/raid1/www/Hosts/bankrupt/TCR_Public/090412.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, April 12, 2009, Vol. 13, No. 100
Headlines
AMERICAN HOME: Moody's Downgrades Ratings on Four 2006-3 Tranches
ARBOR REALTY: Moody's Downgrades Ratings on Eight 2005-1 Notes
ARBOR REALTY: Moody's Downgrades Ratings on 10 2006-1 Notes
BA COVERED: Moody's Corrects March 31 Ratings Press Release
CABELA'S CREDIT: Fitch Expects to Rate Class D Notes at 'BB+'
CDO REPACKAGING: S&P Downgrades Rating on Class 1 2006-A Units
CHUKCHANSI ECONOMIC: Moody's Cuts Corporate Family Rating to 'B3'
CONSUMER PORTFOLIO: Moody's Takes Rating Actions on Auto Loans
CREDIT SUISSE: S&P Junks Rating on 2004-MCW1 Class M-9 Certs.
FIRST FRANKLIN: Moody's Cuts Ratings on Four 2006-FFA Tranches
FRANKLIN CLO: Fitch Junks Rating on $16 Mil. Class D Notes
GHISALLO LIMITED: Moody's Junks Rating on $400 Mil. Class A Notes
GRAMERCY REAL: Moody's Cuts Ratings on 10 Classes of 2006-1 Notes
GRAMERCY REAL: Moody's Downgrades Ratings on Nine 2005-1 Notes
GSMSC PASS-THROUGH: Moody's Assigns 'B1' Rating on Class 1A2
HOMEBANC MORTGAGE: Moody's Downgrades Ratings on 10 Tranches
ISCHUS MEZZANINE: S&P Downgrades Rating on Class X Notes to 'B-'
KENTWOOD ECONOMIC DEV'T: Fitch Cuts Outstanding Ratings to 'BB+'
LBSBC NIM: S&P Puts Ratings on 2006-3 Notes on Negative Watch
MASSACHUSETTS DEV'T FINANCE: S&P Withdraws Rating Upon Request
METRIX SECURITIES: Moody's Downgrades Ratings on 13 Classes
MORTGAGE CAPITAL: Interest Shortfalls Cue S&P's Rating Cut to 'D'
N STAR REL: Moody's Downgrades Ratings on Six Classes of Notes
NEW YORK IDA: Moody's Cuts Rating on Airport Revenue Bonds to Ba2
NORTHSTAR CBO: Fitch Changes Ratings on Class A-3 to 'C/RR6'
OWS CLO: Moody's Downgrades Ratings on Various Classes of Notes
PETRA CDO: Moody's Cuts Ratings on 10 Classes of 2007-1 Notes
PNC MORTGAGE: S&P Downgrades Ratings on Four 1999-CM1 Certificates
PUMA CAPITAL: S&P Withdraws 'B' Rating on Class G Notes
PUTNAM STRUCTURED: Fitch Takes Rating Actions on 2001-1 Notes
REA LIQUIDITY TRUST: DBRS Releases Performance Update for S2004-1
RESTRUCTURED ASSET: S&P Corrects Rating on 2006-15-A Certs. To 'D'
RBSSP RESECURITIZATION: DBRS Junks 33 Classes of 2009-4 Notes
ROCK 1 CRE: Moody's Downgrades Ratings on 14 Classes of Notes
SAGE COLLEGES: Moody's Affirms 'Ba2' Rating on 1999 Fixed Bonds
SALOMON BROS: S&P Downgrades Ratings on Four 2001-C1 Certs.
SEQUILS-CENTURION V: Fitch Junks Rating on $57 Mil. Secured Notes
SETCAP STRUCTURED: Moody's Completes Review; Confirms Note Ratings
SOLAR INVESTMENT: Fitch Junks Ratings on Five Classes of Notes
SOLAR INVESTMENT: Fitch Junks Ratings on Four Classes of Notes
TEXAS AFFORDABLE HOUSING: S&P Cuts Mortgage Revenue Bonds to 'D'
TPG-AUSTIN PORTFOLIO: S&P Withdraws 'CCC' Corporate Credit Rating
WACHOVIA CRE: Moody's Downgrades Ratings on 16 2006-1 Notes
WAMU MORTGAGE: S&P Corrects Ratings on 2007-HY7 Certs. To 'B+'
* Fitch Takes Various Rating Actions on 58 SFs and 98 CRE CDOs
* Moody's Puts Ratings on 18 Interest Rate Swaps to March 31 RMBS
* Moody's Downgrades Ratings on 47 Tranches from Nine Alt-A RMBS
* Moody's Cuts Ratings on 149 Tranches Backed by Housing Loans
* S&P Takes Rating Actions on Six Corporate Credit Unions
* S&P Downgrades Ratings on 14 Classes from Three 2005 RMBS Deals
* S&P Puts Ratings on 31 Asia-Pacific CDOs on Negative CreditWatch
* S&P Downgrades Ratings on 48 Classes from Three Prime Jumbo RMBS
* S&P Downgrades Ratings on 89 Classes from Three RMBS Deals
* S&P Downgrades Ratings on 166 Classes from 72 Risk Transfer RMBS
* S&P Downgrades Ratings on 174 Classes from 10 RMBS Transactions
* S&P Downgrades Ratings on 293 Classes from 14 Prime Jumbo RMBS
* S&P Downgrades Ratings on 385 Classes from 13 RMBS Transactions
* S&P Puts Ratings on 654 Classes on Negative CreditWatch
* S&P Puts Ratings on 1,994 Classes on Negative CreditWatch
*********
AMERICAN HOME: Moody's Downgrades Ratings on Four 2006-3 Tranches
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches issued in American Home Mortgage Investment Trust 2006-3
transaction. Underlying securities' collateral consists primarily
of closed-end second lien residential mortgage loans.
The ratings on the securities were monitored by evaluating factors
Moody's determined to be essential in the analysis of securities
backed by such loans. The salient factors include: i) Moody's
review of the nature, sufficiency, and quality of historical loan
performance information, ii) analysis of the collateral
composition and pool credit performance including prepayment, loan
delinquency and loss data, iii) consideration of the transaction's
capital structure and related allocations of collateral cash flows
and losses, and iv) a comparison of current credit enhancement
levels to updated Moody's pool loss projections based on present
collateral credit performance.
When analyzing underlying ratings for CES and HELOC transactions,
Moody's projects cumulative losses for each deal based on a
collateral analysis of the deal's Constant Prepayment Rate and
Constant Default Rate.
CPR - CPR is based on the average of the last six months 1-month
CPR.
CDR - There are two approaches for determining pool CDR. The
first approach calculates CDR based on pool loan losses from the
previous twelve months, i.e. recent losses. A second approach is
based on pipeline losses -- losses derived from days-aged
delinquencies and Moody's assumptions for default based on days
delinquent, in foreclosure, or liquidation, and the severity of
loss given default. Moody's assumes 100% severity for second
liens, including both CES and HELOCs. After the CDR is calculated
using the two methods, the effective CDR for loss projection
purposes is determined by using a weighted average of the CDRs as
determined by the recent loss and pipeline loss approaches -- with
weightings determined on a transaction by transaction basis.
Moody's assumes that the CDR will not decline for the next three
years and will decline subsequently for the life of the deal under
a schedule, typically reducing by 50% in year 4 and remaining
constant thereafter.
Based on calculated CPR and CDR, Moody's calculates projected
deal-specific cumulative losses and the weighted average life of
the deal. The credit enhancement calculation can also include
credit for excess spread, i.e. the aggregate, positive difference
in the weighted average loan coupon and the all-inclusive
securities' interest and deal fees, including servicing. Excess
spread benefit is calculated by multiplying the stressed
annualized excess spread by the weighted average life of the deal.
Aggregate credit enhancement which combines subordination benefit
(including over-collateralization and/or reserve accounts) and
excess spread benefit is compared with projected cumulative losses
for the deal to derive coverage multiples and associated ratings
by deal tranche. Moody's will analyze tranche coverage multiples
after consideration of timing of tranche repayment and allocation
of losses (if any).
Issuer: American Home Mortgage Investment Trust 2006-3
-- Cl. IV-A, Downgraded to Ca; previously on 4/7/2008 Downgraded
to Baa3 and Placed Under Review for Possible Downgrade
-- Cl. IV-M-1, Downgraded to C; previously on 4/7/2008
Downgraded to Ba2
-- Cl. IV-M-2, Downgraded to C; previously on 4/7/2008
Downgraded to Caa1
-- Cl. IV-M-3, Downgraded to C; previously on 4/7/2008
Downgraded to Caa2
ARBOR REALTY: Moody's Downgrades Ratings on Eight 2005-1 Notes
--------------------------------------------------------------
Moody's Investors Service confirmed the rating of one class and
downgraded the ratings of eight classes of Notes issued by Arbor
Realty Mortgage Securities Series 2005-1, Ltd. The rating actions
are:
-- Class A1, $161,500,000, Floating Rate Notes Due 2038,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A2, $40,375,000, Floating Rate Notes Due 2038,
downgraded to Aa3 from Aaa; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class B, $57,000,000, Floating Rate Notes Due 2038,
downgraded to Baa2 from Aa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class C, $25,370,427, Floating Rate Capitalized Interest
Notes Due 2038, downgraded to Ba2 from A1; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class D, $8,727,427, Floating Rate Capitalized Interest Notes
Due 2038, downgraded to Ba2 from A2; previously on 3/12/2009
Placed Under Review for Possible Downgrade
-- Class E, $7,712,610, Floating Rate Capitalized Interest Notes
Due 2038, downgraded to Ba3 from A3; previously on 3/12/2009
Placed Under Review for Possible Downgrade
-- Class F, $15,019,293, Floating Rate Capitalized Interest
Notes Due 2038, downgraded to Ba3 from Baa1; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class G, $11,162,988, Floating Rate Capitalized Interest
Notes Due 2038, downgraded to Ba3 from Baa2; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class H, $15,222,256, Floating Rate Capitalized Interest
Notes Due 2038, downgraded to Ba3 from Baa3; previously on
3/12/2009 Placed Under Review for Possible Downgrade
Moody's downgraded Classes A2, B, C, D, E, F, G and H due to
revised modeling parameters. Moody's ratings are based on the
current credit quality of the collateral and may not reflect
potential migration as per the legal documentation.
The pool contains a 35.2% concentration in B-Notes originated
between 2005 and 2008. The remaining collateral includes
Mezzanine Loans, Whole Loans, commercial real estate
collateralized debt obligations, Rake Bonds and Preferred Equity.
Moody's expects the aggregate default rate on CMBS loans (1.59% as
of March 2009) to revert to its long-term historical average of
1.5% to 2.0% in 2009, and most likely to surpass this level as the
market begins to form a bottom in 2010 and 2011. Commercial
property values, which have declined about 21% from the peak
reached in October 2007, are expected to decline an additional 5
to 15% over the next 18 to 24 months.
Moody's has revised three key parameters in Moody's model for
rating and monitoring commercial real estate collateralized debt
obligations - asset correlation, default probability, and recovery
rate. These revisions are generally consistent with recent
revisions to the key parameter assumptions for rating and
monitoring other collateralized debt obligation transactions
backed by structured finance securities.
Moody's has updated its asset correlation assumption for the
commercial real estate sector to be consistent with one of Moody's
CDO rating models, CDOROM v2.5 (released on February 3, 2009),
which incorporates these new parameters. However, for CRE CDOs
with non-CUSIP collateral, Moody's is reducing the maximum over
concentration stress applied to correlation factors by half due to
the diversity of tenants, property types, and geographic locations
inherent in the collateral pools. Previously, the average asset
correlations used for CMBS within CRE CDO deals ranged between 15%
and 35%, depending on vintage and issuer diversity. In light of
the systemic seizure of the credit markets, as well as higher
intra industry and inter industry asset correlations, the updated
correlation parameters for CRE CDOs will imply an average range of
asset correlations of between 30% and 60% for the underlying
collateral.
Moody's has previously stated that CRE CDO deals with collateral
concentrations in CMBS certificates will likely be among the first
transactions to be affected by credit issues that arise, and that
the additional leverage inherent in these deals creates the
potential for greater ratings transitions compared to that of a
first order transaction (i.e., those containing non-CUSIP assets).
For CRE CDOs with CUSIP collateral, the additional default
probability stress sometimes applied to resecuritization
collateral will not be applied to Moody's review of conduit and
fusion commercial mortgage backed securities collateral from the
2006 to 2008 vintages due to a recent ratings sweep of these
transactions. Based on Moody's current expectations for
commercial real estate performance, Moody's have migrated the
ratings for recent vintage CMBS to levels that Moody's believe
will remain relatively stable for the next 12 to 24 months. As
such, Moody's has eliminated the vintage stress factor and default
probability resecuritization stress from its analysis of deals
with recent vintage CMBS collateral.
For deals with pre-2006 CMBS collateral, Moody's is adopting the
default probability resecuritization stress assumptions contained
within CDOROM v2.5 to capture the leveraging effect and potential
ratings volatility of the underlying collateral. For CMBS, this
factor is equivalent to two times the probability of default for
non-Aaa and six times the PD for Aaa-rated collateral. For CRE
CDOs, this factor is equivalent to four times the probability of
default for non-Aaa and twelve times the PD for Aaa-rated
collateral. The lower stress for CMBS is due to the historical
stable performance of this asset class.
For CRE CDOs with non-CUSIP collateral, Moody's is eliminating the
additional default probability stress in CDOROM v2.5 that is
applied to corporate debt as Moody's anticipate that the
underlying non-CMBS collateral will experience lower default rates
and higher recovery rates. In addition, Moody's is reducing the
maximum over concentration stress applied to correlation factors
by half due to the diversity of tenants, property types, and
geographic locations inherent in the collateral pools. For those
deals that are significantly less diversified, Moody's will add
back over concentration stress as warranted.
