MOODY'S UPGRADES 159 TRANCHES OF JUMBO PRIME RESIDENTIAL MORTGAGE BACKED SECURITIES
New York, July 17, 2006 -- Moody's has upgraded 159 tranches from 60 residential mortgage backed
securitizations. The rating actions follow Moody's review of jumbo
prime RMBS deals issued from 2001 through 2004 with pool factors lower
than 45% as of July 2006. Moody's notes the unusually strong
housing environment of the past few years, which includes rapid
industry-wide prepayment in light of low interest rates and refinancing
opportunities and generally rising home prices.
Over the last several years, the jumbo RMBS securitization market
has experienced very strong performance as many pools have experienced
very low or even no losses. Prepayment rates are still high,
particularly for variable rate mortgages, and combined with the
virtually standard jumbo RMBS shifting-interest structure,
have resulted in a significant increase in senior 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 cumulative projected loss rates, as some loans
that may have defaulted in later years have prepaid prior to the borrower
experiencing a "life event." Moody's notes that in the past
12 months, prepayment rates have slowed on fixed rate pools,
which reflects the increasing interest rate environment.
Additionally, the strong housing market has enabled many borrowers
to avoid foreclosure by selling their properties prior to incurring any
loss on the mortgage loan and has decreased the severity of the loss realized
on the low percentage of loans that have experienced a default.
Moody's will continue to monitor the tail end risk of these transactions
as some subordinated tranches could be vulnerable to large loan defaults.
Slower prepayment rates among fixed rate pools as well as increasing proportions
of interest only and option ARM and negative amortization loans in more
recent adjustable rate vintages have contributed to a decrease in the
volume of upgrades relative to previous reviews of Jumbo RMBS as the peak
of the loss curves for such pools may not yet have been reached.
Although current performance remains strong, there may be an increased
risk to such pools once the interest only and option ARM loans begin to
amortize, potentially causing payment shock to the borrowers.
The complete rating action is as follows:
ABN AMRO 2002-9, Class B-2, Upgrade from Aa3
to Aa2
ABN AMRO 2002-9, Class B-3, Upgrade from A3
to A2
ABN AMRO 2003-3, Class B-2, Upgrade from Aa3
to Aaa
ABN AMRO 2003-4, Class B-1, Upgrade from A1
to Aa2
ABN AMRO 2003-4, Class B-2, Upgrade from A3
to A2
Banc of America Funding 2003-2, Class B-2, Upgrade
from Aa2 to Aaa
Banc of America Funding 2003-2, Class B-3, Upgrade
from A3 to Aa3
Banc of America Funding 2003-2, Class B-4, Upgrade
from Baa2 to Baa1
Banc of America Funding 2003-2, Class B-5, Upgrade
from Ba3 to Ba1
Banc of America Mortgage 2003-H, Class 2-A-4,
Upgrade from Aa1 to Aaa
Banc of America Mortgage 2004-2, Class 5-B-2,
Upgrade from Aa3 to Aaa
Banc of America Mortgage 2004-2, Class 5-B-3,
Upgrade from A2 to Aa2
Bear Stearns ARM 2002-2, Class B-1, Upgrade
from Aa2 to Aa1
Bear Stearns ARM 2002-2, Class B-2, Upgrade
from A2 to A1
Bear Stearns ARM 2002-2, Class B-3, Upgrade
from Baa2 to Baa1
