Moody's upgrades 171 Tranches of Jumbo Prime Residential Mortgage Backed Securities
Approximately $752 Million of Residential Mortgage Backed Securities Affected
New York, July 17, 2007 -- Moody's Investors Service announced today that it has upgraded 171 tranches
from 55 jumbo prime residential mortgage backed securitizations.
The rating actions follow Moody's review of jumbo prime RMBS deals issued
from 2003 through 2005, with pool factors lower than 45%
as of July 2007. (To date Moody's has not taken any positive
performance related rating actions on the 2006 jumbo prime vintage since
these transactions have pool factors exceeding 45%.)
Although the property market has weakened in the past year, and
refinancing opportunities have lessened, the jumbo RMBS securitization
market has experienced strong continued performance for a number of reasons,
including that:
- Many pools have experienced very low or even no losses to date;
and
- Many pools have experienced high prepayment rates to date.
In the virtually standard jumbo RMBS shifting-interest structure,
prepayment principal is allocated to senior tranches for the first 5 years,
which results in increasing senior tranche credit enhancement levels.
High prepayment rates can also reduce cumulative projected losses,
as loans that might otherwise default in later years are prepaid.
Moody's has noted that prepayment rates, although high,
have begun to slow, specifically in deals issued in 2003 and early
2004. Relatively slower prepayment rates, as well as increasing
proportions of interest-only, option ARM and negative amortization
loans in more recent adjustable rate vintages, have contributed
to a decrease in the volume of upgrades relative to Moody's prior
jumbo prime RMBS reviews in 2003, 2004 and 2005. Although
current performance remains strong, there may be an increased risk
to such pools once the interest-only and option ARM loans begin
to amortize, potentially causing payment shock to the borrowers.
Moody's will continue to monitor the tail end risk of these transactions
as some subordinated tranches receive their share of principal payments,
thereby eroding the total protection available to the more senior classes.
Moody's will also continue to monitor the behavior of interest-only
loans, option ARMs and negative amortization loans.
The complete rating action is as follows:
ABN AMRO 2003-4, Class B-1, Upgrade from Aa2
to Aaa
ABN AMRO 2003-4, Class B-2, Upgrade from A2
to Aa3
Banc of America Mortgage 2003-2 Trust, Class B-3,
Upgrade from Aa3 to Aa2
Banc of America Mortgage 2003-2 Trust, Class B-4,
Upgrade from Baa1 to A3
Banc of America Mortgage 2003-J Trust, Class 1-A-3,
Upgrade from Aa1 to Aaa
Banc of America Mortgage 2003-J Trust, Class B-2,
