Moody's Takes Action on Certain Lehman XS Alt-A deals
New York, September 02, 2008 -- Moody's Investors Service has downgraded the ratings of 424 tranches from
23 Alt-A transactions issued by Lehman XS Trust. Forty downgraded
tranches remain on review for possible downgrade. Additionally,
4 tranches were confirmed at Aaa. The collateral backing these
transactions consists primarily of first-lien, fixed and
adjustable-rate, Alt-A mortgage loans.
Ratings were downgraded, in general, based on higher than
anticipated rates of delinquency, foreclosure, and REO in
the underlying collateral relative to credit enhancement levels.
Certain tranches were confirmed due to additional enhancement provided
by structural features. The actions described below are a result
of Moody's on-going review process.
Moody's Investors Service also takes action on certain insured notes as
identified below. The ratings on securities that are guaranteed
or "wrapped" by a financial guarantor is the higher of a) the rating of
the guarantor or b) the published underlying rating. The underlying
ratings reflect the intrinsic credit quality of the notes in the absence
of the guarantee. The current ratings on the below notes are consistent
with Moody's practice of rating insured securities at the higher of the
guarantor's insurance financial strength rating and any underlying rating
that is public.
Complete rating actions are as follows:
Issuer: Lehman XS Trust 2006-17
Cl. 1-A1, Downgraded to A2 from Aaa
Cl. 1-A2, Downgraded to Baa1 from Aaa
Cl. 1-A3, Downgraded to Baa1 from Aaa
Cl. 1-A4A, Downgraded to Aa2 from Aaa
Cl. 1-A4B, Downgraded to Baa1 from Aaa
Cl. 1-A5, Downgraded to B3 from Aaa; Placed Under
Review for further Possible Downgrade
Cl. 1-AIO, Downgraded to Aa2 from Aaa
Cl. WF-3-1, Downgraded to Aa2 from Aaa
Financial Guarantor: MBIA Insurance Corporation (A2, negative
outlook)
Underlying Rating: Aa2
Cl. WF-3-3, Downgraded to Aa3 from Aaa
Cl. WF-4-1, Downgraded to Aa2 from Aaa
Financial Guarantor: MBIA Insurance Corporation (A2, negative
outlook)
Underlying Rating: Aa2
Cl. WF-4-2, Downgraded to Aa2 from Aaa
Cl. WF-5, Downgraded to Aa3 from Aaa
Cl. WF-6-1, Downgraded to Aa3 from Aaa
Financial Guarantor: MBIA Insurance Corporation (A2, negative
outlook)
Underlying Rating: Aa3
Cl. WF-6-2, Downgraded to Aa3 from Aaa
Cl. WF-M1, Downgraded to Baa3 from A2
Cl. WF-M2, Downgraded to B2 from Ba2; Placed
Under Review for further Possible Downgrade
Cl. WF-M3, Downgraded to B3 from B1; Placed Under
Review for further Possible Downgrade
Cl. WF-M4, Downgraded to Caa1 from B2
Cl. WF-M5, Downgraded to Caa2 from B2
Cl. WF-M6, Downgraded to Ca from B3
Cl. WF-M7, Downgraded to Ca from B3
Cl. WF-M8, Downgraded to C from B3
