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Rating Action:

Moody's takes action on $69.4 million of Prime Jumbo RMBS issued by Credit Suisse from 2003 to 2004

25 Apr 2013

New York, April 25, 2013 -- Moody's Investors Service has downgraded twelve tranches and upgraded five tranches from three transactions issued by Credit Suisse. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate prime Jumbo residential mortgages. The actions impact approximately $69.4 million of RMBS issued from 2003 and 2004.

Complete rating actions are as follows:

Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-11

Cl. I-B-2, Downgraded to Ba2 (sf); previously on May 24, 2012 Downgraded to Baa2 (sf)

Cl. I-B-3, Downgraded to Caa1 (sf); previously on May 24, 2012 Downgraded to Ba3 (sf)

Cl. I-B-4, Downgraded to Caa3 (sf); previously on May 24, 2012 Downgraded to Caa1 (sf)

Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-25

Cl. I-A-4, Downgraded to Baa1 (sf); previously on May 24, 2012 Downgraded to Aa3 (sf)

Cl. I-A-7, Downgraded to Baa3 (sf); previously on May 24, 2012 Downgraded to A1 (sf)

Cl. I-A-8, Downgraded to Baa2 (sf); previously on May 24, 2012 Downgraded to Aa3 (sf)

Cl. I-A-9, Downgraded to Baa2 (sf); previously on May 24, 2012 Downgraded to Aa3 (sf)

Cl. I-A-11, Downgraded to Baa1 (sf); previously on May 24, 2012 Downgraded to Aa3 (sf)

Cl. I-P, Downgraded to Baa2 (sf); previously on May 24, 2012 Downgraded to Aa3 (sf)

Cl. C-B-3, Downgraded to Ca (sf); previously on May 24, 2012 Downgraded to Caa3 (sf)

Cl. II-A-1, Downgraded to Baa1 (sf); previously on May 24, 2012 Downgraded to Aa2 (sf)

Cl. II-P, Downgraded to A2 (sf); previously on Apr 29, 2011 Confirmed at Aaa (sf)

Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR2

Cl. I-A-1, Upgraded to Ba1 (sf); previously on Mar 18, 2011 Downgraded to Ba3 (sf)

Cl. II-A-1, Upgraded to Ba1 (sf); previously on Mar 18, 2011 Downgraded to Ba3 (sf)

Cl. III-A-1, Upgraded to Ba1 (sf); previously on Mar 18, 2011 Downgraded to Ba3 (sf)

Cl. IV-A-1, Upgraded to Ba1 (sf); previously on Mar 18, 2011 Downgraded to Ba3 (sf)

Cl. V-A-1, Upgraded to Ba1 (sf); previously on Mar 18, 2011 Downgraded to Ba3 (sf)

RATINGS RATIONALE

The actions are a result of the recent performance of the underlying pools 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. The upgrades are due to improvement in collateral performance.

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.

Moody's adjusts the methodologies noted above for 1) Moody's current view on loan modifications and 2) small pool volatility.

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 until 2014.

Small Pool Volatility

To project losses on prime jumbo pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For prime jumbo pools originated before 2005, Moody's first applies a baseline delinquency rate of 3.0%. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer 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.

When assigning the final ratings to bonds, in addition to the approach described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults.

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 8.2% in March 2012 to 7.6% in March 2013. Moody's forecasts a further drop to 7.5% by 2014. 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 these transactions.

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

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF326939

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

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.

Jonathan Corwin
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
VP-Senior Analyst/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 $69.4 million of Prime Jumbo RMBS issued by Credit Suisse from 2003 to 2004
No Related Data.
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