New York, December 10, 2010 -- Moody's Investors Service has downgraded the ratings of 18 tranches and
has placed the ratings of 12 tranches on review for possible downgrade
from two deals that are issued by RFMSI Series Trust. The collateral
backing these deals consists primarily of first-lien, prime
residential mortgages.
Issuer: RFMSI Series 2005-S5 Trust
Cl. A-1, Downgraded to B3 (sf) and Remains On Review
for Possible Downgrade; previously on Dec 17, 2009 Baa3 (sf)
Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to B1 (sf) and Remains On Review
for Possible Downgrade; previously on Dec 17, 2009 Baa3 (sf)
Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to B1 (sf) and Remains On Review
for Possible Downgrade; previously on Dec 17, 2009 Baa3 (sf)
Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to A3 (sf) and Remains On Review
for Possible Downgrade; previously on Dec 17, 2009 Aa3 (sf)
Placed Under Review for Possible Downgrade
Cl. A-6, Downgraded to B2 (sf) and Remains On Review
for Possible Downgrade; previously on Dec 17, 2009 Baa3 (sf)
Placed Under Review for Possible Downgrade
Cl. A-7, Downgraded to Caa2 (sf); previously
on Dec 17, 2009 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. A-8, Downgraded to B3 (sf) and Remains On Review
for Possible Downgrade; previously on Dec 17, 2009 Baa3 (sf)
Placed Under Review for Possible Downgrade
Cl. A-P, Downgraded to B2 (sf) and Remains On Review
for Possible Downgrade; previously on Dec 17, 2009 Baa3 (sf)
Placed Under Review for Possible Downgrade
Cl. A-V, Downgraded to A3 (sf) and Remains On Review
for Possible Downgrade; previously on Dec 17, 2009 Aa3 (sf)
Placed Under Review for Possible Downgrade
Issuer: RFMSI Series 2005-SA2 Trust
Cl. I-A, Downgraded to Caa2 (sf); previously
on Dec 17, 2009 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to B2 (sf) and Remains
On Review for Possible Downgrade; previously on Dec 17, 2009
Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to Caa2 (sf); previously
on Dec 17, 2009 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-2, Downgraded to B3 (sf) and Remains
On Review for Possible Downgrade; previously on Dec 17, 2009
Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-3, Downgraded to B3 (sf) and Remains
On Review for Possible Downgrade; previously on Dec 17, 2009
Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. IV-A, Downgraded to B3 (sf) and Remains On Review
for Possible Downgrade; previously on Dec 17, 2009 Baa3 (sf)
Placed Under Review for Possible Downgrade
Cl. V-A, Downgraded to Caa1 (sf); previously
on Dec 17, 2009 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. VI-A-1, Downgraded to Caa1 (sf); previously
on Dec 17, 2009 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C (sf); previously on
May 13, 2009 Downgraded to Ca (sf)
RATINGS RATIONALE
The ratings were downgraded because these tranches did not have sufficient
credit enhancement to maintain the current ratings compared to the revised
loss expectations on the deals. The ratings on eight tranches of
RFMSI Series 2005-S5 Trust and on four tranches of RFMSI Series
2005-SA2 Trust continue to be under review for possible downgrade
due to the irregularities in GMAC Mortgage, LLC's (GMACM) foreclosure
process that have recently come to light.
To assess the rating implications of the updated loss levels on prime
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 deal 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 small increments in losses on
the underlying mortgage pool is taken into consideration when assigning
ratings.
The principal methodology used in rating these tranches was "Prime Jumbo
RMBS Loss Projection Update: January 2010", rating methodology
published in January 2010. In addition, for the deals affected
by today's actions, when calculating the rate of new delinquencies
(as described on page 4 of the methodology publication referenced above),
Moody's took into account loans that were reclassified from delinquent
to current due to modification in order to not understate the rate of
new delinquencies.
Other methodologies and factors that may have been considered in the process
of rating this issuer can also be found on Moody's website. In
addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment remains at high levels,
and weakness persists in the housing market. Moody's notes an increasing
potential for a double-dip recession, which could cause a
further 20% decline in home prices (versus its baseline assumption
of roughly 5% further decline). Overall, Moody's assumes
a further 5% decline in home prices with stabilization in early
2011, accompanied by continued stress in national employment levels
through that timeframe.
A list of updated estimated pool losses, sensitivity analysis,
and tranche recovery details may be found at: http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF196023
Moody's Investors Service took into account a third party due diligence
report on the underlying assets or financial instruments related to the
monitoring of these transactions.
A list of these actions including CUSIP identifiers may be found at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF227988
REGULATORY DISCLOSURES
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, 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
Jayesh Joseph
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Bruce D. Fabrikant
Senior Vice President
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 $324 million of Jumbo RMBS issued by RFMSI Series Trust in 2005