U.S. NIMS Classes Affected By Aug. 30, 2007, Rating Actions
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| Publication Date: Aug 30, 2007 09:51 EST |
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 | U.S. NIMS Classes Affected By Aug. 30, 2007, Rating Actions | |
| | | Publication date: 30-Aug-07, 09:51:34 EST | |
Reprinted from
RatingsDirect
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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
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U.S. NIMS Classes Affected By Aug. 30, 2007, Rating Actions
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Rating
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CUSIP
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Deal Name
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Series
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Class
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To
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From
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125879PQ3
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CMO Holdings II Ltd. BSSP 2006-16 GP3 |
2006-16 GP3
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III-A-4
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BB-
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BB
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12668BMC4
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Countrywide Alternative Loan Trust 2006-OC1N |
2006-OC1N
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Notes
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B
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BBB
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12668BD75
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Countrywide Alternative Loan Trust 2006-OC2N |
2006-OC2N
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Notes
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B
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A-
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222386AA2
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Countrywide Alternative Loan Trust 2006-OC3N |
2006-OC3N
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NIM Notes
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BB-
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BBB-
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222384AA7
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Countrywide Alternative Loan Trust 2006-OC5N |
2006-OC5N
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Notes
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B
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BBB-
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23244BAA1
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Countrywide Alternative Loan Trust 2006-OC6N |
2006-OC6N
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Notes
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B
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BBB-
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362343AB1
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GSAA 2006-NIM4 Ltd. |
2006-NIM4
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N2
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BB-
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BB
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362391AB0
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GSAA 2006-NIM6 Ltd. |
2006-NIM6
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N2
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B-
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BB
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45254TTG9
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IMPAC NIM Trust 2005-2N |
2005-2N
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N
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BB-
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A-
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525231AA4
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Lehman XS NIM Co. 2006-9 |
2006-9
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A
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BB-
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A
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525225AA6
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Lehman XS NIM Co. 2006-9
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2006-9
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B
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BB-
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BB+
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525225AB4
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Lehman XS NIM Co. 2006-9
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2006-9
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C
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BB-
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BB
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82001UAC4
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Sharps SP I LLC Net Interest Margin 2006-HYBN |
2006-HYBN
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N-3
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BB-
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BB
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Table 2
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U.S. NIMS Classes Affected By Aug. 30, 2007, Affirmations
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CUSIP
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Deal Name
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Series
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Class
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Rating
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362391AA2
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GSAA 2006-NIM6 Ltd. |
2006-NIM6
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N1
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A
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82001UAA8
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Sharps SP I LLC Net Interest Margin 2006-HYBN |
2006-HYBN
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N-1
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A-
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82001UAB6
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Sharps SP I LLC Net Interest Margin 2006-HYBN |
2006-HYBN
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N-2
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BBB-
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Table 3
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Transition Table: U.S. NIMS Aug. 30, 2007, Rating Actions
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To
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AA
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AA-
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A
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A-
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BBB+
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BBB
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BBB-
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BB+
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BB
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BB-
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B+
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B
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B-
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CCC
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D
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Total
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From
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AAA
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0
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AA
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0
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AA-
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0
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A+
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0
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A
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1*
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1
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2
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A-
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1*
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1
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1
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3
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BBB+
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0
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BBB
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1
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1
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BBB-
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1*
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1
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2
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4
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BB+
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1
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1
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BB
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4
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1
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5
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BB-
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0
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B+
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0
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B
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0
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B-
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0
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CCC
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0
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Total
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0
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0
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1
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1
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0
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0
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1
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0
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0
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8
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0
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4
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1
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0
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0
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16
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*Affirmed.
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