Upgrade from A2 to Aa3
Banc of America Mortgage 2003-J Trust, Class B-3,
Upgrade from Baa2 to A3
Banc of America Mortgage 2003-J Trust, Class B-4,
Upgrade from Ba3 to Baa3
Banc of America Mortgage 2003-K Trust, Class B-1,
Upgrade from Aa2 to Aaa
Banc of America Mortgage 2003-K Trust, Class B-2,
Upgrade from A2 to Aa3
Banc of America Mortgage 2003-K Trust, Class B-3,
Upgrade from Baa2 to A3
Banc of America Mortgage 2003-K Trust, Class B-4,
Upgrade from Ba2 to Baa2
Banc of America Mortgage 2003-K Trust, Class B-5,
Upgrade from B2 to B1
Bears Stearns 2003-6, Class I-B-1, Upgrade
from Aa1 to Aaa
Bears Stearns 2003-8, Class B-1, Upgrade from
Aa2 to Aaa
Bears Stearns 2003-8, Class B-2, Upgrade from
A2 to Aa3
Bears Stearns 2003-8, Class B-3, Upgrade from
Baa2 to Baa1
Bears Stearns 2003-8, Class B-4, Upgrade from
Ba2 to Ba1
Bears Stearns 2004-1, Class II-B-1, Upgrade
from Aa2 to Aaa
Bears Stearns 2004-1, Class II-B-2, Upgrade
from A2 to Aa3
Bears Stearns 2004-2, Class II-B-1, Upgrade
from Aa2 to Aaa
Bears Stearns 2004-2, Class II-B-2, Upgrade
from A2 to Aa2
Bears Stearns 2004-2, Class II-B-3, Upgrade
from Baa2 to A2
Chase Mortgage Finance Trust 2003-S15, Class M, Upgrade
from Aa2 to Aaa
Chase Mortgage Finance Trust 2003-S15, Class B-1,
Upgrade from A2 to Aa2
Chase Mortgage Finance Trust 2003-S15, Class B-2,
Upgrade from Baa2 to A2
Chase Mortgage Finance Trust 2003-S15, Class B-3,
Upgrade from Ba2 to Baa2
Chevy Chase Funding 2003-3, Class B-1, Upgrade
from Aa2 to Aa1
Chevy Chase Funding 2003-3, Class B-2, Upgrade
from A2 to A1
Chevy Chase Funding 2003-3, Class B-3, Upgrade
from Baa2 to Baa1
Chevy Chase Funding 2004-1, Class B-2, Upgrade
from Aa2 to Aaa
Chevy Chase Funding 2004-1, Class B-3, Upgrade
from A2 to Aa2
Chevy Chase Funding 2004-1, Class B-4, Upgrade
from Baa2 to A3
Chevy Chase Funding 2004-1, Class B-5, Upgrade
from Ba3 to Ba1
Chevy Chase Funding 2004-2, Class B-1, Upgrade
from Aa2 to Aaa
Chevy Chase Funding 2004-2, Class B-2, Upgrade
from A2 to Aa2
Chevy Chase Funding 2004-2, Class B-3, Upgrade
from Baa2 to A2
Chevy Chase Funding 2004-2, Class B-4, Upgrade
from Ba2 to Baa2
Chevy Chase Funding 2004-2, Class B-5, Upgrade
from B2 to Ba2
Chevy Chase Funding 2004-3, Class B-1, Upgrade
from Aa2 to Aa1
Chevy Chase Funding 2004-3, Class B-2, Upgrade
from A2 to A1
Chevy Chase Funding 2004-3, Class B-3, Upgrade
from Baa2 to A2
Chevy Chase Funding 2004-3, Class B-4, Upgrade
from Ba2 to Ba1
Chevy Chase Funding 2004-3, Class B-5, Upgrade
from B2 to B1
Chevy Chase Funding 2004-A, Class B-1, Upgrade
from Aa2 to Aaa
Chevy Chase Funding 2004-A, Class B-2, Upgrade
from A2 to Aa2
Chevy Chase Funding 2004-A, Class B-3, Upgrade
from Baa2 to A2
Chevy Chase Funding 2004-A, Class B-4, Upgrade
