WWW.MOODYS.COM AUTHORS Structured Finance Group Yehudah Forster Jayesh Joseph Peter McNally Bulat Mustafin Ola Hannoun-Costa Aron Bergman Financial Institutions Group David Fanger Moody’s Analytics Celia Chen KEY LINKS » Primary RMBS Ratings Methodology » Prime Jumbo Loss Projection Update » Subprime Loss Projection Update » Alt-A Loss Projection Update POOL EXPECTED LOSSES AND TRANCHE RECOVERY ESTIMATES » Prime Jumbo pool loss and tranche recovery estimates » Alt-A pool loss and tranche recovery estimates » Subprime pool loss and tranche recovery estimates » SF Quick Check » RMBS HE Index » RMBS Jumbo Index IN THIS ISSUE New Jersey Court Decision May Be Unique, but Still Bad for BofA and RMBS The Kemp case is unlikely to set precedent, but could still encourage more mortgage litigation, increasing servicing costs, delaying foreclosures, and pressuring BofA’s earnings. » See page 2 Robo-signing Causing Small Shifts in House Price Outlook The impact of “robo-signing” on foreclosures is beginning to show up in the housing data as homes in foreclosure inventory rise sharply. The impact on our housing outlook, however, is small. » See page 4 Resolution Timelines for Delinquent RMBS Loans Vary Among Major Servicers Among the loans serviced by seven major RMBS servicers, BAC Home Loan Servicing is performing the weakest as measured both by speed in resolving delinquent loans and proportion of delinquent loans that have yet to be resolved, while GMAC Mortgage has generally performed better than its peers. » See page 6 RMBS Deals Update We give updates on the RMBS transactions with documentation issues that we have highlighted in past issues. » See page 9 RESI STATS » See page 12 Rating Activity » See page 13 DECEMBER 9, 2010
Transcript
WWW.MOODYS.COM
AUTHORS
Structured Finance Group Yehudah Forster Jayesh Joseph Peter McNally Bulat Mustafin Ola Hannoun-Costa Aron Bergman
Financial Institutions Group David Fanger
Moody’s Analytics Celia Chen
KEY LINKS » Primary RMBS Ratings Methodology » Prime Jumbo Loss Projection Update » Subprime Loss Projection Update » Alt-A Loss Projection Update
POOL EXPECTED LOSSES AND TRANCHE RECOVERY ESTIMATES » Prime Jumbo pool loss and tranche
recovery estimates » Alt-A pool loss and tranche recovery
estimates » Subprime pool loss and tranche recovery
estimates » SF Quick Check » RMBS HE Index » RMBS Jumbo Index
IN THIS ISSUE New Jersey Court Decision May Be Unique, but Still Bad for BofA and RMBS The Kemp case is unlikely to set precedent, but could still encourage more mortgage litigation, increasing servicing costs, delaying foreclosures, and pressuring BofA’s earnings. » See page 2
Robo-signing Causing Small Shifts in House Price Outlook The impact of “robo-signing” on foreclosures is beginning to show up in the housing data as homes in foreclosure inventory rise sharply. The impact on our housing outlook, however, is small. » See page 4
Resolution Timelines for Delinquent RMBS Loans Vary Among Major Servicers Among the loans serviced by seven major RMBS servicers, BAC Home Loan Servicing is performing the weakest as measured both by speed in resolving delinquent loans and proportion of delinquent loans that have yet to be resolved, while GMAC Mortgage has generally performed better than its peers. » See page 6
RMBS Deals Update We give updates on the RMBS transactions with documentation issues that we have highlighted in past issues. » See page 9
New Jersey Court Decision May Be Unique, but Still Bad for BofA and RMBS
On 16 November, a bankruptcy court in New Jersey dismissed Bank of America’s (BofA, Aa3 negative, C-/Baa2 stable) claim for standing to file a proof of claim in a borrower’s bankruptcy proceeding for a mortgage loan originated and securitized by Countrywide in 2006. The judge concluded Countrywide had failed to properly endorse and transfer possession of the mortgage note to the securitization’s trustee, leaving the securitization unable to participate in the borrower’s bankruptcy plan and without the right to pursue a deficiency judgment against the borrower. Last week BofA was reported in the press as saying that the facts upon which the judge based her conclusion may not have been correct.
