MOODY'S PLACES 257 JUMBO RESIDENTIAL MBS TRANCHES UNDER REVIEW FOR POSSIBLE UPGRADE
New York, August 03, 2004 -- Moody's has placed 257 tranches from 73 "I-structure"
securitizations under review for possible upgrade. The rating actions
follow Moody's comprehensive examination of the "jumbo"
loan collateral deals issued and rated from 1998 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 most senior tranches,
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 257 tranches on review for possible upgrade were 20 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
20 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 under review for possible upgrade:
ABN AMRO 2002-6, Class B-1, current rating A2
ABN AMRO 2002-6, Class B-2, current rating Baa2
ABN AMRO 2002-9, Class M, current rating Aa3
ABN AMRO 2002-9, Class B-1, current rating A3
ABN AMRO 2002-9, Class B-2, current rating Baa3
ABN AMRO 2002-9, Class B-3, current rating Ba3
ABN AMRO 2003-3, Class B-1, current rating A3
ABN AMRO 2003-3, Class B-2, current rating Baa3
ABN AMRO 2003-4, Class M, current rating Aa3
ABN AMRO 2003-4, Class B-1, current rating A3
ABN AMRO 2003-4, Class B-2, current rating Baa3
Banc Of America 2002-L, Class 1-A-3,
current rating Aa1
Banc Of America 2002-L, Class 2-A-4,
current rating Aa1
Banc Of America 2003-A, Class 2-A-9,
current rating Aa1
Banc Of America 2003-B, Class 2-A-8,
current rating Aa1
Banc Of America 2003-C, Class 1-A-3,
current rating Aa1
Banc Of America 2003-C, Class 2-A-3,
current rating Aa1
Banc Of America 2003-D, Class 1-A-2,
current rating Aa1
Banc Of America 2003-D, Class 2-A-6,
current rating Aa1
Banc Of America 2003-E, Class 1-A-3,
current rating Aa1
Bank Of America 2002-7, Class 1-A-37,
current rating Aa1
Bank Of America 2002-7, Class 1-B-1,
current rating Aa2
Bank Of America 2002-7, Class 1-B-2,
current rating A2
Bank Of America 2002-7, Class 1-B-3,
current rating Baa2
Bank Of America 2002-7, Class 1-B-4,
current rating Ba2
Bank Of America 2002-7, Class 1-B-5,
current rating B2
Bank Of America 2002-7, Class 2-A-4,
current rating Aa2
Bear Stearns ARM Trust 2002-4, Class B-1, current
rating Aa2
Bear Stearns ARM Trust 2002-4, Class B-2, current
rating A2
Bear Stearns ARM Trust 2002-4, Class B-3, current
rating Baa2
Bear Stearns ARM Trust 2002-4, Class B-4, current
rating Ba2
Bear Stearns ARM Trust 2002-12, Class I-B-1,
current rating Aa2
Bear Stearns ARM Trust 2002-12, Class I-B-2,
current rating A2
Bear Stearns ARM Trust 2002-12, Class I-B-3,
current rating Baa2
Bear Stearns ARM Trust 2002-12, Class II-B-1,
current rating Aa2
Bear Stearns ARM Trust 2002-12, Class II-B-2,
current rating A2
Bear Stearns ARM Trust 2002-12, Class II-B-3,
current rating Baa2
Cendant Mortgage 2002-1, Class B-2, current
rating A3
Cendant Mortgage 2002-1, Class B-3, current
rating Baa3
Cendant Mortgage 2002-1, Class B-4, current
rating Ba3
Cendant Mortgage 2002-3, Class B-3, current
rating Baa3
Cendant Mortgage 2002-3, Class B-4, current
rating Ba3
Chase Mortgage 2001-S7, Class B-1, current rating
Aa3
Chase Mortgage 2001-S7, Class B-2, current rating
A3
Chase Mortgage 2002-S3, Class B-1, current rating
Aa3
Chase Mortgage 2002-S3, Class B-2, current rating
A2
Chase Mortgage 2002-S3, Class B-3, current rating
Baa3
CHL Mortgage 2002-J1, Class B-2, current rating
A2
CHL Mortgage 2002-18, Class A-9, current rating
Aa1
CHL Mortgage 2002-30, Class M, current rating Aa2
