Origination

Eight-five classes of subprime mortgage pass-through certificates from 11 transactions issued by First Franklin Mortgage Loan Trust have been downgraded by Fitch Ratings as a result of changes to its subprime loss forecasting assumptions. Fitch also placed five First Franklin classes on Rating Watch Negative and affirmed the ratings on classes with outstanding balances of $2.3 billion. The rating actions were attributed to changes in 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." The rating agency can be found online at http://www.fitchratings.com.

The issuer default rating of First American Corp., a Santa Ana, Calif.-based provider of title, mortgage, and other business information, has been placed on Rating Watch Negative by Fitch Ratings. Also placed on Rating Watch Negative were First American's senior debt rating, the trust preferred securities rating of First American Capital Trust, and the insurer financial strength rating of First American Insurance Cos. Fitch said the actions were based on "a significant deterioration in First American's pro forma capital adequacy under Fitch's Risk Adjusted Capital model, bringing the company to a level that was incompatible with both the rating category and peer companies." The company can be found online at http://www.firstam.com.

Radian Group Inc., a Philadelphia-based mortgage insurer, has announced its entry into a waiver agreement with its lenders that suspends the ratings covenant under its credit facility. Radian said it is not in default of the covenant, but has requested temporary relief from it. "The relief under the waiver agreement is intended to provide Radian and its lenders with sufficient time to discuss a definite amendment to the credit agreement, which must be entered into by April 30, 2008, to avoid reinstatement of the covenant," the company said. Radian said it is now in discussions with its lenders regarding such an amendment. While the waiver is in effect, Radian may not borrow additional amounts under the credit facility.

The percentage of consumers who believe homes are attractively priced has increased to a record high even as concerns about higher prices for other items has dropped overall consumer confidence to lows not seen since the early 1980s, according to a University of Michigan index. "Buying conditions for homes improved, reversing much of the decline registered in March, as a record-high 58% of respondents felt that prices were low and good buys were available (interestingly, borrowing costs and credit conditions were viewed less negatively)," said RBS Greenwich Capital strategist Michelle Girard in a report on the university's consumer sentiment index. The overall index fell to a low not seen since March 1982, and current and expected personal finances dropped to their lowest readings since November 1982 and April 1980, respectively, due to concern about high prices for items like food and fuel.

Five classes from the Credit Based Asset Servicing and Securitization LLC series 2004-CB8 transaction have been downgraded by Fitch Ratings. The downgrades were as follows: class M-3, from A to A-minus; class B-1, from A-minus to BBB-plus; class B-2, from BBB-plus to BBB-minus; class B-3, from BBB to BB; and class B-4, from BB to B (and removed from Rating Watch Negative). The downgrades were based on deterioration in the relationship between credit enhancement and loss expectations, Fitch said. The collateral consists primarily of first-lien subprime mortgages.

Six classes of commercial mortgage-backed securities from three issuers have been downgraded by Fitch Ratings. The downgrades were as follows: Office Portfolio Trust 2001-HRPT, class H, from BB-plus to BB; Bear Stearns 2001-TOP2, class K, from B-plus to B, class L, from B to B-minus, and class M, from B-minus/DR4 to CC/DR4; and CSFB 2001-CP4, class M, from B to B-minus, and class N, from B-minus/DR1 to CCC/DR2. Fitch said the downgrades followed a vintage analysis of the 2000 and 2001 vintages of U.S. CMBS, which included 46 transactions. The rating agency also placed one CMBS class on Rating Watch Negative, upgraded 19 classes, and affirmed the ratings on 465 classes.

Seventy-eight additional classes of subprime mortgage pass-through certificates were downgraded by Fitch Ratings on April 9 as a result of changes to its subprime loss forecasting assumptions. Fitch also affirmed the ratings on classes with outstanding balances of more than $1.1 billion. The pass-through securities affected by the latest downgrades were: 47 classes from six issues by C-BASS; 20 classes from three issues by Fieldstone; and 11 classes from three issues by Terwin Mortgage Trust. 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."

Moody's Investors Service has downgraded more than 500 tranches in over 50 subprime residential mortgage-backed securities transactions from four issuers. Of the downgraded tranches, 146 remain on review for possible further downgrade. The negative rating actions affected the following securities: 268 tranches from 27 subprime RMBS deals issued by Bear Stearns; 104 tranches from 11 subprime deals issued by Argent; 92 tranches from nine subprime deals issued by INABS; and 63 tranches from seven deals issued by Ixis. The downgrades, in general, were based on higher-than-expected rates of delinquency, foreclosure, and real estate owned in the underlying collateral relative to credit enhancement levels, Moody's said. The collateral consists primarily of first-lien subprime residential mortgage loans. The rating agency can be found online at http://www.moodys.com.

The BBB-minus issuer default rating and outstanding debt ratings of Sovran Self Storage Inc., a real estate investment trust based in Buffalo, N.Y., and Sovran Acquisition LP have been placed on Rating Watch Negative by Fitch Ratings. Fitch said the action affects approximately $450 million of debt and "stems from Sovran's significant decrease in liquidity relative to prior periods, primarily driven by the lack of availability under the company's fully drawn $100 million revolving line of credit that matures in September 2008, and a modest amount of availability on a $40 million term loan also maturing in 2008." Sovran can be found on the Web at http://www.sovranss.com.

The exposure of U.S. property-and-casualty insurance companies to subprime mortgage-related collateral is "manageable," according to Fitch Ratings. In a special report on the subject, Fitch analyzed 2007 financial results for publicly traded U.S. property-and-casualty insurers and found "manageable impact on stockholders' equity" from writedowns and realized and unrealized losses related to residential mortgage-backed securities, asset-backed securities, and collateralized debt obligations. Fitch noted that it has taken "very limited" negative rating actions in the P&C sector due to subprime exposure, but said it expects "poor collateral performance in subprime-related investments to continue in 2008, and has growing concerns in the [alternative-A] sector." The rating agency added that "highly illiquid, volatile market conditions have spread somewhat to other asset classes which could impact insurers' broader investment portfolio performance." Fitch can be found online at http://www.fitchratings.com.