We believe the case is an example of the heightened scrutiny on BofA/Countrywide’s mortgage business that will lead to increased litigation, higher servicing costs, and more foreclosure delays. This will pressure BofA’s earnings. Increased foreclosure timelines and costs associated with potentially defective loans will also increase losses for Countrywide-sponsored RMBS. This is negative for both BofA and Countrywide-sponsored RMBS.
Kemp v. Countrywide Home Loans, Inc. involves a May 2008 Chapter 13 bankruptcy filing where BofA/Countrywide, as mortgage servicer, filed a proof of claim on behalf of a securitization trust. Testimony by a BofA mortgage servicing employee and statements by BofA’s local attorney indicated that the mortgage note was never delivered, with endorsements, to the securitization trustee as required by the pooling and servicing agreement (a requirement typical of most securitizations). However, the employee also said she had never worked in originations (the area responsible for delivering the note), nor was she comfortable testifying on the extent to which the mortgage documents were moved. No additional information was provided to the court regarding the note’s chain of possession.
After the case was reported in the press, BofA highlighted that the employee’s testimony had been outside her area of expertise, and stated that “Countrywide’s policy and practice has been, and remains to fully comply with the pooling and servicing agreements, including forwarding any necessary documents to the trustee.”
In light of BofA’s statements, it appears the case was concluded without all of the relevant facts. This nonetheless raises questions not only about the Kemp loan but also about the broader applicability of the case to other bankruptcy and foreclosure proceedings. Based on documents we’ve seen, we don’t believe Countrywide as a matter of standard practice failed to deliver and endorse the mortgage notes to the trustee, and thus we don’t expect the Kemp case to set a wide precedent for bankruptcy cases involving Countrywide mortgages. In addition, the Kemp case should not set a precedent for permanently dismissing foreclosure cases. Unlike a bankruptcy case, if a court found similar defects as in the Kemp case in a foreclosure action and dismissed it, the servicer may still be able to cure those defects and re-file the foreclosure. While such defects would likely cause additional costs and delays, we think it unlikely that the foreclosure would be permanently dismissed. In a bankruptcy case, the servicer must have standing to file the proof of claim by the court’s deadline, whereas in foreclosure cases, servicers are generally in control of the timeline for initiating foreclosures.
While we don’t believe the documentation and transfer process was defective as a matter of standard practice, we still don’t know the extent to which individual loans may be defective. The pooling and servicing agreement required the trustee to send Countrywide a list of mortgage loans that did not meet the agreement’s document delivery requirements, including endorsing the original note and delivering it to the trustee. Countrywide was supposed to cure those exceptions within 90 days of such notice.
If BofA/Countrywide failed to comply with the pooling and servicing agreement on the Kemp loan, it would be required to repurchase the mortgage from the trust. If, however, as BofA’s statement implies, the Kemp loan was properly transferred and endorsed, BofA/Countrywide may not have to repurchase the loan, but may have to pay damages instead. Since BofA’s attorney and employee incorrectly represented these facts to the court, BofA may be liable to pay damages to the trust for failing to service in accordance with “customary and usual standards of practice of prudent mortgage loan lenders,” the servicing standard for the securitization. Such damages could include the amount of the trust’s legal expenses in the Kemp case, and could ultimately include damages as a result of BofA not being able to pursue a deficiency judgment and participate in the borrower’s bankruptcy plan. However, under the pooling and servicing agreement, the servicer is not liable for actions taken in good faith and for errors in judgment.
We believe any defects in the documentation and transfer process will increase foreclosure timelines and costs and in some cases may preclude the servicer from enforcing the mortgage altogether. We also believe the case will encourage other mortgage borrowers as well as investors in Countrywide securitizations to challenge BofA. We expect this will increase servicing and litigation costs for BofA, and could reveal defects in BofA’s mortgage servicing processes, exposing the bank to further unfavorable legal decisions.
