New York, May 15, 2009 -- Moody's Investors Service announced today that it has placed the ratings
of 386 FHA/VA RMBS tranches on review for possible downgrade due to concerns
about recent performance trends in residential mortgage securitizations
backed by FHA insured and VA guaranteed loans.
As default frequencies on these loans have increased in recent months,
losses in excess of Moody's initial expectations have begun to accumulate.
For pools issued from 2002 through 2007, cumulative losses have
risen from 0.48% in March of 2008 to 0.61%
one year later. Loss levels are expected to rise further as the
general level of remaining delinquencies remains elevated. Currently,
for pools issued in or after 2002, 60+ delinquencies as a percentage
of original balance have risen from 12.1% 12 months ago,
to 13.8% as of March 2009. Since FHA loans are typically
originated with high loan-to-value ratios --
typically in excess of 90% -- a majority of the borrowers
are likely to have negative equity in their homes given recent home price
declines. As has been true for all RMBS sectors, this has
increased the risk of future default among currently non-delinquent
borrowers.
In addition to the increased frequency of projected and observed defaults,
Moody's actions are also based on concerns relating to expectations
of severity of loss given default. The nature of the FHA insurance
and VA guarantees on the underlying loans insures that severity of loss
upon default will be limited. In the cases of securities backed
by FHA-insured and VA-guaranteed loans, specific consideration
is given to the loan loss coverage provided by the respective guarantees.
Loans benefiting from FHA insurance have generally experienced very low
loss severity upon default as all unpaid principal is insured.
Interest on the loans is also paid through the FHA insurance from the
date when loans are at least 30 days delinquent at a prescribed rate.
However, this rate may be less than the mortgage rate. Also,
for loans originated in or after 2004 there is an increased risk that
the insured interest rate may be less than the loan rate as the insured
rate is established based on the prevailing debenture rates as of the
onset of 30 day delinquency for these loans. This risk has increased
as benchmark interest rates have dropped to historical lows. Also,
only 66% of eligible foreclosure costs are paid under the FHA insurance,
leaving some additional losses to be borne by bondholders.
In the case of loans supported by VA guarantees, loss coverage is
generally limited to 25% to 50% of the unpaid loan balance
(dependant on loan size) and accrued interest and foreclosure expenses.
Given the severe housing market value declines, these guaranteed
amounts may represent insufficient protection against high loss severities
experienced by loans of comparable size and credit quality.
While the FHA insurance and VA guarantees are still expected to provide
substantial protection against losses, the risks outlined above
-- combined with the low levels of credit support from subordination
in most transactions -- have led Moody's to place
these bonds on review for possible downgrade. In selecting bonds
for potential review, Moody's has compared tranche-specific
credit enhancement levels to preliminary loss estimates. Preliminary
loss estimates have been arrived at by applying assumed lifetime roll-rates
(probabilities of transition to default) to the transactions' current
delinquency buckets ("delinquency pipeline") and a pipeline
multiplier. The pipeline multiplier accounts for further possible
defaults that might arise from borrowers that are current. Moody's
then applies deal-specific severity assumptions (as discussed above)
to arrive at projected losses.
During the review period Moody's will further refine its assumptions
relating to expected frequency of default and severity of loss on a deal-by-deal
basis. Additionally, Moody's will examine what benefit,
if any, can be expected from servicers' efforts to modify
loans. Moody's expects to resolve the review and take final
action on all bonds placed on review with the next few weeks.
Complete rating actions are as follows:
CWMBS, Inc. Structured Pass-Thru Ctfs 2003-R3
Cl. M, Aa2 Placed Under Review for Possible Downgrade;
previously on 10/6/2003 Assigned Aa2
Cl. B-1, A2 Placed Under Review for Possible Downgrade;
previously on 10/6/2003 Assigned A2
Cl. B-2, Baa2 Placed Under Review for Possible Downgrade;
previously on 10/6/2003 Assigned Baa2
Cl. B-3, B1 Placed Under Review for Possible Downgrade;
previously on 9/4/2007 Downgraded to B1
Cl. B-4, Caa3 Placed Under Review for Possible Downgrade;
previously on 9/4/2007 Downgraded to Caa3
Re-Performing Loan REMIC Trust 2002-1
