New York, April 25, 2013 -- Moody's Investors Service has upgraded thirteen tranches and downgraded
two tranches from four transactions issued by miscellaneous issuers.
The collateral backing these deals primarily consists of first-lien,
fixed and adjustable-rate prime Jumbo residential mortgages.
The actions impact approximately $97.9 million of RMBS issued
from 2005.
Complete rating actions are as follows:
Issuer: Citicorp Mortgage Securities, Inc. 2005-8
Cl. IA-1, Upgraded to Baa3 (sf); previously on
May 19, 2010 Downgraded to B2 (sf)
Cl. IA-2, Upgraded to Baa3 (sf); previously on
May 19, 2010 Downgraded to B2 (sf)
Cl. IA-3, Upgraded to Baa3 (sf); previously on
May 19, 2010 Downgraded to B2 (sf)
Cl. IA-8, Upgraded to Baa3 (sf); previously on
May 19, 2010 Downgraded to B2 (sf)
Issuer: J.P. Morgan Mortgage Trust 2005-A1
Cl. T-B-1, Upgraded to Caa3 (sf); previously
on Jan 20, 2012 Downgraded to Ca (sf)
Cl. 6-T-1, Upgraded to Ba2 (sf); previously
on Jan 20, 2012 Downgraded to B2 (sf)
Issuer: RFMSI Series 2005-S1 Trust
Cl. II-A-2, Downgraded to Baa2 (sf); previously
on Jul 19, 2011 Downgraded to A2 (sf)
Cl. II-A-3, Downgraded to B3 (sf); previously
on Jul 19, 2011 Downgraded to B2 (sf)
Issuer: Wells Fargo Mortgage Backed Securities Trust 2005-9
Trust
Cl. I-A-2, Upgraded to Baa2 (sf); previously
on May 19, 2010 Downgraded to Ba3 (sf)
Cl. I-A-7, Upgraded to Baa2 (sf); previously
on May 19, 2010 Downgraded to Ba3 (sf)
Cl. I-A-8, Upgraded to Baa2 (sf); previously
on May 19, 2010 Downgraded to Ba2 (sf)
Cl. I-A-14, Upgraded to Ba2 (sf); previously
on May 19, 2010 Downgraded to B1 (sf)
Cl. II-A-1, Upgraded to Ba3 (sf); previously
on Jul 15, 2011 Downgraded to B3 (sf)
Cl. II-A-2, Upgraded to B2 (sf); previously
on Jul 15, 2011 Downgraded to Caa1 (sf)
Cl. II-A-5, Upgraded to Baa3 (sf); previously
on Jul 15, 2011 Downgraded to B1 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the underlying pools
and reflect Moody's updated loss expectations on these pools. The
upgrades are due to improvement in collateral performance. The
downgrades are a result of deteriorating performance and structural features
resulting in higher expected losses for certain bonds than previously
anticipated.
The methodologies used in these ratings were "Moody's Approach to Rating
US Residential Mortgage-Backed Securities" published in December
2008, and "2005?2008 US RMBS Surveillance Methodology" published
in July 2011. The methodology used in rating Interest-Only
Securities was "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012. Please see the Credit Policy
page on www.moodys.com for a copy of these methodologies.
Moody's adjusts the methodologies noted above for 1) Moody's current view
on loan modifications and 2) small pool volatility.
Loan Modifications
As a result of an extension of the Home Affordable Modification Program
(HAMP) to 2013 and an increased use of private modifications, Moody's
is extending its previous view that loan modifications will only occur
through the end of 2012. It is now assuming that the loan modifications
will continue at current levels until 2014.
Small Pool Volatility
For pools with loans less than 100, Moody's adjusts its projections
of loss to account for the higher loss volatility of such pools.
For small pools, a few loans becoming delinquent would greatly increase
the pools' delinquency rate.
To project losses on prime jumbo pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on vintage,
number of loans remaining in the pool and the level of current delinquencies
in the pool. For prime jumbo pools, Moody's first applies
a baseline delinquency rate of 3.5% for 2005, 6.5%
for 2006 and 7.5% for 2007. Once the loan count in
a pool falls below 76, this rate of delinquency is increased by
1% for every loan fewer than 76. For example, for
a 2005 pool with 75 loans, the adjusted rate of new delinquency
is 3.54%. Further, to account for the actual
rate of delinquencies in a small pool, Moody's multiplies the rate
calculated above by a factor ranging from 0.20 to 2.0 for
current delinquencies that range from less than 2.5% to
greater than 50% respectively. Moody's then uses this final
adjusted rate of new delinquency to project delinquencies and losses for
the remaining life of the pool under the approach described in the methodology
publication.
When assigning the final ratings to bonds, in addition to the approach
described above, Moody's considered the volatility of the projected
losses and timeline of the expected defaults.
The primary source of assumption uncertainty is the uncertainty in our
central macroeconomic forecast and performance volatility due to servicer-related
issues. The unemployment rate fell from 8.2% in March
2012 to 7.6% in March 2013. Moody's forecasts
a further drop to 7.5% by 2014. Moody's expects
house prices to drop another 1% from their 4Q2011 levels before
gradually rising towards the end of 2013. Performance of RMBS continues
to remain highly dependent on servicer procedures. Any change resulting
from servicing transfers or other policy or regulatory change can impact
the performance of these transactions.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF326905
A list of updated estimated pool losses, sensitivity analysis,
and tranche recovery details 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_SF196023
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
Moody's received and took into account one or more third party assessments
on the due diligence performed regarding the underlying assets or financial
instruments in these transactions and the assessments had a neutral impact
on the rating.
In conducting surveillance of these credits, Moody's considered
performance data contained in servicer and remittance reports.
Moody's obtains servicer reports on these transactions on a periodic basis,
at least annually.
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 rating action on the support provider and in relation to each particular
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 rating action, and
whose ratings may change as a result of this 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.
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.
Jonathan Corwin
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Deepika Kothari
VP-Senior Analyst/Manager
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on $97.9 million of Prime Jumbo RMBS issued by miscellaneous issuers from 2005