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The classes with negative rating actions and the classes placed on Rating Watch Negative reflect the deterioration in the relationship of CE to future loss expectations and affect approximately $3 million of outstanding certificates.
The classes placed on Rating Watch show deterioration in the relationship between CE and expected losses and affect approximately $488.
The classes placed on Rating Watch Negative show signs of increasing credit risk, posing a potential threat to subordinate bonds.
The transactions that contain upgraded classes (Series 2002-D, 2002-4, 2003-AR1, 2003-AR3, 2003-3, 2003-4, 2003-6) are structured with a fixed 60+ delinquency trigger of either 16% or 16.
As of the December 2006 distribution date, CE levels for the upgraded classes have grown at least 8.
NEW YORK -- Fitch has affirmed 98, downgraded 6, and placed 9 classes on Rating Watch Negative from the following 11 Aegis Asset-Backed Securities: