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Rating Action:

Moody's takes action on $97.9 million of Prime Jumbo RMBS issued by miscellaneous issuers from 2005

25 Apr 2013

New York, April 25, 2013 -- Moody's Investors Service has upgraded thirteen tranches and downgraded two tranches from four transactions issued by miscellaneous issuers. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate prime Jumbo residential mortgages. The actions impact approximately $97.9 million of RMBS issued from 2005.

Complete rating actions are as follows:

Issuer: Citicorp Mortgage Securities, Inc. 2005-8

Cl. IA-1, Upgraded to Baa3 (sf); previously on May 19, 2010 Downgraded to B2 (sf)

Cl. IA-2, Upgraded to Baa3 (sf); previously on May 19, 2010 Downgraded to B2 (sf)

Cl. IA-3, Upgraded to Baa3 (sf); previously on May 19, 2010 Downgraded to B2 (sf)

Cl. IA-8, Upgraded to Baa3 (sf); previously on May 19, 2010 Downgraded to B2 (sf)

Issuer: J.P. Morgan Mortgage Trust 2005-A1

Cl. T-B-1, Upgraded to Caa3 (sf); previously on Jan 20, 2012 Downgraded to Ca (sf)

Cl. 6-T-1, Upgraded to Ba2 (sf); previously on Jan 20, 2012 Downgraded to B2 (sf)

Issuer: RFMSI Series 2005-S1 Trust

Cl. II-A-2, Downgraded to Baa2 (sf); previously on Jul 19, 2011 Downgraded to A2 (sf)

Cl. II-A-3, Downgraded to B3 (sf); previously on Jul 19, 2011 Downgraded to B2 (sf)

Issuer: Wells Fargo Mortgage Backed Securities Trust 2005-9 Trust

Cl. I-A-2, Upgraded to Baa2 (sf); previously on May 19, 2010 Downgraded to Ba3 (sf)

Cl. I-A-7, Upgraded to Baa2 (sf); previously on May 19, 2010 Downgraded to Ba3 (sf)

Cl. I-A-8, Upgraded to Baa2 (sf); previously on May 19, 2010 Downgraded to Ba2 (sf)

Cl. I-A-14, Upgraded to Ba2 (sf); previously on May 19, 2010 Downgraded to B1 (sf)

Cl. II-A-1, Upgraded to Ba3 (sf); previously on Jul 15, 2011 Downgraded to B3 (sf)

Cl. II-A-2, Upgraded to B2 (sf); previously on Jul 15, 2011 Downgraded to Caa1 (sf)

Cl. II-A-5, Upgraded to Baa3 (sf); previously on Jul 15, 2011 Downgraded to B1 (sf)

RATINGS RATIONALE

The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on these pools. The upgrades are due to improvement in collateral performance. The downgrades are a result of deteriorating performance and structural features resulting in higher expected losses for certain bonds than previously anticipated.

The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "2005?2008 US RMBS Surveillance Methodology" published in July 2011. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

Moody's adjusts the methodologies noted above for 1) Moody's current view on loan modifications and 2) small pool volatility.

Loan Modifications

As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until 2014.

Small Pool Volatility

For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate.

To project losses on prime jumbo pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For prime jumbo pools, Moody's first applies a baseline delinquency rate of 3.5% for 2005, 6.5% for 2006 and 7.5% for 2007. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a 2005 pool with 75 loans, the adjusted rate of new delinquency is 3.54%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate calculated above by a factor ranging from 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% respectively. Moody's then uses this final adjusted rate of new delinquency to project delinquencies and losses for the remaining life of the pool under the approach described in the methodology publication.

When assigning the final ratings to bonds, in addition to the approach described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults.

The primary source of assumption uncertainty is the uncertainty in our central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 8.2% in March 2012 to 7.6% in March 2013. Moody's forecasts a further drop to 7.5% by 2014. Moody's expects house prices to drop another 1% from their 4Q2011 levels before gradually rising towards the end of 2013. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions.

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

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF326905

A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details 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_SF196023

For more information please see www.moodys.com.

REGULATORY DISCLOSURES

Moody's received and took into account one or more third party assessments on the due diligence performed regarding the underlying assets or financial instruments in these transactions and the assessments had a neutral impact on the rating.

In conducting surveillance of these credits, Moody's considered performance data contained in servicer and remittance reports. Moody's obtains servicer reports on these transactions on a periodic basis, at least annually.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Jonathan Corwin
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Deepika Kothari
VP-Senior Analyst/Manager
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Releasing Office:
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 takes action on $97.9 million of Prime Jumbo RMBS issued by miscellaneous issuers from 2005
No Related Data.
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