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Two classes of notes issued by Enhanced Mortgage-Backed Securities IV Ltd. have been downgraded by Derivative Fitch and placed on Rating Watch Negative.The class A-3 subordinated notes were downgraded from BBB-plus to BB, and the class A-4 junior subordinated notes were downgraded from BBB to BB-minus. "The net asset value of the transaction has declined, and assets may need to be sold for the transaction to stay in compliance with overcollateralization tests," Fitch said, citing concerns about the resulting proceeds in light of price volatility. EMBS IV, a collateralized debt obligation, consists of mortgage- and asset-backed securities, collateralized mortgage obligations, U.S. government obligations, corporate securities, cash, and cash equivalents.

Three classes of notes issued by Enhanced Mortgage-Backed Securities V Ltd. have been downgraded by Derivative Fitch.The downgrades were as follows: class A-2 senior subordinated notes, from BBB to BB; class A-3 subordinated notes, from B-minus to CC/DR3; and class A-4 junior subordinated notes, from CCC to C/DR6. Class A-4 was removed from Rating Watch Negative, but the other two classes remain there. EMBS V, a collateralized debt obligation, consists primarily of mortgage- and asset-backed securities. "This transaction has violated overcollateralization tests, and its asset portfolio is currently being liquidated," Fitch said. ".... Losses incurred during the liquidation process have increased the risk that the class A-2 notes may not be paid in full. It is likely that class A-3 will incur a significant loss, and class A-4 may suffer a complete loss." Derivative Fitch can be found online at http://www.derivativefitch.com.

In addition to the more than 130 additional classes of subprime mortgage-backed securities downgraded because of revised subprime loss assumptions (see item above), Fitch Ratings has also downgraded 43 additional classes of B&C MBS that it did not link to the changed assumptions.Fitch also affirmed the ratings on 49 classes from the same transactions. Among the MBS affected by the downgrades were: 15 classes from seven Structured Asset Securities Corp. deals; 11 classes from four IndyMac SPMD deals; eight classes from five Meritage Mortgage Corp. deals; five classes from four Centex Home Equity Loan deals; and four classes from one Terwin Mortgage Trust deal. The downgrades were attributed to deterioration in the relationship between credit enhancement and loss expectations.

Over 130 additional classes of subprime mortgage- and asset-backed securities have been downgraded by Fitch Ratings as a result of changes to its subprime loss forecasting assumptions.Fitch also affirmed the ratings on classes with outstanding balances of more than $12 billion. Among the mortgage pass-through certificates affected by the latest downgrades were: 58 classes from nine First Franklin issues; 19 classes from two C-BASS issues; 14 classes from one IndyMac ABS Inc. issue; 13 classes from two SACO issues; 13 classes from one Soundview Home Equity Loan Trust issue; 12 classes from one Merrill Lynch issue; and 11 classes from four Structured Asset Securities Corp. issues. The rating actions were attributed to changes to Fitch's subprime loss forecasting assumptions that "better capture the deteriorating performance of pools from 2006 and late 2005 with regard to continued poor loan performance and home price weakness."

Freddie Mac's board of directors has announced a dividend of $0.50 per share on the corporation's voting common stock for the third quarter, unchanged from that of recent quarters.The board also declared the following preferred stock dividends per share: $0.59 on its 1996 and 1998 variable-rate stock; $0.72625 on its 1997, 2001, and 2002 5.81% stock; $0.625 on its 5% stock; $0.6375 on its 1998 and 1999 5.1% stock; $0.6625 on its 5.3% stock; $0.72375 on its 5.79% stock; $0.4475 on its 1999 variable-rate stock; $0.585 on its January 2001 variable-rate stock; $0.63889 on its March 2001 variable-rate stock; $0.645 on its May 2001 variable-rate stock; $0.75 on its 6% stock; $0.7125 on its 5.7% stock; $0.75 on its 2006 variable-rate stock; $0.8025 on its 6.42% stock; 0.36875 on its 5.9% stock; 0.348125 on its 5.57% stock; 0.35375 on its 5.66% stock; and 0.27592 on its 6.02% stock. The dividends will be payable on Sept. 28 to stockholders of record as of Sept. 17.

Eleven states had registered triple-digit increases in real estate owned filings (representing homes taken back by their lenders) on a year-over-year basis as of August, with California far in the lead, according to ForeclosureS.com, a Fair Oaks, Calif.-based investment advisory firm.As of August, California had recorded an increase of 471% in REO filings over the levels of the comparable period in 2006, the company reported. The rest of the top five states with triple-digit increases, according to ForeclosureS.com, were as follows: Arizona, up 217%; Nevada, up 192%; New Mexico, up 157%; and Florida, up 141%. The company also reported that the five states with the most people (on a per capita basis) losing their homes this year were: Michigan, with 11.1 foreclosures per 1,000 population; Nevada, 11.0 per 1,000; Georgia, 9.9 per 1,000; Colorado, 9.8 per 1,000; and Indiana, 8.8 per 1,000. The company can be found online at http://www.foreclosures.com.

Two classes of ACE mortgage pass-through certificates, series 2002-HE2, have been downgraded by Fitch Ratings.Class M-3 was downgraded from BBB-minus to B-minus/DR1, and class M-4 was downgraded from BB-plus to B-minus/DR1. Fitch also affirmed the ratings on two other classes in the transaction. The downgrades were attributed to deterioration in the relationship between credit enhancement and loss expectations. The collateral for the transaction consists of fixed- and adjustable-rate residential first-lien mortgage loans.

Two classes of PPT Asset-Backed Certificates LLC Trust series 2004-1 have been downgraded by Fitch Ratings.Class B-2 was downgraded from BBB to BB-plus, and class B-3 was downgraded from BBB-minus to B. Fitch also affirmed the ratings on four other classes in the transaction. The downgrades were attributed to deterioration in the relationship between credit enhancement and loss expectations. The underlying collateral of the deal consists of fixed-rate, seasoned, small-balance mortgage loans secured by first and second liens on residential properties.

Three classes of notes in Ballantyne Re PLC have been downgraded by Fitch Ratings because certain reserve funds backing the transaction have "material exposure" to subprime residential asset- and mortgage-backed securities that have experienced significant market declines.The downgrades were as follows: class A-1 floating-rate notes, from AA to A-plus; class B-1 subordinated notes, from BBB-plus to BB-plus; and class B-2 subordinated floating-rate notes, from BBB-plus to BB-plus. The ratings remain on Rating Watch Negative. The rating agency said interest payments to classes B-1 and B-2 were suspended under the terms of the indenture on Sept. 4. "The class A-1 notes were downgraded because Fitch believes the risk profile of the notes is no longer consistent with the AA rating category," Fitch said. "Similarly, classes B-1 and B-2 were downgraded because Fitch does not consider the suspension of interest to be consistent with an investment-grade rating." Ballantyne Re is a special-purpose company incorporated in Ireland.

In addition to the more than 200 additional classes of subprime mortgage-backed securities downgraded because of revised subprime loss assumptions (see item above), Fitch Ratings has also downgraded more than 90 additional classes of B&C MBS that it did not link to the changed assumptions.Fitch also affirmed the ratings on more than 120 classes from the same transactions. Among the MBS affected by the downgrades were: 52 classes from 14 issues of Credit Suisse First Boston Home Equity Asset Trust deals; 12 classes from five Option One issues; eight classes from five Asset Backed Securities Corp. issues; and eight classes from two Countrywide Asset-Backed Securitization Trust issues. The downgrades were attributed to deterioration in the relationship between credit enhancement and loss expectations.