Cl. WF-M9, Downgraded to C from Ca
Cl. 1-M1, Downgraded to Caa2 from B3
Cl. 1-M2, Downgraded to Ca from B3
Cl. 1-M3, Downgraded to C from B3
Cl. 1-M4, Downgraded to C from Caa1
Cl. 1-M5, Downgraded to C from Caa1
Cl. 1-M6, Downgraded to C from Caa1
Cl. 1-M7, Downgraded to C from Ca
Cl. 1-M8, Downgraded to C from Ca
Issuer: Lehman XS Trust 2006-19
Cl. A1, Downgraded to Aa1 from Aaa
Cl. A2, Downgraded to Baa1 from Aaa
Cl. A3, Downgraded to Baa1 from Aaa
Cl. A4, Downgraded to A3 from Aaa
Cl. A5, Downgraded to B3 from Aaa; Placed Under Review
for further Possible Downgrade
Cl. M1, Downgraded to Ca from B3
Cl. M2, Downgraded to C from B3
Cl. M3, Downgraded to C from B3
Cl. M4, Downgraded to C from Caa1
Cl. M5, Downgraded to C from Caa1
Cl. M6, Downgraded to C from Caa1
Cl. M7, Downgraded to C from Ca
Cl. M8, Downgraded to C from Ca
Cl. M9, Downgraded to C from Ca
Issuer: Lehman XS Trust 2007-10H
Cl. I-A1-1, Downgraded to Baa1 from Aaa
Cl. I-A1-2, Downgraded to Aa3 from Aaa
Financial Guarantor: Ambac Assurance Corporation (Aa3, negative
outlook)
Underlying Rating: Baa1
Cl. I-A2, Downgraded to Baa2 from Aaa
Cl. I-A3, Downgraded to Baa2 from Aaa
Cl. I-A4-1, Downgraded to Aa3 from Aaa
Financial Guarantor: Ambac Assurance Corporation (Aa3, negative
outlook)
Underlying Rating: Caa2
Cl. I-A4-2, Downgraded to Caa2 from Aaa
Cl. I-AIO, Downgraded to Baa1 from Aaa
Cl. II-A4, Downgraded to Aa2 from Aaa
Cl. II-AIO, Confirmed at Aaa
Cl. I-M1, Downgraded to Ca from B1
Cl. I-M2, Downgraded to Ca from B1
Cl. I-M3, Downgraded to C from B2
Cl. I-M4, Downgraded to C from B2
Cl. I-M5, Downgraded to C from B3
Cl. I-M6, Downgraded to C from B3
Cl. I-M7, Downgraded to C from B3
Cl. I-M8, Downgraded to C from B3
Cl. I-M9, Downgraded to C from Caa1
Cl. II-M1, Downgraded to Baa1 from Aa3
Cl. II-M2, Downgraded to Ba3 from A1
Cl. II-M3, Downgraded to B3 from A3
Issuer: Lehman XS Trust 2007-6
Cl. 1-A1, Downgraded to A2 from Aaa
Cl. 2-A1, Downgraded to Aa1 from Aaa
Cl. 2-AIO, Downgraded to Aa1 from Aaa
Cl. 3-A1, Downgraded to Aa3 from Aaa
Financial Guarantor: Ambac Assurance Corporation (Aa3, negative
outlook)
Underlying Rating: A1
Cl. 3-A2, Downgraded to Aa3 from Aaa
Financial Guarantor: Ambac Assurance Corporation (Aa3, negative
outlook)
Underlying Rating: A1
Cl. 3-A3-1, Downgraded to Aa3 from Aaa
Financial Guarantor: Ambac Assurance Corporation (Aa3, negative
outlook)
Underlying Rating: A1
Cl. 3-A3-2, Downgraded to Aa3 from Aaa
Financial Guarantor: Ambac Assurance Corporation (Aa3, negative
outlook)
Underlying Rating: A1
Cl. 3-A3-3, Downgraded to Aa3 from Aaa
Financial Guarantor: Ambac Assurance Corporation (Aa3, negative
outlook)
Underlying Rating: A1
Cl. 3-A4, Downgraded to Aa3 from Aaa
