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July 11, 2007
S&PCORRECT: 612 U.S. Subprime RMBS
Classes Put On Watch Neg; Methodology
Revisions Announced
Primary Credit Analysts:
Susan E Barnes, New York (1) 212-438-2394; susan_barnes@standardandpoors.com
Robert B Pollsen, New York (1) 212-438-2577; robert_pollsen@standardandpoors.com
Ernestine Warner, New York (1) 212-438-2633; ernestine_warner@standardandpoors.com
Secondary Credit Analysts:
Michael Stock, New York (1) 212-438-2611; michael_stock@standardandpoors.com
Monica Perelmuter, New York (1) 212-438-6309; monica_perelmuter@standardandpoors.com
Martin Kennedy, New York (1) 212-438-2509; martin_kennedy@standardandpoors.com
Global Practice Leader-ABS/RMBS Ratings:
Rosario Buendia, Global Practice Leader-ABS/RMBS Ratings, New York (1) 212-438-2410;
rosario_buendia@standardandpoors.com
Chief Quality Officer-SF Ratings:
Thomas G Gillis, Chief Quality Officer-SF Ratings, New York (1) 212-438-2468; tom_gillis@standardandpoors.com
(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
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S&PCORRECT: 612 U.S. Subprime RMBS Classes Put On Watch Neg; Methodology Revisions Announced
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
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S&PCORRECT: 612 U.S. Subprime RMBS Classes Put On Watch Neg; Methodology Revisions Announced
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
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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
balance ($)
2/1 ARM
(all loans)
2005-Q4
138,888,212,337
64
2006-Q1
108,014,850,161
70
2006-Q2
121,149,551,887
70
2006-Q3
98,332,355,370
62
2006-Q4
98,965,073,697
60
Reset quarter
2007-Q3
2007-Q4
2008-Q1
2008-Q2
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
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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 60or 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
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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 RatingsDirect | July 11, 2007
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S&PCORRECT: 612 U.S. Subprime RMBS Classes Put On Watch Neg; Methodology Revisions Announced
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
2006-1
2006-1
Class
M10
M11
To
BBB/Watch Neg
BBB-/Watch Neg
From
BBB
BBB-
Class
B1
B2
Rating
To
BB+/Watch Neg
BB/Watch Neg
From
BB+
BB
ABFC Trust
Series
2005-WMC1
2005-WMC1
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
BBB2005-HE6
B1
BB+/Watch Neg
BB+
2006-ASAP3 M8, M9, M10 BBB/Watch Neg
BBB
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2006-ASAP3
2006-ASAP4
2006-FM1
2006-FM1
2006-FM1
2006-FM1
2006-FM2
2006-FM2
2006-FM2
2006-FM2
2006-HE1
2006-HE1
2006-HE1
2006-HE2
2006-HE2
2006-HE2
2006-HE3
2006-HE3
2006-HE3
2006-HE3
2006-HE3
2006-HE4
2006-HE4
2006-HE4
2006-HE4
2006-NC2
2006-NC2
2006-NC2
M11
M11
M7
M8
M9
M10
M7
M8
M9
M10
M8
M9
M10
M9
M10
M11
M7
M8
M9
M10
M11
M8
M9
M10
M11
M9
M10
M11
BBB/Watch Neg
