2nd-Lien Subprime RMBS Classes Downgraded

Fifty-two securities originated in 2005 and backed by subprime closed-end second-lien mortgage loans have been downgraded by Moody's Investors Service.Of the downgraded securities, 27 remain on review for possible downgrade. Moody's placed 23 other classes on review for possible downgrade and upgraded 52 classes. The negative actions, affecting residential mortgage-backed securities with an original face value of nearly $600 million, were based on the fact that projected pipeline losses have increased in recent months and are likely to affect the credit support for the certificates, Moody's said. As with its negative rating actions on first-lien subprime RMBS classes (see item above), Moody's cited "aggressive underwriting" and "prolonged, slowing home price appreciation" as the causes of significant deterioration in loan performance.