Financial Guarantor: Ambac Assurance Corporation (Aa3, negative
outlook)
Underlying Rating: A1
Cl. 3-A5, Downgraded to Aa3 from Aaa
Financial Guarantor: Ambac Assurance Corporation (Aa3, negative
outlook)
Underlying Rating: A1
Cl. 3-A7, Downgraded to Aa3 from Aaa
Financial Guarantor: Ambac Assurance Corporation (Aa3, negative
outlook)
Underlying Rating: A2
Cl. 3-AIO, Downgraded to A1 from Aaa
Cl. A2, Downgraded to Ba3 from Aaa
Cl. A3, Downgraded to Caa1 from Aaa
Cl. I-M1, Downgraded to Ca from B3
Cl. I-M2, Downgraded to C from B3
Cl. I-M3, Downgraded to C from Caa1
Cl. I-M4, Downgraded to C from Caa1
Cl. I-M5, Downgraded to C from Caa1
Cl. I-M6, Downgraded to C from Ca
Cl. I-M7, Downgraded to C from Ca
Cl. I-M8, Downgraded to C from Ca
Cl. I-M9, Downgraded to C from Ca
Cl. I-M10, Downgraded to C from Ca
Cl. II-M1, Downgraded to Baa3 from A3
Cl. II-M2, Downgraded to B2 from B1
Cl. II-M3, Downgraded to B3 from B1; Placed Under
Review for further Possible Downgrade
Cl. II-M4, Downgraded to B3 from B1; Placed Under
Review for further Possible Downgrade
Cl. II-M5, Downgraded to Caa1 from B2
Cl. II-M6, Downgraded to Caa2 from B3
Issuer: Lehman XS Trust Mortgage Pass-Through Certificates,
Series 2007-3
Cl. 1A-A1, Downgraded to Ba1 from Aaa
Cl. 1A-A2, Downgraded to Caa1 from Aaa
Cl. 1B-A1, Downgraded to Ba1 from Aaa
Cl. 1B-A2, Downgraded to Ba1 from Aaa
Cl. 1B-A3, Downgraded to Caa1 from Aaa
Cl. 2-A1, Downgraded to A3 from Aaa
Cl. 2-A2, Downgraded to Baa1 from Aaa
Cl. 2-A3, Downgraded to Baa1 from Aaa
Cl. 2-A4, Downgraded to Caa1 from Aaa
Cl. 3A-A, Downgraded to B3 from Aaa; Placed Under
Review for further Possible Downgrade
Cl. 3B-A2, Downgraded to Aa3 from Aaa
Cl. 3B-A3, Downgraded to B3 from Aaa; Placed
Under Review for further Possible Downgrade
Cl. 4A-A1, Downgraded to A1 from Aaa
Cl. 4A-A3, Downgraded to A2 from Aaa
Cl. 4A-A4, Downgraded to B3 from Aaa; Placed
Under Review for further Possible Downgrade
Cl. 4B-A1, Downgraded to A1 from Aaa
Cl. 4B-A2, Downgraded to B3 from Aaa; Placed
Under Review for further Possible Downgrade
Cl. 4A-AIO, Confirmed at Aaa
Cl. 4B-AIO, Downgraded to A1 from Aaa
Cl. 1-M1, Downgraded to Ca from B2
Cl. 1-M2, Downgraded to Ca from B3
Cl. 1-M3, Downgraded to C from B3
Cl. 1-M4, Downgraded to C from B3
Cl. 1-M5, Downgraded to C from Ca
Cl. 1-M6, Downgraded to C from Ca
Cl. 1-M7, Downgraded to C from Ca
Cl. 2-M1, Downgraded to Caa2 from B2
Cl. 2-M2, Downgraded to Ca from B2
Cl. 2-M3, Downgraded to Ca from B3
Cl. 2-M4, Downgraded to Ca from B3
Cl. 2-M5, Downgraded to C from Ca
Cl. 2-M6, Downgraded to C from Ca
Cl. 2-M7, Downgraded to C from Ca
Cl. 2-M8, Downgraded to C from Ca
Cl. 2-M9, Downgraded to C from Ca
Cl. 3-M1, Downgraded to Caa1 from B1