BBB/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
A+/Watch Neg
A/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
BBB
BBB
BBB+
BBB
BBBBB+
BBB+
BBB
BBBBB+
ABBB+
BBB
BBBBBBBB+
A+
A
BBB+
BBB
BBBBBB+
BBB
BBBBB+
BBBBB+
BB
Aegis Asset Backed Securities Trust
Rating
Series
Class
To
2005-5
M6, B1
A+/Watch Neg
2005-5
B2
A/Watch Neg
2005-5
B3
BBB+/Watch Neg
2005-5
B4
BBB/Watch Neg
2005-5
B6
BB+/Watch Neg
From
A+
A
BBB+
BBB
BB+
American Home Mortgage Investment Trust
Rating
Series
Class
To
2005-3
B
BBB/Watch Neg
2006-2
II-M-4
A+/Watch Neg
2006-2
III-M-1
AA/Watch Neg
2006-2
III-M-2
A+/Watch Neg
2006-2
III-M-3
A+/Watch Neg
2006-2
III-M-4
A-/Watch Neg
2006-2
III-M-5
BBB+/Watch Neg
2006-2
IV-M-1
AA/Watch Neg
2006-2
IV-M-2
A/Watch Neg
From
BBB
A+
AA
A+
A+
ABBB+
AA
A
Standard & Poor’s RatingsDirect | July 11, 2007
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2006-2
2006-2
2006-2
IV-M-3
IV-M-4
IV-M-5
BBB+/Watch Neg
BBB/Watch Neg
BBB/Watch Neg
BBB+
BBB
BBB
Rating
To
BBB/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BBB/Watch Neg
A+/Watch Neg
A/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
A/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BBB+/Watch Neg
BBB-/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
A/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB-/Watch Neg
BBB-/Watch Neg
AA-/Watch Neg
A+/Watch Neg
A/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
From
BBB
BBB
BBBBB+
BBB+
BBB
BBBBBB
A+
A
ABBB+
BBB
A
ABBB+
BBB
ABBB+
BBB
BBBBB+
BBB+
BBBBBB
BBBBB+
A
ABBB+
BBBBBBAAA+
A
ABBB+
Argent Securities Trust
Series
2005-W2
2005-W2
2005-W2
2005-W2
2005-W3
2005-W3
2005-W3
2005-W4
2006-4
2006-4
2006-4
2006-4
2006-4
2006-M1
2006-M1
2006-M1
2006-M1
2006-M2
2006-M2
2006-M2
2006-M2
2006-M2
2006-W1
2006-W1
2006-W2
2006-W2
2006-W2
2006-W3
2006-W3
2006-W3
2006-W3
2006-W3
2006-W5
2006-W5
2006-W5
2006-W5
2006-W5
Class
M-10
M-11
M-12
M-13
M-10
M-11
M-12
M-8
M-5
M-6
M-7
M-8
M-9
M-7
M-8
M-9
M-10
M-6
M-7
M-8
M-9
M-10
M-9
M-10
M-8
M-9
M-10
M-6
M-7
M-8
M-9
M-10
M-5
M-6
M-7
M-8
M-9
Asset Backed Securities Corporation Home
Rating
Series
Class
To
NC2005-HE8 M10
BB+/Watch Neg
NC2005-HE8 M11
BB/Watch Neg
Equity Loan Trust
From
BB+
BB
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2006-HE1
NC2006-HE2
NC2006-HE2
NC2006-HE2
NC2006-HE4
NC2006-HE4
NC2006-HE4
NC2006-HE4
M12
M9
M10
M11
M6
M7
M8
M9
BB+/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB+
BBBBB+
BB
BBB+
BBB
BBBBB+
Bear Sterns Asset Backed Securities I Trust
Rating
Series
Class
To
From
2005-CL1
M-6
A-/Watch Neg
A2005-CL1
M-7
BBB+/Watch Neg
BBB+
2005-CL1
M-8
BBB/Watch Neg
BBB
2005-CL1
M-9
BBB-/Watch Neg
BBB2005-CL1
M-10
BB/Watch Neg
BB
2006-EC2
M-10
BB+/Watch Neg
BB+
2006-HE3
M9
BBB-/Watch Neg
BBB2006-HE3
M10
BB+/Watch Neg
BB+
2006-HE4
M8
BBB/Watch Neg
BBB
2006-HE4
M9
BBB-/Watch Neg
BBB2006-HE4
M10
BB+/Watch Neg
BB+
2006-HE5
M9
BBB-/Watch Neg
BBB2006-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
BBB2006-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
Series
2006-1
2006-1
2006-1
Class
M9
M10
M11
Rating
To
