New York, December 04, 2012 -- Moody's Investors Service has downgraded the ratings of 34 tranches from
seven RMBS transactions issued by miscellaneous issuers, backed
by Prime loans, and issued between 2002 and 2004.
Complete rating actions are as follows:
Issuer: ABN AMRO Mortgage Corporation, Multi-Class
Pass-Through Certificates, Series 2003-13
Cl. A-P, Downgraded to Aa3 (sf); previously on
Mar 1, 2004 Assigned Aaa (sf)
Cl. A-3, Downgraded to Aa3 (sf); previously on
Mar 1, 2004 Assigned Aaa (sf)
Cl. A-7, Downgraded to A1 (sf); previously on
Mar 1, 2004 Assigned Aaa (sf)
Issuer: Chase Mortgage Finance Trust, Series 2003-S4
Cl. IA-1, Downgraded to A1 (sf); previously on
Apr 22, 2011 Downgraded to Aa2 (sf)
Cl. IIA-1, Downgraded to A1 (sf); previously
on Apr 22, 2011 Downgraded to Aa2 (sf)
Cl. IA-10, Downgraded to A1 (sf); previously
on Apr 22, 2011 Downgraded to Aa2 (sf)
Cl. IA-P, Downgraded to A1 (sf); previously on
Apr 22, 2011 Downgraded to Aa2 (sf)
Cl. IIA-3, Downgraded to A1 (sf); previously
on Apr 22, 2011 Downgraded to Aa2 (sf)
Cl. IIA-P, Downgraded to A1 (sf); previously
on Apr 22, 2011 Downgraded to Aa2 (sf)
Issuer: CWMBS Mortgage Pass-Through Trust 2004-HYB1
Cl. 1-A, Downgraded to Ba3 (sf); previously on
Apr 28, 2011 Downgraded to Ba1 (sf)
Cl. 2-A, Downgraded to Ba3 (sf); previously on
Mar 2, 2012 Confirmed at Ba1 (sf)
Cl. M, Downgraded to Ca (sf); previously on Apr 28,
2011 Downgraded to Caa3 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2002-36
Cl. A-18, Downgraded to A1 (sf); previously on
Dec 19, 2002 Assigned Aaa (sf)
Cl. A-19, Downgraded to A1 (sf); previously on
Dec 19, 2002 Assigned Aaa (sf)
Cl. A-22, Downgraded to A1 (sf); previously on
Dec 19, 2002 Assigned Aaa (sf)
Cl. PO, Downgraded to A1 (sf); previously on Dec 19,
2002 Assigned Aaa (sf)
Cl. A-24, Downgraded to A2 (sf); previously on
Sep 1, 2004 Upgraded to Aaa (sf)
Issuer: CHL Mortgage Pass-Through Trust 2003-4
Cl. 1-A-7, Downgraded to A3 (sf); previously
on Apr 21, 2011 Downgraded to Aa2 (sf)
Cl. 1-A-13, Downgraded to A3 (sf); previously
on Apr 21, 2011 Downgraded to Aa2 (sf)
Cl. 1-A-14, Downgraded to A3 (sf); previously
on Apr 21, 2011 Downgraded to Aa2 (sf)
Cl. 1-A-15, Downgraded to A3 (sf); previously
on Apr 21, 2011 Downgraded to Aa2 (sf)
Cl. 2-A-1, Downgraded to A2 (sf); previously
on Apr 21, 2011 Downgraded to Aa2 (sf)
Cl. PO, Downgraded to Baa1 (sf); previously on Apr 21,
2011 Downgraded to Aa3 (sf)
Issuer: First Horizon Mortgage Pass-Through Trust 2004-6
Cl. I-A-2, Downgraded to Ba1 (sf); previously
on Apr 19, 2011 Downgraded to Baa2 (sf)
Cl. I-A-3, Downgraded to Baa3 (sf); previously
on Apr 19, 2011 Downgraded to A2 (sf)
Cl. I-A-4, Downgraded to Ba3 (sf); previously
on Apr 19, 2011 Downgraded to Ba1 (sf)
Cl. I-A-PO, Downgraded to Ba1 (sf); previously
on Apr 19, 2011 Downgraded to Baa2 (sf)
Cl. I-A-7, Downgraded to Ba1 (sf); previously
on Feb 22, 2012 Downgraded to Baa1 (sf)
Issuer: GMACM Mortgage Loan Trust 2004-J2
Cl. A-8, Downgraded to Ba1 (sf); previously on
Apr 21, 2011 Downgraded to Baa2 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2,
Outlook Developing on Nov 19, 2012)
Cl. A-9, Downgraded to Baa3 (sf); previously
on Apr 21, 2011 Downgraded to A3 (sf)
Cl. A-10, Downgraded to Baa3 (sf); previously
on Apr 21, 2011 Downgraded to Baa1 (sf)
Cl. A-11, Downgraded to Ba2 (sf); previously
on Apr 21, 2011 Downgraded to Baa3 (sf)
Cl. A-12, Downgraded to Ba2 (sf); previously
on Apr 21, 2011 Downgraded to Baa2 (sf)
Cl. PO, Downgraded to Ba1 (sf); previously on Apr 21,
2011 Downgraded to Baa2 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the prime jumbo
pools originated before 2005 and reflect Moody's updated loss expectations
on the pools. The downgrades are a result of deteriorating performance
and structural features resulting in higher expected losses for the bonds
than previously anticipated.