Cl. 1A-4, Aaa Placed Under Review for Possible Downgrade;
previously on 5/29/2002 Assigned Aaa
Cl. 2A, Aaa Placed Under Review for Possible Downgrade;
previously on 5/29/2002 Assigned Aaa
Cl. 2A-IO, Aaa Placed Under Review for Possible Downgrade;
previously on 5/29/2002 Assigned Aaa
Cl. 3A, Aaa Placed Under Review for Possible Downgrade;
previously on 5/29/2002 Assigned Aaa
Cl. 3A-IO, Aaa Placed Under Review for Possible Downgrade;
previously on 5/29/2002 Assigned Aaa
Cl. R, Aaa Placed Under Review for Possible Downgrade;
previously on 5/29/2002 Assigned Aaa
Cl. M, Aa2 Placed Under Review for Possible Downgrade;
previously on 5/29/2002 Assigned Aa2
Cl. B-1, A2 Placed Under Review for Possible Downgrade;
previously on 5/30/2002 Assigned A2
Cl. B-2, Baa2 Placed Under Review for Possible Downgrade;
previously on 5/30/2002 Assigned Baa2
Cl. B-3, Ba2 Placed Under Review for Possible Downgrade;
previously on 5/30/2002 Assigned Ba2
Cl. B-4, B2 Placed Under Review for Possible Downgrade;
previously on 5/30/2002 Assigned B2
Reperforming Loan REMIC Trust 2003-R2
Cl. M, Aa2 Placed Under Review for Possible Downgrade;
previously on 7/11/2003 Assigned Aa2
Cl. B-1, A2 Placed Under Review for Possible Downgrade;
previously on 7/11/2003 Assigned A2
Cl. B-2, Baa2 Placed Under Review for Possible Downgrade;
previously on 7/11/2003 Assigned Baa2
Cl. B-3, B2 Placed Under Review for Possible Downgrade;
previously on 9/4/2007 Downgraded to B2
Cl. B-4, Caa3 Placed Under Review for Possible Downgrade;
previously on 9/4/2007 Downgraded to Caa3
Reperforming Loan REMIC Trust 2003-R4
Cl. 1A-1X, Aaa Placed Under Review for Possible Downgrade;
previously on 12/5/2003 Assigned Aaa
Cl. 1A-2S, Aaa Placed Under Review for Possible Downgrade;
previously on 12/5/2003 Assigned Aaa
Cl. 1A-3, Aaa Placed Under Review for Possible Downgrade;
previously on 12/5/2003 Assigned Aaa
Cl. 1A-4, Aaa Placed Under Review for Possible Downgrade;
previously on 12/5/2003 Assigned Aaa
Cl. 1A-IO, Aaa Placed Under Review for Possible Downgrade;
previously on 12/5/2003 Assigned Aaa
Cl. 1A-PO, Aaa Placed Under Review for Possible Downgrade;
previously on 12/5/2003 Assigned Aaa
Cl. 2A, Aaa Placed Under Review for Possible Downgrade;
previously on 12/5/2003 Assigned Aaa
Cl. 2A-IO, Aaa Placed Under Review for Possible Downgrade;
previously on 12/5/2003 Assigned Aaa
Cl. M, Aa2 Placed Under Review for Possible Downgrade;
previously on 12/5/2003 Assigned Aa2
Cl. B-1, A2 Placed Under Review for Possible Downgrade;
previously on 12/5/2003 Assigned A2
Cl. B-2, Baa2 Placed Under Review for Possible Downgrade;
previously on 12/5/2003 Assigned Baa2
Cl. B-3, B2 Placed Under Review for Possible Downgrade;
previously on 1/30/2007 Downgraded to B2
Cl. B-4, Ca Placed Under Review for Possible Downgrade;
previously on 1/30/2007 Downgraded to Ca
Reperforming Loan REMIC Trust 2004-R1
Cl. 1A-F, Aaa Placed Under Review for Possible Downgrade;
previously on 10/7/2004 Assigned Aaa
Cl. 1A-S, Aaa Placed Under Review for Possible Downgrade;
previously on 10/7/2004 Assigned Aaa
Cl. 1M, Aa2 Placed Under Review for Possible Downgrade;
previously on 10/7/2004 Assigned Aa2
Cl. 1B-1, A2 Placed Under Review for Possible Downgrade;
previously on 10/7/2004 Assigned A2
Cl. 1B-2, Baa2 Placed Under Review for Possible Downgrade;
previously on 10/7/2004 Assigned Baa2
Cl. 1B-3, Caa2 Placed Under Review for Possible Downgrade;
previously on 3/28/2007 Downgraded to Caa2
Cl. 1B-4, Ca Placed Under Review for Possible Downgrade;
previously on 3/28/2007 Downgraded to Ca
Cl. 2A, Aaa Placed Under Review for Possible Downgrade;
previously on 10/7/2004 Assigned Aaa
Cl. 3A, Aaa Placed Under Review for Possible Downgrade;
previously on 10/7/2004 Assigned Aaa
Cl. PT, Aaa Placed Under Review for Possible Downgrade;
previously on 10/7/2004 Assigned Aaa
Cl. 2M, Aa2 Placed Under Review for Possible Downgrade;
previously on 10/7/2004 Assigned Aa2
Cl. 2B-1, A2 Placed Under Review for Possible Downgrade;
previously on 10/7/2004 Assigned A2
Cl. 2B-2, Baa2 Placed Under Review for Possible Downgrade;
previously on 10/7/2004 Assigned Baa2
Cl. 2B-3, Caa1 Placed Under Review for Possible Downgrade;
previously on 3/28/2007 Downgraded to Caa1
Cl. 2B-4, Ca Placed Under Review for Possible Downgrade;
previously on 3/28/2007 Downgraded to Ca
Reperforming Loan REMIC Trust 2004-R2
Cl. 1A-F1, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
Cl. 1A-F2, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
Cl. 1A-S, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
Cl. M, Aa2 Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aa2
Cl. B-1, A2 Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned A2
Cl. B-2, Baa3 Placed Under Review for Possible Downgrade;
