Fitch Affirms $250.4MM & Downgrades $1.2B from 2 Ace 2006 1st Lien Subprime Deals

By: Fitch Ratings via Business Wire News Releases

February 13, 2008 at 17:29 PM EST

Fitch Ratings has taken the following rating actions on Ace mortgage pass-through certificates. Unless stated otherwise, any bonds that were previously placed on Rating Watch Negative are now removed. Affirmations total $250.4 million and downgrades total $1.2 billion. Additionally, $751.8 million remains on Rating Watch Negative. Break Loss percentages (BL) and Loss Coverage Ratios (LCR) for each class are included with the rating actions as follows:

Ace 2006-HE1

--$260.1 million class A-1A rated 'AAA', remains on Rating Watch Negative (BL: 57.58, LCR: 1.77);

--$185.3 million class A-1B1 rated 'AAA', remains on Rating Watch Negative (BL: 61.54, LCR: 1.89);

--$52.3 million class A-1B2 rated 'AAA', remains on Rating Watch Negative (BL: 99.59, LCR: 3.06);

--$37.1 million class A-2A affirmed at 'AAA', (BL: 95.40, LCR: 2.93);

--$127.7 million class A-2B affirmed at 'AAA', (BL: 66.95, LCR: 2.06);

--$88.6 million class A-2C downgraded to 'AA' from 'AAA' (BL: 56.30, LCR: 1.73);

--$78.5 million class A-2D downgraded to 'AA' from 'AAA' (BL: 51.26, LCR: 1.58);

--$101.4 million class M-1 downgraded to 'BB' from 'AA+' (BL: 45.08, LCR: 1.39);

--$92.6 million class M-2 downgraded to 'B' from 'AA+' (BL: 38.76, LCR: 1.19);

--$57.1 million class M-3 downgraded to 'B' from 'AA' (BL: 34.76, LCR: 1.07);

--$48.2 million class M-4 downgraded to 'CCC' from 'AA' (BL: 31.36, LCR: 0.96);

--$45.6 million class M-5 downgraded to 'CCC' from 'A-' (BL: 28.13, LCR: 0.86);

--$41.8 million class M-6 downgraded to 'CCC' from 'BBB+' (BL: 25.11, LCR: 0.77);

--$40.6 million class M-7 downgraded to 'CC' from 'BBB-' (BL: 22.10, LCR: 0.68);

--$36.8 million class M-8 downgraded to 'CC' from 'BB+' (BL: 19.42, LCR: 0.6);

--$26.6 million class M-9 downgraded to 'CC' from 'BB-' (BL: 17.49, LCR: 0.54);

--$31.7 million class M-10 downgraded to 'C' from 'B+' (BL: 15.63, LCR: 0.48).

Deal Summary

--Originators: Fremont (75%), OwnIt (10%)

--60+ day Delinquency: 37.19%

--Realized Losses to date (% of Original Balance): 2.02%

--Expected Remaining Losses (% of Current balance): 32.54%

--Cumulative Expected Losses (% of Original Balance): 20.28%

Ace 2006-HE2

--$217.1 million class A-1 downgraded to 'AA' from 'AAA', remains on Rating Watch Negative (BL: 49.87, LCR: 1.59);

--$24.4 million class A-2A affirmed at 'AAA', (BL: 93.23, LCR: 2.97);

--$61.2 million class A-2B affirmed at 'AAA', (BL: 63.60, LCR: 2.02);

--$42.4 million class A-2C downgraded to 'AA' from 'AAA' (BL: 53.92, LCR: 1.72);

--$37.1 million class A-2D downgraded to 'AA' from 'AAA', remains on Rating Watch Negative (BL: 48.96, LCR: 1.56);

--$38.1 million class M-1 downgraded to 'BB' from 'AA+' (BL: 42.94, LCR: 1.37);

--$34.8 million class M-2 downgraded to 'B' from 'AA' (BL: 37.22, LCR: 1.18);

--$20.7 million class M-3 downgraded to 'B' from 'AA-' (BL: 33.80, LCR: 1.08);

--$17.4 million class M-4 downgraded to 'CCC' from 'A+' (BL: 30.92, LCR: 0.98);

--$16.9 million class M-5 downgraded to 'CCC' from 'A' (BL: 28.10, LCR: 0.89);

--$16.4 million class M-6 downgraded to 'CCC' from 'A-' (BL: 25.32, LCR: 0.81);

--$14.6 million class M-7 downgraded to 'CC' from 'BBB+' (BL: 22.73, LCR: 0.72);

--$13.6 million class M-8 downgraded to 'CC' from 'BBB-' (BL: 20.15, LCR: 0.64);

--$9.4 million class M-9 downgraded to 'CC' from 'BB+' (BL: 18.27, LCR: 0.58);

--$8.5 million class M-10 downgraded to 'CC' from 'BB' (BL: 16.62, LCR: 0.53);

--$9.4 million class M-11 downgraded to 'C' from 'B+' (BL: 15.07, LCR: 0.48).

Deal Summary

--Originators: Argent (34%), Chapel (11%)

--60+ day Delinquency: 31.82%

--Realized Losses to date (% of Original Balance): 1.40%

--Expected Remaining Losses (% of Current balance): 31.44%

--Cumulative Expected Losses (% of Original Balance): 21.55%

The rating of the A-1B2 class from Ace 2006-HE1 is supported by a financial guaranty policy provided by CIFG (Insurer Financial Strength rated 'AAA' and on Rating Watch Negative by Fitch).

A detailed report on the financial condition of CFIG is available in the RMBS press release titled 'Fitch Places CIFG's 'AAA' IFS Rating on Watch Negative' dated Feb. 8, 2008 available on the Fitch Ratings website at 'wwwfitchratings.com'.

The rating actions are based on changes that Fitch has made to its subprime loss forecasting assumptions. The updated assumptions better capture the deteriorating performance of pools from 2007, 2006 and late 2005 with regard to continued poor loan performance and home price weakness. Additional details are available in the following research, available at www.fitchratings.com

--'Fitch Places $139B U.S. Subprime RMBS On Watch Negative on Worsening Mortgage Performance' (Feb. 1, 2008);

--'Downgrade Criteria for Recent Vintage U.S. Subprime RMBS' (Aug. 8, 2007);

--'U.S. Subprime RMBS/HEL Upgrade/Downgrade Criteria' (June 12, 2007).

All of Fitch's ratings criteria for US subprime RMBS available at www.fitchratings.com/subprime. For a list of deals currently under analysis please visit www.fitchratings.com/smartview.

Further information regarding current delinquency, loss, and credit enhancement statistics is also available at www.fitchratings.com.

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.

Contacts:

Fitch Ratings, New York
Tara Sweeney, 212-908-0347
Michele Patterson, 212-908-0779
or
Media Relations:
Sandro Scenga, 212-908-0278