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. This is Moody's first review since
securitization. Moody's review at securitization is summarized in
the Pre-Sale report dated December 6, 2005.
ARBOR REALTY: Moody's Downgrades Ratings on 10 2006-1 Notes
-----------------------------------------------------------
Moody's Investors Service downgraded the ratings of 10 classes of
Notes issued by Arbor Realty Mortgage Securities Series 2006-1.
The rating actions are:
-- Class A1-A, $230,000,000, Floating Rate Notes Due 2042,
downgraded to Aa1 from Aaa; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class A-1AR, $100,000,000, Floating Rate Notes Due 2042;
downgraded to Aa1 from Aaa; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class A-2, $72,900,000, Floating Rate Notes Due 2042,
downgraded to Baa3 from Aaa; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class B, $41,100,000, Floating Rate Notes Due 2042,
downgraded to Ba2 from Aa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class C, $31,200,000, Floating Rate Notes Due 2042,
downgraded to B3 from A1; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class D, $13,350,000, Floating Rate Notes Due 2042,
downgraded to Caa1 from A2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class E, $14,250,000, Floating Rate Notes Due 2042,
downgraded to Caa1 from A3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class F, $13,650,000, Floating Rate Notes Due 2042,
downgraded to Caa2 from Baa1; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class G, $16,950,000, Floating Rate Notes Due 2042,
downgraded to Caa2 from Baa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class H, $14,100,000, Floating Rate Notes Due 2042,
downgraded to Caa3 from Baa3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
Moody's downgraded all Classes due to revised modeling parameters.
The pool contains approximately a 5.0% concentration in CDO
collateral and the remaining is comprised of whole loans, B-Notes,
mezzanine debt and other forms of debt. Moody's ratings are based
on the current credit quality of the collateral and may not
reflect potential migration as per the legal documentation.
Moody's expects the aggregate default rate on CMBS loans (1.59% as
of March 2009) to revert to its long-term historical average of
1.5% to 2.0% in 2009, and most likely to surpass this level as the
market begins to form a bottom in 2010 and 2011. Commercial
property values, which have declined about 21% from the peak
reached in October 2007, are expected to decline an additional 5
to 15% over the next 18 to 24 months.
Moody's has revised three key parameters in Moody's model for
rating and monitoring commercial real estate collateralized debt
obligations - asset correlation, default probability, and recovery
rate. These revisions are generally consistent with recent
revisions to the key parameter assumptions for rating and
monitoring other collateralized debt obligation transactions
backed by structured finance securities.
Moody's has updated its asset correlation assumption for the
commercial real estate sector to be consistent with one of Moody's
CDO rating models, CDOROM v2.5 (released on February 3, 2009),
which incorporates these new parameters. However, for CRE CDOs
with non-CUSIP collateral, Moody's is reducing the maximum over
concentration stress applied to correlation factors by half due to
the diversity of tenants, property types, and geographic locations
inherent in the collateral pools. Previously, the average asset
correlations used for CMBS within CRE CDO deals ranged between 15%
and 35%, depending on vintage and issuer diversity. In light of
the systemic seizure of the credit markets, as well as higher
intra industry and inter industry asset correlations, the updated
correlation parameters for CRE CDOs will imply an average range of
asset correlations of between 30% and 60% for the underlying
collateral.
Moody's has previously stated that CRE CDO deals with collateral
concentrations in CMBS certificates will likely be among the first
transactions to be affected by credit issues that arise, and that
the additional leverage inherent in these deals creates the
potential for greater ratings transitions compared to that of a
first order transaction (i.e., those containing non-CUSIP assets).
For CRE CDOs with CUSIP collateral, the additional default
probability stress sometimes applied to resecuritization
collateral will not be applied to Moody's review of conduit and
fusion commercial mortgage backed securities collateral from the
2006 to 2008 vintages due to a recent ratings sweep of these
transactions. Based on Moody's current expectations for
commercial real estate performance, Moody's have migrated the
ratings for recent vintage CMBS to levels that Moody's believe
will remain relatively stable for the next 12 to 24 months. As
such, Moody's has eliminated the vintage stress factor and default
probability resecuritization stress from its analysis of deals
with recent vintage CMBS collateral.
For deals with pre-2006 CMBS collateral, Moody's is adopting the
default probability resecuritization stress assumptions contained
within CDOROM v2.5 to capture the leveraging effect and potential
ratings volatility of the underlying collateral. For CMBS, this
factor is equivalent to two times the probability of default for
non-Aaa and six times the PD for Aaa-rated collateral. For CRE
CDOs, this factor is equivalent to four times the probability of
default for non-Aaa and twelve times the PD for Aaa-rated
collateral. The lower stress for CMBS is due to the historical
stable performance of this asset class.
For CRE CDOs with non-CUSIP collateral, Moody's is eliminating the
additional default probability stress in CDOROM v2.5 that is
applied to corporate debt as Moody's anticipate that the
underlying non-CMBS collateral will experience lower default rates
and higher recovery rates. In addition, Moody's is reducing the
maximum over concentration stress applied to correlation factors
by half due to the diversity of tenants, property types, and
geographic locations inherent in the collateral pools. For those
deals that are significantly less diversified, Moody's will add
back over concentration stress as warranted.
In Moody's analysis of synthetic CRE CDOs, it historically
employed a fixed recovery rate by the asset's original rating and
tranche size. Moody's current analysis uses a simulation based
mean recovery rate based on the asset's current rating and tranche
size. This is consistent with the assumptions underlying CDOROM
v2.5. With this more robust approach, Moody's expects to capture
in Moody's ratings more of the tail risk associated with
variability of recovery rates.
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. This is Moody's first full review since
securitization.
BA COVERED: Moody's Corrects March 31 Ratings Press Release
-----------------------------------------------------------
Moody's Investors Service has issued a statement to correct its
press release issued on March 31 announcing a rating action as to
covered bonds issued by BA Covered Bond Program, which release
misstated the percentage of overcollateralization that Moody's
considers as "committed" under the program. The amount of
overcollateralization that Moody's considers to be committed is
approximately 4%, which is the minimum overcollateralization
specified in the program documents. The prior press release
incorrectly listed this percentage as approximately 7.5%, which
was the overcollateralization level in effect on the issuance
dates of the covered bonds. The substance of the correction does
not have any effect on the rating action.
According to its revised release, Moody's placed on review for
possible downgrade the Aaa ratings of the covered bonds issued by
BA Covered Bond Program. This rating action follows Moody's
recent downgrade of Bank of America, N.A.'s long-term senior
unsecured ratings to Aa3 from Aa2 and bank financial strength
rating to D from B- on March 25, 2009. Bank of America, N.A. is
the sponsor of the covered bond program.
The rating action reflects Moody's view that the rating of a
covered bond with a high degree of exposure to market value risk
(i.e. high refinancing risk) is closely linked to the rating of
its sponsor. Moody's ratings on covered bonds address both the
sponsor's obligation to pay the covered bonds as well as the value
that may be realized on the cover pool following a sponsor's
default. The dependence of the rating on the value of the cover
pool increases as the strength of the sponsor decreases. For this
program, if the sponsor defaults, the realization on the cover
pool is particularly subject to market value risk. Under the
terms of the program, following a default by the sponsor, the
entire cover pool (over $10 billion of mortgage loans) may need to
be sold in less than 120 days. Under current market conditions,
such a sale may obtain an exceptionally low price or not be
completed at all.
Moody's has also assigned a Timely Payment Indicator of
"improbable" to the program. The TPI of "improbable" is primarily
driven by the exposure to market value risk discussed. This TPI
is consistent with the TPI for the only other U.S. covered bond
program, sponsored by JPMorgan Chase Bank (acquired from
Washington Mutual Bank), which employs comparable liquidation
mechanisms in its structure. The TPI indicates Moody's view of
the likelihood that covered bond investors will be paid timely
interest and principal following a default of the sponsor of a
covered bond program.
During the review period Moody's will focus on refining Moody's
estimate of the realization value of the cover pool in a highly
unlikely event of the sponsor defaulting. The data on the trading
of mortgages of similar credit quality is extremely sparse in the
current market. The estimation of the realization value of the
cover pool will also take into account the size of the cover pool
relative to the available liquidity in the market.
At this stage, Moody's estimate that the likely ratings outcome
will not exceed two notches (i.e. not lower than Aa2). The
ultimate rating outcome will be dependent upon any change that the
sponsor may make to the program structure which may include an
increase in level of committed overcollateralization. The level
of overcollateralization in this program that Moody's considers to
be committed is approximately 4%, which is the minimum
overcollateralization specified in the program documents. In
Moody's analysis, Moody's give full credit only to the level of
committed overcollateralization. The current level of total
overcollateralization reported is approximately 37%, which
includes approximately 33% of overcollateralization that Moody's
considers as "not committed."
CABELA'S CREDIT: Fitch Expects to Rate Class D Notes at 'BB+'
-------------------------------------------------------------
Fitch Ratings expects to rate Cabela's Credit Card Master Note
Trust, series 2009-I notes:
-- $425,000,000 class A floating-rate asset-backed notes (2009-
I) 'AAA';
-- $40,000,000 class B fixed-rate asset-backed notes (2009-I)
'A+';
-- $21,250,000 class C fixed-rate asset-backed notes (2009-I)
'BBB+';
-- $13,750,000 class D fixed-rate asset-backed notes (2009-I)
'BB+'.
The class A notes of series 2009-I will be publicly offered and
will be eligible collateral for a loan under the Term Asset-Backed
Loan Facility provided by the Federal Reserve Bank of New York.
Fitch's expected ratings are based on the underlying receivables
pool, available credit enhancement, World's Foremost Bank's
underwriting and servicing capabilities, and the transaction's
legal and cash flow structures, which employ early redemption
triggers.
The transaction structure is similar to series 2008-IV, with
credit enhancement totaling 15% for class A, credit enhancement of
7% for the class B, credit enhancement of 2.75% plus an amount
from a spread account for the class C, and credit enhancement of
an amount from a spread account for the class D notes only.
CDO REPACKAGING: S&P Downgrades Rating on Class 1 2006-A Units
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the
class 1 units issued by CDO Repackaging Trust Securities Series
2006-A, a retranching of the class A-1L notes issued by Mid Ocean
CBO 2000-1 Ltd. to 'BBB' from 'A-'. S&P lowered the rating on the
class A-1L notes on Mid Ocean CBO 2000-1 to 'B+' from 'BB' on Oct.
8, 2008. Since then, the class A overcollateralization ratio for
Mid Ocean CBO 2000-1 Ltd. has fallen to 90.0% on March 2, 2009,
down from 92.7% on Oct. 2, 2008, despite over $4.5 million in
principal payments to the A-1L notes within the same time period.
The lowered rating reflects the factors that have negatively
affected the credit enhancement available to support this class.
S&P will continue to monitor the performance of the transaction to
ensure that the rating reflects the credit enhancement available
to support the notes.
Rating Lowered
CDO Repackaging Trust Securities Series 2006-A
Rating
------
Class To From
----- -- ----
1 units BBB A-
CHUKCHANSI ECONOMIC: Moody's Cuts Corporate Family Rating to 'B3'
-----------------------------------------------------------------
Moody's Investors Service lowered Chukchansi Economic Development
Authority's corporate family rating and senior unsecured notes
rating to B3 from B2. It also downgraded the probability of
default rating to B2 from B1. The rating outlook remains
negative. The rating actions reflect the material deterioration
in the Authority's financial leverage and Moody's expectation that
continued economic weakness will constrain near-term improvement.
Weakening economic conditions in the Authority's local market of
Fresno, California, significantly reduced spend per visit, net
revenues and EBITDA in 2008. As a result, total debt/EBITDA, as
adjusted by Moody's, rose to 5.9 times as of December 31, 2008, a
level that is no longer in line with a B1 probability of default
rating. Additionally, Moody's believes that the economic
environment will remain challenging in 2009, with little
improvement expected in Chukchansi's financial leverage. More
positively, Moody's expect the Authority's liquidity profile to
remain adequate.
The rating outlook remains negative at this junction, reflecting
the risk that weak economic conditions could continue to
negatively weigh on Chukchansi's operating performance and
preclude de-leveraging.
Ratings downgraded:
- Corporate Family Rating to B3 from B2
- Probability of Default Rating to B2 from B1
- Senior Note Rating to B3 (LGD4, 68%) from B2 (LGD4, 66%)
The last rating action was on September 25, 2008, when Moody's
revised the rating outlook to negative from stable.
Chukchansi is a wholly owned enterprise of the Picayune Rancheria
of Chukchansi Indians, a federally-recognized Indian tribe with
approximately 1,250 enrolled members. Chukchansi operates the
Chukchansi Gold Resort & Casino, a facility located 35 miles north
of Fresno, California.
CONSUMER PORTFOLIO: Moody's Takes Rating Actions on Auto Loans
--------------------------------------------------------------
Moody's has taken rating actions on certain subprime auto loan
transactions sponsored by Consumer Portfolio Services, Inc.
between 2006 and 2008. The decisions were prompted by Moody's
updated higher loss expectations relative to current levels of
credit enhancement.
Moody's outlook for the US vehicle sector is negative. The
economy will drive performance, particularly unemployment.
Moody's currently anticipates these transactions to incur lifetime
cumulative net losses between 21.00% and 24.00%. Moody's had
originally expected cumulative net losses to be between 12.00% and
15.00%. The weak performance of the recent CPS transactions has
coincided with the challenging economic environment that has put
pressure on auto loan performance in general.
The underlying ratings reflect the intrinsic credit quality of the
notes in the absence of the guarantee. The current ratings on the
below notes are consistent with Moody's practice of rating insured
securities at the higher of the guarantor's insurance financial
strength rating and any underlying rating.
Complete rating actions are:
Issuer: CPS Auto Receivables Trust 2006-D
Class Description: Class A-3
-- Current Rating: Aa3; previously on November 23, 2008
Downgraded to Aa3 from Aaa
-- Financial Guarantor: Financial Security Assurance Inc. (Aa3;
previously on November 21, 2008 Downgraded to Aa3 from Aaa)
-- Underlying rating: Downgraded to Baa3 from Baa2; previously
on December 31, 2008 Placed Under Review for Possible
Downgrade
Issuer: CPS Auto Receivables Trust 2006-D
Class Description: Class A-4
-- Current Rating: Aa3; previously on November 23, 2008
Downgraded to Aa3 from Aaa
-- Financial Guarantor: Financial Security Assurance Inc. (Aa3;
previously on November 21, 2008 Downgraded to Aa3 from Aaa)
-- Underlying rating: Downgraded to Baa3 from Baa2; previously
on December 31, 2008 Placed Under Review for Possible
Downgrade
Issuer: CPS Auto Receivables Trust 2006-D
-- Class Description: Class B, Downgraded to B1 from Ba3;
previously on December 21, 2006 Assigned Ba3
Issuer: CPS Auto Receivables Trust 2007-A
Class Description: Class A-2
-- Current Rating: Baa3; previously on February 18, 2009
Downgraded to Baa2 and Placed Under Review for Possible
Downgrade from Baa1
-- Financial Guarantor: MBIA (B3; previously on February 18,
2009 Downgraded to B3 from Baa1)
-- Underlying rating: Downgraded to Baa3 from Baa2; previously
on December 31, 2008 Placed Under Review for Possible
Downgrade
Issuer: CPS Auto Receivables Trust 2007-A
Class Description: Class A-3
-- Current Rating: Baa3; previously on February 18, 2009
Downgraded to Baa2 and Placed Under Review for Possible
Downgrade from Baa1
-- Financial Guarantor: MBIA (B3; previously on February 18,
2009 Downgraded to B3 from Baa1)
-- Underlying rating: Downgraded to Baa3 from Baa2; previously
on December 31, 2008 Placed Under Review for Possible
Downgrade
Issuer: CPS Auto Receivables Trust 2007-A
Class Description: Class A-4
-- Current Rating: Baa3; previously on February 18, 2009
Downgraded to Baa2 and Placed Under Review for Possible
Downgrade from Baa1
-- Financial Guarantor: MBIA (B3; previously on February 18,
2009 Downgraded to B3 from Baa1)
-- Underlying rating: Downgraded to Baa3 from Baa2; previously
on December 31, 2008 Placed Under Review for Possible
Downgrade
Issuer: CPS Auto Receivables Trust 2007-A
-- Class Description: Class B, Downgraded to B1 from Ba3;
previously on March 29, 2007 Assigned Ba3
Issuer: CPS Auto Receivables Trust 2007-B
Class Description: Class A-2
-- Current Rating: Aa3; previously on November 23, 2008
Downgraded to Aa3 from Aaa
-- Financial Guarantor: Financial Security Assurance Inc. (Aa3;
previously on November 21, 2008 Downgraded to Aa3 from Aaa)
-- Underlying rating: Downgraded to Baa3 from Baa2; previously
on December 31, 2008 Placed Under Review for Possible
Downgrade
Issuer: CPS Auto Receivables Trust 2007-B
Class Description: Class A-3
-- Current Rating: Aa3; previously on November 23, 2008
Downgraded to Aa3 from Aaa
-- Financial Guarantor: Financial Security Assurance Inc. (Aa3;
previously on November 21, 2008 Downgraded to Aa3 from Aaa)
-- Underlying rating: Downgraded to Baa3 from Baa2; previously
on December 31, 2008 Placed Under Review for Possible
Downgrade
Issuer: CPS Auto Receivables Trust 2007-B
Class Description: Class A-4
-- Current Rating: Aa3; previously on November 23, 2008
Downgraded to Aa3 from Aaa
-- Financial Guarantor: Financial Security Assurance Inc. (Aa3;
previously on November 21, 2008 Downgraded to Aa3 from Aaa)
-- Underlying rating: Downgraded to Baa3 from Baa2; previously
on December 31, 2008 Placed Under Review for Possible
Downgrade
Issuer: CPS Auto Receivables Trust 2008-A
Class Description: Class A-2
-- Current Rating: Aa3; previously on November 23, 2008
Downgraded to Aa3 from Aaa
-- Financial Guarantor: Financial Security Assurance Inc. (Aa3;
previously on November 21, 2008 Downgraded to Aa3 from Aaa)
-- Underlying rating: Downgraded to Baa1 from A3; previously on
December 31, 2008 Placed Under Review for Possible Downgrade
Issuer: CPS Auto Receivables Trust 2008-A
Class Description: Class A-3
-- Current Rating: Aa3; previously on November 23, 2008
Downgraded to Aa3 from Aaa
-- Financial Guarantor: Financial Security Assurance Inc. (Aa3;
previously on November 21, 2008 Downgraded to Aa3 from Aaa)
-- Underlying rating: Downgraded to Baa1 from A3; previously on
December 31, 2008 Placed Under Review for Possible Downgrade
Issuer: CPS Auto Receivables Trust 2008-A
Class Description: Class A-4
-- Current Rating: Aa3; previously on November 23, 2008
Downgraded to Aa3 from Aaa
-- Financial Guarantor: Financial Security Assurance Inc. (Aa3;
previously on November 21, 2008 Downgraded to Aa3 from Aaa)
-- Underlying rating: Downgraded to Baa1 from A3; previously on
December 31, 2008 Placed Under Review for Possible Downgrade
CREDIT SUISSE: S&P Junks Rating on 2004-MCW1 Class M-9 Certs.
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on Credit
Suisse International's reference notes referencing Park Place
Securities Inc. asset-backed pass-through certificates series
2004-MCW1 class M-9 certificates maturing Oct. 28, 2034, to 'CC'
from 'BB'.
The rating action reflects the March 20, 2009, lowering of the
rating on Park Place Securities Inc.'s asset-backed pass-through
certificates series 2004-MCW1 class M-9 certificates maturing
Oct. 25, 2034, to 'CC' from 'BB'.
The rating on the reference notes is dependent on the lower of (i)
the rating on Park Place Securities Inc.'s series 2004-MCW1 class
M-9 notes due Oct. 25, 2034, ('CC'); and (ii) the rating on the
issuer, Credit Suisse International (A+/Stable/A-1).
FIRST FRANKLIN: Moody's Cuts Ratings on Four 2006-FFA Tranches
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches issued in First Franklin Mortgage Loan Trust 2006-FFA
transaction. Underlying securities' collateral consists primarily
of closed-end second lien residential mortgage loans.
The ratings on the securities were monitored by evaluating factors
Moody's determined to be essential in the analysis of securities
backed by such loans. The salient factors include: i) Moody's
review of the nature, sufficiency, and quality of historical loan
performance information, ii) analysis of the collateral
composition and pool credit performance including prepayment, loan
delinquency and loss data, iii) consideration of the transaction's
capital structure and related allocations of collateral cash flows
and losses, and iv) a comparison of current credit enhancement
levels to updated Moody's pool loss projections based on present
collateral credit performance.
When analyzing underlying ratings for CES and HELOC transactions,
Moody's projects cumulative losses for each deal based on a
collateral analysis of the deal's Constant Prepayment Rate and
Constant Default Rate.
CPR - CPR is based on the average of the last six months 1-month
CPR.
CDR - There are two approaches for determining pool CDR. The
first approach calculates CDR based on pool loan losses from the
previous twelve months, i.e. recent losses. A second approach is
based on pipeline losses -- losses derived from days-aged
delinquencies and Moody's assumptions for default based on days
delinquent, in foreclosure, or liquidation, and the severity of
loss given default. Moody's assumes 100% severity for second
liens, including both CES and HELOCs. After the CDR is calculated
using the two methods, the effective CDR for loss projection
purposes is determined by using a weighted average of the CDRs as
determined by the recent loss and pipeline loss approaches -- with
weightings determined on a transaction by transaction basis.
Moody's assumes that the CDR will not decline for the next three
years and will decline subsequently for the life of the deal under
a schedule, typically reducing by 50% in year 4 and remaining
constant thereafter.
Based on calculated CPR and CDR, Moody's calculates projected
deal-specific cumulative losses and the weighted average life of
the deal. The credit enhancement calculation can also include
credit for excess spread, i.e. the aggregate, positive difference
in the weighted average loan coupon and the all-inclusive
securities' interest and deal fees, including servicing. Excess
spread benefit is calculated by multiplying the stressed
annualized excess spread by the weighted average life of the deal.
Aggregate credit enhancement which combines subordination benefit
(including over-collateralization and/or reserve accounts) and
excess spread benefit is compared with projected cumulative losses
for the deal to derive coverage multiples and associated ratings
by deal tranche. Moody's will analyze tranche coverage multiples
after consideration of timing of tranche repayment and allocation
of losses (if any).
Issuer: First Franklin Mortgage Loan Trust 2006-FFA
-- Cl. A1, Downgraded to Caa1; previously on 4/7/2008 Downgraded
to Ba1 and Placed Under Review for Possible Downgrade
-- Cl. A2, Downgraded to Ca; previously on 10/8/2008 Downgraded
to Caa2
-- Cl. A3, Downgraded to Caa3; previously on 10/8/2008
Downgraded to B3
-- Cl. A4, Downgraded to C; previously on 10/8/2008 Downgraded
to Caa3
FRANKLIN CLO: Fitch Junks Rating on $16 Mil. Class D Notes
----------------------------------------------------------
Fitch Ratings has taken various actions on the classes of notes
issued by Franklin CLO I Ltd./Corp. These rating actions are
effective immediately:
-- $16,799,922 Class B upgraded to 'AAA'; Outlook Stable;
-- $23,000,000 Class C affirmed at 'BBB'; Outlook to Positive
from Stable;
-- $16,000,000 Class D downgraded to 'CCC' from 'BB-' and assign
'RR1'.
Franklin is a cash flow collateralized loan obligation managed by
Franklin Advisers, Inc. which closed June 29, 2000. The final
maturity of the transaction is May 9, 2010. The proceeds of the
issuance are invested in a portfolio of predominantly U.S. high
yield loans.
The upgrade to the class B notes reflects the classes' ability to
be redeemed in full by maturity. Since last review in July 2006,
classes A-1 and A-2 have been paid in full leading to higher
credit enhancement levels for all remaining classes. As of the
Feb. 27, 2009 trustee report, the most recent report available for
this analysis, the portfolio collateral balance was $59.9 million.
All overcollateralization and interest coverage tests were in
compliance except for the class D IC failure at 100.5% with a
trigger of 105%. The affirmation to the class C notes reflects
the likelihood that the class will be redeemed in full by maturity
commensurate with the classes' current ratings.
The downgrade to the class D notes is the result of a potential
undercollateralization due to the current collateral composition
and the failure of the class D IC test. The current weighted
average rating of the portfolio is 'B/B-', with 3.2% rated 'CCC+'
and lower. Approximately, 25% of the portfolio has a Negative
Outlook and 4.6% is on Rating Watch Negative. The recent failure
of the class D IC test and increasing cost of liabilities as the
transaction delevers increase the likelihood of principal being
used in the future to pay interest on the class D notes.
The ratings on the class B, C, and D notes address the ultimate
payment of interest and principal. The ratings on the class C
notes address only the receipt of the class C ordinary
distributions of London Interbank Offering Rate and not additional
distributions.
The Distressed Recovery Rating on the classes of notes has been
revised to RR to reflect Fitch's updated Rating Definitions
Criteria released March 3, 2009.
Fitch's current criteria for rating corporate CDOs was released on
April 30, 2008. However, due to the high obligor concentration
within the portfolio, Fitch used a more deterministic approach in
analyzing the portfolio rather than utilizing the Corporate
Portfolio Credit Model. Fitch's probability of default was based
upon issuer default ratings and term to maturity. The recovery
rates were based either upon specified underlying securities' RR
or the PCM's assumed recovery rate for senior secured obligations.
GHISALLO LIMITED: Moody's Junks Rating on $400 Mil. Class A Notes
-----------------------------------------------------------------
Moody's Investors Service has downgraded its rating of a note
issued by Ghisallo Limited, a collateralized debt obligation
transaction referencing 31 underlying Credit Default Swaps
referencing portfolios of corporate entities.
Moody's explained that the rating action taken is the result of
(i) the application of revised and updated key modeling parameter
assumptions that Moody's uses to rate and monitor ratings of
Corporate Synthetic CDOs and (ii) the deterioration in the credit
quality of the transaction's reference portfolio including the
occurrence of eight credit events. The revisions affect key
parameters in Moody's model for rating Corporate Synthetic CDOs:
default probability, asset correlation, and other credit
indicators such as ratings reviews and outlooks.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for Corporate
Synthetic CDOs as described in Moody's Special Report:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (March 2009)
The rating action is:
Class Description: US$400,000,000 Class A Notes due 2019
-- Current Rating: Caa1
-- Prior Rating Date: 1/19/2007
-- Prior Rating: Aaa
GRAMERCY REAL: Moody's Cuts Ratings on 10 Classes of 2006-1 Notes
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of 10 classes and
confirmed one class of Notes issued by Gramercy Real Estate CDO
2006-1. The rating actions are:
-- Class A1, $500,000,000, Floating Rate Notes Due 2041,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A2, $171,250,000, Floating Rate Notes Due 2041;
downgraded to Baa2 at Aaa; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class B, $95,000,000, Floating Rate Notes Due 2041,
downgraded to B2 from Aa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class C, $33,750,000, Floating Rate Deferrable Interest Notes
Due 2041, downgraded to Caa2 from A1; previously on 3/12/2009
Placed Under Review for Possible Downgrade
-- Class D, $20,000,000, Floating Rate Deferrable Interest Notes
Due 2041, downgraded to Caa3 from A2; previously on 3/12/2009
Placed Under Review for Possible Downgrade
-- Class E, $26,250,000, Floating Rate Deferrable Interest Notes
Due 2041, downgraded to Caa3 from A3; previously on 3/12/2009
Placed Under Review for Possible Downgrade
-- Class F, $20,000,000, Fixed Rate Deferrable Interest Notes
Due 2041, downgraded to Caa3 from Baa1; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class G, $20,000,000, Floating Rate Deferrable Interest Notes
Due 2041, downgraded to Caa3 from Baa2; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class H, $17,500,000, Fixed Rate Deferrable Interest Notes
Due 2041, downgraded to Caa3 from Baa3; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class J, $22,750,000, Floating Rate Deferrable Interest Notes
Due 2041, downgraded to Caa3 from Ba2; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class K, $16,000,000, Floating Rate Deferrable Interest Notes
Due 2041, downgraded to Caa3 from B2; previously on 3/12/2009
Placed Under Review for Possible Downgrade
Moody's downgraded Classes A2, B, C, D, E, F, G, H, J, and K due
to deteriorating pool performance and revised modeling parameters.
The pool contains a 5.0% concentration in CMBS and CDO collateral
and the remaining is comprised of whole loans, a rake bond and
mezzanine debt. Moody's ratings are based on the current credit
quality of the collateral and may not reflect potential migration
as per the legal documentation.
Moody's expects the aggregate default rate on CMBS loans (1.59% as
of March 2009) to revert to its long-term historical average of
1.5% to 2.0% in 2009, and most likely to surpass this level as the
market begins to form a bottom in 2010 and 2011. Commercial
property values, which have declined about 21% from the peak
reached in October 2007, are expected to decline an additional 5
to 15% over the next 18 to 24 months.
Moody's has revised three key parameters in Moody's model for
rating and monitoring commercial real estate collateralized debt
obligations - asset correlation, default probability, and recovery
rate. These revisions are generally consistent with recent
revisions to the key parameter assumptions for rating and
monitoring other collateralized debt obligation transactions
backed by structured finance securities.
Moody's has updated its asset correlation assumption for the
commercial real estate sector to be consistent with one of Moody's
CDO rating models, CDOROM v2.5 (released on February 3, 2009),
which incorporates these new parameters. However, for CRE CDOs
with non-CUSIP collateral, Moody's is reducing the maximum over
concentration stress applied to correlation factors by half due to
the diversity of tenants, property types, and geographic locations
inherent in the collateral pools. Previously, the average asset
correlations used for CMBS within CRE CDO deals ranged between 15%
and 35%, depending on vintage and issuer diversity. In light of
the systemic seizure of the credit markets, as well as higher
intra industry and inter industry asset correlations, the updated
correlation parameters for CRE CDOs will imply an average range of
asset correlations of between 30% and 60% for the underlying
collateral.
Moody's has previously stated that CRE CDO deals with collateral
concentrations in CMBS certificates will likely be among the first
transactions to be affected by credit issues that arise, and that
the additional leverage inherent in these deals creates the
potential for greater ratings transitions compared to that of a
first order transaction (i.e., those containing non-CUSIP assets).
For CRE CDOs with CUSIP collateral, the additional default
probability stress sometimes applied to resecuritization
collateral will not be applied to Moody's review of conduit and
fusion commercial mortgage backed securities collateral from the
2006 to 2008 vintages due to a recent ratings sweep of these
transactions. Based on Moody's current expectations for
commercial real estate performance, Moody's have migrated the
ratings for recent vintage CMBS to levels that Moody's believe
will remain relatively stable for the next 12 to 24 months. As
such, Moody's has eliminated the vintage stress factor and default
probability resecuritization stress from its analysis of deals
with recent vintage CMBS collateral.
For deals with pre-2006 CMBS collateral, Moody's is adopting the
default probability resecuritization stress assumptions contained
within CDOROM v2.5 to capture the leveraging effect and potential
ratings volatility of the underlying collateral. For CMBS, this
factor is equivalent to two times the probability of default for
non-Aaa and six times the PD for Aaa-rated collateral. For CRE
CDOs, this factor is equivalent to four times the probability of
default for non-Aaa and twelve times the PD for Aaa-rated
collateral. The lower stress for CMBS is due to the historical
stable performance of this asset class.
For CRE CDOs with non-CUSIP collateral, Moody's is eliminating the
additional default probability stress in CDOROM v2.5 that is
applied to corporate debt as Moody's anticipate that the
underlying non-CMBS collateral will experience lower default rates
and higher recovery rates. In addition, Moody's is reducing the
maximum over concentration stress applied to correlation factors
by half due to the diversity of tenants, property types, and
geographic locations inherent in the collateral pools. For those
deals that are significantly less diversified, Moody's will add
back over concentration stress as warranted.
In Moody's analysis of synthetic CRE CDOs, it historically
employed a fixed recovery rate by the asset's original rating and
tranche size. Moody's current analysis uses a simulation based
mean recovery rate based on the asset's current rating and tranche
size. This is consistent with the assumptions underlying CDOROM
v2.5. With this more robust approach, Moody's expects to capture
in Moody's ratings more of the tail risk associated with
variability of recovery rates.
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior full review is summarized in
a press release dated July 25, 2008.
GRAMERCY REAL: Moody's Downgrades Ratings on Nine 2005-1 Notes
--------------------------------------------------------------
Moody's Investors Service confirmed the ratings of two classes and
downgraded the ratings of nine classes of Notes issued by Gramercy
Real Estate CDO 2005-1, Ltd. The rating actions are:
-- Class A-1, $513,000,000, Floating Rate Term Notes Due 2035,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A-2, $57,000,000, Floating Rate Term Notes Due 2035,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class B, $102,500,000, Floating Rate Term Notes Due 2035,
downgraded to Aa3 from Aa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class C, $47,000,000, Floating Rate Capitalized Interest Term
Notes Due 2035, downgraded to Baa2 from A1; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class D, $12,500,000, Floating Rate Capitalized Interest Term
Notes Due 2035, downgraded to Baa3 from A2; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class E, $16,000,000, Floating Rate Capitalized Interest Term
Notes Due 2035, downgraded to Ba1 from A3; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class F, $16,000,000, Floating Rate Capitalized Interest Term
Notes Due 2035, downgraded to Ba2 from Baa1; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class G, $18,500,000, Floating Rate Capitalized Interest Term
Notes Due 2035, downgraded to Ba3 from Baa2; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class H, $28,000,000, Floating Rate Capitalized Interest Term
Notes Due 2035, downgraded to B2 from Baa3; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class J, $49,500,000, Floating Rate Capitalized Interest Term
Notes Due 2035, downgraded to Caa1 from Ba2; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class K, $35,000,000, Floating Rate Capitalized Interest Term
Notes Due 2035, downgraded to Caa3 from B2; previously on
3/12/2009 Placed Under Review for Possible Downgrade
Moody's downgraded Classes B,C, D, E, F,G, H, J and K due to
revised modeling parameters. Moody's ratings are based on the
current credit quality of the collateral and may not reflect
potential migration as per the legal documentation.
The pool contains a 63.6% concentration in Whole Loans originated
between 2005 and 2008. The remaining collateral includes
Mezzanine Loans, commercial mortgage backed securities, commercial
real estate collateralized debt obligations and B-Notes.
Moody's expects the aggregate default rate on CMBS loans (1.59% as
of March 2009) to revert to its long-term historical average of
1.5% to 2.0% in 2009, and most likely to surpass this level as the
market begins to form a bottom in 2010 and 2011. Commercial
property values, which have declined about 21% from the peak
reached in October 2007, are expected to decline an additional 5
to 15% over the next 18 to 24 months.
Moody's has revised three key parameters in Moody's model for
rating and monitoring commercial real estate collateralized debt
obligations - asset correlation, default probability, and recovery
rate. These revisions are generally consistent with recent
revisions to the key parameter assumptions for rating and
monitoring other collateralized debt obligation transactions
backed by structured finance securities.
Moody's has updated its asset correlation assumption for the
commercial real estate sector to be consistent with one of Moody's
CDO rating models, CDOROM v2.5 (released on February 3, 2009),
which incorporates these new parameters. However, for CRE CDOs
with non-CUSIP collateral, Moody's is reducing the maximum over
concentration stress applied to correlation factors by half due to
the diversity of tenants, property types, and geographic locations
inherent in the collateral pools. Previously, the average asset
correlations used for CMBS within CRE CDO deals ranged between 15%
and 35%, depending on vintage and issuer diversity. In light of
the systemic seizure of the credit markets, as well as higher
intra industry and inter industry asset correlations, the updated
correlation parameters for CRE CDOs will imply an average range of
asset correlations of between 30% and 60% for the underlying
collateral.
Moody's has previously stated that CRE CDO deals with collateral
concentrations in CMBS certificates will likely be among the first
transactions to be affected by credit issues that arise, and that
the additional leverage inherent in these deals creates the
potential for greater ratings transitions compared to that of a
first order transaction (i.e., those containing non-CUSIP assets).
For CRE CDOs with CUSIP collateral, the additional default
probability stress sometimes applied to resecuritization
collateral will not be applied to Moody's review of conduit and
fusion commercial mortgage backed securities collateral from the
2006 to 2008 vintages due to a recent ratings sweep of these
transactions. Based on Moody's current expectations for
commercial real estate performance, Moody's have migrated the
ratings for recent vintage CMBS to levels that Moody's believe
will remain relatively stable for the next 12 to 24 months. As
such, Moody's has eliminated the vintage stress factor and default
probability resecuritization stress from its analysis of deals
with recent vintage CMBS collateral.
For deals with pre-2006 CMBS collateral, Moody's is adopting the
default probability resecuritization stress assumptions contained
within CDOROM v2.5 to capture the leveraging effect and potential
ratings volatility of the underlying collateral. For CMBS, this
factor is equivalent to two times the probability of default for
non-Aaa and six times the PD for Aaa-rated collateral. For CRE
CDOs, this factor is equivalent to four times the probability of
default for non-Aaa and twelve times the PD for Aaa-rated
collateral. The lower stress for CMBS is due to the historical
stable performance of this asset class.
For CRE CDOs with non-CUSIP collateral, Moody's is eliminating the
additional default probability stress in CDOROM v2.5 that is
applied to corporate debt as Moody's anticipate that the
underlying non-CMBS collateral will experience lower default rates
and higher recovery rates. In addition, Moody's is reducing the
maximum over concentration stress applied to correlation factors
by half due to the diversity of tenants, property types, and
geographic locations inherent in the collateral pools. For those
deals that are significantly less diversified, Moody's will add
back over concentration stress as warranted.
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior full review is summarized in
a press release dated July 25, 2008.
GSMSC PASS-THROUGH: Moody's Assigns 'B1' Rating on Class 1A2
------------------------------------------------------------
Moody's Investors Service has assigned a Aaa rating to the class
1A1, 2A1 and 3A1, as the Resecuritized Seniors, and a B1 rating to
the class 1A2, and B2 rating to the class 23A2 certificates, as
the Resecuritized Subs issued in connection with GSMSC Pass-
Through Trust 2009-1R, as the Resecuritized Transaction. The
assets of the Resecuritized Transaction consist of these three
classes of mortgage pass through certificates: Class 3-A-1
certificates, issued by J.P. Morgan Mortgage Trust 2005-A7; Class
II-A-1 certificates issued by Wells Fargo Mortgage Backed
Securities 2005-AR3 Trust; and Class II-A-1 certificates, issued
by the Wells Fargo Mortgaged Backed Securities 2005-AR16 Trust.
The Underlying Certificates are backed primarily by first-lien,
adjustable-rate, Jumbo residential mortgage loans.
The ratings on the resecuritized certificates address the ultimate
payment of promised interest and principal on the rated
certificates and do not address any other amounts that may be
payable on the certificates.
On September 22, 2008, Moody's announced that it will assign a
rating to any security issued by a resecuritization transaction
backed by one or more RMBS only after first reviewing the ratings
(and, if appropriate, taking rating actions) on the RMBS
underlying the resecuritization. This review would be in addition
to its normal surveillance of these underlying transactions. On
March 27, 2009, Moody's downgraded the ratings of the Underlying
Certificates.
When assigning a Aaa rating to the Resecuritized Seniors (i.e.
class 1A1, 2A1, and 3A1) Moody's first updated Aaa-stress
prepayment and loss assumptions on the remaining pools of
mortgages backing the Underlying Certificates. The updated
assumptions considered, among other things, mortgage pool's past
performance, its collateral attributes, macro economic assumptions
and Moody's negative performance outlook on the RMBS sector.
Second, multiple cash flow scenarios were run, assuming different
combinations of prepayment and loss timing on the underlying
mortgage pools. In each scenario, cash flow from the Underlying
Certificates were distributed to the rated Resecuritized Seniors
and Resecuritized Subs according to the structure of the
Resecuritized Transaction; specifically, sequential principal
paydown to the Resecuritized Seniors before principal payment to
the Resecuritized Subs and reverse sequential loss allocation
resulting in loss being allocated to the Resecuritized Subs before
being allocated to the Resecuritized Seniors. As a result, the
class 1A2 certificate provides credit enhancement to class 1A1 and
class 23A2 to classes 2A1 and 3A1. Third, Moody's analyzed the
loss on the Resecuritized Seniors at a Aaa stress level, and the
sensitivity of loss for the Resecuritized Seniors to changes in
prepayment and loss timing assumptions. In Moody's opinion
issuer's targeted levels of credit enhancement for the Class 1A1,
2A1 and 3A1 were consistent with a Aaa rating.
The rating on the Resecuritized Subs (i.e. classes 1A2 and 23A2)
were based on (i) the structure of the Resecuritized Transaction,
(ii) the rating on the Underlying Certificates, (iii) the relative
sizes of the Resecuritized Subs, and (iv) Aaa rating for the
classes 1A1, 2A1 and 3A1. For Class 23 A2 that derives its cash
flows from two distinct underlying transactions. Moody's did not
assume any benefit resulting from the diversification of risk over
two underlying transactions.
