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Rating Action:

Moody's places on downgrade watch 38 tranches from 2005 - 2008 RMBS resecuritization deals

13 Jan 2010

New York, January 13, 2010 -- Moody's Investors Service has placed 38 RMBS resecuritization tranches with current outstanding balance of $1.8 billion, on watch for possible downgrade. The rating is triggered by a downgrade watch on the underlying ratings of the securities backing these resecuritization tranches.

The resecuritization bonds are backed by jumbo RMBS bonds issued between 2005 and 2008. On Dec 17, 2009, Moody's placed 4474 tranches of jumbo RMBS issued between 2005 and 2008 on review for possible downgrade due to an upward revision of loss projections on collateral backing these transactions. On average, Moody's is now projecting cumulative losses of 3.8% for 2005 jumbo securitizations, 8.0% for 2006 jumbo securitizations, 10.9% for 2007 jumbo securitizations and 12.3% for 2008 jumbo securitizations reported as a percentage of original balance.

Most resecuritization deals are structured as pass-through structures with payments received on the underlying certificates passed through to the resecuritization bonds. However, the resecuritization deals typically build-in additional support for the senior bonds issued in the transaction with certain junior bonds taking losses ahead of the senior bonds. Increased losses on the underlying certificates are thus likely to affect the principal recovery on the junior resecuritization bonds and some senior resecuritization bonds as well.

As such, in assigning ratings on the notes in the resecuritization, Moody's evaluates:

(i) The updated expected loss of the pool of loans backing the underlying securities portfolio and the updated ratings on the underlying securities portfolio given credit enhancement available to them, and

(ii) The structure of the resecuritization transaction, including the cashflow allocation and the loss allocation amongst the bonds issued.

Because the ratings on the notes in the resecuritization are linked to the ratings on the underlying securities and their mortgage pool performance, any rating action on the underlying securities may trigger a further review of the ratings on the notes in the resecuritization.

Other methodologies and factors that may have been considered in the process of rating this issuer can be found in the Rating Methodologies sub-directory on Moody's website.

Further information on Moody's analysis of this transaction is available on www.moodys.com. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

Complete Rating Actions are as follows:

Issuer: BCAP 2006-RR1

Cl. PA, Aaa Placed Under Review for Possible Downgrade; previously on Jan 4, 2007 Assigned Aaa

Cl. PB, Aa1 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa1

Cl. PC, Aa2 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa2

Cl. PD, Aa3 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa3

Cl. PE, Aa3 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa3

Cl. TA, Aa2 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa2

Cl. WZ, Aa2 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa2

Cl. CF, Aa2 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa2

Cl. CS, Aa2 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa2

Issuer: Bear Stearns ARM Trust 2006-3

Cl. A-1, A3 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to A3

Cl. A-2, B2 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to B2

Issuer: Bear Stearns Structured Products Inc. Trust 2007-R6

Cl. II-A-1, Caa1 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Caa1

Issuer: CSMC Resecuritization Trust 2006-1R

Cl. 1-A-1, Baa1 Placed Under Review for Possible Downgrade; previously on Jun 22, 2009 Downgraded to Baa1

Cl. 1-A-2, Baa1 Placed Under Review for Possible Downgrade; previously on Jun 22, 2009 Downgraded to Baa1

Issuer: CSMC Series 2008-3R

Cl. 2-A-1, Aa3 Placed Under Review for Possible Downgrade; previously on Jun 2, 2009 Downgraded to Aa3

Issuer: Citigroup Mortgage Loan Trust Inc. Re-REMIC Trust Certificates, Series 2006-8

Cl. A-1, Baa1 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to Baa1

Cl. A-2, Baa1 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to Baa1

Cl. A-3, Baa1 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to Baa1

Cl. A-4, Baa1 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to Baa1

Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates, Series 2005-WF1

Cl. I-A-2, B3 Placed Under Review for Possible Downgrade; previously on Jul 13, 2009 Downgraded to B3

Cl. I-A-3, Caa1 Placed Under Review for Possible Downgrade; previously on Jul 13, 2009 Downgraded to Caa1

Cl. I-A-4, A3 Placed Under Review for Possible Downgrade; previously on Jul 13, 2009 Downgraded to A3

Cl. I-A-X, A3 Placed Under Review for Possible Downgrade; previously on Jul 13, 2009 Downgraded to A3

Cl. II-A-1, B3 Placed Under Review for Possible Downgrade; previously on Jul 13, 2009 Downgraded to B3

Issuer: GSMSC Pass-Through Trust 2008-2R

Cl. 1A-1, B3 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to B3

Cl. 2A-1, B3 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to B3

Issuer: J.P. Morgan Mortgage Trust, Series 2008-R1

Cl. 1-A-1, B3 Placed Under Review for Possible Downgrade; previously on Jun 22, 2009 Downgraded to B3

Issuer: J.P. Morgan Mortgage Trust, Series 2008-R3

Cl. 1-A-1, B1 Placed Under Review for Possible Downgrade; previously on Jul 22, 2009 Downgraded to B1

Issuer: J.P. Morgan Mortgage Trust, Series 2008-R4

Cl. 1-A-1, B2 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to B2

Cl. 1-A-2, Caa2 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to Caa2

Cl. 2-A-1, B3 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to B3

Issuer: MASTR Adjustable Rate Mortgages Trust 2005-4

Cl. A-1, Aaa Placed Under Review for Possible Downgrade; previously on Jun 27, 2005 Assigned Aaa

Cl. A-2, Aa2 Placed Under Review for Possible Downgrade; previously on Jul 30, 2009 Downgraded to Aa2

Cl. A-3, Ba3 Placed Under Review for Possible Downgrade; previously on Jul 30, 2009 Downgraded to Ba3

Cl. A-X, Aaa Placed Under Review for Possible Downgrade; previously on Jun 27, 2005 Assigned Aaa

Issuer: Residential Mortgage Securities Funding 2008-3, Ltd.

Notes, Baa3 Placed Under Review for Possible Downgrade; previously on Jul 13, 2009 Downgraded to Baa3

Issuer: Residential Mortgage Securities Funding 2008-6, Ltd.

The Notes, Ba2 Placed Under Review for Possible Downgrade; previously on Jun 22, 2009 Downgraded to Ba2

Issuer: Residential Mortgage Securities Funding 2008-7, Ltd.

Secured Floating Rate Notes, Caa1 Placed Under Review for Possible Downgrade; previously on Jun 22, 2009 Downgraded to Caa1

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

Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF189541

For more information please see www.moodys.com.

New York
Amita Shrivastava
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Deepika Kothari
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's places on downgrade watch 38 tranches from 2005 - 2008 RMBS resecuritization deals
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