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(Editor's Note: In a previous version of this release, dated July 10, 2007,
the amount and percent of affected collateral, noted in the second paragraph,
were misstated. A corrected version follows.)
NEW YORK (Standard & Poor's) July 11, 2007--Standard & Poor's Ratings Services
said today it placed its credit ratings on 612 classes of residential
mortgage-backed securities (RMBS) backed by U.S. subprime collateral on
CreditWatch with negative implications (see list below).
The affected classes total approximately $7.35 billion in rated securities,
which represents 1.3% of the $565.3 billion in U.S. subprime RMBS rated by
Standard & Poor's between the fourth quarter of 2005 and the fourth quarter of
2006.
Changes to our rating methodology as well as details of a teleconference to be
held today are given below.
The CreditWatch actions are being taken at this time because of poor
collateral performance, our expectation of increasing losses on the underlying
collateral pools, the consequent reduction of credit support, and changes that
will be implemented with respect to the methodology for rating new
transactions. Many of the classes issued in late 2005 and much of 2006 now
have sufficient seasoning to evidence delinquency, default, and loss trend
lines that are indicative of weak future credit performance. The levels of
loss continue to exceed historical precedents and our initial expectations at
the time we rated the deals.
We are also conducting a review of CDO ratings where the underlying portfolio
contains any of the affected securities subject to these rating actions (see
separate media release to be published today).
FACTORS DRIVING NEW SURVEILLANCE METHODOLOGY
We have been surveilling these transactions on a regular basis and have been
monitoring market trends. At this time, we do not foresee the poor performance
abating. Loss rates, which are being fueled by shifting patterns in loss
behavior and further evidence of lower underwriting standards and
misrepresentations in the mortgage market, remain in excess of historical
precedents and our initial assumptions.
LOSS PATTERNS
New data reveals that delinquencies and foreclosures continue to accumulate at
an increasing rate for the 2006 vintage. We see poor performance of loans,
early payment defaults, and increasing levels of delinquencies and losses.
Total aggregate losses on all subprime transactions issued since the fourth
quarter of 2005 is 29 basis points, as compared with 7 basis points for
similar transactions issued in 2000. Transactions from the 2000 vintage are
used as a comparison because they were, up until now, the worst performing
vintage of this decade. When recent transactions with the same seasoning are
compared on a quarterly basis with similar transactions issued in 2000, we
find that both mean losses and standard deviations are running in excess of
the 2000 book for the fourth quarter of 2005 through the fourth quarter of
2006.
Seriously delinquent loans (90-days-plus, foreclosure, and real estate owned
{REO}), on average, also exceed the 2000 book of business for each quarterly
comparison except for the fourth quarter of 2005.
ECONOMIC FACTORS
On a macroeconomic level, we expect that the U.S. housing market, especially
the subprime sector, will continue to decline before it improves, and home
prices will continue to come under stress. Weakness in the property markets
continues to exacerbate losses, with little prospect for improvement in the
near term. Furthermore, we expect losses will continue to increase, as
borrowers experience rising loan payments due to the resetting terms of their
adjustable-rate loans and principal amortization that occurs after the
interest-only period ends for both adjustable-rate and fixed-rate loans.
Although property values have decreased slightly, additional declines are
expected. David Wyss, Standard & Poor's chief economist, projects that
property values will decline 8% on average between 2006 and 2008, and will
bottom out in the first quarter of 2008.
While our LEVELS model assumes property value declines of 22% for the 'BBB'
and lower rating category stress environments (with higher property value
declines for higher rating category stress environments), the continued
decline in prices will apply additional stress to these transactions by
increasing losses on the sale of foreclosed properties, as well as removing or
reducing the borrowers' ability to refinance or sell their homes to meet debt
obligations.
As lenders have tightened underwriting guidelines, fewer refinance options may
be available to these borrowers, especially if their loan-to-value (LTV) and
combined LTV (CLTV) ratios have risen in the wake of declining home prices.
DATA QUALITY
The Mortgage Asset Research Institute (MARI) reports that alleged
misrepresentations on credit reports were up significantly as a percentage of
total submissions received in 2006. MARI, which was recently commissioned by
the Mortgage Bankers Assoc. (MBA) to conduct a mortgage fraud study, reported
that the current findings of fraud were in excess of previous industry highs.
Data quality concerning some of the borrower and loan characteristics provided
during the rating process has also come under question. Therefore, key risk
variables that have historically influenced default patterns, such as FICO,
LTV, and ownership status, are proving less predictive.
It is expected that the ongoing weakness in both national and regional
property markets will exacerbate losses with little prospect for improvement
in the near term. Also, many of these transactions will likely encounter
additional credit stress from upcoming interest rate and payment resets.
Data quality is fundamental to our rating analysis. The loan performance
associated with the data to date has been anomalous in a way that calls into
question the accuracy of some of the initial data provided to us regarding the
loan and borrower characteristics. A discriminate analysis was performed to
identify the characteristics associated with the group of transactions
performing within initial expectations and those performing below initial
expectations. The following characteristics associated with each group were
analyzed: LTV, CLTV, FICO, debt-to-income (DTI), weighted-average coupon
(WAC), margin, payment cap, rate adjustment frequency, periodic rate cap on
first adjustment, periodic rate cap subsequent to first adjustment, lifetime
max rate, term, and issuer. Our results show no statistically significant
differentiation between the two groups of transactions on any of the above
characteristics. Reports of alleged underwriting fraud tend to grow over time,
as suspected fraud incidents are detected upon investigation following a loan
default.
PAYMENT ADJUSTMENTS
Adjustable-rate and interest-only loans subject to contractual increases in
their monthly payments will continue to put pressure on borrowers' ability to
meet monthly payments in the future. The transactions with classes identified
for CreditWatch placement contain, on average, 75%-80% of the types of loans
that are subject to some type of payment adjustment over the next 18 months.
When reviewing the transactions initially, we assumed that borrowers would
experience additional stresses when subject to payment adjustments. All loans
containing some type of payment increase were assumed to default 20% more
often than similar borrowers with fixed-rate loans and FICO scores of less
than 660 (including subprime borrowers). Our analysis intended to anticipate
the burden and resulting payment shock that a borrower would face assuming
rising interest rates.
The following table provides the aggregate percentage of 2/1 arms for U.S.
subprime transactions by quarter for the period under review. Since there
tends to be a lag between origination and securitization, many of the 2/1
hybrid ARM loans will reset approximately seven quarters after the transaction
closes.