from Ba2 to Baa2
Chevy Chase Funding 2004-A, Class B-5, Upgrade
from B2 to Ba2
Chevy Chase Funding 2004-B, Class B-1, Upgrade
from Aa2 to Aaa
Chevy Chase Funding 2004-B, Class B-2, Upgrade
from A2 to Aa2
Chevy Chase Funding 2004-B, Class B-3, Upgrade
from Baa2 to A2
Chevy Chase Funding 2004-B, Class B-4, Upgrade
from Ba2 to Baa2
Chevy Chase Funding 2004-B, Class B-5, Upgrade
from B2 to Ba2
Chevy Chase Funding 2005-2, Class B-3, Upgrade
from Baa2 to A3
Chevy Chase Funding 2005-A, Class B-1, Upgrade
from Aa2 to Aaa
Chevy Chase Funding 2005-A, Class B-1I, Upgrade
from Aa2 to Aaa
Chevy Chase Funding 2005-A, Class B-1NA, Upgrade
from Aa2 to Aaa
Chevy Chase Funding 2005-A, Class B-2, Upgrade
from A2 to Aa2
Chevy Chase Funding 2005-A, Class B-2I, Upgrade
from A2 to Aa2
Chevy Chase Funding 2005-A, Class B-2NA, Upgrade
from A2 to Aa2
Chevy Chase Funding 2005-A, Class B-3, Upgrade
from Baa2 to A2
Chevy Chase Funding 2005-A, Class B-4, Upgrade
from Ba2 to Baa2
Chevy Chase Funding 2005-A, Class B-5, Upgrade
from B2 to Ba2
CHL Mortgage 2003-60, Class B-1, Upgrade from
Aa2 to Aa1
CHL Mortgage 2004-1, Class A-4, Upgrade from
Aa1 to Aaa
CHL Mortgage 2004-1, Class A-5, Upgrade from
Aa1 to Aaa
CHL Mortgage 2004-12, Class 16-A-2, Upgrade
from Aa1 to Aaa
CHL Mortgage 2004-12, Class II-B-2, Upgrade
from Baa2 to Baa1
CHL Mortgage 2004-19, Class A-15, Upgrade from
Aa1 to Aaa
CHL Mortgage 2004-3, Class A-25, Upgrade from
Aa1 to Aaa
CHL Mortgage 2004-7, Class II-B-2, Upgrade
from Baa2 to Baa1
CHL Mortgage 2004-7, Class II-B-4, Upgrade
from B2 to Ba3
Citicorp Mtg Sec Inc 2003-2, Class B-2, Upgrade
from Aa2 to Aaa
Citicorp Mtg Sec Inc 2003-2, Class B-3, Upgrade
from A2 to Aa2
CWMBS 2004-HYB2, Class M, Upgrade from Aa2 to Aaa
CWMBS 2004-HYB2, Class B-1, Upgrade from A2
to Aa2
CWMBS 2004-HYB2, Class B-2, Upgrade from Baa2
to A2
First Horizon 2004-FL1, Class B-2, Upgrade from
Aa2 to Aa1
First Horizon 2004-FL1, Class B-4, Upgrade from
Baa2 to A3
First Horizon 2004-FL1, Class B-5, Upgrade from
Ba2 to Ba1
GMACM 2003-AR1, Class M-1, Upgrade from Aa2
to Aaa
GMACM 2003-AR1, Class M-2, Upgrade from A2 to
A1
GSR Mortgage 2004-12, Class 1B2, Upgrade from A2 to
A1
GSR Mortgage 2004-12, Class 1B3, Upgrade from Baa2
to Baa1
GSR Mortgage 2004-5, Class 1A2, Upgrade from Aa1 to
Aaa
MASTR Asset Securitization Trust 2003-4, Class 6-B-3,
Upgrade from A3 to A2
Merrill 2003-B, Class B-4, Upgrade from Baa2
to Baa1
Merrill 2003-B, Class B-5, Upgrade from Ba3
to Ba1
Merrill Lynch Mortgage Investors 2003-F, Class B-1,
Upgrade from Aa1 to Aaa
Merrill Lynch Mortgage Investors 2003-F, Class B-5,
Upgrade from B2 to B1
Merrill Lynch Mortgage Investors 2003-G, Class B-4,
Upgrade from Baa2 to Baa1
Merrill Lynch Mortgage Investors 2003-G, Class B-5,
