Over $70 Billion in Jumbo Downgrades

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MORTGAGE EXPERT
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More than $70 billion in tranches from jumbo residential mortgage-backed securities were recently downgraded. Rapidly deteriorating performance on jumbo pools drove the downgrades.

In several recent news releases, including eight today, Moody’s Investors Service announced the downgrades to prime jumbo securitizations.

The New York-based ratings agency explained that its actions were due to “rapidly deteriorating performance of jumbo pools in conjunction with macroeconomic conditions that remain under duress.”

Tranches from the following RMBS issued between 2005 and 2008 were impacted.

Transaction # Classes $ Classes
11 CHL Mortgage Pass-Through Trust transactions issued in 2005 and 2006 323 $8.0 billion
11 CHL Mortgage Pass-Through Trust transactions issued from 2007 to 2008 166 $2.0 billion
12 First Horizon Mortgage Pass-Through Trust securitizations from 2005 to 2007 86 $1.3 billion
J.P. Morgan Mortgage Trust issuances from 2005 and 2007 284 $11.2 billion
J.P. Morgan Mortgage Trust issuances from 2006 and 2007 89 $2.5 billion
Provident Funding Mortgage Loan Trust 2005-1 and 2005-2 12 $0.4 billion
17 RFMSI Series Trust deals securitized from 2005 to 2007 176 $4.2 billion
Structured Adjustable Rate Mortgage Loan Trust, Series 2008-1 5 $0.1 billion
13 Thornburg Mortgage Securities Trust deals issued from 2005 to 2007 61 $10.5 billion
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR4 4 $0.3 billion
14 Wells Fargo Mortgage-Backed Securities issued in 2005 102 $4.0 billion
14 Wells Fargo Mortgage-Backed Securities issued in 2006 14 $8.3 billion
7 Wells Fargo Mortgage-Backed Securities securitized in 2007 and 2008 201 $12.1 billion
15 Wells Fargo Mortgage-Backed Securities securitized between 2005 and 2008 49 $6.0 billion

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Mortgage Daily Staff

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