2/1 ARM Reset Information By Quarter
Sold during Orig. subprime % of Reset quarter
balance ($) 2/1 ARM
(all loans)
2005-Q4 138,888,212,337 64 2007-Q3
2006-Q1 108,014,850,161 70 2007-Q4
2006-Q2 121,149,551,887 70 2008-Q1
2006-Q3 98,332,355,370 62 2008-Q2
2006-Q4 98,965,073,697 60 2008-Q3
Given all of these current factors, we are refining our surveillance approach
for subprime RMBS transactions issued from the fourth quarter of 2005 through
the fourth quarter of 2006. Going forward, the ratings methodology for new
transactions will also incorporate these factors.
SURVEILLANCE METHODOLOGY CHANGES
As performance continues to deteriorate, we have increased the severity of the
surveillance assumptions we use to evaluate the ongoing creditworthiness for
this group of transactions. The level of severity was increased to 40% from
33% to reflect the average severity that subprime servicers are currently
experiencing, which was determined through data collected in our SEAM
(Servicer Evaluation Analytical Methodology) database. We will continue to
apply this revised severity assumption to delinquencies as they move through
the pipeline.
Specifically, for subprime collateral, we assume that the REO loans are
liquidated evenly within six months. During the same six-month period, 25% of
foreclosures and 10% of loans that are 90-plus-days delinquent would be evenly
liquidated. During months seven through 12, the remaining 75% of foreclosures
and 30% of the loans that are 90-plus-days delinquent will be evenly
liquidated. In order to account for the movement of the remaining 90-plus-days
delinquent and future delinquent loans through the delinquency pipeline, we
assume that our projection of the losses used in month 12 continues and
amortizes down in months 13 through 36, which allows for loans presently 60-
or 30-days delinquent, or current, to enter into the delinquency pipeline in
the future.
Beginning in the next few days, we expect that the majority of the ratings on
the classes that have been placed on CreditWatch negative will be downgraded.
We will lower our rating:
-- To 'CCC' on any class that does not pass our stress test scenario (a
class is expected to experience a principal write-down or, with respect to the
senior classes, a principal shortfall) within 12 months, regardless of its
current rating;
-- To 'B' on any class that does not pass our stress test scenario within
13 to 24 months;
-- To 'BB' on any class that does not pass our stress test scenario
within 25 to 30 months; and
-- To 'BBB' on any class that does not pass our stress test scenario
within 31 to 36 months.
In addition, we have modified our approach to reviewing the ratings on senior
classes in a transaction in which subordinate classes have been downgraded.
Historically, our practice has been to maintain a rating on any class that has
passed our stress assumptions and has had at least the same level of
outstanding credit enhancement as it had at issuance. Going forward, there
will be a higher degree of correlation between the rating actions on classes
located sequentially in the capital structure. A class will have to
demonstrate a higher level of relative protection to maintain its rating when
the class immediately subordinate to it is being downgraded.
Transactions issued in 2007 have not had adequate seasoning to establish a
payment history that would make the outcomes of the delinquency and loss tests
detailed above capable of meaningful measurement under our new methodology.
However, the same asset risks that are apparent in the transactions issued in
2006 may also be present in the 2007 transactions, as well as in transactions
currently being packaged for sale and securitization. Hence, to ensure a
consistent application of surveillance methodology we will continue to monitor
the 2007 vintage securitizations and apply the same surveillance methodology
as described above to the 2007 transactions as they season and as delinquency
and loss data become available. We will also review these transactions under
the revised surveillance methodology, as well as the revised methodology
employed for issuing new ratings and may take rating actions, as deemed
appropriate, throughout the remainder of 2007.
We will also continue our review of second mortgages, including "piggyback
seconds," "silent seconds," and closed-end second liens, and expect to publish
the results in the near future.
We are considering a number of changes to our initial rating methodology, as
further described below, so as to better mitigate these concerns going
forward.
REVISED RATING METHODOLOGY FOR NEW ISSUES
For transactions that close on or after July 10, 2007, we will incorporate
several changes to our ratings methodology that will result in greater levels
of credit protection for rated transactions. Our cash flow methodology
assumptions will include a simultaneous combination of faster voluntary and
involuntary (default) prepayments that will result in less credit to excess
spread.
Furthermore, our default expectation for 2/28 hybrid ARM loans will increase
by approximately 21%. We are in the process of updating our LEVELS and SPIRE
models. A separate article will be released in the next few days describing
the revisions to our ratings methodology, and will provide the estimated
timing for release of the updated models.
UNDERWRITING REVIEW
Given the level of loosened underwriting at the time of loan origination,
misrepresentation, and speculative borrower behavior reported for the 2006
vintage, we will be increasing our review of the capabilities of lenders to
minimize the potential and incidence of misrepresentation in their loan
production. A lender's fraud-detection capabilities will be a key area of
focus for us.
The review will consist of a detailed examination of: (a) the overall
capabilities and experience of the executive and operational management team;
(b) the production channels and broker approval process; (c) underwriting
guidelines and the credit process; (d) quality control and internal audits;
(e) the use of third-party due diligence firms, if applicable; and (f)
secondary marketing. A new addition to this review process will be a
fraud-management questionnaire focusing on an originator's tools, processes,
and systems for control with respect to mitigating the potential for
misrepresentation.