The case is negative for RMBS in general. It shows that where sponsors failed to deliver and endorse the mortgage notes in accordance with the transaction documents, servicers may not be able to enforce bankruptcy proofs of claim and may be delayed from foreclosing when challenged by borrowers. The extent to which sponsors failed to adhere to the requirements in the transaction documents is unclear. The current Attorneys General investigations could shed light on this, although it is unclear whether their scope will include document transfer issues.
Operational flaws in supervising and lawyering foreclosures and bankruptcies also pose an issue for BofA and other servicers. The Kemp case reveals that the servicer’s employees and lawyers may be unaware of the complexity and requirements of the securitization process. This kind of disconnect between the servicing and the securitizing subject RMBS to additional delays, costs and losses – and is probably not confined to BofA.
4 MOODY’S RESI LANDSCAPE DECEMBER 9, 2010
Robo-signing Causing Small Shifts in House Price Outlook
The impact of the “robo-signing” on foreclosures is beginning to show up in the data. Homes in foreclosure inventory rose sharply in October compared to September, reflecting the fact that a number of large servicers placed a moratorium on foreclosures mid-way through October and were thus unable to complete these foreclosures and reduce their inventories. Servicers have already lifted some of these moratoriums and it is likely that business will return to usual by the beginning of next year. As a consequence, the impact on the house price outlook will be small, only slightly shifting the timing of the projected decline of house prices. We are holding firm to our expectation that the national house price, as measured by the Case-Shiller U.S. Home Price Index, will decline a total of 34% from peak to trough, bottoming in the third quarter of next year, and following closely, but in an inverse fashion, the REO inventory outlook (Chart 1).
CHART 1
Foreclosures Weigh on House Prices
120
125
130
135
140
145
150
155
160
165
0100200300400500600700800900
1,0001,1001,200
08 09 10 11
Thou
sand
s
REO inventories, ths Case-Shiller Home Price Index, index, 2000Q1=100
Source: Fiserv, RealtyTrac, Moody’s Analytics
The third quarter Case-Shiller U.S. Home Price index is consistent with our expectations that the end of the homebuyer tax credit would result in falling house prices. The index declined an annualized 13% from the second quarter. An increasing share of distressed homes sold helped to drive down the price index. Existing home sales dropped a sharp annualized 69% in the third quarter according to National Association of Realtors. The number of distressed sales also declined, but the decline was slightly smaller: According to RealtyTrac, the distressed sales’ share of total home sales increased from 24% to 25%. The record high inventory of foreclosures help fuel our house price outlook. As servicers work through this backlog of foreclosures, an increasing share of homes sold will be homes sold through a short sale, at auction to a third party, or as an REO sale to a third party. RealtyTrac reports that the average pre-foreclosure sale is discounted by 19%, while a REO sale is discounted by 41%.
The disposition of foreclosed homes will drag house prices down well into next year. Distress sales alone won’t necessarily impact house prices, but the larger the proportion of distress sales to normal, nondistress sales, the greater the downward pressure on house prices. Normal home sales will improve, but tight mortgage credit and lackluster job growth will keep the pace soft over the next several quarters. Concurrently, the large inventory of REO properties suggest that distress sales will rise. By the fourth quarter of 2011, a combination of fewer distress sales and strengthening in the underlying demand for homes will help house prices finally turn around. The
robo-signing problems alter this timing slightly. With fewer distressed properties being sold, the weight on house prices in the fourth quarter will lighten up, but will be greater in the first quarter of next year as mortgage servicers resubmit a larger number of loans with questionable paperwork.