Under a range of scenarios Moody's anticipates a higher loss
severity on the Resecuritized Subs when compared to loss severity
on the Underlying Certificates, due to subordinate position of the
Resecuritized Subs (both in terms of principal distribution and
loss allocation), and smaller size (when compared to underlying
certificates). As a result, the ratings on classes 1A2 and 23A2
are lower than the ratings on the Underlying Certificates.
The method of arriving at the ratings on the Resecuritized Subs
involved several steps:
(1) Moody's projected the cash flows on the underlying certificate
after applying the revised Aaa-stress prepayment and loss
assumptions. This cash flow was then distributed to classes
1A1, 1A2, 2A1, 3A1 and 23A2 according to the structure of the
Resecuritized Transaction proposed by the issuer.
(2) Moody's derived the expected loss of the classes 1A2 and 23A2
based on the expected loss of the classes 1A1, 2A1 and 3A1 and
the Underlying Certificates. Based on the structure of the
Resecuritized Transaction, the expected loss, in dollars, on
the Underlying Certificates equals the sum of the expected
loss of the Resecuritized Seniors and the Resecuritized Subs.
Using Moody's idealized loss rates for bonds at different
rating levels and life, Moody's estimated the EL on the
Underlying Certificates and the Resecuritized Seniors at their
respective ratings and expected life, and used that
information to derive the EL on the Resecuritized Subs.
(3) Finally, the ratings on classes 1A2 and 23A2 were assigned
after comparing the EL on class 1A2 and 23A2 to that of a
benchmark bond (with similar weighted average life) based on
Moody's idealized bond loss expectations. Similar to the
sensitivity analysis done on classes 1A1, 2A1 and 3A1, Moody's
applied different combinations of prepayment and loss timing
stresses on the underlying mortgage pools to test the
sensitivity of the ratings of class 1A2 and 23A2.
Because the ratings on class 1A1, 2A1, 3A1, 1A2 and 23A2
resecuritized certificates are linked to the rating of the
underlying certificates and their mortgage pools performance, any
rating action on the underlying certificates may trigger a review
of the ratings on the class 1A1, 2A1, 3A1, 1A2 and 23A2
resecuritized certificates.
Wells Fargo Bank, NA will act as the Trustee in the transaction.
The complete rating actions are:
Issuer: GSMSC Pass-Through Trust 2009-1R
GSMSC Pass Through Trust 2009 1R Pass Through Certificates, Series
2009 1R
-- Class 1A1, Assigned Aaa
-- Class 1A2, Assigned B1
-- Class 2A1, Assigned Aaa
-- Class 3A1, Assigned Aaa
-- Class 23A2, Assigned B2
HOMEBANC MORTGAGE: Moody's Downgrades Ratings on 10 Tranches
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of ten
tranches issued in two Homebanc Mortgage Trust transactions.
Underlying securities' collateral consists primarily of closed-end
second lien residential mortgage loans.
The ratings on the securities were monitored by evaluating factors
Moody's determined to be essential in the analysis of securities
backed by such loans. The salient factors include: i) Moody's
review of the nature, sufficiency, and quality of historical loan
performance information, ii) analysis of the collateral
composition and pool credit performance including prepayment, loan
delinquency and loss data, iii) consideration of the transaction's
capital structure and related allocations of collateral cash flows
and losses, and iv) a comparison of current credit enhancement
levels to updated Moody's pool loss projections based on present
collateral credit performance.
When analyzing underlying ratings for CES and HELOC transactions,
Moody's projects cumulative losses for each deal based on a
collateral analysis of the deal's Constant Prepayment Rate and
Constant Default Rate.
CPR - CPR is based on the average of the last six months 1-month
CPR.
CDR - There are two approaches for determining pool CDR. The
first approach calculates CDR based on pool loan losses from the
previous twelve months, i.e. recent losses. A second approach is
based on pipeline losses -- losses derived from days-aged
delinquencies and Moody's assumptions for default based on days
delinquent, in foreclosure, or liquidation, and the severity of
loss given default. Moody's assumes 100% severity for second
liens, including both CES and HELOCs. After the CDR is calculated
using the two methods, the effective CDR for loss projection
purposes is determined by using a weighted average of the CDRs as
determined by the recent loss and pipeline loss approaches -- with
weightings determined on a transaction by transaction basis.
Moody's assumes that the CDR will not decline for the next three
years and will decline subsequently for the life of the deal under
a schedule, typically reducing by 50% in year 4 and remaining
constant thereafter.
Based on calculated CPR and CDR, Moody's calculates projected
deal-specific cumulative losses and the weighted average life of
the deal. The credit enhancement calculation can also include
credit for excess spread, i.e. the aggregate, positive difference
in the weighted average loan coupon and the all-inclusive
securities' interest and deal fees, including servicing. Excess
spread benefit is calculated by multiplying the stressed
annualized excess spread by the weighted average life of the deal.
Aggregate credit enhancement which combines subordination benefit
(including over-collateralization and/or reserve accounts) and
excess spread benefit is compared with projected cumulative losses
for the deal to derive coverage multiples and associated ratings
by deal tranche. Moody's will analyze tranche coverage multiples
after consideration of timing of tranche repayment and allocation
of losses (if any).
Issuer: HomeBanc Mortgage Trust 2005-2
-- Cl. M-3, Downgraded to Baa2; previously on 4/14/2005 Assigned
A2
-- Cl. M-4, Downgraded to Ba2; previously on 4/14/2005 Assigned
A3
-- Cl. B-1, Downgraded to B1; previously on 4/14/2005 Assigned
Baa1
-- Cl. B-2, Downgraded to Caa1; previously on 4/14/2005 Assigned
Baa2
-- Cl. B-3, Downgraded to Ca; previously on 4/14/2005 Assigned
Baa3
-- Cl. B-4, Downgraded to Ca; previously on 4/14/2005 Assigned
Ba2
Issuer: Homebanc Mortgage Trust 2007-1
-- Cl. II-A, Downgraded to Baa1; previously on 4/10/2007
Assigned Aaa
-- Cl. II-M-1, Downgraded to B2; previously on 4/10/2007
Assigned Aa2
-- Cl. II-M-2, Downgraded to Ca; previously on 4/10/2007
Assigned A2
-- Cl. II-B, Downgraded to C; previously on 4/10/2007 Assigned
Baa2
ISCHUS MEZZANINE: S&P Downgrades Rating on Class X Notes to 'B-'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
X notes issued by Ischus Mezzanine CDO IV Ltd., a cash flow
mezzanine structured finance collateralized debt obligation
transaction, to 'B-' from 'A'. The rating on this class remains
on CreditWatch with negative implications.
The rating action reflects S&P's opinion that substantial losses
to the noteholders are likely based on the current market value of
the collateral and S&P's view that market prices may not recover
during the liquidation period.
On March 25, 2009, Standard & Poor's received notice from the
trustee stating that the holder of at least 66 2/3% of the
controlling class of notes has directed the trustee to proceed
with the liquidation of the collateral backing the rated notes.
Earlier S&P had received a notice of an event of default dated
Nov. 3, 2008, followed by a notice of acceleration dated March 23,
2009, for the transaction. The deal experienced the EOD due to
the failure of an overcollateralization-based EOD trigger
specified in section 5.01 (i) of the transaction's indenture.
Rating Lowered And Remaining On Creditwatch Negative
Ischus Mezzanine CDO IV Ltd.
Rating
------
Class To From
----- -- ----
X B-/Watch Neg A/Watch Neg
Other Outstanding Ratings
Ischus Mezzanine CDO IV Ltd.
Class Rating
----- ------
SprsrSwap CCC-srs
A-1 CC
A-2 CC
A-3 CC
B CC
C CC
D CC
KENTWOOD ECONOMIC DEV'T: Fitch Cuts Outstanding Ratings to 'BB+'
----------------------------------------------------------------
Fitch Ratings downgrades to 'BB+' from 'BBB-' the outstanding
ratings on approximately $48.9 million Economic Development
Corporation of the City of Kentwood, Michigan, limited obligation
revenue bonds (Holland Home Obligated Group), series 2006A&B.
Holland Home has approximately $57.6 million in outstanding parity
debt that is not rated by Fitch. The Rating Outlook remains
Negative.
The downgrade to 'BB+' reflects the effects of the slower than
projected level of sales and move-ins at Holland Home's Breton
Ridge campus, a further decline in Holland Home's already weak
liquidity indicators and potential exposure to swap terminations.
When completed the Breton Ridge community will consist of 123
independent living units in two separate wings. Due to the
depressed Grand Rapids economy and the decline in area real estate
prices, the current level of sales and move-ins is behind
management's projections. Wing A, consisting of 75 ILUs, opened
in October 2008 and as of March 31, 2009 is 71% sold and 71%
occupied. Wing C is expected to be available for occupancy in
July 2009 and as of March 31, 2009 is 58% sold. As a result,
entrance fee receipts are lower than expected which has negatively
impacted Holland Homes' unrestricted cash and investment position.
At Dec. 31, 2008 unrestricted cash and investments totaled $24.5
million which translates into 158 days cash on hand, a cushion
ratio of 3.5 times (x) and cash to debt of 23%. In fiscal 2008,
Holland Home violated a capitalization ratio requirement under
certain variable rate indentures for which it has received
waivers. Debt service coverage in fiscal 2008 is a light 1.49x as
compared to the 'BBB' category.
Holland Home's swap portfolio consists of eight separate swap
transactions including seven floating to fixed rate swap
agreements with three different counterparties. The floating to
fixed rate swaps are structured as hedges to convert Holland
Home's variable-rate debt to a synthetic fixed-rate obligation.
The total notional value of the swaps is approximately $106.3
million and each of the amortizations on the swaps matches a
specific series of bonds. At Feb. 28, 2009 the negative mark to
market on all the swaps was $15.0 million. Counterparty
termination events include a downgrade of Holland Home below 'BB'.
The Negative Outlook reflects the increasing risks associated with
the development of the Breton Ridge community in light of the more
difficult operating environment. Management anticipates funding
roughly $7.0 million of the remaining $8.4 million of project
costs from initial entrance fees on the new units. A delay in the
realization of entrance fees will require the corporation to use
cash to finish construction that would further weaken Holland
Home's liquidity position and its financial cushion against
increasing operating risks which, in turn, could cause downward
pressure on the rating.
Holland Home's primary credit strength is the strong occupancy
across all levels of care at Home Holland's existing campuses. In
2008, occupancy of the 600 ILUs, 541 assisted living units and 241
skilled nursing beds was 96%, 86% and 93%, respectively.
Occupancies of the ILUs have been 95% or higher in each year since
2003. Over the same period, average annual occupancy in the
assisted living and skilled nursing occupancies have averaged 85%
and 92%, respectively.
Holland Home operates three campuses of multi-level senior housing
in Grand Rapids, Michigan, providing a total of 675 ILUs and
cottages, 501 assisted living and dementia units, 20 residential
hospice units and 241 nursing beds. Under the Continuing
Disclosure Agreement, Holland Home covenants to provide audited
financial statements and utilization statistics within 180 days of
each fiscal year-end and quarterly interim financial statements
and utilizations within 60 days of each fiscal quarter-end.
Holland Home's disclosure to Fitch has been excellent in terms of
content and timeliness.
Fitch downgrades these to 'BB+':
-- $35,845,000 Economic Development Corporation of the City of
Kentwood, Michigan limited obligation revenue bonds (Holland
Home Obligated Group), series 2006A;
-- $13,065,000 Economic Development Corporation of the City of
Kentwood, Michigan limited obligation revenue bonds (Holland
Home Obligated Group), series 2006B;
Fitch was not asked to rate Holland Home's additional outstanding
debt listed:
-- $10,060,000 Michigan Strategic Fund variable-rate demand
limited obligation revenue refunding bonds (Holland Home
Obligated Group), series 2005A;
-- $7,320,000 Michigan Strategic Fund variable-rate demand
limited obligation revenue refunding bonds (Holland Home
Obligated Group), series 2005B;
-- $9,940,000 Michigan Strategic Fund variable-rate demand
limited obligation revenue bonds (Holland Home Obligated
Group), series 2004;
-- $20,510,000 Economic Development Corporation of the City of
Kentwood, Michigan limited obligation revenue bonds (Holland
Home Obligated Group), series 2002B;
-- $9,815,000 Economic Development Corporation of the City of
Grand Rapids, Michigan variable-rate demand limited
obligation revenue bonds (Holland Home Obligated Group),
series 2000.
LBSBC NIM: S&P Puts Ratings on 2006-3 Notes on Negative Watch
-------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on all
classes of notes from LBSBC NIM Co. 2006-3 and LBSBC NIM Co.
2007-1 on CreditWatch with negative implications.
The negative CreditWatch placements reflect the decline in the
transactions' reserve accounts and the potential for lower-than-
expected future cash flows in both transactions.
The net interest margin securities trusts consist of two classes
of asset-backed pass-through certificates, the class X subordinate
certificates, and the class P certificates previously issued by
the underlying transactions, Lehman Bros. Small Balance
Commercial Mortgage Trust's series 2006-3 and 2007-1. The class X
certificates entitle certificateholders to receive excess cash
flow, if any, generated by the loans and pass-through certificates
each month after payment of transaction expenses and required
distributions to each class of rated certificates of the
underlying transaction. The class P certificates entitle
certificateholders to receive any prepayment penalties associated
with certain prepayments on the related mortgage loans in the
underlying transaction.
Because excess cash flow on those underlying transactions is now
being trapped as opposed to being passed on to the NIM trusts, the
NIMs are currently reliant solely on prepayment penalties and the
reserve funds to make their interest payments. Depending on
individual loan seasoning and performance, the availability of
future prepayment penalty funds may be significantly reduced.
The reserve accounts for both of the NIM trusts referenced have
fallen below their initial nine-month interest levels because
funds from the reserve accounts were used when no prepayment
penalty payments were received by the underlying transactions.