TELECONFERENCE
Standard & Poor's will hold a teleconference Tuesday morning, July 10, 2007,
at 10:00 a.m. EST. Please join David Wyss, Susan Barnes, and Patrice Jordan,
as they discuss market conditions and the revisions to the RMBS surveillance
and new ratings methodologies. Teleconference information follows below:
Live-Dial-In-Numbers:
US/Canada: 1-888-324-0379
US/All Others: 1-210-234-6980
Conference ID#: 1197033
Passcode: SANDP
Replay Numbers:
US/Canada: 1-866-397-8265
US/All Others: 1-203-369-0540
Replay will expire on Tuesday, July 17, 2007
Live Audio Streaming:
URL: http://www.mymeetings.com, Under Events, Select Join an event
Conference ID#: 1197033
Passcode: SANDP
Replay Web Streaming:
URL: http://www.mymeetings.com, Under Events, Select Join an event
Conference ID#: 1197033
Passcode: SANDP
Web replay streaming will expire on Tuesday, Aug. 7, 2007
SUBPRIME RATINGS PLACED ON CREDITWATCH NEGATIVE
Aames Mortgage Investment Trust
Rating
Series Class To From
2006-1 M10 BBB/Watch Neg BBB
2006-1 M11 BBB-/Watch Neg BBB-
ABFC Trust
Rating
Series Class To From
2005-WMC1 B1 BB+/Watch Neg BB+
2005-WMC1 B2 BB/Watch Neg BB
ACE Securities Corp. Home Equity Loan Trust
Rating
Series Class To From
2005-HE6 M9 BBB+/Watch Neg BBB+
2005-HE6 M10 BBB/Watch Neg BBB
2005-HE6 M11 BBB-/Watch Neg BBB-
2005-HE6 B1 BB+/Watch Neg BB+
2006-ASAP3 M8, M9, M10 BBB/Watch Neg BBB
2006-ASAP3 M11 BBB/Watch Neg BBB
2006-ASAP4 M11 BBB/Watch Neg BBB
2006-FM1 M7 BBB+/Watch Neg BBB+
2006-FM1 M8 BBB/Watch Neg BBB
2006-FM1 M9 BBB-/Watch Neg BBB-
2006-FM1 M10 BB+/Watch Neg BB+
2006-FM2 M7 BBB+/Watch Neg BBB+
2006-FM2 M8 BBB/Watch Neg BBB
2006-FM2 M9 BBB-/Watch Neg BBB-
2006-FM2 M10 BB+/Watch Neg BB+
2006-HE1 M8 A-/Watch Neg A-
2006-HE1 M9 BBB+/Watch Neg BBB+
2006-HE1 M10 BBB/Watch Neg BBB
2006-HE2 M9 BBB/Watch Neg BBB-
2006-HE2 M10 BBB-/Watch Neg BBB-
2006-HE2 M11 BB+/Watch Neg BB+
2006-HE3 M7 A+/Watch Neg A+
2006-HE3 M8 A/Watch Neg A
2006-HE3 M9 BBB+/Watch Neg BBB+
2006-HE3 M10 BBB/Watch Neg BBB
2006-HE3 M11 BBB-/Watch Neg BBB-
2006-HE4 M8 BBB+/Watch Neg BBB+
2006-HE4 M9 BBB/Watch Neg BBB
2006-HE4 M10 BBB-/Watch Neg BBB-
2006-HE4 M11 BB+/Watch Neg BB+
2006-NC2 M9 BBB-/Watch Neg BBB-
2006-NC2 M10 BB+/Watch Neg BB+
2006-NC2 M11 BB/Watch Neg BB
Aegis Asset Backed Securities Trust
Rating
Series Class To From
2005-5 M6, B1 A+/Watch Neg A+
2005-5 B2 A/Watch Neg A
2005-5 B3 BBB+/Watch Neg BBB+
2005-5 B4 BBB/Watch Neg BBB
2005-5 B6 BB+/Watch Neg BB+
American Home Mortgage Investment Trust
Rating
Series Class To From
2005-3 B BBB/Watch Neg BBB
2006-2 II-M-4 A+/Watch Neg A+
2006-2 III-M-1 AA/Watch Neg AA
2006-2 III-M-2 A+/Watch Neg A+
2006-2 III-M-3 A+/Watch Neg A+
2006-2 III-M-4 A-/Watch Neg A-
2006-2 III-M-5 BBB+/Watch Neg BBB+
2006-2 IV-M-1 AA/Watch Neg AA
2006-2 IV-M-2 A/Watch Neg A
2006-2 IV-M-3 BBB+/Watch Neg BBB+
2006-2 IV-M-4 BBB/Watch Neg BBB
2006-2 IV-M-5 BBB/Watch Neg BBB
Argent Securities Trust
Rating
Series Class To From
2005-W2 M-10 BBB/Watch Neg BBB
2005-W2 M-11 BBB/Watch Neg BBB
2005-W2 M-12 BBB-/Watch Neg BBB-
2005-W2 M-13 BB+/Watch Neg BB+
2005-W3 M-10 BBB+/Watch Neg BBB+
2005-W3 M-11 BBB/Watch Neg BBB
2005-W3 M-12 BBB-/Watch Neg BBB-
2005-W4 M-8 BBB/Watch Neg BBB
2006-4 M-5 A+/Watch Neg A+
2006-4 M-6 A/Watch Neg A
2006-4 M-7 A-/Watch Neg A-
2006-4 M-8 BBB+/Watch Neg BBB+
2006-4 M-9 BBB/Watch Neg BBB
2006-M1 M-7 A/Watch Neg A
2006-M1 M-8 A-/Watch Neg A-
2006-M1 M-9 BBB+/Watch Neg BBB+
2006-M1 M-10 BBB/Watch Neg BBB
2006-M2 M-6 A-/Watch Neg A-
2006-M2 M-7 BBB+/Watch Neg BBB+
2006-M2 M-8 BBB/Watch Neg BBB
2006-M2 M-9 BBB-/Watch Neg BBB-
2006-M2 M-10 BB+/Watch Neg BB+
2006-W1 M-9 BBB+/Watch Neg BBB+
2006-W1 M-10 BBB-/Watch Neg BBB-