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
From
BBBBB+
BB
Carrington Mortgage Loan Trust
Series
2005-FRE1
2005-FRE1
2005-FRE1
2005-FRE1
Class
M10
M11
M12
M13
Rating
To
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
From
BBB
BBBBB+
BB
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2006-NC2
2006-NC2
M9
M10
BBB-/Watch Neg
BB+/Watch Neg
BBBBB+
Citigroup Mortgage Loan Trust
Series
2005-HE3
2005-HE3
2005-HE3
2005-HE4
2005-HE4
2005-HE4
2005-HE4
2005-HE4
2005-OPT4
2005-OPT4
2006-AR6
2006-AR6
2006-CB3
2006-CB3
2006-CB3
2006-CB3
2006-HE1
2006-HE1
2006-HE2
2006-HE2
2006-HE2
2006-HE2
2006-NC1
2006-NC1
2006-NC1
2006-NC1
2006-NC2
2006-NC2
2006-NC2
2006-WF1
2006-WF1
2006-WF1
2006-WF2
2006-WF2
2006-WF2
2006-WF2
2006-WMC1
2006-WMC1
2006-WMC1
Class
M11
M12
M13
M8
M9
M10
M11
M12
M12
M13
2-M3
2-M4
M6
B1
B2
B3
M10
M11
M7
M8
M9
M10
M8
M9
M10
M11
M9
M10
M11
M-3
M-4
M-5
M-2
M-3
M-4
M-5
M9
M10
M11
Rating
To
BB+/Watch Neg
BB/Watch Neg
BB/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
BB+/Watch Neg
BB/Watch Neg
A/Watch Neg
BBB/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
A/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
CWABS Asset-Backed Certificates Trust
Rating
Series
Class
To
2005-9
M-5
A/Watch Neg
From
BB+
BB
BB
BBB+
BBB
BBBBB+
BB
BB+
BB
A
BBB
ABBB+
BBB
BBBBB+
BB
BBB+
BBB
BBBBB+
BBB
BBBBB+
BB
BBBBB+
BB
BBB
BBBBB+
A
BBB
BBBBB+
BBBBB+
BB
From
A
www.standardandpoors.com/ratingsdirect
© Standard & Poor's. All rights reserved. No reprint or dissemination without Standard & Poor's permission. See Terms of Use/Disclaimer on the last page.
11
590247 | 300033677
S&PCORRECT: 612 U.S. Subprime RMBS Classes Put On Watch Neg; Methodology Revisions Announced
2005-9
2005-9
2005-IM2
2005-IM2
2006-5
2006-5
2006-6
2006-6
2006-6
2006-7
2006-7
2006-7
2006-8
2006-10
2006-10
M-6
M-7
M6
M7
M8
B
M7
M8
B
M8
M9
B
B
MV-9
BV
A-/Watch Neg
BBB+/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB+/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
ABBB+
ABBB+
BBB
BBBBBB
BBBBB+
BBB
BBBBB+
BB+
BBBBB+
Encore Credit Receivables Trust
Rating
Series
2005-4
2005-4
Class
M-11
M-12
To
BB+/Watch Neg
BB-/Watch Neg
From
BB+
BB-
FBR Securitization Trust
Rating
To
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BBB-/Watch Neg
BBB-/Watch Neg
From
BBB+
BBB
BBBBBBBBB-
Fieldstone Mortgage Investment Trust
Rating
Series
Class
To
2006-1
M8
A-/Watch Neg
2006-1
M9, M10
BBB/Watch Neg
From
ABBB
First Franklin Mortgage Loan Trust
Rating
Series
Class
To
2006-FF2
M8, M9
BBB-/Watch Neg
2006-FF2
B
BB+/Watch Neg
2006-FF5
M-9, M-10
BBB-/Watch Neg
2006-FF5
M-11
BB/Watch Neg
2006-FF7
M-8
BBB/Watch Neg
2006-FF7
M-9
BBB-/Watch Neg
2006-FF7
M-10
BB+/Watch Neg
2006-FF8
M-9
BBB/Watch Neg
2006-FF8
M-10
BBB-/Watch Neg
2006-FF8
M-11, M-12 BB+/Watch Neg
From
BBBBB+
BBBBB
BBB
BBBBB+
BBB
BBBBB+
Series
2005-3
2005-3
2005-3
2005-4
2005-5
Class
M-7
M-8
M-9
M-12
M-12
Standard & Poor’s RatingsDirect | July 11, 2007
© Standard & Poor's. All rights reserved. No reprint or dissemination without Standard & Poor's permission. See Terms of Use/Disclaimer on the last page.