Upgrade from Ba3 to Ba2
Merrill Lynch Mortgage Investors 2003-A6, Class M-1,
Upgrade from Aa2 to Aaa
Merrill Lynch Mortgage Investors 2003-A6, Class M-2,
Upgrade from A2 to Aa3
Merrill Lynch Mortgage Investors 2003-A6, Class M-3,
Upgrade from Baa2 to Baa1
Merrill Lynch Mortgage Investors 2003-A6, Class B-1,
Upgrade from Ba2 to Baa3
Merrill Lynch Mortgage Investors 2003-A6, Class B-2,
Upgrade from B2 to B1
Merrill Lynch Mortgage Investors 2004-B, Class B-4,
Upgrade from Baa2 to Baa1
Merrill Lynch Mortgage Investors 2004-B, Class B-5,
Upgrade from Ba3 to Ba2
Merrill Lynch Mortgage Investors 2004-D, Class B-1,
Upgrade from Aa2 to Aaa
Merrill Lynch Mortgage Investors 2004-D, Class B-2,
Upgrade from A2 to Aa3
Merrill Lynch Mortgage Investors 2004-D, Class B-3,
Upgrade from Baa2 to A2
Merrill Lynch Mortgage Investors 2004-D, Class B-4,
Upgrade from Ba2 to Baa2
Merrill Lynch Mortgage Investors 2004-D, Class B-5,
Upgrade from B2 to B1
Merrill Lynch Mortgage Investors 2004-E, Class B-1,
Upgrade from Aa2 to Aa1
Merrill Lynch Mortgage Investors 2004-E, Class B-2,
Upgrade from A2 to A1
Merrill Lynch Mortgage Investors 2004-E, Class B-3,
Upgrade from Baa2 to Baa1
Merrill Lynch Mortgage Investors 2004-E, Class B-4,
Upgrade from Ba2 to Baa3
Merrill Lynch Mortgage Investors 2004-F, Class B-1,
Upgrade from Aa2 to Aaa
Merrill Lynch Mortgage Investors 2004-F, Class B-2,
Upgrade from A2 to Aa1
Merrill Lynch Mortgage Investors 2004-F, Class B-3,
Upgrade from Baa2 to A1
Merrill Lynch Mortgage Investors 2004-F, Class B-4,
Upgrade from Ba2 to A3
Merrill Lynch Mortgage Investors 2004-F, Class B-5,
Upgrade from B2 to Ba1
Merrill Lynch Mortgage Investors 2005-A, Class B-1,
Upgrade from Aa2 to Aa1
Merrill Lynch Mortgage Investors 2005-A, Class B-2,
Upgrade from A2 to Aa3
Merrill Lynch Mortgage Investors 2005-A, Class B-3,
Upgrade from Baa1 to A2
Merrill Lynch Mortgage Investors 2005-A, Class B-4,
Upgrade from Ba2 to Baa3
Morgan 2003-HYB1, Class B-1, Upgrade from Aa1
to Aaa
Morgan 2003-HYB1, Class B-2, Upgrade from A1
to Aa3
Morgan 2003-HYB1, Class B-3, Upgrade from Baa2
to Baa1
Mortgage Pass-Through MLMI Series 2003-A5, Class M-1,
Upgrade from Aa2 to Aaa
Mortgage Pass-Through MLMI Series 2003-A5, Class M-2,
Upgrade from A2 to Aa2
Mortgage Pass-Through MLMI Series 2003-A5, Class M-3,
Upgrade from Baa2 to A3
Mortgage Pass-Through MLMI Series 2003-A5, Class B-1,
Upgrade from Ba2 to Baa2
WaMu Mortgage 2003-AR3, Class B-4, Upgrade from
Baa1 to A3
WaMu Mortgage 2003-AR3, Class B-5, Upgrade from
Ba2 to Baa3
WaMu Mortgage 2003-AR5, Class B-5, Upgrade from
Ba3 to Ba2
WaMu Mortgage 2003-AR6, Class B-4, Upgrade from
Baa2 to Baa1
WaMu Mortgage 2003-AR8, Class B-1, Upgrade from
Aa2 to Aaa
