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Related Issuers
ABN AMRO Mortgage Corporation, Series 2001-4
ABN AMRO Mortgage Corporation, Series 2002-1A
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Bank of America Mortgage 2002-D Trust
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Rating Action:

MOODY'S UPGRADES 233 JUMBO RESIDENTIAL MORTGAGE SECURITIZATION TRANCHES AND PLACES FOUR TRANCHES FROM TWO SECURITIZATIONS ON REVIEW FOR POSSIBLE DOWNGRADE

25 Sep 2003
MOODY'S UPGRADES 233 JUMBO RESIDENTIAL MORTGAGE SECURITIZATION TRANCHES AND PLACES FOUR TRANCHES FROM TWO SECURITIZATIONS ON REVIEW FOR POSSIBLE DOWNGRADE

New York, September 25, 2003 -- Moody's has upgraded 233 tranches from 60 securitizations and has placed four tranches from two securitizations on review for possible downgrade. The rating actions follow Moody's comprehensive examination of the "jumbo" RMBS deals it rated in 2001 and 2002. 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 prepayments 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 current economic environment has caused some financial strain on borrowers, the strong housing market has enabled many borrowers to avoid foreclosure by selling their properties prior to any loss being experienced on the mortgage loan. In addition, the strong housing market has decreased the amount of the loss realized on the low percentage of loans that have experienced a loss.

Included in the 233 tranches that Moody's upgraded were four super senior support tranches. Super senior support tranches have more risk than a senior tranche that is not divided into super senior and support tranches because of the potentially higher severity of loss on the support tranche, should a loss be realized. Therefore if a support tranche is a relatively small percent of the super senior tranche, unless the support tranche has more credit enhancement, Moody's would typically rate the super senior support tranche a notch or two lower-for example a senior class super senior support tranche without additional enhancement would typically be rated Aa1 or Aa2. The four super senior tranches have been upgraded to a Aaa rating due to the substantial increase in credit enhancement since issuance.

The four tranches that were place on review for potential downgrade are from two Alt-A securitizations, Bear Stearns Asset Backed Certificates 2001-AC1 and 2001-AC2. While current cumulative losses are relatively low, both pools have experienced a sharp increase in the percent of seriously delinquent loans (i.e. loans 90+ delinquent, in foreclosure and in REO) and therefore we believe the two most subordinated rated tranches from both securitizations merit further review with the possibility of being downgraded.

The complete rating action is as follows:

The following classes are being upgraded:

ABN AMRO 2001-4, Class B-2, Upgrade from Baa2 to Aa3

ABN AMRO 2002-1A, Class M, Upgrade from Aa2 to Aaa

ABN AMRO 2002-1A, Class B-1, Upgrade from A2 to Aa2

ABN AMRO 2002-1A, Class B-2, Upgrade from Baa2 to A2

ABN AMRO 2002-1A, Class B-3, Upgrade from Ba2 to Baa2

ABN AMRO 2002-1A, Class B-4, Upgrade from B2 to Ba2

ABN AMRO 2002-5, Class M, Upgrade from Aa2 to Aaa

ABN AMRO 2002-5, Class B-1, Upgrade from A2 to Aa2

ABN AMRO 2002-5, Class B-2, Upgrade from Baa2 to A2

ABN AMRO 2002-5, Class B-3, Upgrade from Ba2 to Baa2

ABN AMRO 2002-6, Class A-10, Upgrade from Aa2 to Aaa

AMAC 2001-1A, Class M, Upgrade from Aa2 to Aaa

AMAC 2001-1A, Class B-1, Upgrade from A2 to Aa1

AMAC 2001-1A, Class B-2, Upgrade from Baa2 to A2

AMAC 2001-1A, Class B-3, Upgrade from Ba2 to Baa1

AMAC 2001-1A, Class B-4, Upgrade from B2 to Baa3

Bank of America 2002-3, Class 2-B-1, Upgrade from Aa2 to Aaa

Bank of America 2002-3, Class 2-B-2, Upgrade from A2 to Aa2

Bank of America 2002-3, Class 2-B-3, Upgrade from Baa2 to A2

Bank of America 2002-3, Class 2-B-4, Upgrade from Ba2 to Baa2

Bank of America 2002-3, Class 2-B-5, Upgrade from B2 to Ba2

Bank of America 2002-D, Class B-1, Upgrade from Aa2 to Aaa

Bank of America 2002-D, Class B-2, Upgrade from A2 to Aa2

Bank of America 2002-D, Class B-3, Upgrade from Baa2 to A2

Bank of America 2002-D, Class B-4, Upgrade from Ba2 to Baa2

Bank of America 2002-D, Class B-5, Upgrade from B2 to Ba3

Bank of America 2002-G, Class 1-B-1, Upgrade from Aa2 to Aaa

Bank of America 2002-G, Class 1-B-2, Upgrade from A2 to Aa3

Bank of America 2002-G, Class 1-B-4, Upgrade from Ba2 to Baa3

Bank of America 2002-H, Class B-1, Upgrade from Aa2 to Aaa

Bank of America 2002-H, Class B-2, Upgrade from A2 to Aa2

Bank of America 2002-H, Class B-3, Upgrade from Baa2 to A2

Bank of America 2002-H, Class B-4, Upgrade from Ba2 to Baa2

Bank of America 2002-H, Class B-5, Upgrade from B2 to Ba2

Bear Stearns 2002-AC2, Class B-1, Upgrade from Aa2 to Aaa

Bear Stearns 2002-AC2, Class B-2, Upgrade from A2 to Aa2

Bear Stearns 2002-AC2, Class B-3, Upgrade from Baa2 to A2

Chase Mortgage 2001-S2, Class M, Upgrade from Aa2 to Aaa

Chase Mortgage 2001-S2, Class B-1, Upgrade from A2 to Aa2

Chase Mortgage 2001-S2, Class B-2, Upgrade from Baa2 to A2

Chase Mortgage 2001-S2, Class B-3, Upgrade from Ba2 to Baa2

Chase Mortgage 2001-S2, Class B-4, Upgrade from B2 to Ba2

Chase Mortgage 2001-S3, Class M, Upgrade from Aa2 to Aaa

Chase Mortgage 2001-S3, Class B-1, Upgrade from A2 to Aa1

Chase Mortgage 2001-S3, Class B-2, Upgrade from Baa2 to Aa3

Chase Mortgage 2001-S3, Class B-3, Upgrade from Ba2 to A3

Chase Mortgage 2001-S3, Class B-4, Upgrade from B2 to Baa3

Chase Mortgage 2001-S5, Class M, Upgrade from Aa2 to Aaa

Chase Mortgage 2001-S5, Class B-1, Upgrade from A2 to Aa2

