Fitch Places 64 Ambac-Insured RMBS Classes on Rating Watch Negative

Business Wire, Dec 26, 2007

NEW YORK -- Concurrent with last week's rating action on Ambac Assurance Corp (Ambac), Fitch Ratings has placed 64 residential mortgage backed securities (RMBS) insured by Ambac on Rating Watch Negative

Fitch placed Ambac's 'AAA' Insurer Financial Strength (IFS) rating on Rating Watch Negative following the rating agency's updated assessment of Ambac's current exposure to RMBS, SF CDOs backed by subprime mortgage collateral and CDO-squared transactions.

The RMBS classes will remain on Rating Watch Negative while Fitch conducts a review to determine which classes will be able to maintain their 'AAA' ratings based on subordination, overcollateralization or additional forms of credit enhancement which are not dependent on the guaranty. The ratings of bonds determined to be dependent on the guaranty of Ambac due to insufficient additional credit enhancement will remain on Rating Watch Negative until rating action is taken on Ambac's IFS rating.

A detailed list of the affected RMBS bonds is available on the Fitch Ratings web site at www.fitchratings.com in the 'RMBS' sector page under 'Special Reports'.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.