Bear Stearns ARM 2003-3, Class B-2, Upgrade
from Aa2 to Aaa
Bear Stearns ARM 2003-3, Class B-3, Upgrade
from A2 to A1
Bear Stearns ARM 2003-4, Class B-1, Upgrade
from Aa2 to Aaa
Bear Stearns ARM 2003-4, Class B-2, Upgrade
from A2 to Aa2
Bear Stearns ARM 2003-4, Class B-3, Upgrade
from Baa2 to A3
Bear Stearns ARM 2003-6, Class I-B-1,
Upgrade from Aa2 to Aa1
Bear Stearns ARM 2003-6, Class I-B-2,
Upgrade from A2 to A1
CC Funding 2003-1, Class B-1, Upgrade from Aa2
to Aaa
CC Funding 2003-1, Class B-2, Upgrade from Aa2
to Aaa
CC Funding 2003-1, Class B-3, Upgrade from A2
to Aa2
CC Funding 2003-1, Class B-4, Upgrade from Ba2
to Baa2
CC Funding 2003-1, Class B-5, Upgrade from B2
to Ba2
CC Funding 2003-2, Class B-1, Upgrade from Aa2
to Aaa
CC Funding 2003-2, Class B-2, Upgrade from A2
to Aa2
CC Funding 2003-2, Class B-3, Upgrade from Baa2
to A2
CC Funding 2003-2, Class B-4, Upgrade from Ba2
to Baa2
CC Funding 2003-2, Class B-5, Upgrade from B2
to Ba2
Chevy Chase Funding 2003-4, Class B-1, Upgrade
from Aa2 to Aaa
Chevy Chase Funding 2003-4, Class B-2, Upgrade
from A2 to Aa2
Chevy Chase Funding 2003-4, Class B-3, Upgrade
from Baa2 to A2
Chevy Chase Funding 2003-4, Class B-4, Upgrade
from Ba2 to Baa2
Chevy Chase Funding 2003-4, Class B-5, Upgrade
from B2 to Ba2
Chevy Chase Funding 2004-1, Class B-1, Upgrade
from Aa2 to Aaa
Chevy Chase Funding 2004-1, Class B-2, Upgrade
from A2 to Aa2
Chevy Chase Funding 2004-1, Class B-3, Upgrade
from Baa2 to A2
Chevy Chase Funding 2004-1, Class B-4, Upgrade
from Ba2 to Baa2
Chevy Chase Funding 2004-1, Class B-5, Upgrade
from B2 to Ba3
CHL Mortgage 2003-27, Class M, Upgrade from Aa2 to
Aaa
CHL Mortgage 2003-27, Class B-1, Upgrade from
A2 to A1
CHL Mortgage 2003-41, Class A-6, Upgrade from
Aa1 to Aaa
CHL Mortgage 2003-60, Class M, Upgrade from Aa2 to
Aaa
CHL Mortgage 2003-60, Class B-1, Upgrade from
A2 to Aa2
CHL Mortgage 2003-60, Class B-2, Upgrade from
Baa2 to A2
CHL Mortgage 2003-HYB3, Class M, Upgrade from Aa2 to
Aa1
CHL Mortgage 2004-7, Class II-B-3, Upgrade
from Ba2 to Baa2
Citigroup 2004-HYB1, Class B-1, Upgrade from
Aa2 to Aaa
Citigroup 2004-HYB1, Class B-2, Upgrade from
A2 to Aa3
Citigroup 2004-HYB1, Class B-3, Upgrade from
Baa2 to A3
First Horizon 2004-AR1, Class III-A-2,
Upgrade from Aa1 to Aaa
First Horizon 2004-FL1, Class B-1, Upgrade from
Aa2 to Aaa
First Horizon 2004-FL1, Class B-2, Upgrade from
A2 to Aa2
First Horizon 2004-FL1, Class B-3, Upgrade from
Baa2 to A2
First Horizon 2004-FL1, Class B-4, Upgrade from
Ba2 to Baa2
First Horizon 2004-FL1, Class B-5, Upgrade from
B2 to Ba2
FNT Mortgage 2001-1, Class M-3, Upgrade from
Aa2 to Aaa
GSR Mortgage 2003-1, Class B-2, Upgrade from
Aa2 to Aaa
GSR Mortgage 2003-1, Class B-3, Upgrade from
A2 to A1
Harborview Mortgage 2003-2, Class B-1, Upgrade
from Aa2 to Aa1
Harborview Mortgage 2003-2, Class B-2, Upgrade
from A2 to A1
Harborview Mortgage 2003-2, Class B-3, Upgrade
from Baa2 to Baa1
MASTR Asset 2002-7, Class B-3, Upgrade from
Aa1 to Aaa
Merrill Lynch Mortgage Investors 2003-A, Class B-1,
Upgrade from Aa2 to Aa1
Merrill Lynch Mortgage Investors 2003-A, Class B-2,
Upgrade from A2 to A1
Merrill Lynch Mortgage Investors 2003-A, Class B-3A,
Upgrade from Baa1 to A2
Merrill Lynch Mortgage Investors 2003-A, Class B-3B,
