraded to Caa3 (sf)
Cl. A9, Downgraded to Ca (sf); previously on Dec 20,
2013 Downgraded to Caa3 (sf)
Cl. A11, Downgraded to Ca (sf); previously on Mar 28,
2011 Downgraded to Caa3 (sf)
Cl. A13, Downgraded to Ca (sf); previously on Mar 28,
2011 Downgraded to Caa3 (sf)
Issuer: PRIME Mortgage Trust 2006-DR1
Cl. II-X, Downgraded to B3 (sf); previously on
Feb 22, 2012 Upgraded to B2 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the underlying pools
and reflect Moody's updated loss expectation on the pools.
Today's rating actions on Morgan Stanley Mortgage Resecuritization
Trust 2008-1R are due to the weaker performance and depletion of
enhancement available to the underlying security backing this resecuritization,
Class 7-A-1 from transaction CSMC Mortgage-Backed
Trust Series 2006-9. The underlying security is backed by
Alt-A RMBS loans.
Today's rating action on Prime 2006-DR1 Class II-X
reflects the correction of a prior error. In the February 22,
2012 rating action, this bond was erroneously linked to an unrelated
group, and thus its rating was not capped to the rating of the highest
rated bond of its related group. This error has now been corrected,
and today's rating action reflects this change.
The principal methodology used in rating Morgan Stanley Mortgage Resecuritization
Trust 2008-1R was "Moody's Approach to Rating Resecuritizations"
published in February 2014. The principal methodology used in rating
PRIME Mortgage Trust 2006-DR1 was "US RMBS Surveillance Methodology"
published in November 2013. Please see the Credit Policy page on
www.moodys.com for a copy of these methodologies.
Factors that would lead to an upgrade or downgrade of the rating:
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 5.5% in May 2015 from 6.3%
in May 2014. Moody's forecasts an unemployment central range of
5% to 6% for the 2015 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 2015. 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: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF409898
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_SF237256
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 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.
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.
Yasmine Grossenbacher
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
Moody's takes action on $20.2 Million of RMBS issued in 2006 and 2008