Chase Mortgage 2001-S5, Class B-2, Upgrade from Baa2 to A2

Chase Mortgage 2001-S5, Class B-3, Upgrade from Ba2 to Baa2

Chase Mortgage 2001-S7, Class M, Upgrade from Aa2 to Aaa

Chase Mortgage 2001-S7, Class B-1, Upgrade from A3 to Aa3

Chase Mortgage 2001-S7, Class B-2, Upgrade from Baa2 to A3

Chase Mortgage 2002-S3, Class B-1, Upgrade from A3 to Aa3

Chase Mortgage 2002-S3, Class B-2, Upgrade from Baa2 to A2

Chase Mortgage 2002-S3, Class B-3, Upgrade from Ba3 to Baa3

Chase Mortgage 2002-S6, Class M, Upgrade from Aa3 to Aa1

Chase Mortgage 2002-S6, Class B-1, Upgrade from A3 to A1

Chase Mortgage 2002-S6, Class B-2, Upgrade from Baa2 to Baa1

Chase Mortgage 2002-S6, Class B-3, Upgrade from Ba3 to Ba2

CHL Mortgage 2001-7, Class M, Upgrade from Aa2 to Aaa

CHL Mortgage 2001-7, Class B-1, Upgrade from A1 to Aa2

CHL Mortgage 2001-7, Class B-2, Upgrade from Baa2 to A2

CHL Mortgage 2001-9, Class M, Upgrade from Aa2 to Aaa

CHL Mortgage 2001-9, Class B-1, Upgrade from A2 to Aa3

CHL Mortgage 2001-9, Class B-2, Upgrade from Baa2 to A3

CHL Mortgage 2001-9, Class B-3, Upgrade from Ba2 to Baa3

CHL Mortgage 2001-11, Class M, Upgrade from Aa3 to Aa1

CHL Mortgage 2001-11, Class B-1, Upgrade from A3 to Aa3

CHL Mortgage 2001-11, Class B-2, Upgrade from Baa3 to A3

CHL Mortgage 2001-12, Class M, Upgrade from Aa3 to Aa2

CHL Mortgage 2001-12, Class B-1, Upgrade from A3 to A2

CHL Mortgage 2001-23, Class M, Upgrade from Aa2 to Aaa

CHL Mortgage 2001-23, Class B-1, Upgrade from A2 to Aa2

CHL Mortgage 2001-23, Class B-2, Upgrade from Baa2 to A2

CHL Mortgage 2001-23, Class B-3, Upgrade from Ba2 to Baa2

CHL Mortgage 2001-23, Class B-4, Upgrade from B2 to Ba2

CHL Mortgage 2001-HYB1, Class M, Upgrade from Aa2 to Aaa

CHL Mortgage 2001-HYB1, Class B-1, Upgrade from A2 to Aa2

CHL Mortgage 2001-HYB1, Class B-2, Upgrade from Baa2 to A3

CHL Mortgage 2001-HYB1, Class B-3, Upgrade from Ba2 to Baa2

CHL Mortgage 2001-HYB1, Class B-4, Upgrade from B2 to Ba3

CHL Mortgage 2002-1, Class M, Upgrade from Aa2 to Aaa

CHL Mortgage 2002-1, Class B-1, Upgrade from A2 to Aa2

CHL Mortgage 2002-1, Class B-2, Upgrade from Baa2 to A2

CHL Mortgage 2002-7, Class M, Upgrade from Aa2 to Aaa

CHL Mortgage 2002-7, Class B-1, Upgrade from A2 to Aa2

CHL Mortgage 2002-7, Class B-2, Upgrade from Baa2 to A2

CHL Mortgage 2002-7, Class B-3, Upgrade from Ba2 to Baa2

CHL Mortgage 2002-7, Class B-4, Upgrade from B2 to Ba3

CHL Mortgage 2002-HYB1, Class M, Upgrade from Aa2 to Aaa

CHL Mortgage 2002-HYB1, Class B-1, Upgrade from A2 to Aa2

CHL Mortgage 2002-HYB1, Class B-2, Upgrade from Baa2 to A2

CHL Mortgage 2002-HYB2, Class M, Upgrade from Aa2 to Aaa

CHL Mortgage 2002-HYB2, Class B-1, Upgrade from A2 to Aa2

CHL Mortgage 2002-HYB2, Class B-2, Upgrade from Baa2 to A2

CHL Mortgage 2002-J1, Class B-2, Upgrade from Baa2 to A2