previously on 3/28/2007 Downgraded to Baa3
Cl. B-3, B3 Placed Under Review for Possible Downgrade;
previously on 3/28/2007 Downgraded to B3
Cl. B-4, Ca Placed Under Review for Possible Downgrade;
previously on 3/28/2007 Downgraded to Ca
Reperforming Loan REMIC Trust 2005-R1
Cl. 1A-F1, Aaa Placed Under Review for Possible Downgrade;
previously on 4/11/2005 Assigned Aaa
Cl. 1A-F2, Aaa Placed Under Review for Possible Downgrade;
previously on 4/11/2005 Assigned Aaa
Cl. 1A-S, Aaa Placed Under Review for Possible Downgrade;
previously on 4/11/2005 Assigned Aaa
Cl. 2A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 4/11/2005 Assigned Aaa
Cl. 2A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 4/11/2005 Assigned Aaa
Cl. 2A-IO, Aaa Placed Under Review for Possible Downgrade;
previously on 4/11/2005 Assigned Aaa
Cl. 2A-PO, Aaa Placed Under Review for Possible Downgrade;
previously on 4/11/2005 Assigned Aaa
Cl. M, Aa2 Placed Under Review for Possible Downgrade;
previously on 4/11/2005 Assigned Aa2
Cl. B-1, A2 Placed Under Review for Possible Downgrade;
previously on 4/11/2005 Assigned A2
Cl. B-2, Baa2 Placed Under Review for Possible Downgrade;
previously on 4/11/2005 Assigned Baa2
Cl. B-3, Ba2 Placed Under Review for Possible Downgrade;
previously on 4/11/2005 Assigned Ba2
Cl. B-4, B2 Placed Under Review for Possible Downgrade;
previously on 4/11/2005 Assigned B2
Reperforming Loan REMIC Trust 2005-R2
Cl. 1A-F1, Aaa Placed Under Review for Possible Downgrade;
previously on 7/28/2005 Assigned Aaa
Cl. 1A-F2, Aaa Placed Under Review for Possible Downgrade;
previously on 7/28/2005 Assigned Aaa
Cl. 1A-S, Aaa Placed Under Review for Possible Downgrade;
previously on 7/28/2005 Assigned Aaa
Cl. 2A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 7/28/2005 Assigned Aaa
Cl. 2A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 7/28/2005 Assigned Aaa
Cl. 2A-3, Aaa Placed Under Review for Possible Downgrade;
previously on 7/28/2005 Assigned Aaa
Cl. 2A-4, Aaa Placed Under Review for Possible Downgrade;
previously on 7/28/2005 Assigned Aaa
Cl. 2A-IO, Aaa Placed Under Review for Possible Downgrade;
previously on 7/28/2005 Assigned Aaa
Cl. M, Aa2 Placed Under Review for Possible Downgrade;
previously on 7/28/2005 Assigned Aa2
Cl. B-1, A2 Placed Under Review for Possible Downgrade;
previously on 7/28/2005 Assigned A2
Cl. B-2, Baa2 Placed Under Review for Possible Downgrade;
previously on 7/28/2005 Assigned Baa2
Cl. B-3, Ba2 Placed Under Review for Possible Downgrade;
previously on 7/28/2005 Assigned Ba2
Cl. B-4, B2 Placed Under Review for Possible Downgrade;
previously on 7/28/2005 Assigned B2
Reperforming Loan REMIC Trust 2005-R3
Cl. A-F, Aaa Placed Under Review for Possible Downgrade;
previously on 10/21/2005 Assigned Aaa
Cl. A-S, Aaa Placed Under Review for Possible Downgrade;
previously on 10/21/2005 Assigned Aaa
Cl. M, Aa2 Placed Under Review for Possible Downgrade;
previously on 10/21/2005 Assigned Aa2
Cl. B-1, A2 Placed Under Review for Possible Downgrade;
previously on 10/21/2005 Assigned A2
Cl. B-2, Baa2 Placed Under Review for Possible Downgrade;
previously on 10/21/2005 Assigned Baa2
Cl. B-3, Ba2 Placed Under Review for Possible Downgrade;
previously on 10/21/2005 Assigned Ba2
Cl. B-4, B2 Placed Under Review for Possible Downgrade;
previously on 10/21/2005 Assigned B2
Reperforming Loan REMIC Trust 2006-R1
Cl. A-F-1, Aaa Placed Under Review for Possible
Downgrade; previously on 2/3/2006 Assigned Aaa
Cl. A-F-2, Aaa Placed Under Review for Possible
Downgrade; previously on 2/3/2006 Assigned Aaa
Cl. A-S, Aaa Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned Aaa
Cl. M, Aa2 Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned Aa2
Cl. B-1, A2 Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned A2
Cl. B-2, Baa2 Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned Baa2
Cl. B-3, Ba2 Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned Ba2
Cl. B-4, B2 Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned B2
Reperforming Loan REMIC Trust 2006-R2
Cl. A-F-1, Aaa Placed Under Review for Possible
Downgrade; previously on 8/29/2006 Assigned Aaa
Cl. A-F-2, Aaa Placed Under Review for Possible
Downgrade; previously on 8/29/2006 Assigned Aaa
Cl. A-S, Aaa Placed Under Review for Possible Downgrade;
previously on 8/29/2006 Assigned Aaa
Cl. M, Aa2 Placed Under Review for Possible Downgrade;
previously on 8/29/2006 Assigned Aa2
Cl. B-1, A2 Placed Under Review for Possible Downgrade;
previously on 8/29/2006 Assigned A2
Cl. B-2, Baa2 Placed Under Review for Possible Downgrade;
previously on 8/29/2006 Assigned Baa2
Cl. B-3, Ba2 Placed Under Review for Possible Downgrade;
previously on 8/29/2006 Assigned Ba2
Cl. B-4, B2 Placed Under Review for Possible Downgrade;
