New York, July 24, 2009 -- Moody's Investors Service has downgraded 14 tranches from WaMu Mortgage
Pass-Through Certificates 2004-RP1deal due to higher expected
pool losses in relation to available credit protection.
The collateral backing these transactions consists primarily of first-lien,
fixed and adjustable rate, mortgage loans guaranteed by the FHA
or the VA (typically 80% FHA and 20% VA.) As economic
conditions have deteriorated; performance of these loans have worsened
with serious delinquencies (that is, loans more than 60 days past
due, in foreclosure or held for sale) as a percentage of current
balance increasing from 33.5% 12 months ago, to 35.6%
as of May 2009 for FHA -- VA pools issued in 2006. While for
FHA -- VA pools issued in 2007, serious delinquencies as a
percentage of current balance have risen from 41.0% 12 months
ago, to 44.5% as of May 2009. Cumulative losses
on FHA -- VA pools, however, are low in absolute terms
due to the FHA - VA guarantee. Nevertheless, for FHA
- VA pools issued in 2006, cumulative losses have risen from
0.31% in May 2008 to 0.45% one year later.
For FHA - VA pools issued in 2007, cumulative losses have
more than doubled from 0.16% a year earlier to 0.34%
as of May 2009.
Moody's expects loss levels on FHA -- VA pools to rise further
as the general level of remaining delinquencies remain elevated and loss
severities increase. Due to the FHA - VA guarantee,
loss severities on these pools have been historically low at 2.0%
-- 4.0%. However, with recent house price
depreciation, increase in foreclosure costs and timelines and
change in the debenture rate applied by FHA to pay interest claims,
future loss severities on these pools are expected to be higher.
Moody's now expects loss severities on FHA loans originated before
2004 to average 5.0% and on FHA loans originated in 2004
and after to average 6.5% (this is due to change in debenture
rate application by FHA for loans originated after 2004 which results
in a lower interest expense being paid by the FHA and a higher severity
to the trust). Loss severities on VA loans are expected to average
20%. As a result, Moody's now projects cumulative
losses on FHA -- VA pools issued between 2002 and 2007 to average
1.42% as a percentage of original balance securitized (3.00%
as a percentage of current balance) versus our original expected loss
estimates of 0.40% - 0.50%.
For details regarding Moody's approach to estimating losses on FHA -
VA pools originated from 2002
till 2007, please refer to the methodology publication "FHA
- VA RMBS Loss Projection Methodology: July 2009 "available
on Moodys.com.
Loss estimates are subject to variability and are sensitive to assumptions
used; as a result, realized losses could ultimately turn out
higher or lower than our current expectations. Moody's will continue
to evaluate performance data as it becomes available and will assess the
pattern of potential future defaults and adjust loss expectations accordingly
as necessary.
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-level
loss expectations relative to current level of credit enhancement.
Moody's took into account credit enhancement provided by seniority,
cross-collateralization, time tranching, and other
structural features within the priority of payments.
Other methodologies and factors that may have been considered in the process
of monitoring this issue can also be found at www.moodys.com
in the Credit Policy & Methodologies directory in the Rating Methodologies
subdirectory.
A list of these actions including CUSIP identifiers may be found at:
Excel: www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF165601
A list of updated estimated pool losses is being updated weekly and may
be found at:
Excel:www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF161403
For more information please see www.moodys.com.
Complete rating actions are as follows:
WaMu Mortgage Pass-Through Ctfs. 2004-RP1
Cl. I-F, Downgraded to A2; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. I-S, Downgraded to A2; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. I-HJ, Downgraded to A2; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. I-B-1, Downgraded to Baa3; previously
on 5/15/2009 Aa2 Placed Under Review for Possible Downgrade
Cl. I-B-2, Downgraded to B1; previously
on 5/15/2009 A2 Placed Under Review for Possible Downgrade
Cl. I-B-3, Downgraded to C; previously
on 5/15/2009 Baa2 Placed Under Review for Possible Downgrade
Cl. I-B-4, Downgraded to C; previously
on 5/15/2009 B2 Placed Under Review for Possible Downgrade
Cl. I-B-5, Downgraded to C; previously
on 5/15/2009 Caa3 Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Aa2; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. II-B-1, Downgraded to A2; previously
on 5/15/2009 Aa1 Placed Under Review for Possible Downgrade
Cl. II-B-2, Downgraded to Baa2; previously
on 5/15/2009 Aa3 Placed Under Review for Possible Downgrade
Cl. II-B-3, Downgraded to Ba2; previously
on 5/15/2009 A3 Placed Under Review for Possible Downgrade
Cl. II-B-4, Downgraded to B2; previously
on 5/15/2009 Ba2 Placed Under Review for Possible Downgrade
Cl. II-B-5, Downgraded to C; previously
on 5/15/2009 B2 Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF173924
For more information please see www.moodys.com.
San Francisco
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Gulmira Karaguishiyeva
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades $163 million of bonds issued by WaMu 2004-RP1 FHA - VA deal