These tables include the issuers, series, and CUSIPs for the classes of U.S. net interest margin securities (NIMS) backed by U.S. Alt-A mortgage securities affected by the Aug. 30, 2007, rating actions. For the related press release, please see "
13 U.S. Alt-A RMBS NIMS Classes Downgraded," published Aug. 30, 2007.
Table 1
U.S. NIMS Classes Affected By Aug. 30, 2007, Rating Actions
Rating
CUSIP
Deal Name
Series
Class
To
From
125879PQ3
CMO Holdings II Ltd. BSSP 2006-16 GP3
2006-16 GP3
III-A-4
BB-
BB
12668BMC4
Countrywide Alternative Loan Trust 2006-OC1N
2006-OC1N
Notes
B
BBB
12668BD75
Countrywide Alternative Loan Trust 2006-OC2N
2006-OC2N
Notes
B
A-
222386AA2
Countrywide Alternative Loan Trust 2006-OC3N
2006-OC3N
NIM Notes
BB-
BBB-
222384AA7
Countrywide Alternative Loan Trust 2006-OC5N
2006-OC5N
Notes
B
BBB-
23244BAA1
Countrywide Alternative Loan Trust 2006-OC6N
2006-OC6N
Notes
B
BBB-
362343AB1
GSAA 2006-NIM4 Ltd.
2006-NIM4
N2
BB-
BB
362391AB0
GSAA 2006-NIM6 Ltd.
2006-NIM6
N2
B-
BB
45254TTG9
IMPAC NIM Trust 2005-2N
2005-2N
N
BB-
A-
525231AA4
Lehman XS NIM Co. 2006-9
2006-9
A
BB-
A
525225AA6
Lehman XS NIM Co. 2006-9
2006-9
B
BB-
BB+
525225AB4
Lehman XS NIM Co. 2006-9
2006-9
C
BB-
BB
82001UAC4
Sharps SP I LLC Net Interest Margin 2006-HYBN
2006-HYBN
N-3
BB-
BB
Table 2
U.S. NIMS Classes Affected By Aug. 30, 2007, Affirmations
CUSIP
Deal Name
Series
Class
Rating
362391AA2
GSAA 2006-NIM6 Ltd.
2006-NIM6
N1
A
82001UAA8
Sharps SP I LLC Net Interest Margin 2006-HYBN
2006-HYBN
N-1
A-
82001UAB6
Sharps SP I LLC Net Interest Margin 2006-HYBN
2006-HYBN
N-2
BBB-
Table 3
Transition Table: U.S. NIMS Aug. 30, 2007, Rating Actions
To
AA
AA-
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC
D
Total
From
AAA
0
AA
0
AA-
0
A+
0
A
1*
1
2
A-
1*
1
1
3
BBB+
0
BBB
1
1
BBB-
1*
1
2
4
BB+
1
1
BB
4
1
5
BB-
0
B+
0
B
0
B-
0
CCC
0
Total
0
0
1
1
0
0
1
0
0
8
0
4
1
0
0
16
*Affirmed.
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