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PLEASE READ AND SCROLL DOWN!

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Related Issuers
CWMBS Re-Performing Loan REMIC Trust Certificates, Series 2002-1
CWMBS Reperforming Loan REMIC Trust Certificates, Series 2004-R1
CWMBS Reperforming Loan REMIC Trust Certificates, Series 2004-R2
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Announcement:

Moody's places $3.5 billion of FHA/VA RMBS on review for possible downgrade

27 Jul 2011

New York, July 27, 2011 -- Moody's Investors Service has placed 193 FHA/VA residential mortgage-backed securities (RMBS) from 39 deals on review for possible downgrade. The collateral backing these transactions consists primarily of first-lien, fixed, and adjustable rate, mortgage loans insured by the Federal Housing Administration (FHA), an agency of the U.S. Department of Urban Development (HUD) or guaranteed by the Veterans Administration (VA). The review action impacts approximately $3.5 billion of FHA/VA RMBS issued between 1998 to 2006, and was prompted by uncertainty about the claims that will be covered by HUD, sustained high delinquency levels, expectations of continued weaknesses in the housing market, and high unemployment levels.

The volume of FHA insured loans increased significantly over the past several years and the FHA has experienced an increase in losses on its portfolio. This trend has resulted in HUD scrutinizing claims more rigorously with a view to identifying servicing or underwriting defects that would serve as a basis for a claim denial. The claims process also requires the servicers to bring the property to an acceptable conveyance condition. Costs incurred by the servicer in this process may not be fully reimbursed by HUD, but still passed to the trust, as the servicer deems them reasonable. The increased scrutiny by HUD and the uncertainty pertaining to HUD ultimately paying claims have led to high volatility of our expectations on the losses that will be covered by FHA.

FHA/VA borrowers in our transactions are typically low income borrowers with poor credit history who have been affected by the weak economy and housing market. We expect delinquencies to remain high for this sector at 40%, 35%, and 30% for the 2004, 2005, and 2006 vintages, respectively as house prices continue to decline and unemployment rates remain high. FHA/VA RMBS transactions have had very low losses to date (less than 1%) despite high delinquency levels due to the FHA and VA guarantees. However, we expect this trend to change as we believe that the HUD is likely to reject more claims in the future.

Review Action

To determine which tranches to place on review, Moody's compared the tranches' credit enhancement from subordination plus excess spread (if any) to a loss projection. Tranches without enough credit enhancement to maintain their current ratings (as measured by at least two notches implied downgrade if the current rating is single B or below; or by at least one notch implied downgrade if the current rating is Ba3 or above) based on this calculation have been placed on review for possible downgrade.

Moody's has already placed on watch $377 Million of Aaa-rated FHA-VA Bonds when U.S. government's debt was placed on downgrade watch in 13 July, 2011. Around $250 Million of these bonds is directly linked to US rating as they have an implicit guarantee from Fannie Mae or Freddie Mac. As a result, the ratings of these securities will move in lock-step with the U.S. government's rating and have been placed on review for possible downgrade. The remaining $127 Million of the Aaa-rated bonds have been placed on watch as any downgrade rating action on the U.S. government will impact the credit strength of the insurance provided by FHA or VA. In addition, these tranches will also be impacted by our current revised FHA/VA loss assumptions.

The principal methodology used in these ratings was "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other factors used in these ratings are described in "FHA VA Methodology Parameter Update" published in July 2011, which accounts for the updated performance and outlook. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

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. Moody's expects to resolve the review and take final action on all bonds placed on review within the next few weeks.

