New York, March 07, 2011 -- Moody's Investors Service has downgraded the ratings of 89 tranches and
confirmed the ratings of five tranches from 17 Subprime deals issued by
Delta Funding/Renaissance. The collateral backing these deals primarily
consists of first-lien, fixed and adjustable rate Subprime
residential mortgages.
RATINGS RATIONALE
The actions are a result of deteriorating performance of Subprime pools
securitized before 2005. Although most of these pools have paid
down significantly, the remaining loans are affected by the housing
and macroeconomic conditions that remain under duress.
The actions reflect Moody's updated loss expectations on Subprime pools
securitized before 2005.
The principal methodology used in these ratings was "Pre-2005 US
RMBS Surveillance Methodology" published in January 2011.
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-level
loss expectations relative to current level of credit enhancement.
Moody's took into account credit enhancement provided by seniority,
cross-collateralization, excess spread, time tranching,
and other structural features within the senior note waterfalls.
The above mentioned approach " Pre-2005 US RMBS Surveillance Methodology
" is adjusted slightly when estimating losses on pools left with a small
number of loans to account for the volatile nature of small pools.
Even if a few loans in a small pool become delinquent, there could
be a large increase in the overall pool delinquency level due to the concentration
risk. To project losses on pools with fewer than 100 loans,
Moody's first estimates a "baseline" average rate of new delinquencies
of 11% for pools originated and securitized before 2005.
The baseline rate is generally higher than the average rate of new delinquencies
for larger pools. Once the baseline rate is set, further
adjustments are made based on 1) the number of loans remaining in the
pool and 2) the level of current delinquencies in the pool. The
fewer the number of loans remaining in the pool, the higher the
volatility in performance. Once the loan count in a pool falls
below 75, the rate of delinquency is increased by 1% for
every loan less than 75. For example, for a pool with 74
loans from the 2004 vintage, the adjusted rate of new delinquency
would be 11.11%. In addition, if the current
delinquency level in a small pool is low, future delinquencies are
expected to reflect this trend. To account for that, the
rate calculated above is multiplied by a factor ranging from 0.85
to 2.25 for current delinquencies ranging from less than 10%
to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the approach described
in the methodology publication.
Certain securities, as noted below, are insured by financial
guarantors. For securities insured by a financial guarantor,
the rating on the securities is the higher of (i) the guarantor's financial
strength rating and (ii) the current underlying rating (i.e.,
absent consideration of the guaranty) on the security. The principal
methodology used in determining the underlying rating is the same methodology
for rating securities that do not have a financial guaranty and is as
described earlier.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment levels remain high, and
weakness persists in the housing market. Overall, Moody's
assumes a further 5% decline in home prices with stabilization
in late 2011, accompanied by continued stress in national employment
levels through that timeframe.
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.
For more information please see www.moodys.com.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Complete rating actions are as follows:
Issuer: Delta Funding Home Equity Loan Trust 1995-2
S, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2
(sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Caa3 (sf); previously on Apr
8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
A-5, Downgraded to B3 (sf); previously on Apr 8,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Caa3 (sf); previously on Apr
8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Issuer: Delta Funding Home Equity Loan Trust 1997-3
B-1F, Downgraded to Ca (sf); previously on Apr 8,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Delta Funding Home Equity Loan Trust 1998-1
Cl. A-6F, Downgraded to B1 (sf); previously on
Jun 19, 2008 Downgraded to Aa1 (sf)
Underlying Rating: Downgraded to B1 (sf); previously on Jun
18, 2008 Assigned Aa1 (sf)*
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Issuer: Delta Funding Home Equity Loan Trust 1999-1
B, Downgraded to Ca (sf); previously on Apr 8, 2010 B3
(sf) Placed Under Review for Possible Downgrade
Issuer: Delta Funding Home Equity Loan Trust 1999-3
Cl. A-1A, Downgraded to Ba2 (sf); previously
on Jun 19, 2008 Downgraded to Aa2 (sf)
Underlying Rating: Downgraded to Ba2 (sf); previously on Jun
