New York, July 06, 2012 -- Moody's Investors Service (Moody's) has downgraded 13 tranches,
confirmed three tranches, and placed the rating of one tranche on
review for downgrade from Chase Mortgage Finance Trust, Series 2003-S15.
The transaction is backed by fixed-lien, fixed rate prime
jumbo residential mortgages.
Complete rating actions are as follows:
Issuer: Chase Mortgage Finance Trust, Series 2003-S15
Cl. IA-3, Downgraded to A2 (sf); previously on
Apr 22, 2011 Downgraded to Aa2 (sf)
Cl. IA-4, Downgraded to A2 (sf); previously on
Apr 22, 2011 Downgraded to Aa2 (sf)
Cl. IIA-1, Downgraded to A3 (sf); previously
on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to A3 (sf); previously on Jan
31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (B3 placed on review
for possible downgrade on Dec 19, 2011)
Cl. IIA-6, Downgraded to A2 (sf); previously
on Apr 22, 2011 Downgraded to Aa1 (sf)
Cl. IIA-7, Downgraded to A2 (sf); previously
on Apr 22, 2011 Downgraded to Aa1 (sf)
Cl. IIA-10, Downgraded to Aa1 (sf); previously
on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. IIA-11, Downgraded to A3 (sf); previously
on Feb 22, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. IIA-15, Downgraded to A2 (sf); previously
on Apr 22, 2011 Downgraded to Aa2 (sf)
Cl. IIA-16, Downgraded to A3 (sf); previously
on Apr 22, 2011 Downgraded to Aa2 (sf)
Cl. IIA-17, Downgraded to A3 (sf); previously
on Apr 22, 2011 Downgraded to Aa2 (sf)
Cl. A-P, A1 (sf) Placed Under Review for Possible
Downgrade; previously on Apr 22, 2011 Downgraded to A1 (sf)
Cl. IA-X, Confirmed at Ba3 (sf); previously on
Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Cl. IIA-X, Confirmed at Ba3 (sf); previously
on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Cl. M, Confirmed at Ba3 (sf); previously on Jan 31,
2012 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B3 (sf); previously on
Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on
Apr 22, 2011 Downgraded to Caa1 (sf)
Cl. B-3, Downgraded to C (sf); previously on
Apr 22, 2011 Downgraded to Ca (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of prime jumbo pools
originated before 2005 and reflect Moody's updated loss expectations on
these pools. The downgrades are a result of deteriorating performance
and structural features resulting in higher expected losses for certain
bonds than previously anticipated. For e.g.,
for shifting interest structures, back-ended liquidations
could expose the seniors to tail-end losses. The subordinate
bonds in the majority of these deals are currently receiving 100%
of their principal payments, and thereby depleting the dollar enhancement
available to the senior bonds. In our current approach, we
capture this risk 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 variances
across the different pools and the structural nuances of the transaction.
In addition, Moody's is placing the Class A-P tranche on
downgrade review due to miscalculation of the Class A-P collateral
balance as reported in the trustee remittance report. The final
action on the tranche will be resolved once clarification is obtained
on the bond collateral balance.
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).
Certain securities are insured by financial guarantors. For securities
insured by a financial guarantor, the rating on the securities is
the higher of (i) the guarantor's financial strength rating and (ii) the
current underlying rating (i.e., absent consideration
of the guaranty) on the security. The principal methodology used
in determining the underlying rating is the same methodology for rating
securities that do not have a financial guaranty and is as 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 April
2011 to 8.1% in April 2012. Moody's forecasts
a further drop to 7.8% for 2013. 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 the transaction.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF290366
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 the rating 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 this transaction and the assessments had a
neutral impact on the rating.
Moody's considers the quality of information available on the rated
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
Moody's adopts all necessary measures so that the information it
uses in assigning a rating 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.
Max Sauray
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 $53.1 million of Prime RMBS issued by Chase Mortgage Finance Trust, Series 2003-S15