previously on 8/29/2006 Assigned B2
GSMPS Mortgage Loan Trust 2002-1
Cl. B1, Aaa Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to Aaa
Cl. B2, Aa2 Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to Aa2
Cl. B3, Baa1 Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to Baa1
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 9/30/2002 Assigned Ba2
Cl. B5, Caa3 Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Downgraded to Caa3
GSMPS Mortgage Loan Trust 2003-1
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 5/9/2003 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 5/9/2003 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 5/9/2003 Assigned Baa2
Cl. B4, Ba3 Placed Under Review for Possible Downgrade;
previously on 4/27/2007 Downgraded to Ba3
Cl. B5, Ca Placed Under Review for Possible Downgrade;
previously on 4/27/2007 Downgraded to Ca
GSMPS Mortgage Loan Trust 2004-4
Cl. 1A2, Aaa Placed Under Review for Possible Downgrade;
previously on 11/10/2004 Assigned Aaa
Cl. 1A3, Aaa Placed Under Review for Possible Downgrade;
previously on 11/10/2004 Assigned Aaa
Cl. 1A4, Aaa Placed Under Review for Possible Downgrade;
previously on 11/10/2004 Assigned Aaa
Cl. 1AF, Aaa Placed Under Review for Possible Downgrade;
previously on 11/10/2004 Assigned Aaa
Cl. 1AS, Aaa Placed Under Review for Possible Downgrade;
previously on 11/10/2004 Assigned Aaa
Cl. 2A1, Aaa Placed Under Review for Possible Downgrade;
previously on 11/10/2004 Assigned Aaa
Cl. AX, Aaa Placed Under Review for Possible Downgrade;
previously on 11/10/2004 Assigned Aaa
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 11/10/2004 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 11/10/2004 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 11/10/2004 Assigned Baa2
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 11/10/2004 Assigned Ba2
Cl. B5, B2 Placed Under Review for Possible Downgrade;
previously on 11/10/2004 Assigned B2
GSMPS Mortgage Loan Trust 2005-LT1
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 8/30/2005 Assigned Aaa
Cl. M-1, Aa2 Placed Under Review for Possible Downgrade;
previously on 8/30/2005 Assigned Aa2
Cl. M-2, A2 Placed Under Review for Possible Downgrade;
previously on 8/30/2005 Assigned A2
Cl. B-1, Baa3 Placed Under Review for Possible Downgrade;
previously on 5/11/2007 Downgraded to Baa3
Cl. B-2, Caa1 Placed Under Review for Possible Downgrade;
previously on 5/11/2007 Downgraded to Caa1
GSMPS Mortgage Loan Trust 2005-RP1
Cl. 1A2, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
Cl. 1A3, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
Cl. 1A4, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
Cl. 1AF, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
Cl. 1AS, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
Cl. 2A1, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
Cl. AX, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
Cl. B1, A1 Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned A1
Cl. B2, A3 Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned A3
Cl. B3, Baa3 Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Baa3
GSMPS Mortgage Loan Trust 2005-RP2
Cl. 1A2, Aaa Placed Under Review for Possible Downgrade;
previously on 4/29/2005 Assigned Aaa
Cl. 1A3, Aaa Placed Under Review for Possible Downgrade;
previously on 4/29/2005 Assigned Aaa
Cl. 1A4, Aaa Placed Under Review for Possible Downgrade;
previously on 4/29/2005 Assigned Aaa
Cl. 1AF, Aaa Placed Under Review for Possible Downgrade;
previously on 4/29/2005 Assigned Aaa
Cl. 1AS, Aaa Placed Under Review for Possible Downgrade;
previously on 4/29/2005 Assigned Aaa
Cl. 2A1, Aaa Placed Under Review for Possible Downgrade;
previously on 4/29/2005 Assigned Aaa
Cl. AX, Aaa Placed Under Review for Possible Downgrade;
previously on 4/29/2005 Assigned Aaa
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 4/29/2005 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 4/29/2005 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 4/29/2005 Assigned Baa2
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 4/29/2005 Assigned Ba2
Cl. B5, B2 Placed Under Review for Possible Downgrade;
previously on 4/29/2005 Assigned B2
GSMPS Mortgage Loan Trust 2005-RP3
Cl. 1A2, Aaa Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Aaa
Cl. 1A3, Aaa Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Aaa
Cl. 1A4, Aaa Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Aaa
Cl. 1AF, Aaa Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Aaa
Cl. 1AS, Aaa Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Aaa
Cl. 2A1, Aaa Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Aaa
Cl. AX, Aaa Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Aaa
