Moody's Downgrades Jumbo deals issued by Banc of America in 2006 and 2007
New York, December 09, 2008 -- Moody's Investors Service has downgraded 323 tranches and confirmed 22
tranches from 12 Jumbo transactions issued by Banc of America in 2006
and 2007.
The collateral backing these transactions consists primarily of first-lien,
fixed and adjustable-rate, prime Jumbo mortgage loans.
The actions are triggered by higher than anticipated rates of delinquency,
foreclosure, and REO in the underlying collateral relative to currently
available credit enhancement levels. The actions listed below reflect
Moody's revised expected losses on the Jumbo sector announced in a press
release on September 18th, and are part of Moody's on-going
review process.
Moody's final rating actions are based on current ratings,
level of credit enhancement, collateral performance and updated
pool-level loss expectations relative to current level of credit
enhancement. Moody's took into account credit enhancement
provided by seniority, cross-collateralization, time
tranching, and other structural features within the Aaa waterfalls.
General loss estimation methodology is outlined below.
Complete rating actions are as follows:
Issuer: Banc of America Funding 2006-1 Trust, Mortgage
Pass-Through Certificates, Series 2006-1
Cl. 2-A-1 Certificate, Downgraded to Aa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-2 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. X-IO Certificate, Confirmed at Aaa; previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. X-PO Certificate, Downgraded to Aa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Issuer: Banc of America Funding 2006-2 Trust
Cl. 1-A-1 Certificate, Downgraded to Aa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-2 Certificate, Downgraded to Aa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-3 Certificate, Downgraded to Aa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-4 Certificate, Downgraded to A2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 1-A-5 Certificate, Downgraded to Aa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-1 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-2 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-3 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-4 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-5 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-6 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-7 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-8 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-9 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-10 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-11 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-12 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-13 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-14 Certificate, Downgraded to A2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 2-A-15 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-16 Certificate, Downgraded to A2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 2-A-17 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-18 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-19 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-20 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-21 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-22 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 3-A-1 Certificate, Downgraded to Aa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 3-A-2 Certificate, Downgraded to A3,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 4-A-1 Certificate, Downgraded to Aa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-2 Certificate, Downgraded to Aa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-3 Certificate, Downgraded to A2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 5-A-1 Certificate, Downgraded to Aa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 5-A-2 Certificate, Downgraded to A2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 5-A-3 Certificate, Downgraded to Aa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 6-A-1 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 6-A-2 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 6-A-3 Certificate, Downgraded to A2,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 6-A-4 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. X-IO Certificate, Confirmed at Aaa; previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. X-PO Certificate, Downgraded to A1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. X-M-1 Certificate, Downgraded to Baa2,
previously on 10/6/08 Aa2 Placed Under Review for Possible Downgrade
Issuer: Banc of America Funding 2006-3 Trust
Cl. 1-A-1 Certificate, Downgraded to Aa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-2 Certificate, Downgraded to A2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 2-A-1 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-2 Certificate, Downgraded to A2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 3-A-1 Certificate, Downgraded to Aa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 3-A-2 Certificate, Downgraded to A2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 4-A-1 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-2 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-3 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-4 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-5 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-6 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-7 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-8 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-9 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-10 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-11 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-12 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-13 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-14 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-15 Certificate, Downgraded to Aa2,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-16 Certificate, Downgraded to A2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 4-A-17 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-18 Certificate, Downgraded to A2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 4-A-19 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-20 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 5-A-1 Certificate, Downgraded to Aa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 5-A-2 Certificate, Downgraded to A2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 5-A-3 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 5-A-4 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 5-A-5 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 5-A-6 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 5-A-7 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 5-A-8 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 5-A-9 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 6-A-1 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. X-IO Certificate, Confirmed at Aaa; previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. X-PO Certificate, Downgraded to A1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. M Certificate, Downgraded to Baa1, previously on
10/6/08 Aa2 Placed Under Review for Possible Downgrade
Issuer: Banc of America Funding 2006-4 Trust
Cl. A-1 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-2 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-3 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-4 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-5 Certificate, Downgraded to Aa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-6 Certificate, Downgraded to Baa3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-7 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-8 Certificate, Downgraded to A1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-9 Certificate, Downgraded to Baa3, previously
on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. A-10 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-11 Certificate, Downgraded to A1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-12 Certificate, Downgraded to A1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-13 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-14 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-15 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-16 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-17 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-18 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-19 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-20 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-21 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-22 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-23 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-24 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-25 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-26 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-27 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-28 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-29 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-30 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-31 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 30-IO Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 30-PO Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. M Certificate, Downgraded to B2, previously on
