Fitch Affirms $1.27B & Downgrades $265.5MM from 4 IndyMac Subprime Transactions

NEW YORK--(BUSINESS WIRE)--Fitch Ratings has taken the following rating actions on IndyMac Banks INABS certificates. Affirmations total $1.27 billion and downgrades total $265.5 million. Break Loss percentages (BL) and Loss Coverage Ratios (LCR) for each class is included with the rating actions as follows:

IndyMac INABS 2005-A

--$120 million class A-I-1 - A-II-3 affirmed at 'AAA' (BL: 70.17, LCR: 5.8);

--$31 million class M-1 affirmed at 'AA+' (BL: 55.51, LCR: 4.59);

--$29.5 million class M-2 affirmed at 'AA+' (BL: 44.84, LCR: 3.71);

--$19 million class M-3 affirmed at 'AA' (BL: 39.26, LCR: 3.25);

--$15 million class M-4 affirmed at 'AA-' (BL: 34.31, LCR: 2.84);

--$15.5 million class M-5 downgraded to 'A-' from 'A+' (BL: 17.65, LCR: 1.46);

--$14 million class M-6 downgraded to 'BBB' from 'A' (BL: 15.19, LCR: 1.26);

--$12 million class M-7 downgraded to 'BB+' from 'A-' (BL: 13.03, LCR: 1.08);

--$8 million class M-8 downgraded to 'BB' from 'BBB+' (BL: 11.54, LCR: 0.95);

--$7.5 million class M-9 downgraded to 'B+' from 'BBB' (BL: 10.21, LCR: 0.84);

--$7 million class M-10 downgraded to 'B' from 'BBB-' (BL: 9.09, LCR: 0.75).

Deal Summary

--Originators: (100% IndyMac);

--60+ day Delinquency: 26.5%;

--Realized Losses to date (% of Original Balance): 0.88%;

--Expected Remaining Losses (% of Current Balance): 12.09%;

--Cumulative Expected Losses (% of Original Balance): 4.59%.

IndyMac INABS 2005-B

--$190.2 million class A-I-1, A-II-2,A-II-3 affirmed at 'AAA' (BL: 51.76, LCR: 5.04);

--$26.7 million class M-1 affirmed at 'AA+' (BL: 43.01, LCR: 4.19);

--$24.2 million class M-2 affirmed at 'AA' (BL: 34.92, LCR: 3.4);

--$16.1 million class M-3 affirmed at 'AA' (BL: 31.08, LCR: 3.03);

--$12.7 million class M-4 affirmed at 'AA-' (BL: 27.56, LCR: 2.69);

--$11.9 million class M-5 affirmed at 'A+' (BL: 24.17, LCR: 2.35);

--$12.7 million class M-6 downgraded to 'BBB+' from 'A' (BL: 13.40, LCR: 1.31);

--$11.4 million class M-7 downgraded to 'BBB-' from 'BBB+' (BL: 11.49, LCR: 1.12);

--$8.9 million class M-8 downgraded to 'BB' from 'BBB' (BL: 9.93, LCR: 0.97);

--$8.9 million class M-9 downgraded to 'B' from 'BBB-' (BL: 8.36, LCR: 0.81);

--$6.3 million class M-10 downgraded to 'CC' with a Distressed Recovery (DR) rating of 'DR2' from 'BB+';

--$8.5 million class M-11 downgraded to 'CC' with a DR rating of 'DR3' from 'BB'.

Deal Summary

--Originators: (100% IndyMac);

--60+ day Delinquency: 22.3%;

--Realized Losses to date (% of Original Balance): 0.59%;

--Expected Remaining Losses (% of Current Balance): 10.26%;

--Cumulative Expected Losses (% of Original Balance): 4.86%.

IndyMac INABS 2005-C

--$246.6 million class A-I-1, A-II-2,A-II-3 affirmed at 'AAA' (BL: 43.38, LCR: 2.87);

--$25.5 million class M-1 affirmed at 'AA+' (BL: 37.27, LCR: 2.47);

--$22.4 million class M-2 affirmed at 'AA+' (BL: 31.54, LCR: 2.09);

--$15 million class M-3 affirmed at 'AA' (BL: 27.67, LCR: 1.83);

--$11.2 million class M-4 downgraded to 'A+' from 'AA-' (BL: 24.78, LCR: 1.64);

--$11.2 million class M-5 downgraded to 'A-' from 'A+' (BL: 21.88, LCR: 1.45);

--$9.8 million class M-6 downgraded to 'BBB' from 'A' (BL: 19.30, LCR: 1.28);

--$10.5 million class M-7 downgraded to 'BB+' from 'A-' (BL: 16.47, LCR: 1.09);

--$7.3 million class M-8 downgraded to 'BB' from 'BBB+' (BL: 14.48, LCR: 0.96);

--$6.3 million class M-9 downgraded to 'C' with a DR rating of 'DR4' from 'BBB';

--$2.4 million class M-10 downgraded to 'C' with a DR rating of 'DR5' from 'BBB-';

--$7 million class M-11 downgraded to 'C' with a DR rating of 'DR5' from 'BB+'.

Deal Summary

--Originators: (100% IndyMac);

--60+ day Delinquency: 22.00%;

--Realized Losses to date (% of Original Balance): 0.65%;

--Expected Remaining Losses (% of Current Balance): 15.11%;

--Cumulative Expected Losses (% of Original Balance): 9.04%.

IndyMac INABS 2005-D

--$389 million class A-I-1 - A-II-4 affirmed at 'AAA' (BL: 41.35, LCR: 2.9);

--$34.2 million class M-1 affirmed at 'AA+' (BL: 34.39, LCR: 2.41);

--$30.6 million class M-2 affirmed at 'AA+' (BL: 29.85, LCR: 2.09);

--$19.8 million class M-3 affirmed at 'AA' (BL: 26.46, LCR: 1.85);

--$15.3 million class M-4 downgraded to 'A+' from 'AA-' (BL: 23.82, LCR: 1.67);

--$15.3 million class M-5 downgraded to 'A-' from 'A+' (BL: 21.17, LCR: 1.48);

--$13 million class M-6 downgraded to 'BBB+' from 'A' (BL: 18.83, LCR: 1.32);

--$13.9 million class M-7 downgraded to 'BBB-' from 'A-' (BL: 16.19, LCR: 1.13);

--$11.2 million class M-8 downgraded to 'BB' from 'BBB+' (BL: 14.11, LCR: 0.99);

--$9.9 million class M-9 downgraded to 'BB-' from 'BBB' (BL: 12.64, LCR: 0.89).

Deal Summary

--Originators: (100% IndyMac);

--60+ day Delinquency: 23.4%;

--Realized Losses to date (% of Original Balance): 0.52%;

--Expected Remaining Losses (% of Current Balance): 14.28%;

--Cumulative Expected Losses (% of Original Balance): 9.72%.

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 2006 and late 2005 with regard to continued poor loan performance and home price weakness. Additional details are available in the following research, also available at www.fitchratings.com:

--'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.

Fitch's Distressed Recovery (DR) ratings, introduced in April 2006 across all sectors of structured finance, are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money. For more information on Distressed Recovery ratings, see the full report ('Structured Finance Distressed Recovery Ratings'), which is available on the Fitch Ratings web site 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.