18, 2008 Assigned Aa2 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Cl. A-1F, Downgraded to Ba1 (sf); previously
on Jun 19, 2008 Downgraded to Aa2 (sf)
Underlying Rating: Downgraded to Ba1 (sf); previously on Jun
18, 2008 Assigned Aa2 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Cl. A-2F, Downgraded to Ba1 (sf); previously
on Jun 19, 2008 Downgraded to Aa2 (sf)
Underlying Rating: Downgraded to Ba1 (sf); previously on Jun
18, 2008 Assigned Aa2 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Issuer: DFC HELTrust 2001-2
Cl. M-1, Downgraded to B1 (sf); previously on
Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: Renaissance Home Equity Loan Trust 2002-1
Cl. M-1, Confirmed at Ba1 (sf); previously on
Dec 23, 2010 Downgraded to Ba1 (sf) and Placed Under Review Direction
Uncertain
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Renaissance Home Equity Loan Trust 2002-2
Cl. M-1, Downgraded to B3 (sf); previously on
Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Renaissance Home Equity Loan Trust 2002-3
Cl. M-1, Downgraded to B1 (sf); previously on
Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B, Downgraded to C (sf); previously on Apr 8,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Renaissance Home Equity Loan Trust 2002-4
A, Downgraded to Aa3 (sf); previously on Jan 2, 2003
Assigned Aaa (sf)
Underlying Rating: Downgraded to Aa3 (sf); previously on Jan
2, 2003 Assigned Aaa (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed
at Aa3, Outlook Negative on Nov 12, 2009)
M-1, Downgraded to Ba1 (sf); previously on Apr 8,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
M-2, Downgraded to Caa3 (sf); previously on Apr 8,
2010 A2 (sf) Placed Under Review for Possible Downgrade
B, Downgraded to C (sf); previously on Apr 8, 2010 Caa1
(sf) Placed Under Review for Possible Downgrade
Issuer: Renaissance Home Equity Loan Trust 2003-2
A, Downgraded to Baa3 (sf); previously on Jul 14, 2003
Assigned Aaa (sf)
M-1, Downgraded to Caa3 (sf); previously on Apr 8,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
M-2A, Downgraded to Ca (sf); previously on Apr 8,
2010 A2 (sf) Placed Under Review for Possible Downgrade
M-2F, Downgraded to Ca (sf); previously on Apr 8,
2010 A2 (sf) Placed Under Review for Possible Downgrade
M-3, Downgraded to C (sf); previously on Apr 8,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
M-4, Downgraded to C (sf); previously on Apr 8,
2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: Renaissance Home Equity Loan Trust 2003-3
M-1, Downgraded to A3 (sf); previously on Apr 8,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
M-2A, Downgraded to Ba2 (sf); previously on Apr 8,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
M-2F, Downgraded to Ba2 (sf); previously on Apr 8,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
M-3, Downgraded to B2 (sf); previously on Apr 8,
2010 A3 (sf) Placed Under Review for Possible Downgrade
M-4, Downgraded to Caa3 (sf); previously on Apr 8,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
M-5, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Renaissance Home Equity Loan Trust 2003-4
A-1, Downgraded to A2 (sf); previously on Feb 20,
2004 Assigned Aaa (sf)
A-3, Downgraded to A2 (sf); previously on Feb 20,
2004 Assigned Aaa (sf)
M-1, Downgraded to B2 (sf); previously on Apr 8,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
M-2A, Downgraded to Caa3 (sf); previously on Apr 8,
2010 A1 (sf) Placed Under Review for Possible Downgrade
M-2F, Downgraded to Caa3 (sf); previously on Apr 8,
2010 A1 (sf) Placed Under Review for Possible Downgrade
M-3, Downgraded to Ca (sf); previously on Apr 8,
2010 A3 (sf) Placed Under Review for Possible Downgrade
M-4, Downgraded to C (sf); previously on Apr 8,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
M-5, Downgraded to C (sf); previously on Apr 8,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
M-6, Downgraded to C (sf); previously on Apr 8,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Renaissance Home Equity Loan Trust 2004-1
AV-1, Downgraded to A3 (sf); previously on Apr 8,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
AV-3, Downgraded to A3 (sf); previously on Apr 8,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
A-IO-2, Downgraded to A3 (sf); previously on
Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
M-1, Downgraded to Ba1 (sf); previously on Apr 8,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
M-2, Downgraded to Caa3 (sf); previously on Apr 8,
2010 A2 (sf) Placed Under Review for Possible Downgrade
M-3, Downgraded to C (sf); previously on Apr 8,
2010 A3 (sf) Placed Under Review for Possible Downgrade
M-4, Downgraded to C (sf); previously on Apr 8,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
M-5, Downgraded to C (sf); previously on Apr 8,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
