New York, May 23, 2013 -- Moody's Investors Service has downgraded the ratings of 6 tranches and
upgraded the rating of 1 tranche from 2 RMBS transactions issued by Chase,
backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Chase Funding Loan Acquisition Trust 2003-C2
Cl. IA, Downgraded to A3 (sf); previously on Jun 8,
2012 Confirmed at A1 (sf)
Cl. IIA, Downgraded to Baa1 (sf); previously on Jun
8, 2012 Confirmed at A1 (sf)
Cl. IA-P, Downgraded to A3 (sf); previously on
Mar 7, 2011 Downgraded to A1 (sf)
Cl. IIA-P, Downgraded to Baa1 (sf); previously
on Mar 7, 2011 Downgraded to A1 (sf)
Cl. B-1, Downgraded to Ba2 (sf); previously on
Jun 8, 2012 Downgraded to Ba1 (sf)
Cl. B-2, Downgraded to B1 (sf); previously on
Jun 8, 2012 Confirmed at Ba3 (sf)
Issuer: Chase Funding Trust, Series 2004-1
Cl. IA-6, Upgraded to Baa1 (sf); previously on
Jul 19, 2012 Confirmed at Ba1 (sf)
RATINGS RATIONALE
The actions are a result of recent performance review of these transaction
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, "Pre-2005 US RMBS Surveillance Methodology" published
in January 2012, "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012, and
"Rating Transactions Based on the Credit Substitution Approach:
Letter of Credit backed, Insured and Guaranteed Debts" published
in March 2013. Please see the Credit Policy page on www.moodys.com
for a copy of these methodologies.
Moody's adjusts the methodologies noted above for Moody's current view
on 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
into 2014.
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 primary sources of assumption uncertainty are our central macroeconomic
forecast and performance volatility as a result of servicer-related
activity such as modifications. The unemployment rate fell from
8.1% in April 2012 to 7.5% in April 2013.
Moody's forecasts a unemployment central range of 7.0% to
8.0% for the 2013 year. Moody's expects housing prices
to continue to rise in 2013. Performance of RMBS continues to remain
highly dependent on servicer activity such as modification-related
principal forgiveness and interest rate reductions. Any change
resulting from servicing transfers or other policy or regulatory change
can also 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_SF329949
A list of updated estimated pool losses and sensitivity analysis 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
REGULATORY DISCLOSURES
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.
In conducting surveillance of these credits, Moody's considered
performance data contained in servicer and remittance reports.
Moody's obtains servicer reports on these transactions on a periodic basis,
at least annually.
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.
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.
Minxi Qiu
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 - Sr Credit Officer/Manager
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 $69 million of Subprime RMBS issued by Chase