CSFB Mortgage 2002-26, Class I-B-1, Upgrade from Aa2 to Aaa

CSFB Mortgage 2002-26, Class I-B-2, Upgrade from A2 to Aa2

CSFB Mortgage 2002-26, Class I-B-3, Upgrade from Baa2 to A2

CSFB Mortgage 2002-26, Class I-B-4, Upgrade from Ba3 to Baa3

CSFB Mortgage 2002-26, Class II-B-1, Upgrade from Aa3 to Aa1

CSFB Mortgage 2002-26, Class II-B-2, Upgrade from A3 to Aa3

CSFB Mortgage 2002-26, Class II-B-3, Upgrade from Baa3 to A3

CSFB Mortgage 2002-26, Class IV-B-2, Upgrade from A3 to A2

E*TRADE 2001-2, Class B-1, Upgrade from Aa2 to Aaa

E*TRADE 2001-2, Class B-2, Upgrade from A2 to Aa2

E*TRADE 2001-2, Class B-3, Upgrade from Baa2 to A2

E*TRADE 2001-2, Class B-4, Upgrade from Ba2 to Baa2

E*TRADE 2001-2, Class B-5, Upgrade from B2 to Ba2

First Horizon 2001-3, Class B-1, Upgrade from Aa2 to Aaa

First Horizon 2001-3, Class B-2, Upgrade from A2 to Aa1

First Horizon 2001-3, Class B-3, Upgrade from Baa2 to Aa3

First Horizon 2001-3, Class B-4, Upgrade from Ba2 to A3

First Horizon 2001-3, Class B-5, Upgrade from B2 to Baa3

First Horizon 2001-4, Class B-1, Upgrade from Aa2 to Aaa

First Horizon 2001-4, Class B-2, Upgrade from A2 to Aa1

First Horizon 2001-4, Class B-3, Upgrade from Baa2 to Aa3

First Horizon 2001-4, Class B-4, Upgrade from Ba2 to A3

First Horizon 2001-4, Class B-5, Upgrade from B2 to Baa3

First Horizon 2001-5, Class B-1, Upgrade from Aa2 to Aaa

First Horizon 2001-5, Class B-2, Upgrade from A2 to Aa2

First Horizon 2001-5, Class B-3, Upgrade from Baa2 to A2

First Horizon 2001-5, Class B-4, Upgrade from Ba2 to Baa2

First Horizon 2001-5, Class B-5, Upgrade from B2 to Ba2

FNT Mortgage 2001-1, Class M-3, Upgrade from Baa2 to A2

GSR Mortgage 2001-1, Class B1, Upgrade from Aa2 to Aaa

GSR Mortgage 2001-1, Class B2, Upgrade from A2 to Aa2

GSR Mortgage 2001-1, Class B3, Upgrade from Baa2 to A2

GSR Mortgage 2001-1, Class B4, Upgrade from Ba2 to Baa2

GSR Mortgage 2001-1, Class B5, Upgrade from B2 to Ba2

GSR Mortgage 2002-2, Class B1, Upgrade from Aa2 to Aaa

GSR Mortgage 2002-2, Class B2, Upgrade from A2 to Aa2

GSR Mortgage 2002-2, Class B3, Upgrade from Baa2 to A2

GSR Mortgage 2002-2, Class B4, Upgrade from Ba2 to Baa2

GSR Mortgage 2002-2, Class B5, Upgrade from B2 to Ba2

GSR Mortgage 2002-3F, Class IB-1, Upgrade from Aa2 to Aaa

GSR Mortgage 2002-3F, Class IB-2, Upgrade from A2 to Aa2

GSR Mortgage 2002-3F, Class IB-3, Upgrade from Baa2 to A2

GSR Mortgage 2002-3F, Class IB-4, Upgrade from Ba2 to Baa2

GSR Mortgage 2002-3F, Class IB-5, Upgrade from B2 to Ba2

GSR Mortgage 2002-3F, Class IIB-1, Upgrade from Aa2 to Aaa

GSR Mortgage 2002-3F, Class IIB-2, Upgrade from A2 to Aa2

GSR Mortgage 2002-3F, Class IIB-3, Upgrade from Baa2 to A2

GSR Mortgage 2002-3F, Class IIB-4, Upgrade from Ba2 to Baa2

GSR Mortgage 2002-3F, Class IIB-5, Upgrade from B2 to Ba2

GSR Mortgage 2002-4, Class B1, Upgrade from Aa2 to Aaa