2006-W2 M-8 BBB/Watch Neg BBB
2006-W2 M-9 BBB-/Watch Neg BBB-
2006-W2 M-10 BB+/Watch Neg BB+
2006-W3 M-6 A/Watch Neg A
2006-W3 M-7 A-/Watch Neg A-
2006-W3 M-8 BBB+/Watch Neg BBB+
2006-W3 M-9 BBB-/Watch Neg BBB-
2006-W3 M-10 BBB-/Watch Neg BBB-
2006-W5 M-5 AA-/Watch Neg AA-
2006-W5 M-6 A+/Watch Neg A+
2006-W5 M-7 A/Watch Neg A
2006-W5 M-8 A-/Watch Neg A-
2006-W5 M-9 BBB+/Watch Neg BBB+
Asset Backed Securities Corporation Home Equity Loan Trust
Rating
Series Class To From
NC2005-HE8 M10 BB+/Watch Neg BB+
NC2005-HE8 M11 BB/Watch Neg BB
2006-HE1 M12 BB+/Watch Neg BB+
NC2006-HE2 M9 BBB-/Watch Neg BBB-
NC2006-HE2 M10 BB+/Watch Neg BB+
NC2006-HE2 M11 BB/Watch Neg BB
NC2006-HE4 M6 BBB+/Watch Neg BBB+
NC2006-HE4 M7 BBB/Watch Neg BBB
NC2006-HE4 M8 BBB-/Watch Neg BBB-
NC2006-HE4 M9 BB+/Watch Neg BB+
Bear Sterns Asset Backed Securities I Trust
Rating
Series Class To From
2005-CL1 M-6 A-/Watch Neg A-
2005-CL1 M-7 BBB+/Watch Neg BBB+
2005-CL1 M-8 BBB/Watch Neg BBB
2005-CL1 M-9 BBB-/Watch Neg BBB-
2005-CL1 M-10 BB/Watch Neg BB
2006-EC2 M-10 BB+/Watch Neg BB+
2006-HE3 M9 BBB-/Watch Neg BBB-
2006-HE3 M10 BB+/Watch Neg BB+
2006-HE4 M8 BBB/Watch Neg BBB
2006-HE4 M9 BBB-/Watch Neg BBB-
2006-HE4 M10 BB+/Watch Neg BB+
2006-HE5 M9 BBB-/Watch Neg BBB-
2006-HE5 M10 BB+/Watch Neg BB+
2006-HE5 M11 BB/Watch Neg BB
2006-HE6 I-M10 BB+/Watch Neg BB+
2006-HE6 I-M11 BB/Watch Neg BB
2006-HE6 II-M7 BBB+/Watch Neg BBB+
2006-HE6 II-M8 BBB/Watch Neg BBB
2006-HE6 II-M9 BBB-/Watch Neg BBB-
2006-HE6 II-M10 BB+/Watch Neg BB+
2006-HE6 II-M11 BB/Watch Neg BB
2006-HE7 II-M10 BB+/Watch Neg BB+
2006-HE7 II-M11 BB/Watch Neg BB
Bravo Mortgage Asset Trust
Rating
Series Class To From
2006-1 M9 BBB-/Watch Neg BBB-
2006-1 M10 BB+/Watch Neg BB+
2006-1 M11 BB/Watch Neg BB
Carrington Mortgage Loan Trust
Rating
Series Class To From
2005-FRE1 M10 BBB/Watch Neg BBB
2005-FRE1 M11 BBB-/Watch Neg BBB-
2005-FRE1 M12 BB+/Watch Neg BB+
2005-FRE1 M13 BB/Watch Neg BB
2006-NC2 M9 BBB-/Watch Neg BBB-
2006-NC2 M10 BB+/Watch Neg BB+
Citigroup Mortgage Loan Trust
Rating
Series Class To From
2005-HE3 M11 BB+/Watch Neg BB+
2005-HE3 M12 BB/Watch Neg BB
2005-HE3 M13 BB/Watch Neg BB
2005-HE4 M8 BBB+/Watch Neg BBB+
2005-HE4 M9 BBB/Watch Neg BBB
2005-HE4 M10 BBB-/Watch Neg BBB-
2005-HE4 M11 BB+/Watch Neg BB+
2005-HE4 M12 BB/Watch Neg BB
2005-OPT4 M12 BB+/Watch Neg BB+
2005-OPT4 M13 BB/Watch Neg BB
2006-AR6 2-M3 A/Watch Neg A
2006-AR6 2-M4 BBB/Watch Neg BBB
2006-CB3 M6 A-/Watch Neg A-
2006-CB3 B1 BBB+/Watch Neg BBB+
2006-CB3 B2 BBB/Watch Neg BBB
2006-CB3 B3 BBB-/Watch Neg BBB-
2006-HE1 M10 BB+/Watch Neg BB+
2006-HE1 M11 BB/Watch Neg BB
2006-HE2 M7 BBB+/Watch Neg BBB+
2006-HE2 M8 BBB/Watch Neg BBB
2006-HE2 M9 BBB-/Watch Neg BBB-
2006-HE2 M10 BB+/Watch Neg BB+
2006-NC1 M8 BBB/Watch Neg BBB
2006-NC1 M9 BBB-/Watch Neg BBB-
2006-NC1 M10 BB+/Watch Neg BB+
2006-NC1 M11 BB/Watch Neg BB
2006-NC2 M9 BBB-/Watch Neg BBB-
2006-NC2 M10 BB+/Watch Neg BB+
2006-NC2 M11 BB/Watch Neg BB
2006-WF1 M-3 BBB/Watch Neg BBB
2006-WF1 M-4 BBB-/Watch Neg BBB-
2006-WF1 M-5 BB+/Watch Neg BB+
2006-WF2 M-2 A/Watch Neg A
2006-WF2 M-3 BBB/Watch Neg BBB
2006-WF2 M-4 BBB-/Watch Neg BBB-
2006-WF2 M-5 BB+/Watch Neg BB+
2006-WMC1 M9 BBB-/Watch Neg BBB-
2006-WMC1 M10 BB+/Watch Neg BB+
2006-WMC1 M11 BB/Watch Neg BB
CWABS Asset-Backed Certificates Trust
Rating
Series Class To From
2005-9 M-5 A/Watch Neg A
2005-9 M-6 A-/Watch Neg A-
2005-9 M-7 BBB+/Watch Neg BBB+
2005-IM2 M6 A-/Watch Neg A-
2005-IM2 M7 BBB+/Watch Neg BBB+
2006-5 M8 BBB/Watch Neg BBB
2006-5 B BBB-/Watch Neg BBB-
2006-6 M7 BBB/Watch Neg BBB
2006-6 M8 BBB-/Watch Neg BBB-
2006-6 B BB+/Watch Neg BB+
2006-7 M8 BBB/Watch Neg BBB
2006-7 M9 BBB-/Watch Neg BBB-
