DBRS Downgrades 202 Classes from 40 RMBS Transactions
DBRS has today downgraded 202 classes from 40 RMBS transactions.
The following classes, backed primarily by first-lien collateral, have been downgraded as a result of the significant increase in serious delinquencies relative to the available credit enhancement. Given the level of serious delinquencies in the current pipeline and corresponding potential for significant future losses, excess spread is not expected to be sufficient to cover anticipated losses. Consequently, the principal balance of subordinate classes may suffer principal writedowns.
--$15,681,000, Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-7 to BBB (high) from A (low)
--$12,320,000, Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-8 to BBB from BBB (high)
--$12,880,000, Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-9 to BB (high) from BBB
--$17,329,000, Accredited Mortgage Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-6 to A (low) from "A"
--$13,744,000, Accredited Mortgage Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-7 to BBB from BBB (high)
--$11,951,000, Accredited Mortgage Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-8 to BBB (low) from BBB
--$11,951,000, Accredited Mortgage Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-9 to BB (high) from BBB (low)
--$36,194,000, Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2, Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class M1 to AA from AA (high)
--$23,881,000, Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2, Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class M2 to A (high) from AA
--$14,179,000, Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2, Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class M3 to A (low) from AA
--$13,060,000, Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2, Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class M4 to BBB (high) from A (high)
--$12,667,000, Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2, Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class M5 to BBB from "A"
--$11,567,000, Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2, Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class M6 to BBB (low) from A (low)
--$10,821,000, Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2, Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class M7 to BB (high) from BBB (low)
--$25,003,000, Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4, Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class M2 to A (high) from AA (low)
--$17,729,000, Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4, Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class M3 to A (low) from A (high)
--$16,820,000, Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4, Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class M4 to BBB (high) from "A"
--$10,456,000, Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4, Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class M5 to BBB from A (low)
--$11,365,000, Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4, Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class M6 to BBB (low) from BBB (high)
--$6,819,000, Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4, Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class M7 to BB (high) from BBB
--$15,990,000, C-BASS 2005-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB6, Class M-2 to AA (low) from AA (high)
--$11,243,000, C-BASS 2005-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB6, Class M-3 to A (high) from AA
--$8,494,000, C-BASS 2005-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB6, Class M-4 to "A" from AA (low)
--$8,245,000, C-BASS 2005-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB6, Class M-5 to A (low) from A (high)
--$6,995,000, C-BASS 2005-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB6, Class M-6 to BBB (high) from A (high)
--$7,995,000, C-BASS 2005-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB6, Class B-1 to BBB from "A"
--$10,152,000, C-BASS 2006-CB4 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB4, Class M-3 to A (high) from AA (low)
--$8,850,000, C-BASS 2006-CB4 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB4, Class M-4 to "A" from A (high)
--$8,850,000, C-BASS 2006-CB4 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB4, Class M-5 to A (low) from A (high)
--$8,850,000, C-BASS 2006-CB4 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB4, Class M-6 to BBB (high) from A (low)
--$23,801,000, Citigroup Mortgage Loan Trust 2007-AMC1, Asset-Backed Pass-Through Certificates, Series 2007-AMC1, Class M-5 to A (low) from "A"
--$21,421,000, Citigroup Mortgage Loan Trust 2007-AMC1, Asset-Backed Pass-Through Certificates, Series 2007-AMC1, Class M-6 to BBB (high) from A (low)
--$20,628,000, Citigroup Mortgage Loan Trust 2007-AMC1, Asset-Backed Pass-Through Certificates, Series 2007-AMC1, Class M-7 to BBB from BBB (high)
--$16,661,000, Citigroup Mortgage Loan Trust 2007-AMC1, Asset-Backed Pass-Through Certificates, Series 2007-AMC1, Class M-8 to BBB (low) from BBB
--$47,602,000, Citigroup Mortgage Loan Trust 2007-AMC1, Asset-Backed Pass-Through Certificates, Series 2007-AMC1, Class M-2 to AA (low) from AA
--$26,975,000, Citigroup Mortgage Loan Trust 2007-AMC1, Asset-Backed Pass-Through Certificates, Series 2007-AMC1, Class M-3 to A (high) from AA (low)
--$23,008,000, Citigroup Mortgage Loan Trust 2007-AMC1, Asset-Backed Pass-Through Certificates, Series 2007-AMC1, Class M-4 to "A" from A (high)
--$20,121,472, Credit Suisse First Boston Mortgage Acceptance Corp. Adjustable Rate Mortgage Trust 2005-12, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-12, Class C-B-1 to AA (low) from AA
--$9,114,897, Credit Suisse First Boston Mortgage Acceptance Corp. Adjustable Rate Mortgage Trust 2005-12, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-12, Class C-B-2 to BBB (high) from "A"
--$6,287,338, Credit Suisse First Boston Mortgage Acceptance Corp. Adjustable Rate Mortgage Trust 2005-12, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-12, Class C-B-3 to BBB (low) from BBB
--$11,450,000, Credit Suisse First Boston Mortgage Acceptance Corp. Adjustable Rate Mortgage Trust 2005-12, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-12, Class 5-M-1 to "A" from AA
--$6,720,000, Credit Suisse First Boston Mortgage Acceptance Corp. Adjustable Rate Mortgage Trust 2005-12, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-12, Class 5-M-2 to BBB from A (low)
--$4,570,000, Credit Suisse First Boston Mortgage Acceptance Corp. Adjustable Rate Mortgage Trust 2005-12, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-12, Class 5-M-3 to BB (high) from BBB (low)
--$8,490,000, Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 5-M-2 to A (low) from A (high)
--$5,790,000, Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 5-M-3 to BBB (low) from A (low)
--$1,930,000, Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 5-M-4 to BB (high) from BBB (low)
--$5,210,000, Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5-M-3 to BBB (high) from A (low)
--$2,480,000, Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5-M-4 to BBB (low) from BBB (high)
