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Rating Action:

Moody's takes action on $76 million of Prime Jumbo RMBS issued by Merrill Lynch in 2004

21 May 2013

New York, May 21, 2013 -- Moody's Investors Service has downgraded seven tranches and upgraded three tranches from two RMBS transactions issued by Merrill Lynch. The collateral backing these deals primarily consists of first-lien, adjustable-rate prime Jumbo residential mortgages. The actions impact approximately $76 million of RMBS issued in 2004.

Complete rating actions are as follows:

Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2004-B

Cl. B-1, Upgraded to B2 (sf); previously on Jun 11, 2012 Confirmed at Caa1 (sf)

Cl. B-2, Upgraded to Caa1 (sf); previously on Jun 11, 2012 Confirmed at Caa3 (sf)

Cl. X-B, Upgraded to Caa1 (sf); previously on Jun 11, 2012 Confirmed at Caa3 (sf)

Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2004-F

Cl. A-1A, Downgraded to Baa3 (sf); previously on Jun 11, 2012 Confirmed at Baa2 (sf)

Cl. A-1B, Downgraded to Baa3 (sf); previously on Jun 11, 2012 Confirmed at Baa2 (sf)

Cl. A-2, Downgraded to Baa3 (sf); previously on Jun 11, 2012 Confirmed at Baa2 (sf)

Cl. X-A, Downgraded to Baa3 (sf); previously on Jun 11, 2012 Confirmed at Baa2 (sf)

Cl. X-B, Downgraded to Ca (sf); previously on Jun 11, 2012 Confirmed at Caa2 (sf)

Cl. B-1, Downgraded to B3 (sf); previously on Jun 11, 2012 Confirmed at B1 (sf)

Cl. B-2, Downgraded to Caa3 (sf); previously on Apr 18, 2011 Downgraded to Caa1 (sf)

RATINGS RATIONALE

The actions are a result of the recent performance of the 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. The upgrades are due to significant 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

For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate. 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, Moody's first applies a baseline delinquency rate of 3.5% for 2005, 6.5% for 2006 and 7.5% for 2007. 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 2005 pool with 75 loans, the adjusted rate of new delinquency is 3.54%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate calculated above by a factor ranging from 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% respectively. Moody's then uses this final adjusted rate of new delinquency to project delinquencies and losses for the remaining life of the pool under 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 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_SF329663

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 did not receive or take into account a third party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

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.

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

Deepika Kothari
Vice President - 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 $76 million of Prime Jumbo RMBS issued by Merrill Lynch in 2004
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