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Strategies & Market Trends : The Residential Real Estate Crash Index -- Ignore unavailable to you. Want to Upgrade?

To: CalculatedRisk who wrote (88476)	9/7/2007 10:18:00 PM
From: RockyBalboa	Read Replies (1) \| Respond to of 306849

CR, those are serious downgrades, encompassing several notches, former Triple A debt barely at investment grade, all others junked. Fitch Affirms $10.4MM and Downgrades $544.8MM from 2 Countrywide Second Lien Transactions NEW YORK--(BUSINESS WIRE)--Fitch Ratings has taken the following rating actions on two Countrywide mortgage pass-through certificates. Affirmations total $10.4 million and downgrades total $544.8 million. Break Loss percentages (BL) and Loss Coverage Ratios (LCR) for each class, rated B or higher, are included with the rating actions as follows: CWABS 2006-SPS1 --$117.8 million class A downgraded to 'BBB-' from 'AAA' (BL: 48.50, LCR: 1.14); --$13.1 million class M-1 downgraded to 'BB' from 'AA+' (BL: 41.10, LCR: 0.96); --$11.5 million class M-2 downgraded to 'B+' from 'AA+' (BL: 34.78, LCR: 0.82); --$7.0 million class M-3 downgraded to 'C/DR6' from 'AA+'; --$6.3 million class M-4 downgraded to 'C/DR6' from 'AA'; --$6.3 million class M-5 downgraded to 'C/DR6' from 'AA-'; --$6.0 million class M-6 downgraded to 'C/DR6' from 'BBB-'; --$5.8 million class M-7 downgraded to 'C/DR6' from 'BB+'; --$4.9 million class M-8 remains at 'C/DR6'; --$3.8 million class M-9 remains at 'C/DR6'; --$1.5 million class B remains at 'C/DR6'. Deal Summary --Originators: 100% Countrywide; --60+ day Delinquency: 9.99%; --Realized Losses to date (% of Original Balance): 11.81%; --Expected Remaining Losses (% of Current Balance): 42.63%; --Cumulative Expected Losses (% of Original Balance): 43.27%. CWABS 2006-SPS2 --$230.0 million class A downgraded to 'BBB-' from 'AAA' (BL: 54.05, LCR: 1.15); --$26.7 million class M-1 downgraded to 'BB' from 'AA+' (BL: 46.84, LCR: 1.00); --$22.5 million class M-2 downgraded to 'B+' from 'AA+' (BL: 40.88, LCR: 0.87); --$13.5 million class M-3 downgraded to 'B' from 'AA' (BL: 37.27, LCR: 0.79); --$12.5 million class M-4 downgraded to 'C/DR5' from 'AA'; --$12.2 million class M-5 downgraded to 'C/DR6' from 'AA-'; --$11.7 million class M-6 downgraded to 'C/DR6' from 'A'; --$12.0 million class M-7 downgraded to 'C/DR6' from 'A-'; --$10.5 million class M-8 downgraded to 'C/DR6' from 'BBB+'; --$9.3 million class M-9 downgraded to 'C/DR6' from 'BBB'; --$9.6 million class B downgraded to 'C/DR6' from 'BB-'; Deal Summary --Originators: 100% Countrywide; --60+ day Delinquency: 9.21%; --Realized Losses to date (% of Original Balance): 7.86%; --Expected Remaining Losses (% of Current Balance): 47.04%; --Cumulative Expected Losses (% of Original Balance): 44.22%. In addition, all of the above classes are removed from Rating Watch Negative. The rating actions are based on changes that Fitch has made to its subprime loss forecasting assumptions. The updated assumptions better capture the deteriorating performance of pools from 2006 and late 2005 with regard to continued poor loan performance and home price weakness. Minimum LCR's specifically for subprime second lien transactions are as follows: AAA: 2.00; AA: 1.75; A: 1.50; BBB: 1.20; BB 0.95; B: 0.75. Additional details are available in the following research, available at www.fitchratings.com --'Downgrade Criteria for Recent Vintage U.S. Subprime RMBS' (Aug. 8, 2007); --'U.S. Subprime RMBS/HEL Upgrade/Downgrade Criteria' (June 12, 2007). All of Fitch's ratings criteria for US Subprime RMBS is available at www.fitchratings.com/subprime. Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.