2006-7 B BB+/Watch Neg BB+
2006-8 B BB+/Watch Neg BB+
2006-10 MV-9 BBB-/Watch Neg BBB-
2006-10 BV BB+/Watch Neg BB+
Encore Credit Receivables Trust
Rating
Series Class To From
2005-4 M-11 BB+/Watch Neg BB+
2005-4 M-12 BB-/Watch Neg BB-
FBR Securitization Trust
Rating
Series Class To From
2005-3 M-7 BBB+/Watch Neg BBB+
2005-3 M-8 BBB/Watch Neg BBB
2005-3 M-9 BBB-/Watch Neg BBB-
2005-4 M-12 BBB-/Watch Neg BBB-
2005-5 M-12 BBB-/Watch Neg BBB-
Fieldstone Mortgage Investment Trust
Rating
Series Class To From
2006-1 M8 A-/Watch Neg A-
2006-1 M9, M10 BBB/Watch Neg BBB
First Franklin Mortgage Loan Trust
Rating
Series Class To From
2006-FF2 M8, M9 BBB-/Watch Neg BBB-
2006-FF2 B BB+/Watch Neg BB+
2006-FF5 M-9, M-10 BBB-/Watch Neg BBB-
2006-FF5 M-11 BB/Watch Neg BB
2006-FF7 M-8 BBB/Watch Neg BBB
2006-FF7 M-9 BBB-/Watch Neg BBB-
2006-FF7 M-10 BB+/Watch Neg BB+
2006-FF8 M-9 BBB/Watch Neg BBB
2006-FF8 M-10 BBB-/Watch Neg BBB-
2006-FF8 M-11, M-12 BB+/Watch Neg BB+
2006-FF9 M-10 BBB-/Watch Neg BBB-
2006-FF10 M-9 BBB-/Watch Neg BBB-
2006-FF10 B-1 BB+/Watch Neg BB+
2006-FF10 B-2 BB/Watch Neg BB
Fremont Home Loan Trust
Rating
Series Class To From
2005-D B1 BBB+/Watch Neg BBB+
2005-D B2 BBB/Watch Neg BBB
2005-D B3 BBB-/Watch Neg BBB-
2005-D B4 BB+/Watch Neg BB+
2005-E B1 BBB/Watch Neg BBB
2005-E B2-A, B2-B BBB-/Watch Neg BBB-
2005-E B2-C, B2-D BBB-/Watch Neg BBB-
2006-1 M7 BBB+/Watch Neg BBB+
2006-1 M8 BBB/Watch Neg BBB
2006-1 M9 BBB-/Watch Neg BBB-
2006-1 B1, B2 BB+/Watch Neg BB+
2006-2 B1, B2 BB+/Watch Neg BB+
2006-A M7 BBB/Watch Neg BBB
2006-A M8, M9 BBB-/Watch Neg BBB-
2006-A M10 BB+/Watch Neg BB+
2006-B M6 A-/Watch Neg A-
2006-B M7 BBB+/Watch Neg BBB+
2006-B M8, M9 BBB/Watch Neg BBB
2006-B M10 BBB-/Watch Neg BBB-
2006-C M9 BBB-/Watch Neg BBB-
2006-C M10 BB+/Watch Neg BB+
2006-C M11 BB/Watch Neg BB
GE-WMC Mortgage Securities Trust
Rating
Series Class To From
2006-1 M6 A/Watch Neg A
2006-1 B1 A-/Watch Neg A-
2006-1 B2 BBB+/Watch Neg BBB+
2006-1 B3 BBB/Watch Neg BBB
2006-1 B4 BBB-/Watch Neg BBB-
2006-1 B5 BBB-/Watch Neg BBB-
GSAA Home Equity Trust
Rating
Series Class To From
2006-5 B-2 BBB-/Watch Neg BBB-
2006-5 B-3 BB/Watch Neg BB
GSAMP Trust
Rating
Series Class To From
2005-AHL2 B-2 BBB-/Watch Neg BBB-
2005-AHL2 B-3 BBB-/Watch Neg BBB-
2005-AHL2 B-4 BB+/Watch Neg BB+
2006-FM1 M7 A-/Watch Neg A-
2006-FM1 B1 BBB+/Watch Neg BBB+
2006-FM1 B2, B3 BBB-/Watch Neg BBB-
2006-FM2 B2 BB+/Watch Neg BB+
2006-NC2 M8 BBB/Watch Neg BBB
2006-NC2 M9,B-1 BBB-/Watch Neg BBB-
2006-NC2 B-2 BB+/Watch Neg BB+
Home Equity Asset Trust
Rating
Series Class To From
2005-7 B3 BBB-/Watch Neg BBB-
2005-7 B4, B5 BB+/Watch Neg BB+
2005-8 B3, B4 BBB-/Watch Neg BBB-
2005-8 B5 BB+/Watch Neg BB+
2006-2 B3 BBB-/Watch Neg BBB-
2006-2 B4 BB+/Watch Neg BB+
2006-2 B5 BB/Watch Neg BB
2006-5 B2 BBB/Watch Neg BBB
2006-5 B3 BBB-/Watch Neg BBB-
2006-6 B2 BBB/Watch Neg BBB
2006-6 B3 BBB-/Watch Neg BBB-
2006-6 B4 BB+/Watch Neg BB+
2006-7 B3 BB+/Watch Neg BB+
Home Equity Mortgage Loan Asset-Backed Trust
Rating
Series Class To From
2005-C M10 BBB/Watch Neg BBB
2005-C M11 BBB-/Watch Neg BBB-
2005-D M9 BBB/Watch Neg BBB
2006-A M9 BBB+/Watch Neg BBB+
2006-A M10 BBB-/Watch Neg BBB-
2006-B M7, M8 BBB+/Watch Neg BBB+
2006-B M9 BBB/Watch Neg BBB
2006-C M-7 BBB+/Watch Neg BBB+
2006-C M-8 BBB/Watch Neg BBB
2006-C M-9 BBB-/Watch Neg BBB-
HSI Asset Securitization Corp. Trust
Rating
Series Class To From
2005-I1 M6 A-/Watch Neg A-
2006-OPT4 M10 BB/Watch Neg BB
2006-WMC1 M6 A/Watch Neg A
2006-WMC1 M7 BBB+/Watch Neg BBB+
2006-WMC1 M8 BBB/Watch Neg BBB
2006-WMC1 M9 BBB-/Watch Neg BBB-
IndyMac INDB Mortgage Loan Trust
Rating
Series Class To From
2006-1 B1 A/Watch Neg A
2006-1 B2 A-/Watch Neg A-