GSR Mortgage 2002-4, Class B2, Upgrade from A2 to Aa2

GSR Mortgage 2002-4, Class B3, Upgrade from Baa2 to A2

GSR Mortgage 2002-5, Class B1, Upgrade from Aa2 to Aaa

GSR Mortgage 2002-5, Class B2, Upgrade from A2 to Aa2

GSR Mortgage 2002-5, Class B3, Upgrade from Baa2 to A2

GSR Mortgage 2002-5, Class B4, Upgrade from Ba2 to Baa2

GSR Mortgage 2002-5, Class B5, Upgrade from B2 to Ba2

GSR Mortgage 2002-7, Class B-1, Upgrade from Aa2 to Aaa

GSR Mortgage 2002-7, Class B-2, Upgrade from A2 to Aa2

GSR Mortgage 2002-7, Class B-3, Upgrade from Baa2 to A2

GSR Mortgage 2002-7, Class B-4, Upgrade from Ba2 to Baa2

GSR Mortgage 2002-7, Class B-5, Upgrade from B2 to Ba2

MASTR 2002-3, Class B-1, Upgrade from Aa3 to Aa1

MASTR 2002-3, Class B-2, Upgrade from A3 to Aa3

MASTR 2002-3, Class B-3, Upgrade from Baa3 to A3

MASTR 2002-3, Class B-4, Upgrade from Ba3 to Baa3

MASTR 2002-4, Class B-1, Upgrade from Aa3 to Aa1

MASTR 2002-4, Class B-2, Upgrade from A3 to Aa3

MASTR 2002-4, Class B-3, Upgrade from Baa3 to A3

MASTR 2002-4, Class B-4, Upgrade from Ba3 to Ba1

Merrill Lynch 2001-S1, Class M-1, Upgrade from Aa2 to Aaa

Merrill Lynch 2001-S1, Class M-2, Upgrade from A2 to Aa2

Merrill Lynch 2001-S1, Class M-3, Upgrade from Baa2 to A2

MLMI Series 2002-A2, Class M-1, Upgrade from Aa2 to Aa1

MLMI Series 2002-A2, Class M-2, Upgrade from A2 to A1

MLMI Series 2002-A2, Class M-3, Upgrade from Baa2 to Baa1

MLMI Series 2002-A2, Class B-1, Upgrade from Ba2 to Ba1

Morgan Stanley 2002-WL1, Class 3-B-1, Upgrade from Aa2 to Aaa

Morgan Stanley 2002-WL1, Class 3-B-2, Upgrade from A2 to Aa2

Morgan Stanley 2002-WL1, Class 3-B-3, Upgrade from Baa2 to A2

Morgan Stanley 2002-WL1, Class 3-B-4, Upgrade from Ba2 to Baa2

Morgan Stanley 2002-WL1, Class 3-B-5, Upgrade from B2 to Ba2

PNC Mortgage 2001-1, Class II-B-1, Upgrade from Aa2 to Aaa

PNC Mortgage 2001-1, Class II-B-2, Upgrade from A2 to Aaa

PNC Mortgage 2001-1, Class II-B-3, Upgrade from Baa2 to Aaa

Salomon Mortgage 2001-CPB1, Class B-1, Upgrade from Aa2 to Aaa

Salomon Mortgage 2001-CPB1, Class B-2, Upgrade from A2 to Aa2

Salomon Mortgage 2001-CPB1, Class B-3, Upgrade from Baa2 to A2

Salomon Mortgage 2001-CPB1, Class B-4, Upgrade from Ba2 to Baa2

Salomon Mortgage 2001-CPB1, Class B-5, Upgrade from B2 to Ba2

Salomon Mortgage 2002-HYB1, Class M-1, Upgrade from Aa2 to Aaa

Salomon Mortgage 2002-HYB1, Class M-2, Upgrade from A2 to Aa2

Salomon Mortgage 2002-HYB1, Class M-3, Upgrade from Baa2 to A2

Salomon Mortgage 2002-HYB1, Class B-1, Upgrade from Ba2 to Baa2

Salomon Mortgage 2002-HYB1, Class B-2, Upgrade from B2 to Ba2

SASCO 2001-16H, Class B1, Upgrade from Aa2 to Aaa

SASCO 2001-16H, Class B2, Upgrade from A2 to Aa3

SASCO 2001-16H, Class BX-2, Upgrade from A2 to Aa3

SASCO 2001-16H, Class BX-1, Upgrade from Aa2 to Aaa