Cl. 3-M2, Downgraded to Caa2 from B2
Cl. 3-M3, Downgraded to Ca from B3
Cl. 3-M4, Downgraded to C from Ca
Cl. 3-M5, Downgraded to C from Ca
Cl. 4-M1, Downgraded to Caa1 from B1
Cl. 4-M2, Downgraded to Caa2 from B2
Cl. 4-M3, Downgraded to Ca from B3
Cl. 4-M4, Downgraded to C from B3
Cl. 4-M5, Downgraded to C from Ca
Cl. 4-M6, Downgraded to C from Ca
Issuer: Lehman XS Trust Series 2005-10
Cl. 1-A1, Downgraded to Ba1 from Aaa
Cl. 1-A3, Downgraded to Aa2 from Aaa
Cl. 1-A4, Downgraded to A1 from Aaa
Cl. I-A5, Downgraded to Ba2 from Aaa
Financial Guarantor: CIFG (Ba2)
Underlying Rating: Ba2
Cl. 2-A2, Downgraded to Aa2 from Aaa
Cl. 2-A3A, Downgraded to Aa2 from Aaa
Cl. 2-A3B, Downgraded to Aa2 from Aaa
Cl. 2-A4B, Downgraded to A1 from Aaa
Cl. 2-A5B, Downgraded to A1 from Aaa
Cl. 1-M1, Downgraded to Ca from B3
Cl. 1-M2, Downgraded to C from Caa1
Cl. 1-M3, Downgraded to C from Caa1
Cl. 1-M4, Downgraded to C from Ca
Cl. 2-M1, Downgraded to Baa1 from Aa3
Cl. 2-M2, Downgraded to Baa3 from A1
Cl. 2-M3, Downgraded to B3 from Baa3
Cl. 2-M4, Downgraded to Ca from B3
Cl. 2-M5, Downgraded to C from Ca
Issuer: Lehman XS Trust Series 2005-2
Cl. 2-A3A, Downgraded to Aa2 from Aaa
Financial Guarantor: MBIA Insurance Corporation (A2, negative
outlook)
Underlying Rating: Aa2
Cl. 2-A3B, Downgraded to Aa2 from Aaa
Cl. 2-A4, Downgraded to Aa2 from Aaa
Cl. 1-M1, Downgraded to A2 from Aa2
Cl. 1-M2, Downgraded to B3 from Baa3
Cl. 1-M3, Downgraded to C from Caa1
Cl. 2-M1, Downgraded to Ba2 from Baa2
Issuer: Lehman XS Trust Series 2005-4
Cl. 1-A4, Downgraded to Aa1 from Aaa
Financial Guarantor: Ambac Assurance Corporation (Aa3, negative
outlook)
Underlying Rating: Aa1
Cl. 2-A2, Downgraded to A1 from Aaa
Cl. 2-A3A, Downgraded to A1 from Aaa
Cl. 2-A3B, Downgraded to A1 from Aaa
Cl. 2-A4, Downgraded to Aa3 from Aaa
Financial Guarantor: Ambac Assurance Corporation (Aa3, negative
outlook)
Underlying Rating: A1
Cl. 2-A5A, Downgraded to Aa1 from Aaa
Cl. 2-A5B, Downgraded to A2 from Aaa
Cl. 1-M1, Downgraded to Ba1 from A1
Cl. 1-M2, Downgraded to Ca from B3
Cl. 1-M3, Downgraded to C from Caa2
Cl. 2-M1, Downgraded to B3 from A3
Cl. 2-M2, Downgraded to Caa3 from B2
Cl. 2-M3, Downgraded to C from Caa1
Issuer: Lehman XS Trust Series 2005-8
Cl. 1-A3, Downgraded to Aa3 from Aaa
Cl. 1-A4, Downgraded to Ba1 from Aaa
Financial Guarantor: CIFG (Ba2)
Underlying Rating: Ba1
Cl. 2-A1B, Downgraded to Aa2 from Aaa
Cl. 2-A2, Downgraded to Aa2 from Aaa
Cl. 2-A3, Downgraded to Aa3 from Aaa
Financial Guarantor: CIFG (Ba2)
Underlying Rating: Aa3
Cl. 2-A4B, Downgraded to A1 from Aaa
Cl. 1-M1, Downgraded to Caa2 from B3
Cl. 1-M2, Downgraded to C from B3
Cl. 1-M3, Downgraded to C from Caa1
Cl. 1-M4, Downgraded to C from Ca