--$1,239,000, Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5-M-5 to BB (high) from BBB (low)
--$51,000,000, Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class M-2 to AA (low) from AA
--$33,000,000, Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class M-3 to A (high) from AA (low)
--$24,000,000, Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class M-4 to A (low) from A (high)
--$24,750,000, Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class M-5 to BBB (high) from "A"
--$21,000,000, Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class M-6 to BBB from A (low)
--$20,250,000, Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class M-7 to BBB (low) from BBB (high)
--$15,000,000, Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class M-8 to BB (high) from BBB
--$12,750,000, Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class B-1 to BB from BBB (low)
--$7,500,000, Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class B-2 to BB (low) from BB
--$15,000,000, Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class B-3 to B (high) from BB (low)
--$11,250,000, Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class B-4 to B from B (high)
--$10,500,000, Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class B-5 to B (low) from B
--$1,911,812, CWABS Asset-Backed Certificates Trust 2006-SPS1, Asset-Backed Certificates, Series 2006-SPS1, Class M-5 to C from B (high)
--$0, CWABS Asset-Backed Certificates Trust 2006-SPS1, Asset-Backed Certificates, Series 2006-SPS1, Class M-6 to C from B (low)
--$77,602,000, First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-Through Certificates, Series 2005-FF9, Class M1 to AA from AA (high)
--$39,227,000, First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-Through Certificates, Series 2005-FF9, Class M2 to A (high) from AA
--$25,583,000, First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-Through Certificates, Series 2005-FF9, Class M3 to A (low) from A (high)
--$26,436,000, First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-Through Certificates, Series 2005-FF9, Class M4 to BBB (high) from A (low)
--$24,730,000, First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-Through Certificates, Series 2005-FF9, Class M5 to BBB from BBB (high)
--$13,644,000, First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-Through Certificates, Series 2005-FF9, Class M6 to BBB (low) from BBB
--$12,792,000, First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-Through Certificates, Series 2005-FF9, Class M7 to BB (high) from BBB (low)
--$36,669,000, First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-Through Certificates, Series 2005-FF9, Class M8 to BB (low) from BB
--$8,528,000, First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-Through Certificates, Series 2005-FF9, Class M9 to B (high) from BB (low)
--$77,415,000, First Franklin Mortgage Loan Trust, Series 2004-FF10, Asset-Backed Certificates, Series 2004-FF10, Class M-1 to AA (low) from AA
--$32,083,000, First Franklin Mortgage Loan Trust, Series 2004-FF10, Asset-Backed Certificates, Series 2004-FF10, Class M-2 to BBB from "A"
--$13,251,000, First Franklin Mortgage Loan Trust, Series 2004-FF10, Asset-Backed Certificates, Series 2004-FF10, Class M-3 to BB (high) from A (low)
--$3,360,794, First Franklin Mortgage Loan Trust, Series 2004-FF10, Asset-Backed Certificates, Series 2004-FF10, Class M-4 to BB (low) from BBB (high)
--$3,058,212, First Franklin Mortgage Loan Trust, Series 2004-FF10, Asset-Backed Certificates, Series 2004-FF10, Class M-5 to BB (low) from BBB
--$2,457,633, First Franklin Mortgage Loan Trust, Series 2004-FF10, Asset-Backed Certificates, Series 2004-FF10, Class M-6 to B (high) from BBB (low) and is no longer Under Review with Negative Implications.
--$7,775,709, Impac CMB Trust Series 2005-3, Collateralized Asset-Backed Bonds, Series 2005-3, Class M-3 to "A" from AA (low)
--$5,183,806, Impac CMB Trust Series 2005-3, Collateralized Asset-Backed Bonds, Series 2005-3, Class M-4 to A (low) from A (high)
--$5,669,788, Impac CMB Trust Series 2005-3, Collateralized Asset-Backed Bonds, Series 2005-3, Class M-5 to BBB from "A"
--$3,239,879, Impac CMB Trust Series 2005-3, Collateralized Asset-Backed Bonds, Series 2005-3, Class M-6 to BBB (low) from A (low)
--$4,049,848, Impac CMB Trust Series 2005-3, Collateralized Asset-Backed Bonds, Series 2005-3, Class B to BB (low) from BBB (high)
--$7,797,000, Lehman XS Trust 2006-5, Mortgage Pass-Through Certificates, Series 2006-5, Class M4 to "A" from AA (low)
--$7,797,000, Lehman XS Trust 2006-5, Mortgage Pass-Through Certificates, Series 2006-5, Class M5 to A (low) from A (high)
--$6,238,000, Lehman XS Trust 2006-5, Mortgage Pass-Through Certificates, Series 2006-5, Class M6 to BBB (high) from "A"
--$5,198,000, Lehman XS Trust 2006-5, Mortgage Pass-Through Certificates, Series 2006-5, Class M7 to BBB from A (low)
--$5,198,000, Lehman XS Trust 2006-5, Mortgage Pass-Through Certificates, Series 2006-5, Class M8 to BBB (low) from BBB (high)
--$11,346,000, Morgan Stanley ABS Capital I Inc. Trust 2005-WMC3, Mortgage Pass-Through Certificates, Series 2005-WMC3, Class B-3 to BB (high) from BBB (low)
--$6,479,000, Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR3, Mortgage Pass-Through Certificates, Series 2005-AR3, Class M-3 to BBB (high) from A (low)
--$2,851,000, Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR3, Mortgage Pass-Through Certificates, Series 2005-AR3, Class M-4 to BBB (low) from BBB (high)
--$4,664,127, Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR3, Mortgage Pass-Through Certificates, Series 2005-AR3, Class M-5 to BB (low) from BBB (low)
--$25,186,000, Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3, Asset-Backed Certificates, Series 2007-3, Class M-4 to A (high) from AA (low)
--$24,041,000, Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3, Asset-Backed Certificates, Series 2007-3, Class M-5 to "A" from A (high)
--$20,034,000, Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3, Asset-Backed Certificates, Series 2007-3, Class M-6 to A (low) from "A"
--$20,034,000, Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3, Asset-Backed Certificates, Series 2007-3, Class M-7 to BBB (high) from A (low)
--$18,889,000, Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3, Asset-Backed Certificates, Series 2007-3, Class M-8 to BBB from BBB (high)
--$15,454,000, Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3, Asset-Backed Certificates, Series 2007-3, Class M-9 to BBB (low) from BBB
--$29,175,000, ResMAE Mortgage Loan Trust 2006-1, Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-1 to AA from AA (high)
--$26,931,000, ResMAE Mortgage Loan Trust 2006-1, Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-2 to A (high) from AA
--$16,458,000, ResMAE Mortgage Loan Trust 2006-1, Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-3 to "A" from AA (low)
--$14,962,000, ResMAE Mortgage Loan Trust 2006-1, Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-4 to A (low) from A (high)
--$14,214,000, ResMAE Mortgage Loan Trust 2006-1, Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-5 to BBB (high) from A (high)