10/6/08 Aa2 Placed Under Review for Possible Downgrade
Issuer: Banc of America Funding 2006-5 Trust, Mortgage
Pass-Through Certificates, Series 2006-5
Cl. 1-A-1 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-2 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-3 Certificate, Downgraded to A2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 1-A-4 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-5 Certificate, Downgraded to A2,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-6 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-7 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-8 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-9 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-10 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-11 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-12 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-13 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-14 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-1 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-2 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-3 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-4 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-5 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-6 Certificate, Downgraded to Aa2,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-7 Certificate, Downgraded to A2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 2-A-8 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-9 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-10 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-11 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-12 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-13 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 3-A-1 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 3-A-2 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 3-A-3 Certificate, Downgraded to A2,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 3-A-4 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-1 Certificate, Downgraded to A2,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-2 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-3 Certificate, Downgraded to A2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 4-A-4 Certificate, Downgraded to Aa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-5 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-6 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-7 Certificate, Downgraded to A2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 4-A-8 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 30-IO Certificate, Confirmed at Aaa; previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 30-PO Certificate, Downgraded to A1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Issuer: Banc of America Funding 2006-6 Trust, Mortgage
Pass-Through Certificates, 2006-6
Cl. 1-A-1 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-2 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-3 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-4 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-5 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-6 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-7 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-8 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-9 Certificate, Downgraded to A2,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-10 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-11 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-12 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-13 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-14 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-15 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-16 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-17 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-18 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-19 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-20 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-21 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-22 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-23 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-24 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-1 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-2 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-3 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-4 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 3-A-1 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 3-A-2 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 3-A-3 Certificate, Downgraded to A2,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 3-A-4 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 30-IO Certificate, Confirmed at Aaa; previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 30-PO Certificate, Downgraded to A1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. M Certificate, Downgraded to Ba1, previously on
10/6/08 Aa2 Placed Under Review for Possible Downgrade
Issuer: Banc of America Funding 2006-B Trust
Cl. 1-A-1 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-2 Certificate, Downgraded to Caa1,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 2-A-1 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-2 Certificate, Downgraded to Caa1,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 3-A-1 Certificate, Downgraded to Baa2,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 3-A-2 Certificate, Downgraded to Caa1,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 4-A-1 Certificate, Downgraded to Ba1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 4-A-2 Certificate, Downgraded to Caa2,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 5-A-1 Certificate, Downgraded to B3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 6-A-1 Certificate, Downgraded to Aa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 6-A-2 Certificate, Downgraded to B3,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. 7-A-1 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 7-A-2 Certificate, Downgraded to B3,
previously on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. B-1 Certificate, Downgraded to Ca, previously
on 10/6/08 Aa2 Placed Under Review for Possible Downgrade
Cl. B-2 Certificate, Downgraded to Ca, previously
on 4/4/08 A2 Placed Under Review for Possible Downgrade
Cl. B-3 Certificate, Downgraded to Ca, previously
on 4/4/08 Baa2 Placed Under Review for Possible Downgrade
Cl. B-4 Certificate, Downgraded to Ca, previously
on 4/4/08 Ba2 Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2006-1 Trust
Cl. A-1 Certificate, Downgraded to Ba3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-2 Certificate, Downgraded to B1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-3 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-4 Certificate, Downgraded to B1, previously
on 10/6/08 Aa1 Placed Under Review for Possible Downgrade
Cl. A-5 Certificate, Downgraded to Ba3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-6 Certificate, Downgraded to Aa3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-7 Certificate, Downgraded to Ba3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-8 Certificate, Downgraded to Ba3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-9 Certificate, Downgraded to Ba3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-10 Certificate, Downgraded to Ba3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 30-IO Certificate, Downgraded to Aa3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 30-PO Certificate, Downgraded to Ba3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. M Certificate, Downgraded to Caa2, previously on
10/6/08 Aa2 Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2006-2 Trust
