2009-11-30 23:27:57 -
Fitch rates RBSSP Resecuritization Trust 2009-12 as follows.
--$10,423,000 class 5-A1 'AAA'; Outlook Stable;
--$8,867,000 class 5-A3 'AAA'; Outlook Stable;
--$1,556,000 class 5-A4 'AAA'; Outlook Stable;
--$8,599,000 class 7-A1 'AAA'; Outlook Stable;
--$7,453,000 class 7-A3 'AAA'; Outlook Stable;
--$1,146,000 class 7-A4 'AAA'; Outlook Stable.
This transaction contains certain classes designated as Initial Exchangeable certificate and others as
Exchangeable certificates. Class 5-A1 is an Initial Exchangeable certificate and is exchangeable for the combination of Exchangeable notes 5-A3 and 5-A4. Class 7-A1 is an Initial Exchangeable certificate and is exchangeable for the combination of Exchangeable notes 7-A3 and 7-A4.
This transaction consists of 20 groups. Each group is a resecuritization of an ownership interest in one or more mortgage-backed certificates.
Fitch rated groups 5 and 7. The underlying certificates of the Fitch-rated groups are backed by conventional Prime first-lien mortgage loans.
The underlying collateral and cash-flow structure were analyzed according to Fitch's 'Global Structured Finance Rating Criteria,' dated Sept. 30, 2009, 'U.S. Residential Mortgage Re-REMIC,' dated Aug. 20, 2009 and 'ResiLogic: U.S. Residential Mortgage Loss Model,' dated Aug.
11, 2009.
ResiLogic, the regression-based model used by Fitch, takes into account multiple risk factors which can broadly be placed into three categories in the following order of influence: seasoned loan risks, economic risks, and collateral risks. For seasoned loan risks, the delinquency status and volatility are the most important with regards to Frequency of Foreclosure (FOF), while change in home price index and loan age are the most important with regards to Loss Severity (LS). Economic risk is solely comprised of state and MSA level risk multipliers as well as a national multiplier. In the category of collateral risk, the credit score, credit sector, and combined loan-to-value (CLTV) ratio are the most heavily-weighted risk factors in calculating the FOF. Closing balance, loan-to-value (LTV) ratio and loan coupon are the most heavily-weighted risk factors in calculating Loss Severity.
As resecuritizations, the certificates will receive their cash-flow from the underlying classes of certificates. The group-to-bond associations are as follows.
Group 5: 18.17% interest in the WaMu Mortgage Pass-Through Certificates Series 2006-AR6, class 2-A3. Credit Enhancement for the 5-A1, 5-A3 and 5-A4 certificates is provided by the structural support on the underlying transaction and by the 33% class 5-A2 bond.
Group 7: 7.23% interest in the Wells Fargo Mortgage Backed Securities Trust Series 2006-AR15, class A-1. Credit Enhancement for the 7-A1, 7-A3 and 7-A4 certificates is provided by the structural support on the underlying transaction and by the 25% class 7-A2 bond. Due to concerns over recent pool performance and volatility, loss levels were adjusted higher than the ResiLogic model results.
The loan level information used in analyzing pools is taken from the Loan Performance database. In general, fields in the data tapes are complete. However, for this deal, the back-end debt-to-income (DTI) ratio field was missing. For loans missing DTI information, Fitch uses an industry-standard assumption.
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Fitch Ratings, New YorkRachel Brach, 212-908-0224Michelle
Gilbert, 212-908-0892Roelof Slump, 212-908-0705orMedia
Relations:Sandro Scenga, 212-908-0278Email:
sandro.scenga@fitchratings.com : mailto:sandro.scenga@fitchratings.com