--$12,718,000, ResMAE Mortgage Loan Trust 2006-1, Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-6 to BBB from "A"
--$11,595,000, ResMAE Mortgage Loan Trust 2006-1, Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-7 to BBB (low) from A (low)
--$10,473,000, ResMAE Mortgage Loan Trust 2006-1, Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-8 to BB (high) from BBB (low)
--$75,248,000, Securitized Asset Backed Receivables LLC Trust 2005-HE1, Mortgage Pass-Through Certificates, Series 2005-HE1, Class M-2 to "A" from A (high)
--$18,657,700, Securitized Asset Backed Receivables LLC Trust 2005-HE1, Mortgage Pass-Through Certificates, Series 2005-HE1, Class M-3 to A (low) from "A"
--$18,657,700, Securitized Asset Backed Receivables LLC Trust 2005-HE1, Mortgage Pass-Through Certificates, Series 2005-HE1, Class B-1 to BBB from A (low)
--$14,925,000, Securitized Asset Backed Receivables LLC Trust 2005-HE1, Mortgage Pass-Through Certificates, Series 2005-HE1, Class B-2 to BBB from BBB (high)
--$14,303,000, Securitized Asset Backed Receivables LLC Trust 2005-HE1, Mortgage Pass-Through Certificates, Series 2005-HE1, Class B-3 to BBB (low) from BBB
--$13,682,000, Securitized Asset Backed Receivables LLC Trust 2005-HE1, Mortgage Pass-Through Certificates, Series 2005-HE1, Class B-4 to BB (high) from BBB (low)
--$59,846,000, Securitized Asset Backed Receivables LLC Trust 2006-FR1, Mortgage Pass-Through Certificates, Series 2006-FR1, Class M-2 to "A" from A (high)
--$54,827,000, Securitized Asset Backed Receivables LLC Trust 2006-HE2, Mortgage Pass-Through Certificates, Series 2006-HE2, Class M-1 to AA from AA (high)
--$46,629,000, Securitized Asset Backed Receivables LLC Trust 2006-HE2, Mortgage Pass-Through Certificates, Series 2006-HE2, Class M-2 to "A" from AA
--$16,397,000, Securitized Asset Backed Receivables LLC Trust 2006-HE2, Mortgage Pass-Through Certificates, Series 2006-HE2, Class M-3 to A (low) from AA (low)
--$33,818,000, Securitized Asset Backed Receivables LLC Trust 2006-HE2, Mortgage Pass-Through Certificates, Series 2006-HE2, Class M-4 to BBB (high) from "A"
--$9,736,000, Securitized Asset Backed Receivables LLC Trust 2006-HE2, Mortgage Pass-Through Certificates, Series 2006-HE2, Class M-5 to BBB from A (low)
--$49,702,000, Securitized Asset Backed Receivables LLC Trust 2006-NC2, Mortgage Pass-Through Certificates, Series 2006-NC2, Class M-1 to A (high) from AA
--$32,214,000, Securitized Asset Backed Receivables LLC Trust 2006-NC2, Mortgage Pass-Through Certificates, Series 2006-NC2, Class M-2 to BBB (high) from "A"
--$9,511,000, Securitized Asset Backed Receivables LLC Trust 2006-NC2, Mortgage Pass-Through Certificates, Series 2006-NC2, Class M-3 to BBB from A (low)
--$19,348,000, Securitized Asset Backed Receivables LLC Trust 2006-NC3, Mortgage Pass-Through Certificates, Series 2006-NC3, Class M-1 to AA (low) from AA (high)
--$18,492,000, Securitized Asset Backed Receivables LLC Trust 2006-NC3, Mortgage Pass-Through Certificates, Series 2006-NC3, Class M-2 to "A" from AA
--$6,022,000, Securitized Asset Backed Receivables LLC Trust 2006-NC3, Mortgage Pass-Through Certificates, Series 2006-NC3, Class M-3 to A (low) from AA (low)
--$13,976,000, Securitized Asset Backed Receivables LLC Trust 2006-NC3, Mortgage Pass-Through Certificates, Series 2006-NC3, Class M-4 to BBB (high) from "A"
--$4,515,000, Securitized Asset Backed Receivables LLC Trust 2006-NC3, Mortgage Pass-Through Certificates, Series 2006-NC3, Class M-5 to BBB from A (low)
--$61,708,000, Securitized Asset Backed Receivables LLC Trust 2006-WM1, Mortgage Pass-Through Certificates, Series 2006-WM1, Class M-1 to A (high) from AA
--$37,891,000, Securitized Asset Backed Receivables LLC Trust 2006-WM1, Mortgage Pass-Through Certificates, Series 2006-WM1, Class M-2 to BBB from A (low)
--$41,986,000, Securitized Asset Backed Receivables LLC Trust 2007-NC1, Mortgage Pass-Through Certificates, Series 2007-NC1, Class M-2 to A (high) from AA
--$15,268,000, Securitized Asset Backed Receivables LLC Trust 2007-NC1, Mortgage Pass-Through Certificates, Series 2007-NC1, Class M-3 to "A" from AA (low)
--$20,357,000, Securitized Asset Backed Receivables LLC Trust 2007-NC1, Mortgage Pass-Through Certificates, Series 2007-NC1, Class M-4 to A (low) from A (high)
--$15,267,000, Securitized Asset Backed Receivables LLC Trust 2007-NC1, Mortgage Pass-Through Certificates, Series 2007-NC1, Class M-5 to BBB (high) from "A"
--$11,875,000, Securitized Asset Backed Receivables LLC Trust 2007-NC1, Mortgage Pass-Through Certificates, Series 2007-NC1, Class M-6 to BBB from A (low)
--$13,571,000, Securitized Asset Backed Receivables LLC Trust 2007-NC1, Mortgage Pass-Through Certificates, Series 2007-NC1, Class B-1 to BBB (low) from BBB (high)
--$7,634,000, Securitized Asset Backed Receivables LLC Trust 2007-NC1, Mortgage Pass-Through Certificates, Series 2007-NC1, Class B-2 to BBB (low) from BBB
--$11,027,000, Securitized Asset Backed Receivables LLC Trust 2007-NC1, Mortgage Pass-Through Certificates, Series 2007-NC1, Class B-3 to BB (high) from BBB (low)
--$13,794,000, Securitized Asset Backed Receivables LLC Trust 2007-NC2, Mortgage Pass-Through Certificates, Series 2007-NC2, Class M-6 to A (low) from "A"
--$15,466,000, Securitized Asset Backed Receivables LLC Trust 2007-NC2, Mortgage Pass-Through Certificates, Series 2007-NC2, Class B-1 to BBB (high) from A (low)
--$9,196,000, Securitized Asset Backed Receivables LLC Trust 2007-NC2, Mortgage Pass-Through Certificates, Series 2007-NC2, Class B-2 to BBB from BBB (high)
--$11,286,000, Securitized Asset Backed Receivables LLC Trust 2007-NC2, Mortgage Pass-Through Certificates, Series 2007-NC2, Class B-3 to BBB (low) from BBB
--$10,205,162, Securitized Asset-Backed Receivables LLC Trust 2005-EC1, Mortgage Pass-Through Certificates, Series 2005-EC1, Class M-3 to BBB from A (low)
--$39,041,000, SG Mortgage Securities Trust 2006-OPT2, Asset-Backed Certificates, Series 2006-OPT2, Class M-2 to A (high) from AA
--$12,200,000, SG Mortgage Securities Trust 2006-OPT2, Asset-Backed Certificates, Series 2006-OPT2, Class M-3 to "A" from AA (low)
--$17,080,000, SG Mortgage Securities Trust 2006-OPT2, Asset-Backed Certificates, Series 2006-OPT2, Class M-4 to A (low) from A (high)
--$13,827,000, SG Mortgage Securities Trust 2006-OPT2, Asset-Backed Certificates, Series 2006-OPT2, Class M-5 to BBB (high) from "A"
--$8,133,000, SG Mortgage Securities Trust 2006-OPT2, Asset-Backed Certificates, Series 2006-OPT2, Class M-6 to BBB from A (low)
--$22,996,000, Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-8 to BBB (low) from BBB
--$17,227,863, Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-9 to BB from BBB (low)
--$3,407,928, Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class B to BB (low) from BB
--$24,714,000, Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2, Mortgage Pass-Through Certificates, Series 2007-BC2, Class M2 to AA (low) from AA
--$8,024,000, Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2, Mortgage Pass-Through Certificates, Series 2007-BC2, Class M3 to A (high) from AA (low)
--$9,308,000, Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2, Mortgage Pass-Through Certificates, Series 2007-BC2, Class M4 to "A" from A (high)
