Servicing

Eighteen tranches from four deals issued by Fieldstone Mortgage Investment Trust in 2004 and 2005 have been downgraded and placed under review for possible downgrade by Moody's Investors Service. The actions were based on "the analysis of the credit enhancement provided by subordination, overcollateralization, and excess spread relative to expected losses," Moody's said. The transactions are backed primarily by first-lien adjustable subprime mortgage loans originated by Fieldstone Mortgage Co.

Twenty-six classes totaling $1.2 billion from two subprime issues of Ace pass-through certificates have been downgraded by Fitch Ratings. In addition, Fitch affirmed the ratings on Ace classes totaling $250 million. The downgrades were based on changes to Fitch's subprime loss forecasting assumptions that the rating agency says "better capture the deteriorating performance of pools from 2007, 2006, and late 2005 with regard to continued poor loan performance and home price weakness." The collateral for the transactions, both issued in 2006, consists of first-lien subprime mortgage loans.

Thirty-five certificates from seven deals issued by First Franklin Mortgage Loan Trust have been downgraded by Moody's Investors Service, and nine certificates have been placed on review for possible downgrade. The actions were based on complete or near-complete erosion of overcollateralization, "leaving some of the more subordinate certificates exposed to future losses and many of the tranches sequentially above them in a weaker position," Moody's said. Most of the collateral consists of mortgage loans with high loan-to-value ratios. Moody's can be found online at http://www.moodys.com.

Forty-two classes totaling $785 million from seven subprime issues of Credit Suisse First Boston Mortgage Securities Corp. mortgage pass-through certificates have been downgraded by Fitch Ratings. In addition, Fitch placed three classes on Rating Watch Negative, removed two classes from Rating Watch Negative, and affirmed the ratings on 21 CSFB classes. The downgrades were based on deterioration in the relationship between credit enhancement and expected losses, Fitch said. The collateral for the transactions consists of second-lien subprime mortgage loans.

Nearly 100 classes -- totaling $2.1 billion -- from nine subprime issues of C-BASS Mortgage Loan Asset-Backed pass-through certificates have been downgraded by Fitch Ratings. In addition, Fitch affirmed the ratings on C-BASS classes totaling $1.8 billion. The downgrades were based on changes to Fitch's subprime loss forecasting assumptions that it says "better capture the deteriorating performance of pools from 2007, 2006, and late 2005 with regard to continued poor loan performance and home price weakness." The collateral for the transactions, all issued in 2006, consists of first-lien subprime mortgage loans. The rating agency can be found on the Web at http://www.fitchratings.com.

UBS took a net loss equal to about $11.28 billion for the fourth quarter due to almost $14 billion of residential mortgage-related writedowns that largely matched an earlier earnings estimate by the company. "While most of our businesses continued to be very profitable, the sudden and serious deterioration in the U.S. housing market, in combination with our large exposure in subprime mortgage-related securities and derivatives, has driven us into loss," said Marcel Rohner, UBS chief executive officer. The company's residential mortgage-related losses consisted of $10.8 billion related to U.S. subprime loans, $2.0 billion related to U.S. alternative-A loans, and $871 million related to bond insurer credit protection on U.S. residential mortgage-backed security collateralized debt obligations.

Twenty-five classes from six subprime issues of Merrill Lynch Mortgage Investors mortgage pass-through certificates have been downgraded by Fitch Ratings. Fitch also affirmed the ratings on eight classes from the six transactions. The downgrades were attributed to deterioration in the relationship between credit enhancement and loss expectations.

Sixty-two classes from 11 subprime issues of SACO mortgage pass-through certificates have been downgraded by Fitch Ratings. Fitch also affirmed the ratings on 33 classes from the SACO transactions. The downgrades were attributed to deterioration in the relationship between credit enhancement and loss expectations.

Moody's Investors Service has downgraded the servicer quality rating of First Tennessee Bank NA as a primary servicer of second-lien loans from SQ2-plus to SQ2 and removed it from review for possible downgrade. Moody's said the downgrade was prompted by "the high level of volatility" in the U.S. residential mortgage market, as well as the rating agency's downgrade of the long-term, senior unsecured debt rating of First Tennessee's ultimate parent, First Horizon National Corp., from A3 to Baa1 and of First Tennessee Bank's long-term deposits from A2 to A3. Both ratings have been assigned a negative outlook.

Moody's Investors Service has downgraded the servicer quality rating of First Horizon Home Loans as a primary servicer of prime loans from SQ2-plus to SQ2 and removed it from review for possible downgrade. In addition, at the company's request, Moody's has withdrawn First Horizon's rating as a primary servicer of second-lien mortgage loans. Moody's said the downgrade was prompted by "the high level of volatility" in the U.S. residential mortgage market, as well as the rating agency's downgrade of the long-term, senior unsecured debt rating of First Horizon's parent, First Horizon National Corp., from A3 to Baa1 with a negative outlook. Moody's can be found on the Web at http://www.moodys.com.