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Rating Action:

Moody's takes action on $94 Million of Prime Jumbo RMBS issued in 2004

25 Jun 2015

New York, June 25, 2015 -- Moody's Investors Service has downgraded the ratings of five tranches and upgraded the ratings of 20 tranches backed by Prime Jumbo RMBS loans, issued by miscellaneous issuers.

Complete rating actions are as follows:

Issuer: Bear Stearns ARM Trust 2004-1

Cl. I-1-A-1, Upgraded to Ba3 (sf); previously on Oct 11, 2013 Upgraded to B3 (sf)

Cl. I-1-A-2, Upgraded to Ba3 (sf); previously on Oct 11, 2013 Upgraded to B3 (sf)

Cl. I-1-A-3, Upgraded to Ba3 (sf); previously on Oct 11, 2013 Upgraded to B3 (sf)

Cl. I-2-A-1, Upgraded to Ba3 (sf); previously on Mar 13, 2012 Downgraded to B2 (sf)

Cl. I-2-A-2, Upgraded to Ba3 (sf); previously on Mar 13, 2012 Downgraded to B2 (sf)

Cl. I-2-A-3, Upgraded to Ba3 (sf); previously on Mar 13, 2012 Downgraded to B2 (sf)

Cl. I-2-A-4A, Upgraded to Ba2 (sf); previously on Mar 13, 2012 Downgraded to B1 (sf)

Cl. I-2-A-4M, Upgraded to B1 (sf); previously on Oct 11, 2013 Upgraded to B3 (sf)

Cl. I-2-A-5, Upgraded to Ba3 (sf); previously on Mar 13, 2012 Downgraded to B2 (sf)

Cl. I-3-A-1, Upgraded to Ba3 (sf); previously on Mar 13, 2012 Downgraded to B2 (sf)

Cl. I-3-A-2, Upgraded to Ba3 (sf); previously on Mar 13, 2012 Downgraded to B2 (sf)

Cl. I-3-A-3, Upgraded to Ba3 (sf); previously on Mar 13, 2012 Downgraded to B2 (sf)

Cl. I-4-A-1, Upgraded to Ba3 (sf); previously on Oct 11, 2013 Upgraded to B3 (sf)

Cl. I-4-A-2, Upgraded to Ba3 (sf); previously on Oct 11, 2013 Upgraded to B3 (sf)

Cl. I-5-A-1, Upgraded to Ba3 (sf); previously on Oct 11, 2013 Upgraded to B3 (sf)

Cl. I-5-A-2, Upgraded to Ba3 (sf); previously on Oct 11, 2013 Upgraded to B3 (sf)

Cl. I-5-A-3, Upgraded to Ba3 (sf); previously on Oct 11, 2013 Upgraded to B3 (sf)

Cl. I-6-A-1, Upgraded to Ba3 (sf); previously on Oct 11, 2013 Upgraded to B3 (sf)

Cl. I-7-A-1, Upgraded to Ba3 (sf); previously on Mar 13, 2012 Downgraded to B1 (sf)

Cl. I-B-1, Upgraded to Ca (sf); previously on Mar 13, 2012 Downgraded to C (sf)

Issuer: Chase Mortgage Finance Trust, Series 2004-S3

Cl. A-P, Downgraded to Ba3 (sf); previously on Jul 24, 2014 Downgraded to Ba2 (sf)

Cl. IA-1, Downgraded to Ba2 (sf); previously on Jul 24, 2014 Downgraded to Ba1 (sf)

Cl. IIA-4, Downgraded to Ba1 (sf); previously on Aug 30, 2013 Downgraded to Baa2 (sf)

Cl. IIA-5, Downgraded to Ba1 (sf); previously on Aug 30, 2013 Downgraded to Baa2 (sf)

Cl. IIIA-1, Downgraded to Ba1 (sf); previously on Aug 30, 2013 Downgraded to Baa2 (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 ratings downgraded are due to the weaker performance of the underlying collateral and the erosion of enhancement available to the bonds. The ratings upgraded 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 2004-1 also reflect updates and corrections to the cash-flow model used by Moody's in rating this transaction. 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 5.5% in May 2015 from 6.3% in May 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_SF411871

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 $94 Million of Prime Jumbo RMBS issued in 2004
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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