New York, July 07, 2009 -- Moody's Investors Service has downgraded the ratings of 98 tranches from
13 RMBS transactions, backed by prime Jumbo loans, issued
by Bear Stearns ARM Trust in 2002 through 2004.
The collateral backing these transactions consists primarily of first-lien,
adjustable-rate, jumbo residential mortgage loans.
These actions are a result of Moody's updated loss expectations
on the underlying collateral relative to available credit enhancement.
Moody's methodology for rating securities backed by pools of jumbo
mortgages originated prior to 2005 takes into account the annualized loss
rate from the last 12 months ("Recent Losses") and the projected
loss rate over the next 12 months ("Pipeline Losses"),
and then translates these measures into lifetime losses based on a deal's
expected remaining life.
Recent Losses are calculated by assessing cumulative losses incurred over
the past 12-months as a percentage of the average pool factor for
the previous year. Pipeline Losses are calculated by using annualized
roll rates of 15%, 30%, 65% and 90%
for loans that are 60-89 days delinquent, 90 or more days
delinquent, in foreclosure, and properties that are held for
sale (REO) respectively. Moody's then applies loss upon default
(severity) assumptions ranging from 25% to 35% on the loans
that are projected to default,. The roll-rates and
severity assumptions mentioned above can vary from deal-to-deal,
depending on a deal's specific characteristics.
Weights are then applied to Recent Losses and Pipeline Losses.
The weights applied depend on the year of loan and RMBS origination --
deals from earlier vintages typically experience higher Recent Losses
and, as a result, have higher weights on Recent Losses.
The weighted loss is then translated to lifetime projected loss depending
on the deal's expected remaining life by which is estimated based
the deal's pool factor and prepayment speeds.
Moody's final rating actions are based on i) the level of credit
enhancement available relative to the updated pool-level loss expectations
and ii) current ratings. In addition, Moody's takes
into account credit enhancement provided by seniority, cross-collateralization,
time tranching, and other structural features within the priority
of payments.
List of actions:
Bear Stearns ARM Trust 2002-1
Cl. B-1, Downgraded to Aa3; previously on 1/31/2002
Assigned Aa2
Cl. B-2, Downgraded to Baa1; previously on 1/31/2002
Assigned A2
Cl. B-3, Downgraded to B3; previously on 1/31/2002
Assigned Baa2
Bear Stearns ARM Trust 2002-12
Cl. I-B-2, Downgraded to Aa1; previously
on 7/27/2005 Upgraded to Aaa
Bear Stearns ARM Trust 2003-1
Cl. B-1, Downgraded to Aa1; previously on 9/1/2004
Upgraded to Aaa
Cl. B-2, Downgraded to A1; previously on 7/27/2005
Upgraded to Aa1
Cl. B-3, Downgraded to Ba1; previously on 9/1/2004
Upgraded to A2
Bear Stearns ARM Trust 2003-3
Cl. B-2, Downgraded to Aa1; previously on 7/17/2006
Upgraded to Aaa
Bear Stearns ARM Trust 2003-4
Cl. B-2, Downgraded to Aa3; previously on 7/17/2006
Upgraded to Aa2
Cl. B-3, Downgraded to Baa1; previously on 7/17/2006
Upgraded to A3
Bear Stearns ARM Trust 2003-5
Cl. I-B-1, Downgraded to A1; previously
on 7/27/2005 Upgraded to Aaa
Cl. I-B-2, Downgraded to Baa1; previously
on 7/27/2005 Upgraded to Aa2
Cl. I-B-3, Downgraded to B1; previously