Complete rating actions are as follows:

Issuer: CWMBS, Inc. Structured pass-Through Certificates Series 2003-R3

Cl. M, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. B-1, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B1 (sf)

Issuer: CWMBS Re-Performing Loan REMIC Trust Certificates, Series 2002-1

Cl. M, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Confirmed at Aa2 (sf)

Cl. B-1, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Confirmed at A2 (sf)

Cl. B-2, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba1 (sf)

Cl. B-3, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B1 (sf)

Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series 2004-R1

Cl. 1A-F, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa1 (sf)

Cl. 1A-S, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa1 (sf)

Cl. PT, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa1 (sf)

Cl. 2A, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa1 (sf)

Cl. 3A, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa1 (sf)

Cl. 1M, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba2 (sf)

Cl. 2M, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba2 (sf)

Cl. 1B-1, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B2 (sf)

Cl. 2B-1, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Caa1 (sf)

Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series 2004-R2

Cl. 1A-F1, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba1 (sf)

Cl. 1A-F2, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba1 (sf)

Cl. 1A-S, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba1 (sf)

Cl. M, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B2 (sf)

Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series 2005-R2

Cl. 1A-F1, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Aa3 (sf)

Cl. 1A-F2, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B1 (sf)

Cl. 2A-1, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B1 (sf)

Cl. 2A-2, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B1 (sf)

Cl. 2A-3, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B1 (sf)

Cl. 2A-4, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B1 (sf)

Cl. 2A-IO, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B1 (sf)

Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series 2005-R3

Cl. A-F, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. A-S, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. M, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B2 (sf)

Issuer: Fannie Mae REMIC Trust 2001-W3

Cl. M, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 31, 2001 Assigned Aa2 (sf)

Cl. B-1, A2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 31, 2001 Assigned A2 (sf)

Cl. B-2, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 31, 2001 Assigned Baa2 (sf)

Cl. B-3, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 31, 2001 Assigned Ba2 (sf)

Issuer: Fannie Mae REMIC Trust 2002-W1

Cl. M, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 28, 2002 Assigned Aa2 (sf)

Cl. B-1, A2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 28, 2002 Assigned A2 (sf)

Cl. B-2, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 28, 2002 Assigned Baa2 (sf)

Cl. B-3, B1 (sf) Placed Under Review for Possible Downgrade; previously on Oct 8, 2009 Downgraded to B1 (sf)

Issuer: Fannie Mae REMIC Trust 2002-W6

Cl. M, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 31, 2002 Assigned Aa2 (sf)

Cl. B-1, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 31, 2002 Assigned A2 (sf)

Cl. B-2, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Oct 8, 2009 Downgraded to Ba3 (sf)

Issuer: Fannie Mae REMIC Trust 2003-W1

Cl. M, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 24, 2003 Assigned Aa2 (sf)

Cl. B-1, A2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 24, 2003 Assigned A2 (sf)

Cl. B-2, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Oct 8, 2009 Downgraded to Ba1 (sf)

Issuer: Fannie Mae REMIC Trust 2003-W10

Cl. 1M, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 17, 2003 Assigned Aa2 (sf)

Cl. 1B-1, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 8, 2009 Downgraded to Baa2 (sf)

Cl. 1B-2, B1 (sf) Placed Under Review for Possible Downgrade; previously on Oct 8, 2009 Downgraded to B1 (sf)

Issuer: Fannie Mae REMIC Trust 2003-W4

Cl. IM, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 16, 2003 Assigned Aa2 (sf)

Cl. IB-1, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 8, 2009 Downgraded to Baa2 (sf)

Cl. IB-2, B1 (sf) Placed Under Review for Possible Downgrade; previously on Oct 8, 2009 Downgraded to B1 (sf)

Issuer: GSMPS Mortgage Loan Trust 2002-1

Cl. B1, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Aa2 (sf)

Cl. B2, A3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A3 (sf)

Cl. B3, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba2 (sf)

Issuer: GSMPS Mortgage Loan Trust 2003-1

Cl. B1, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa1 (sf)

Cl. B2, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba2 (sf)

Cl. B3, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Caa1 (sf)

Issuer: GSMPS Mortgage Loan Trust 2004-4

Cl. 1AF, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A2 (sf)

