New York, August 19, 2015 -- Moody's Investors Service has downgraded the ratings of 10 tranches,
upgraded the ratings of 8 tranches, and confirmed the ratings of
17 tranches from 13 transactions backed by Prime Jumbo RMBS loans,
issued by various issuers.
Complete rating actions are as follows:
Issuer: Bear Stearns ARM Trust 2003-7
Cl. I-A, Confirmed at A3 (sf); previously on
Jul 20, 2015 A3 (sf) Placed Under Review Direction Uncertain
Cl. B-1, Confirmed at B1 (sf); previously on
Jul 20, 2015 B1 (sf) Placed Under Review Direction Uncertain
Issuer: Chase Mortgage Finance Trust, Series 2006-A1
Cl. 2-A1, Confirmed at Caa2 (sf); previously
on Jul 20, 2015 Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 2-A2, Confirmed at Caa2 (sf); previously
on Jul 20, 2015 Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 2-A3, Confirmed at Caa2 (sf); previously
on Jul 20, 2015 Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 2-AX, Confirmed at Caa2 (sf); previously
on Jul 20, 2015 Caa2 (sf) Placed Under Review Direction Uncertain
Issuer: First Republic Mortgage Loan Trust 2001-FRB1
Cl. B-4, Confirmed at Caa1 (sf); previously on
Jul 20, 2015 Caa1 (sf) Placed Under Review Direction Uncertain
Issuer: J.P. Morgan Mortgage Trust 2005-A8
Cl. 1-A-3, Confirmed at Caa1 (sf); previously
on Jul 20, 2015 Caa1 (sf) Placed Under Review Direction Uncertain
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-13
Cl. 1-A-2, Upgraded to Baa2 (sf); previously
on Jul 24, 2013 Downgraded to Baa3 (sf)
Cl. 2-A-3, Upgraded to Baa2 (sf); previously
on Jul 24, 2013 Downgraded to Baa3 (sf)
Cl. 3-A-1C, Upgraded to Baa2 (sf); previously
on Jul 24, 2013 Downgraded to Baa3 (sf)
Cl. 3-A-7, Confirmed at Baa1 (sf); previously
on Jul 20, 2015 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 3-A-7A, Confirmed at Baa1 (sf); previously
on Jul 20, 2015 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 3-A-7B, Confirmed at Baa1 (sf); previously
on Jul 20, 2015 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 3-A-8, Confirmed at Baa2 (sf); previously
on Jul 20, 2015 Baa2 (sf) Placed Under Review Direction Uncertain
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2004-B
Cl. A-1, Confirmed at Baa1 (sf); previously on
Jul 20, 2015 Baa1 (sf) Placed Under Review Direction Uncertain
Issuer: Thornburg Mortgage Securities Trust 2003-1
Cl. A-1, Downgraded to Baa3 (sf); previously
on Apr 20, 2011 Downgraded to Baa2 (sf)
Cl. A-2, Downgraded to Baa3 (sf); previously
on Apr 20, 2011 Downgraded to Baa2 (sf)
Cl. A-3, Downgraded to Baa3 (sf); previously
on Aug 29, 2013 Downgraded to Baa2 (sf)
Cl. A-4, Downgraded to Baa3 (sf); previously
on Apr 20, 2011 Downgraded to Baa1 (sf)
Cl. B-1, Downgraded to Caa1 (sf); previously
on Jul 20, 2015 B3 (sf) Placed Under Review Direction Uncertain
Cl. B-2, Downgraded to Ca (sf); previously on
Apr 20, 2011 Downgraded to Caa2 (sf)
Cl. B-3, Downgraded to C (sf); previously on
Apr 20, 2011 Downgraded to Ca (sf)
Issuer: Thornburg Mortgage Securities Trust 2007-4
Cl. 1A-1, Upgraded to Ba3 (sf); previously on
Jul 20, 2015 B3 (sf) Placed Under Review Direction Uncertain
Cl. 2A-1, Upgraded to Ba3 (sf); previously on
Mar 26, 2010 Downgraded to B3 (sf)
Cl. 3A-1, Upgraded to Ba1 (sf); previously on
Mar 26, 2010 Downgraded to B2 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates Series 2003-AR7
Trust
Cl. B-1, Upgraded to Ba2 (sf); previously on
Jul 20, 2015 B1 (sf) Placed Under Review Direction Uncertain
Cl. B-3, Downgraded to C (sf); previously on
Apr 20, 2011 Downgraded to Ca (sf)
Issuer: WaMu Mortgage Pass-Through Certificates Series 2003-AR8
Trust
Cl. B-1, Confirmed at Ba3 (sf); previously on
Jul 20, 2015 Ba3 (sf) Placed Under Review Direction Uncertain
Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-AR4
Trust
Cl. A-6, Upgraded to Ba1 (sf); previously on
Apr 11, 2012 Downgraded to Ba2 (sf)
Cl. B-1, Confirmed at Caa1 (sf); previously on
Jul 20, 2015 Caa1 (sf) Placed Under Review Direction Uncertain
Issuer: Wells Fargo Mortgage Backed Securities 2004-AA Trust
Cl. A-3, Confirmed at Baa1 (sf); previously on
Jul 20, 2015 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. B-1, Downgraded to Caa2 (sf); previously
on Nov 20, 2012 Downgraded to Caa1 (sf)
Cl. B-2, Downgraded to Ca (sf); previously on
Apr 18, 2011 Downgraded to Caa3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-V Trust
Cl. B-1, Confirmed at B3 (sf); previously on
Jul 20, 2015 B3 (sf) Placed Under Review Direction Uncertain
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 downgrades are due to the weaker performance of the underlying
collateral and the erosion of enhancement available to the bonds.
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 Bear Stearns ARM Trust 2003-7, Chase
Mortgage Finance Trust, Series 2006-A1, MASTR Adjustable
Rate Mortgages Trust 2004-13, Merrill Lynch Mortgage Investors
Trust MLCC 2004-B, Thornburg Mortgage Securities Trust 2007-4,
Wells Fargo Mortgage Backed Securities 2004-AA Trust, WaMu
Mortgage Pass-Through Certificates Series 2003-AR7 Trust,
WaMu Mortgage Pass-Through Certificates Series 2003-AR8
Trust, and WaMu Mortgage Pass-Through Certificates Series
2004-AR4 Trust 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.
Today's actions also conclude the review actions for 20 bonds announced
on July 20, 2015 relating to the existence of an error in the calculation
of the net weighted average coupon (net WAC) that was used in the prior
cash flow models.
In previous surveillance of these bonds, the net WAC was calculated
using the periodic interest collections from the asset pools, rather
than the promised net coupons on the assets in the pools. As interest
payments to the bonds are capped by the net WAC and periodic interest
collections from the collateral could be lower than the promised coupons
due to delinquent assets in the pool, this approach results in lower
interest payments and higher remaining funds to amortize the bonds than
may be appropriate. The calculation has now been corrected,
and the information considered in connection with today's rating actions
reflects the net WAC calculated using promised net coupons on the collateral,
as well as updated performance data for the collateral. The ratings
on Class 1A-1 from Thornburg Mortgage Securities Trust 2007-4
and Class B-1 from WaMu Mortgage Pass-Through Certificates
Series 2003-AR7 Trust have been upgraded and the rating on Class
B-1 from Thornburg Mortgage Securities Trust 2003-1 has
been downgraded due to performance of the underlying collateral.
The ratings on the remaining 17 bonds previously placed on watch have
been confirmed.
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_SF415901
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.
Ilana Fried
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 $740 Million of Prime Jumbo RMBS issued from 2001 to 2007