New York, November 29, 2017 -- Moody's Investors Service (Moody's) has confirmed the ratings of 346 Interest-Only
(IO) bonds, upgraded the ratings of 5 IO bonds and downgraded the
ratings of 32 IO bonds from 269 US residential mortgage backed transactions
(RMBS), issued by multiple issuers prior to 2009. Of these,
29 bonds were among those placed on review on 15 August 2017 in connection
with a correction of errors in our earlier analysis, and 354 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).
Moody's also withdrew the ratings of 2 IO bonds, from 2 RMBS
transactions, that were placed on watch on 15 August 2017,
and 5 IO bonds, from 3 RMBS transactions, that were placed
on watch on 29 August 2017. The ratings on these IO bonds have
been withdrawn due to insufficient information available to maintain the
ratings.
In addition, the ratings on 6 IO bonds that were placed on watch
on 15 August 2017, and the ratings of 75 IO bonds that were placed
on watch on 29 August 2017, have also been withdrawn because they
have matured, or are backed by mortgage pools whose size has fallen
below the level specified in the applicable methodology and have thus
been withdrawn for small pool factor.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF464172
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 29 IO bonds which were among those
placed on watch in connection with data input errors in prior analyses
and 354 IO bonds which were among those placed on watch 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. The final
ratings on the IO bonds reflect the linkage reassessment and updated performance
of the respective transactions, including expected losses on the
collateral, and pay-downs or write-offs of the related
reference bonds.
For the 29 IO bonds that had data input errors in prior analyses,
the data inputs were corrected as part of the analysis for this rating
action.
We have reassessed the linkage for the 383 IO bonds being confirmed,
upgraded or downgraded in today's rating action, and determined
that 285 of these IO bonds were linked to the appropriate bonds(s) or
pool(s). Many of these 383 IO bonds reference a portion of the
aggregate collateral pool (a "sub-pool"), each
of which 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. For the remaining 98 IO bonds, the linkage
was incorrect and has been updated. In many cases, the updated
linkage had no impact on the ratings.
After having reviewed the various linkages, Moody's has decided
to withdraw the ratings of 7 bonds because it believes it has insufficient
or otherwise inadequate information to support the maintenance of the
ratings. These IO bonds are linked to a portion of the bonds and
the collateral pool that is not clearly reported in the data available
for the related transactions. Please refer to the Moody's
Investor Service's Policy for Withdrawal of Credit Ratings,
available on its website, www.moodys.com.
We are evaluating the remaining IO bonds on review and note that,
although a number of linkages may be corrected, this will not necessarily
lead to rating movements in all cases.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF464172
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
-Withdrawal Reasons
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.
Veronica Huang
Associate 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
