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By clicking “I AGREE”, you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s information that becomes accessible to you (the “Information”). References herein to “Moody’s” include Moody’s Corporation. and each of its subsidiaries and affiliates..

 

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Rating Action:

Moody's takes action on $809 million of resecuritized RMBS issued between 2003 and 2007

09 Jun 2011

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
No Related Data.
© 2022 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

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