Mortgage servicers are restarting the foreclosure process, but the progress is slow as servicers carefully scrutinize these loans and put into place more stringent processing procedures. For example, Bank of America announced it would resubmit 102,000 affidavits on pending foreclosures by the end of October, but it has resubmitted few thus far. The foreclosure data is beginning to reflect the moratoriums. According to LPS Analytics, loans that would otherwise progress to REO inventory are getting stuck in earlier stages of foreclosure. REO filings or other involuntary liquidation fell by 35% in October compared to September. Foreclosure inventories remain high, as a result, with RealtyTrac reporting that nearly 2.2 million properties were in some stage of foreclosure in October. Sales of homes in foreclosure have also slowed, as fewer homes go to REO and as buyers remain wary of purchasing a home that could be caught up by the delays. We’ve shifted our house price outlook slightly higher in the fourth quarter to account for the impact of the moratoriums.
The pace of resubmission should step up in the next month, and most servicers seem confident that they will work through most of these problem loans by early next year. Under these assumptions, foreclosure inventories will remain near the current high in the next couple of quarters, as new filings come in, while at the same time moratoriums slow the disposition of old filings. Keeping inventories from rising even higher is the fact that new foreclosure filings have likely peaked thanks to declining earlier stage delinquency rates. Delinquency rates are falling since many of the troubled loans have already gone delinquent. According to the Mortgage Bankers Association, 30 and 60 day mortgage delinquency rates peaked in early 2009 and have been trending down since, while the 90 day delinquency rate is declining after its 2010 first quarter high (see Chart 2). Foreclosure inventories will stabilize around this high level for the next two quarters, but sales of REOs to third parties and other types of distress sales such as a short sale or an auction sale to a third party will step up in the first quarter of next year as servicers resolve the foreclosure processing issues. As a result, we have shifted our first quarter 2011 outlook down slightly. The changes in the fourth quarter of this year and first quarter of next year largely offset each other and the overall peak-to-trough drop in house prices remains 34%, a decline of 5% from the third quarter of 2010.
CHART 2
Mortgage Delinquencies Have Peaked % Delinquent
0
1
2
3
4
5
6
05 06 07 08 09 10
30 days 60 days 90 days
Source: MBA
6 MOODY’S RESI LANDSCAPE DECEMBER 9, 2010
Resolution Timelines for Delinquent RMBS Loans Vary Among Major Servicers
The time mortgage loan servicers take to resolve delinquent loans through modification1 or foreclosure varies among the major servicers. Among the seven major RMBS servicers, BAC Home Loan Servicing has demonstrated the weakest performance measured both by its speed in resolving the status of delinquent loans and by its proportion of delinquent loans that it has yet to resolve. GMAC Mortgage, on the other hand, has generally performed better than its peers across all three private label RMBS asset types.
Our analysis includes loans that were seriously delinquent or in default at any time between June 2009 and August 2010 and that belonged to 2005-2008 vintage RMBS loan pools serviced by Wells Fargo Home Mortgage Inc. (Wells Fargo), BAC Home Loan Servicing (BAC), JPMorgan Chase Bank (JPMorgan), CitiMortgage Inc. (CitiMortgage), GMAC Mortgage, LLC (GMAC Mortgage), Ocwen Loan Servicing, LLC (Ocwen), and Litton Loan Servicing (Litton).2
We measured servicer performance across three main dimensions:
a) For delinquent loans that have neither been permanently modified nor liquidated, the average length of time that such loans have been seriously delinquent,
b) For the loans that have been liquidated or modified, the average time taken to liquidate or modify such loans since they first become seriously delinquent, and
c) The relative proportions of a servicer’s loans that at some time in the past were 90 days delinquent and that now reside in each loan status.
We present these measures as of August 2010 (Figures 1 & 2)3 because this approach enables us to isolate the delay in resolution timeline that we are observing from any subsequent delays resulting from the recent foreclosure issues that started cropping up in around September 2010.
BAC HAS LONGEST DELINQUENCY TIMELINES AND MOST UNRESOLVED DELINQUENCIES
Overall, BAC has demonstrated the weakest performance in resolving delinquent loans across the subprime, Alt-A, and Jumbo sectors. It holds the largest proportion of unresolved seriously delinquent loans, and its seriously delinquent loans have generally been delinquent longer than those of other major servicers. These observations are particularly true in the subprime sector, in
1 Due to inconsistent loan modification reporting standards, we assume that a loan has been modified if it transitions from 90 or more days delinquent or foreclosure status to current status.
