New York, August 18, 2015 -- Moody's Investors Service has upgraded the rating of nine tranches,
and downgraded the rating of two tranches backed by Prime Jumbo RMBS loans,
issued by various issuers.
Complete rating actions are as follows:
Issuer: Banc of America Mortgage 2003-L Trust
Cl. 2-A-1, Upgraded to Baa3 (sf); previously
on May 11, 2012 Confirmed at Ba1 (sf)
Cl. 2-A-2, Upgraded to Baa3 (sf); previously
on May 11, 2012 Confirmed at Ba1 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2003-43
Cl. B-1, Downgraded to Ca (sf); previously on
Jun 7, 2012 Confirmed at Caa3 (sf)
Cl. B-2, Downgraded to C (sf); previously on
Jun 7, 2012 Confirmed at Ca (sf)
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2004-E
Cl. A-1, Upgraded to Baa3 (sf); previously on
Apr 13, 2012 Downgraded to Ba2 (sf)
Cl. A-2A, Upgraded to Baa3 (sf); previously on
Apr 13, 2012 Downgraded to Ba3 (sf)
Cl. A-2B, Upgraded to Baa3 (sf); previously on
Apr 13, 2012 Downgraded to Ba3 (sf)
Cl. A-2C, Upgraded to Baa3 (sf); previously on
Apr 13, 2012 Downgraded to Ba2 (sf)
Cl. A-2D, Upgraded to Ba3 (sf); previously on
May 14, 2013 Upgraded to B1 (sf)
Cl. X-A, Upgraded to Ba1 (sf); previously on
Apr 13, 2012 Downgraded to Ba3 (sf)
Cl. X-B, Upgraded to Caa3 (sf); previously on
Apr 13, 2012 Downgraded to Ca (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
rating upgrades are a result of the improving performance of the related
pools and an increase in credit enhancement available to the bonds.
The rating actions for Banc of America Mortgage 2003-L Trust,
CHL Mortgage Pass-Through Trust 2003-43, and Merrill
Lynch Mortgage Investors Trust MLCC 2004-E also reflect updates
and corrections to the cash-flow models used by Moody's in
rating these transactions. The changes pertain to the calculation
of the senior percentage post subordination depletion, the allocation
of principal to the bonds, and the loss allocation to the bonds.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in November 2013. Please see the Credit
Policy page on www.moodys.com for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 5.3% in July 2015 from 6.2%
in July 2014. Moody's forecasts an unemployment central range of
5% to 6% for the 2015 year. Deviations from this
central scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2015. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, 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://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF415692
A list of updated estimated pool losses and bond recoveries 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
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain 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 certain 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 certain 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.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
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.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Michael Gallagher
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
Youriy Koudinov
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 $68.2 Million of Prime Jumbo RMBS issued from 2003-2004.