CHL Mortgage 2002-30, Class B-1, current rating
A2
CHL Mortgage 2002-30, Class B-2, current rating
Baa2
CHL Mortgage 2002-30, Class B-3, current rating
Ba2
CHL Mortgage 2002-30, Class B-4, current rating
B2
CHL Mortgage 2002-34, Class A-16, current rating
Aa1
CHL Mortgage 2002-36, Class A-24, current rating
Aa1
CHL Mortgage 2003-1, Class 1-A-5, current
rating Aa2
CHL Mortgage 2003-1, Class 1-A-15, current
rating Aa1
Citicorp Mortgage 2003-1, Class A-65, current
rating Aa1
CSFB Mortgage 2003-1, Class III-B-1,
current rating Aa3
CSFB Mortgage 2003-1, Class III-B-2,
current rating A3
CSFB Mortgage 2003-1, Class III-B-3,
current rating Baa3
CSFB Mortgage 2003-7, Class I-B-2, current
rating A3
CSFB Mortgage 2003-7, Class I-B-3, current
rating Baa3
FNT Mortgage 2001-5, Class B-1, current rating
Aa2
FNT Mortgage 2001-5, Class B-2, current rating
A2
FNT Mortgage 2001-5, Class B-3, current rating
Baa2
FNT Mortgage 2001-5, Class B-4, current rating
Ba2
MASTR Adjustable Rate Mortgage 2003-1, Class 2-A-3,
current rating Aa1
Merrill Lynch Mortgage Investors 2000-3, Class M-1,
current rating Aa2
Merrill Lynch Mortgage Investors 2000-3, Class M-2,
current rating A2
Merrill Lynch Mortgage Investors 2000-3, Class B-1,
current rating Baa2
Merrill Lynch Mortgage Investors 2000-3, Class B-2,
current rating Ba2
Merrill Lynch Mortgage Investors 2000-3, Class B-3,
current rating B2
Morgan Stanley Capital I Inc. 2002-WL1, Class 3-B-2,
current rating Aa2
Morgan Stanley Capital I Inc. 2002-WL1, Class 3-B-3,
current rating A2
Morgan Stanley Capital I Inc. 2002-WL1, Class 3-B-4,
current rating Baa2
Morgan Stanley Capital I Inc. 2002-WL1, Class 3-B-5,
current rating Ba2
MRFC 2001-TBC 1, Class B-1, current rating Aa2
MRFC 2001-TBC 1, Class B-2, current rating A2
MRFC 2001-TBC 1, Class B-3, current rating Baa2
MRFC 2001-TBC 1, Class B-4, current rating Ba2
MRFC 2002-TBC 1, Class B-1, current rating Aa2
MRFC 2002-TBC 1, Class B-2, current rating A2
MRFC 2002-TBC 1, Class B-3, current rating Baa2
RAST 2002-A2J, Class B-1, current rating Aa2
RAST 2002-A2J, Class B-2, current rating A2
RAST 2002-A2J, Class B-3, current rating Baa2
RAST 2002-A14J, Class A-9, current rating Aa1
RFMSI 2002-SA1, Class M-1, current rating Aa2
RFMSI 2002-SA1, Class M-2, current rating A2
RFMSI 2002-SA1, Class M-3, current rating Baa2
RFMSI 2002-SA2, Class M-1, current rating Aa2
RFMSI 2002-SA2, Class M-2, current rating A2
RFMSI 2002-SA2, Class M-3, current rating Baa2
RFSC 2002-RM1, Class M-I-1, current rating
Aa2
RFSC 2002-RM1, Class M-I-2, current rating
A2
RFSC 2002-RM1, Class M-I-3, current rating
Baa2
RFSC 2002-RM1, Class B-I-1, current rating
Ba2
RFSC 2002-RM1, Class B-I-2, current rating
B2
RFSC 2002-RM1, Class M-II-1, current
rating Aa2
RFSC 2002-RM1, Class M-II-2, current
rating A2
RFSC 2002-RM1, Class M-II-3, current
rating Baa2
RFSC 2002-RM1, Class B-II-1, current
rating Ba2
RFSC 2002-RM1, Class B-II-2, current
rating B2
RFSC 2002-RM1, Class M-III-1, current
rating Aa2
RFSC 2002-RM1, Class M-III-2, current
rating A2
RFSC 2002-RM1, Class M-III-3, current
rating Baa2
RFSC 2002-RM1, Class B-III-1, current
rating Ba2
RFSC 2002-RM1, Class B-III-2, current
rating B2
SBMS VII 2000-BoA1, Class B-1, current rating
Aa2
SBMS VII 2000-BoA1, Class B-2, current rating
A2
SBMS VII 2000-BoA1, Class B-3, current rating
Baa2
Salomon 2001-CPB1, Class B-2, current rating
Aa2
