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Rating Action:

Moody's places on downgrade watch 40 tranches from 2005-2008 RMBS resecuritization deals

12 Mar 2010

New York, March 12, 2010 -- Moody's Investors Service has placed 40 RMBS resecuritization tranches with current outstanding balance of $500 million, on watch for possible downgrade. The rating is triggered by a downgrade watch on the underlying ratings of the securities backing these resecuritization tranches.

On Jan 27, 2010, Moody's placed 2,553 tranches of Option Arm RMBS issued between 2005 and 2007 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 20% for 2005 securitizations, 41% for 2006 securitizations and 51% for 2007 securitizations, reported as a percentage of original balance.

On Jan 14, 2010, Moody's placed 10,330 tranches of alt-a RMBS issued between 2005 and 2007 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 14% for 2005 alt-a securitizations, 29% for 2006 alt-a securitizations, 35% for 2007 alt-a securitizations reported as a percentage of original balance.

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.

On Jan 13, 2010, Moody's placed 5,698 tranches of subprime RMBS issued between 2005 and 2007 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 18.7% for 2005 subprime securitizations, 38.4% for 2006 subprime securitizations, 48.1% for 2007 subprime 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 probably the 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

(iii) 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. The ratings on the notes in the resecuritization address the ultimate payment of promised interest and principal and do not address any other amounts that may be payable on the notes.

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: AAA Trust 2007-2

Cl. A-3, Ca Placed Under Review for Possible Downgrade; previously on Jun 2, 2009 Downgraded to Ca

Issuer: Banc of America Funding 2006-R1 Trust

Cl. A-1, Ca Placed Under Review for Possible Downgrade; previously on Nov 11, 2009 Downgraded to Ca

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

Cl. I-A-2, Ca Placed Under Review for Possible Downgrade; previously on May 8, 2009 Downgraded to Ca

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

Issuer: CWALT, Inc. Resecuritization Pass-Through Certificates, Series 2007-26R

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

Cl. A-9, Ca Placed Under Review for Possible Downgrade; previously on May 1, 2009 Downgraded to Ca

Cl. A-10, Ca Placed Under Review for Possible Downgrade; previously on May 1, 2009 Downgraded to Ca

Cl. A-11, Ca Placed Under Review for Possible Downgrade; previously on May 1, 2009 Downgraded to Ca

Cl. A-12, Ca Placed Under Review for Possible Downgrade; previously on May 1, 2009 Downgraded to Ca

Cl. A-13, Ca Placed Under Review for Possible Downgrade; previously on May 1, 2009 Downgraded to Ca

Cl. A-14, Ca Placed Under Review for Possible Downgrade; previously on May 1, 2009 Downgraded to Ca

Issuer: Citigroup Mortgage Loan Trust 2007-11, Re-Remic Trust Certificates, Series 2007-11

Cl. I-A-3, Ca Placed Under Review for Possible Downgrade; previously on May 14, 2009 Downgraded to Ca

Cl. I-A-5, Ca Placed Under Review for Possible Downgrade; previously on May 14, 2009 Downgraded to Ca

Cl. I-A-1B, Ca Placed Under Review for Possible Downgrade; previously on May 14, 2009 Downgraded to Ca

Issuer: Citigroup Mortgage Loan Trust 2007-9

Cl. I-A-2, Ca Placed Under Review for Possible Downgrade; previously on May 14, 2009 Downgraded to Ca

Cl. I-A-12, Ca Placed Under Review for Possible Downgrade; previously on May 14, 2009 Downgraded to Ca

Issuer: Deutsche ALT-A Securities, Inc. Re-Remic Trust Certificates, Series 2007-RS1

Cl. A-3, Ca Placed Under Review for Possible Downgrade; previously on May 14, 2009 Downgraded to Ca

Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates, Series 2006-1

Cl. N-1, Ca Placed Under Review for Possible Downgrade; previously on Jun 4, 2009 Downgraded to Ca

Issuer: GSMSC Pass-Through Trust 2008-2R

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

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

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

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

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

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

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

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

Issuer: MASTR Adjustable Rate Mortgages Trust 2007-R5

Cl. A2, Ca Placed Under Review for Possible Downgrade; previously on May 15, 2009 Downgraded to Ca

Issuer: MASTR Resecuritization 2005-3CI and MARS 2005-3CI CORP.

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

Issuer: MASTR Resecuritization 2005-4CI

Cl. N-2, Baa2 Placed Under Review for Possible Downgrade; previously on Jul 13, 2009 Downgraded to Baa2

Cl. N-3, B3 Placed Under Review for Possible Downgrade; previously on Jul 13, 2009 Downgraded to B3

Cl. N-4, Ca Placed Under Review for Possible Downgrade; previously on Jul 13, 2009 Downgraded to Ca

Issuer: MASTR Resecuritization 2006-1CI

Cl. N2, A2 Placed Under Review for Possible Downgrade; previously on May 12, 2006 Assigned A2

Cl. N3, B3 Placed Under Review for Possible Downgrade; previously on May 15, 2009 Downgraded to B3

Issuer: MASTR Resecuritization Trust 2007-1

Cl. A2, Ca Placed Under Review for Possible Downgrade; previously on Aug 10, 2009 Downgraded to Ca

Issuer: Morgan Stanley Mortgage Resecuritization Trust 2008-1R

Cl. A8, Ca Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Ca

Cl. A10, Ca Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Ca

Cl. A12, Ca Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Ca

Cl. A14, Ca Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Ca

Issuer: RBSGC Structured Trust Pass-Through Certificates, Series 2008-A

Cl. A2, Ca Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Ca

Issuer: Structured Asset Securities Corporation 2006-12

Cl. AXP1, Caa2 Placed Under Review for Possible Downgrade; previously on Nov 9, 2009 Upgraded to Caa2

Cl. AXPR, Caa2 Placed Under Review for Possible Downgrade; previously on May 15, 2009 Downgraded to Caa2

Issuer: Structured Asset Securities Corporation Trust 2007-9

Cl. AXP, B3 Placed Under Review for Possible Downgrade; previously on May 15, 2009 Downgraded to B3

Cl. AX7N, B3 Placed Under Review for Possible Downgrade; previously on May 15, 2009 Downgraded to B3

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

Excel: http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF197308

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
Jayesh Joseph
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's places on downgrade watch 40 tranches from 2005-2008 RMBS resecuritization deals
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