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23 Jan 2004
MOODY'S RATES MORTGAGE PASS-THROUGH CERTIFICATES, MLMI SERIES MLCC 2003-H Aaa
Approximately $747.4 Million of Mortgage-Backed Securities Rated
New York, January 23, 2004 -- Moody's Investors Service has assigned ratings of Aaa, Aa1,
Aa2, A2, Baa2, Ba2, and B2 to certain classes
of investor certificates of Merrill Lynch Mortgage Investors Trust Series
MLCC 2003-H. Merrill Lynch Mortgage Investors, Inc.
was the depositor of the loans that were originated substantially through
Merrill Lynch's Correspondent Lending Program and its relationship with
Cendant Mortgage Corporation.
The ratings are based on the expected performance of the mortgages,
the 3.10% credit enhancement provided by subordination and
the structural and legal protection in the transaction, according
to Moody's Analyst, Tyler Wiggers, CFA. The ratings
of the mezzanine and subordinate certificates are based upon the subordination
of the respective classes. The pool is secured by quality 25-year
adjustable-rate jumbo mortgages that pay interest only for a 10-year
period and have an adjustable-rate based on one-month or
The loans were divided into three pools that have the same subordinate
classes. Positive portfolio characteristics that minimize loss
frequency include good obligor quality with weighted average FICO scores
of 728, which is typical for jumbo loans, and a strong effective
loan to value ratio (LTV) of 64%. The obligors are required
to pay interest only for the first 120 months and this could increase
the severity of loss if default occurs since no principal amortization
occurs during this period. Owner occupied homes account for 84%
of the loans. The pool is geographically diverse with 21%
of the loans concentrated in California.
Some loans in the pool contain borrowers that (1) pledged securities in
a brokerage account, (2) or are supported by a third-party
guarantee in addition to the down payment on the real estate property.
The additional financial backing of the loans effectively lowers the loan's
LTVs, often resulting in lower frequency of default and lower loss
severity upon default.
The underlying certificates pay interest at the lesser of LIBOR plus a
margin and the weighted average net mortgage rate. Funds payable
to the I/O certificates may be reduced by the amount of LIBOR plus the
related margin of the Class A, Class B-1, Class B-2,
and Class B-3 certificates that exceed the weighted average net
mortgage rate (basis risk shortfall). The incremental risk posed
by this feature, however, was not a consideration in the ratings
of the I/O certificates. Moody's ratings does not take into account
the risk of lower yield due to full or partial prepayments on the mortgage
loans, nor do they consider the risk of lower yield arising from
the funds used to pay basis risk shortfalls.
The capital structure used in this transaction makes use of super senior
and super senior support certificates. The Class A - 3B
certificate provides credit support for the Class A - 3A certificate.
The super senior support class has the same credit enhancement support
levels as the other senior, Aaa-rated classes in this transaction.
This implies that the super senior support certificate has a probability
of default and default severity consistent with that of the Aaa-rated
classes in this transaction. In certain scenarios, the super
senior support certificate would assume losses otherwise attributable
to the super senior certificate that it supports and this could increase
the loss severity. This structural feature is factored into Moody's
The complete rating actions are as follows:
Issuer: Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H
Class A -1, $365,708,000, Senior,
Class A -2, $240,000,000, Senior,
Class A-3A, $116,200,000, Senior,
Class A-3B, $4,842,000, Senior,
Class X-A-1, IO, Senior, rated Aaa
Class X-A-2, IO, Senior, rated Aaa
Class X-B, IO, Senior, rated Aaa
Class B-1, $7,875,000, Subordinate,
Class B-2, $6,000,000, Subordinate,
Class B-3, $3,375,000, Subordinate,
Class B-4, $1,875,000, Subordinate,
Class B-5, $1,500,000, Subordinate,
The loans will be serviced by Cendant Mortgage Corporation, a capable
Merrill Lynch Mortgage Investors, Inc. (MLMI) will act as
depositor. MLMI is a wholly owned limited purpose subsidiary of
Merrill Lynch Mortgage Capital Inc. (MLMC). MLMC is a wholly-owned
indirect subsidiary of Merrill Lynch & Co., Inc.
Additional research is available on http://www.moodys.com
Structured Finance Group
Moody's Investors Service
Tyler R. Wiggers
Structured Finance Group
Moody's Investors Service
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
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