Washington Mutual 2001-2, Class B-1, Upgrade from Aa2 to Aaa

Washington Mutual 2001-2, Class B-2, Upgrade from A2 to Aa1

Washington Mutual 2001-3, Class C-B-1, Upgrade from Aa2 to Aaa

Washington Mutual 2001-3, Class C-B-2, Upgrade from A2 to Aa2

Washington Mutual 2001-3, Class C-B-3, Upgrade from Baa2 to A2

Washington Mutual 2001-3, Class C-B-4, Upgrade from Ba2 to Baa2

Washington Mutual 2001-4, Class C-B-1, Upgrade from Aa3 to Aaa

Washington Mutual 2001-4, Class C-B-2, Upgrade from A3 to Aaa

Washington Mutual 2001-4, Class C-B-3, Upgrade from Baa2 to Aa2

Washington Mutual 2001-4, Class C-B-4, Upgrade from Ba3 to Baa2

Washington Mutual 2001-7, Class C-B-3, Upgrade from Baa2 to A1

Washington Mutual 2001-7, Class II-B-1, Upgrade from Aa2 to Aaa

WaMu MSC 2001-MS14, Class C-B-1, Upgrade from Aa3 to Aaa

WaMu MSC 2001-MS14, Class C-B-2, Upgrade from A2 to Aa2

Washington Mutual 2002-MS2, Class C-B-2, Upgrade from A3 to Aa3

Washington Mutual 2002-MS2, Class C-B-3, Upgrade from Baa2 to A2

Washington Mutual 2002-MS2, Class C-B-4, Upgrade from Ba2 to Baa2

Washington Mutual 2002-MS2, Class C-B-5, Upgrade from B3 to Ba3

Washington Mutual MSC 2002-MS3, Class C-B-1, Upgrade from Aa3 to Aa1

Washington Mutual MSC 2002-MS3, Class C-B-2, Upgrade from A3 to Aa3

Washington Mutual MSC 2002-MS3, Class C-B-3, Upgrade from Baa3 to A3

Washington Mutual MSC 2002-MS3, Class C-B-4, Upgrade from Ba3 to Baa3

Washington Mutual MSC 2002-MS4, Class C-B-1, Upgrade from Aa3 to Aa1

Washington Mutual MSC 2002-MS4, Class C-B-2, Upgrade from A3 to Aa3

Washington Mutual MSC 2002-MS4, Class C-B-3, Upgrade from Baa3 to A3

Washington Mutual MSC 2002-MS4, Class C-B-4, Upgrade from Ba3 to Ba1

Washington Mutual MSC 2002-MS5, Class C-B-1, Upgrade from Aa3 to Aa1

Washington Mutual MSC 2002-MS5, Class C-B-2, Upgrade from A3 to Aa3

Washington Mutual MSC 2002-MS5, Class C-B-3, Upgrade from Baa3 to A3

Washington Mutual MSC 2002-MS5, Class C-B-4, Upgrade from Ba3 to Baa3

Washington Mutual MSC 2002-MS6, Class C-B-2, Upgrade from A3 to Aa3

Washington Mutual MSC 2002-MS6, Class C-B-3, Upgrade from Baa3 to A3

Washington Mutual MSC 2002-MS6, Class C-B-4, Upgrade from Ba3 to Baa3

Wells Fargo 2002-15, Class A-7, Upgrade from Aa1 to Aaa

Wells Fargo 2002-22, Class I-A-16, Upgrade from Aa1 to Aaa

Wells Fargo 2002-22, Class II-A-10, Upgrade from Aa1 to Aaa

The following deals are on review for possible downgrade:

Bear Stearns Asset Backed Certificates, 2001-AC1, Class M-2, Current Rating A2

Bear Stearns Asset Backed Certificates, 2001-AC1, Class B, Current Rating Baa2

Bear Stearns Asset Backed Certificates, 2001-AC2, Class M-2, Current Rating A2

Bear Stearns Asset Backed Certificates, 2001-AC2, Class B, 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

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