12
590247 | 300033677
S&PCORRECT: 612 U.S. Subprime RMBS Classes Put On Watch Neg; Methodology Revisions Announced
2006-FF9
2006-FF10
2006-FF10
2006-FF10
M-10
M-9
B-1
B-2
BBB-/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
BBBBBBBB+
BB
Fremont Home Loan Trust
Rating
To
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BBB-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
From
BBB+
BBB
BBBBB+
BBB
BBBBBBBBB+
BBB
BBBBB+
BB+
BBB
BBBBB+
ABBB+
BBB
BBBBBBBB+
BB
GE-WMC Mortgage Securities Trust
Rating
Series
Class
To
2006-1
M6
A/Watch Neg
2006-1
B1
A-/Watch Neg
2006-1
B2
BBB+/Watch Neg
2006-1
B3
BBB/Watch Neg
2006-1
B4
BBB-/Watch Neg
2006-1
B5
BBB-/Watch Neg
From
A
ABBB+
BBB
BBBBBB-
Series
2005-D
2005-D
2005-D
2005-D
2005-E
2005-E
2005-E
2006-1
2006-1
2006-1
2006-1
2006-2
2006-A
2006-A
2006-A
2006-B
2006-B
2006-B
2006-B
2006-C
2006-C
2006-C
Class
B1
B2
B3
B4
B1
B2-A, B2-B
B2-C, B2-D
M7
M8
M9
B1, B2
B1, B2
M7
M8, M9
M10
M6
M7
M8, M9
M10
M9
M10
M11
GSAA Home Equity Trust
Series
2006-5
2006-5
Class
B-2
B-3
Rating
To
BBB-/Watch Neg
BB/Watch Neg
From
BBBBB
GSAMP Trust
Rating
Series
Class
To
From
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13
590247 | 300033677
S&PCORRECT: 612 U.S. Subprime RMBS Classes Put On Watch Neg; Methodology Revisions Announced
2005-AHL2
2005-AHL2
2005-AHL2
2006-FM1
2006-FM1
2006-FM1
2006-FM2
2006-NC2
2006-NC2
2006-NC2
B-2
B-3
B-4
M7
B1
B2, B3
B2
M8
M9,B-1
B-2
BBB-/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BBBBBBBB+
ABBB+
BBBBB+
BBB
BBBBB+
Rating
To
BBB-/Watch Neg
BB+/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB+/Watch Neg
From
BBBBB+
BBBBB+
BBBBB+
BB
BBB
BBBBBB
BBBBB+
BB+
Home Equity Asset Trust
Series
2005-7
2005-7
2005-8
2005-8
2006-2
2006-2
2006-2
2006-5
2006-5
2006-6
2006-6
2006-6
2006-7
Class
B3
B4, B5
B3, B4
B5
B3
B4
B5
B2
B3
B2
B3
B4
B3
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
BBB2005-D
M9
BBB/Watch Neg
BBB
2006-A
M9
BBB+/Watch Neg
BBB+
2006-A
M10
BBB-/Watch Neg
BBB2006-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
BBBHSI Asset Securitization Corp. Trust
Rating
Series
Class
To
2005-I1
M6
A-/Watch Neg
2006-OPT4
M10
BB/Watch Neg
2006-WMC1
M6
A/Watch Neg
2006-WMC1
M7
BBB+/Watch Neg
2006-WMC1
M8
BBB/Watch Neg
From
ABB
A
BBB+
BBB
Standard & Poor’s RatingsDirect | July 11, 2007
© Standard & Poor's. All rights reserved. No reprint or dissemination without Standard & Poor's permission. See Terms of Use/Disclaimer on the last page.
14
590247 | 300033677
S&PCORRECT: 612 U.S. Subprime RMBS Classes Put On Watch Neg; Methodology Revisions Announced
2006-WMC1
M9
BBB-/Watch Neg
BBB-
IndyMac INDB Mortgage Loan Trust
Rating
Series
Class
To
2006-1
B1
A/Watch Neg
2006-1
B2
A-/Watch Neg
2006-1
B3
BBB+/Watch Neg
2006-1
B4
BBB/Watch Neg
From
A
ABBB+
BBB
IXIS Real Estate Capital Trust
Rating
To
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
From
BBB+
BBB
BBBABBB+
BBB
BBBBBBBB+
J.P. Morgan Mortgage Acquisition Trust
Rating
Series
Class
To
2006-ACC1
M11
BB/Watch Neg
2006-FRE1
M10
BB+/Watch Neg
2006-FRE1
M11
BB/Watch Neg
2006-FRE2
M10
BB+/Watch Neg
2006-FRE2
M11
BB/Watch Neg
2006-HE1
M11
BB/Watch Neg
2006-NC1
M10
BB+/Watch Neg
2006-NC1
M11
BB/Watch Neg
2006-RM1
M9
BBB-/Watch Neg
2006-RM1
M10
BB+/Watch Neg
2006-WM1
M7
BBB/Watch Neg
2006-WF1
M8
BBB-/Watch Neg
2006-WF1
M9
BB+/Watch Neg
From
BB
BB+
BB
BB+
BB
BB
BB+
BB
BBBBB+
BBB
BBBBB+
Series
2006-HE1
2006-HE1
2006-HE1
2006-HE2
2006-HE2
2006-HE2
2006-HE2
2006-HE3
2006-HE3
Class
B2
B3
B4
B1
B2
B3
B4
B3, B4
B5
Lehman XS Trust
Series
2006-7
2006-7
2006-7
2006-7
Class
M6
M7
M-8
M9
Rating
To
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
From
ABBB+
BBB
BBB-
Long Beach Mortgage Loan Trust
Rating
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© Standard & Poor's. All rights reserved. No reprint or dissemination without Standard & Poor's permission. See Terms of Use/Disclaimer on the last page.
