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Rating Action:

Moody's places pre-2005 Jumbo RMBS on review for possible downgrade

15 Apr 2010

New York, April 15, 2010 -- Moody's Investors Service has placed 3,000 prime jumbo residential mortgage-backed securities (RMBS) with an outstanding balance of $43.4 billion on review for possible downgrade. The review action impacts over 80% of prime jumbo RMBS issued prior to 2005, and was prompted by continued performance deterioration in these vintages.

Although pools backing pre-2005 (seasoned) prime jumbo RMBS have paid off substantially, with pool factors averaging below 30%, the remaining loans in these pools have been under pressure as a result of the sharp decline in home values. Prime jumbo annual delinquency rates, measured as total new delinquencies during a year as a percentage of the contractually current pool balance at the start of the year, have increased, averaging about 2% over the past 12 months for prime jumbo pools originated from 2001 to 2004, versus about 0.75% for those same pools over the prior 12-month period.

Over the coming months, we expect continued negative performance on seasoned prime jumbo pools, as the overhang of impending foreclosures will impact home prices negatively. The most important predictor of mortgage default in the past several years has been the degree to which borrowers have negative equity in their homes. Moody's Economy.com (MEDC) expects home prices to fall by about an additional 5-7%, reaching bottom in the coming year, which means that home values will ultimately drop about 17-20% from mid-2004 levels and about 5-10% from mid-2003 levels. Prime jumbo borrowers, who typically had loan-to-value ratios around 65% at closing, are therefore increasingly subject to protracted periods of little, and in some cases negative, equity in their homes. Adding to borrowers' ongoing financial pressure, unemployment is still projected to peak at 10.2% in the second half of 2010. Recovery in both home values and unemployment is expected to be slow.

Review Action

To determine which tranches to place on review, Moody's compared the tranches' credit enhancement from subordination to a loss proxy that was based on a multiple of two times the lifetime pipeline losses expected from the related pools. The lifetime pipeline loss was derived based on lifetime roll rates to default of 75% for 60-day delinquencies, 85% for 90+ day delinquencies, 97.5% for loans in foreclosure, and 100% for loans where the homes are held-for-sale, each applied with a severity assumption of 37.5%. Tranches without enough credit enhancement to maintain current ratings based on this calculation have been placed on review for possible downgrade. Tranches expected to pay off in full in the coming months were not placed on review.

Although the dollar volume of senior tranches remaining from seasoned prime jumbo RMBS is about 27% of the original dollar volume issued, most seasoned prime jumbo deals still have some senior tranches outstanding. Senior tranches were placed on review according to the subordination offered by subordinate/mezzanine tranches. Certain tranches that may benefit from super-seniority or first-pay status in the waterfall may be confirmed as additional transaction-specific analysis is concluded over the coming months.

Revision of Loss Methodology for Seasoned RMBS

Moody's will update its loss projection methodology for seasoned RMBS, and will release a report detailing the updated methodology.

Other methodologies and factors that may have been considered in the process of rating this issue can also be found at www.moodys.com in the Rating Methodologies subdirectory. Moody's also publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

A list of the review actions associated with this announcement may be found at:

http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF201384

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

New York
Aron Bergman
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's places pre-2005 Jumbo RMBS on review for possible downgrade
No Related Data.
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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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