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Baa2
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Ba2
Cl. B5, B2 Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned B2
GSMPS Mortgage Loan Trust 2006-RP1
Cl. 1A2, Aaa Placed Under Review for Possible Downgrade;
previously on 2/10/2006 Assigned Aaa
Cl. 1A3, Aaa Placed Under Review for Possible Downgrade;
previously on 2/10/2006 Assigned Aaa
Cl. 1A4, Aaa Placed Under Review for Possible Downgrade;
previously on 2/10/2006 Assigned Aaa
Cl. 1AF1, Aaa Placed Under Review for Possible Downgrade;
previously on 2/10/2006 Assigned Aaa
Cl. 1AF2, Aaa Placed Under Review for Possible Downgrade;
previously on 2/10/2006 Assigned Aaa
Cl. 1AS, Aaa Placed Under Review for Possible Downgrade;
previously on 2/10/2006 Assigned Aaa
Cl. 2A1, Aaa Placed Under Review for Possible Downgrade;
previously on 2/10/2006 Assigned Aaa
Cl. AX, Aaa Placed Under Review for Possible Downgrade;
previously on 2/10/2006 Assigned Aaa
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 2/10/2006 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 2/10/2006 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 2/10/2006 Assigned Baa2
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 2/10/2006 Assigned Ba2
Cl. B5, B2 Placed Under Review for Possible Downgrade;
previously on 2/10/2006 Assigned B2
GSMPS Mortgage Loan Trust 2006-RP2
Cl. 1AF1, Aaa Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Aaa
Cl. 1AF2, Aaa Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Aaa
Cl. 1AS1, Aaa Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Aaa
Cl. 1AS2, Aaa Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Aaa
Cl. 2A1, Aaa Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Aaa
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Baa2
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Ba2
Cl. B5, B2 Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned B2
Cl. R1, Aaa Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Aaa
Cl. R2, Aaa Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Aaa
MASTR Reperforming Loan Trust 2005-1
Cl. 1A1, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
Cl. 1A2, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
Cl. 1A3, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
Cl. 1A4, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
Cl. 1A5, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
Cl. 2A1, Aaa Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aaa
AX, Aaa Placed Under Review for Possible Downgrade; previously
on 6/15/2005 Assigned Aaa
PO, Aaa Placed Under Review for Possible Downgrade; previously
on 6/15/2005 Assigned Aaa
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Baa2
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned Ba2
Cl. B5, B2 Placed Under Review for Possible Downgrade;
previously on 6/15/2005 Assigned B2
MASTR Reperforming Loan Trust 2005-2
Cl. 1A1F, Aaa Placed Under Review for Possible Downgrade;
previously on 9/12/2005 Assigned Aaa
Cl. 1A1S, Aaa Placed Under Review for Possible Downgrade;
previously on 9/12/2005 Assigned Aaa
Cl. 1A2, Aaa Placed Under Review for Possible Downgrade;
previously on 9/12/2005 Assigned Aaa
Cl. 1A3, Aaa Placed Under Review for Possible Downgrade;
previously on 9/12/2005 Assigned Aaa
Cl. 1A4, Aaa Placed Under Review for Possible Downgrade;
previously on 9/12/2005 Assigned Aaa
Cl. 2A1, Aaa Placed Under Review for Possible Downgrade;
previously on 9/12/2005 Assigned Aaa
Cl. AX, Aaa Placed Under Review for Possible Downgrade;
previously on 9/12/2005 Assigned Aaa
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 9/12/2005 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 9/12/2005 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 9/12/2005 Assigned Baa2
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 9/12/2005 Assigned Ba2
Cl. B5, B2 Placed Under Review for Possible Downgrade;
previously on 9/12/2005 Assigned B2
MASTR Reperforming Loan Trust 2006-1
Cl. 1A1F, Aaa Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned Aaa
Cl. 1A1S, Aaa Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned Aaa
Cl. 1A2, Aaa Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned Aaa
Cl. 1A3, Aaa Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned Aaa
Cl. 1A4, Aaa Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned Aaa
Cl. 2A1, Aaa Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned Aaa
Cl. AX, Aaa Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned Aaa
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned Baa2
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned Ba2
Cl. B5, B2 Placed Under Review for Possible Downgrade;
previously on 2/3/2006 Assigned B2
MASTR Reperforming Loan Trust 2006-2
Cl. 1A1, Aaa Placed Under Review for Possible Downgrade;