15
590247 | 300033677
S&PCORRECT: 612 U.S. Subprime RMBS Classes Put On Watch Neg; Methodology Revisions Announced
Series
2005-3
2005-WL3
2006-1
2006-1
2006-1
2006-1
2006-1
2006-2
2006-2
2006-2
2006-2
2006-2
2006-2
2006-3
2006-3
2006-3
2006-3
2006-3
2006-3
2006-4
2006-4
2006-4
2006-4
2006-4
2006-4
2006-5
2006-5
2006-5
2006-5
2006-6
2006-6
2006-6
2006-7
2006-7
2006-7
2006-WL2
2006-WL2
2006-WL2
2006-WL2
2006-WL3
2006-WL3
Class
M8
B2
M7
M8
M9
M10
M11
M6
M7
M8
M9
M10
B
M6
M7
M8
M9
M10
B
M7
M8
M9
M10
M11
B
M8, M9
M10
B-1
B-2
M9
M10
M11
M9
M10
M11
M9
B1
B2
B3
M8
M9
To
BBB/Watch Neg
BB+/Watch Neg
A/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
A/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB/Watch Neg
A+/Watch Neg
A/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
A/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB+/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
BB-/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
From
BBB
BB+
A
ABBB+
BBB
BBBA
ABBB+
BBB
BBBBB
A+
A
ABBB+
BBB
BBBA
ABBB+
BBB+
BBBBB+
BBB+
BBB
BBBBB+
BBB+
BBB
BBBBBB+
BBB
BBBBBBBB+
BB
BBBBB
BBB-
Rating
To
BBB/Watch Neg
BBB-/Watch Neg
BB/Watch Neg
From
BBB
BBBBB
Luminent Mortgage Trust
Series
2005-1
2005-1
2005-1
Class
B4
B5
B6
Standard & Poor’s RatingsDirect | July 11, 2007
© Standard & Poor's. All rights reserved. No reprint or dissemination without Standard & Poor's permission. See Terms of Use/Disclaimer on the last page.
16
590247 | 300033677
S&PCORRECT: 612 U.S. Subprime RMBS Classes Put On Watch Neg; Methodology Revisions Announced
MASTR Asset Backed Securities Trust
Rating
Series
Class
To
2005-FRE1
M8
BBB/Watch Neg
2005-FRE1
M9
BBB-/Watch Neg
2005-FRE1
M10
BB+/Watch Neg
2005-HE2
M10
BBB-/Watch Neg
2005-HE2
M11
BB+/Watch Neg
2005-NC2
M9
A/Watch Neg
2005-NC2
M10
A-/Watch Neg
2005-NC2
M11, M12
BBB+/Watch Neg
2006-AM1
M12
BBB/Watch Neg
2006-AM2
M10
BBB+/Watch Neg
2006-AM2
M11
BBB/Watch Neg
2006-FRE1
M6
A-/Watch Neg
2006-FRE2
M6
A-/Watch Neg
2006-FRE2
M7
BBB+/Watch Neg
2006-FRE2
M8
BBB/Watch Neg
2006-HE1
M-9
A/Watch Neg
2006-HE1
M-10
A-/Watch Neg
2006-HE1
M-11
BBB/Watch Neg
