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Rating Action:

Moody's takes action on $919.5 million of Prime Jumbo RMBS issued by Thornburg between 2002 to 2004

20 Apr 2011

New York, April 20, 2011 -- Moody's Investors Service has downgraded the ratings of 41 tranches and confirmed the ratings of two tranches from six prime jumbo deals issued by Thornburg. The collateral backing these deals consists primarily of first-lien, adjustable rate prime jumbo residential mortgages.

RATINGS RATIONALE

The actions are a result of deteriorating performance of prime jumbo pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The rating methodology has been updated to account for the deteriorating performance and outlook. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011.

To assess the rating implications of the updated loss levels on prime jumbo RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation® (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include fifty four different combinations comprising of six loss levels, three loss timing curves and three prepayment curves. For ratings implied Aa3 and above, an additional prepayment curve is run to assess resilience to a high prepayment scenario.

The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that varies from 3% to 5% on average. The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages.

Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans with a base rate of new delinquency of 3.00%, the adjusted rate of new delinquency would be 3.03%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication.

The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe.

Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating.

Complete rating actions are as follows:

Issuer: Thornburg Mortgage Securities Trust 2002-3

Cl. A-1, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. A-2, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. A-3, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. A-4, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. B-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade

Cl. B-2, Downgraded to Caa2 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade

Cl. B-3, Downgraded to Ca (sf); previously on Nov 24, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible Downgrade

Issuer: Thornburg Mortgage Securities Trust 2003-1

Cl. A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. A-2, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. A-3, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. A-4, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. B-1, Downgraded to B1 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade

Cl. B-2, Downgraded to Caa2 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade

Cl. B-3, Downgraded to Ca (sf); previously on Apr 15, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade

Cl. B-4, Downgraded to C (sf); previously on Apr 15, 2010 B2 (sf) Placed Under Review for Possible Downgrade

Cl. B-5, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade

Issuer: Thornburg Mortgage Securities Trust 2003-3

Cl. A1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. A2, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. A3, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. A4, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. B1, Downgraded to B1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. B2, Downgraded to Caa2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade

Cl. B3, Downgraded to Ca (sf); previously on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade

Cl. B4, Downgraded to C (sf); previously on Apr 15, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade

Cl. B5, Downgraded to C (sf); previously on Apr 15, 2010 B2 (sf) Placed Under Review for Possible Downgrade

Issuer: Thornburg Mortgage Securities Trust 2004-2

Cl. A-1, Downgraded to A1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade

Cl. A-4, Downgraded to A1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade

Cl. A-X, Downgraded to A1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade

Issuer: Thornburg Mortgage Securities Trust 2004-3

Cl. A, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade

Cl. A-X, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade

Cl. B1, Downgraded to B1 (sf); previously on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade

Cl. B2, Downgraded to Caa3 (sf); previously on Apr 15, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade

Cl. B3, Downgraded to C (sf); previously on Apr 15, 2010 B3 (sf) Placed Under Review for Possible Downgrade

Cl. B4, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade

Cl. B5, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade

Issuer: Thornburg Mortgage Securities Trust 2004-4

Cl. I-A, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. I-AX, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. III-A, Downgraded to A1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade

Cl. III-AX, Downgraded to A1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade

Cl. IV-A, Downgraded to A3 (sf); previously on Jul 9, 2009 Downgraded to A1 (sf)

Cl. IV-AX, Downgraded to A3 (sf); previously on Jul 9, 2009 Downgraded to A1 (sf)

Cl. V-A, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. V-AX, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade

Cl. B-4, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade

Cl. B-5, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade

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

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243542

A list of updated estimated pool losses and sensitivity analysis is being posted on an ongoing basis for the duration of this review period and may be found at:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269

For more information please see www.moodys.com.

REGULATORY DISCLOSURES

Information sources used to prepare the credit rating are the following: parties involved in the ratings, public information, confidential and proprietary Moody's Investors Service information, and confidential and proprietary Moody's Analytics information.

Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purposes of maintaining a credit rating.

Moody's adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history.

The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

New York
Bulat Mustafin
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

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

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

Moody's takes action on $919.5 million of Prime Jumbo RMBS issued by Thornburg between 2002 to 2004
No Related Data.
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