New York, May 12, 2011 -- The May 6, 2011 press release for this action failed to identify
that one of the affected transactions is backed by Option-ARM collateral.
This has been corrected, and the full explanation provided.
Revised release follows.
New York, May 6, 2011: Moody's Investors Service has
downgraded the ratings of 78 tranches and confirmed the ratings of six
tranches from eight prime jumbo deals and one Option-ARM deal (CSFB
2002-P1) issued by Credit Suisse. The collateral backing
these deals consists primarily of first-lien, fixed and adjustable
rate prime jumbo and Option-ARM residential mortgages.
RATINGS RATIONALE
The actions are a result of deteriorating performance of prime jumbo and
Option-ARM pools securitized before 2005. Although most
of these pools have paid down significantly, the remaining loans
are affected by the housing and macroeconomic conditions that remain under
duress.
The principal methodology used in these ratings is described in the Monitoring
and Performance Review section in "Moody's Approach to Rating US Residential
Mortgage-Backed Securities" published in December 2008.
Other methodologies used include "Pre-2005 US RMBS Surveillance
Methodology" published in January 2011, which accounts for the deteriorating
performance and outlook.
To assess the rating implications of the updated loss levels on prime
jumbo RMBS, each individual pool was run through a variety of scenarios
in the Structured Finance Workstation® (SFW), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the different
pools and the structural features of the transaction including priorities
of payment distribution among the different tranches, average life
of the tranches, current balances of the tranches and future cash
flows under expected and stressed scenarios. The scenarios include
fifty four different combinations comprising of six loss levels,
three loss timing curves and three prepayment curves. For ratings
implied Aa3 and above, an additional prepayment curve is run to
assess resilience to a high prepayment scenario.
The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology"
is adjusted slightly when estimating losses on pools left with a small
number of loans to account for the volatile nature of small pools.
Even if a few loans in a small pool become delinquent, there could
be a large increase in the overall pool delinquency level due to the concentration
risk. To project losses on pools with fewer than 100 loans,
Moody's first estimates a "baseline" average rate of new delinquencies
for the pool that varies from 3% to 5% on average for a
jumbo pool. The baseline rates are higher than the average rate
of new delinquencies for larger pools for the respective vintages.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level of current
delinquencies in the pool. The fewer the number of loans remaining
in the pool, the higher the volatility in performance. Once
the loan count in a pool falls below 75, the rate of delinquency
is increased by 1% for every loan less than 75. For example,
for a pool with 74 loans with a base rate of new delinquency of 3.00%,
the adjusted rate of new delinquency would be 3.03%.
in addition, if current delinquency levels in a small pool is low,
future delinquencies are expected to reflect this trend. To account
for that, the rate calculated above is multiplied by a factor ranging
from 0.75 to 2.5 for current delinquencies ranging from
less than 2.5% to greater than 10% respectively.
Delinquencies for subsequent years and ultimate expected losses are projected
using the approach described in the methodology publication.
Moody's has withdrawn the ratings of 14 tranches from the CSFB Mortgage-Backed
Pass-Through Certificates, Series 2002-AR33 transaction.
The tranches were backed by a pool of mortgage loans with a pool factor
less than 5% and containing fewer than 40 loans. Moody's
current RMBS surveillance methodologies apply to pools with at least 40
loans and a pool factor of greater than 5%. As a result,
Moody's may withdraw its rating when the pool factor drops below 5%
and the number of loans in the pool declines to 40 loans or lower unless
specific structural features allow for a monitoring of the transaction
(such as a credit enhancement floor or pool insurance). Moody's
Investors Service has withdrawn the credit rating pursuant to published
credit rating methodologies that allow for the withdrawal of the credit
rating if the size of the pool outstanding at the time of the withdrawal
has fallen below a specified level. Please refer to Moody's Investors
Service Withdrawal Policy, which can be found on our website,
www.moodys.com.