--$8,345,000, Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2, Mortgage Pass-Through Certificates, Series 2007-BC2, Class M5 to BBB (high) from "A"
--$6,098,000, Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2, Mortgage Pass-Through Certificates, Series 2007-BC2, Class M6 to BBB from A (low)
--$6,740,000, Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2, Mortgage Pass-Through Certificates, Series 2007-BC2, Class M7 to BBB (low) from BBB (high)
--$5,456,000, Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2, Mortgage Pass-Through Certificates, Series 2007-BC2, Class M8 to BB (high) from BBB
--$6,419,000, Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2, Mortgage Pass-Through Certificates, Series 2007-BC2, Class M9 to BB from BB (high)
--$3,474,610, Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates, Series 2004-9HE, Class B-1 to BBB from BBB (high)
The following classes, backed by second-lien collateral, have been downgraded to reflect the rapid deterioration in credit enhancement that is a result of the significant increase in collateral delinquencies and losses. Overcollateralization has been depleted in many transactions and excess spread continues to diminish. Additionally, in many cases, subordinate classes have already been impaired, further weakening the available credit support for the remaining senior and mezzanine classes.
--$30,168,000, C-BASS 2006-SL1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class M-2 to AA (low) from AA (high)
--$19,442,000, C-BASS 2006-SL1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class M-3 to A (high) from AA
--$17,095,000, C-BASS 2006-SL1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class M-4 to "A" from A (high)
--$18,101,000, C-BASS 2006-SL1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class M-5 to BBB (high) from "A"
--$17,766,000, C-BASS 2006-SL1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class M-6 to BBB from A (low)
--$19,777,000, C-BASS 2006-SL1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class B-1 to BBB (low) from BBB
--$16,090,000, C-BASS 2006-SL1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class B-2 to BB (high) from BBB (low)
--$13,743,000, C-BASS 2006-SL1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class B-3 to B (low) from BB
--$8,510,486, C-BASS 2006-SL1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class B-4 to C from B (low)
--$30,367,000, Structured Asset Securities Corporation Mortgage Loan Trust 2005-S5, Mortgage Pass-Through Certificates, Series 2005-S5, Class M4 to A (low) from "A"
--$10,536,000, Structured Asset Securities Corporation Mortgage Loan Trust 2005-S5, Mortgage Pass-Through Certificates, Series 2005-S5, Class M5 to BBB from A (low)
--$34,779,000, Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2, Mortgage Pass-Through Certificates, Series 2006-S2, Class M2 to AA (low) from AA
--$13,781,000, Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2, Mortgage Pass-Through Certificates, Series 2006-S2, Class M3 to "A" from AA (low)
--$17,390,000, Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2, Mortgage Pass-Through Certificates, Series 2006-S2, Class M4 to A (low) from A (high)
--$14,765,000, Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2, Mortgage Pass-Through Certificates, Series 2006-S2, Class M5 to BBB from "A"
--$9,187,000, Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2, Mortgage Pass-Through Certificates, Series 2006-S2, Class M6 to BBB (low) from A (low)
--$8,859,000, Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2, Mortgage Pass-Through Certificates, Series 2006-S2, Class M7 to BB (high) from BBB (high)
--$6,562,000, Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2, Mortgage Pass-Through Certificates, Series 2006-S2, Class M8 to BB from BBB
--$6,562,000, Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2, Mortgage Pass-Through Certificates, Series 2006-S2, Class M9 to BB (low) from BBB (low)
--$5,250,000, Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2, Mortgage Pass-Through Certificates, Series 2006-S2, Class B1 to B (low) from BB (low)
--$3,357,891, Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2, Mortgage Pass-Through Certificates, Series 2006-S2, Class B2 to C from B (low)
--$7,232,000, SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1, Asset-Backed Pass-Through Certificates, Series 2007-1, Class M-1 to BBB from "A"
--$11,496,000, SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1, Asset-Backed Pass-Through Certificates, Series 2007-1, Class M-2 to B (low) from BBB (high)
--$13,347,900, SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1, Asset-Backed Pass-Through Certificates, Series 2007-1, Class M-3 to C from B (high)
--$0, SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1, Asset-Backed Pass-Through Certificates, Series 2007-1, Class M-4 to C from B (low)
--$23,620,000, Home Equity Mortgage Trust Series 2006-4, Home Equity Mortgage Pass-Through Certificates, Series 2006-4, Class M-1 to AA from AA (high)
--$24,940,000, Home Equity Mortgage Trust Series 2006-4, Home Equity Mortgage Pass-Through Certificates, Series 2006-4, Class M-2 to A (low) from AA
--$9,190,000, Home Equity Mortgage Trust Series 2006-4, Home Equity Mortgage Pass-Through Certificates, Series 2006-4, Class M-3 to BBB (high) from A (low)
--$1,569,235, Home Equity Mortgage Trust Series 2006-4, Home Equity Mortgage Pass-Through Certificates, Series 2006-4, Class M-6 to C from B
--$303,389,315, Home Equity Mortgage Trust 2006-5, Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class A-1 to AA from AAA
--$59,500,000, Home Equity Mortgage Trust 2006-5, Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class A-2 to AA from AAA
--$59,500,000, Home Equity Mortgage Trust 2006-5, Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class A-3 to AA from AAA
--$27,467,975, Home Equity Mortgage Trust 2006-5, Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class A-IO to AA from AAA
--$40,400,000, Home Equity Mortgage Trust 2006-5, Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class M-1 to "A" from AA (low)
--$33,200,000, Home Equity Mortgage Trust 2006-5, Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class M-2 to BBB (high) from "A"
--$18,000,000, Home Equity Mortgage Trust 2006-5, Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class M-3 to BBB (low) from BBB (high)
--$16,800,000, Home Equity Mortgage Trust 2006-5, Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class M-4 to BB (high) from BBB
--$16,000,000, Home Equity Mortgage Trust 2006-5, Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class M-5 to BB (low) from BBB (low)
--$9,726,693, Home Equity Mortgage Trust 2006-5, Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class M-6 to C from BB (low)
--$0, Home Equity Mortgage Trust 2006-5, Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class M-7 to C from B (low)
--$8,513,258, First Franklin Mortgage Loan Trust 2006-FFA, Mortgage Pass-Through Certificates, Series 2006-FFA, Class B1 to C from B
--$17,410,000, First Franklin Mortgage Loan Trust 2006-FFA, Mortgage Pass-Through Certificates, Series 2006-FFA, Class M6 to BBB (high) from A (low)
