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Rating Action:

Moody's takes action on certain J.P. Morgan subprime RMBS

14 Dec 2010

New York, December 14, 2010 -- Moody's Investors Service has downgraded the ratings of 13 tranches, and confirmed the ratings of 9 tranches, from 4 RMBS transactions issued by J.P. Morgan. The collateral backing this deal primarily consists of first-lien, fixed and adjustable-rate subprime residential mortgages.

RATINGS RATIONALE

The actions reflect the continued performance deterioration in Subprime pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on subprime pools issued from 2005 to 2007.

To assess the rating implications of the updated loss levels on subprime 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 ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings.

The principal methodology used in this rating was "Subprime RMBS Loss Projection Update: February 2010", published in February 2010. In addition, for the deals affected by today's actions, when calculating the rate of new delinquencies (as described on page 4 of the methodology publication referenced above), Moody's took into account loans that were reclassified from delinquent to current due to modification in order to not understate the rate of new delinquencies.

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.

The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe.

Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

Complete rating actions are as follows:

Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-RM1

Cl. A-1A, Downgraded to Caa2 (sf); previously on Jan 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade

Cl. A-1B, Downgraded to C (sf); previously on Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade

Cl. A-2, Downgraded to Ca (sf); previously on Jan 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade

Cl. A-3, Confirmed at Ca (sf); previously on Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade

Cl. A-4, Confirmed at Ca (sf); previously on Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade

Cl. A-5, Confirmed at Ca (sf); previously on Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade

Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-WMC3

Cl. A-1SS, Downgraded to B2 (sf); previously on Jan 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade

Cl. A-1MZ, Downgraded to C (sf); previously on Jan 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade

Cl. A-3, Downgraded to Ca (sf); previously on Jan 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade

Cl. A-4, Confirmed at Ca (sf); previously on Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade

Cl. A-5, Confirmed at Ca (sf); previously on Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade

Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-NC2

Cl. A-1A, Downgraded to Aa3 (sf); previously on Jan 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade

Cl. A-1B, Downgraded to Baa3 (sf); previously on Jan 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade

Cl. A-3, Confirmed at Baa2 (sf); previously on Jan 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade

Cl. A-4, Downgraded to B3 (sf); previously on Jan 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade

Cl. A-5, Downgraded to Caa2 (sf); previously on Jan 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade

Cl. M-1, Downgraded to C (sf); previously on Jan 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade

Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-WMC4

Cl. A-1A, Downgraded to Caa3 (sf); previously on Jan 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade

Cl. A-2, Downgraded to Ca (sf); previously on Jan 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade

Cl. A-3, Confirmed at Ca (sf); previously on Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade

Cl. A-4, Confirmed at Ca (sf); previously on Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade

Cl. A-5, Confirmed at Ca (sf); previously on Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade

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/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF198689

For more information please see www.moodys.com.

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

Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF228860

REGULATORY DISCLOSURES

Information sources used to prepare the credit rating are the following: parties involved in the ratings, parties not 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
Minxi Qiu
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Amelia (Amy) Tobey
VP - Senior Credit Officer
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 certain J.P. Morgan subprime RMBS
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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 credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

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

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