New York, June 04, 2012 -- Moody's Investors Service has upgraded 15 tranches and confirmed the ratings
on 16 tranches from four RMBS transactions issued by Washington Mutual.
The collateral backing these deals primarily consists of first-lien,
fixed and adjustable-rate Jumbo residential mortgages. The
actions impact approximately $338 million of RMBS issued from 2004.
Complete rating actions are as follows:
Issuer: WaMu Mortgage Pass-Through Certificates, Series
2004-S1
Cl. 1-A-2, Upgraded to A2 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade
Cl. 1-A-3, Upgraded to A2 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade
Cl. 1-A-4, Upgraded to A2 (sf); previously
on Feb 22, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade
Cl. 1-A-5, Upgraded to A3 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade
Cl. 1-A-6, Upgraded to Baa1 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade
Cl. 1-A-9, Confirmed at Baa3 (sf); previously
on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade
Cl. 1-A-11, Confirmed at Baa3 (sf); previously
on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade
Cl. 1-A-12, Confirmed at Baa2 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade
Issuer: WaMu Mortgage Pass-Through Certificates, Series
2004-S2
Cl. 1-A-1, Upgraded to Aa1 (sf); previously
on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Upgrade
Cl. 1-A-2, Upgraded to A1 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Upgrade
Cl. 1-A-3, Upgraded to A2 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade
Cl. 1-A-5, Confirmed at Baa1 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade
Cl. 2-A-2, Upgraded to Aa1 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Upgrade
Cl. 2-A-3, Upgraded to A1 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade
Cl. 2-A-4, Confirmed at Baa2 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-5, Confirmed at A2 (sf); previously
on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-6, Confirmed at Baa2 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Upgraded to A1 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Upgrade
Cl. 3-A-2, Upgraded to A1 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-3, Upgraded to A1 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, Series
2004-S3
Cl. 1-A-3, Upgraded to Aa3 (sf); previously
on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Upgrade
Cl. 1-A-4, Confirmed at A3 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Upgrade
Cl. 1-A-5, Confirmed at A1 (sf); previously
on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Upgrade
Cl. 1-A-6, Confirmed at A3 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Upgrade
Cl. 3-A-1, Upgraded to Aa3 (sf); previously
on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Upgrade
Cl. X, Confirmed at Ba3 (sf); previously on Feb 22,
2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade
Issuer: Washington Mutual MSC 2003-MS6 Trust
Cl. I-A, Confirmed at A2 (sf); previously on
Jan 31, 2012 A2 (sf) Placed Under Review for Possible Upgrade
Cl. II-A, Confirmed at A3 (sf); previously on
Jan 31, 2012 A3 (sf) Placed Under Review for Possible Upgrade
Cl. III-A-6, Confirmed at A3 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Upgrade
Cl. III-X, Confirmed at Ba3 (sf); previously
on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Cl. C-X, Confirmed at Ba3 (sf); previously on
Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
RATINGS RATIONALE
The actions are a result of the recent performance review of Prime pools
originated before 2005 and reflect Moody's updated loss expectations on
these pools. Furthermore, tranches from the following transactions:
WaMu Mortgage Pass-Through Certificates, Series 2004-S1
WaMu Mortgage Pass-Through Certificates, Series 2004-S2
WaMu Mortgage Pass-Through Certificates, Series 2004-S3
had been erroneously placed on watch in January 2012 due to cash-flow
modeling inconsistencies. The modeling used in the January action
did not properly take into account super senior support provided to some
seniors bonds and, in addition, miscalculated the available
funds to those deals. This has been corrected and today's
actions reflect this change.
Today's rating action consists of a number of upgrades. The
upgrades are due to significant improvement in collateral performance,
and rapid build-up in credit enhancement due to high prepayments.
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.
The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology"
is adjusted slightly when estimating losses on pools left with a small
number of loans to account for the volatile nature of small pools.
Even if a few loans in a small pool become delinquent, there could
be a large increase in the overall pool delinquency level due to the concentration
risk. To project losses on pools with fewer than 100 loans,
Moody's first estimates a "baseline" average rate of new delinquencies
for the pool that is set at 3% for Jumbo and which is typically
higher than the average rate of new delinquencies for larger pools.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level of current
delinquencies in the pool. The fewer the number of loans remaining
in the pool, the higher the volatility in performance. Once
the loan count in a pool falls below 76, the rate of delinquency
is increased by 1% for every loan less 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 listed above.
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.
For bonds backed by small pools, we also considered the current
pipeline composition as well as any specific loss allocation rules that
could preserve or deplete the overcollateralization available for the
senior bonds at different pace.
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.
A list of these actions including CUSIP identifiers may be found at:
Excel:http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF285771
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 did not receive or take into account a third-party
assessment on the due diligence performed regarding the underlying assets
or financial instruments related to the monitoring of these transactions
in the past six months.
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.
Gregory Bessermann
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 $338 million of Prime Jumbo RMBS issued by Washington Mutual from 2004