Cash flow from the class X certificates may not resume if the
underlying transactions' delinquencies remain at their current
levels.
If the underlying transactions continue to squeeze NIMs' cash
flows and their enhancement deteriorates, S&P makes take further
negative rating actions. Standard & Poor's will continue to
monitor the securitizations and the underlying transactions.
Ratings Placed On Creditwatch Negative
LSBC NIM Co. 2006-3
$29 million net interest margin securities series 2006-3
Rating
------
Class To From
----- -- ----
N1 BBB/Watch Neg BBB
N2 BB/Watch Neg BB
N3 B/Watch Neg B
LSBC NIM Co. 2007-1
$25 million LBSBC net interest margin securities
Series 2007-1 notes
Rating
------
Class To From
----- -- ----
N1 BBB/Watch Neg BBB
N2 BB/Watch Neg BB
N3 B/Watch Neg B
MASSACHUSETTS DEV'T FINANCE: S&P Withdraws Rating Upon Request
--------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its rating on
Massachusetts Development Finance Agency's revenue bonds, issued
for Orchard Cove Inc., a subsidiary of Hebrew SeniorLife, based on
the issuer's request due to insufficient data to update the
rating.
In February 2008, Standard & Poor's lowered Orchard Cove's rating
to 'BB-' with a negative outlook; the rating action was tied to
significant construction, fill up, and debt repayment risks
associated with Hebrew SeniorLife's Newbridge on the Charles
project.
Newbridge, another affiliate of Hebrew SeniorLife, issued $457
million of tax-exempt, unrated, and privately placed bonds in late
2007. Newbridge was in the early phase of constructing a large
multigenerational campus on 162 acres of land approximately 10
miles from Orchard Cove.
The rating action affects roughly $35.9 million of debt
outstanding.
METRIX SECURITIES: Moody's Downgrades Ratings on 13 Classes
-----------------------------------------------------------
Moody's Investors Service announced it has downgraded its ratings
of 13 classes of notes issued by Metrix Securities P.L.C.
The transaction is a replenishable synthetic Balance Sheet CDO
referencing a pool of bank originated corporate loans.
The rating actions reflect the deterioration in the credit quality
of the transaction's reference portfolio, as indicated by the
increase in the portfolio average rating factor by 40% since
closing (from 523 at closing to 731 in January 2009), and the
revision of certain key assumptions that the agency uses to rate
and monitor corporate CDOs. These revised assumptions incorporate
Moody's expectation that European and global corporate default
rates are likely to greatly exceed their historical long-term
averages and reflect the heightened interdependence of credit
markets in the current global economic contraction.
Specifically, the changes include: (1) a 30% increase in the
assumed likelihood of default for corporate credits in CDOs (2) an
increase in the degree to which ratings are adjusted according to
other credit indicators such as rating Reviews and Outlooks and
(3) an increase in the default correlation applied to corporate
portfolios as generated through a combination of higher default
rates and increased asset correlations.
These revised assumptions are described in greater detail in the
press release published on 15 January 2009. Moody's notes that
the global corporate loan sector currently has a negative outlook
and has shown signs of increasing weakness in terms of credit
performance. The sector is further stressed by the anticipated
limited refinancing opportunities for EMEA corporate issuers over
the next six to twelve months.
In addition, for the majority of the underlying referenced assets,
the equivalent Moody's ratings used in Moody's analysis are
obtained through a mapping process between the originator's
internal rating scale and Moody's public rating scale. To
compensate for the absence of credit indicators such as ratings
reviews and outlooks in mapped ratings, a half notch stress was
applied to the mapping scale. Because the mapping was performed
prior to 1st April 2007, an additional stress was applied to
capture potential deviations from the established mapping.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology and its supplements
for corporate synthetic CDOs as described in Moody's Special
Reports and press releases:
-- Moody's Approach To Rating Corporate Collateralized Synthetic
Obligations (December 2008)
-- Moody's updates key assumptions for rating corporate
synthetic CDOs (January 2009)
-- Framework for De-Linking Hedge Counterparty Risks from Global
Structured Finance Cashflow Transactions (May 2007)
-- Modeling Recovery Rates in European CDOs
The rating actions are:
Metrix Securities P.L.C. Series 2006-1
-- GBP110,000,000 Series 2006-1 Class A1 Floating Rate Notes due
2018, Downgraded to Aa1; previously on 10 November 2006
Assigned Aaa
-- EUR738,000,000 Series 2006-1 Class A2 Floating Rate Notes due
2018, Downgraded to Aa1; previously on 10 November 2006
Assigned Aaa
-- US$2,249,000,000 Series 2006-1 Class A3 Floating Rate Notes
due 2018, Downgraded to Aa1; previously on 10 November 2006
Assigned Aaa
-- GBP5,800,000 Series 2006-1 Class B1 Floating Rate Notes due
2018, Downgraded to A3; previously on 10 November 2006
Assigned Aa2
-- EUR15,800,000 Series 2006-1 Class B2 Floating Rate Notes due
2018, Downgraded to A3; previously on 10 November
2006Assigned Aa2
-- US$18,000,000 Series 2006-1 Class B3 Floating Rate Notes due
2018, Downgraded to A3; previously on 10 November 2006
Assigned Aa2
-- GBP4,100,000 Series 2006-1 Class C1 Floating Rate Notes due
2018, Downgraded to Baa3; previously on 10 November 2006
Assigned A2
-- EUR15,500,000 Series 2006-1 Class C2 Floating Rate Notes due
2018, Downgraded to Baa3; previously on 10 November 2006
Assigned A2
-- US$14,000,000 Series 2006-1 Class C3 Floating Rate Notes due
2018, Downgraded to Baa3; previously on 10 November 2006
Assigned A2
-- GBP17,500,000 Series 2006-1 Class D1 Floating Rate Notes due
2018, Downgraded to Ba3; previously on 10 November 2006
Assigned Baa2
-- EUR18,600,000 Series 2006-1 Class D2 Floating Rate Notes due
2018, Downgraded to Ba3; previously on 10 November 2006
Assigned Baa2
-- GBP26,300,000 Series 2006-1 Class E1 Floating Rate Notes due
2018, Downgraded to Caa2; previously on 10 November 2006
Assigned Ba2
-- EUR26,300,000 Series 2006-1 Class E2 Floating Rate Notes due
2018, Downgraded to Caa2; previously on 10 November 2006
Assigned Ba2
MORTGAGE CAPITAL: Interest Shortfalls Cue S&P's Rating Cut to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
X commercial mortgage pass-through certificates from Mortgage
Capital Funding Inc.'s series 1998-MC3 to 'D' from 'AAA'. Class X
is an interest-only security.
Standard & Poor's lowered the rating on class X to 'D' due to
interest shortfalls totaling $14,782, which were recorded in the
March 18, 2009, trustee remittance report. S&P believes there is
a high likelihood that the shortfalls will recur in the future.
The shortfalls occurred after the five remaining assets in the
pool failed to generate cash flows sufficient to pay their debt
service. The master servicer, Capmark Finance Inc., declared
future payment advances nonrecoverable on four of the five assets
on Feb. 26, 2009. As such, Capmark did not advance debt service
payments on these loans, which resulted in reduced cash flows to
the certificates, including class X, which has an outstanding
notional balance of $13.9 million.
There are five exposures remaining in the pool; all are currently
with the special servicer, CWCapital Asset Management Inc. Two of
the exposures are classified as real estate owned properties
($5.2 million, 38%); two are loans in foreclosure ($7.7 million,
56%); and one loan is current ($949,323, 6%). The four assets
with nonrecoverable declarations total $13.0 million and are
noted. Loan servicers generally make nonrecoverable
determinations when they assess that future advances may not be
recoverable from ongoing property cash flows or the ultimate
disposition of the specially serviced assets.
The five exposures with the special servicer have an aggregate
balance of $13,877,333. Four of the exposures are secured by
lodging properties and one is secured by an office property.
Nonrecoverable declarations were made on all of the exposures
secured by lodging properties. Details of the five specially
serviced exposures are:
-- The Holiday Inn-Murfreesboro loan has an unpaid principal
balance of $4.4 million and a total exposure of $5.3 million,
including advances an interest thereon. The loan is secured by a
179-room hotel in Murfreesboro, Tennessee. The loan was
transferred to special servicing in August 2004 and is currently
in foreclosure. CWCapital reported that the asset lost its
Holiday Inn flag in May 2008 and subsequently converted to a
Clarion Hotel. The loan matured on June 1, 2008.
-- The Hampton Inn-Saginaw loan has an unpaid principal balance
of $3.6 million and is secured by a 120-room lodging property
in Saginaw, Michigan. The loan was transferred to special
servicing on June 16, 2008, due to maturity default. The
property is currently in foreclosure and according to the
special servicer, the property will lose its Hampton flag.
-- Comfort Inn-Marietta is a 121-room hotel in Marietta, Ohio.
The asset is classified as REO with a total exposure of $3.9
million. It is S&P's understanding that the special servicer
is currently reviewing two sales offers for the property.
-- Days Inn of Orlando is a 122-unit hotel in Davenport,
Florida. The asset is REO with a total exposure of $2.8
million. According to the special servicer, Best Western
terminated its franchise agreement with the borrower.
-- The Crown Professional Building loan has an unpaid principal
balance totaling $949,323. The loan is secured by a 22,165-
office property in Los Alamitos, California. The loan was
transferred to special servicing in October 2008 due to
maturity default. The loan is current. As of the March 18,
2009, remittance report, the debt service coverage was 2.43x
and occupancy was 100% as of June 30. 2008.
Rating Lowered
Mortgage Capital Funding Inc.
Commercial mortgage pass-through certificates series 1998-MC3
Rating
------
Class To From
----- -- ----
X D AAA
N STAR REL: Moody's Downgrades Ratings on Six Classes of Notes
--------------------------------------------------------------
Moody's Investors Service downgraded the ratings of six classes
and confirmed one class of Notes issued by N Star REL CDO IV Ltd.
The rating actions are:
-- Class A, $185,000,000, Floating Rate Notes Due 2040,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class B, $32,600,000, Floating Rate Notes Due 2040;
downgraded to A3 from Aa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class C, $31,800,000, Floating Rate Notes Due 2040,
downgraded to Baa3 from A2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class D, $38,600,000, Floating Rate Notes Due 2040,
downgraded to Ba3 from Baa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class E, $12,000,000, Floating Rate Notes Due 2040,
downgraded to B3 from Baa3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class F, $20,000,000, Fixed Rate Notes Due 2040, downgraded
to Caa1 from Ba2; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class G, $20,000,000, Fixed Rate Notes Due 2040, downgraded
to Caa3 from B2; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
Moody's downgraded Classes B, C, D, E, F and G due to revised
modeling parameters.
The pool contains approximately an 18.0% concentration in CMBS and
CDO collateral and the remaining is comprised of whole loans, B-
Notes and mezzanine debt. Moody's ratings are based on the
current credit quality of the collateral and may not reflect
potential migration as per the legal documentation.
Moody's expects the aggregate default rate on CMBS loans (1.59% as
of March 2009) to revert to its long-term historical average of
1.5% to 2.0% in 2009, and most likely to surpass this level as the
market begins to form a bottom in 2010 and 2011. Commercial
property values, which have declined about 21% from the peak
reached in October 2007, are expected to decline an additional 5
to 15% over the next 18 to 24 months.
Moody's has revised three key parameters in Moody's model for
rating and monitoring commercial real estate collateralized debt
obligations - asset correlation, default probability, and recovery
rate. These revisions are generally consistent with recent
revisions to the key parameter assumptions for rating and
monitoring other collateralized debt obligation transactions
backed by structured finance securities.
Moody's has updated its asset correlation assumption for the
commercial real estate sector to be consistent with one of Moody's
CDO rating models, CDOROM v2.5 (released on February 3, 2009),
which incorporates these new parameters. However, for CRE CDOs
with non-CUSIP collateral, Moody's is reducing the maximum over
concentration stress applied to correlation factors by half due to
the diversity of tenants, property types, and geographic locations
inherent in the collateral pools. Previously, the average asset
correlations used for CMBS within CRE CDO deals ranged between 15%
and 35%, depending on vintage and issuer diversity. In light of
the systemic seizure of the credit markets, as well as higher
intra industry and inter industry asset correlations, the updated
correlation parameters for CRE CDOs will imply an average range of
asset correlations of between 30% and 60% for the underlying
collateral.
Moody's has previously stated that CRE CDO deals with collateral
concentrations in CMBS certificates will likely be among the first
transactions to be affected by credit issues that arise, and that
the additional leverage inherent in these deals creates the
potential for greater ratings transitions compared to that of a
first order transaction (i.e., those containing non-CUSIP assets).
For CRE CDOs with CUSIP collateral, the additional default
probability stress sometimes applied to resecuritization
collateral will not be applied to Moody's review of conduit and
fusion commercial mortgage backed securities collateral from the
2006 to 2008 vintages due to a recent ratings sweep of these
transactions. Based on Moody's current expectations for
commercial real estate performance, Moody's have migrated the
ratings for recent vintage CMBS to levels that Moody's believe
will remain relatively stable for the next 12 to 24 months. As
such, Moody's has eliminated the vintage stress factor and default
probability resecuritization stress from its analysis of deals
with recent vintage CMBS collateral.
For deals with pre-2006 CMBS collateral, Moody's is adopting the
default probability resecuritization stress assumptions contained
within CDOROM v2.5 to capture the leveraging effect and potential
ratings volatility of the underlying collateral. For CMBS, this
factor is equivalent to two times the probability of default for
non-Aaa and six times the PD for Aaa-rated collateral. For CRE
CDOs, this factor is equivalent to four times the probability of
default for non-Aaa and twelve times the PD for Aaa-rated
collateral. The lower stress for CMBS is due to the historical
stable performance of this asset class.