--$16,985,000, First Franklin Mortgage Loan Trust 2006-FFA, Mortgage Pass-Through Certificates, Series 2006-FFA, Class M7 to BBB from BBB (high)
--$14,862,000, First Franklin Mortgage Loan Trust 2006-FFA, Mortgage Pass-Through Certificates, Series 2006-FFA, Class M8 to BBB (low) from BBB
Note:
All figures are in U.S. dollars unless otherwise noted.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.
Ratings
| Issuer | Debt Rated | Rating Action | Rating | Trend | Notes | Published |
|---|---|---|---|---|---|---|
| Accredited Mortgage Loan Trust 2005-3 | Asset-Backed Notes, Series 2005-3, Class M-9 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| Accredited Mortgage Loan Trust 2005-3 | Asset-Backed Notes, Series 2005-3, Class M-8 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Accredited Mortgage Loan Trust 2005-3 | Asset-Backed Notes, Series 2005-3, Class M-7 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Accredited Mortgage Loan Trust 2005-4 | Asset-Backed Notes, Series 2005-4, Class M-9 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| Accredited Mortgage Loan Trust 2005-4 | Asset-Backed Notes, Series 2005-4, Class M-8 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Accredited Mortgage Loan Trust 2005-4 | Asset-Backed Notes, Series 2005-4, Class M-7 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Accredited Mortgage Loan Trust 2005-4 | Asset-Backed Notes, Series 2005-4, Class M-6 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2 | Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class M5 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2 | Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class M7 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2 | Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class M6 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2 | Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class M4 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2 | Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class M3 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2 | Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class M2 | Downgraded | A (high) (sf) | -- | Feb 20, 2008 | |
| Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2 | Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class M1 | Downgraded | AA (sf) | -- | Feb 20, 2008 | |
| Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4 | Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class M7 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4 | Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class M6 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4 | Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class M5 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4 | Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class M4 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4 | Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class M3 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4 | Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class M2 | Downgraded | A (high) (sf) | -- | Feb 20, 2008 | |
| C-BASS 2005-CB6 Trust | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB6, Class B-1 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| C-BASS 2005-CB6 Trust | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB6, Class M-5 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| C-BASS 2005-CB6 Trust | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB6, Class M-4 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| C-BASS 2005-CB6 Trust | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB6, Class M-3 | Downgraded | A (high) (sf) | -- | Feb 20, 2008 | |
| C-BASS 2005-CB6 Trust | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB6, Class M-2 | Downgraded | AA (low) (sf) | -- | Feb 20, 2008 | |
| C-BASS 2005-CB6 Trust | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB6, Class M-6 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| C-BASS 2006-CB4 TRUST | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB4, Class M-6 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| C-BASS 2006-CB4 TRUST | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB4, Class M-5 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| C-BASS 2006-CB4 TRUST | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB4, Class M-4 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| C-BASS 2006-CB4 TRUST | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB4, Class M-3 | Downgraded | A (high) (sf) | -- | Feb 20, 2008 | |
| C-BASS 2006-SL1 Trust | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class B-1 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| C-BASS 2006-SL1 Trust | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class M-6 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| C-BASS 2006-SL1 Trust | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class M-5 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| C-BASS 2006-SL1 Trust | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class M-4 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| C-BASS 2006-SL1 Trust | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class B-4 | Downgraded | C (sf) | -- | Feb 20, 2008 | |
| C-BASS 2006-SL1 Trust | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class B-3 | Downgraded | B (low) (sf) | -- | Feb 20, 2008 | |
| C-BASS 2006-SL1 Trust | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class B-2 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| C-BASS 2006-SL1 Trust | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class M-3 | Downgraded | A (high) (sf) | -- | Feb 20, 2008 | |
| C-BASS 2006-SL1 Trust | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-SL1, Class M-2 | Downgraded | AA (low) (sf) | -- | Feb 20, 2008 | |
| Citigroup Mortgage Loan Trust 2007-AMC1 | Asset-Backed Pass-Through Certificates, Series 2007-AMC1, Class M-8 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Citigroup Mortgage Loan Trust 2007-AMC1 | Asset-Backed Pass-Through Certificates, Series 2007-AMC1, Class M-7 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Citigroup Mortgage Loan Trust 2007-AMC1 | Asset-Backed Pass-Through Certificates, Series 2007-AMC1, Class M-6 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Citigroup Mortgage Loan Trust 2007-AMC1 | Asset-Backed Pass-Through Certificates, Series 2007-AMC1, Class M-5 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Citigroup Mortgage Loan Trust 2007-AMC1 | Asset-Backed Pass-Through Certificates, Series 2007-AMC1, Class M-4 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| Citigroup Mortgage Loan Trust 2007-AMC1 | Asset-Backed Pass-Through Certificates, Series 2007-AMC1, Class M-3 | Downgraded | A (high) (sf) | -- | Feb 20, 2008 | |