Salomon 2001-CPB1, Class B-3, current rating
A2
Salomon 2001-CPB1, Class B-4, current rating
Baa2
Salomon 2001-CPB1, Class B-5, current rating
Ba2
SASC 2001-18A, Class B1, current rating Aa2
SASC 2001-18A, Class B2, current rating A2
SASC 2001-18A, Class B3, current rating Baa2
SASC 2002-18A, Class B2-I, current rating A2
SASC 2002-18A, Class B3, current rating Baa2
SASC 2002-18A, Class B2-I-X, current
rating A2
SASC 2002-24, Class A14, current rating Aa1
Thornburg Mortgage 2001-1, Class B-1, current
rating Aa2
Thornburg Mortgage 2001-1, Class B-2, current
rating A2
Thornburg Mortgage 2001-1, Class B-3, current
rating Baa2
Thornburg Mortgage 2001-1, Class B-4, current
rating Ba2
Thornburg Mortgage 2001-1, Class B-5, current
rating B2
Thornburg Mortgage 2001-2, Class B-1, current
rating Aa2
Thornburg Mortgage 2001-2, Class B-2, current
rating A2
Thornburg Mortgage 2001-2, Class B-3, current
rating Baa2
Thornburg Mortgage 2002-1, Class B-1, current
rating Aa2
Thornburg Mortgage 2002-1, Class B-2, current
rating A2
Thornburg Mortgage 2002-1, Class B-3, current
rating Baa2
WaMu 2001-AR5, Class B-1, current rating Aa2
WaMu 2001-AR5, Class B-2, current rating A2
WaMu 2001-AR5, Class B-3, current rating Baa2
WaMu 2001-AR5, Class B-4, current rating Ba2
WaMu 2001-AR6, Class B-1, current rating Aa2
WaMu 2001-AR6, Class B-2, current rating A2
WaMu 2001-AR6, Class B-3, current rating Baa2
WaMu 2001-AR6, Class B-4, current rating Ba2
WaMu 2001-AR6, Class B-5, current rating B2
WaMu 2002-AR1, Class B-1, current rating Aa2
WaMu 2002-AR1, Class B-2, current rating A2
WaMu 2002-AR1, Class B-3, current rating Baa2
WaMu 2002-AR1, Class B-4, current rating Ba2
WaMu 2002-AR1, Class B-5, current rating B2
WaMu 2002-AR2, Class B-1, current rating Aa2
WaMu 2002-AR2, Class B-2, current rating A2
WaMu 2002-AR2, Class B-3, current rating Baa2
WaMu 2002-AR2, Class B-4, current rating Ba2
WaMu 2002-AR3, Class B-1, current rating Aa2
WaMu 2002-AR3, Class B-2, current rating A2
WaMu 2002-AR3, Class B-3, current rating Baa2
WaMu 2002-AR3, Class B-4, current rating Ba2
WaMu 2002-AR3, Class B-5, current rating B2
WaMu 2002-AR4, Class B-1, current rating Aa2
WaMu 2002-AR4, Class B-2, current rating A2
WaMu 2002-AR4, Class B-3, current rating Baa2
WaMu 2002-AR4, Class B-4, current rating Ba2
WaMu 2002-AR4, Class B-5, current rating B2
WaMu 2002-AR6, Class B-1, current rating Aa2
WaMu 2002-AR6, Class B-2, current rating A2
WaMu 2002-AR6, Class B-3, current rating Baa2
WaMu 2002-AR6, Class B-4, current rating Ba2
WaMu 2002-AR6, Class B-5, current rating B2
WaMu 2002-AR7, Class B-1, current rating Aa2
WaMu 2002-AR7, Class B-2, current rating A2
WaMu 2002-AR7, Class B-3, current rating Baa2
WaMu 2002-AR7, Class B-4, current rating Ba2
WaMu 2002-AR7, Class B-5, current rating B2
WaMu 2002-AR8, Class B-1, current rating Aa2
WaMu 2002-AR8, Class B-2, current rating A2
WaMu 2002-AR8, Class B-3, current rating Baa2
WaMu 2002-AR8, Class B-4, current rating Ba2
WaMu 2002-AR8, Class B-5, current rating B2
WaMu 2002-AR9, Class I-B-1, current rating
Aa2
WaMu 2002-AR9, Class I-B-2, current rating
A2
WaMu 2002-AR9, Class I-B-3, current rating
Baa2
WaMu 2002-AR9, Class I-B-4, current rating
Ba2
WaMu 2002-AR9, Class I-B-5, current rating
B2
WaMu 2002-AR9, Class II-B-1, current
rating Aa2
WaMu 2002-AR9, Class II-B-2, current
rating A2
WaMu 2002-AR9, Class II-B-3, current
rating Baa2
