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By clicking “I AGREE”, you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s information that becomes accessible to you (the “Information”). References herein to “Moody’s” include Moody’s Corporation. and each of its subsidiaries and affiliates..

 

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Rating Action:

Moody's takes action on $319 million of Subprime RMBS issued by Chase Funding from 2003 to 2004

10 Apr 2012

New York, April 10, 2012 -- Moody's Investors Service has downgraded the ratings of 17 tranches and confirmed the ratings of eight tranches from five RMBS transactions, backed by Subprime loans, issued by Chase Funding trusts.

RATINGS RATIONALE

The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools.

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.

Today's rating actions reflect recent collateral performance, our updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. We capture structural nuances by running each individual pool through a variety of loss and prepayment 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 variations across the different pools and the structure of the transaction.

When assigning the final ratings to senior bonds, in addition to the methodologies described above, we considered the volatility of the projected losses and timeline of the expected defaults.

The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor).

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 Macroeconomic Board and Moody's Analytics (MA) still expect a below-trend growth for the US economy for 2012, with the unemployment rate remaining high between 8% to 9% and home prices dropping another 2-3% from the levels seen in 1Q 2011.

Complete rating actions are as follows:

Issuer: Chase Funding Loan Acquisition Trust 2003-C1

Cl. IA-4, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade

Cl. IA-5, Confirmed at A3 (sf); previously on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade

Cl. IM-1, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade

Issuer: Chase Funding Loan Acquisition Trust 2004-AQ1

Cl. M-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade

Cl. M-2, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade

Cl. M-3, Downgraded to Ca (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade

Cl. B-1, Downgraded to C (sf); previously on Mar 7, 2011 Downgraded to Ca (sf)

Issuer: Chase Funding Trust, Series 2003-2

Ser. 2003-2 Cl. IA-5, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade

Ser. 2003-2 Cl. IA-6, Confirmed at A2 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade

Ser. 2003-2 Cl. IIA-2, Downgraded to Aa2 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade

Ser. 2003-2 Cl. IM-1, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade

Ser. 2003-2 Cl. IM-2, Downgraded to C (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade

Ser. 2003-2 Cl. IIM-1, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade

Issuer: Chase Funding Trust, Series 2003-3

Cl. IIA-2, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade

Cl. IA-5, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade

Cl. IA-6, Downgraded to A3 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade

Cl. IM-1, Downgraded to Caa2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade

Cl. IM-2, Downgraded to C (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade

Cl. IIM-1, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade

Issuer: Chase Funding Trust, Series 2004-2

Cl. IA-4, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade

Cl. IA-5, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade

Cl. IA-6, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade

Cl. IIA-2, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade

Cl. IM-1, Downgraded to C (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade

Cl. IM-2, Downgraded to C (sf); previously on Mar 7, 2011 Downgraded to Caa3 (sf)

A list of these actions including CUSIP identifiers may be found at:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF280340

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_SF237255

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, 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 ratings.

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.

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.

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.

Maxim Pertsov
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

Amita Shrivastava
VP - Senior Credit Officer
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 $319 million of Subprime RMBS issued by Chase Funding from 2003 to 2004
No Related Data.
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