M-6, Downgraded to C (sf); previously on Apr 8,
2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: Renaissance Home Equity Loan Trust 2004-2
Cl. AF-4, Downgraded to Aa3 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Baa1 (sf); previously on Apr
8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed
at Aa3, Outlook Negative on Nov 12, 2009)
Cl. AF-5, Downgraded to Aa3 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Baa1 (sf); previously on Apr
8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed
at Aa3, Outlook Negative on Nov 12, 2009)
Cl. AF-6, Downgraded to Aa3 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to A3 (sf); previously on Apr
8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed
at Aa3, Outlook Negative on Nov 12, 2009)
Cl. AV-3, Confirmed at Aaa (sf); previously on
Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Confirmed at Aaa (sf); previously on Apr
8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed
at Aa3, Outlook Negative on Nov 12, 2009)
Cl. M-1, Downgraded to Ba1 (sf); previously on
Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to B1 (sf); previously on
Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Caa1 (sf); previously
on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Ca (sf); previously on
Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C (sf); previously on
Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-7, Downgraded to C (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-8, Downgraded to C (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-9, Downgraded to C (sf); previously on
Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Issuer: Renaissance Home Equity Loan Trust 2004-3
Cl. AF-4, Downgraded to Aa3 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to B2 (sf); previously on Apr
8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed
at Aa3, Outlook Negative on Nov 12, 2009)
Cl. AF-5, Downgraded to Aa3 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to B2 (sf); previously on Apr
8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed
at Aa3, Outlook Negative on Nov 12, 2009)
Cl. AF-6, Downgraded to Aa3 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to B1 (sf); previously on Apr
8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed
at Aa3, Outlook Negative on Nov 12, 2009)
Cl. AV-1, Confirmed at Aaa (sf); previously on
Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. AV-2A, Confirmed at Aaa (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. AV-2B, Confirmed at Aaa (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Caa1 (sf); previously
on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C (sf); previously on
Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C (sf); previously on
Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-7, Downgraded to C (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-8, Downgraded to C (sf); previously on
Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M-9, Downgraded to C (sf); previously on
Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: Renaissance Home Equity Loan Trust 2004-4
Cl. MF-1, Downgraded to B3 (sf); previously on
Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. MF-2, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. MF-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. MF-4, Downgraded to C (sf); previously on
Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. MF-5, Downgraded to C (sf); previously on
Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. MF-6, Downgraded to C (sf); previously on
Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. MF-7, Downgraded to C (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. MF-8, Downgraded to C (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. MF-9, Downgraded to C (sf); previously on
Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. AF-4, Downgraded to Ba3 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. AF-5, Downgraded to Ba3 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. AF-6, Downgraded to Ba2 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. MV-1, Downgraded to Ba1 (sf); previously
on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. MV-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. MV-3, Downgraded to C (sf); previously on
Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF238844
A list of updated estimated pool losses and sensitivity analysis 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_SF237255
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information, and 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
Qiuzi Huang
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Amelia (Amy) Tobey
VP - Senior Credit Officer
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 $790 million of Subprime RMBS issued by Delta Funding / Renaissance in 1995 through 2004