previously on 9/18/2006 Assigned Aaa
Cl. 2A1, Aaa Placed Under Review for Possible Downgrade;
previously on 9/18/2006 Assigned Aaa
NAAC Reperforming Loan Remic Trust 2004-R1
Cl. A1, Aaa Placed Under Review for Possible Downgrade;
previously on 2/11/2004 Assigned Aaa
Cl. A2, Aaa Placed Under Review for Possible Downgrade;
previously on 2/11/2004 Assigned Aaa
Cl. PT, Aaa Placed Under Review for Possible Downgrade;
previously on 2/11/2004 Assigned Aaa
Cl. M, Aa2 Placed Under Review for Possible Downgrade;
previously on 2/11/2004 Assigned Aa2
Cl. B-1, A2 Placed Under Review for Possible Downgrade;
previously on 2/11/2004 Assigned A2
Cl. B-2, Baa2 Placed Under Review for Possible Downgrade;
previously on 2/11/2004 Assigned Baa2
Cl. B-3, Ba2 Placed Under Review for Possible Downgrade;
previously on 2/11/2004 Assigned Ba2
Cl. B-4, Caa3 Placed Under Review for Possible Downgrade;
previously on 8/23/2007 Downgraded to Caa3
NAAC Reperforming Loan Remic Trust 2004-R2
Cl. A1, Aaa Placed Under Review for Possible Downgrade;
previously on 9/7/2004 Assigned Aaa
Cl. A2, Aaa Placed Under Review for Possible Downgrade;
previously on 9/7/2004 Assigned Aaa
Cl. A3, Aaa Placed Under Review for Possible Downgrade;
previously on 9/7/2004 Assigned Aaa
Cl. PT, Aaa Placed Under Review for Possible Downgrade;
previously on 9/7/2004 Assigned Aaa
Cl. M, Aa2 Placed Under Review for Possible Downgrade;
previously on 9/7/2004 Assigned Aa2
Cl. B-1, A2 Placed Under Review for Possible Downgrade;
previously on 9/7/2004 Assigned A2
Cl. B-2, Baa2 Placed Under Review for Possible Downgrade;
previously on 9/7/2004 Assigned Baa2
Cl. B-3, Ba2 Placed Under Review for Possible Downgrade;
previously on 9/7/2004 Assigned Ba2
Cl. B-4, Caa3 Placed Under Review for Possible Downgrade;
previously on 8/23/2007 Downgraded to Caa3
NAAC Reperforming Loan Remic Trust 2004-R3
Cl. A1, Aaa Placed Under Review for Possible Downgrade;
previously on 1/7/2005 Assigned Aaa
Cl. AF, Aaa Placed Under Review for Possible Downgrade;
previously on 1/7/2005 Assigned Aaa
Cl. AS, Aaa Placed Under Review for Possible Downgrade;
previously on 1/7/2005 Assigned Aaa
Cl. PT, Aaa Placed Under Review for Possible Downgrade;
previously on 1/7/2005 Assigned Aaa
Cl. M, Aa2 Placed Under Review for Possible Downgrade;
previously on 1/7/2005 Assigned Aa2
Cl. B-1, A2 Placed Under Review for Possible Downgrade;
previously on 1/7/2005 Assigned A2
Cl. B-2, Baa2 Placed Under Review for Possible Downgrade;
previously on 1/7/2005 Assigned Baa2
Cl. B-3, Ba2 Placed Under Review for Possible Downgrade;
previously on 1/7/2005 Assigned Ba2
Cl. B-4, B2 Placed Under Review for Possible Downgrade;
previously on 1/7/2005 Assigned B2
RBSGC Mortgage Loan Trust 2005-RP1
Cl. I-F, Aaa Placed on Review for Possible Downgrade;
previously on 6/29/2005 Assigned Aaa
Cl. I-SB, Aaa Placed on Review for Possible Downgrade;
previously on 6/29/2005 Assigned Aaa
Cl. I-SF, Aaa Placed on Review for Possible Downgrade;
previously on 6/29/2005 Assigned Aaa
Cl. II-A, Aaa Placed on Review for Possible Downgrade;
previously on 6/29/2005 Assigned Aaa
Cl. I-B-1, Aa2 Placed on Review for Possible
Downgrade; previously on 6/29/2005 Assigned Aa2
Cl. I-B-2, A2 Placed on Review for Possible
Downgrade; previously on 6/29/2005 Assigned A2
Cl. I-B-3, Baa2 Placed on Review for Possible
Downgrade; previously on 6/29/2005 Assigned Baa2
Cl. I-B-4, Ba2 Placed on Review for Possible
Downgrade; previously on 6/29/2005 Assigned Ba2
Cl. I-B-5, B2 Placed on Review for Possible
Downgrade; previously on 6/29/2005 Assigned B2
Cl. II-B-1, Aa2 Placed on Review for Possible
Downgrade; previously on 6/29/2005 Assigned Aa2
Cl. II-B-2, A2 Placed on Review for Possible
Downgrade; previously on 6/29/2005 Assigned A2
Cl. II-B-3, Baa2 Placed on Review for Possible
Downgrade; previously on 6/29/2005 Assigned Baa2
Cl. II-B-4, Ba2 Placed on Review for Possible
Downgrade; previously on 6/29/2005 Assigned Ba2
Cl. II-B-5, B2 Placed on Review for Possible
Downgrade; previously on 6/29/2005 Assigned B2
SASCO Mortgage Loan Trust 2002-NP1
Cl. B, Baa2 Placed Under Review for Possible Downgrade;
previously on 9/17/2002 Assigned Baa2
SASCO Mortgage Loan Trust 2004-NP1
Cl. M1, Aa2 Placed Under Review for Possible Downgrade;
previously on 7/12/2004 Assigned Aa2
Cl. M2, A2 Placed Under Review for Possible Downgrade;
previously on 7/12/2004 Assigned A2
Cl. B, Baa2 Placed Under Review for Possible Downgrade;
previously on 7/12/2004 Assigned Baa2
SASCO Mortgage Loan Trust 2004-NP2
Cl. M1, Aa2 Placed Under Review for Possible Downgrade;
previously on 12/23/2004 Assigned Aa2
Cl. M2, A2 Placed Under Review for Possible Downgrade;
previously on 12/23/2004 Assigned A2
Cl. B, Baa2 Placed Under Review for Possible Downgrade;