2006-1 B3 BBB+/Watch Neg BBB+
2006-1 B4 BBB/Watch Neg BBB
IXIS Real Estate Capital Trust
Rating
Series Class To From
2006-HE1 B2 BBB+/Watch Neg BBB+
2006-HE1 B3 BBB/Watch Neg BBB
2006-HE1 B4 BBB-/Watch Neg BBB-
2006-HE2 B1 A-/Watch Neg A-
2006-HE2 B2 BBB+/Watch Neg BBB+
2006-HE2 B3 BBB/Watch Neg BBB
2006-HE2 B4 BBB-/Watch Neg BBB-
2006-HE3 B3, B4 BBB-/Watch Neg BBB-
2006-HE3 B5 BB+/Watch Neg BB+
J.P. Morgan Mortgage Acquisition Trust
Rating
Series Class To From
2006-ACC1 M11 BB/Watch Neg BB
2006-FRE1 M10 BB+/Watch Neg BB+
2006-FRE1 M11 BB/Watch Neg BB
2006-FRE2 M10 BB+/Watch Neg BB+
2006-FRE2 M11 BB/Watch Neg BB
2006-HE1 M11 BB/Watch Neg BB
2006-NC1 M10 BB+/Watch Neg BB+
2006-NC1 M11 BB/Watch Neg BB
2006-RM1 M9 BBB-/Watch Neg BBB-
2006-RM1 M10 BB+/Watch Neg BB+
2006-WM1 M7 BBB/Watch Neg BBB
2006-WF1 M8 BBB-/Watch Neg BBB-
2006-WF1 M9 BB+/Watch Neg BB+
Lehman XS Trust
Rating
Series Class To From
2006-7 M6 A-/Watch Neg A-
2006-7 M7 BBB+/Watch Neg BBB+
2006-7 M-8 BBB/Watch Neg BBB
2006-7 M9 BBB-/Watch Neg BBB-
Long Beach Mortgage Loan Trust
Rating
Series Class To From
2005-3 M8 BBB/Watch Neg BBB
2005-WL3 B2 BB+/Watch Neg BB+
2006-1 M7 A/Watch Neg A
2006-1 M8 A-/Watch Neg A-
2006-1 M9 BBB+/Watch Neg BBB+
2006-1 M10 BBB/Watch Neg BBB
2006-1 M11 BBB-/Watch Neg BBB-
2006-2 M6 A/Watch Neg A
2006-2 M7 A-/Watch Neg A-
2006-2 M8 BBB+/Watch Neg BBB+
2006-2 M9 BBB/Watch Neg BBB
2006-2 M10 BBB-/Watch Neg BBB-
2006-2 B BB/Watch Neg BB
2006-3 M6 A+/Watch Neg A+
2006-3 M7 A/Watch Neg A
2006-3 M8 A-/Watch Neg A-
2006-3 M9 BBB+/Watch Neg BBB+
2006-3 M10 BBB/Watch Neg BBB
2006-3 B BBB-/Watch Neg BBB-
2006-4 M7 A/Watch Neg A
2006-4 M8 A-/Watch Neg A-
2006-4 M9 BBB+/Watch Neg BBB+
2006-4 M10 BBB+/Watch Neg BBB+
2006-4 M11 BBB-/Watch Neg BBB-
2006-4 B BB+/Watch Neg BB+
2006-5 M8, M9 BBB+/Watch Neg BBB+
2006-5 M10 BBB/Watch Neg BBB
2006-5 B-1 BBB-/Watch Neg BBB-
2006-5 B-2 BB+/Watch Neg BB+
2006-6 M9 BBB+/Watch Neg BBB+
2006-6 M10 BBB/Watch Neg BBB
2006-6 M11 BBB-/Watch Neg BBB-
2006-7 M9 BBB+/Watch Neg BBB+
2006-7 M10 BBB/Watch Neg BBB
2006-7 M11 BBB-/Watch Neg BBB-
2006-WL2 M9 BBB-/Watch Neg BBB-
2006-WL2 B1 BB+/Watch Neg BB+
2006-WL2 B2 BB/Watch Neg BB
2006-WL2 B3 BB-/Watch Neg BB-
2006-WL3 M8 BBB/Watch Neg BBB
2006-WL3 M9 BBB-/Watch Neg BBB-
Luminent Mortgage Trust
Rating
Series Class To From
2005-1 B4 BBB/Watch Neg BBB
2005-1 B5 BBB-/Watch Neg BBB-
2005-1 B6 BB/Watch Neg BB
MASTR Asset Backed Securities Trust
Rating
Series Class To From
2005-FRE1 M8 BBB/Watch Neg BBB
2005-FRE1 M9 BBB-/Watch Neg BBB-
2005-FRE1 M10 BB+/Watch Neg BB+
2005-HE2 M10 BBB-/Watch Neg BBB-
2005-HE2 M11 BB+/Watch Neg BB+
2005-NC2 M9 A/Watch Neg A
2005-NC2 M10 A-/Watch Neg A-
2005-NC2 M11, M12 BBB+/Watch Neg BBB+
2006-AM1 M12 BBB/Watch Neg BBB
2006-AM2 M10 BBB+/Watch Neg BBB+
2006-AM2 M11 BBB/Watch Neg BBB
2006-FRE1 M6 A-/Watch Neg A-
2006-FRE2 M6 A-/Watch Neg A-
2006-FRE2 M7 BBB+/Watch Neg BBB+
2006-FRE2 M8 BBB/Watch Neg BBB
2006-HE1 M-9 A/Watch Neg A
2006-HE1 M-10 A-/Watch Neg A-
2006-HE1 M-11 BBB/Watch Neg BBB
2006-HE2 M6 A/Watch Neg A
2006-HE2 M7 BBB+/Watch Neg BBB+
2006-HE2 M8 BBB/Watch Neg BBB
2006-HE2 M9 BBB-/Watch Neg BBB-
2006-HE2 M10 BB+/Watch Neg BB+
2006-HE3 M10 BB+/Watch Neg BB+
2006-HE3 M11 BB/Watch Neg BB
2006-NC2 M10 BB+/Watch Neg BB+
2006-NC2 M11 BB/Watch Neg BB
2006-WMC2 M6 A/Watch Neg A
2006-WMC2 M7 BBB+/Watch Neg BBB+
2006-WMC2 M8 BBB/Watch Neg BBB
2006-WMC3 M10 BB+/Watch Neg BB+
Merrill Lynch Mortgage Investors Trust
Rating
Series Class To From
2005-HE2 M5 A/Watch Neg A
2005-HE2 M6 A-/Watch Neg A-
2005-HE2 B1 BBB+/Watch Neg BBB+
2005-HE2 B2 BBB/Watch Neg BBB
2006-AHL1 B2 BBB/Watch Neg BBB
2006-AHL1 B3 BBB-/Watch Neg BBB-