Upgrade from Baa3 to Baa2
Merrill Lynch Mortgage Investors 2003-A, Class B-4,
Upgrade from Ba2 to Baa3
Merrill Lynch Mortgage Investors 2003-B, Class B-1,
Upgrade from Aa2 to Aaa
Merrill Lynch Mortgage Investors 2003-B, Class B-2,
Upgrade from A2 to Aa2
Merrill Lynch Mortgage Investors 2003-B, Class B-3,
Upgrade from Baa2 to A2
Merrill Lynch Mortgage Investors 2003-B, Class B-4,
Upgrade from Ba2 to Baa2
Merrill Lynch Mortgage Investors 2003-B, Class B-5,
Upgrade from B2 to Ba3
Merrill Lynch Mortgage Investors 2003-C, Class B-1,
Upgrade from Aa2 to Aaa
Merrill Lynch Mortgage Investors 2003-C, Class B-2,
Upgrade from A2 to Aa2
Merrill Lynch Mortgage Investors 2003-C, Class B-3,
Upgrade from Baa2 to A2
Merrill Lynch Mortgage Investors 2003-C, Class B-4,
Upgrade from Ba2 to Baa2
Merrill Lynch Mortgage Investors 2003-C, Class B-5,
Upgrade from B2 to Ba3
Merrill Lynch Mortgage Investors 2003-D, Class B-1,
Upgrade from Aa2 to Aaa
Merrill Lynch Mortgage Investors 2003-D, Class B-2,
Upgrade from A2 to Aa3
Merrill Lynch Mortgage Investors 2003-D, Class B-3,
Upgrade from Baa2 to A3
Merrill Lynch Mortgage Investors 2003-D, Class B-4,
Upgrade from Ba2 to Baa2
Merrill Lynch Mortgage Investors 2003-D, Class B-5,
Upgrade from B2 to B1
Merrill Lynch Mortgage Investors 2003-E, Class B-1,
Upgrade from Aa2 to Aaa
Merrill Lynch Mortgage Investors 2003-E, Class B-2,
Upgrade from A2 to Aa2
Merrill Lynch Mortgage Investors 2003-E, Class B-3,
Upgrade from Baa2 to A2
Merrill Lynch Mortgage Investors 2003-E, Class B-4,
Upgrade from Ba2 to Baa2
Merrill Lynch Mortgage Investors 2003-E, Class B-5,
Upgrade from B2 to Ba3
Merrill Lynch Mortgage Investors 2003-F, Class B-1,
Upgrade from Aa2 to Aa1
Merrill Lynch Mortgage Investors 2003-F, Class B-2,
Upgrade from A2 to A1
Merrill Lynch Mortgage Investors 2003-F, Class B-3,
Upgrade from Baa2 to A3
Merrill Lynch Mortgage Investors 2003-F, Class B-4,
Upgrade from Ba2 to Baa3
Merrill Lynch Mortgage Investors 2003-G, Class B-1,
Upgrade from Aa2 to Aaa
Merrill Lynch Mortgage Investors 2003-G, Class B-2,
Upgrade from A2 to Aa2
Merrill Lynch Mortgage Investors 2003-G, Class B-3,
Upgrade from Baa2 to A2
Merrill Lynch Mortgage Investors 2003-G, Class B-4,
Upgrade from Ba2 to Baa2
Merrill Lynch Mortgage Investors 2003-G, Class B-5,
Upgrade from B2 to Ba3
Merrill Lynch Mortgage Investors 2003-H, Class A-3B,
Upgrade from Aa1 to Aaa
Merrill Lynch Mortgage Investors 2003-H, Class B-1,
Upgrade from Aa2 to Aaa
Merrill Lynch Mortgage Investors 2003-H, Class B-2,
Upgrade from A2 to Aa2
Merrill Lynch Mortgage Investors 2003-H, Class B-3,
Upgrade from Baa2 to A2
Merrill Lynch Mortgage Investors 2003-H, Class B-4,
Upgrade from Ba2 to Baa2
Merrill Lynch Mortgage Investors 2003-H, Class B-5,
Upgrade from B2 to Ba3
Merrill Lynch Mortgage Investors 2004-A, Class B-1,
Upgrade from Aa2 to Aa1
Merrill Lynch Mortgage Investors 2004-A, Class B-2,
Upgrade from A2 to A1
Merrill Lynch Mortgage Investors 2004-A, Class B-3,
Upgrade from Baa2 to Baa1
Merrill Lynch Mortgage Investors 2004-A, Class B-4,
Upgrade from Ba2 to Ba1
Merrill Lynch Mortgage Investors 2004-B, Class B-1,
Upgrade from Aa2 to Aaa
Merrill Lynch Mortgage Investors 2004-B, Class B-2,
Upgrade from A2 to Aa2
Merrill Lynch Mortgage Investors 2004-B, Class B-3,
