by Tanta on 7/20/2007 09:19:00 PM

Fitch has affirmed ($2.383 billion) and downgraded/placed on watch negative ($32.2 million) a handful of classes of seven SASCO/Lehman RMBS. The two biggest problems are:

Structured Asset Securities Corp., Lehman Mortgage Trust (LMT), Series 2006-3
--Class A affirmed at 'AAA';
--Class M affirmed at 'AA+';
--Class B1 affirmed at 'AA';
--Class B2 affirmed at 'A';
--Class B3 downgraded to 'BB+' from 'BBB';
--Class B4 downgraded to 'BB' from 'BBB-';
--Class B5 downgraded to 'B' from 'BB';
--Class B6 downgraded to 'CCC/DR2' Distressed Recovery (DR) from 'B'.

For LMT 2006-3, the loans in 90+ delinquency at twelve months seasoning as a percentage of the current pool balance is 3.13%. The CE of the B3, B4, B5 and B6 classes are 1.39%, 1.21%, 0.80% and 0.39% respectively.

Structured Asset Securities Corp., Lehman Mortgage Trust (LMT), Series 2006-7
--Class A affirmed at 'AAA';
--Class M affirmed at 'AA+';
--Class B1 affirmed at 'AA';
--Class B2 affirmed at 'A';
--Class B3 affirmed at 'A-';
--Class B4 affirmed at 'BBB';
--Class B5 rated 'BBB-' placed on Rating Watch Negative;
--Class B6 downgraded to 'BB-' from 'BB';
--Class B7 downgraded to 'CCC/DR1' from 'B'

For LMT 2006-7, the loans in 90+ delinquency at eight months seasoning as a percentage of the current pool balance is 1.70%. The CE of the B5, B6 and B7 classes are 1.19%, 0.81% and 0.38% respectively.

LMT 2006-7 is Alt-A with some scratch & dent mixed in. LMT 2006-3 is Alt-A originated exclusively by Countrywide.

Then there was this:

Fitch Ratings-New York-20 July 2007: Fitch Ratings has taken various rating actions on the following Luminent Mortgage Loan Trust issue:
Series 2006-3:
--Class A affirmed at 'AAA';
--Class II-B-1 affirmed at 'AA';
--Class II-B-2 affirmed at 'A';
--Class II-B-3 affirmed at 'BBB';
--Class II-B-4 downgraded to 'B+' from 'BB';
--Class II-B-5 downgraded to 'CCC' from 'B' and assigned a Distressed Recovery (DR) rating of 'DR2'.

The collateral for subgroup II consists of 1,135 adjustable rate mortgage loans totaling $313,511,042, as of the cut-off date (April 1, 2006). The mortgage pool demonstrated an approximate weighted-average loan-to-value ratio (OLTV) of 76.51%. The weighted average FICO credit score was approximately 712. . . .

The downgraded classes reflect the deterioration in the relationship of CE to future loss expectations and affect approximately $3 million of outstanding certificates. Although the trust has experienced little loss thus far (0.01%), approximately 5.56% (as a percentage of the current pool balance) of loans are 60+ days delinquent at this time. This includes bankruptcy, foreclosures and real estate owned (REO) of 0.15%, 2.62% and 0.71%, respectively. The CE for the II-B-3, II-B-4 and II-B-5 classes is 1.9%, 1.14% and 0.5%, respectively.

The LUM deal is half neg am; 90% of the other half is IO.

Let me point out that so far we're talking about a few classes of a few securities at a modest total dollar amount on these Alt-A downgrades.

That tends to be how things start.

I'm just trying to make sure that if the day comes when the Alt-A downgrades come in a torrent, we are stunned but not surprised.