| Citigroup Mortgage Loan Trust 2007-AMC1 | Asset-Backed Pass-Through Certificates, Series 2007-AMC1, Class M-2 | Downgraded | AA (low) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Acceptance Corp. Adjustable Rate Mortgage Trust 2005-12 | Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-12, Class 5-M-3 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Acceptance Corp. Adjustable Rate Mortgage Trust 2005-12 | Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-12, Class 5-M-2 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Acceptance Corp. Adjustable Rate Mortgage Trust 2005-12 | Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-12, Class C-B-3 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Acceptance Corp. Adjustable Rate Mortgage Trust 2005-12 | Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-12, Class C-B-2 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Acceptance Corp. Adjustable Rate Mortgage Trust 2005-12 | Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-12, Class C-B-1 | Downgraded | AA (low) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Acceptance Corp. Adjustable Rate Mortgage Trust 2005-12 | Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-12, Class 5-M-1 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10 | Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 5-M-4 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10 | Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 5-M-3 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10 | Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 5-M-2 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9 | Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5-M-5 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9 | Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5-M-4 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9 | Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5-M-3 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8 | Home Equity Pass-Through Certificates, Series 2005-8, Class B-5 | Downgraded | B (low) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8 | Home Equity Pass-Through Certificates, Series 2005-8, Class B-4 | Downgraded | B (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8 | Home Equity Pass-Through Certificates, Series 2005-8, Class B-1 | Downgraded | BB (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8 | Home Equity Pass-Through Certificates, Series 2005-8, Class B-3 | Downgraded | B (high) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8 | Home Equity Pass-Through Certificates, Series 2005-8, Class B-2 | Downgraded | BB (low) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8 | Home Equity Pass-Through Certificates, Series 2005-8, Class M-8 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8 | Home Equity Pass-Through Certificates, Series 2005-8, Class M-7 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8 | Home Equity Pass-Through Certificates, Series 2005-8, Class M-6 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8 | Home Equity Pass-Through Certificates, Series 2005-8, Class M-5 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8 | Home Equity Pass-Through Certificates, Series 2005-8, Class M-4 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8 | Home Equity Pass-Through Certificates, Series 2005-8, Class M-3 | Downgraded | A (high) (sf) | -- | Feb 20, 2008 | |
| Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8 | Home Equity Pass-Through Certificates, Series 2005-8, Class M-2 | Downgraded | AA (low) (sf) | -- | Feb 20, 2008 | |
| CWABS Asset-Backed Certificates Trust 2006-SPS1 | Asset-Backed Certificates, Series 2006-SPS1, Class M-6 | Downgraded | C (sf) | -- | Feb 20, 2008 | |
| CWABS Asset-Backed Certificates Trust 2006-SPS1 | Asset-Backed Certificates, Series 2006-SPS1, Class M-5 | Downgraded | C (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust 2005-FF9 | Mortgage Pass-Through Certificates, Series 2005-FF9, Class M9 | Downgraded | B (high) (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust 2005-FF9 | Mortgage Pass-Through Certificates, Series 2005-FF9, Class M8 | Downgraded | BB (low) (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust 2005-FF9 | Mortgage Pass-Through Certificates, Series 2005-FF9, Class M7 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust 2005-FF9 | Mortgage Pass-Through Certificates, Series 2005-FF9, Class M3 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust 2005-FF9 | Mortgage Pass-Through Certificates, Series 2005-FF9, Class M6 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust 2005-FF9 | Mortgage Pass-Through Certificates, Series 2005-FF9, Class M5 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust 2005-FF9 | Mortgage Pass-Through Certificates, Series 2005-FF9, Class M4 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust 2005-FF9 | Mortgage Pass-Through Certificates, Series 2005-FF9, Class M2 | Downgraded | A (high) (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust 2005-FF9 | Mortgage Pass-Through Certificates, Series 2005-FF9, Class M1 | Downgraded | AA (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust 2006-FFA | Mortgage Pass-Through Certificates, Series 2006-FFA, Class B1 | Downgraded | C (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust 2006-FFA | Mortgage Pass-Through Certificates, Series 2006-FFA, Class M8 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust 2006-FFA | Mortgage Pass-Through Certificates, Series 2006-FFA, Class M7 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust 2006-FFA | Mortgage Pass-Through Certificates, Series 2006-FFA, Class M6 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust, Series 2004-FF10 | Asset-Backed Certificates, Series 2004-FF10, Class M-6 | Downgraded | B (high) (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust, Series 2004-FF10 | Asset-Backed Certificates, Series 2004-FF10, Class M-5 | Downgraded | BB (low) (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust, Series 2004-FF10 | Asset-Backed Certificates, Series 2004-FF10, Class M-4 | Downgraded | BB (low) (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust, Series 2004-FF10 | Asset-Backed Certificates, Series 2004-FF10, Class M-3 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust, Series 2004-FF10 | Asset-Backed Certificates, Series 2004-FF10, Class M-2 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| First Franklin Mortgage Loan Trust, Series 2004-FF10 | Asset-Backed Certificates, Series 2004-FF10, Class M-1 | Downgraded | AA (low) (sf) | -- | Feb 20, 2008 | |
| Home Equity Mortgage Trust 2006-5 | Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class M-7 | Downgraded | C (sf) | -- | Feb 20, 2008 | |
| Home Equity Mortgage Trust 2006-5 | Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class M-6 | Downgraded | C (sf) | -- | Feb 20, 2008 | |
| Home Equity Mortgage Trust 2006-5 | Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class M-5 | Downgraded | BB (low) (sf) | -- | Feb 20, 2008 | |
| Home Equity Mortgage Trust 2006-5 | Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class A-IO | Downgraded | AA (sf) | -- | Feb 20, 2008 | |
| Home Equity Mortgage Trust 2006-5 | Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class A-3 | Downgraded | AA (sf) | -- | Feb 20, 2008 | |
| Home Equity Mortgage Trust 2006-5 | Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class A-2 | Downgraded | AA (sf) | -- | Feb 20, 2008 | |
| Home Equity Mortgage Trust 2006-5 | Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class A-1 | Downgraded | AA (sf) | -- | Feb 20, 2008 | |