Moody's is also reinstating the rating on Class I-P issued by CSFB
Mortgage-Backed Pass-Through Certificates, Series
2003-23. The rating on this tranche was previously withdrawn
due to an internal administrative error.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment levels remain high, and
weakness persists in the housing market. Overall, Moody's
assumes a further 5% decline in home prices with stabilization
in late 2011, accompanied by continued stress in national employment
levels through that timeframe.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Complete rating actions are as follows:
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Pass-Through Certificates, 2002-P1
Cl. A, Downgraded to A1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to A1 (sf); previously on Apr
15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. B-1, Downgraded to Baa2 (sf); previously
on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to B2 (sf); previously on
Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to Ca (sf); previously on
Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C (sf); previously on
Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. B-5, Downgraded to C (sf); previously on
Aug 25, 2008 Downgraded to Ca (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2002-AR31
Cl. I-A-1, Downgraded to A1 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Aa3 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. II-X, Downgraded to Aa3 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to Aa2 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. III-X, Downgraded to Aa2 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. IV-A-1, Confirmed at Aaa (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. IV-A-2, Confirmed at Aaa (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. IV-A-3, Confirmed at Aaa (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to Aa3 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. VI-A-1, Downgraded to Aa3 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. C-B-1, Downgraded to Baa2 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. C-B-2, Downgraded to B1 (sf); previously
on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-3, Downgraded to Caa3 (sf); previously
on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-4, Downgraded to Ca (sf); previously
on Apr 15, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-5, Downgraded to C (sf); previously
on Apr 15, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2002-AR33
Cl. I-A-1, Withdrawn (sf); previously
on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Withdrawn (sf); previously
on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. II-X, Withdrawn (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. III-A-1, Withdrawn (sf); previously
on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-2, Withdrawn (sf); previously
on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-3, Withdrawn (sf); previously
on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-4, Withdrawn (sf); previously
on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. III-X, Withdrawn (sf); previously on Apr
15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. IV-A-1, Withdrawn (sf); previously
on Apr 15, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-1, Withdrawn (sf); previously
on Apr 15, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-2, Withdrawn (sf); previously
on Apr 15, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-3, Withdrawn (sf); previously
on Apr 15, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-4, Withdrawn (sf); previously
on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. C-B-5, Withdrawn (sf); previously
on Jul 9, 2009 Downgraded to C (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2003-10
Cl. I-A-2, Downgraded to Aa3 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to A2 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. I-A-4, Downgraded to Aa3 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. I-X, Downgraded to Aa3 (sf); previously on
Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. I-P, Downgraded to A1 (sf); previously on
Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to A1 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. II-X, Downgraded to A1 (sf); previously on
Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-P, Downgraded to A1 (sf); previously on
Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. C-B-1, Downgraded to Ba1 (sf); previously
on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-2, Downgraded to Caa2 (sf); previously
on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-3, Downgraded to C (sf); previously
on Apr 15, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2003-19
Cl. I-A-1, Downgraded to A1 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Confirmed at Aa1 (sf); previously
on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-4, Downgraded to A1 (sf); previously
on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-14, Downgraded to A1 (sf); previously
on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-15, Confirmed at Aa1 (sf); previously
on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-19, Downgraded to A1 (sf); previously
on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-23, Downgraded to A2 (sf); previously
on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. I-X, Confirmed at Aa2 (sf); previously on
Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. I-P, Downgraded to A1 (sf); previously on
Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to A1 (sf); previously
on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. II-X, Downgraded to A1 (sf); previously on
Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. II-P, Downgraded to A1 (sf); previously on
Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-2, Downgraded to B2 (sf); previously
on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-3, Downgraded to Ca (sf); previously
on Apr 15, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-4, Downgraded to C (sf); previously
on Apr 15, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2003-AR12
Cl. I-A-1, Downgraded to Ba2 (sf); previously
on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to B1 (sf); previously
on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Ba2 (sf); previously
on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to Ba2 (sf); previously
on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-3, Downgraded to Ba2 (sf); previously
on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to Ba2 (sf); previously
on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. III-X-A-1, Downgraded to Ba2 (sf);
previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible
Downgrade
Cl. C-B-1, Downgraded to Caa3 (sf); previously
on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-2, Downgraded to C (sf); previously
on Apr 15, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-3, Downgraded to C (sf); previously
on Apr 15, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2003-AR15
Cl. I-A-1, Downgraded to Baa3 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to A3 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to Baa3 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. II-X, Downgraded to A3 (sf); previously on
Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to Baa2 (sf);
previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible
Downgrade
Cl. C-B-1, Downgraded to B2 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. C-B-2, Downgraded to Caa3 (sf); previously
on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-3, Downgraded to Ca (sf); previously
on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2003-AR22
Cl. I-A-1, Downgraded to Ba3 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. II-A-4, Downgraded to B1 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. II-A-5, Downgraded to B1 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to B1 (sf); previously
on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. C-B-1, Downgraded to Ca (sf); previously
on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-2, Downgraded to C (sf); previously
on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-3, Downgraded to C (sf); previously
on Apr 15, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-4, Downgraded to C (sf); previously
on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2003-AR24
Cl. I-A-1, Downgraded to Baa1 (sf); previously
on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-4, Downgraded to Baa1 (sf); previously
on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to Baa1 (sf);
previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible
Downgrade
Cl. IV-A-1, Downgraded to A3 (sf); previously
on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to Baa2 (sf); previously
on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-1, Downgraded to B3 (sf); previously
on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-2, Downgraded to Ca (sf); previously
on Apr 15, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-3, Downgraded to C (sf); previously
on Apr 15, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-4, Downgraded to C (sf); previously
on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. C-B-5, Downgraded to C (sf); previously
on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2003-23
Cl. I-P, Reinstated to A1 (sf)
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF245312
A list of updated estimated pool losses and sensitivity analysis for the
prime jumbo pools 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_SF243269
A list of updated estimated pool losses and sensitivity analysis for the
Option ARM pool is being posted on an ongoing basis for the duration of
this review period and may be found at:
Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information, and confidential
and proprietary Moody's Analytics information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Max Sauray
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Deepika Kothari
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Correction to Text, May 6, 2011 release: Moody's takes action on $321.36 million of Prime Jumbo and Option-ARM RMBS issued by Credit Suisse First Boston Mortgage Securities Corp. from 2002 to 2003