previously on 12/23/2004 Assigned Baa2
Structured Asset Securities Corp 2006-RF4
Cl. 1-A1, Aaa Placed Under Review for Possible Downgrade;
previously on 1/3/2007 Assigned Aaa
Cl. 1-AIO, Aaa Placed Under Review for Possible Downgrade;
previously on 1/3/2007 Assigned Aaa
Cl. 2-A1, Aaa Placed Under Review for Possible Downgrade;
previously on 1/3/2007 Assigned Aaa
Cl. 2-A2, Aaa Placed Under Review for Possible Downgrade;
previously on 1/3/2007 Assigned Aaa
Cl. 2-AP, Aaa Placed Under Review for Possible Downgrade;
previously on 1/3/2007 Assigned Aaa
Cl. 2-AX, Aaa Placed Under Review for Possible Downgrade;
previously on 1/3/2007 Assigned Aaa
Cl. 3-A1, Aaa Placed Under Review for Possible Downgrade;
previously on 1/3/2007 Assigned Aaa
Cl. R, Aaa Placed Under Review for Possible Downgrade;
previously on 1/3/2007 Assigned Aaa
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 1/3/2007 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 1/3/2007 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 1/3/2007 Assigned Baa2
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 1/3/2007 Assigned Ba2
Cl. B5, B2 Placed Under Review for Possible Downgrade;
previously on 1/3/2007 Assigned B2
Structured Asset Securities Corp 2007-RF1
Cl. 1-A, Aaa Placed Under Review for Possible Downgrade;
previously on 4/9/2007 Assigned Aaa
Cl. 1-AIO, Aaa Placed Under Review for Possible Downgrade;
previously on 4/9/2007 Assigned Aaa
Cl. 2-A, Aaa Placed Under Review for Possible Downgrade;
previously on 4/9/2007 Assigned Aaa
Cl. R, Aaa Placed Under Review for Possible Downgrade;
previously on 4/9/2007 Assigned Aaa
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 4/9/2007 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 4/9/2007 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 4/9/2007 Assigned Baa2
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 4/9/2007 Assigned Ba2
Cl. B5, B2 Placed Under Review for Possible Downgrade;
previously on 4/9/2007 Assigned B2
Structured Asset Securities Corp Tr 2005-RF3
Cl. 1-A, Aaa Placed Under Review for Possible Downgrade;
previously on 8/8/2005 Assigned Aaa
Cl. 1-AIO, Aaa Placed Under Review for Possible Downgrade;
previously on 8/8/2005 Assigned Aaa
Cl. 2-A, Aaa Placed Under Review for Possible Downgrade;
previously on 8/8/2005 Assigned Aaa
Cl. R, Aaa Placed Under Review for Possible Downgrade;
previously on 8/8/2005 Assigned Aaa
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 8/8/2005 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 8/8/2005 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 8/8/2005 Assigned Baa2
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 8/8/2005 Assigned Ba2
Cl. B5, B2 Placed Under Review for Possible Downgrade;
previously on 8/8/2005 Assigned B2
Structured Asset Securities Corp Tr 2005-RF4
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 9/19/2005 Assigned Aaa
Cl. AIO, Aaa Placed Under Review for Possible Downgrade;
previously on 9/19/2005 Assigned Aaa
Cl. R, Aaa Placed Under Review for Possible Downgrade;
previously on 9/19/2005 Assigned Aaa
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 9/19/2005 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 9/19/2005 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 9/19/2005 Assigned Baa2
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 9/19/2005 Assigned Ba2
Cl. B5, B2 Placed Under Review for Possible Downgrade;
previously on 9/19/2005 Assigned B2
Structured Asset Securities Corp Tr 2006-RF1
Cl. 1-A, Aaa Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Aaa
Cl. 1-AIO, Aaa Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Aaa
Cl. 2-A, Aaa Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Aaa
Cl. R, Aaa Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Aaa
Cl. B-1, Aa2 Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Aa2
Cl. B-2, A2 Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned A2
Cl. B-3, Baa2 Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Baa2
Cl. B-4, Ba2 Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Ba2
Cl. B-5, B2 Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned B2
Structured Asset Securities Corp Tr 2006-RF3
Cl. 1-A1, Aaa Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Aaa
Cl. 1-A2, Aaa Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Aaa
Cl. 1-A3, Aaa Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Aaa
Cl. 1-A4, Aaa Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Aaa
Cl. 1-AP, Aaa Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Aaa
Cl. 1-AX, Aaa Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Aaa
Cl. 2-A, Aaa Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Aaa
Cl. 3-A1, Aaa Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Aaa