2006-AR1 B1 BBB+/Watch Neg BBB+
2006-AR1 B2 BBB+/Watch Neg BBB+
2006-AR1 B3 BBB/Watch Neg BBB
2006-FM1 B1 BBB+/Watch Neg BBB+
2006-FM1 B2 BBB/Watch Neg BBB
2006-FM1 B3 BBB-/Watch Neg BBB-
2006-MLN1 B4 BB+/Watch Neg BB+
2006-RM2 B1 A-/Watch Neg A-
2006-RM2 B2 BBB+/Watch Neg BBB+
2006-RM2 B3 BBB/Watch Neg BBB
2006-RM2 B4 BBB-/Watch Neg BBB-
2006-RM4 B3 BBB-/Watch Neg BBB-
2006-RM4 B4 BB+/Watch Neg BB+
Morgan Stanley Capital I Inc. Trust
Rating
Series Class To From
2006-NC2 B3 BBB-/Watch Neg BBB-
2006-HE2 B3 BBB/Watch Neg BBB
Morgan Stanley ABS Capital I Inc. Trust
Rating
Series Class To From
2006-NC3 B2 BBB/Watch Neg BBB
2006-NC3 B3 BBB-/Watch Neg BBB-
2006-NC4 B2 BBB/Watch Neg BBB
2006-NC4 B3 BBB-/Watch Neg BBB-
2006-HE3 B2 BBB/Watch Neg BBB
2006-HE3 B3 BBB-/Watch Neg BBB-
2006-HE4 B3 BBB-/Watch Neg BBB-
2006-HE6 B2 BBB/Watch Neg BBB
2006-HE6 B3 BBB-/Watch Neg BBB-
2006-WMC2 B3 BBB-/Watch Neg BBB-
Morgan Stanley Home Equity Loan Trust
Rating
Series Class To From
2006-3 B3 BBB-/Watch Neg BBB-
Morgan Stanley IXIS Real Estate Capital Trust
Rating
Series Class To From
2006-1 B2 BBB/Watch Neg BBB
2006-1 B3 BBB-/Watch Neg BBB-
New Century Home Equity Loan Trust
Rating
Series Class To From
2006-1 M7 BBB+/Watch Neg BBB+
2006-1 M8 BBB/Watch Neg BBB
2006-1 M9 BBB-/Watch Neg BBB-
2006-2 M8 BBB/Watch Neg BBB
2006-2 M9 BBB-/Watch Neg BBB-
Nomura Home Equity Loan Inc.
Rating
Series Class To From
2005-HE1 B-2 BB/Watch Neg BB
2006-FM1 M-8 BBB+/Watch Neg BBB+
2006-FM1 M-9 BBB/Watch Neg BBB
2006-FM1 B-1 BBB-/Watch Neg BBB-
2006-FM1 B-2 BB+/Watch Neg BB+
2006-FM2 M-9 BBB/Watch Neg BBB
2006-FM2 B-1 BBB-/Watch Neg BBB-
2006-FM2 B-2 BB+/Watch Neg BB+
2006-HE1 B-2 BB/Watch Neg BB
2006-HE2 M-9 BBB/Watch Neg BBB
2006-HE2 B-1 BBB-/Watch Neg BBB-
2006-HE2 B-2 BB+/Watch Neg BB+
NovaStar Mortgage Funding Trust
Rating
Series Class To From
2006-1 M-7 A-/Watch Neg A-
2006-1 M-8 BBB+/Watch Neg BBB+
2006-1 M-9 BBB/Watch Neg BBB
2006-1 M-10 BBB-/Watch Neg BBB-
2006-1 M-11 BB+/Watch Neg BB+
2006-2 M-7 A/Watch Neg A
2006-2 M-8 BBB+/Watch Neg BBB+
2006-2 M-9 BBB/Watch Neg BBB
2006-2 M-10 BB+/Watch Neg BB+
2006-3 M-6 A+/Watch Neg A+
2006-3 M-7 A/Watch Neg A
2006-3 M-8 BBB+/Watch Neg BBB+
2006-3 M-9 BBB/Watch Neg BBB
2006-3 M-10 BBB-/Watch Neg BBB-
2006-4 M-7 A/Watch Neg A
2006-4 M-8 A-/Watch Neg A-
2006-4 M-9 BBB+/Watch Neg BBB+
2006-4 M-10 BBB/Watch Neg BBB
2006-4 M-11 BBB-/Watch Neg BBB-
2006-5 M-7 A-/Watch Neg A-
2006-5 M-8 BBB+/Watch Neg BBB+
2006-5 M-9 BBB/Watch Neg BBB
2006-5 M-10 BBB-/Watch Neg BBB-
2006-5 M-11 BB+/Watch Neg BB+
2006-6 M-12 BB+/Watch Neg BB+
2006-6 M-13 BB/Watch Neg BB
Option One Mortgage Loan Trust
Rating
Series Class To From
2006-2 M6 A-/Watch Neg A-
2006-2 M7 BBB+/Watch Neg BBB+
2006-2 M8 BBB/Watch Neg BBB
2006-2 M9 BBB-/Watch Neg BBB-
2006-2 M10 BB/Watch Neg BB
Ownit Mortgage Loan Trust
Rating
Series Class To From
2005-5 M-6 A-/Watch Neg A-
2005-5 B-1 BBB+/Watch Neg BBB+
2005-5 B-2 BBB/Watch Neg BBB
Popular ABS Mortgage Pass-Through Trust
Rating
Series Class To From
2005-5 BF-3 BB-/Watch Neg BB-
2005-5 BV-4 BB/Watch Neg BB
RAMP Trust
Rating
Series Class To From
2006-NC1 M-6 A/Watch Neg A
2006-NC1 M-7 A-/Watch Neg A-
2006-NC1 M-8 BBB+/Watch Neg BBB+
2006-NC1 M-9 BBB-/Watch Neg BBB-
2006-NC2 M-8 BBB/Watch Neg BBB
2006-NC2 M-9 BBB-/Watch Neg BBB-
2006-NC2 B-1 BB+/Watch Neg BB+
2006-NC3 M-8 BBB+/Watch Neg BBB+
2006-NC3 M-9 BBB/Watch Neg BBB
2006-NC3 M-10 BBB-/Watch Neg BBB-
2006-RS6 B BB/Watch Neg BB
RASC Trust
Rating
Series Class To From
2005-AHL2 M-9 BBB/Watch Neg BBB
2005-AHL2 M-10 BBB-/Watch Neg BBB-
2005-AHL3 M-5 A/Watch Neg A
2005-AHL3 M-6 A-/Watch Neg A-
2005-AHL3 M-7 BBB+/Watch Neg BBB+
2005-AHL3 M-8 BBB/Watch Neg BBB
