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NEW YORK (Standard & Poor's) Aug. 30, 2007--Standard & Poor's Ratings Services
today lowered its ratings on 13 classes and affirmed its ratings on three
classes of U.S. net interest margin securities (NIMS) backed by U.S.
Alternative-A (Alt-A) mortgage securities issued from the beginning of October
2005 through the end of December 2006, on which rating actions were taken on
Aug. 17, 2007.
The complete ratings list, along with a related transition matrix, is included
in "U.S. NIMS Classes Affected by Aug. 30, 2007, Rating Actions," published
Aug. 30, 2007, on RatingsDirect, the real-time Web-based source for Standard &
Poor's credit ratings, research, and risk analysis. The tables can also be
found on Standard & Poor's Web site at www.standardandpoors.com. Select
Products and Services and then Ratings. Choose Standard & Poor's Views On The
Subprime And Related Mortgage Markets and scroll down to Structured Finance.
These rating actions affect 11 U.S. Alt-A RMBS NIMS transactions. The 13
downgraded classes have a current balance of approximately $80.48 million,
which represents 14.07% of the approximately $572.02 million currently
outstanding in U.S. NIMS backed by U.S. Alt-A mortgage securities rated by
Standard & Poor's from the beginning of October 2005 through the end of
December 2006. Ten of the 13 downgraded NIMS classes were rated 'BBB' or below
prior to these rating actions.
The resulting ratings associated with all of the downgraded classes, as a
percentage of the total $80.48 million in downgraded securities, are as
follows:
Rating (%)
BB- 44.57
B 10.40
B- 45.03
These NIMS rating actions follow the Alt-A rating actions taken on Aug. 17,
2007, which are described in "158 Alt-A RMBS Classes Downgraded; Revised
Surveillance Assumptions Cited," published Aug. 17, 2007, on RatingsDirect at
www.ratingsdirect.com, and on Standard & Poor's Web site at
www.standardandpoors.com.
U.S. Alt-A NIMS SURVEILLANCE ASSUMPTIONS REVISED
As performance continues to deteriorate for the underlying U.S. Alt-A mortgage
securitizations, we have increased the severity of the surveillance
assumptions we use to evaluate the ongoing creditworthiness for the underlying
U.S. Alt-A and, hence, related NIMS transactions. Our revised U.S. Alt-A
mortgage surveillance assumptions are further described in "Ratings on 207
U.S. Alt-A RMBS Classes Placed on CreditWatch Negative," published Aug. 7,
2007; and our revised U.S. Alt-A NIM surveillance assumptions are further
described in "195 U.S. Subprime RMBS NIMS Classes Downgraded; Surveillance And
New Issue Assumptions Revised," published Aug. 27, 2007. Both articles are
available on RatingsDirect at www.ratingsdirect.com, and on Standard & Poor's
Web site at www.standardandpoors.com.
REVISED RATING ASSUMPTIONS FOR NEW ISSUES
Revised assumptions for new ratings of NIMS backed by various types of U.S.
mortgage collateral, including Alt-A, are detailed in "195 U.S. Subprime RMBS
NIMS Classes Downgraded; Surveillance And New Issue Assumptions Revised,"
published Aug. 27, 2007, on RatingsDirect at www.ratingsdirect.com, and on
Standard & Poor's Web site at www.standardandpoors.com.
Standard & Poor's will continue to monitor the performance of the underlying
transactions and the related NIMS. We regularly review our assumptions as new
information becomes available, and we will continue to revise assumptions as
appropriate, publish updates, and keep market participants informed of
changes.
RATINGS LOWERED
CMO Holdings II Ltd. BSSP 2006-16 GP3
Rating
Series Class To From
2006-16 GP3 III-A-4 BB- BB
Countrywide Alternative Loan Trust 2006-OC1N
Rating
Series Class To From
2006-OC1N Notes B BBB
Countrywide Alternative Loan Trust 2006-OC2N
Rating
Series Class To From
2006-OC2N Notes B A-
Countrywide Alternative Loan Trust 2006-OC3N
Rating
Series Class To From
2006-OC3N Notes BB- BBB-
Countrywide Alternative Loan Trust 2006-OC5N
Rating
Series Class To From
2006-OC5N Notes B BBB-
Countrywide Alternative Loan Trust 2006-OC6N
Rating
Series Class To From
2006-OC6N Notes B BBB-
GSAA 2006-NIM4 Ltd.
Rating
Series Class To From
2006-NIM4 N2 BB- BB
GSAA 2006-NIM6 Ltd.
Rating
Series Class To From
2006-NIM6 N2 B- BB
IMPAC NIM Trust 2005-2N
Rating
Series Class To From
2005-2N N BB- A-
Lehman XS NIM Co. 2006-9
Rating
Series Class To From
2006-9 A BB- A
Lehman XS NIM Co. 2006-9
Rating
Series Class To From
2006-9 B BB- BB+
Lehman XS NIM Co. 2006-9
Rating
Series Class To From
2006-9 C BB- BB
Sharps SP I LLC Net Interest Margin 2006-HYBN
Rating
Series Class To From
2006-HYBN N-3 BB- BB
RATINGS AFFIRMED
GSAA 2006-NIM6 Ltd.
Series Class Rating
2006-NIM6 N1 A
Sharps SP I LLC Net Interest Margin 2006-HYBN
Series Class Rating
2006-HYBN N-1 A-
Sharps SP I LLC Net Interest Margin 2006-HYBN
Series Class Rating
2006-HYBN N-2 BBB-
Standard & Poor's, a division of The McGraw-Hill Companies (NYSE:MHP), is the
world's foremost provider of independent credit ratings, indices, risk
evaluation, investment research and data. With approximately 6,300 employees
located in 20 countries and markets, Standard & Poor's is an essential part of
the world's financial infrastructure and has played a leading role for more
than 140 years in providing investors with the independent benchmarks they
need to feel more confident about their investment and financial decisions.
For more information, visit http://www.standardandpoors.com.
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