MOODY'S PLACES 148 JUMBO RESIDENTIAL MBS TRANCHES UNDER REVIEW FOR POSSIBLE UPGRADE
New York, August 20, 2004 -- Moody's has placed 148 tranches from 43 Y-structure securitizations
on review for possible upgrade. The rating actions follow Moody's
comprehensive examination of "jumbo" securitizations issued
and rated from 2001 through 2003. The examination was prompted
by the unusually strong mortgage credit environment of the past few years,
which includes rapid industry-wide prepayment speeds and generally
rising home prices.
Over the last several years the jumbo RMBS securitization market has experienced
very strong performance. Many securitization pools have experienced
no losses or very low levels of losses. High prepayment rates,
combined with the virtually standard jumbo RMBS shifting interest structure,
have resulted in a significant increase in tranche credit enhancement
levels. In the standard shifting interest structure, 100%
of prepayment principal is allocated to the senior most tranche,
typically for at least the first five years. High prepayment rates
have also reduced loss rates, as some loans that may have defaulted
in later years have prepaid prior to the borrower experiencing a "life
event." While the economic environment of the recent past
has caused some financial strain on borrowers, the strong housing
market has enabled many borrowers to avoid foreclosure by selling their
properties prior to incurring any loss on the mortgage loan. In
addition, the continued strong housing market has decreased the
amount of the loss realized on the low percentage of loans that have experienced
a loss.
Among the 148 tranches on review for possible upgrade were 5 super senior
support tranches. Super senior support tranches carry more risk
than a senior tranche that is not divided into super senior and support
tranches. This risk is due to the potentially higher severity of
loss on the support tranche, should a loss be realized. The
5 senior support tranches have been placed under review for upgrade due
to the substantial increase in credit enhancement percentages since issuance.
The complete rating action is as follows:
The following classes are on review for upgrade:
ABN AMRO 2002-1A, Class B-1, Current Rating
Aa2
ABN AMRO 2002-1A, Class B-2, Current Rating
A2
ABN AMRO 2002-1A, Class B-3, Current Rating
Baa2
ABN AMRO 2002-1A, Class B-4, Current Rating
Ba2
ABN AMRO 2002-5, Class B-1, Current Rating Aa2
ABN AMRO 2002-5, Class B-2, Current Rating A2
ABN AMRO 2002-5, Class B-3, Current Rating Baa2
ABN AMRO 2002-5, Class B-4, Current Rating B2
Bank of America 2002-H, Class B-2, Current Rating
Aa2
Bank of America 2002-H, Class B-3, Current Rating
A2
Bank of America 2002-H, Class B-4, Current Rating
Baa2
Bank of America 2002-H, Class B-5, Current Rating
Ba2
Bear Stearns ARM Trust 2001-4, Class B-1, Current
Rating Aa2
Bear Stearns ARM Trust 2001-4, Class B-2, Current
Rating A2
Bear Stearns ARM Trust 2001-4, Class B-3, Current
Rating Baa2
Bear Stearns ARM Trust 2001-7, Class B-1, Current
Rating Aa2
Bear Stearns ARM Trust 2001-7, Class B-2, Current
Rating A2
Bear Stearns ARM Trust 2001-7, Class B-3, Current
Rating Baa2
Bear Stearns ARM Trust 2001-7, Class B-4, Current
Rating Ba2
Bear Stearns ARM Trust 2002-5, Class B-1, Current
Rating Aa2
Bear Stearns ARM Trust 2002-5, Class B-2, Current
Rating A2
Bear Stearns ARM Trust 2002-5, Class B-3, Current
Rating Baa2
Bear Stearns ARM Trust 2002-7, Class B-1, Current
Rating Aa2
Bear Stearns ARM Trust 2002-7, Class B-2, Current
Rating A2
Bear Stearns ARM Trust 2002-7, Class B-3, Current
Rating Baa2
Bear Stearns ARM Trust 2002-8, Class B-1, Current
Rating Aa2
Bear Stearns ARM Trust 2002-8, Class B-2, Current
