New York, July 15, 2011 -- Moody's Investors Service has downgraded the ratings of 55 tranches,
upgraded the ratings of 27 tranches, confirmed the ratings of 30
tranches from 30 RMBS transactions, backed by Subprime loans,
issued by Residential Asset Mortgage Products (RAMP).
RATINGS RATIONALE
The collateral backing these transactions consists primarily of first-lien,
Subprime residential mortgage loans. The actions are a result of
the recent performance review of Subprime pools and reflect Moody's updated
loss expectations on Subprime pools issued from 2005 to 2008.
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 factors used in these ratings are described in "2005 -- 2008
US RMBS Surveillance Methodology" published in July 2011, which
accounts for the updated performance and outlook. Please see the
Credit Policy page on www.moodys.com for a copy of these
methodologies.
To assess the rating implications of the updated loss levels on Subprime
RMBS, each individual pool was run through a variety of scenarios
in the Structured Finance Workstation® (SFW), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the different
pools and the structural features of the transaction including priorities
of payment distribution among the different tranches, average life
of the tranches, current balances of the tranches and future cash
flows under expected and stressed scenarios. The scenarios include
ninety-six different combinations comprising of six loss levels,
four loss timing curves and four prepayment curves. The volatility
in losses experienced by a tranche due to extended foreclosure timelines
by servicers is taken into consideration when assigning ratings.
In today's rating action, some tranches were upgraded.
The upgrades are a result of improved performance and/or certain structural
features. In certain transactions there are structural features
whereby the tranches are receiving more principal payments than anticipated,
supporting the upgrades.
Certain tranches in transactions serviced by GMAC Mortgage, LLC's
(GMACM), were placed on review for possible downgrade in 2010 due
to two concerns regarding the servicer's practices. Firstly,
GMACM used shared custodial bank accounts for multiple RMBS transactions
and secondly, GMACM had to suspend foreclosures in 25 states due
to irregularities in its foreclosure processes. As GMACM is a subsidiary
of C rated Residential Capital, LLC (RFC), in case of a default,
losses could have been absorbed by the trusts. Since the tranches
were placed on review, GMACM has eliminated the use of a common
bank account across RMBS deals and set up individual accounts for each
transaction. Also, GMACM has reviewed and revamped its foreclosure
process, and has lifted its suspension of foreclosure sales and
evictions on a case by case basis. Today's ratings actions are
based on recent pool performance. Moody's is not keeping these
bond under further review due to the two issues highlighted above as they
have been resolved. However, the state attorneys general
are engaged in ongoing discussions with several servicers regarding loan
modifications and foreclosure procedures. The ultimate settlement
of those discussions may entail fines, loan forgiveness, cash
payments to borrowers or other features that could reduce future cash
flows to RMBS investors. Moody's will continue to monitor the outcome
and assess future credit implications on the ratings as the situation
evolves.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment levels remain high, and
weakness persists in the housing market. Moody's now projects
house price index to reach a bottom in the first quarter of 2012,
with a 2% remaining decline between the first quarter of 2011 and
2012, and unemployment rate to start declining by fourth quarter
of 2011.