2 Click here for the list of deals that have been included in the analysis.
3 The columns 2, 3, and 4 in Figure 1 show the first metric, columns 5 and 6 in Figure 1 show the second metric and columns in Figure 2 show the third metric.
which BAC inherited a large portfolio of poorly-performing loans when Bank of America acquired Countrywide. These loans have been unresolved for particularly long periods, as Bank of America agreed in a multi-state settlement with Attorneys General in October 2008 to evaluate each modification-eligible Countrywide loan on a case-by case basis and agreed not to initiate foreclosure proceedings until it had exhausted all modification efforts.
FIGURE 1
Average Months in Delinquency as of August 2010
FIGURE 2
Proportion of Loans in Different Delinquency Buckets as of August 2010
On average, subprime loans have been 90-plus days delinquent longer than unresolved Alt-A and Jumbo loans. This fact is due in part to the larger proportion of subprime borrowers that are eligible for HAMP modification on account of having better loan documentation and owner occupancy levels than Alt-A borrowers and less income than Jumbo borrowers. A loan’s HAMP eligibility means that the servicer must spend more time exhausting all loss mitigation options before proceeding to foreclosure.
Even subprime loans that are already in foreclosure are taking longer to be liquidated or modified than Alt-A or Jumbo loans that are currently in foreclosure. Servicers may not have exhausted all loss mitigation possibilities for such loans even though they have initiated the foreclosure process, and it takes longer to determine whether or not a subprime loan is eligible for HAMP. Furthermore, even in cases where servicers have exhausted all loss mitigation possibilities, properties backing subprime loans are typically in less desirable neighborhoods or lack proper maintenance when compared to properties backing Alt-A or Jumbo loans and thus take longer time to market.
VARIATION IN RESOLUTION TIMELINES BETWEEN SERVICERS IS LARGE
There is a large variation in the approach adopted by different servicers in resolving delinquent loans. Figure 3, which highlights one such comparison, shows the migration of subprime loans serviced by BAC and GMAC Mortgage after becoming 90 or more days delinquent. The speed at which a servicer moves a 90-plus delinquent loan into foreclosure or modification is much slower for BAC than for GMAC Mortgage. This difference appears in Figure 3, where the proportion of the loans that are still 90-plus days delinquent decreases much more gradually for BAC than for GMAC-Mortgage. On average, BAC will resolve 50% of its loans within about 14 months of becoming 90 days delinquent, while GMAC Mortgage will resolve 50% of its loans within only about 4 months.
FIGURE 3
BAC-Serviced Subprime Loans
0
20,000
40,000
60,000
80,000
100,000
120,000
140,000
160,000
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35
Loan
s tha
t hav
e be
en 9
0+
Reso
lutio
n Ra
te (
% to
tal d
elin
quen
t loa
ns)
Months Delinquent
90+ ForeclosureREO LiquidatedModified Loans that have been 90+
GMAC-serviced subprime Loans
0
5,000
10,000
15,000
20,000
25,000
30,000
35,000
40,000
45,000
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35
Loan
s tha
t hav
e be
en 9
0+
Reso
lutio
n Ra
te (
% to
tal d
elin
quen
t loa
ns)
Months Delinquent
90+ ForeclosureREO LiquidatedModified Loans that have been 90+
9 MOODY’S RESI LANDSCAPE DECEMBER 9, 2010
RMBS Deals Update
In a number of Resi Landscape editions, we have highlighted RMBS transactions with documentation issues. In some deals we found conflicting language between the Prospectus Supplement and the Pooling and Serving Agreement (PSA), while in some others, loss and principal distribution rules were not followed. In this update, we will make note of these deals and the issues we encounter, as well as any resolutions. We will also maintain a spreadsheet with a cumulative list of these deals.
