New York, June 09, 2009 -- Moody's Investors Service has downgraded the ratings of 37 classes of
notes from seven transactions issued by WAMU Mortgage Pass-Through
Certificates.
The ratings are based on the methodology applied to all transactions with
small pool factors. Moody's defines low pool factor deals
as those that meet one of the following two criteria: (1) the outstanding
collateral balance is less than $1 million, and the pool
factor is less than 5% or (2) the pool has fewer than 50 loans
remaining
Moody's uses the following methodology to estimate losses on low
pool factor deals
First, gross defaults are determined by applying assumed lifetime
roll-rates (probabilities of transition to default) to the transactions'
current delinquency buckets ("delinquency pipeline") and a
pipeline multiplier. The pipeline multiplier accounts for further
possible defaults that might arise from borrowers that are current.
The pipeline multiplier differs for each deal based on the number of loans
remaining in the pool - greater the number of loans remaining the
higher the multiplier. The estimated defaults are subject to a
floor -- a minimum default. The minimum default also differs
based on the number loans remaining in the pool. The fewer the
number of loans remaining in the pool the higher the minimum default since
each loan represents a higher percentage of the pool.
The final default number is then multiplied by expected loss severity
to arrive at our expected loss estimate. Loss severity also differs
by transaction and is higher for more recent vintages.
Complete rating action follows:
WaMu Mortgage Pass-Through Ctfs. 2002-AR12 (Loans
Remaining: 11)
Cl. B-1, Current Balance: $463,630,
Downgraded to Aa2; previously on 9/1/2004 Upgraded to Aaa
Cl. B-2, Current Balance: $281487,
Downgraded to A2; previously on 7/27/2005 Upgraded to Aaa
Cl. B-3, Current Balance: $132,437,
Downgraded to Baa2; previously on 7/27/2005 Upgraded to Aa2
Cl. B-4, Current Balance: $66,218,
Downgraded to Ba2; previously on 7/17/2006 Upgraded to A1
Cl. B-5, Current Balance: $49,672,
Downgraded to B2; previously on 7/27/2005 Upgraded to Ba1
WAMU Mortgage Pass-Through Ctfs. 2002-AR13 Trust
(Loans Remaining: 13)
Cl. M-1, Current Balance: $584,837,
Downgraded to Aa1; previously on 10/31/2002 Assigned Aaa
Cl. B-1, Current Balance: $286,197,
Downgraded to A1; previously on 9/1/2004 Upgraded to Aaa
Cl. B-2, Current Balance: $199,093,
Downgraded to A3; previously on 7/27/2005 Upgraded to Aaa
Cl. B-3, Current Balance: $99,546,
Downgraded to Ba2; previously on 7/17/2006 Upgraded to Aaa
Cl. B-4, Current Balance: $37,331,
Downgraded to B1; previously on 7/17/2006 Upgraded to A1
Cl. B-5, Current Balance: $37,328,
Downgraded to B3; previously on 7/27/2005 Upgraded to Ba1
WaMu Mortgage Pass-Through Ctfs. 2002-AR14 Trust
(Loans Remaining: 15)
Cl. A-1, Current Balance: $7,206,927,
Downgraded to Aa1; previously on 10/31/2002 Assigned Aaa
Cl. A-2, Current Balance: $380,219,
Downgraded to Aa1; previously on 10/31/2002 Assigned Aaa
Cl. B-1, Current Balance: $851,165,
Downgraded to Baa2; previously on 9/1/2004 Upgraded to Aaa
Cl. B-2, Current Balance: $544,713,
Downgraded to B1; previously on 7/27/2005 Upgraded to Aaa
Cl. B-3, Current Balance: $272,356,
Downgraded to Caa3; previously on 7/27/2005 Upgraded to Aa1
Cl. B-4, Current Balance: $102,084,
Downgraded to Ca; previously on 7/27/2005 Upgraded to A1
Cl. B-5, Current Balance: $66,441,
Downgraded to C; previously on 7/27/2005 Upgraded to Ba1
WaMu Mortgage Pass-Through Ctfs. 2002-AR15 Trust
(Loans Remaining: 38)
Cl. B-1, Current Balance: $785,110,
Downgraded to A1; previously on 9/1/2004 Upgraded to Aaa
Cl. B-2, Current Balance: $598,194,
Downgraded to Ba1; previously on 7/17/2006 Upgraded to Aaa
Cl. B-3, Current Balance: $299,097,
Downgraded to Ba3; previously on 7/17/2006 Upgraded to Aa3
Cl. B-4, Current Balance: $112,142,
Downgraded to B3; previously on 7/27/2005 Upgraded to A2
Cl. B-5, Current Balance: $112,142,
Downgraded to Ca; previously on 7/27/2005 Upgraded to Ba1
WaMu Mortgage Pass-Through Ctfs. 2002-AR16 (Loans
Remaining: 37)
Cl. B-1, Current Balance: $706,943,
Downgraded to Aa1; previously on 9/1/2004 Upgraded to Aaa
Cl. B-2, Current Balance: $538,601,
Downgraded to A2; previously on 7/27/2005 Upgraded to Aaa
Cl. B-3, Current Balance: $269,268,
Downgraded to Baa2; previously on 7/27/2005 Upgraded to Aa2
Cl. B-4, Current Balance: $100,991,
Downgraded to Ba2; previously on 7/17/2006 Upgraded to A1
Cl. B-5, Current Balance: $100,991,
Downgraded to B2; previously on 7/27/2005 Upgraded to Ba1
WAMU Mortgage Pass-Through Ctfs. 2002-AR17 Trust
(Loans Remaining: 20)
Cl. II-B-1, Current Balance: $674,913,
Downgraded to Aa1; previously on 7/27/2005 Upgraded to Aaa
Cl. II-B-2, Current Balance: $421,823,
Downgraded to A2; previously on 7/17/2006 Upgraded to Aaa
Cl. II-B-3, Current Balance: $274,172,
Downgraded to Baa2; previously on 7/17/2006 Upgraded to Aa2
Cl. II-B-4, Current Balance: $442,906,
Downgraded to Ba3; previously on 7/27/2005 Upgraded to Baa2
Cl. II-B-5, Current Balance: $84,355,
Downgraded to B3; previously on 7/27/2005 Upgraded to Ba3
WaMu Mortgage Pass-Through Ctfs. 2003-AR2 Trust (Loans
Remaining: 17)
Cl. M, Current Balance: $1,223,620,
Downgraded to Aa2; previously on 3/19/2003 Assigned Aaa
Cl. B-1, Current Balance: $453,931,
Downgraded to A1; previously on 9/1/2004 Upgraded to Aaa
Cl. B-2, Current Balance: $315,775,
Downgraded to Baa3; previously on 7/27/2005 Upgraded to Aaa
Cl. B-3, Current Balance: $157,879,
Downgraded to Ba3; previously on 7/27/2005 Upgraded to A1
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
Aron Bergman
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades notes issued by WAMU Mortgage Pass-Through Certificates