In This Issue: Various U.S. First-Lien Subprime RMBS Classes Downgraded On July 12, 2007, Standard & Poor's addressed the July 10, 2007, CreditWatch actions on 612 U.S. residential mortgage-backed securities (RMBS) backed by U.S. first-lien subprime mortgage collateral rated from the fourth quarter of 2005 through the fourth quarter of 2006. Standard & Poor's also addressed the CreditWatch actions taken before July 10, 2007, involving 70 classes of RMBS backed by first-lien subprime mortgage collateral rated over the same time period.612 U.S. Subprime RMBS Classes Put On Watch Neg: Methodology Revisions Announced: The CreditWatch actions are being taken at this time because of poor collateral performance, our expectation of increasing losses on the underlying collateral pools, the consequent reduction of credit support, and changes that will be implemented with respect to the methodology for rating new transactions. S&P Reviews Global CDO Deals Exposed To Subprime RMBS: Following the CreditWatch action on 612 rated subprime RMBS tranches, Standard & Poor's began a review of its global universe of rated CDO transactions with exposure to RMBS. On July 12, 2007, Standard & Poor's downgraded various classes of RMBS with exposure to first-lien subprime mortgage collateral. An Update On The Australian Subprime Market: The U.S. and Australian subprime markets differ in a number of ways. First, the U.S. market is mature and makes up about 20% of all U.S. RMBS. In Australia, pools containing subprime mortgage loans make up less than 5% of securitized loans, and less than 1% of the Australian RMBS market.
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