Rating A2
Bear Stearns ARM Trust 2002-8, Class B-3, Current
Rating Baa2
Bear Stearns ARM Trust 2002-8, Class B-4, Current
Rating Ba2
Bear Stearns ARM Trust 2002-8, Class B-5, Current
Rating B2
Bear Stearns ARM Trust 2002-9, Class B-1, Current
Rating Aa2
Bear Stearns ARM Trust 2002-9, Class B-2, Current
Rating A2
Bear Stearns ARM Trust 2002-9, Class B-3, Current
Rating Baa2
Bear Stearns ARM Trust 2002-10, Class B-1, Current
Rating Aa2
Bear Stearns ARM Trust 2002-10, Class B-2, Current
Rating A2
Bear Stearns ARM Trust 2002-10, Class B-3, Current
Rating Baa2
Bear Stearns ARM Trust 2002-10, Class B-4, Current
Rating Ba2
Bear Stearns ARM Trust 2003-1, Class B-1, Current
Rating Aa2
Bear Stearns ARM Trust 2003-1, Class B-2, Current
Rating A2
Bear Stearns ARM Trust 2003-1, Class B-3, Current
Rating Baa2
Bear Stearns ARM Trust 2003-3, Class B-1, Current
Rating Aa2
Bear Stearns ARM Trust 2003-3, Class B-2, Current
Rating A2
Chase Mortgage 2002-S6, Class M, Current Rating Aa1
Chase Mortgage 2002-S6, Class B-1, Current Rating
A1
Chase Mortgage 2002-S6, Class B-2, Current Rating
Baa1
Chase Mortgage 2002-S6, Class B-3, Current Rating
Ba2
CHL Mortgage 2001-HYB1, Class B-1, Current Rating
Aa2
CHL Mortgage 2001-HYB1, Class B-2, Current Rating
A3
CHL Mortgage 2001-HYB1, Class B-3, Current Rating
Baa2
CHL Mortgage 2001-HYB1, Class B-4, Current Rating
Ba3
CHL Mortgage 2002-1, Class B-1, Current Rating
Aa2
CHL Mortgage 2002-1, Class B-2, Current Rating
A2
CHL Mortgage 2002-7, Class B-1, Current Rating
Aa2
CHL Mortgage 2002-7, Class B-2, Current Rating
A2
CHL Mortgage 2002-7, Class B-3, Current Rating
Baa2
CHL Mortgage 2001-HYB2, Class M, Current Rating Aa2
CHL Mortgage 2001-HYB2, Class B-1, Current Rating
A2
CHL Mortgage 2003-HYB1, Class M, Current Rating Aa2
CHL Mortgage 2003-HYB1, Class B-1, Current Rating
A2
CHL Mortgage 2003-HYB1, Class B-2, Current Rating
Baa2
CHL Mortgage 2003-HYB2, Class M, Current Rating Aa2
CHL Mortgage 2003-HYB2, Class B-1, Current Rating
A2
CHL Mortgage 2003-HYB2, Class B-2, Current Rating
Baa2
Citicorp Mortgage 2003-2, Class IA-14, Current
Rating Aa1
Citicorp Mortgage 2003-2, Class B-2, Current
Rating A2
Citicorp Mortgage 2003-2, Class B-3, Current
Rating Baa2
Fifth Third Mortgage 2002-FTB1, Class C-B-1,
Current Rating Aa3
FNT Mortgage 2001-1, Class M-3, Current Rating
A2
GSR Mortgage 2003-1, Class B-1, Current Rating
Aa2
GSR Mortgage 2003-1, Class B-2, Current Rating
A2
GSR Mortgage 2003-1, Class B-3, Current Rating
Baa2
MASTR Adjustable Rate Mortgages 2002-3, Class B-1,
Current Rating Aa3
MASTR Adjustable Rate Mortgages 2002-3, Class B-2,
Current Rating A2
MASTR Adjustable Rate Mortgages 2002-3, Class B-3,
Current Rating Baa2
MASTR Adjustable Rate Mortgages 2002-3, Class B-4,
Current Rating Ba2
MASTR Adjustable Rate Mortgages 2002-4, Class B-1,
Current Rating Aa2
MASTR Adjustable Rate Mortgages 2002-4, Class B-2,
Current Rating A2
MASTR Adjustable Rate Mortgages 2002-4, Class B-3,
Current Rating Baa2
MASTR Adjustable Rate Mortgages 2002-4, Class B-4,
Current Rating Ba2
MASTR Adjustable Rate Mortgages 2002-4, Class B-5,
Current Rating B3
MASTR Asset Securitization 2002-3, Class B-1,
Current Rating Aa1
MASTR Asset Securitization 2002-3, Class B-2,
Current Rating Aa3
MASTR Asset Securitization 2002-3, Class B-3,
Current Rating A3
MASTR Asset Securitization 2002-3, Class B-4,
Current Rating Baa3
MASTR Asset Securitization 2002-6, Class 3-A-2,
Current Rating Aa1
MASTR Asset Securitization 2002-6, Class B-2,
Current Rating A3
MASTR Asset Securitization 2002-7, Class 1-A-5,
Current Rating Aa1
MASTR Asset Securitization 2002-7, Class 2-A-14,
Current Rating Aa1
MASTR Asset Securitization 2002-7, Class 2-A-15,
Current Rating Aa1