Cl. 1-M5, Downgraded to C from Ca
Cl. 2-M1, Downgraded to Baa3 from A1
Cl. 2-M2, Downgraded to Ba2 from A3
Cl. 2-M3, Downgraded to B3 from Ba2
Cl. 2-M4, Downgraded to Caa3 from B2
Cl. 2-M5, Downgraded to Ca from B3
Cl. 2-M6, Downgraded to C from Caa1
Issuer: Lehman XS Trust Series 2006-11
Cl. 1-A2, Downgraded to Aa2 from Aaa
Cl. 1-A3, Downgraded to Aa2 from Aaa
Cl. 1-A4, Downgraded to Ba3 from Aaa
Cl. 2-A1, Downgraded to Baa3 from Aaa
Cl. 2-A2, Downgraded to Ba1 from Aaa
Cl. 2-A3, Downgraded to Ba1 from Aaa
Cl. 2-A4, Downgraded to Ba2 from Aaa
Cl. M1, Downgraded to B3 from B2; Placed Under Review
for further Possible Downgrade
Cl. M2, Downgraded to B3 from B2; Placed Under Review
for further Possible Downgrade
Cl. M3, Downgraded to Caa1 from B3
Cl. M4, Downgraded to Caa2 from B3
Cl. M5, Downgraded to Ca from B3
Cl. M6, Downgraded to Ca from B3
Cl. M7, Downgraded to C from Caa1
Cl. M8, Downgraded to C from Ca
Cl. M9, Downgraded to C from Ca
Issuer: Lehman XS Trust Series 2006-13
Cl. 1-A1, Confirmed at Aaa
Cl. 1-A2, Downgraded to Aa2 from Aaa
Cl. 1-A3, Downgraded to Aa3 from Aaa
Cl. 1-A4, Downgraded to Aa2 from Aaa
Cl. 1-A5, Downgraded to B2 from Aaa
Cl. 2-A1, Downgraded to Ba2 from Aaa
Cl. 1-M1, Downgraded to Caa1 from B3
Cl. 1-M2, Downgraded to Ca from B3
Cl. 1-M3, Downgraded to Ca from B3
Cl. 1-M4, Downgraded to Ca from Caa1
Cl. 1-M5, Downgraded to C from Caa1
Cl. 1-M6, Downgraded to C from Caa1
Cl. 1-M7, Downgraded to C from Caa1
Cl. 1-M8, Downgraded to C from Ca
Cl. 1-M9, Downgraded to C from Ca
Cl. 2-M1, Downgraded to B3 from Ba1; Placed Under
Review for further Possible Downgrade
Cl. 2-M2, Downgraded to Caa3 from B1
Cl. 2-M3, Downgraded to Ca from B2
Cl. 2-M4, Downgraded to C from Ca
Cl. 2-M5, Downgraded to C from Ca
Issuer: Lehman XS Trust Series 2006-15
Cl. A1, Downgraded to Aa1 from Aaa
Cl. A2, Downgraded to Aa2 from Aaa
Cl. A3, Downgraded to Aa2 from Aaa
Cl. A4, Downgraded to Aa1 from Aaa
Cl. A5, Downgraded to B2 from Aaa
Cl. M1, Downgraded to Caa1 from B3
Cl. M2, Downgraded to Caa3 from B3
Cl. M3, Downgraded to Ca from B3
Cl. M4, Downgraded to Ca from B3
Cl. M5, Downgraded to C from B3
Cl. M6, Downgraded to C from Caa1
Cl. M7, Downgraded to C from Caa1
Cl. M8, Downgraded to C from Ca
Cl. M9, Downgraded to C from Ca
Issuer: Lehman XS Trust Series 2006-20
Cl. A1, Downgraded to A1 from Aaa
Cl. A2, Downgraded to A3 from Aaa
Cl. A3, Downgraded to Baa1 from Aaa
Cl. A4, Downgraded to A3 from Aaa
Cl. A5, Downgraded to B3 from Aaa; Placed Under Review
for further Possible Downgrade
Cl. AIO, Downgraded to A1 from Aaa
Cl. M1, Downgraded to Ca from B3
Cl. M2, Downgraded to Ca from B3
Cl. M3, Downgraded to C from B3
Cl. M4, Downgraded to C from Caa1
