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Four certificates from Ace Securities Corp. Home Equity Loan Trust have been placed on review for possible downgrade by Moody's Investors Service.The affected securities are classes M8, M9A, M9B, and B1. Moody's attributed the negative rating actions to the fact that the bonds' credit enhancement levels, including excess spread, may be too low in view of projected losses. The primary originators on the transaction, which is backed by second-lien loans, are Long Beach Mortgage Co. (60%) and Fremont Investment & Loans (30%).

Four certificates from Fremont Home Loan Trust series 2006-B have been placed on review for possible downgrade by Moody's Investors Service.The affected securities are classes SL-M7, SL-M8, SL-M9, and SL-B1. The negative rating actions were attributed to the fact that the bonds' credit enhancement levels, including excess spread, may be too low in view of projected losses. The transaction is backed by second-lien loans.

The ratings of five classes from three Terwin Mortgage Trust securitizations have been placed on review for possible downgrade by Moody's Investors Service.The affected securities are as follows: series 2005-7SL, classes B-6 and B-7; series 2005-11, class I-B-7; series 2005-11, class II-B-5; and series 2006-4SL, class B-6. The watchlisting actions were attributed to recent losses that have eroded overcollateralization, possibly lowering credit enhancement levels too much to support the existing ratings. The underlying collateral backing the transactions consists mainly of second-lien residential mortgage loans.

Five certificates from New Century Home Equity Loan Trust series 2006-S1 have been placed on review for possible downgrade by Moody's Investors Service.The affected certificates are classes M4, M5, M6, M7, and M8. The negative rating actions were based on credit enhancement levels (including excess spread) that may be too low to sustain the current ratings when compared with rising projected losses. The transaction is backed by second-lien loans.

Class B-3 of SACO I Trust 2004-3 has been downgraded from B3 to Caa2 by Moody's Investors Service, and nine other certificates from various SACO I deals have been placed on review for possible downgrade.The nine certificates are as follows: series 2004-2, class B-2; series 2005-1, class B-3; series 2005-2, classes B-3 and B-4; series 2005-4, classes B-2, B-3, and B-4; and series 2005-WM1, classes B-4 and B-5. In addition, four certificates issued by SACO I Trust 2004-1 and 2004-2 were placed on review for possible upgrade. The negative rating actions were attributed to losses that have exceeded the excess spread available, thereby depleting the overcollateralization. The transactions are backed by closed-end second loans.

Three tranches from two deals issued by MASTR Second Lien Trust have been downgraded by Moody's Investors Service, and one tranche has been placed under review for possible downgrade.The downgrades were as follows: series 2005-1, class M-8, from Ba2 to B1; and series 2006-1, class M-7, from Ba1 to B3, and class M-8, from Ba2 to Caa2. Class M-6 of the latter series was placed under review for possible downgrade. The rating actions were attributed to weaker-than-expected performance by the mortgage collateral and a resulting erosion of credit support. The underlying collateral for the deals consists of second-lien, fixed-rate residential mortgage loans. The collateral in the 2005-1 was primarily originated by Accredited Home Lender (42%) and the collateral in the 2006-1 was primarily originated by Fremont Investment & Loans (47%) and American Home (31%).

Six certificates from three GSAMP Trust deals issued in 2006 have been downgraded by Moody's Investors Service.The downgrades were as follows: series 2006-S1, class B-2, from Ba2 to Caa2; series 2006-S2, class B-2, from Ba2 to Caa2; series 2006-S5, class M-6, from Baa2 to Ba3, class M-7, from Baa3 to B2, class B-1, from Ba1 to Ca, and class B-2, from Ba2 to C. In addition, the following five classes were placed on review for possible downgrade: series 2006-S1, class B-1; series 2006-S2, classes M-7 and B-1; and series 2006-S5, classes M-4 and M-5. The negative ratings actions were taken because credit enhancement levels are low given the projected losses on the underlying pools, Moody's said. "The pools of mortgages have seen a spike in losses in recent months, with high loss severity," the rating agency said. The transactions consist of subprime, second-lien, fixed-rate loans. The primary originators for the three transactions were Fremont Investment & Loans, Long Beach Mortgage Co., and New Century Mortgage Co. Moody's can be found online at http://www.moodys.com.

Twenty-seven classes from 15 Morgan Stanley subprime mortgage-backed securities have been downgraded by Fitch Ratings.Fitch also upgraded two classes and affirmed the ratings on 622 classes from 88 Morgan Stanley transactions. The negative rating actions were attributed to deterioration in the relationship between credit enhancement and expected losses. All the affected securities have serious delinquencies (ranging from loans delinquent more than 60 days to real estate owned) ranging from 20% to nearly 50%, the rating agency said.

Subprime-related mortgage exposure for U.S. asset-backed commercial paper programs fell sharply in the fourth quarter, though it remained high by historical standards, according to Fitch Ratings.The rating agency said ABCP programs had experienced a "significant spike" in subprime exposure a year earlier. Fitch attributed the recent decrease in subprime exposure to slowing originations, the resulting paydown out of warehouse facilities, and the closing of several subprime single-seller facilities in 2006. "While subprime exposure remains high on an historical basis, Fitch believes the levels are manageable, and investors remain well insulated from the pressures facing other market participants," Fitch said. The rating agency can be found on the Web at http://www.fitchratings.com.

Citibank NA has purchased from Fannie Mae a portfolio of investments representing approximately $676 million in federal Low Income Housing Tax Credits, according to the two companies.The details of the sale were not disclosed, except that the purchase price was paid in cash plus the assumption of Fannie Mae's capital obligations relating to the investments. The portfolio consisted of Fannie's investments in 12 funds owning 382 LIHTC properties. "Citibank values the opportunity to invest in low-income rental housing and is committed to keeping much-needed capital flowing to these properties," said Andy Ditton, managing director of Citibank Community Development. The companies can be found online at http://www.citigroup.com and http://www.fanniemae.com.