| Home Equity Mortgage Trust 2006-5 | Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class M-4 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| Home Equity Mortgage Trust 2006-5 | Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class M-3 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Home Equity Mortgage Trust 2006-5 | Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class M-2 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Home Equity Mortgage Trust 2006-5 | Home Equity Mortgage Pass-Through Certificates, Series 2006-5, Class M-1 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| Home Equity Mortgage Trust Series 2006-4 | Home Equity Mortgage Pass-Through Certificates, Series 2006-4, Class M-6 | Downgraded | C (sf) | -- | Feb 20, 2008 | |
| Home Equity Mortgage Trust Series 2006-4 | Home Equity Mortgage Pass-Through Certificates, Series 2006-4, Class M-3 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Home Equity Mortgage Trust Series 2006-4 | Home Equity Mortgage Pass-Through Certificates, Series 2006-4, Class M-2 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Home Equity Mortgage Trust Series 2006-4 | Home Equity Mortgage Pass-Through Certificates, Series 2006-4, Class M-1 | Downgraded | AA (sf) | -- | Feb 20, 2008 | |
| Impac CMB Trust Series 2005-3 | Collateralized Asset-Backed Bonds, Series 2005-3, Class M-4 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Impac CMB Trust Series 2005-3 | Collateralized Asset-Backed Bonds, Series 2005-3, Class M-3 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| Impac CMB Trust Series 2005-3 | Collateralized Asset-Backed Bonds, Series 2005-3, Class B | Downgraded | BB (low) (sf) | -- | Feb 20, 2008 | |
| Impac CMB Trust Series 2005-3 | Collateralized Asset-Backed Bonds, Series 2005-3, Class M-6 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Impac CMB Trust Series 2005-3 | Collateralized Asset-Backed Bonds, Series 2005-3, Class M-5 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Lehman XS Trust 2006-5 | Mortgage Pass-Through Certificates, Series 2006-5, Class M8 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Lehman XS Trust 2006-5 | Mortgage Pass-Through Certificates, Series 2006-5, Class M7 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Lehman XS Trust 2006-5 | Mortgage Pass-Through Certificates, Series 2006-5, Class M6 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Lehman XS Trust 2006-5 | Mortgage Pass-Through Certificates, Series 2006-5, Class M5 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Lehman XS Trust 2006-5 | Mortgage Pass-Through Certificates, Series 2006-5, Class M4 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| Morgan Stanley ABS Capital I Inc. Trust 2005-WMC3 | Mortgage Pass-Through Certificates, Series 2005-WMC3, Class B-3 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR3 | Mortgage Pass-Through Certificates, Series 2005-AR3, Class M-5 | Downgraded | BB (low) (sf) | -- | Feb 20, 2008 | |
| Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR3 | Mortgage Pass-Through Certificates, Series 2005-AR3, Class M-3 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR3 | Mortgage Pass-Through Certificates, Series 2005-AR3, Class M-4 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3 | Asset-Backed Certificates, Series 2007-3, Class M-9 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3 | Asset-Backed Certificates, Series 2007-3, Class M-8 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3 | Asset-Backed Certificates, Series 2007-3, Class M-7 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3 | Asset-Backed Certificates, Series 2007-3, Class M-6 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3 | Asset-Backed Certificates, Series 2007-3, Class M-5 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3 | Asset-Backed Certificates, Series 2007-3, Class M-4 | Downgraded | A (high) (sf) | -- | Feb 20, 2008 | |
| ResMAE Mortgage Loan Trust 2006-1 | Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-3 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| ResMAE Mortgage Loan Trust 2006-1 | Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-2 | Downgraded | A (high) (sf) | -- | Feb 20, 2008 | |
| ResMAE Mortgage Loan Trust 2006-1 | Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-1 | Downgraded | AA (sf) | -- | Feb 20, 2008 | |
| ResMAE Mortgage Loan Trust 2006-1 | Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-8 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| ResMAE Mortgage Loan Trust 2006-1 | Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-7 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| ResMAE Mortgage Loan Trust 2006-1 | Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-6 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| ResMAE Mortgage Loan Trust 2006-1 | Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-5 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| ResMAE Mortgage Loan Trust 2006-1 | Asset-Backed Pass-Through Certificates, Series 2006-1, Class M-4 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2005-HE1 | Mortgage Pass-Through Certificates, Series 2005-HE1, Class M-2 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2005-HE1 | Mortgage Pass-Through Certificates, Series 2005-HE1, Class B-4 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2005-HE1 | Mortgage Pass-Through Certificates, Series 2005-HE1, Class B-2 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2005-HE1 | Mortgage Pass-Through Certificates, Series 2005-HE1, Class B-1 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2005-HE1 | Mortgage Pass-Through Certificates, Series 2005-HE1, Class M-3 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2005-HE1 | Mortgage Pass-Through Certificates, Series 2005-HE1, Class B-3 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-FR1 | Mortgage Pass-Through Certificates, Series 2006-FR1, Class M-2 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-HE2 | Mortgage Pass-Through Certificates, Series 2006-HE2, Class M-5 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-HE2 | Mortgage Pass-Through Certificates, Series 2006-HE2, Class M-4 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-HE2 | Mortgage Pass-Through Certificates, Series 2006-HE2, Class M-3 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-HE2 | Mortgage Pass-Through Certificates, Series 2006-HE2, Class M-2 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-HE2 | Mortgage Pass-Through Certificates, Series 2006-HE2, Class M-1 | Downgraded | AA (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-NC2 | Mortgage Pass-Through Certificates, Series 2006-NC2, Class M-3 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-NC2 | Mortgage Pass-Through Certificates, Series 2006-NC2, Class M-2 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-NC2 | Mortgage Pass-Through Certificates, Series 2006-NC2, Class M-1 | Downgraded | A (high) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-NC3 | Mortgage Pass-Through Certificates, Series 2006-NC3, Class M-5 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-NC3 | Mortgage Pass-Through Certificates, Series 2006-NC3, Class M-4 