Cl. 1AS, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A2 (sf)

Cl. 1A2, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A2 (sf)

Cl. 1A3, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A2 (sf)

Cl. 1A4, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A2 (sf)

Cl. 2A1, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A2 (sf)

Cl. AX, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A2 (sf)

Cl. B1, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba1 (sf)

Cl. B2, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B1 (sf)

Issuer: GSMPS Mortgage Loan Trust 2005-LT1

Cl. M-1, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Confirmed at Aa2 (sf)

Cl. M-2, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Confirmed at A2 (sf)

Issuer: GSMPS Mortgage Loan Trust 2005-RP1

Cl. 1AF, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa3 (sf)

Cl. 1AS, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa3 (sf)

Cl. 1A2, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa3 (sf)

Cl. 1A3, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa3 (sf)

Cl. 1A4, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa3 (sf)

Cl. 2A1, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa3 (sf)

Cl. AX, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa3 (sf)

Cl. B1, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B2 (sf)

Issuer: GSMPS Mortgage Loan Trust 2005-RP2

Cl. 1AF, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa1 (sf)

Cl. 1AS, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa1 (sf)

Cl. 1A2, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa1 (sf)

Cl. 1A3, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa1 (sf)

Cl. 1A4, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa1 (sf)

Cl. AX, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa1 (sf)

Cl. 2A1, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa1 (sf)

Cl. B1, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba2 (sf)

Cl. B2, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B1 (sf)

Issuer: GSMPS Mortgage Loan Trust 2005-RP3

Cl. 1AF, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. 1AS, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. 1A2, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. 1A3, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. 1A4, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. 2A1, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. AX, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. B1, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba2 (sf)

Cl. B2, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B1 (sf)

Issuer: GSMPS Mortgage Loan Trust 2006-RP1

Cl. 1AF1, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 1AF2, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 1AS, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 1A2, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 1A3, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 1A4, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 2A1, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. AX, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. B1, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B2 (sf)

Issuer: MASTR Reperforming Loan Trust 2005-1

Cl. 1A1, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. 1A2, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. 1A3, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. 1A4, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. 1A5, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. 2A1, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

PO, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

AX, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. B1, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B1 (sf)

Issuer: MASTR Reperforming Loan Trust 2005-2

Cl. 1A1F, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 1A1S, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 1A2, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 1A3, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 1A4, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 2A1, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. AX, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. B1, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B2 (sf)

Issuer: MASTR Reperforming Loan Trust 2006-1

Cl. 1A1F, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 1A1S, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 1A2, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 1A3, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 1A4, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. 2A1, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. AX, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. B1, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B2 (sf)

Issuer: NAAC Reperforming Loan Remic Trust 2004-R3

Cl. A1, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A1 (sf)

Cl. AF, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A1 (sf)

Cl. AS, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A1 (sf)

Cl. PT, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A1 (sf)

Cl. M, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa1 (sf)

Cl. B-1, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba1 (sf)

Cl. B-2, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B1 (sf)

Issuer: NAAC Reperforming Loan Remic Trust Certificates, Series 2004-R1

Cl. A1, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Aa3 (sf)

Cl. A2, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Aa3 (sf)

Cl. PT, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Aa3 (sf)

Cl. M, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. B-1, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Cl. B-2, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Caa2 (sf)

Issuer: NAAC Reperforming Loan Remic Trust Certificates, Series 2004-R2

Cl. A1, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A1 (sf)

Cl. A2, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A1 (sf)

Cl. A3, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A1 (sf)

Cl. PT, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A1 (sf)

Cl. M, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. B-1, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Issuer: RBSGC Mortgage Loan Trust 2005-RP1

Cl. I-F, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. I-SF, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. I-SB, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. I-B-1, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba2 (sf)

Cl. I-B-2, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B2 (sf)

Cl. II-B-1, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Confirmed at Aa2 (sf)