WaMu Mortgage 2003-AR8, Class B-2, Upgrade from
A2 to Aa3
WaMu Mortgage 2003-AR8, Class B-3, Upgrade from
Baa2 to Baa1
WaMu Mortgage 2003-AR8, Class B-4, Upgrade from
Ba2 to Baa3
WaMu Mortgage 2003-AR12, Class B-1, Upgrade
from Aa2 to Aaa
WaMu Mortgage 2003-AR12, Class B-2, Upgrade
from A2 to Aa3
WaMu Mortgage 2003-AR12, Class B-3, Upgrade
from Baa2 to A3
WaMu Mortgage 2003-AR12, Class B-4, Upgrade
from Ba2 to Baa3
WaMu Mortgage 2003-AR12, Class B-5, Upgrade
from B2 to B1
WaMu Mortgage 2004-AR1, Class B-1, Upgrade from
Aa2 to Aaa
WaMu Mortgage 2004-AR1, Class B-2, Upgrade from
A2 to Aa3
WaMu Mortgage 2004-AR1, Class B-3, Upgrade from
Baa2 to A3
WaMu Mortgage 2004-AR1, Class B-4, Upgrade from
Ba2 to Baa3
WaMu Mortgage 2004-AR1, Class B-5, Upgrade from
B2 to B1
WaMu Mortgage 2004-AR2, Class B-1, Upgrade from
Aa2 to Aaa
WaMu Mortgage 2004-AR2, Class B-2, Upgrade from
A2 to Aa2
WaMu Mortgage 2004-AR2, Class B-3, Upgrade from
Baa2 to A2
WaMu Mortgage 2004-AR2, Class B-4, Upgrade from
Ba2 to Baa2
WaMu Mortgage 2004-AR6, Class B-1, Upgrade from
Aa2 to Aaa
WaMu Mortgage 2004-AR6, Class B-2, Upgrade from
A2 to Aa2
WaMu Mortgage 2004-AR6, Class B-3, Upgrade from
Baa2 to A2
WaMu Mortgage 2004-AR6, Class B-4, Upgrade from
Ba2 to A3
WaMu Mortgage 2004-AR8, Class B-1, Upgrade from
Aa2 to Aaa
WaMu Mortgage 2004-AR8, Class B-2, Upgrade from
A2 to Aa2
WaMu Mortgage 2004-AR8, Class B-3, Upgrade from
Baa2 to A2
WaMu Mortgage 2004-AR8, Class B-4, Upgrade from
Ba2 to Baa2
WaMu Mortgage 2004-AR10, Class B-1, Upgrade
from Aa2 to Aaa
WaMu Mortgage 2004-AR10, Class B-2, Upgrade
from A2 to Aa2
WaMu Mortgage 2004-AR10, Class B-3, Upgrade
from Baa2 to A2
WaMu Mortgage 2004-AR10, Class B-4, Upgrade
from Ba2 to Baa2
WaMu Mortgage 2004-AR12, Class B-1, Upgrade
from Aa2 to Aa1
WaMu Mortgage 2004-AR12, Class B-2, Upgrade
from A2 to Aa2
WaMu Mortgage 2004-AR12, Class B-3, Upgrade
from Baa2 to A2
WaMu Mortgage 2004-AR12, Class B-4, Upgrade
from Ba2 to Baa2
WaMu Mortgage 2004-AR13, Class B-1, Upgrade
from Aa2 to Aaa
WaMu Mortgage 2004-AR13, Class B-2, Upgrade
from A2 to Aa2
WaMu Mortgage 2004-AR13, Class B-3, Upgrade
from Baa2 to A2
WaMu Mortgage 2004-AR13, Class B-4, Upgrade
from Ba2 to Baa2
Wells Fargo Mortgage 2003-D, Class B-3, Upgrade
from A1 to Aa3
Wells Fargo Mortgage 2004-I, Class B-1, Upgrade
from Aa2 to Aaa
Wells Fargo Mortgage 2004-I, Class B-2, Upgrade
from A2 to Aa2
Wells Fargo Mortgage 2004-I, Class B-3, Upgrade
from Baa2 to A2
A spreadsheet sumamrizing all actions with the related CUSIP numbers will
be available on www.Moodys.com.
New York
Nicolas S. Weill
Managing Director - Chief Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Barry M. Eisbruck
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653