Cl. M5, Downgraded to C from Caa1
Cl. M6, Downgraded to C from Caa1
Cl. M7, Downgraded to C from Ca
Cl. M8, Downgraded to C from Ca
Cl. M9, Downgraded to C from Ca
Issuer: Lehman XS Trust Series 2006-5
Cl. 1-A1A, Downgraded to Aa1 from Aaa
Cl. 1-A1B, Downgraded to Baa3 from Aaa
Cl. 2-A1, Downgraded to Aa1 from Aaa
Cl. 2-A2, Downgraded to Baa1 from Aaa
Cl. 2-A3, Downgraded to Baa2 from Aaa
Cl. 2-A4B, Downgraded to Baa3 from Aaa
Cl. M1, Downgraded to B2 from A3; Placed Under Review
for further Possible Downgrade
Cl. M2, Downgraded to B3 from Ba3; Placed Under Review
for further Possible Downgrade
Cl. M3, Downgraded to Caa1 from B2
Cl. M4, Downgraded to Ca from B3
Cl. M5, Downgraded to Ca from B3
Cl. M6, Downgraded to C from B3
Cl. M7, Downgraded to C from Caa1
Cl. M8, Downgraded to C from Ca
Cl. M9, Downgraded to C from Ca
Issuer: Lehman XS Trust Series 2006-7
Cl. 1-A1A, Downgraded to Aa2 from Aaa
Cl. 1-A1B, Downgraded to Ba2 from Aaa
Cl. 2-A2, Downgraded to Ba1 from Aaa
Cl. 2-A3A, Downgraded to Aa2 from Aaa
Cl. 2-A3B, Downgraded to Ba2 from Aaa
Cl. M1, Downgraded to B3 from Ba2; Placed Under Review
for further Possible Downgrade
Cl. M2, Downgraded to Caa2 from B3
Cl. M3, Downgraded to Ca from B3
Cl. M4, Downgraded to C from B3
Cl. M5, Downgraded to C from B3
Cl. M6, Downgraded to C from Caa1
Cl. M7, Downgraded to C from Ca
Cl. M8, Downgraded to C from Ca
Cl. M9, Downgraded to C from Ca
Issuer: Lehman XS Trust Series 2006-8
Cl. 1-A1B, Downgraded to A1 from Aaa
Cl. 2-A1, Downgraded to Aa3 from Aaa
Cl. 2-A3, Downgraded to Aa3 from Aaa
Cl. 2-A4A, Confirmed at Aaa
Cl. 2-A4B, Downgraded to A1 from Aaa
Cl. 3-A1A, Downgraded to Aa1 from Aaa
Cl. 3-A1B, Downgraded to Aa1 from Aaa
Cl. 3-A2, Downgraded to Aa2 from Aaa
Cl. 3-A3, Downgraded to Aa3 from Aaa
Cl. 3-A4, Downgraded to Aa3 from Aaa
Cl. 3-A5, Downgraded to A1 from Aaa
Cl. M1, Downgraded to Baa2 from A3
Cl. M2, Downgraded to Ba3 from Baa3
Cl. M3, Downgraded to B3 from Ba3; Placed Under Review
for further Possible Downgrade
Cl. M4, Downgraded to B3 from B2; Placed Under Review
for further Possible Downgrade
Cl. M5, Downgraded to Caa1 from B2
Cl. M6, Downgraded to Ca from B3
Cl. M7, Downgraded to Ca from B3
Cl. M8, Downgraded to C from Ca
Cl. M9, Downgraded to C from Ca
Issuer: Lehman XS Trust Series 2006-9
Cl. A1B, Downgraded to Aa3 from Aaa
Cl. A1C, Downgraded to Aa3 from Aaa
Cl. A2, Downgraded to Ba3 from Aaa
Cl. M1, Downgraded to B3 from B2; Placed Under Review
for further Possible Downgrade
Cl. M2, Downgraded to Caa3 from B3
Cl. M3, Downgraded to Ca from B3
Cl. M4, Downgraded to Ca from B3
Cl. M5, Downgraded to C from Caa1
Cl. M6, Downgraded to C from Caa1
Cl. M7, Downgraded to C from Ca
Cl. M8, Downgraded to C from Ca