MASTR Asset Securitization 2002-7, Class B-1,
Current Rating Aa3
MASTR Asset Securitization 2002-7, Class B-2,
Current Rating A3
MASTR Asset Securitization 2002-7, Class B-3,
Current Rating Baa3
MASTR Asset Securitization 2002-7, Class B-4,
Current Rating Ba3
Merrill Lynch Mortgage 2001-S1, Class M-2, Current
Rating Aa2
Merrill Lynch Mortgage 2001-S1, Class M-3, Current
Rating A2
MLMI 2002-A2, Class M-1, Current Rating Aa1
MLMI 2002-A2, Class M-2, Current Rating A1
MLMI 2002-A2, Class M-3, Current Rating Baa1
MLMI 2002-A2, Class B-1, Current Rating Ba1
MLMI 2002-A2, Class B-2, Current Rating B2
Salomon 2002-HYB1, Class M-2, Current Rating
Aa2
Salomon 2002-HYB1, Class M-3, Current Rating
A2
Salomon 2002-HYB1, Class B-1, Current Rating
Baa2
Salomon 2002-HYB1, Class B-2, Current Rating
Ba2
Wachovia Asset 2002-1, Class B-1, Current Rating
Aa2
Wachovia Asset 2002-1, Class B-2, Current Rating
A2
Wachovia Asset 2002-1, Class B-3, Current Rating
Baa2
Wachovia Asset 2002-1, Class B-4, Current Rating
Ba2
Wachovia Asset 2002-1, Class B-5, Current Rating
B2
WaMu 2002-AR5, Class B-1, Current Rating Aa2
WaMu 2002-AR5, Class B-2, Current Rating A2
WaMu 2002-AR5, Class B-3, Current Rating Baa2
WaMu 2002-AR5, Class B-4, Current Rating Ba2
WaMu 2002-AR5, Class B-5, Current Rating B2
WaMu MSC 2001-MS14, Class C-B-2, Current
Rating Aa2
WaMu MSC 2001-MS14, Class C-B-3, Current
Rating Baa2
WaMu MSC 2001-MS14, Class C-B-4, Current
Rating Ba2
Washington Mutual MSC 2002-MS3, Class C-B-1,
Current Rating Aa1
Washington Mutual MSC 2002-MS3, Class C-B-2,
Current Rating Aa3
Washington Mutual MSC 2002-MS3, Class C-B-3,
Current Rating A3
Washington Mutual MSC 2002-MS3, Class C-B-4,
Current Rating Baa3
Washington Mutual MSC 2002-MS4, Class C-B-1,
Current Rating Aa1
Washington Mutual MSC 2002-MS4, Class C-B-2,
Current Rating Aa3
Washington Mutual MSC 2002-MS4, Class C-B-3,
Current Rating A3
Washington Mutual MSC 2002-MS4, Class C-B-4,
Current Rating Ba1
Washington Mutual MSC 2002-MS5, Class C-B-1,
Current Rating Aa1
Washington Mutual MSC 2002-MS5, Class C-B-2,
Current Rating Aa3
Washington Mutual MSC 2002-MS5, Class C-B-3,
Current Rating A3
Washington Mutual MSC 2002-MS5, Class C-B-4,
Current Rating Baa3
Washington Mutual MSC 2002-MS6, Class C-B-2,
Current Rating Aa3
Washington Mutual MSC 2002-MS6, Class C-B-3,
Current Rating A3
Washington Mutual MSC 2002-MS6, Class C-B-4,
Current Rating Baa3
Washington Mutual MSC Mortgage 2002-AR2, Class B-1,
Current Rating Aa2
Washington Mutual MSC Mortgage 2002-AR2, Class B-2,
Current Rating A2
Washington Mutual MSC Mortgage 2002-AR2, Class B-3,
Current Rating Baa2
Washington Mutual MSC Mortgage 2002-AR3, Class B-1,
Current Rating Aa2
Washington Mutual MSC Mortgage 2002-AR3, Class B-2,
Current Rating A2
Washington Mutual MSC Mortgage 2002-AR3, Class B-3,
Current Rating Baa2
Washington Mutual MSC Mortgage 2003-AR1, Class B-1,
Current Rating Aa2
Washington Mutual MSC Mortgage 2003-AR1, Class B-2,
Current Rating A2
Washington Mutual MSC Mortgage 2003-AR1, Class B-3,
Current Rating Baa2
Washington Mutual MSC Mortgage 2003-AR2, Class B-1,
Current Rating Aa2
Washington Mutual MSC Mortgage 2003-AR2, Class B-2,
Current Rating A2
Washington Mutual MSC Mortgage 2003-AR2, Class B-3,
Current Rating Baa2
Washington Mutual MSC Mortgage 2002-MS2, Class C-B-2,
Current Rating Aa3
Washington Mutual MSC Mortgage 2002-MS2, Class C-B-3,
Current Rating A2
Washington Mutual MSC Mortgage 2002-MS2, Class C-B-4,
Current Rating Baa2
Washington Mutual MSC Mortgage 2002-MS2, Class C-B-5,Current
Rating Ba3
New York
Jay A. Siegel
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Warren Kornfeld
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653