Cl. II-B-2, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Confirmed at A2 (sf)

Cl. II-B-3, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Confirmed at Baa2 (sf)

Cl. II-B-4, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba3 (sf)

Issuer: Reperforming Loan REMIC Trust 2003-R2

Cl. M, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba1 (sf)

Cl. B-1, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B2 (sf)

Issuer: Reperforming Loan REMIC Trust 2003-R4

Cl. 1A-2S, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Aa3 (sf)

Cl. 1A-4, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Aa3 (sf)

Cl. 1A-PO, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Aa3 (sf)

Cl. 1A-IO, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Aa3 (sf)

Cl. 1A-1X, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Aa3 (sf)

Cl. 2A, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Aa3 (sf)

Cl. 2A-IO, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Aa3 (sf)

Cl. M, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa3 (sf)

Cl. B-1, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B1 (sf)

Issuer: SASCO FHA/VA, Series 1999-RF1

A, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Oct 14, 2010 Downgraded to Ba3 (sf)

Issuer: Structured Asset Securities Corp 2006-RF3

Cl. 1-AP, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 28, 2009 Downgraded to Caa1 (sf)

Cl. 3-AP, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 28, 2009 Downgraded to B1 (sf)

Cl. B2-II, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 28, 2009 Downgraded to Caa3 (sf)

Issuer: Structured Asset Securities Corp 2006-RF4

Cl. 2-A1, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 28, 2009 Downgraded to Ba3 (sf)

Cl. 2-AP, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 28, 2009 Downgraded to Caa1 (sf)

Issuer: Structured Asset Securities Corp. 2005-RF5

Cl. 1-A, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 28, 2009 Downgraded to Ba3 (sf)

Cl. 1-AIO, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 28, 2009 Downgraded to Ba3 (sf)

Cl. 2-A, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 28, 2009 Downgraded to Ba3 (sf)

Issuer: Structured Asset Securities Corp. 2005-RF6

Cl. A, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 28, 2009 Downgraded to B1 (sf)

Cl. AIO, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 28, 2009 Downgraded to B1 (sf)

Issuer: Structured Asset Securities Corporation FHA/VA Mortgage Pass-Through Certificates, Series 1998-RF1

A, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Oct 14, 2010 Downgraded to Caa1 (sf)

Issuer: Union Planters Mortgage Finance Corp. Series 1998-1

B-1, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on May 28, 1998 Assigned Aa2 (sf)

Issuer: Union Planters Mortgage Finance Corp. Series 1999-1

B-1, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb 26, 1999 Assigned Aa2 (sf)

Issuer: Union Planters Mortgage Finance Corp., Series 2000-1

Cl. B-1, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 27, 2000 Assigned Aa2 (sf)

Cl. B-2, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 27, 2000 Assigned A2 (sf)

Cl. B-3, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 27, 2000 Assigned Baa2 (sf)

Cl. B-4, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 27, 2000 Assigned Ba2 (sf)

Cl. B-5, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 27, 2000 Assigned B2 (sf)

Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-RP1 Tr

Cl. I-F, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A2 (sf)

Cl. I-HJ, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A2 (sf)

Cl. I-S, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A2 (sf)

Cl. II-A, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Aa2 (sf)

Cl. I-B-1, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa3 (sf)

Cl. II-B-1, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to A2 (sf)

Cl. II-B-2, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Baa2 (sf)

Cl. II-B-3, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to Ba2 (sf)

Cl. II-B-4, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 24, 2009 Downgraded to B2 (sf)

A list of these actions including CUSIP identifiers may be found at:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF255617

For more information please see www.moodys.com.

New York
Jayesh Joseph
Analyst
Structured Finance Group
Moody's Investors Service, Inc.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Bruce D. Fabrikant
Senior Vice President
Structured Finance Group
Moody's Investors Service, Inc.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's places $3.5 billion of FHA/VA RMBS on review for possible downgrade
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