2005-AHL3 M-9 BBB-/Watch Neg BBB-
Securitized Asset Backed Receivables LLC Trust
Rating
Series Class To From
2005-FR5 B-3 BBB/Watch Neg BBB
2005-FR5 B-4 BBB-/Watch Neg BBB-
2005-OP2 B3 BBB/Watch Neg BBB
2006 FR2 B2 BBB/Watch Neg BBB
2006 FR2 B3 BBB-/Watch Neg BBB-
2006 FR2 B4 BB+/Watch Neg BB+
2006 FR2 B5 BB/Watch Neg BB
2006-FR3 B1 BBB+/Watch Neg BBB+
2006-FR3 B2 BBB/Watch Neg BBB
2006-FR3 B3 BBB-/Watch Neg BBB-
2006-FR3 B4 BB+/Watch Neg BB+
2006-FR3 B5 BB/Watch Neg BB
2006-FR4 B3 BBB-/Watch Neg BBB-
2006-HE1 B1 BBB+/Watch Neg BBB+
2006-HE1 B2 BBB/Watch Neg BBB
2006-HE1 B3 BBB-/Watch Neg BBB-
2006-HE1 B4 BB+/Watch Neg BB+
2006-HE1 B5 BB/Watch Neg BB
2006-NC1 M3 A-/Watch Neg A-
2006-NC1 B1 BBB+/Watch Neg BBB+
2006-NC1 B2 BBB/Watch Neg BBB
2006-NC2 B2 BBB/Watch Neg BBB
2006-NC2 B3 BBB-/Watch Neg BBB-
2006-NC2 B4 BB+/Watch Neg BB+
2006-NC2 B5 BB/Watch Neg BB
2006-WM1 B2 BBB/Watch Neg BBB
2006-WM1 B3 BBB-/Watch Neg BBB-
SG Mortgage Securities Trust
Rating
Series Class To From
2005-OPT1 M12 BB+/Watch Neg BB+
2005-OPT1 M13 BB/Watch Neg BB
2006-FRE1 M7 A-/Watch Neg A-
2006-FRE1 M8 BBB+/Watch Neg BBB+
2006-FRE1 M9 BBB-/Watch Neg BBB-
2006-FRE1 M10 BBB-/Watch Neg BBB-
2006-FRE2 M6 A/Watch Neg A
2006-FRE2 M7 BBB+/Watch Neg BBB+
2006-FRE2 M8 BBB/Watch Neg BBB
2006-FRE2 M9 BBB-/Watch Neg BBB-
2006-FRE2 M10 BBB-/Watch Neg BBB-
Soundview Home Equity Loan Trust
Rating
Series Class To From
2005-OPT3 M12 BB/Watch Neg BB
Soundview Home Loan Trust
Rating
Series Class To From
2006-2 B1, B2 BB+/Watch Neg BB+
2006-2 B3 BB/Watch Neg BB
2006-3 M9 BBB-/Watch Neg BBB-
2006-3 M10 BB+/Watch Neg BB+
Specialty Underwriting and Residential Finance Trust
Rating
Series Class To From
2005-AB2 B2 BBB/Watch Neg BBB
2005-AB2 B3 BBB-/Watch Neg BBB-
2005-BC3 B3 BBB-/Watch Neg BBB-
2005-BC3 B4 BB+/Watch Neg BB+
Structured Asset Investment Loan Trust
Rating
Series Class To From
2005-8 M-7 BBB+/Watch Neg BBB+
2005-8 M-8 BBB/Watch Neg BBB
2005-8 M-9 BBB-/Watch Neg BBB-
2005-9 M8 BBB/Watch Neg BBB
2005-9 M9 BBB-/Watch Neg BBB-
2005-9 B1 BBB-/Watch Neg BBB-
2005-11 M6 BBB+/Watch Neg BBB+
2005-11 M7 BBB/Watch Neg BBB
2005-11 M8 BBB-/Watch Neg BBB-
2006-1 M6 A/Watch Neg A
2006-1 M7 A-/Watch Neg A-
2006-1 M8 BBB+/Watch Neg BBB+
2006-1 M9 BBB/Watch Neg BBB
2006-2 M5 A-/Watch Neg A-
2006-2 M6 BBB+/Watch Neg BBB+
2006-3 M8 BBB/Watch Neg BBB
2006-3 M9 BBB-/Watch Neg BBB-
2006-3 B1 BB+/Watch Neg BB+
2006-4 M4 A/Watch Neg A
2006-4 M5 A-/Watch Neg A-
2006-4 M6 BBB+/Watch Neg BBB+
2006-4 M7 BBB/Watch Neg BBB
2006-4 M8 BBB-/Watch Neg BBB-
2006-4 B1 BB+/Watch Neg BB+
2006-BNC1 M5 A-/Watch Neg A-
2006-BNC2 M4 A/Watch Neg A
2006-BNC2 M5 A-/Watch Neg A-
2006-BNC2 M6 BBB+/Watch Neg BBB+
Structured Asset Securities Corporation Mortgage Loan Trust
Rating
Series Class To From
2006-AM1 M8 BBB/Watch Neg BBB
2006-AM1 M9 BBB/Watch Neg BBB
2006-AM1 B1 BBB-/Watch Neg BBB-
2006-AM1 B2 BB+/Watch Neg BB+
2006-BC1 M8 A-/Watch Neg A-
2006-BC1 M9 BBB+/Watch Neg BBB+
2006-BC1 B1 BBB/Watch Neg BBB
2006-BC1 B2 BB+/Watch Neg BB+
2006-BC2 B1 BB+/Watch Neg BB+
2006-BC2 B2 BB/Watch Neg BB
2006-NC1 M7 BBB+/Watch Neg BBB+
2006-NC1 M8 BBB/Watch Neg BBB
2006-NC1 M9 BBB-/Watch Neg BBB-
2006-NC1 B1 BB+/Watch Neg BB+
2006-NC1 B2 BB/Watch Neg BB
2006-OW1 M6 A-/Watch Neg A-
2006-OW1 M7 BBB+/Watch Neg BBB+
2006-OW1 M8 BBB/Watch Neg BBB
Structured Asset Securities Corporation Trust
Rating
Series Class To From
2005-AR1 M8 BBB/Watch Neg BBB
Terwin Mortgage Trust
Rating
Series Class To From
2005-14HE B1 BBB+/Watch Neg BBB+
2005-14HE B2 BBB/Watch Neg BBB
2005-14HE M6 A-/Watch Neg A-
2006-17HE M3 A-/Watch Neg A-
2006-17HE M4 BBB+/Watch Neg BBB+
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