WaMu 2002-AR9, Class II-B-4, current
rating Ba2
WaMu 2002-AR9, Class II-B-5, current
rating B2
WaMu 2002-AR10, Class B-1, current rating Aa2
WaMu 2002-AR10, Class B-2, current rating A2
WaMu 2002-AR10, Class B-3, current rating Baa2
WaMu 2002-AR10, Class B-4, current rating Ba2
WaMu 2002-AR10, Class B-5, current rating B2
WaMu 2002-AR11, Class B-1, current rating Aa2
WaMu 2002-AR11, Class B-2, current rating A2
WaMu 2002-AR11, Class B-3, current rating Baa2
WaMu 2002-AR12, Class B-1, current rating Aa2
WaMu 2002-AR12, Class B-2, current rating A2
WaMu 2002-AR12, Class B-3, current rating Baa2
WaMu 2002-AR12, Class B-4, current rating Ba2
WaMu 2002-AR12, Class B-5, current rating B2
WaMu 2002-AR13, Class B-1, current rating Aa2
WaMu 2002-AR13, Class B-2, current rating A2
WaMu 2002-AR13, Class B-3, current rating Baa2
WaMu 2002-AR13, Class B-4, current rating Ba2
WaMu 2002-AR13, Class B-5, current rating B2
WaMu 2002-AR14, Class B-1, current rating Aa2
WaMu 2002-AR14, Class B-2, current rating A2
WaMu 2002-AR14, Class B-3, current rating Baa2
WaMu 2002-AR14, Class B-4, current rating Ba2
WaMu 2002-AR14, Class B-5, current rating B2
WaMu 2002-AR15, Class B-1, current rating Aa2
WaMu 2002-AR15, Class B-2, current rating A2
WaMu 2002-AR15, Class B-3, current rating Baa2
WaMu 2002-AR15, Class B-4, current rating Ba2
WaMu 2002-AR15, Class B-5, current rating B2
WaMu 2002-AR16, Class B-1, current rating Aa2
WaMu 2002-AR16, Class B-2, current rating A2
WaMu 2002-AR16, Class B-3, current rating Baa2
WaMu 2002-AR16, Class B-4, current rating Ba2
WaMu 2002-AR16, Class B-5, current rating B2
WaMu 2002-AR18, Class B-1, current rating Aa2
WaMu 2002-AR18, Class B-2, current rating A2
WaMu 2002-AR18, Class B-3, current rating Baa2
WaMu 2002-AR18, Class B-4, current rating Ba2
WaMu 2002-AR18, Class B-5, current rating B2
WaMu 2002-AR19, Class B-1, current rating Aa2
WaMu 2002-AR19, Class B-2, current rating A2
WaMu 2002-AR19, Class B-3, current rating Baa2
WaMu 2002-AR19, Class B-4, current rating Ba2
WaMu 2002-AR19, Class B-5, current rating B2
WaMu 2003-AR1, Class B-1, current rating Aa2
WaMu 2003-AR1, Class B-2, current rating A2
WaMu 2003-AR1, Class B-3, current rating Baa2
WaMu 2003-AR1, Class B-4, current rating Ba2
WaMu 2003-AR1, Class B-5, current rating B2
WaMu 2003-AR2, Class B-1, current rating Aa2
WaMu 2003-AR2, Class B-2, current rating A2
WaMu 2003-AR2, Class B-3, current rating Baa2
WaMu 2003-AR3, Class B-1, current rating Aa2
WaMu 2003-AR3, Class B-2, current rating A2
WaMu 2003-AR3, Class B-3, current rating Baa2
WaMu 2003-AR4, Class B-1, current rating Aa2
WaMu 2003-AR4, Class B-2, current rating A2
WaMu 2003-AR4, Class B-3, current rating Baa2
WaMu 2003-AR4, Class B-4, current rating Ba2
WaMu 2003-AR4, Class B-5, current rating B2
Washington Mutual 2000-1, Class M-1, current
rating Aa2
Washington Mutual 2000-1, Class M-2, current
rating A2
Washington Mutual 2000-1, Class M-3, current
rating Baa2
Washington Mutual 2003-MS6 Three, Class III-B-1,
current rating Aa3
Washington Mutual 2003-MS6 Three, Class III-B-2,
current rating A3
Washington Mutual 2003-MS6 Three, Class III-B-3,
current rating Baa3
Wells Fargo 2003-1, Class I-A-2, current
rating Aa1
Wells Fargo 2003-C, Class A-7, current rating
Aa1
Wells Fargo 2003-C, Class B-3, current rating
Baa3
Wells Fargo 2003-D, Class B-3, current rating
Baa2
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