The methodologies used in these ratings were "Moody's Approach to Rating
US Residential Mortgage-Backed Securities" published in December
2008, and "Pre-2005 US RMBS Surveillance Methodology" published
in January 2012. The methodology used in rating interest-only
securities was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Please see the Credit Policy page on www.moodys.com for
a copy of these methodologies.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications 2) small pool volatility and 3) bonds
that financial guarantors insure.
Loan Modifications
As a result of an extension of the Home Affordable Modification Program
(HAMP) to 2013 and an increased use of private modifications, Moody's
is extending its previous view that loan modifications will only occur
through the end of 2012. It is now assuming that the loan modifications
will continue at current levels until the end of 2013.
Small Pool Volatility
To project losses on prime jumbo pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on vintage,
number of loans remaining in the pool and the level of current delinquencies
in the pool. For prime jumbo pools originated before 2005,
Moody's first applies a baseline delinquency rate of 3.0%.
Once the loan count in a pool falls below 76, this rate of delinquency
is increased by 1% for every loan fewer than 76. For example,
for a pool with 75 loans, the adjusted rate of new delinquency would
be 3.03%. In addition, if current delinquency
levels in a small pool is low, future delinquencies are expected
to reflect this trend. To account for that, the rate calculated
above is multiplied by a factor ranging from 0.75 to 2.5
for current delinquencies ranging from less than 2.5% to
greater than 10% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the approach described
in the methodology publication.
Bonds insured by financial guarantors
The credit quality of RMBS that a financial guarantor insures reflect
the higher of the credit quality of the guarantor or the RMBS without
the benefit of the guarantee. As a results, the rating on
the security is the higher of 1) the guarantor's financial strength rating
and 2) the current underlying rating, which is what the rating of
the security would be absent consideration of the guaranty. The
principal methodology Moody's uses in determining the underlying
rating is the same methodology for rating securities that do not have
financial guaranty, described earlier.
The primary source of assumption uncertainty is the uncertainty in our
central macroeconomic forecast and performance volatility due to servicer-related
issues. The unemployment rate fell from 9.0% in September
2011 to 7.8% in September 2012. Moody's forecasts
a further drop to 7.5% by 2014. Moody's expects
house prices to drop another 1% from their 4Q2011 levels before
gradually rising towards the end of 2013. Performance of RMBS continues
to remain highly dependent on servicer procedures. Any change resulting
from servicing transfers or other policy or regulatory change can impact
the performance of these transactions.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://moodys.com/viewresearchdoc.aspx?docid=PBS_SF308795
A list of updated estimated pool losses, sensitivity analysis,
and tranche recovery details is being posted on an ongoing basis for the
duration of this review period and may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
The Global Scale Credit Ratings on this press release that are issued
by one of Moody's affiliates outside the EU are endorsed by Moody's
Investors Service Ltd., One Canada Square, Canary Wharf,
London E 14 5FA, UK, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that has issued a particular Credit Rating is available on www.moodys.com.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides relevant regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides relevant regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
Information sources used to prepare each of the ratings are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, and confidential and proprietary Moody's
Analytics information.
Moody's received and took into account one or more third-party
assessments on the due diligence performed regarding the underlying assets
or financial instruments in these transactions and the assessments had
a neutral impact on the rating.
Moody's considers the quality of information available on the rated
entities, obligations or credits satisfactory for the purposes of
issuing these ratings.
Moody's adopts all necessary measures so that the information it
uses in assigning the ratings 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 the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
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.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Ilana?J?Fried
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Deepika Kothari
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
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 takes action on $213 million of Prime Jumbo RMBS issued between 2002 and 2004