Cl. 3-A2, Aaa Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Aaa
Cl. 3-AP, Aaa Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Aaa
Cl. 3-AX, Aaa Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Aaa
Cl. 4-A, Aaa Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Aaa
Cl. R, Aaa Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Aaa
Cl. B1-I, Aa2 Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Aa2
Cl. B1-II, Aa2 Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Aa2
Cl. B2-I, A2 Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned A2
Cl. B2-II, A2 Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned A2
Cl. B3-I, Baa2 Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Baa2
Cl. B3-II, Baa2 Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Baa2
Cl. B4-I, Ba2 Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Ba2
Cl. B4-II, Ba2 Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned Ba2
Cl. B5-I, B2 Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned B2
Cl. B5-II, B2 Placed Under Review for Possible Downgrade;
previously on 11/13/2006 Assigned B2
Structured Asset Securities Corp. 2005-RF6
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned Aaa
Cl. AIO, Aaa Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned Aaa
Cl. R, Aaa Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned Aaa
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned Baa2
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned Ba2
Cl. B5, B2 Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned B2
Structured Asset Securities Corp. 2005-RF7
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 1/10/2006 Assigned Aaa
Cl. AIO, Aaa Placed Under Review for Possible Downgrade;
previously on 1/10/2006 Assigned Aaa
Cl. R, Aaa Placed Under Review for Possible Downgrade;
previously on 1/10/2006 Assigned Aaa
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 1/10/2006 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 1/10/2006 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 1/10/2006 Assigned Baa2
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 1/10/2006 Assigned Ba2
Cl. B5, B2 Placed Under Review for Possible Downgrade;
previously on 1/10/2006 Assigned B2
Structured Asset Securities Corp. 2006-RF2
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 8/15/2006 Assigned Aaa
Cl. AIO, Aaa Placed Under Review for Possible Downgrade;
previously on 8/15/2006 Assigned Aaa
Cl. R, Aaa Placed Under Review for Possible Downgrade;
previously on 8/15/2006 Assigned Aaa
Cl. B1, Aa2 Placed Under Review for Possible Downgrade;
previously on 8/15/2006 Assigned Aa2
Cl. B2, A2 Placed Under Review for Possible Downgrade;
previously on 8/15/2006 Assigned A2
Cl. B3, Baa2 Placed Under Review for Possible Downgrade;
previously on 8/15/2006 Assigned Baa2
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 8/15/2006 Assigned Ba2
Cl. B5, B2 Placed Under Review for Possible Downgrade;
previously on 8/15/2006 Assigned B2
WaMu Mortgage Pass-Through Certificates Series 2004-RP1
Tr
Cl. I-F, Aaa Placed on Review for Possible Downgrade;
previously on 9/7/2004 Assigned Aaa
Cl. I-HJ, Aaa Placed on Review for Possible Downgrade;
previously on 9/7/2004 Assigned Aaa
Cl. I-S, Aaa Placed on Review for Possible Downgrade;
previously on 9/7/2004 Assigned Aaa
Cl. II-A, Aaa Placed on Review for Possible Downgrade;
previously on 9/7/2004 Assigned Aaa
Cl. I-B-1, Aa2 Placed on Review for Possible
Downgrade; previously on 9/7/2004 Assigned Aa2
Cl. I-B-2, A2 Placed on Review for Possible
Downgrade; previously on 9/7/2004 Assigned A2
Cl. I-B-3, Baa2 Placed on Review for Possible
Downgrade; previously on 9/7/2004 Assigned Baa2
Cl. I-B-4, B2 Placed on Review for Possible
Downgrade; previously on 94/2007 Downgraded to B2
Cl. I-B-5, Caa3 Placed on Review for Possible
Downgrade; previously on 9/4/2007 Downgraded to Caa3
Cl. II-B-1, Aa1 Placed on Review for Possible
Downgrade; previously on 9/4/2007 Upgraded to Aa1
Cl. II-B-2, Aa3 Placed on Review for Possible
Downgrade; previously on 9/4/2007 Upgraded to Aa3
Cl. II-B-3, A3 Placed on Review for Possible
Downgrade; previously on 9/4/2007 Upgraded to A3
Cl. II-B-4, Ba2 Placed on Review for Possible
Downgrade, currently Ba2; previously on 9/7/2004 Assigned Ba2
Cl. II-B-5, B2 Placed on Review for Possible
Downgrade, currently B2; previously on 9/7/2004 Assigned B2
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF166103
For more information please see www.moodys.com.
New York
Debashish Chatterjee
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Gulmira Karaguishiyeva
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's places 2002-2007 RMBS tranches collateralized by FHA insured and VA guaranteed loans on review for downgrade
