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Class A of SARM Net Interest Margin Notes, series 2005-5, has been placed under review for possible downgrade by Moody's Investors Service.Moody's said the rating action was based on the performance of the Structured Adjustable Rate Mortgage Loan Trust 2005-5. "The transaction has experienced high prepayments, which has adversely affected the NIM by reducing the dollar amount of payments made to the A-IO2 class, which serves as collateral in this NIM transaction," the rating agency said. Moody's noted that NIM deals typically represent the securitization of excess spread, prepayment penalties, and cap payments generated by the underlying residential mortgage-backed securities.

Class B-1 of GE Capital 1998-HE1 has been placed under review for possible downgrade by Moody's Investors Service.Moody's said the rating action was based on credit enhancement levels that are low in view of projected losses. The collateral underlying the transaction consists of closed-end, fixed-rate, first-lien residential mortgage loans. The rating agency can be found online at http://www.moodys.com.

Four classes from three subprime Renaissance Home Equity Loan Trust residential mortgage-backed securities have been downgraded by Fitch Ratings.The downgrades were as follows: series 2002-1, class B, from BBB to BBB-minus (and removed from Rating Watch Negative); series 2002-2, class B, from BBB to BBB-minus; and series 2002-3, class M2, from A to BBB-plus, and class B, from BBB to C (and removed from Rating Watch Negative). In addition, class B of series 2002-3 was assigned a Distressed Recovery rating of DR4, and the ratings on nine other classes from the three transactions were affirmed. Fitch attributed the downgrades to a deterioration in the relationship between credit enhancement and expected losses. Fitch can be found online at http://www.fitchratings.com.

Fitch Ratings has announced the introduction of new model-based stress criteria for securitizations involving the U.S. dollar London interbank offered rate that it says will better capture the potential effects of basis risk.Fitch said it will solicit market feedback for one month before releasing its final criteria, after which the stresses will be updated monthly. The criteria changes are likely to have the biggest effect on consumer asset-backed securities and residential mortgage-backed securities, according to Claire Mezzanotte, a Fitch managing director. Ahmet Kocagil, a managing director in Quantitative Financial Research at Fitch, said the major advantage of the new methodology is that "the basis-risk assumptions are applied uniformly over different securitized products based on past occurrences and future projections of market interest rate dynamics." The rating agency can be found online at http://www.fitchratings.com.

Freddie Mac has announced changes to the eligibility requirements for its real estate mortgage investment conduit program, starting with August settlements.Initial Interest fixed-rate Gold participation certificates with the prefixes H0 (10/20), H1 (15/15), and H2 (10/10) will now be eligible for use as assets in REMIC securities, Freddie Mac said. Freddie will also permit Initial Interest fixed-rate Gold PCs and regularly amortizing fixed-rate Gold PCs with the same coupon and term to be included in the same REMIC group. Freddie Mac said the change is aimed at offering more options for secondary-market execution for the products and, ultimately, providing more competitive rates to mortgage borrowers. The company began offering Initial Interest Gold PCs early last year. The securities are backed by loans that initially have interest-only periods and thereafter are fully amortizing. For example, the prefix H0 (10/20) identifies a 10-year interest-only period followed by a 20-year fully amortizing period.

C&F Financial Corp., West Point, Va., has announced a delay in the reporting of its second-quarter earnings, citing recently uncovered evidence that two former employees of C&F Mortgage Corp. embezzled approximately $2.2 million from the subsidiary.The parent company said its management, general counsel, external and internal auditors, and outside counsel are undertaking "a full and complete investigation" of the matter under the supervision of its audit committee. C&F Financial said it expects to release its financial results for the second quarter within about two weeks. The company can be found online at http://www.cffc.com.

Sanders Morris Harris Group Inc., Houston, has announced plans to exit the mortgage-backed agency and high-grade corporate bond businesses in New York City.The company said the move will close most of the fixed-income activities that it staffed with former Advest bond department employees at the end of last year. It estimated that its operating losses in the New York Fixed Income Division totaled approximately $2.2 million in the second quarter. SMHG said its core high-yield and syndicate activities in New York will continue, as will its Houston Fixed Income Division. The company can be found online at http://www.smhgroup.com.

Five classes from two issues of CDC Mortgage Capital Trust mortgage pass-through certificates have been downgraded by Fitch Ratings.The downgrades were as follows: series 2003-HE1, class B-1, from BBB to BB-plus, and class B-2, from BBB-minus to BB-minus; and series 2003-HE2, class B-1, from BBB-plus to BBB, class B-2, from BBB to BB-plus, and class B-3, from BBB-minus to BB-minus. The last two classes were also removed from Rating Watch Negative. In addition, Fitch affirmed the ratings on six classes from the two transactions. The rating agency attributed the downgrades to a deterioration in the relationship between credit enhancement and expected losses. The pools consist of fixed- and adjustable-rate subprime mortgages.

RealtyTrac, an online foreclosure marketplace based in Irvine, Calif., has reported that 272,109 properties nationwide entered some stage of foreclosure in the second quarter, a 16% decrease from the level of the previous quarter but a 25% year-over-year increase.The company's 2006 Q2 U.S. Foreclosure Market Report is based on the company's database of pre-foreclosure and foreclosure properties, which it says includes nearly 600,000 properties in more than 2,500 counties across the country. "Foreclosure filings in the second quarter of 2006 present a classic 'good news, bad news' scenario," said James J. Saccacio, RealtyTrac's chief executive officer. "A 25% increase from the second quarter of 2005 obviously isn't a positive trend. But, despite some of the sensational reports we've seen lately, foreclosure filings have actually slowed down since peaking in February." The company said Colorado, Georgia, and Texas had the nation's highest foreclosure rates in the second quarter. RealtyTrac can be found online at http://www.realtytrac.com.

Eight classes from four issues of subprime Long Beach Mortgage Loan Trust residential mortgage-backed securities have been downgraded by Fitch Ratings.The downgrades were as follows: series 2001-4 group 1, class I-M2, from BB to CCC; series 2001-4 group 2, class II-M1, from AA-minus to A-minus, and class II-M2, from BB to CCC; series 2003-1, class M-4, from BBB-minus to BB-minus; series 2003-2, class M-4, from BBB-plus to BBB, and class M-5, from BBB to BBB-minus; and series 2003-3, class M-3, from BBB to BBB-minus, and class M-4, from BBB-minus to BB-minus. The downgraded classes from series 2003-1, 2003-2, and 2003-3 were removed from Rating Watch Negative. Fitch also affirmed the ratings on 20 classes from five Long Beach transactions, and removed class M-3 of series 2003-1 and class M-6 of series 2003-4 from Rating Watch Negative. The downgrades were attributed to continued deterioration in the relationship between credit enhancement and loss expectations. "Of particular note, the performance of these transactions has also been adversely affected by a growing concentration of loans secured with manufactured homes," Fitch said.