2006-HE2
M6
A/Watch Neg
2006-HE2
M7
BBB+/Watch Neg
2006-HE2
M8
BBB/Watch Neg
2006-HE2
M9
BBB-/Watch Neg
2006-HE2
M10
BB+/Watch Neg
2006-HE3
M10
BB+/Watch Neg
2006-HE3
M11
BB/Watch Neg
2006-NC2
M10
BB+/Watch Neg
2006-NC2
M11
BB/Watch Neg
2006-WMC2
M6
A/Watch Neg
2006-WMC2
M7
BBB+/Watch Neg
2006-WMC2
M8
BBB/Watch Neg
2006-WMC3
M10
BB+/Watch Neg
From
BBB
BBBBB+
BBBBB+
A
ABBB+
BBB
BBB+
BBB
AABBB+
BBB
A
ABBB
A
BBB+
BBB
BBBBB+
BB+
BB
BB+
BB
A
BBB+
BBB
BB+
Merrill Lynch Mortgage Investors Trust
Rating
Series
Class
To
2005-HE2
M5
A/Watch Neg
2005-HE2
M6
A-/Watch Neg
2005-HE2
B1
BBB+/Watch Neg
2005-HE2
B2
BBB/Watch Neg
2006-AHL1
B2
BBB/Watch Neg
2006-AHL1
B3
BBB-/Watch Neg
2006-AR1
B1
BBB+/Watch Neg
2006-AR1
B2
BBB+/Watch Neg
2006-AR1
B3
BBB/Watch Neg
2006-FM1
B1
BBB+/Watch Neg
2006-FM1
B2
BBB/Watch Neg
2006-FM1
B3
BBB-/Watch Neg
From
A
ABBB+
BBB
BBB
BBBBBB+
BBB+
BBB
BBB+
BBB
BBB-
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17
590247 | 300033677
S&PCORRECT: 612 U.S. Subprime RMBS Classes Put On Watch Neg; Methodology Revisions Announced
2006-MLN1
2006-RM2
2006-RM2
2006-RM2
2006-RM2
2006-RM4
2006-RM4
B4
B1
B2
B3
B4
B3
B4
BB+/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB+
ABBB+
BBB
BBBBBBBB+
Morgan Stanley Capital I Inc. Trust
Rating
Series
Class
To
2006-NC2
B3
BBB-/Watch Neg
2006-HE2
B3
BBB/Watch Neg
From
BBBBBB
Morgan Stanley ABS Capital I Inc. Trust
Rating
Series
Class
To
2006-NC3
B2
BBB/Watch Neg
2006-NC3
B3
BBB-/Watch Neg
2006-NC4
B2
BBB/Watch Neg
2006-NC4
B3
BBB-/Watch Neg
2006-HE3
B2
BBB/Watch Neg
2006-HE3
B3
BBB-/Watch Neg
2006-HE4
B3
BBB-/Watch Neg
2006-HE6
B2
BBB/Watch Neg
2006-HE6
B3
BBB-/Watch Neg
2006-WMC2
B3
BBB-/Watch Neg
From
BBB
BBBBBB
BBBBBB
BBBBBBBBB
BBBBBB-
Morgan Stanley Home Equity Loan Trust
Rating
Series
Class
To
2006-3
B3
BBB-/Watch Neg
From
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
BBBNew Century Home Equity Loan Trust
Rating
Series
Class
To
2006-1
M7
BBB+/Watch Neg
2006-1
M8
BBB/Watch Neg
2006-1
M9
BBB-/Watch Neg
2006-2
M8
BBB/Watch Neg
2006-2
M9
BBB-/Watch Neg
From
BBB+
BBB
BBBBBB
BBB-
Nomura Home Equity Loan Inc.
