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Fitch Withdraws Ratings on 11 Classes.

NEW YORK -- Fitch Ratings has withdrawn the outstanding 'Csf/RR6' or 'Csf/RR5' ratings on 11 U.S. RMBS and small-balance CMBS Net Interest Margin (NIM) classes due to reduced market interest in the ratings of the affected classes. A full rating list is shown below.

The affected NIM classes are generally receiving limited monthly interest payments and are not expected to receive any material amounts of principal in the future. All of the classes have been rated 'Csf/RR6' or 'Csf/RR5' for more than a year and, in some instances, as long as five years. NIM transactions are generally ultimate-pay structures and, as such, a default as evidenced by a principal writedown typically cannot occur until the maturity date of the underlying transaction, which is often 30 years from the closing date. All 11 classes would have been expected to remain at 'Csf/RR6' or 'Csf/RR5' until the maturity date had the ratings not been withdrawn.

NIMs are securities backed by the excess cash flow that would otherwise go to the residual holder of an RMBS transaction. Excess cash flow occurs due to a higher weighted average coupon of the mortgage loans than the mortgage bonds. The excess cash flow is generally allowed to be distributed to the NIM classes when the underlying transaction's OC amount is at or above a specified target amount. In addition to excess cash flow, prepayment penalty cash flows and interest rate derivative cash flows are also often pledged to the NIM classes.

Fitch has withdrawn the 'Csf/RR5' rating on the following class:

--Lehman Brothers Small Balance Commercial Mortgage Trust NIM 2006-1 class N1 (CUSIP 50180EAA4).

Fitch has withdrawn the 'Csf/RR6' rating on the following classes:

--AMRESCO Securitized Net Interest Margin Trust 1999-1 class A (CUSIP 03216AAD3);

--New Century Home Equity Loan Trust 1999-1 class notes (CUSIP 628849AA9);

--Structured Asset Investment Loan Trust 2003-BC1 class B (CUSIP 80382QAE2);

--Lehman Brothers Small Balance Commercial Mortgage Trust NIMS 2005-2 class N2 (CUSIP 50180AAB0);

--Lehman Brothers Small Balance Commercial Mortgage Trust NIM 2006-1 class N2 (CUSIP 501802AC6);

--LBSBC NIM Company 2006-2 class N1 (CUSIP 50180GAA9);

--LBSBC NIM Company 2006-3 class N1 (CUSIP 50180YAA0);

--LBSBC NIM Company 2007-1 class N1 (CUSIP 501807AA9);

--LBSBC NIM Company 2007-2 class N1 (CUSIP 52109MAA0);

--LBSBC NIM Company 2007-3 class N1 (CUSIP 50181BAA9).

These actions were reviewed by a committee of Fitch analysts.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (Aug. 16, 2010).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=547326

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE '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.
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Publication:Business Wire
Geographic Code:1U2NY
Date:Jun 9, 2011
Words:628
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