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-NC3 | Mortgage Pass-Through Certificates, Series 2006-NC3, Class M-3 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-NC3 | Mortgage Pass-Through Certificates, Series 2006-NC3, Class M-2 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-NC3 | Mortgage Pass-Through Certificates, Series 2006-NC3, Class M-1 | Downgraded | AA (low) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-WM1 | Mortgage Pass-Through Certificates, Series 2006-WM1, Class M-2 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2006-WM1 | Mortgage Pass-Through Certificates, Series 2006-WM1, Class M-1 | Downgraded | A (high) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2007-NC1 | Mortgage Pass-Through Certificates, Series 2007-NC1, Class B-3 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2007-NC1 | Mortgage Pass-Through Certificates, Series 2007-NC1, Class B-2 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2007-NC1 | Mortgage Pass-Through Certificates, Series 2007-NC1, Class B-1 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2007-NC1 | Mortgage Pass-Through Certificates, Series 2007-NC1, Class M-6 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2007-NC1 | Mortgage Pass-Through Certificates, Series 2007-NC1, Class M-5 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2007-NC1 | Mortgage Pass-Through Certificates, Series 2007-NC1, Class M-4 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2007-NC1 | Mortgage Pass-Through Certificates, Series 2007-NC1, Class M-3 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2007-NC1 | Mortgage Pass-Through Certificates, Series 2007-NC1, Class M-2 | Downgraded | A (high) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2007-NC2 | Mortgage Pass-Through Certificates, Series 2007-NC2, Class B-3 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2007-NC2 | Mortgage Pass-Through Certificates, Series 2007-NC2, Class B-2 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2007-NC2 | Mortgage Pass-Through Certificates, Series 2007-NC2, Class B-1 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset Backed Receivables LLC Trust 2007-NC2 | Mortgage Pass-Through Certificates, Series 2007-NC2, Class M-6 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Securitized Asset-Backed Receivables LLC Trust 2005-EC1 | Mortgage Pass-Through Certificates, Series 2005-EC1, Class M-3 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| SG Mortgage Securities Trust 2006-OPT2 | Asset-Backed Certificates, Series 2006-OPT2, Class M-6 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| SG Mortgage Securities Trust 2006-OPT2 | Asset-Backed Certificates, Series 2006-OPT2, Class M-5 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| SG Mortgage Securities Trust 2006-OPT2 | Asset-Backed Certificates, Series 2006-OPT2, Class M-4 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| SG Mortgage Securities Trust 2006-OPT2 | Asset-Backed Certificates, Series 2006-OPT2, Class M-3 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| SG Mortgage Securities Trust 2006-OPT2 | Asset-Backed Certificates, Series 2006-OPT2, Class M-2 | Downgraded | A (high) (sf) | -- | Feb 20, 2008 | |
| Structured Asset Investment Loan Trust, Series 2004-11 | Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class B | Downgraded | BB (low) (sf) | -- | Feb 20, 2008 | |
| Structured Asset Investment Loan Trust, Series 2004-11 | Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-9 | Downgraded | BB (sf) | -- | Feb 20, 2008 | |
| Structured Asset Investment Loan Trust, Series 2004-11 | Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-8 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2005-S5 | Mortgage Pass-Through Certificates, Series 2005-S5, Class M5 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2005-S5 | Mortgage Pass-Through Certificates, Series 2005-S5, Class M4 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2 | Mortgage Pass-Through Certificates, Series 2006-S2, Class B2 | Downgraded | C (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2 | Mortgage Pass-Through Certificates, Series 2006-S2, Class B1 | Downgraded | B (low) (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2 | Mortgage Pass-Through Certificates, Series 2006-S2, Class M8 | Downgraded | BB (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2 | Mortgage Pass-Through Certificates, Series 2006-S2, Class M9 | Downgraded | BB (low) (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2 | Mortgage Pass-Through Certificates, Series 2006-S2, Class M7 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2 | Mortgage Pass-Through Certificates, Series 2006-S2, Class M6 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2 | Mortgage Pass-Through Certificates, Series 2006-S2, Class M5 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2 | Mortgage Pass-Through Certificates, Series 2006-S2, Class M4 | Downgraded | A (low) (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2 | Mortgage Pass-Through Certificates, Series 2006-S2, Class M3 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2 | Mortgage Pass-Through Certificates, Series 2006-S2, Class M2 | Downgraded | AA (low) (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2 | Mortgage Pass-Through Certificates, Series 2007-BC2, Class M9 | Downgraded | BB (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2 | Mortgage Pass-Through Certificates, Series 2007-BC2, Class M8 | Downgraded | BB (high) (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2 | Mortgage Pass-Through Certificates, Series 2007-BC2, Class M7 | Downgraded | BBB (low) (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2 | Mortgage Pass-Through Certificates, Series 2007-BC2, Class M4 | Downgraded | A (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2 | Mortgage Pass-Through Certificates, Series 2007-BC2, Class M2 | Downgraded | AA (low) (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2 | Mortgage Pass-Through Certificates, Series 2007-BC2, Class M6 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2 | Mortgage Pass-Through Certificates, Series 2007-BC2, Class M5 | Downgraded | BBB (high) (sf) | -- | Feb 20, 2008 | |
| Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2 | Mortgage Pass-Through Certificates, Series 2007-BC2, Class M3 | Downgraded | A (high) (sf) | -- | Feb 20, 2008 | |
| SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1 | Asset-Backed Pass-Through Certificates, Series 2007-1, Class M-4 | Downgraded | C (sf) | -- | Feb 20, 2008 | |
| SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1 | Asset-Backed Pass-Through Certificates, Series 2007-1, Class M-3 | Downgraded | C (sf) | -- | Feb 20, 2008 | |
| SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1 | Asset-Backed Pass-Through Certificates, Series 2007-1, Class M-2 | Downgraded | B (low) (sf) | -- | Feb 20, 2008 | |
| SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1 | Asset-Backed Pass-Through Certificates, Series 2007-1, Class M-1 | Downgraded | BBB (sf) | -- | Feb 20, 2008 | |
| Terwin Mortgage Trust 2004-9HE | Asset-Backed Certificates, Series 2004-9HE, Class B-1 | Downgraded | BBB (sf) | -- | Feb 20, 2008 |