For CRE CDOs with non-CUSIP collateral, Moody's is eliminating the
additional default probability stress in CDOROM v2.5 that is
applied to corporate debt as Moody's anticipate that the
underlying non-CMBS collateral will experience lower default rates
and higher recovery rates. In addition, Moody's is reducing the
maximum over concentration stress applied to correlation factors
by half due to the diversity of tenants, property types, and
geographic locations inherent in the collateral pools. For those
deals that are significantly less diversified, Moody's will add
back over concentration stress as warranted.
In Moody's analysis of synthetic CRE CDOs, it historically
employed a fixed recovery rate by the asset's original rating and
tranche size. Moody's current analysis uses a simulation based
mean recovery rate based on the asset's current rating and tranche
size. This is consistent with the assumptions underlying CDOROM
v2.5. With this more robust approach, Moody's expects to capture
in Moody's ratings more of the tail risk associated with
variability of recovery rates.
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. This is Moody's first full review since
issuance.
NEW YORK IDA: Moody's Cuts Rating on Airport Revenue Bonds to Ba2
-----------------------------------------------------------------
Moody's Investors Service has downgraded the New York City
Industrial Development Agency Special Airport Facility Revenue
bonds (LLC) to Ba2 from Baa3. The Ba2 rating remains on review
for further possible downgrade. The downgrade and continued
review are due to Moody's concerns about the company's revenue
levels as a result of the delinquent payments from its tenant
Alliance (not rated). The bonds are supported by lease payments
from the company's three tenants Alliance, Delta Airlines (long
term corporate family rated B2), and Lufthansa (long term issuer
rating Baa3). Alliance accounts for approximately 16% of the
facility's revenues and has had a history of falling behind on its
lease payments. According to the company Alliance has fallen
further behind and it has filed legal action against Alliance.
As per the projections supporting this project financing, the
company has consistently maintained coverage near 1.3 times in
recent years, but given the indications that one of the main
tenants is failing to make lease payments Moody's is concerned
that revenue will provide for much reduced coverage of debt
service requirements in the future. Moody's concerns are
heightened by the severe deterioration in the global cargo market,
which in Moody's view impairs the ability of Aero JFK to attract
replacement tenants to the facility.
The ratings are on review for possible downgrade. Rating actions
in the upcoming weeks will depend on Moody's assessment of the
company's ability to sustain the facility's financial profile.
The Aero JFK, LLC bond ratings were assigned by evaluating factors
believed to be relevant to the credit profile of the company such
as i) the business risk and competitive position of the company
versus others within its industry or sector, ii) the capital
structure and financial risk of the company, iii) the projected
performance of the company over the near to intermediate term, iv)
the company's history of achieving consistent operating
performance and meeting budget or financial plan goals, v) the
nature of the dedicated revenue stream pledged to the bonds, vi)
the debt service coverage provided by such revenue stream, vii)
the legal structure that documents the revenue stream and the
source of payment, and viii) and the company's management and
governance structure related to payment.
The last rating action was on June 2, 2006, when the ratings on
the bonds were affirmed.
Aero JFK, LLC, which is beneficially owned by CalEast Global
Logistics and Aeroterm, leases and operates two air cargo
facilities at New York City's John F. Kennedy International
Airport. The 2001 bonds were issued to finance the construction
of the facilities, which have been in operation since July 2003
and include 435,000 square feet of cargo space, six aircraft
parking positions, and 101 truck loading docks. The project's
facilities are located at a prime location at JFK, with good
access to both the main terminal complex and the taxiways.
NORTHSTAR CBO: Fitch Changes Ratings on Class A-3 to 'C/RR6'
------------------------------------------------------------
Fitch Ratings revises recovery rating on the remaining class of
notes issued by Northstar CBO 1997-2 Ltd./Corp. This rating
action is effective immediately:
-- $51,456,985 class A-3 notes revised to 'C/RR6' from 'C/DR6'.
Northstar 1997-2 is a collateralized bond obligation which closed
July 15, 1997 and is managed by ING Investment Management Company.
Since the review on Dec. 2, 2005 all performing collateral in the
portfolio has been sold.
The recovery rating has been revised to 'RR6' from 'DR6' to
reflect Fitch's updated Rating Definitions Criteria released
March 3, 2009. According to the monthly report only two defaulted
assets remain in the portfolio. Accordingly, Fitch expects
minimum or no principal repayment on the notes by the final
maturity in July of this year.
OWS CLO: Moody's Downgrades Ratings on Various Classes of Notes
---------------------------------------------------------------
Moody's Investors Service has downgraded and left under review for
possible downgrade these notes issued by OWS CLO I Ltd.:
-- US$235,500,000 Class A-1 Senior Secured Notes, Downgraded to
Aa3 and Placed Under Review for Possible Downgrade;
previously on November 22, 2005 Assigned Aaa;
-- US$14,500,000 Class A-2 Senior Secured Notes, Downgraded to
A3 and Placed Under Review for Possible Downgrade; previously
on March 4, 2009 Aa1, Placed Under Review for Possible
Downgrade;
-- US$3,000,000 Class X-1 Deferrable Amortizing Senior Secured
Notes, Downgraded to Ba1 and Placed Under Review for Possible
Downgrade; previously on March 18, 2009 Downgraded to Baa3
and Placed Under Review for Possible Downgrade;
-- US$11,500,000 Class X-2 Deferrable Amortizing Senior Secured
Notes, Downgraded to Ba1 and Placed Under Review for Possible
Downgrade; previously on March 18, 2009 Downgraded to Baa3
and Placed Under Review for Possible Downgrade;
-- US$14,000,000 Class B Deferrable Senior Secured Notes,
Downgraded to B1 and Placed Under Review for Possible
Downgrade; previously on March 18, 2009 Downgraded to Ba2 and
Placed Under Review for Possible Downgrade;
-- US$8,000,000 Class C Secured Notes, Downgraded to Caa3 and
Placed Under Review for Possible Downgrade; previously on
March 18, 2009 Downgraded to Caa1 and Placed Under Review for
Possible Downgrade.
Additionally, Moody's has downgraded these notes:
-- US$8,500,000 Class D Subordinated Secured Notes, Downgraded
to Ca; previously on March 18, 2009 Downgraded to Caa3 and
Placed Under Review for Possible Downgrade.
OWS CLO I Ltd. is a collateralized loan obligation backed
primarily by a portfolio of senior secured loans. As reported by
the trustee, on March 20, 2009 the transaction experienced an
"Event of Default" caused by a failure of the
overcollateralization ratio with respect to the Class A Notes to
be at least equal to 100%, as required under Section 5.1(h) of the
Indenture dated November 22, 2005. This Event of Default is
continuing. Moody's notes that the transaction provides that the
computation of overcollateralization ratios includes a haircut to
par value of any collateral obligation with a market value below
85% of its principal balance, regardless of the rating of that
collateral obligation. (This haircut will continue until such
obligation trades at a market value of at least 90% of its
principal balance for 30 consecutive days.) Moody's notes that
the incorporation of such an Overcollateralization Ratio haircut
based purely on a market value trigger is highly unusual for cash
flow collateralized loan obligation transactions. The trustee
reports that the haircut is being applied to a significant
proportion of the underlying collateral. The trustee also reports
that the deal is failing all of its overcollateralization tests;
as a result all interest proceeds and principal proceeds are
currently used to pay principal on the Class A-1 Notes after
paying interest due to the Class A-1 and Class A-2 Notes.
The rating actions taken reflect the occurrence of the Event of
Default, the application of Moody's revised assumptions with
respect to default probability, the treatment of ratings on
"Review for Possible Downgrade" or with a "Negative Outlook," and
the calculation of the Diversity Score, and consideration of
credit deterioration in the underlying portfolio. The revised
assumptions that have been applied to all corporate credits in the
underlying portfolio are described in the press release dated
February 4, 2009. Credit deterioration of the collateral pool is
observed in, among others, a decline in the average credit rating
(as measured through the weighted average rating factor), an
increase in securities rated Caa1 and below, and failure of the
Class A, B, C, and D Overcollateralization Tests.
As provided in Article V of the Indenture, during the occurrence
and continuance of an event of default, the Holders of at least
66-2/3% of the Aggregate Outstanding Amount of each Class of Notes
may direct the trustee to proceed with the sale and liquidation of
the collateral. The severity of losses may depend on the timing
and choice of remedy to be pursued following the default event.
While Moody's believes the likelihood of liquidation is small due
to the voting requirement for liquidation, the rating actions
reflect increased concerns about potential losses arising from
liquidation. As a result, the Class A-1, A-2, X-1, X-2, B, and C
Notes were downgraded and placed under review for possible
downgrade.
PETRA CDO: Moody's Cuts Ratings on 10 Classes of 2007-1 Notes
-------------------------------------------------------------
Moody's Investors Service confirmed the ratings of one class and
downgraded the ratings of ten classes of Notes issued by Petra CDO
2007-1, Ltd. The rating actions are:
-- Class A-1, $400,000,000, Floating Rate Notes Due 2047,
confirmed at Aaa; previously on 3/12/09 Placed Under Review
for Possible Downgrade
-- Class A-2, $133,750,000, Floating Rate Notes Due 2047,
downgraded to A1 from Aaa; previously on 3/12/09 Placed Under
Review for Possible Downgrade
-- Class B, $76,750,000, Floating Rate Notes Due 2047,
downgraded to Baa2 from Aa2; previously on 3/12/09 Placed
Under Review for Possible Downgrade
-- Class C, $57,500,000, Floating Rate Deferrable Interest Notes
Due 2047, downgraded to Ba3 from A1; previously on 3/12/09
Placed Under Review for Possible Downgrade
-- Class D, $25,500,000, Floating Rate Deferrable Interest Notes
Due 2047, downgraded to B2 from A2; previously on 3/12/09
Placed Under Review for Possible Downgrade
-- Class E, $22,000,000, Floating Rate Deferrable Interest Notes
Due 2047, downgraded to B3 from A3; previously on 3/12/09
Placed Under Review for Possible Downgrade
-- Class F, $33,000,000, Floating Rate Deferrable Interest Notes
Due 2047, downgraded to Caa1 from Baa1; previously on 3/12/09
Placed Under Review for Possible Downgrade
-- Class G, $20,000,000, Floating Rate Deferrable Interest Notes
Due 2047, downgraded to Caa2 from Baa2; previously on 3/12/09
Placed Under Review for Possible Downgrade
-- Class H, $26,500,000, Floating Rate Deferrable Interest Notes
Due 2047, downgraded to Caa2 from Baa3; previously on 3/12/09
Placed Under Review for Possible Downgrade
-- Class J, $42,500,000, Floating Rate Deferrable Interest Notes
Due 2047, downgraded to Caa3 from Ba2; previously on 3/12/09
Placed Under Review for Possible Downgrade
-- Class K, $32,500,000, Floating Rate Deferrable Interest Notes
Due 2047, downgraded to Caa3 from B2; previously on 3/12/09
Placed Under Review for Possible Downgrade
Moody's downgraded Classes A-2, B, C, D, E, F, G, H, J and K due
to revised modeling parameters. Moody's ratings are based on the
current credit quality of the collateral and may not reflect
potential migration as per the legal documentation.
The pool contains a 64.4% concentration in Whole Loans. The
remaining collateral includes Mezzanine Loans, real estate
investment trust debt, commercial mortgage backed securities,
commercial real estate collateralized debt obligations and B-
Notes.
Moody's expects the aggregate default rate on CMBS loans (1.59% as
of March 2009) to revert to its long-term historical average of
1.5% to 2.0% in 2009, and most likely to surpass this level as the
market begins to form a bottom in 2010 and 2011. Commercial
property values, which have declined about 21% from the peak
reached in October 2007, are expected to decline an additional 5
to 15% over the next 18 to 24 months.
Moody's has revised three key parameters in Moody's model for
rating and monitoring CRE CDOs - asset correlation, default
probability, and recovery rate. These revisions are generally
consistent with recent revisions to the key parameter assumptions
for rating and monitoring other collateralized debt obligation
transactions backed by structured finance securities.
Moody's has updated its asset correlation assumption for the
commercial real estate sector to be consistent with one of Moody's
CDO rating models, CDOROM v2.5 (released on February 3, 2009),
which incorporates these new parameters. However, for CRE CDOs
with non-CUSIP collateral, Moody's is reducing the maximum over
concentration stress applied to correlation factors by half due to
the diversity of tenants, property types, and geographic locations
inherent in the collateral pools. Previously, the average asset
correlations used for CMBS within CRE CDO deals ranged between 15%
and 35%, depending on vintage and issuer diversity. In light of
the systemic seizure of the credit markets, as well as higher
intra industry and inter industry asset correlations, the updated
correlation parameters for CRE CDOs will imply an average range of
asset correlations of between 30% and 60% for the underlying
collateral.
Moody's has previously stated that CRE CDO deals with collateral
concentrations in CMBS certificates will likely be among the first
transactions to be affected by credit issues that arise, and that
the additional leverage inherent in these deals creates the
potential for greater ratings transitions compared to that of a
first order transaction (i.e., those containing non-CUSIP assets).
For CRE CDOs with CUSIP collateral, the additional default
probability stress sometimes applied to resecuritization
collateral will not be applied to Moody's review of conduit and
fusion commercial mortgage backed securities collateral from the
2006 to 2008 vintages due to a recent ratings sweep of these
transactions. Based on Moody's current expectations for
commercial real estate performance, Moody's have migrated the
ratings for recent vintage CMBS to levels that Moody's believe
will remain relatively stable for the next 12 to 24 months. As
such, Moody's has eliminated the vintage stress factor and default
probability resecuritization stress from its analysis of deals
with recent vintage CMBS collateral.
For deals with pre-2006 CMBS collateral, Moody's is adopting the
default probability resecuritization stress assumptions contained
within CDOROM v2.5 to capture the leveraging effect and potential
ratings volatility of the underlying collateral. For CMBS, this
factor is equivalent to two times the probability of default for
non-Aaa and six times the PD for Aaa-rated collateral. For CRE
CDOs, this factor is equivalent to four times the probability of
default for non-Aaa and twelve times the PD for Aaa-rated
collateral. The lower stress for CMBS is due to the historical
stable performance of this asset class.