CONFLICTING LANGUAGE BETWEEN THE PROSPECTUS SUPPLEMENT AND THE POOLING AND SERVING AGREEMENT (PSA)
Super Senior Support
Deals which have different bonds listed as super senior supports in the prospectus supplements versus the PSA.
» Indymac INDX Mortgage Loan Trust 2005-AR23:
– Prospectus supplement: denotes Class 3-A-2 as a support class to Class 3-A-1.
– PSA: allocates losses to Class 3-A-1 and Class 3-A-2 on a pro-rata basis.
– Outcome: Trustee will follow the PSA.
Our Resi Landscape article on the deal can be found here.
» American Home Mortgage Investment Trust 2005-2:
– Prospectus supplement: states that when the subordinate certificates are depleted, realized losses in respect of the mortgage loans in Loan Group I will be allocated to the Class I-A-3 then to I-A-2 in that order.
– PSA: first allocates losses to I-A-2 then I-A-3.
– Outcome: Trustee will follow the PSA.
» Deutsche Alt-B Securities, Inc. Mortgage Loan Trust Series 2006-AB3:
– Prospectus supplement: states that when the subordinate certificates are depleted, Cl. A-5A, wrapped by Assured, does not have any super senior support and will be allocated its pro rata share of realized losses.
– PSA: states that realized losses otherwise allocable to the Cl. A-5A will be allocated to Cl. A-6.
– Outcome: Trustee will follow the PSA.
» CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-J5:
– Prospectus supplement: denotes that class 1A4, does not have any super senior support and actually supports class 1A2.
– PSA: states that class 1A5 supports class 1A4.
– Outcome: The trustee is amending the PSA to conform to the loss allocation rules set forth in the Prospectus.
– Prospectus supplement: denotes Tranche 1-A2 as a support class to Tranche 1-A1.
– PSA: allocates losses to 1-A1 and 1-A2 on a pro-rata basis.
– Outcome: The Trustee has confirmed that it is following the PSA.
PRINCIPAL DISTRIBUTION BEFORE OR AFTER CREDIT SUPPORT DEPLETION DATE
Deals which have prospectus supplements that provide for certain allocation of payments to senior bonds before and after subordination depletion, while the transactions’ PSAs do not allow for such cashflow allocation rules.
– Prospectus supplement: after subordination depletion, principal would switch from sequential payments to pro-rata payments to all the senior certificates.
– PSA: silent with respect to any change in principal payments to the senior tranches after subordination depletion.
– Outcome: Trustee will follow the PSA. After subordination depletion, principal will continue to be allocated sequentially as follows: (i) pro-rata to Classes A-4 and A-4M, then (ii) pro-rata to Classes A-5 and A-5M, and then (iii) pro-rata to Classes A-6 and A-6M.
– Prospectus Supplement: after subordination depletion, principal would switch from sequential payments to pro-rata payments to all the senior certificates.
– PSA: Classes A-2A, A-2B and A-2C would continue to receive principal sequentially even after subordination depletion.
– Prospectus supplement: after subordination depletion, principal would switch from sequential payments to pro-rata payments to all the senior certificates.
– PSA: silent with respect to any change in principal payments to the senior tranches after subordination depletion.
– Outcome: Trustee will follow the PSA. After subordination depletion, principal will continue to be allocated sequentially to Classes A-1, A-2 and A-3.
Resi Landscape article describing these Impac deals can be found here.
» BCAP LLC Trust 2007-AA1:
– Prospectus supplement: after subordination depletion, principal would switch from sequential payments to pro-rata payments to all the senior certificates.
– PSA: silent with respect to any change in principal payments to the senior tranches after subordination depletion.
– Outcome: Trustee will follow the PSA. After subordination depletion, principal will continue to be allocated sequentially to Classes 1-A-1, 1-A-2 and 1-A-3.
