New York, September 14, 2011 -- Moody's Investors Service has confirmed the ratings of seven tranches
from four prime jumbo transactions issued by CHL Mortgage Pass-Through
Trust. The collateral backing these deals consists primarily of
first-lien, fixed and adjustable-rate prime jumbo
residential mortgages.
RATINGS RATIONALE
The ratings of these seven tranches were placed on review, direction
uncertain in May 2011, pending the resolution of the loss allocation
language difference between the Pooling and Servicing Agreement (PSA)
and the Prospectus Supplement. The issuer has since confirmed that
the loss allocation rules of the PSA have been amended to conform to the
prospectus.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published
in December 2008 and "Pre-2005 U.S. RMBS Surveillance
Methodology" published in January 2011. Please see the Credit
Policy page on www.moodys.com for a copy of these methodologies.
To assess the rating implications of the updated loss levels on prime
jumbo RMBS, each individual pool was run through a variety of scenarios
in the Structured Finance Workstation® (SFW), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the different
pools and the structural features of the transaction including priorities
of payment distribution among the different tranches, average life
of the tranches, current balances of the tranches and future cash
flows under expected and stressed scenarios. The scenarios include
fifty four different combinations comprising of six loss levels,
three loss timing curves and three prepayment curves. For ratings
implied Aa3 and above, an additional prepayment curve is run to
assess resilience to a high prepayment scenario.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment levels remain high, and
weakness persists in the housing market. Moody's now projects
house price index to reach a bottom in the first quarter of 2012,
with a 2% remaining decline between the first quarter of 2011 and
2012, and unemployment rate to start declining by fourth quarter
of 2011.
Complete rating actions are as follows:
Issuer: CHL Mortgage Pass-Through Trust 2003-18
Cl. A-11, Confirmed at A1 (sf); previously on
May 18, 2011 Downgraded to A1 (sf) and Placed Under Review Direction
Uncertain
Cl. A-12, Confirmed at A2 (sf); previously on
May 18, 2011 Downgraded to A2 (sf) and Placed Under Review Direction
Uncertain
Issuer: CHL Mortgage Pass-Through Trust 2003-28
Cl. A-13, Confirmed at Ba3 (sf); previously on
May 18, 2011 Downgraded to Ba3 (sf) and Placed Under Review Direction
Uncertain
Issuer: CHL Mortgage Pass-Through Trust 2003-39
Cl. A-8, Confirmed at A3 (sf); previously on
May 18, 2011 Downgraded to A3 (sf) and Placed Under Review Direction
Uncertain
Cl. A-18, Confirmed at A2 (sf); previously on
May 18, 2011 Downgraded to A2 (sf) and Placed Under Review Direction
Uncertain
Issuer: CHL Mortgage Pass-Through Trust 2003-49
Cl. A-8-A, Confirmed at Aa2 (sf); previously
on May 18, 2011 Downgraded to Aa2 (sf) and Placed Under Review Direction
Uncertain
Cl. A-8-B, Confirmed at A3 (sf); previously
on May 18, 2011 Downgraded to A3 (sf) and Placed Under Review Direction
Uncertain
A list of these actions including CUSIP identifiers may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF261496
A list of updated estimated pool losses and sensitivity analysis is being
posted on an ongoing basis for the duration of this review period and
may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
Moody's considers the quality of information available on the rated
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
Moody's adopts all necessary measures so that the information it
uses in assigning a rating is of sufficient quality and from sources Moody's
considers to be reliable including, when appropriate, independent
third-party sources. However, Moody's is not
an auditor and cannot in every instance independently verify or validate
information received in the rating process.
Please see Moody's Rating Symbols and Definitions on the Rating
Process page on www.moodys.com for further information on
the meaning of each rating category and the definition of default and
recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history. The date on
which some ratings were first released goes back to a time before Moody's
ratings were fully digitized and accurate data may not be available.
Consequently, Moody's provides a date that it believes is
the most reliable and accurate based on the information that is available
to it. Please see the ratings disclosure page on our website www.moodys.com
for further information.
In addition to the information provided below please find on the ratings
tab of the issuer page at www.moodys.com, for each
of the ratings covered, Moody's disclosures on the lead rating
analyst and the Moody's legal entity that has issued each of the
ratings.
New York
Soumya Vasudevan
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Amita Shrivastava
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service, Inc.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's confirms $81.9 million of Prime Jumbo RMBS issued by CHL Mortgage Pass-Through Trust in 2003