Complete rating actions are as follows:
Issuer: RAMP Series 2005-RZ1 Trust
Cl. A-3, Confirmed at Aaa (sf); previously on
Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Aa2 (sf); previously on
Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to A2 (sf); previously on
Sep 27, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to A3 (sf); previously on
Sep 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Baa3 (sf); previously
on Sep 27, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Ba2 (sf); previously on
Sep 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to B2 (sf); previously on
Sep 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-7, Downgraded to Caa2 (sf); previously
on Sep 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-8, Downgraded to C (sf); previously on
Sep 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M-9, Downgraded to C (sf); previously on
Sep 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-RZ2 Trust
Cl. A-II, Confirmed at Aaa (sf); previously on
Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Confirmed at Aa1 (sf); previously on
Sep 27, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to A2 (sf); previously on
Sep 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Baa3 (sf); previously
on Sep 27, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to B2 (sf); previously on
Sep 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C (sf); previously on
Sep 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C (sf); previously on
Apr 30, 2009 Downgraded to Caa2 (sf)
Issuer: RAMP Series 2005-RZ3 Trust
Cl. A-2, Downgraded to A1 (sf); previously on
Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to A2 (sf); previously on
Sep 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ba1 (sf); previously on
Sep 27, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to B2 (sf); previously on
Sep 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Sep 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C (sf); previously on
Sep 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C (sf); previously on
Apr 30, 2009 Downgraded to Caa2 (sf)
Issuer: RAMP Series 2005-RZ4 Trust
Cl. A-2, Downgraded to A1 (sf); previously on
Sep 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to A2 (sf); previously on
Sep 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ba2 (sf); previously on
Sep 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to B3 (sf); previously on
Sep 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C (sf); previously on
Sep 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C (sf); previously on
Apr 30, 2009 Downgraded to Caa3 (sf)
Issuer: RAMP Series 2006-RZ1 Trust
Cl. A-2, Downgraded to A1 (sf); previously on
Sep 27, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to A2 (sf); previously on
Sep 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ba2 (sf); previously on
Sep 27, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa2 (sf); previously
on Sep 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C (sf); previously on
Sep 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C (sf); previously on
Sep 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C (sf); previously on
Apr 30, 2009 Downgraded to Caa2 (sf)
Issuer: RAMP Series 2006-RZ2 Trust
Cl. A-2, Downgraded to B3 (sf); previously on
Sep 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Caa2 (sf); previously
on Sep 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C (sf); previously on
Apr 30, 2009 Downgraded to Caa2 (sf)
Issuer: RAMP Series 2006-RZ3 Trust
Cl. A-2, Downgraded to Ba1 (sf); previously on
Sep 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Ba2 (sf); previously on
Sep 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ca (sf); previously on
Sep 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on
Apr 30, 2009 Downgraded to Ca (sf)
Issuer: RAMP Series 2006-RZ4 Trust
Cl. A-2, Downgraded to B1 (sf); previously on
Sep 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to B2 (sf); previously on
Sep 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C (sf); previously on
Sep 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-RZ5 Trust
Cl. A-2, Downgraded to B1 (sf); previously on
Sep 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to B2 (sf); previously on
Sep 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C (sf); previously on
Apr 30, 2009 Downgraded to Caa2 (sf)
Issuer: RAMP Series 2007-RZ1 Trust
Cl. A-2, Downgraded to Caa2 (sf); previously
on Sep 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Caa2 (sf); previously
on Sep 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1S, Downgraded to C (sf); previously on
Apr 30, 2009 Downgraded to Caa2 (sf)
Issuer: RAMP Series 2005-EFC1 Trust
Cl. M-1, Confirmed at Aa1 (sf); previously on
Sep 27, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to Baa1 (sf); previously on
Sep 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Upgraded to B1 (sf); previously on Apr
6, 2010 Downgraded to Ca (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on
Apr 6, 2010 Downgraded to C (sf)
Issuer: RAMP Series 2005-EFC2 Trust
Cl. M-1, Confirmed at Aa1 (sf); previously on
Sep 27, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to A1 (sf); previously on Sep
27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Upgraded to Ba2 (sf); previously on
Apr 6, 2010 Downgraded to Caa1 (sf)
Cl. M-4, Upgraded to B3 (sf); previously on Apr
6, 2010 Downgraded to C (sf)
Cl. M-5, Upgraded to Caa2 (sf); previously on
Apr 6, 2010 Downgraded to C (sf)
Issuer: RAMP Series 2005-EFC3 Trust
Cl. M-1, Confirmed at Aa1 (sf); previously on
Sep 27, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to Baa1 (sf); previously on
Sep 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Upgraded to B1 (sf); previously on Apr
6, 2010 Downgraded to Caa1 (sf)
Cl. M-4, Upgraded to Caa2 (sf); previously on
Apr 6, 2010 Downgraded to C (sf)
Issuer: RAMP Series 2005-EFC4 Trust
Cl. A-2, Confirmed at Aa1 (sf); previously on
