Moody's Eyes Jumbo MBS Tranches

Moody's has placed 23 tranches from 11 residential mortgage-backed securitizations under review for possible downgrade following a review of jumbo prime residential MBS deals issued in 2006 and 2007. The actions were based on higher-than-expected rates of delinquency in the collateral relative to credit enhancement levels, Moody's said. Noting that downgrades in the jumbo sector have been rare in the past, the rating agency said the actions affect 5% of the total number of 2006 and 2007 jumbo transactions rated by Moody's. Despite weaker delinquency trends for the 2006-2007 vintages, Moody's said projected cumulative losses based on pipeline delinquencies in jumbo mortgage pools remain within original expectations. "Jumbo mortgages originated in 2006 and 2007 have demonstrated weaker performance than any vintage since 2001, primarily because they did not benefit from home price appreciation and the resulting build-up of homeowner equity," Moody's said. The rating agency can be found online at http://www.moodys.com.