Cl. A-1 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-2 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-3 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-4 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-5 Certificate, Downgraded to A1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-6 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-7 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-8 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-9 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-10 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-11 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-12 Certificate, Downgraded to Baa2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-13 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-14 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-15 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-16 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-17 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-18 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-19 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-20 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-21 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-22 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-23 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-24 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-25 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-26 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-27 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-28 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-29 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-30 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-31 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-32 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-33 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-34 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-35 Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 30-IO Certificate, Downgraded to A1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 30-PO Certificate, Downgraded to Baa1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. M Certificate, Downgraded to B3, previously on
10/6/08 Aa2 Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2006-3 Trust
Cl. 1-A-1 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-2 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-3 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-4 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-5 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-6 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-7 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-8 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-9 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-10 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-11 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-12 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-13 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-14 Certificate, Downgraded to A2,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-15 Certificate, Confirmed at Aaa;
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-16 Certificate, Downgraded to A1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 30-IO Certificate, Confirmed at Aaa; previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 30-PO Certificate, Downgraded to A1, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2007-1 Trust
Cl. 1-A-1 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-2 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-3 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-4 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-5 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-7 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-8 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-9 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-10 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-11 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-12 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-13 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-14 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-16 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-17 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-18 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-19 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-20 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-21 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-23 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-24 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-25 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-26 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-27 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-28 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-29 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-30 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-31 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-A-32 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-IO Certificate, Downgraded to Aa3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-PO Certificate, Downgraded to A3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 1-M Certificate, Downgraded to Ba3, previously
on 10/6/08 Aa2 Placed Under Review for Possible Downgrade
Cl. 2-A-1 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-2 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-3 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-4 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-5 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-6 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-7 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-8 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-9 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-10 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-11 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-12 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-13 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-14 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-16 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-17 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-18 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-19 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-20 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-21 Certificate, Downgraded to Aa3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-22 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-23 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-24 Certificate, Downgraded to A3,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-25 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-A-26 Certificate, Downgraded to Baa1,
previously on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-IO Certificate, Downgraded to Aa3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-PO Certificate, Downgraded to A3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. 2-M Certificate, Downgraded to B1, previously
on 10/6/08 Aa2 Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2007-2 Trust
Cl. A-3 Certificate, Downgraded to Caa3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-5 Certificate, Downgraded to A3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-6 Certificate, Downgraded to B3, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Cl. A-7 Certificate, Downgraded to A2, previously
on 10/6/08 Aaa Placed Under Review for Possible Downgrade
Moody's calculates estimated losses for Jumbo RMBS in a two-stage
process. First, serious delinquencies are projected through
late 2009, primarily based upon recent historical performance.
These projected delinquencies are converted into projected losses using
lifetime roll rates (the probability of transition to default) averaging
40% for 60-day delinquencies, 75% for delinquencies
greater than 90 days, and 90-100% for foreclosure
or REO, and severity assumptions averaging 35%.
The second step is to determine losses for the remaining life of the deal,
following the projection period. Depending on a deal's performance,
including delinquency, default, and prepayment rates,
as well as collateral characteristics, such as loan type (fixed
or adjustable), or loan-to-value ratios and geographic
concentrations of remaining current loans, Moody's assumes
varying degrees of slowing in the loss rate (which is measured by loss-to-liquidation)
for the remaining life of the deal. Typical degrees of slowing
in loss rate after late 2009 range from no slowing at all to 40%
slowing. To take an example, a deal with very poor early
performance due to relatively high loan-to-value ratios
and dropping regional home values would be expected to see markedly high
delinquency and loss rates for the next year. But the high rate
of losses may be expected to slow afterwards, as economic factors
and real estate values begin to stabilize, and a slowing of 20-40%
may be used in the projection. On the other hand, a deal
with stronger early performance that is demonstrating relative resiliency
in the current market environment may not be expected to have high losses
in the near-term, but may be expected to sustain a similar
level of losses for the life of the deal, as the pool continues
to be subject to factors that have more historically driven prime performance
such as borrower life events, unemployment, and so on.
Loss estimates are subject to variability and, as a result,
realized losses could ultimately turn out higher or lower than our current
expectations. Moody's will continue to evaluate performance
data as it becomes available and will assess the pattern of potential
future defaults and adjust loss expectations accordingly if necessary.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF149721
For more information please see www.moodys.com.
New York
Amelia (Amy) Tobey
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Ilana Fried
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653