Fitch Downgrades 17 & Affirms 3 Classes from 20 SABR NIM Transactions.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- Fitch Ratings Fitch Ratings An international rating agency for financial institutions, insurance companies, and corporate, sovereign, and municipal debt. Fitch Ratings has headquarters in New York and London and is wholly owned by FIMALAC of Paris. has taken the following rating actions on 20 Structured Asset Backed Receivables Receivables An asset designation applicable to all debts, unsettled transactions or other monetary obligations owed to a company by its debtors or customers. Receivables are recorded by a company's accountants and reported on the balance sheet, and they and include all debts owed (SABR SABR Society for American Baseball Research SABR Selectable Assault Battle Rifle SABR Special Assessment Baseline Review SABR Set Asynchronous Balanced Mode Extended ) net interest margin (NIM nim 1 tr. & intr.v. nimmed, nim·ming, nims Archaic To steal; pilfer. [Middle English nimen, to take, from Old English niman; see ) notes: Securitized securitized Of, related to, or being debt securities that are secured with assets. For example, mortgage purchase bonds are secured by mortgages that have been purchased with the bond issue's proceeds. Asset Backed NIM Trust 2005-HE1: --$2.9 million notes class affirmed af·firm v. af·firmed, af·firm·ing, af·firms v.tr. 1. To declare positively or firmly; maintain to be true. 2. To support or uphold the validity of; confirm. v.intr. at 'BBB-'; Underlying Transaction: Securitized Asset Backed Receivables LLC (Logical Link Control) See "LANs" under data link protocol. LLC - Logical Link Control Trust 2005-HE1 Securitized Asset Backed NIM Trust 2005-FR2: --$1.9 million notes class affirmed at 'BBB-'; Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2005-FR2 Securitized Asset Backed NIM Trust 2005-FR3: --$1.5 million Notes Class downgraded to 'BB' from 'BBB-', remains on Rating Watch Negative; Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2005-FR3 Securitized Asset Backed NIM Trust 2005-FR4: --$4.6 million notes class downgraded to 'B' from 'BBB-', remains on Rating Watch Negative; Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2005-FR4 Securitized Asset Backed NIM Trust 2005-FR5: --$2.4 million notes class downgraded to 'B' from 'BBB-', remains on Rating Watch Negative; Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2005-FR5 Securitized Asset Backed NIM Trust 2006-KS8: --$10.9 million class N1 downgraded to 'BB' from 'BBB-'; Underlying Transaction: Residential Asset Securities Corporation 2006-KS8 Securitized Asset Backed NIM Trust 2006-KS9: --$25.7 million class N1 downgraded to 'BB' from 'BBB-'; Underlying Transaction: Residential Asset Securities Corporation 2006-KS9 Securitized Asset Backed NIM Trust 2006-HE1: --$14 million notes class downgraded to 'C/DR4' from 'BB';. Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2006-HE1 Securitized Asset Backed NIM Trust 2006-HE2: --$17.5 million notes class downgraded to 'B' from 'BBB-'; Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2006-HE2 Securitized Asset Backed NIM Trust 2006-NC2: --$8.1 million notes class downgraded to 'C/DR5' from 'BB'. Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2006-NC2 Securitized Asset Backed NIM Trust 2006-NC3: --$7 million notes class downgraded to 'B' from 'BBB-'; Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2006-NC3 Securitized Asset Backed NIM Trust 2006-WM1: --$6 million class A downgraded to 'C/DR6' from 'BB'. Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2006-WM1 Securitized Asset Backed NIM Trust 2006-WM2: --$23 million class N1 downgraded to 'C/DR5' from 'BBB-'. Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2006-WM2 Securitized Asset Backed NIM Trust 2006-WM3: --$23.8 million class N1 downgraded to 'CC/DR4' from 'BBB-'. Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2006-WM3 Securitized Asset Backed NIM Trust 2006-WM4: --$29 million Class N1 downgraded to 'CC/DR4' from 'BBB-'. Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2006-WM4 Securitized Asset Backed NIM Trust 2006-FR1: --$9.6 million Notes Class downgraded to 'B' from 'BB'; Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2006-FR1 Securitized Asset Backed NIM Trust 2006-FR2: --$6.4 million Notes Class downgraded to 'C/DR6' from 'BB'. Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2006-FR2 Securitized Asset Backed NIM Trust 2006-FR3: --$16.6 million Notes Class downgraded to 'C/DR6' from 'BB+'. Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2006-FR3 Securitized Asset Backed NIM Trust 2006-FR4: --$17.5 million Notes Class downgraded to 'B' from 'BBB-'; placed on Rating Watch Negative. Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2006-FR4 Securitized Asset Backed NIM Trust 2006-WF3: --$19.3 million Class A affirmed at 'BBB-'; Underlying Transaction: Securitized Asset Backed Receivables LLC Trust 2006-WF3 The rating actions reflect actual pay-down Pay-down In a Treasury refunding, the amount by which the par value of the securities maturing exceeds that of those sold. In the context of general equities, paying a lower price in an accumulation of stock. Antithesis of pay-up. performance of the NIM securities to date compared to initial projections, as well as, changes that Fitch fitch: see polecat. previously made to its subprime loss forecasting assumptions for the underlying transactions. The updated assumptions better capture the deteriorating de·te·ri·o·rate v. de·te·ri·o·rat·ed, de·te·ri·o·rat·ing, de·te·ri·o·rates v.tr. To diminish or impair in quality, character, or value: performance of pools from 2006 and late 2005 with regard to continued poor loan performance and home price weakness. Additional details are available in the following research, available at www.fitchratings.com: --'U.S. Subprime RMBS/HEL Upgrade/Downgrade Criteria' (June June: see month. 12, 2007); --'Downgrade Criteria for Recent Vintage U.S. Subprime RMBS' (Aug. 8, 2007) --'U.S. Rating Criteria for Net Interest Margin Securitizations: Updated' (Feb. 6, 2007). All of Fitch's ratings criteria for U.S. subprime RMBS RMBS Residential Mortgage-Backed Securities RMBS Rambus, Inc. (NASDAQ stock symbol) RMBS Russian Mortgage-Backed Securities are available at www.fitchratings.com/subprime. Fitch's Distressed Recovery (DR) ratings, introduced in April 2006 across all sectors of structured finance, are designed to estimate recoveries on a forward-looking for·ward-look·ing adj. Concerned with or making provision for the future: forward-looking educators; a forward-looking corporate plan. Adj. 1. basis while taking into account the time value of money. For more information on Distressed Recovery ratings, see the full report ('Structured Finance Distressed Recovery Ratings'), which is available on the Fitch Ratings web site at www.fitchratings.com. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. 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 Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. |
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