New York, June 09, 2011 -- Moody's Investors Service has downgraded the ratings of 18 tranches and
has confirmed the ratings of two tranches issued by six RMBS resecuritization
transactions.
RATINGS RATIONALE
The actions are a result of the bonds not having sufficient credit enhancement
to maintain the current ratings when compared to the revised loss expectations
on the pools of mortgages backing the underlying certificates.
The principal methodology used in these ratings is described in the "Surveillance
Approach for Resecuritized transactions" section in "Moody's
Approach to Rating US Resecuritized Residential Mortgage-Backed
Securities" published in February 2011.
The underlying certificates backing each resecuritization and the type
of collateral backing each underlying certificate can be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF245176
Moody's ratings on the resecuritization notes are based on:
(i) The updated expected loss on the pools of loans backing the underlying
certificates and the updated ratings on the underlying certificates.
Moody's current loss expectations on the 2005-2008 vintage Alt-A,
Option Arm, Subprime, and Prime Jumbo pools backing the underlying
certificates and ratings of these underlying certificates can be found
at
http://www.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174,
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF225686,
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF198689,
and
http://www.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF196023
respectively.
Moody's current loss expectations on the pre-2005 vintage Alt-A
/ Option Arm, Subprime, and Prime Jumbo pools backing the
underlying certificates and ratings of these underlying certificates can
be found at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256,
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255,
and http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269,
respectively .
(ii) The credit enhancement available to the underlying certificates,
and
(iii) The structure of the resecuritization transaction.
Moody's first updated its loss assumptions on the underlying pools of
mortgage loans backing the underlying certificates and then arrived at
updated ratings on the underlying certificates.
The principal methodology used in determining the underlying 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 . For other methodologies used for estimating
losses on 2005-2008 vintage Alt-A/Option Arm, Subprime,
and Prime Jumbo pools, please refer to the methodology publication
" Alt-A RMBS Loss Projection Update: February 2010",
" Subprime RMBS Loss Projection Update: February 2010",
and "Prime Jumbo RMBS Loss Projection Update: January 2010",
available on Moodys.com . For other methodologies used for
estimating losses on pre-2005 vintage RMBS pools, please
refer to the methodology publication "Pre-2005 US RMBS Surveillance
Methodology" published in January 2011, available on Moodys.com.
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.
Moody's Investors Service received and took into account a third party
due diligence report on the underlying assets or financial instruments
in this transaction and the due diligence report had a neutral impact
on the ratings.
Complete rating actions are as follows:
Issuer: CWMBS, Inc. Resecuritization Mortgage Pass-Through
Certificates, Series 2004-28R
Cl. A-1, Downgraded to A1 (sf); previously on
Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to A3 (sf); previously on
Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Baa1 (sf); previously
on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Baa3 (sf); previously
on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to Baa1 (sf); previously
on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Deutsche ALT-A Securities, Inc. Re-Remic
Trust Certificates, Series 2007-RS1
Cl. A-1, Downgraded to Caa2 (sf); previously
on Jan 29, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-2, Downgraded to C (sf); previously on
Apr 16, 2010 Downgraded to Ca (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-3, Confirmed at Ca (sf); previously on
Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Resecuritization 2005-4CI
Cl. N-2, Downgraded to Ca (sf); previously on
Mar 12, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. N-3, Downgraded to C (sf); previously on
Mar 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. N-4, Downgraded to C (sf); previously on
Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Resecuritization 2006-1CI
Cl. N3, Confirmed at B3 (sf); previously on Mar 12,
2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: RALI Series 2003-QR13 Trust
Cl. A-1, Downgraded to Baa2 (sf); previously
on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Baa2 (sf); previously
on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Baa3 (sf); previously
on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: RALI Series 2004-QR1 Trust
Cl. A-1, Downgraded to Ba2 (sf); previously on
Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to B1 (sf); previously on
Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to B3 (sf); previously on
Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Caa1 (sf); previously
on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to Ba2 (sf); previously on
Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF248069
The sensitivity analysis on these transactions is posted on an ongoing
basis for the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF245176
REGULATORY DISCLOSURES
The lead analyst and rating office for each of the transactions affected
are generally different from the contact and office listed at the end
of this press release. For each transaction, the lead analyst
name is available on the issuer page and the rating office is available
on the ratings tab of the issuer on www.moodys.com.
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
Jayesh Joseph
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Deepika Kothari
Vice President - Senior Analyst
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 $809 million of resecuritized RMBS issued between 2003 and 2007