New York, April 07, 2009 -- Moody's Investors Service has downgraded the ratings of 47 tranches from
9 Alt-A RMBS transactions issued by Washington Mutual. The
collateral backing these transactions consists primarily of first-lien,
fixed and adjustable-rate, Alt-A residential mortgage
loans.
These actions are a result of updated loss expectations on the underlying
collateral relative to available credit enhancement.
Moody's methodology for rating securities for more seasoned Alt-A
pools, takes into account the annualized loss rate from last 12
months ("Recent Losses") and the projected loss rate over
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 in the last year. For Pipeline Losses, Moody's
uses an annualized roll rate of 15%, 30%, 65%
and 90% for loans that are delinquent 60-days, 90+
days, are in foreclosure, and REO respectively. Moody's
then applies deal-specific severity assumptions ranging from 40%
to 55%. The results of these two calculations - Recent
Losses and Pipeline Losses - are weighted to arrive at the lifetime
cumulative loss projection.
Once expected losses have been assigned to each collateral group,
Moody's assesses available credit enhancement from subordination,
overcollateralization, excess spread and any external support (mortgage
insurance, pool policy, etc.). The available
enhancement is weighed against projected future losses to ultimately arrive
at an updated rating.
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 and Methodologies directory.
List of actions:
WaMu Mortgage Pass-Through Ctfs. 2004-CB1
Cl. B-1, Downgraded to A1; previously on 6/17/2004
Assigned Aa2
Cl. B-2, Downgraded to Baa1; previously on 6/17/2004
Assigned A2
Cl. B-3, Downgraded to Ba1; previously on 6/17/2004
Assigned Baa2
Cl. B-4, Downgraded to Caa1; previously on 6/17/2004
Assigned Ba2
WaMu Mortgage Pass-Through Ctfs. 2004-CB2
Cl. B-4, Downgraded to B2; previously on 8/23/2004
Assigned Ba2
WaMu Mortgage Pass-Through Ctfs. 2004-CB3
Cl. I-A, Downgraded to Aa1; previously on 9/17/2004
Assigned Aaa
Cl. II-A, Downgraded to Aa1; previously on 9/17/2004
Assigned Aaa
Cl. III-A, Downgraded to Aa1; previously on 9/17/2004
Assigned Aaa
Cl. IV-A, Downgraded to Aa1; previously on 9/17/2004
Assigned Aaa
Cl. I-P, Downgraded to Aa1; previously on 9/17/2004
Assigned Aaa
Cl. III-P, Downgraded to Aa1; previously on 9/17/2004
Assigned Aaa
Cl. C-X, Downgraded to Aa1; previously on 9/17/2004
Assigned Aaa
Cl. B-1, Downgraded to A2; previously on 9/17/2004
Assigned Aa2
Cl. B-2, Downgraded to Baa3; previously on 9/17/2004
Assigned A2
Cl. B-3, Downgraded to Ba3; previously on 9/17/2004
Assigned Baa2
Cl. B-4, Downgraded to Caa2; previously on 9/17/2004
Assigned Ba2
WaMu Mortgage Pass-Through Ctfs. 2004-CB4
Cl. I-1-A, Downgraded to Aa3; previously
on 12/13/2004 Assigned Aaa
Cl. I-2-A, Downgraded to Aa3; previously
on 12/13/2004 Assigned Aaa
Cl. II-1-A, Downgraded to Aa3; previously
on 12/13/2004 Assigned Aaa
Cl. II-2-A, Downgraded to Aa3; previously
on 12/13/2004 Assigned Aaa
Cl. I-P, Downgraded to Aa3; previously on 12/13/2004
Assigned Aaa
Cl. II-P, Downgraded to Aa3; previously on 12/13/2004
Assigned Aaa
Cl. C-X, Downgraded to Aa3; previously on 12/13/2004
Assigned Aaa
Cl. B-1, Downgraded to Baa1; previously on 12/13/2004
Assigned Aa2
Cl. B-2, Downgraded to Ba2; previously on 12/13/2004
Assigned A2
Cl. B-3, Downgraded to Caa1; previously on 12/13/2004
Assigned Baa2
Cl. B-4, Downgraded to Caa3; previously on 12/13/2004
Assigned Ba2
Washington Mutual MSC 2002-AR3 Trust
Cl. M, Downgraded to Aa1; previously on 12/19/2002 Assigned
Aaa
Cl. B-1, Downgraded to A1; previously on 9/1/2004
Upgraded to Aaa
Cl. B-2, Downgraded to Baa2; previously on 9/1/2004
Upgraded to Aa2
Cl. B-3, Downgraded to B1; previously on 9/1/2004
Upgraded to A2
Washington Mutual MSC 2003-AR1 Trust
Cl. M, Downgraded to Aa3; previously on 3/18/2003 Assigned
Aaa
Cl. B-1, Downgraded to A2; previously on 9/1/2004
Upgraded to Aaa
Cl. B-2, Downgraded to Baa3; previously on 10/20/2006
Upgraded to Aaa
Cl. B-3, Downgraded to Caa1; previously on 10/20/2006
Upgraded to Aa2
Washington Mutual MSC 2003-AR2 Trust
Cl. M, Downgraded to Aa3; previously on 6/16/2003 Assigned
Aaa
Cl. B-1, Downgraded to Baa1; previously on 9/1/2004
Upgraded to Aaa
Cl. B-2, Downgraded to Ba3; previously on 10/20/2006
Upgraded to Aa1
Cl. B-3, Downgraded to Caa3; previously on 10/20/2006
Upgraded to A2
Washington Mutual MSC 2003-AR3 Trust
Cl. M, Downgraded to Aa2; previously on 7/31/2003 Assigned
Aaa
Cl. B-1, Downgraded to A2; previously on 7/27/2005
Upgraded to Aaa
Cl. B-2, Downgraded to Baa2; previously on 7/27/2005
Upgraded to Aa2
Cl. B-3, Downgraded to Ba3; previously on 7/27/2005
Upgraded to A2
Washington Mutual MSC 2003-AR4 Trust
Cl. M, Downgraded to A1; previously on 10/1/2003 Assigned
Aaa
Cl. B-1, Downgraded to Baa2; previously on 10/20/2006
Upgraded to Aaa
Cl. B-2, Downgraded to Ba1; previously on 10/20/2006
Upgraded to Aa2
Cl. B-3, Downgraded to Caa2; previously on 10/20/2006
Upgraded to A2
A list of these actions including CUSIP identifiers may be found at:
Excel: www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF160970
For more information please see www.moodys.com.
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Ola Hannoun-Costa
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Takes Action on Certain Washington Mutual Seasoned Alt-A Deals