Upgrade from Baa2 to A2
Merrill Lynch Mortgage Investors 2004-B, Class B-4,
Upgrade from Ba2 to Baa2
Merrill Lynch Mortgage Investors 2004-B, Class B-5,
Upgrade from B2 to Ba3
Merrill Lynch Mortgage Investors 2004-C, Class A-2B,
Upgrade from Aa1 to Aaa
Merrill Lynch Mortgage Investors 2004-C, Class B-1,
Upgrade from Aa2 to Aaa
Merrill Lynch Mortgage Investors 2004-C, Class B-2,
Upgrade from A2 to Aa2
Merrill Lynch Mortgage Investors 2004-C, Class B-3,
Upgrade from Baa2 to A2
Merrill Lynch Mortgage Investors 2004-C, Class B-4,
Upgrade from Ba2 to Baa2
Merrill Lynch Mortgage Investors 2004-C, Class B-5,
Upgrade from B2 to Ba3
Morgan Stanley Dean Witter Cap I Inc 2002-WL1, Class 3-B-3,
Upgrade from Aa3 to Aa1
Morgan Stanley Capital I Inc. 2003-HYB1, Class B-1,
Upgrade from Aa2 to Aa1
Morgan Stanley Capital I Inc. 2003-HYB1, Class B-2,
Upgrade from A2 to A1
Provident Funding 2003-1, Class B-2, Upgrade
from Aa2 to Aaa
Provident Funding 2003-1, Class B-3, Upgrade
from A2 to A1
Provident Funding 2003-1, Class B-4, Upgrade
from Baa2 to A3
Provident Funding 2003-1, Class B-5, Upgrade
from Ba2 to Ba1
RFSC 2002-RM1, Class B-I-2, Upgrade from
Ba2 to Ba1
Thornburg Mortgage 2002-3, Class B-2, Upgrade
from Aa2 to Aa1
Thornburg Mortgage 2003-3, Class B-1, Upgrade
from Aa2 to Aaa
Thornburg Mortgage 2003-3, Class B-2, Upgrade
from A2 to Aa2
Thornburg Mortgage 2003-3, Class B-3, Upgrade
from Baa2 to A2
Thornburg Mortgage 2003-3, Class B-4, Upgrade
from Ba2 to Baa2
Thornburg Mortgage 2003-3, Class B-5, Upgrade
from B2 to Ba2
Wachovia Asset 2002-1, Class B-3, Upgrade from
Aa2 to Aa1
WaMu Mortgage 2001-AR5, Class B-3, Upgrade from
Aa3 to Aa2
WaMu Mortgage 2002-AR9, Class II-B-2,
Upgrade from Aa1 to Aaa
WaMu Mortgage 2002-AR9, Class II-B-4,
Upgrade from Baa3 to Baa2
WaMu Mortgage 2002-AR10, Class B-3, Upgrade
from Aa1 to Aaa
WaMu Mortgage 2002-AR11, Class B-2, Upgrade
from Aa1 to Aaa
WaMu Mortgage 2002-AR11, Class B-3, Upgrade
from A1 to Aa1
WaMu Mortgage 2002-AR12, Class B-4, Upgrade
from A2 to A1
WaMu Mortgage 2002-AR13, Class B-3, Upgrade
from Aa2 to Aaa
WaMu Mortgage 2002-AR13, Class B-4, Upgrade
from A2 to A1
WaMu Mortgage 2002-AR15, Class B-2, Upgrade
from Aa1 to Aaa
WaMu Mortgage 2002-AR15, Class B-3, Upgrade
from A1 to Aa3
WaMu Mortgage 2002-AR16, Class B-4, Upgrade
from A2 to A1
WaMu Mortgage 2002-AR17, Class I-B-2,
Upgrade from Aa2 to Aa1
WaMu Mortgage 2002-AR17, Class I-B-3,
Upgrade from A2 to A1
WaMu Mortgage 2002-AR17, Class II-B-2,
Upgrade from Aa2 to Aaa
WaMu Mortgage 2002-AR17, Class II-B-3,
Upgrade from A2 to Aa2
WaMu Mortgage 2002-AR18, Class B-4, Upgrade
from A3 to A2
WaMu Mortgage 2002-AR19, Class B-4, Upgrade
from A3 to A2
Washington Mutual MSC 2002-MS4, Class C-B-3,
Upgrade from Aa1 to Aaa
Washington Mutual MSC 2003-MS6, Class III-B-3,
Upgrade from A1 to Aa2
Wells Fargo Mortgage 2003-C, Class B-3, Upgrade
from A1 to Aa3
Wells Fargo Mortgage 2003-D, Class B-3, Upgrade
from A2 to A1
Wells Fargo Mortgage 2003-F, Class B-1, Upgrade
from Aa1 to Aaa
For more information please see www.Moodys.com
New York
Nicolas S. Weill
Managing Director - Chief Credit
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Barry M. Eisbruck
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653