on 7/27/2005 Upgraded to A3
Bear Stearns ARM Trust 2003-6
Cl. I-A-1, Downgraded to Aa2; previously
on 8/22/2003 Assigned Aaa
Cl. I-A-2, Downgraded to Aa3; previously
on 8/22/2003 Assigned Aaa
Cl. I-A-3, Downgraded to Aa3; previously
on 8/22/2003 Assigned Aaa
Cl. I-X-2, Downgraded to Aa3; previously
on 8/22/2003 Assigned Aaa
Cl. I-X-3, Downgraded to Aa3; previously
on 8/22/2003 Assigned Aaa
Cl. I-B-1, Downgraded to A3; previously
on 7/17/2007 Upgraded to Aaa
Cl. I-B-2, Downgraded to Ba2; previously
on 7/17/2006 Upgraded to A1
Cl. I-B-3, Downgraded to Ca; previously
on 8/22/2003 Assigned Baa2
Bear Stearns ARM Trust 2003-7
Cl. B-1, Downgraded to Aa3; previously on 10/27/2003
Assigned Aa2
Cl. B-2, Downgraded to Baa1; previously on 10/27/2003
Assigned A2
Cl. B-3, Downgraded to Ba3; previously on 10/27/2003
Assigned Baa2
Bear Stearns ARM Trust 2003-8
Cl. I-A-1, Downgraded to Aa2; previously
on 12/23/2003 Assigned Aaa
Cl. I-A-2, Downgraded to Aa2; previously
on 12/23/2003 Assigned Aaa
Cl. III-A, Downgraded to Aa2; previously on 12/23/2003
Assigned Aaa
Cl. IV-A-1, Downgraded to Aa2; previously
on 12/23/2003 Assigned Aaa
Cl. IV-A-2, Downgraded to Aa2; previously
on 12/23/2003 Assigned Aaa
Cl. V-A, Downgraded to Aa2; previously on 12/23/2003
Assigned Aaa
Cl. B-1, Downgraded to Baa1; previously on 7/17/2007
Upgraded to Aaa
Cl. B-2, Downgraded to Ba2; previously on 7/17/2007
Upgraded to Aa3
Cl. B-3, Downgraded to Caa2; previously on 7/17/2007
Upgraded to Baa1
Cl. B-4, Downgraded to Ca; previously on 7/17/2007
Upgraded to Ba1
Bear Stearns ARM Trust 2003-9
Cl. I-A-1, Downgraded to Aa3; previously
on 1/6/2004 Assigned Aaa
Cl. I-A-2, Downgraded to Aa3; previously
on 1/6/2004 Assigned Aaa
Cl. I-A-3, Downgraded to Aa3; previously
on 1/6/2004 Assigned Aaa
Cl. II-A-1, Downgraded to Aa3; previously
on 1/6/2004 Assigned Aaa
Cl. II-A-2, Downgraded to Aa3; previously
on 1/6/2004 Assigned Aaa
Cl. II-A-3, Downgraded to Aa3; previously
on 1/6/2004 Assigned Aaa
Cl. III-A-1, Downgraded to Aa3; previously
on 1/6/2004 Assigned Aaa
Cl. III-A-2, Downgraded to Aa3; previously
on 1/6/2004 Assigned Aaa
Cl. III-A-3, Downgraded to Aa3; previously
on 1/6/2004 Assigned Aaa
Cl. III-X-1, Downgraded to Aa3; previously
on 1/6/2004 Assigned Aaa
Cl. III-X-3, Downgraded to Aa3; previously
on 1/6/2004 Assigned Aaa
Cl. IV-A-1, Downgraded to Aa3; previously
on 1/6/2004 Assigned Aaa
Cl. IV-X-1, Downgraded to Aa3; previously
on 1/6/2004 Assigned Aaa
Cl. B-1, Downgraded to Baa1; previously on 1/6/2004
Assigned Aa2
Cl. B-2, Downgraded to Ba3; previously on 1/6/2004
Assigned A2
Cl. B-3, Downgraded to Caa3; previously on 1/6/2004
Assigned Baa2
Bear Stearns ARM Trust 2004-1
Cl. I-1-A-1, Downgraded to A2;
previously on 3/29/2004 Assigned Aaa
Cl. I-1-A-2, Downgraded to A2;
previously on 3/29/2004 Assigned Aaa
Cl. I-1-A-3, Downgraded to A2;
previously on 3/29/2004 Assigned Aaa
Cl. I-2-A-1, Downgraded to Aa2;
previously on 3/29/2004 Assigned Aaa
Cl. I-2-A-2, Downgraded to Aa2;
previously on 3/29/2004 Assigned Aaa
Cl. I-2-A-3, Downgraded to Aa2;
previously on 3/29/2004 Assigned Aaa
Cl. I-2-A-4M, Downgraded to Aa3;
previously on 3/29/2004 Assigned Aaa
Cl. I-2-A-5, Downgraded to Aa2;
previously on 3/29/2004 Assigned Aaa
Cl. I-3-A-1, Downgraded to A2;
previously on 3/29/2004 Assigned Aaa
