New York, April 30, 2009 -- Moody's Investors Service has downgraded 57 ratings from 10 RAMP-RZ
subprime residential mortgage-backed securities (RMBS) transactions.
The collateral backing these transactions consists primarily of first-lien,
fixed- and adjustable-rate, subprime residential mortgage
loans with higher than average loan-to-value (LTV) ratios.
The actions are triggered by a combination of factors that can include
increased delinquencies, higher loss severities, slower prepayments
and mounting losses in the underlying collateral. Additionally,
the continued deterioration of the housing market has also contributed
to the increased loss expectations for subprime pools.
Moody's final rating actions are based on collateral performance and updated
pool-level loss expectations relative to current levels of tranche-specific
credit enhancement. Moody's took into account credit enhancement
provided by subordination, cross-collateralization,
excess spread, time tranching, and other structural features.
The principal methodology used in rating these transactions was "Subprime
RMBS Loss Projection Update: March 2009." Given the high
LTV collateral and observed trends in loss severity, Moody's average
expected loss severity for these transactions is 85%. The
published methodology referenced above can be found at www.moodys.com
in the Credit Policy & Methodologies directory, in the Ratings
Methodologies subdirectory. Other methodologies and factors that
may have been considered in the process of rating this issue can also
be found on this page.
Moody's approach to analyzing more seasoned pools (prior to the 2nd half
of 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 annualized roll rates 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 to arrive at projected losses. 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.
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.
Complete rating actions are as follows:
RAMP Series 2005-RZ1 Trust
Cl. M-4, Downgraded to A2; previously on 4/21/2005
Assigned Aa3
Cl. M-5, Downgraded to Baa1; previously on 4/21/2005
Assigned A1
Cl. M-6, Downgraded to Baa2; previously on 4/21/2005
Assigned A2
Cl. M-7, Downgraded to Baa3; previously on 4/21/2005
Assigned A3
Cl. M-8, Downgraded to Ba1; previously on 4/21/2005
Assigned Baa2
Cl. M-9, Downgraded to B1; previously on 4/21/2005
Assigned Ba1
RAMP SERIES 2005-RZ2 TRUST
Cl. M-2, Downgraded to Aa2; previously on 8/24/2005
Assigned Aa1
Cl. M-3, Downgraded to A2; previously on 8/24/2005
Assigned Aa2
Cl. M-4, Downgraded to Baa2; previously on 8/24/2005
Assigned Aa3
Cl. M-5, Downgraded to Ba2; previously on 12/18/2008
Downgraded to A3
Cl. M-6, Downgraded to Caa2; previously on 12/18/2008
Downgraded to Ba2
Cl. M-7, Downgraded to C; previously on 12/18/2008
Downgraded to Caa3
RAMP Series 2005-RZ3 Trust
Cl. A-3, Downgraded to Aa2; previously on 10/17/2005
Assigned Aaa
Cl. M-1, Downgraded to A2; previously on 10/17/2005
Assigned Aa1
Cl. M-2, Downgraded to Baa3; previously on 10/17/2005
Assigned Aa2
Cl. M-3, Downgraded to Ba2; previously on 10/17/2005
Assigned Aa3
Cl. M-4, Downgraded to Ba3; previously on 10/17/2005
Assigned A1
Cl. M-5, Downgraded to Caa2; previously on 12/18/2008
Downgraded to Baa2
Cl. M-6, Downgraded to C; previously on 12/18/2008
Downgraded to B1
RAMP Series 2005-RZ4 Trust
Cl. A-2, Downgraded to Aa2; previously on 12/16/2005
Assigned Aaa
Cl. A-3, Downgraded to A1; previously on 12/16/2005
Assigned Aaa
Cl. M-1, Downgraded to Baa1; previously on 12/16/2005
Assigned Aa1
Cl. M-2, Downgraded to Baa3; previously on 12/16/2005
Assigned Aa2
Cl. M-3, Downgraded to Ba3; previously on 12/18/2008
Downgraded to A1
Cl. M-4, Downgraded to Caa3; previously on 12/18/2008
Downgraded to Ba1
Cl. M-5, Downgraded to C; previously on 12/18/2008
Downgraded to B3
RAMP Series 2006-RZ1 Trust
Cl. A-2, Downgraded to Aa1; previously on 3/10/2006
Assigned Aaa
Cl. A-3, Downgraded to Aa3; previously on 3/10/2006
Assigned Aaa
Cl. M-1, Downgraded to A2; previously on 3/10/2006
Assigned Aa1
Cl. M-2, Downgraded to Baa3; previously on 3/10/2006
Assigned Aa2
Cl. M-3, Downgraded to Ba3; previously on 3/10/2006
Assigned Aa3
Cl. M-4, Downgraded to Ba1; previously on 12/18/2008
Downgraded to A2
Cl. M-5, Downgraded to Caa2; previously on 12/18/2008
Downgraded to Baa3
Cl. M-6, Downgraded to C; previously on 12/18/2008
Downgraded to B2
RAMP Series 2006-RZ2 Trust
Cl. A-2, Downgraded to Baa1; previously on 12/18/2008
Downgraded to Aa2
Cl. A-3, Downgraded to Baa2; previously on 12/18/2008
Downgraded to A1
Cl. M-1, Downgraded to Caa2; previously on 12/18/2008
Downgraded to Baa3
Cl. M-2, Downgraded to C; previously on 12/18/2008
Downgraded to Caa1
RAMP Series 2006-RZ3 Trust
Cl. A-2, Downgraded to Baa2; previously on 8/14/2006
Assigned Aaa
Cl. A-3, Downgraded to Baa3; previously on 12/18/2008
Downgraded to Aa1
Cl. M-1, Downgraded to B2; previously on 12/18/2008
Downgraded to Baa1
Cl. M-2, Downgraded to Ca; previously on 12/18/2008
Downgraded to B1
Cl. M-3, Downgraded to C; previously on 12/18/2008
Downgraded to Caa2
RAMP Series 2006-RZ4 Trust
Cl. A-2, Downgraded to Baa3; previously on 12/18/2008
Downgraded to Aa2
Cl. A-3, Downgraded to Ba1; previously on 12/18/2008
Downgraded to A1
Cl. M-1, Downgraded to B3; previously on 12/18/2008
Downgraded to Baa2
Cl. M-2, Downgraded to C; previously on 12/18/2008
Downgraded to B2
Cl. M-3, Downgraded to C; previously on 12/18/2008
Downgraded to Caa2
RAMP Series 2006-RZ5 Trust
Cl. A-2, Downgraded to Baa2; previously on 12/18/2008
Downgraded to Aa1
Cl. A-3, Downgraded to Baa3; previously on 12/18/2008
Downgraded to Aa3
Cl. M-1, Downgraded to Caa2; previously on 12/18/2008
Downgraded to Ba1
Cl. M-2, Downgraded to C; previously on 12/18/2008
Downgraded to Caa2
RAMP Series 2007-RZ1 Trust
Cl. A-1, Downgraded to Baa2; previously on 3/8/2007
Assigned Aaa
Cl. A-2, Downgraded to Ba2; previously on 12/18/2008
Downgraded to Baa2
Cl. A-3, Downgraded to Ba3; previously on 12/18/2008
Downgraded to Baa3
Cl. M-1S, Downgraded to Caa2; previously on 12/18/2008
Downgraded to B1
Cl. M-2S, Downgraded to C; previously on 12/18/2008
Downgraded to Caa2
A list of these actions including CUSIP identifiers may be found at:
Excel: www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF163932
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
Joseph Rocco
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on certain RAMP-RZ subprime RMBS