Rating
Standard & Poor’s RatingsDirect | July 11, 2007
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18
590247 | 300033677
S&PCORRECT: 612 U.S. Subprime RMBS Classes Put On Watch Neg; Methodology Revisions Announced
Series
2005-HE1
2006-FM1
2006-FM1
2006-FM1
2006-FM1
2006-FM2
2006-FM2
2006-FM2
2006-HE1
2006-HE2
2006-HE2
2006-HE2
Class
B-2
M-8
M-9
B-1
B-2
M-9
B-1
B-2
B-2
M-9
B-1
B-2
To
BB/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
From
BB
BBB+
BBB
BBBBB+
BBB
BBBBB+
BB
BBB
BBBBB+
NovaStar Mortgage Funding Trust
Series
2006-1
2006-1
2006-1
2006-1
2006-1
2006-2
2006-2
2006-2
2006-2
2006-3
2006-3
2006-3
2006-3
2006-3
2006-4
2006-4
2006-4
2006-4
2006-4
2006-5
2006-5
2006-5
2006-5
2006-5
2006-6
2006-6
Class
M-7
M-8
M-9
M-10
M-11
M-7
M-8
M-9
M-10
M-6
M-7
M-8
M-9
M-10
M-7
M-8
M-9
M-10
M-11
M-7
M-8
M-9
M-10
M-11
M-12
M-13
Rating
To
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
A/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BB+/Watch Neg
A+/Watch Neg
A/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
A/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB+/Watch Neg
BB/Watch Neg
From
ABBB+
BBB
BBBBB+
A
BBB+
BBB
BB+
A+
A
BBB+
BBB
BBBA
ABBB+
BBB
BBBABBB+
BBB
BBBBB+
BB+
BB
Option One Mortgage Loan Trust
Rating
Series
2006-2
2006-2
2006-2
Class
M6
M7
M8
To
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
From
ABBB+
BBB
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19
590247 | 300033677
S&PCORRECT: 612 U.S. Subprime RMBS Classes Put On Watch Neg; Methodology Revisions Announced
2006-2
2006-2
M9
M10
BBB-/Watch Neg
BB/Watch Neg
BBBBB
Ownit Mortgage Loan Trust
Series
2005-5
2005-5
2005-5
Class
M-6
B-1
B-2
Rating
To
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
Popular ABS Mortgage Pass-Through Trust
Rating
Series
Class
To
2005-5
BF-3
BB-/Watch Neg
2005-5
BV-4
BB/Watch Neg
From
ABBB+
BBB
From
BBBB
RAMP Trust
Rating
Series
2006-NC1
2006-NC1
2006-NC1
2006-NC1
2006-NC2
2006-NC2
2006-NC2
2006-NC3
2006-NC3
2006-NC3
2006-RS6
Class
M-6
M-7
M-8
M-9
M-8
M-9
B-1
M-8
M-9
M-10
B
To
A/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB-/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB/Watch Neg
From
A
ABBB+
BBBBBB
BBBBB+
BBB+
BBB
BBBBB
Class
M-9
M-10
M-5
M-6
M-7
M-8
M-9
Rating
To
BBB/Watch Neg
BBB-/Watch Neg
A/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
From
BBB
BBBA
ABBB+
BBB
BBB-
RASC Trust
Series
2005-AHL2
2005-AHL2
2005-AHL3
2005-AHL3
2005-AHL3
2005-AHL3
2005-AHL3
Securitized Asset Backed Receivables LLC
Rating
Series
Class
To
2005-FR5
B-3
BBB/Watch Neg
2005-FR5
B-4
BBB-/Watch Neg
2005-OP2
B3
BBB/Watch Neg
2006 FR2
B2
BBB/Watch Neg
2006 FR2
B3
BBB-/Watch Neg
Trust
From
BBB
BBBBBB
BBB
BBB-
Standard & Poor’s RatingsDirect | July 11, 2007
© Standard & Poor's. All rights reserved. No reprint or dissemination without Standard & Poor's permission. See Terms of Use/Disclaimer on the last page.
20
590247 | 300033677
S&PCORRECT: 612 U.S. Subprime RMBS Classes Put On Watch Neg; Methodology Revisions Announced
2006 FR2
2006 FR2
2006-FR3
2006-FR3
2006-FR3
2006-FR3
2006-FR3
2006-FR4
2006-HE1
2006-HE1
2006-HE1
2006-HE1
2006-HE1
2006-NC1
2006-NC1
2006-NC1
2006-NC2
2006-NC2
2006-NC2
2006-NC2
2006-WM1
2006-WM1
B4
B5
B1
B2
B3
B4
B5
B3
B1
B2
B3
B4
B5
M3
B1
B2
B2
B3
B4
B5
B2
B3
BB+/Watch Neg
BB/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
BBB-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+
BB
BBB+
BBB
BBBBB+
BB
BBBBBB+
BBB
BBBBB+
BB
ABBB+
BBB
BBB
BBBBB+
BB
BBB
BBB-
SG Mortgage Securities Trust
Series
2005-OPT1
2005-OPT1
2006-FRE1
2006-FRE1
2006-FRE1
2006-FRE1
2006-FRE2
2006-FRE2
2006-FRE2
2006-FRE2
2006-FRE2
Class
M12
M13
M7
M8
M9
M10
M6
M7
M8
M9
M10
Rating
To
BB+/Watch Neg
BB/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB-/Watch Neg
BBB-/Watch Neg
A/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BBB-/Watch Neg
Soundview Home Equity Loan Trust
Rating
Series
Class
To
2005-OPT3 M12
BB/Watch Neg
From
BB+
BB
ABBB+
BBBBBBA
BBB+
BBB
BBBBBB-
From
BB
Soundview Home Loan Trust
Series
2006-2
2006-2
2006-3
2006-3
Class
B1, B2
B3
M9
M10
Rating
To
BB+/Watch Neg
BB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
From
BB+
BB
BBBBB+
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© Standard & Poor's. All rights reserved. No reprint or dissemination without Standard & Poor's permission. See Terms of Use/Disclaimer on the last page.