Sep 27, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Confirmed at Aa2 (sf); previously on
Sep 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Upgraded to Baa1 (sf); previously on
Sep 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to B1 (sf); previously on Apr
6, 2010 Downgraded to Caa2 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on
Apr 6, 2010 Downgraded to C (sf)
Issuer: RAMP Series 2005-EFC5 Trust
Cl. A-2, Confirmed at A1 (sf); previously on
Sep 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Upgraded to A2 (sf); previously on Sep
27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Upgraded to Ba3 (sf); previously on
Sep 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to Caa2 (sf); previously on
Apr 6, 2010 Downgraded to C (sf)
Issuer: RAMP Series 2005-EFC6 Trust
Cl. A-I-2, Confirmed at Aa3 (sf); previously
on Sep 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-I-3, Confirmed at A3 (sf); previously
on Sep 27, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. A-II, Confirmed at A1 (sf); previously on
Sep 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Confirmed at B2 (sf); previously on
Sep 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-RS1 Trust
Cl. A-I-4, Confirmed at B1 (sf); previously
on Sep 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. A-I-6, Downgraded to B1 (sf); previously
on Sep 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-1, Upgraded to B3 (sf); previously
on Apr 6, 2010 Downgraded to Caa2 (sf)
Issuer: RAMP Series 2005-RS2 Trust
Cl. M-1, Confirmed at A3 (sf); previously on
Sep 27, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-RS3 Trust
Cl. A-I-B1, Confirmed at Aa3 (sf); previously
on Sep 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-I-B2, Confirmed at A1 (sf); previously
on Sep 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. A-I-A3, Confirmed at Aa3 (sf); previously
on Sep 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-II, Downgraded to A1 (sf); previously on
Sep 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Confirmed at Ba2 (sf); previously on
Sep 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-RS4 Trust
Cl. A-4, Confirmed at Aa2 (sf); previously on
Sep 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Upgraded to A1 (sf); previously on Sep
27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to B1 (sf); previously on Apr
6, 2010 Downgraded to Caa1 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on
Apr 6, 2010 Downgraded to C (sf)
Issuer: RAMP Series 2005-RS5 Trust
Cl. A-I-3, Confirmed at A2 (sf); previously
on Sep 27, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. A-II, Confirmed at A2 (sf); previously on
Sep 27, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Upgraded to Ba3 (sf); previously on
Apr 6, 2010 Downgraded to Caa1 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on Apr
6, 2010 Downgraded to C (sf)
Cl. M-3, Upgraded to Ca (sf); previously on Apr
6, 2010 Downgraded to C (sf)
Issuer: RAMP Series 2005-RS6 Trust
Cl. A-I-3, Confirmed at Aa1 (sf); previously
on Sep 27, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-II-1, Confirmed at Aa1 (sf); previously
on Sep 27, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-II-2, Confirmed at Aa2 (sf); previously
on Sep 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Upgraded to Baa3 (sf); previously on
Sep 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to B1 (sf); previously on Apr
6, 2010 Downgraded to Ca (sf)
Cl. M-3, Upgraded to Ca (sf); previously on Apr
6, 2010 Downgraded to C (sf)
Issuer: RAMP Series 2005-RS7 Trust
Cl. A-2, Confirmed at Baa2 (sf); previously on
Sep 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-RS8 Trust
Cl. A-2, Confirmed at Ba2 (sf); previously on
Sep 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-EFC1 Trust
Cl. A-2, Confirmed at Baa2 (sf); previously on
Sep 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Upgraded to Ba2 (sf); previously on
Sep 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-EFC2 Trust
Cl. A-2, Confirmed at Baa3 (sf); previously on
Sep 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-NC1 Trust
Cl. A-2, Downgraded to Caa1 (sf); previously
on Sep 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-RS5 Trust
Cl. A-3, Downgraded to Caa2 (sf); previously
on Sep 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2007-RS1 Trust
Cl. A-2, Downgraded to A1 (sf); previously on
Sep 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2007-RS2 Trust
Cl. A-1, Confirmed at B3 (sf); previously on
Sep 27, 2010 B3 (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_SF255502
A list of updated estimated pool losses, sensitivity analysis,
and tranche recovery details is being posted on an ongoing basis for the
duration of this review period and may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF198689
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant 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 relevant 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 relevant 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.
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 received and took into account one or more third party assessments
on the due diligence performed regarding the underlying assets or financial
instruments in this transaction and the assessments had a neutral impact
on the rating.
Moody's considers the quality of information available on the rated
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a 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 Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's 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 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.
New York
Maxim Pertsov
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Amita Shrivastava
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service, Inc.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
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 $2.7 billion RAMP Subprime RMBS issued from 2005-2008