New York, February 12, 2018 -- Moody's Investors Service (Moody's) has confirmed the ratings of 24 Interest-Only
(IO) bonds, upgraded the rating of one IO bond and downgraded the
rating of one IO bond from 24 US residential mortgage backed securitization
(RMBS) transactions, issued by multiple issuers prior to 2009.
Of these, 2 bonds were among those placed on review on 15 August
2017 in connection with a correction of errors in our earlier analysis,
and 24 bonds were among those placed on review on 29 August 2017 in connection
with a reassessment of our internal linkage of these IO bonds to their
reference bond(s) or pool(s).
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF467652
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected credit rating,
as well as factors driving each rating action and the methodologies used.
RATINGS RATIONALE
Today's action resolves the review of 2 IO bonds which were among those
placed on review in connection with data input errors in prior analyses
and 24 IO bonds which were among those placed on review for a reassessment
of the IO bond linkages captured in our internal database, prompted
by the identification of errors in that database. The factors that
Moody's considers in rating an IO bond depend on the type of referenced
securities or assets to which the IO bond is linked.
For the 2 IO bonds that had data input errors in prior analysis,
the data inputs were corrected as part of the analysis for this rating
action.
We have reassessed the linkage for all of the 26 IO bonds in today's rating
action, and determined that their prior linkages were incorrect.
The linkages of all 26 IO bonds have been updated.
Of the 26 IO bonds in today's action, 4 IO bonds reference
multiple bonds and 22 IO bonds reference a portion of the aggregate collateral
pool(s) (a "sub-pool"). For 21 of the 22 IO bonds referencing
sub-pools, the sub-pool amounts to 75% or more
of the entire collateral pool; as a result, we have treated
these IO bonds as linked to the entire pool.
The remaining IO bond, Cl. AX from Structured Asset Securities
Corp Trust 2005-17, references two sub-pools.
One sub-pool amounts to 75% or more of the entire collateral
pool, while the other sub-pool amounts to less than 75%
of the entire collateral pool. The realized losses to date (%
of original balance) of the sub-pools backing this IO bond are
comparable to that of the entire collateral pools. As a result,
we have also treated this IO bond as linked to the entire collateral pool.
Today's rating actions on the 26 IO bonds reflect the linkage reassessment,
the corrections to the linkages, and updated performance of the
underlying collateral and bonds.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF467652
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies, for each affected credit
rating, Moody's disclosures on the following items:
-Principal Methodologies
Factors that can lead to an upgrade or downgrade of the ratings:
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher realized
and expected loss due to an overall improvement or decline in the credit
quality of the reference bonds and/or pools.
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.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead rating analyst and the Moody's legal entity that has issued
the ratings.
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.
Soumya Vasudevan
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Ola Hannoun-Costa
VP - Sr Credit Officer/Manager
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
