New York, May 14, 2009 -- Moody's Investors Service has downgraded the rating of 24 securities from
13 transactions issued by Delta Funding/Renaissance. These actions
are part of an ongoing review of subprime RMBS transactions. In
addition, Moody's corrected the rating for the class A-1A
tranche of Delta Funding Home Equity Loan Trust 1999-1.
Today's rating actions are the result of an analysis of credit enhancement
relative to updated collateral loss projections. The revised loss
projections generally result from deterioration in collateral performance
in recent months. Additionally, most effected transactions
have, at some point, passed performance triggers and released
portions of credit enhancement.
Moody's approach to analyzing seasoned subprime pools i.e.
prior to 2H 2005 takes into account the annualized loss rate from last
12 months ("Recent Losses") and the projected loss rate over next 12 months
("Pipeline Losses"), and then translates these measures into lifetime
losses based on a deal's expected remaining life. Recent Losses
are calculated by assessing cumulative losses incurred over the past 12-months
as a percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%,
30%, 65% and 90% for loans that are delinquent
60-days, 90+ days, are in foreclosure, and
REO respectively. Moody's then applies deal-specific severity
assumptions, in this case ranging from 30% to 70%.
The results of these two calculations - Recent Losses and Pipeline
Losses - are weighted to arrive at the lifetime cumulative loss
projection.
Moody's Investors Service also reviewed underlying ratings of insured
certificates as noted below. The underlying rating reflects the
intrinsic credit quality of the certificate in the absence of the guarantee.
The current ratings are consistent with Moody's practice of rating insured
securities at the higher of the guarantor's insurance financial strength
rating and the underlying rating based on Moody's modified approach to
rating structured finance securities wrapped by financial guarantors.
Moody's Investors Service also has corrected the rating of the class A-1A
tranche of Delta Funding Home Equity Loan Trust 1999-1 to Aa2.
This is a change from the B3 rating announced on June 18, 2008,
in which we did not account for the full subordination available to the
class A-1A tranche. In making this correction today,
Moody's has applied appropriate subordination for the aforementioned senior
note.
The class A-1A tranche of Delta Funding Home Equity Loan Trust
1999-1 has the benefit of a financial guarantee policy issued by
MBIA Insurance Corporation (MBIA). MBIA was rated Aaa under review
for possible downgrade on June 4, 2008. On June 19,
2008 MBIA was downgraded to A2 with a negative outlook, and was
subsequently downgraded to Baa1 with a developing outlook on November
7, 2008. On February 18, 2009 MBIA was downgraded to
B3 with a developing outlook. The corrected rating therefore reflects
the higher underlying rating of this insured security.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Credit Policy & Methodologies directory.
The complete rating actions follow:
Delta Funding Home Equity Loan Trust 1996-1
Cl. A-7, Downgraded to A3; previously on 6/19/2008
Downgraded to Aa2
Current Underlying Rating: Downgraded to A3; previously on
6/18/2008 Assigned Aa2
Financial Guarantor: MBIA Insurance Corporation (Assigned B3,
Outlook Developing on 2/18/2009)
Delta Funding Home Equity Loan Trust 1996-2
Cl. A-5, Downgraded to Ba1; previously on 2/18/2009
Downgraded to Baa2
Current Underlying Rating: Downgraded to Ba1; previously on
6/18/2008 Assigned Baa2
Financial Guarantor: MBIA Insurance Corporation (Assigned B3,
Outlook Developing on 2/18/2009)
Delta Funding Home Equity Loan Trust 1997-3
Cl. B-1F, Downgraded to Caa2; previously on 6/13/2006
Downgraded to B3
Delta Funding Home Equity Loan Trust 1999-1
Cl. A-1A, Corrected to Aa2; previously on 2/18/2009
Downgraded to B3
Current Underlying Rating: Corrected to Aa2; previously on
6/18/2008 Assigned B3
Financial Guarantor: MBIA Insurance Corporation (Assigned B3,
Outlook Developing on 2/18/2009)
Cl. B, Downgraded to B3; previously on 3/30/1999 Assigned
Baa3
DFC HEL Trust 2001-2
Cl. M-1, Downgraded to A3; previously on 3/20/2009
Downgraded to A1 and Placed Under Review for Possible Downgrade
Renaissance Home Equity Loan Trust 2002-1
Cl. M-2, Downgraded to Caa1; previously on 7/30/2007
Downgraded to Baa2
Cl. B, Downgraded to C; previously on 7/30/2007 Downgraded
to Caa2
Renaissance Home Equity Loan Trust 2002-2
Cl. M-1, Downgraded to Aa3; previously on 2/1/2008
Aa2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Baa3; previously on 2/1/2008
A2 Placed Under Review for Possible Downgrade
Renaissance Home Equity Loan Trust 2002-3
Cl. M-2, Downgraded to Baa2; previously on 2/1/2008
A2 Placed Under Review for Possible Downgrade
Renaissance Home Equity Loan Trust 2002-4
Cl. M-2, Confirmed at A2; previously on 2/1/2008
A2 Placed Under Review for Possible Downgrade
Renaissance Home Equity Loan Trust 2003-1
Cl. M-1, Downgraded to Aa2; previously on 7/30/2007
Upgraded to Aaa
Cl. B-F, Downgraded to Ba1; previously on 6/4/2003
Assigned Baa2
Renaissance Home Equity Loan Trust 2004-2
Cl. M-8, Downgraded to Baa3; previously on 8/19/2004
Assigned Baa2
Cl. M-9, Downgraded to Ba3; previously on 8/19/2004
Assigned Baa3
Renaissance Home Equity Loan Trust 2004-3
Cl. M-6, Downgraded to Baa2; previously on 11/30/2004
Assigned A3
Cl. M-7, Downgraded to Baa3; previously on 11/30/2004
Assigned Baa1
Cl. M-9, Downgraded to B3; previously on 4/16/2008
Downgraded to Ba3
Renaissance Home Equity Loan Trust 2004-4
Cl. MF-8, Downgraded to Baa3; previously on 1/27/2005
Assigned Baa2
Cl. MF-9, Downgraded to Ba1; previously on 1/27/2005
Assigned Baa3
Cl. MV-1, Downgraded to A3; previously on 1/27/2005
Assigned Aa2
Cl. MV-2, Downgraded to B2; previously on 1/27/2005
Assigned A2
Cl. MV-3, Downgraded to Ca; previously on 4/16/2008
Downgraded to Ba2
Cl. MV-4, Downgraded to C; previously on 4/16/2008
Downgraded to Caa3
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF165869
For more information please see www.moodys.com.
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Kimberly Spinney
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on certain Delta/Renaissance subprime RMBS