Servicing

The rating on class B-1 of the Terwin Mortgage Trust series 2004-EQR1 securitization has been placed on review for possible downgrade by Moody's Investors Service.Moody's said the rating is being reviewed "in light of rising loss severities upon liquidation and an accelerated deterioration of overcollateralization." The collateral for the transaction consists of nonperforming mortgage loans, which are typically defined as loans that are delinquent 90 days or more, subject to bankruptcy or foreclosure proceedings, or held as real estate owned.

Two classes of notes issued by Varick Structured Asset Fund Ltd., a collateralized debt obligation supported partly by residential and commercial mortgage-backed securities, have been downgraded by Fitch Ratings.Classes A-1 and A-2 were downgraded from B/DR2 to B-minus/DR2. The transaction, a CDO managed by Clinton Group Inc., is supported by a diversified portfolio of asset-backed securities, RMBS, and CMBS. Fitch attributed the downgrades to continued deterioration of the credit quality of the collateral and the adverse effects of its interest rate hedge. "Since the last rating action on Aug. 29, 2005, the portfolio has experienced significant writedown activity, totaling over $8 million, as well as several downgrades, resulting in a steadily worsening weighted average rating factor," the rating agency said. Fitch can be found online at http://www.fitchratings.com.

Two classes of notes issued by Bleecker Structured Asset Fund Ltd., and supported in part by residential and commercial mortgage-backed securities, have been downgraded by Fitch Ratings.Classes A-1 and A-2 were downgraded from B-plus to B-minus. The transaction is a collateralized debt obligation supported by asset-backed securities, RMBS, and CMBS. "The rating actions are a result of continued deterioration in the credit quality of Bleecker's collateral pool and the continued negative impact of its interest rate hedge," Fitch said. The rating agency can be found online at http://www.fitchratings.com.

Two certificates from securitizations issued by IndyMac in 2000 and 2001 have been downgraded by Moody's Investors Service.The downgrades were as follows: IndyMac Home Equity Mortgage Loan Asset Backed Trust, series 2000-C, class MV-1, from Aa2 to A3; and IndyMac ARM Trust, series 2001-H2, class B-3, from Baa2 to Ba1. Moody's also confirmed the rating on one class in another IndyMac deal. The downgrades were attributed to credit enhancement levels that "may be low" in view of projected losses on the underlying pools. The securitizations are backed by alternative-A and subprime mortgage loans that were originated by IndyMac Bank FSB. Moody's can be found online at http://www.moodys.com.

Serious delinquencies on nonagency mortgage loans in key areas of Louisiana and Mississippi hit by hurricanes Katrina and Rita are declining, according to a Friedman Billings Ramsay report.The default rate on prime loans (not securitized by Fannie Mae and Freddie Mac) in the 12 hardest-hit metropolitan statistical areas (including Beaumont, Texas) fell from 10.50% in January to 9.58% in February. Defaults (90 days or more past due) on subprime and alternative-A loans also declined significantly. The FBR research paper attributes the decline in defaults to federal disaster relief and payments on federal flood insurance and private hazard insurance claims. In mid-March, the Federal Emergency Management Agency said it had paid out nearly 90% of all flood insurance claims related to hurricanes Katrina and Rita, totaling $11.3 billion. Separately, Freddie Mac announced an extension through Aug. 31 of mortgage payment relief for homeowners in the Gulf Coast states most affected by the hurricanes.

Class B2 of Morgan Stanley Dean Witter Capital I Inc. Trust, series 2002-OP1, has been placed under review for possible downgrade by Moody's Investors Service.The rating action was attributed to a low credit enhancement level given the projected losses on the underlying pool. "The transaction has taken losses, and pipeline loss could cause eventual erosion of the overcollateralization," Moody's said. The transaction is backed primarily by first-lien, fixed- and adjustable-rate subprime mortgage loans originated and serviced by Option One Mortgage Corp. Moody's can be found online at http://www.moodys.com.

Class III-M-3 of Deutsche Mortgage Securities Inc. Mortgage Loan Trust Series 2004-1 has been placed under review for possible downgrade by Moody's Investors Service.The rating action was based on the weaker-than-expected performance of the mortgage collateral and the resulting erosion of credit support, Moody's said. Overcollateralization is below its target, and pipeline losses could cause further depletion, the rating agency said. The pool is backed by first-lien, fixed-rate, alternative-A mortgage loans originated or acquired by various lenders. Moody's can be found online at http://www.moodys.com.

Three subordinate classes from three Saxon Asset Securities Trust transactions have been placed under review for possible downgrade by Moody's Investors Service.The affected classes are: class MF-2 of series 2001-1; class B-1 of series 2001-2; and class B of series 2001-3. The rating actions were based on the weaker-than-expected performance of the mortgage pools and the resulting erosion of credit support, Moody's said. In series 2001-1, the overcollateralization has been fully depleted and the BF-1 tranche is realizing losses, the rating agency said. In series 2001-2 and 2001-3, "pipeline losses could cause eventual depletion of the overcollateralization and possible losses on the most subordinate tranches," Moody's said. The certificates are secured by fixed- and adjustable-rate subprime home equity loans.

Class B4-F of Ocwen Residential MBS series 1999-R1 has been downgraded from B3 to Caa2 by Moody's Investors Service.Moody's also confirmed the Aa2 rating on class B1-F in the transaction. The downgrade was attributed to greater-than-expected cumulative losses. "As a result, the credit enhancement levels relative to expected future losses in the underlying pool appear to be low for their respective current rating level," the rating agency said.

Class B of notes issued by Bristol CDO I Ltd. has been downgraded from BB to B by Fitch Ratings.In addition, the ratings on two other classes in the deal were affirmed. "Since the previous rating action in January 2005, Bristol has suffered further collateral deterioration in the aircraft and airline ABS, manufactured housing RMBS, and some mezzanine and junior CDO tranches," Fitch reported. The collateralized debt obligation is secured by a static pool of asset-backed securities, of which 36.2% are residential mortgage-backed securities, 12.9% are CDOs, and 5.6% are commercial MBS, Fitch said.