Cl. M9, Downgraded to C from Ca
Issuer: Lehman XS Trust Series 2007-1
Cl. 1-A1, Downgraded to A1 from Aaa
Cl. 1-A2, Downgraded to Ba1 from Aaa
Cl. 1-A3, Downgraded to Ba1 from Aaa
Cl. 1-A4, Downgraded to Ba1 from Aaa
Cl. 1-A5, Downgraded to Caa1 from Aaa
Cl. 2-A1, Downgraded to B3 from Aaa; Placed Under
Review for further Possible Downgrade
Cl. WF-1, Downgraded to Baa2 from Aaa
Cl. WF-M1, Downgraded to Ba3 from Baa3
Cl. WF-M2, Downgraded to B3 from B1; Placed Under
Review for further Possible Downgrade
Cl. WF-M3, Downgraded to Caa1 from B1
Cl. WF-M4, Downgraded to Ca from B3
Cl. WF-M5, Downgraded to C from Ca
Cl. WF-M6, Downgraded to C from Ca
Cl. WF-M7, Downgraded to C from Ca
Cl. M1, Downgraded to Caa2 from B3
Cl. M2, Downgraded to Ca from B3
Cl. M3, Downgraded to C from B3
Cl. M4, Downgraded to C from Ca
Cl. M5, Downgraded to C from Ca
Cl. M6, Downgraded to C from Ca
Issuer: Lehman XS Trust Series 2007-11
Cl. A1, Downgraded to B2 from Aaa
Cl. A2, Downgraded to B2 from Aaa
Cl. A3, Downgraded to A1 from Aaa
Cl. A4, Downgraded to B3 from Aaa; Placed Under Review
for further Possible Downgrade
Cl. A5, Downgraded to Caa1 from Aaa; Placed Under Review
for further Possible Downgrade
Cl. AIO, Downgraded to A1 from Aaa
Cl. M1, Downgraded to Ca from B1
Cl. M2, Downgraded to C from B1
Cl. M3, Downgraded to C from B2
Cl. M4, Downgraded to C from B3
Cl. M5, Downgraded to C from B3
Cl. M6, Downgraded to C from B3
Cl. M7, Downgraded to C from B3
Cl. M8, Downgraded to C from Caa1
Cl. M9, Downgraded to C from Caa1
Cl. M10, Downgraded to C from Ca
Cl. M11, Downgraded to C from Ca
Issuer: Lehman XS Trust Series 2007-14H
Cl. A1-1, Downgraded to Ba2 from Aaa
Cl. A1-2, Downgraded to Ba2 from Aaa
Cl. A2-1-1, Downgraded to Aa1 from Aaa
Cl. A2-1-2, Downgraded to Ba3 from Aaa
Cl. A2-2, Downgraded to Aa3 from Aaa
Financial Guarantor: Ambac Assurance Corporation (Aa3, negative
outlook)
Underlying Rating: Ba2
Cl. A3, Downgraded to B3 from Aaa; Placed Under Review
for further Possible Downgrade
Cl. A4, Downgraded to Aa3 from Aaa
Financial Guarantor: Ambac Assurance Corporation (Aa3, negative
outlook)
Underlying Rating: Caa1
Cl. AIO, Downgraded to Aa1 from Aaa
Cl. M1, Downgraded to Caa2 from B1
Cl. M2, Downgraded to Caa3 from B1
Cl. M3, Downgraded to Ca from B2
Cl. M4, Downgraded to Ca from B2
Cl. M5, Downgraded to C from B3
Cl. M6, Downgraded to C from B3
Cl. M7, Downgraded to C from B3
Cl. M8, Downgraded to C from B3
Cl. M9, Downgraded to C from Caa1
Issuer: Lehman XS Trust Series 2007-5H
Cl. 1-A1, Downgraded to A1 from Aaa
Cl. 2-A1, Downgraded to Aa1 from Aaa
Cl. 1-A2, Downgraded to B3 from Aaa; Placed Under
Review for further Possible Downgrade
Cl. 1-APO, Downgraded to B2 from Aaa; Placed