Cl. I-3-A-2, Downgraded to A2;
previously on 3/29/2004 Assigned Aaa
Cl. I-3-A-3, Downgraded to A2;
previously on 3/29/2004 Assigned Aaa
Cl. I-3-X, Downgraded to A2; previously
on 3/29/2004 Assigned Aaa
Cl. I-4-A-1, Downgraded to A2;
previously on 3/29/2004 Assigned Aaa
Cl. I-4-A-2, Downgraded to A2;
previously on 3/29/2004 Assigned Aaa
Cl. I-5-A-1, Downgraded to A2;
previously on 3/29/2004 Assigned Aaa
Cl. I-5-A-2, Downgraded to A2;
previously on 3/29/2004 Assigned Aaa
Cl. I-5-A-3, Downgraded to A2;
previously on 3/29/2004 Assigned Aaa
Cl. I-6-A-1, Downgraded to A2;
previously on 3/29/2004 Assigned Aaa
Cl. I-6-X, Downgraded to A2; previously
on 3/29/2004 Assigned Aaa
Cl. I-7-A-1, Downgraded to Aa1;
previously on 3/29/2004 Assigned Aaa
Cl. I-7-X, Downgraded to Aa1; previously
on 3/29/2004 Assigned Aaa
Cl. I-B-1, Downgraded to Ba3; previously
on 3/29/2004 Assigned Aa2
Cl. I-B-2, Downgraded to Ca; previously
on 3/29/2004 Assigned A2
Cl. I-B-3, Downgraded to Ca; previously
on 3/29/2004 Assigned Baa2
Cl. II-1-A-1, Downgraded to Aa3;
previously on 3/29/2004 Assigned Aaa
Cl. II-2-A-1, Downgraded to A1;
previously on 3/29/2004 Assigned Aaa
Cl. II-3-A-1, Downgraded to A1;
previously on 3/29/2004 Assigned Aaa
Cl. II-B-1, Downgraded to Baa1; previously
on 7/17/2007 Upgraded to Aaa
Cl. II-B-2, Downgraded to Ba3; previously
on 7/17/2007 Upgraded to Aa3
Cl. II-B-3, Downgraded to Ca; previously
on 3/29/2004 Assigned Baa2
Bear Stearns ARM Trust 2004-2
Cl. I-1-A, Downgraded to A2; previously
on 5/3/2004 Assigned Aaa
Cl. I-2-A-1, Downgraded to A2;
previously on 5/3/2004 Assigned Aaa
Cl. I-2-A-2, Downgraded to A2;
previously on 5/3/2004 Assigned Aaa
Cl. I-2-A-3, Downgraded to A2;
previously on 5/3/2004 Assigned Aaa
Cl. I-3-A, Downgraded to A2; previously
on 5/3/2004 Assigned Aaa
Cl. I-4-A-M, Downgraded to A2;
previously on 5/3/2004 Assigned Aaa
Cl. I-B-1, Downgraded to Baa2; previously
on 5/3/2004 Assigned Aa2
Cl. I-B-2, Downgraded to B3; previously
on 5/3/2004 Assigned A2
Cl. I-B-3, Downgraded to Ca; previously
on 5/3/2004 Assigned Baa2
Cl. II-B-1, Downgraded to Aa3; previously
on 7/17/2007 Upgraded to Aaa
Cl. II-B-2, Downgraded to A3; previously
on 7/17/2007 Upgraded to Aa2
Cl. II-B-3, Downgraded to B1; previously
on 7/17/2007 Upgraded to A2
Bear Stearns ARM Trust 2004-9
Cl. I-1-A-1, Downgraded to Aa2;
previously on 11/28/2004 Assigned Aaa
Cl. I-2-A-2, Downgraded to Aa2;
previously on 11/28/2004 Assigned Aa1
Cl. I-3-A-1, Downgraded to Aa1;
previously on 11/28/2004 Assigned Aaa
Cl. I-B-1, Downgraded to A3; previously
on 11/28/2004 Assigned Aa2
Cl. I-B-2, Downgraded to Ba3; previously
on 11/28/2004 Assigned A2
Cl. I-B-3, Downgraded to Ca; previously
on 11/28/2004 Assigned Baa2
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Credit Policy & Methodologies directory.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF171684
A list of updated estimated pool losses is being updated on an ongoing
basis for the duration of this review period and may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF170400
For more information please see www.moodys.com.
New York
Debashish Chatterjee
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Juan Lopez
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Downgrades $786 Million of Jumbo RMBS issued by Bear Stearns ARM Trust in 2002 - 2004