21
590247 | 300033677
S&PCORRECT: 612 U.S. Subprime RMBS Classes Put On Watch Neg; Methodology Revisions Announced
Specialty Underwriting and Residential Finance Trust
Rating
Series
Class
To
From
2005-AB2
B2
BBB/Watch Neg
BBB
2005-AB2
B3
BBB-/Watch Neg
BBB2005-BC3
B3
BBB-/Watch Neg
BBB2005-BC3
B4
BB+/Watch Neg
BB+
Structured Asset Investment Loan Trust
Rating
Series
Class
To
2005-8
M-7
BBB+/Watch Neg
2005-8
M-8
BBB/Watch Neg
2005-8
M-9
BBB-/Watch Neg
2005-9
M8
BBB/Watch Neg
2005-9
M9
BBB-/Watch Neg
2005-9
B1
BBB-/Watch Neg
2005-11
M6
BBB+/Watch Neg
2005-11
M7
BBB/Watch Neg
2005-11
M8
BBB-/Watch Neg
2006-1
M6
A/Watch Neg
2006-1
M7
A-/Watch Neg
2006-1
M8
BBB+/Watch Neg
2006-1
M9
BBB/Watch Neg
2006-2
M5
A-/Watch Neg
2006-2
M6
BBB+/Watch Neg
2006-3
M8
BBB/Watch Neg
2006-3
M9
BBB-/Watch Neg
2006-3
B1
BB+/Watch Neg
2006-4
M4
A/Watch Neg
2006-4
M5
A-/Watch Neg
2006-4
M6
BBB+/Watch Neg
2006-4
M7
BBB/Watch Neg
2006-4
M8
BBB-/Watch Neg
2006-4
B1
BB+/Watch Neg
2006-BNC1 M5
A-/Watch Neg
2006-BNC2 M4
A/Watch Neg
2006-BNC2 M5
A-/Watch Neg
2006-BNC2 M6
BBB+/Watch Neg
From
BBB+
BBB
BBBBBB
BBBBBBBBB+
BBB
BBBA
ABBB+
BBB
ABBB+
BBB
BBBBB+
A
ABBB+
BBB
BBBBB+
AA
ABBB+
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
BBB2006-AM1
B2
BB+/Watch Neg
BB+
2006-BC1
M8
A-/Watch Neg
A2006-BC1
M9
BBB+/Watch Neg
BBB+
Standard & Poor’s RatingsDirect | July 11, 2007
© Standard & Poor's. All rights reserved. No reprint or dissemination without Standard & Poor's permission. See Terms of Use/Disclaimer on the last page.
22
590247 | 300033677
S&PCORRECT: 612 U.S. Subprime RMBS Classes Put On Watch Neg; Methodology Revisions Announced
2006-BC1
2006-BC1
2006-BC2
2006-BC2
2006-NC1
2006-NC1
2006-NC1
2006-NC1
2006-NC1
2006-OW1
2006-OW1
2006-OW1
B1
B2
B1
B2
M7
M8
M9
B1
B2
M6
M7
M8
BBB/Watch Neg
BB+/Watch Neg
BB+/Watch Neg
BB/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB-/Watch Neg
BB+/Watch Neg
BB/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
BBB/Watch Neg
BBB
BB+
BB+
BB
BBB+
BBB
BBBBB+
BB
ABBB+
BBB
Structured Asset Securities Corporation Trust
Rating
Series
Class
To
From
2005-AR1
M8
BBB/Watch Neg
BBB
Terwin Mortgage Trust
Series
2005-14HE
2005-14HE
2005-14HE
2006-17HE
2006-17HE
Class
B1
B2
M6
M3
M4
Rating
To
BBB+/Watch Neg
BBB/Watch Neg
A-/Watch Neg
A-/Watch Neg
BBB+/Watch Neg
From
BBB+
BBB
AABBB+
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© Standard & Poor's. All rights reserved. No reprint or dissemination without Standard & Poor's permission. See Terms of Use/Disclaimer on the last page.
23
590247 | 300033677
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