DEALS WITH MISINTERPRETED PRINCIPAL AND LOSS ALLOCATION RULES
» First Horizon Mortgage Securities Trust 2005-AA12 and First Horizon Alternative Mortgage Securities Trust 2006-AA4 – Deal Docs: The PSA prohibits the allocation of losses to notes supported by an over-
collateralized pool.
– The issue: The trustee was allocating losses to senior notes from the overcollateralized group. The issue was discussed in detail in the Resi Landscape article found here.
– Outcome: The trustee has written back up several bonds and restated remittance reports.
» Asset Backed Securities Corporation Home Equity Loan Trust 2006-HE2, Asset Backed Securities Corporation Home Equity Loan Trust 2006-HE4, and Asset Backed Securities Corporation Home Equity Loan Trust NC 2005-HE8
– Deal Docs: The definition of stepdown date limits the occurrence of a sequential trigger event. Stepdown date is defined as the earlier to occur of 1) the distribution date on which the class A certificates balance has been reduced to zero 2) the later to occur of a) deal’s 3 years anniversary and b) the distribution date on which the credit enhancement available for the seniors exceeds a certain percentage.
– The issue: The trustee is distributing principal to A1 and A1A sequentially although a sequential trigger event is not in effect.
– Outcome: We have contacted the trustee, but the bonds continue to pay sequentially. We have taken rating actions that reflect what we believe to be the uncertainty in the situation.
A previously published Resi Landscape article explains the issue in more detail in the context of several RALI Option Arm deals, which can be found here.
Housing Affordability Index 189.1 139.2 172.4 175.6 180.8 170.1
Economic Indicator Forecasts, December 2010
Baseline Forecast, Moody’s Analytics
Sources: FHFA, Fiserv, National Association of Realtors, Moody's Analytics
13 MOODY’S RESI LANDSCAPE DECEMBER 9, 2010
RATINGS ACTIVITY
Announcements
POOL EXPECTED LOSSES AND TRANCHE RECOVERY ESTIMATES
We publish our most recent loss projections on all prime Jumbo, Alt-A, and Subprime transactions that we have rated from 2005 through 2008.
To provide information on our expectations of the magnitude and timing of expected losses at the individual security or tranche level, we publish our bond recovery estimates for every security that we have rated in 2005-2008 vintage U.S. Subprime, prime Jumbo, Alt-A and Option ARM RMBS transactions.
The spreadsheets are updated on a regular basis.
» Prime Jumbo pool loss and tranche recovery estimates
» Alt-A pool loss and tranche recovery estimates
» Subprime pool loss and tranche recovery estimates
NEW ISSUANCE
Resecuritizations
Underlying Bond Stats Resecuritized Bonds Stats
Closing Date
Underlying Deal Class
Underlying Rating at
Resec Closing
Group in Resec
Deal
Size of Senior
Bond %
Size of Support Bond %
New Sr Rating
New Mezz
Rating
Mar-10 Banc of America Funding 2010-R3 Trust
1 Prime Mortgage Trust, Mortgage Pass-
Through Certificates, Series 2007-3 Cl. 1-A-1 3 55% 45% Aaa NR
Jul-10 RBSSP Resecuritization Trust 2010-6
First Franklin Mortgage Loan Trust 2006-FF4
Cl. A-2 Caa1 1 51% 49% Baa1 NR
Aug-10 RBSSP Resecuritization Trust 2010-9
Bear Stearns Asset Backed Securities I Trust 2006-HE8
CREDIT RATINGS ARE MOODY'S INVESTORS SERVICE, INC.'S (“MIS”) CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MIS DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. CREDIT RATINGS DO NOT CONSTITUTE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS ARE NOT RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. CREDIT RATINGS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MIS ISSUES ITS CREDIT RATINGS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.
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Moody’s Resi Landscape Editorial Board
Claire Robinson Senior Managing Director Moody’s Structured Finance Group
Debash Chatterjee Senior Vice President Asset-backed Securities
Navneet Agarwal Senior Vice President Asset-backed Securities
John Park Team Managing Director Asset-backed Securities
Linda Stesney Team Managing Director Asset-backed Securities