Under Review for further Possible Downgrade
Cl. 1-AIO, Downgraded to A1 from Aaa
Cl. 2-A2, Downgraded to B3 from Aaa; Placed Under
Review for further Possible Downgrade
Cl. 3-A2, Downgraded to Caa3 from Aaa; Placed
Under Review for further Possible Downgrade
Cl. 3-A3, Downgraded to B3 from Aaa; Placed Under
Review for further Possible Downgrade
Cl. 3-A4, Downgraded to B3 from Aaa; Placed Under
Review for further Possible Downgrade
Cl. 3-A5, Downgraded to B3 from Aaa; Placed Under
Review for further Possible Downgrade
Cl. 3-AIO1, Downgraded to B3 from Aaa; Placed
Under Review for further Possible Downgrade
Cl. 3-AIO2, Downgraded to B3 from Aaa; Placed
Under Review for further Possible Downgrade
Cl. I-M1, Downgraded to Ca from Aa2
Cl. II-M1, Downgraded to C from Aa2
Issuer: Lehman XS Trust Series 2007-8H
Cl. A1, Downgraded to Ba2 from Aaa
Cl. A2, Downgraded to Ba3 from Aaa
Cl. A3, Downgraded to Aa3 from Aaa
Cl. A4, Downgraded to B1 from Aaa
Cl. A5, Downgraded to Caa1 from Aaa
Cl. AIO, Downgraded to Aa3 from Aaa
Cl. M1, Downgraded to Caa2 from B1
Cl. M2, Downgraded to Ca from B2
Cl. M3, Downgraded to Ca from B2
Cl. M4, Downgraded to C from B3
Cl. M5, Downgraded to C from B3
Cl. M6, Downgraded to C from B3
Cl. M7, Downgraded to C from Caa1
Cl. M8, Downgraded to C from Caa1
Issuer: Lehman XS Trust Series 2007-9
Cl. I-A1, Downgraded to B1 from Aaa
Cl. I-A2, Downgraded to B2 from Aaa
Cl. I-A3, Downgraded to B2 from Aaa
Cl. I-A4, Downgraded to Caa1 from Aaa; Placed
Under Review for further Possible Downgrade
Cl. I-AIO, Downgraded to B1 from Aaa
Cl. WF-M1, Downgraded to Aa3 from Aa1
Cl. WF-M2, Downgraded to Ba2 from A2
Cl. WF-M3, Downgraded to B1 from A3; Placed Under
Review for further Possible Downgrade
Cl. WF-M4, Downgraded to B2 from Baa2; Placed
Under Review for further Possible Downgrade
Cl. WF-M5, Downgraded to B3 from Ba3; Placed
Under Review for further Possible Downgrade
Cl. WF-M6, Downgraded to B3 from B1; Placed Under
Review for further Possible Downgrade
Cl. WF-M7, Downgraded to B3 from B1; Placed Under
Review for further Possible Downgrade
Cl. WF-M8, Downgraded to Caa1 from B1
Cl. WF-M9, Downgraded to Ca from B2
Cl. I-M1, Downgraded to Ca from B2
Cl. I-M2, Downgraded to C from B3
Cl. I-M3, Downgraded to C from B3
Cl. I-M4, Downgraded to C from Ca
Cl. I-M5, Downgraded to C from Ca
Cl. I-M6, Downgraded to C from Ca
Cl. I-M7, Downgraded to C from Ca
Cl. I-M8, Downgraded to C from Ca
Cl. I-M9, Downgraded to C from Ca
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF141452
For more information please see www.moodys.com.
New York
Amelia (Amy) Tobey
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Ilana Fried
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653