For CRE CDOs with non-CUSIP collateral, Moody's is eliminating the
additional default probability stress in CDOROM v2.5 that is
applied to corporate debt as Moody's anticipate that the
underlying non-CMBS collateral will experience lower default rates
and higher recovery rates. In addition, Moody's is reducing the
maximum over concentration stress applied to correlation factors
by half due to the diversity of tenants, property types, and
geographic locations inherent in the collateral pools. For those
deals that are significantly less diversified, Moody's will add
back over concentration stress as warranted.
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. This is Moody's first review since
securitization. Moody's review at securitization is summarized in
the Pre-Sale report dated May 7, 2007.
PNC MORTGAGE: S&P Downgrades Ratings on Four 1999-CM1 Certificates
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of commercial mortgage pass-through certificates from PNC
Mortgage Acceptance Corp.'s series 1999-CM1.
The downgrades of classes B-6, B-7, and B-8 to 'B+', 'CCC', and
'CCC-', respectively, reflect anticipated credit support erosion
upon the liquidation of the four assets ($16.8 million, 4%) with
the special servicer, Midland Loan Services Inc. The downgrade of
class C to 'D' reflects Standard & Poor's expectation that the
interest shortfalls affecting this class will remain outstanding
for an extended period. As of the March 10, 2009, remittance
report, the class C certificate had an accumulated interest
shortfall amount of $136,418, which includes a current interest
shortfall amount of $43,412. These interest shortfalls are the
result of interest on advances, as well as special servicing fees
and appraisal subordinate entitlement reduction amounts affecting
the four specially serviced assets. Details concerning the
specially serviced assets are:
-- Commons on Sanger Apartments, the largest asset with the
special servicer, has a total exposure of $7.2 million. The
asset, which was transferred to the special servicer in May
2007, is classified as real estate owned. The asset is a
327-unit multifamily property in Waco, Texas. Debt service
coverage and occupancy were 0.93x and 58% as of December 2007
and April 2008, respectively. The property manager decided
to implement exterior upgrades to the property, as well as to
engage leasing assistance in an effort to create leasing
momentum. The plan is to take the property back to market in
six months, or whenever the occupancy rate reaches an 80%
threshold. At this time, Standard & Poor's expects the
liquidation of the asset will result in a significant loss.
-- Town & Country Business Park, the second-largest asset with
the special servicer, has a total exposure of $6.1 million.
The asset is a 79,645-sq.-ft. office property in Colorado
Springs, Colorado. The asset was transferred to Midland in
October 2006 and is classified as REO. A sales contract is
currently in process. Net cash flow was negative and
occupancy was 10% as of December 2008. At this time,
Standard & Poor's expects the liquidation of the asset will
result in a severe loss.
-- 185 Commerce Drive has a total exposure of $3.4 million and
is secured by a 41,744-sq.-ft. office property in Upper
Dublin Township, Pennsylvania. The loan was transferred to
Midland in September 2008, and is classified as 90-plus days
delinquent. DSC was 0.21x as of July 2008. The lender was
pursuing a dual resolution track of either accepting an
agreed upon discount payoff, or initiating foreclosure. The
asset currently appears to be headed to foreclosure as the
borrower has been unable to secure a new loan for the
property. At this time, Standard & Poor's expects the
liquidation of the asset will result in a significant loss.
-- The Pro-Met Inc. loan has a total exposure of $3.1 million.
The loan is secured by a 92,052-sq.-ft. industrial property
in Milwaukee, Michigan. The loan was transferred to Midland
in September 2008 when the single tenant that occupied the
property stopped making rent payments. This tenant later
vacated the property in January 2009. The borrower has
stated an inability to make payments without leasing income.
The property is listed for sale or lease with a local broker,
however, no offers have been received to date. Standard &
Poor's will continue to monitor the progress of the loan's
resolution.
Standard & Poor's will continue to evaluate the performance of the
four assets with the special servicer and take rating actions as
appropriate.
Ratings Lowered
PNC Mortgage Acceptance Corp.
Commercial mortgage pass-through certificates series 1999-CM1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
B-6 B+ BB+ 5.98
B-7 CCC B 4.09
B-8 CCC- B- 2.67
C D CCC- 0.78
PUMA CAPITAL: S&P Withdraws 'B' Rating on Class G Notes
-------------------------------------------------------
Standard & Poor's Ratings Services said that it withdrew its 'B'
rating on Puma Capital Ltd.'s Class G notes and its 'B+' rating on
Puma's Class F notes.
Puma partially redeemed the Class G notes. There was $21.5
million outstanding on March 27, 2009. Puma has also fully
redeemed the $39 million Class F notes.
"The risk period for all of Puma's retro-reinsurance contracts has
expired, but the Class G notes still have some exposure to
Hurricane Ike," noted Standard & Poor's credit analyst James
Brender. One cedent still has coverage for this event. Based on
the cedent's current estimate of its losses from Ike, Standard &
Poor's believes the probability of Puma incurring a loss from this
contract is extremely remote. Assuming Puma does not incur a loss
on its only outstanding contract, Standard & Poor's believes it
has adequate resources to repay the Class G notes. Puma had cash
(including trust balances) of almost $26 million as of Dec. 31,
2008. The remaining balance on the Class G notes is less than
$22 million.
PUTNAM STRUCTURED: Fitch Takes Rating Actions on 2001-1 Notes
-------------------------------------------------------------
Fitch Ratings takes various actions on seven classes of notes
issued by Putnam Structured Product CDO 2001-1, Ltd.:
-- $37,809,008 class A-1MM-a notes long-term rating affirmed at
'A+', Outlook Stable, and short-term rating downgraded to
'F1' from 'F1+';
-- $33,758,043 class A-1MM-b notes long-term rating affirmed at
'A+', Outlook Stable, and short-term rating downgraded to
'F1' from 'F1+';
-- $70,891,890 class A-1SS notes affirmed at 'A+', Outlook
Stable;
-- $33,708,716 class A-2 notes downgraded to 'BB', Outlook
Stable, from 'BBB+', removed from Rating Watch Negative;
-- $24,000,000 class B notes downgraded to 'CC' from 'BB',
removed from Rating Watch Negative;
-- $8,021,387 class C-1 notes downgraded to 'C' from 'CCC',
removed from Rating Watch Negative;
-- $8,166,591 class C-2 notes downgraded to 'C' from 'CCC',
removed from Rating Watch Negative.
The class A-1MM-a, A-1MM-b, A-1SS, and A-2 notes were assigned
Stable Outlooks reflecting Fitch's expectation that the ratings
will remain stable over the next one to two years.
These rating actions are due to Fitch's recently adjusted default
and recovery rate assumptions for analyzing structured finance
collateralized debt obligations, in addition to negative credit
migration in the underlying portfolio. Assets rated below
investment grade currently comprise 24.8% of the portfolio, with
10.2% of the portfolio considered 'CCC+' or below.
The class A-1MM-a, A-1MM-b, and A-1SS notes are affirmed at 'A+'
due to the benefit that they receive from the failure of the class
A/B overcollateralization test. As of the Feb. 25, 2009 payment,
the class A/B OC ratio was 100.9% versus the 105% trigger. As a
result of the test failure, the class A-1, A-2, and B notes are
paid sequentially until the class A/B coverage tests are cured.
On the most recent payment date on Feb. 25, 2009, the class A-1
notes received approximately $1.5 million from interest proceeds
and all of the $2 million of principal proceeds. Class A-1 has
amortized 21.6% since November 2007 and 32.5% since closing in
2001.
The downgrades reflect the continued credit deterioration of the
portfolio. The class A-2 notes did not receive any principal
payments as a result of the class A/B OC test failure, since the
class is paid sequentially after class A-1 when the class A/B
coverage tests fail, even though class A-2 is pro rata with class
A-1 in the waterfall when there are no coverage test failures.
Class A-2 is no longer considered investment grade as the credit
enhancement to the class may easily be eroded by losses on below
investment grade collateral. Similarly, the transaction's ability
to repay the class B notes is dependent upon the performance of
'CCC+' and lower rated collateral. The class B notes are
currently receiving full interest payments, but future principal
payments are not likely. The class C-1 and C-2 notes have and
will continue to pay in kind, whereby the principal balances of
the notes are written up by the amount of interest owed due to the
class A/B OC test failure. Fitch does not expect any future
interest or principal payments to the class C-1 and C-2 notes.
In addition, the class A-1MM notes' short-term ratings are
downgraded to 'F1' from 'F1+' due to Fitch's downgrade of American
International Group, Inc's short-term rating on Sept. 15, 2008.
The short-term rating addresses the noteholders' ability to put
the notes back to the put provider, AIG, on its next applicable
remarketing date, which will be no later than one year from its
prior remarketing date. The class A-1MM-a notes reset annually in
May and the class A-1MM-b notes reset annually in November.
Furthermore, the downgrade of AIG constitutes a "Substitution
Event" under the Swap Agreement and is also considered an
"Additional Termination Event" since the Issuer did not find a
counterparty replacement. However, termination of the Swap
Agreement is optional, and since the Issuer has not terminated the
Swap Agreement yet, the agreement is still in place.
Putnam 2001-1 is a CDO which closed in November 2001 and is
managed by The Putnam Advisory Company, LLC; however, this
transaction is now static as the reinvestment period ended in
November 2006. Putnam 2001-1 is composed of 28.1% commercial real
estate investment trusts, 17.9% corporate bonds, 15.7% prime
residential mortgage-backed securities, 12.6% commercial mortgage-
backed securities, 8% subprime RMBS, 5.2% SF CDOs, 4.5% commercial
asset-backed securities, 3.1% manufactured housing RMBS, 2.6%
corporate CDOs, and 2.4% consumer ABS.
These rating actions resolve the 'Under Analysis' status issued on
Oct. 14, 2008 following Fitch's announcement of its proposed
criteria revision for analyzing structured finance CDOs. The
revised criteria report, 'Global Rating Criteria for Structured
Finance CDOs' was published in its final form on Dec. 16, 2008
along with an updated version of the Fitch Portfolio Credit Model
that includes additional functionality for analyzing SF CDOs. As
part of this review, Fitch makes standard adjustments for any
names on Rating Watch Negative or with a Negative Outlook,
downgrading such ratings for default analysis purposes by three
and one notches, respectively.
Fitch will continue to monitor and review this transaction for
future rating adjustments.
REA LIQUIDITY TRUST: DBRS Releases Performance Update for S2004-1
-----------------------------------------------------------------
Dominion Bond Rating Service has released the performance update
report for Real Estate Asset Liquidity Trust, Commercial Mortgage
Pass-Through Certificates, Series 2004-1.
The transaction consists of 72 loans with a current deal balance
of $349,823,745. The deal has seasoned for roughly 53 months and
the collateral has amortized 12.7% since issuance. Financial
performance of the loans reporting YE2007 financials has been very
strong, with the weighted-average debt service coverage ratio
(WADSCR) increasing 14.0% from 1.59 times (x) at issuance to
1.81x.
During the remainder of 2009, 22 loans, representing 28.2% of the
pool, are scheduled to mature. Given the low overall levels of
commercial mortgage lending, there is a likelihood that some of
the maturing loans will not find refinancing proceeds at the
maturity date and will instead need to be extended. However, the
credit characteristics of these loans are generally quite good.
All but one loan have reported updated financials since issuance,
and the average resulting debt yield is quite high at
approximately 17%. Only three loans, representing 2.4% of the
pool, have a debt yield below 9%. Given this information, it
appears that the long-term possibilities of refinancing for most
of these loans are quite good. DBRS will monitor the transaction
for loan payoffs at maturity as the considerable amount of near-
term maturities could have a substantially positive impact on
credit enhancement levels, particularly toward the top of the
capital structure.
The pool is diverse in terms of property type and has good loan
diversity (with the largest loan representing just 6.8% of the
current pool balance). The pool is concentrated in the province
of Ontario, which represents 39.9% of the current pool balance,
but otherwise has good geographic diversity, with no other
province representing more than 20% of the current pool balance.
The DSCRs of loans 1 to 10 is relatively high because two of the
six loans reporting have a DSCR of 2.04x or greater. Reporting
for the total pool in 2007 was limited to 60.0%.
Two loans are shadow-rated by DBRS - Sheraton Cavalier (currently
shadow-rated AA (low), 5.6% of the pool) and Baywood Centre
(currently shadow-rated AA (high), 2.6% of the pool).
There is one specially serviced loan in the pool, Gullivers Square
(2.8% of the pool). The loan has been transferred to the special
servicer because of the borrower's non-payment of real estate
taxes for the past two years. The servicer has advanced the
amount owed for taxes and attempted to implement a payment plan
with the borrower to pay back the advance. The borrower has not
commenced paying back the advance and apparently wishes to pay it
out of refinancing proceeds (September 2009 loan maturity). The
servicer required that the borrower, within a 60-day period,
obtain a new appraisal and secure a commitment letter for
refinancing. The borrower did not comply with this request and
the loan was transferred to the special servicer. The YE2007
operating statement analysis report (OSAR) indicated that
occupancy had dropped to 63%, but the borrower has indicated that
Giant Tiger (25% of net rentable area (NRA)) has signed a five-
year lease and according to the October 21, 2008, rent roll, the
property was 88% occupied. Based on this new lease, the loan's
DSCR should be near 1.0x, based on its 25-year amortization
schedule. The loan will have a somewhat low debt yield of
approximately 8% and the borrower may have to commit additional
equity in order to refinance. Given that the borrower has kept the
loan current and just recently signed a relatively large lease, it
is difficult to anticipate what losses (if any) may ultimately be
incurred. The DBRS loss estimate is equal to the special
servicer's fee of 1% of the outstanding principal balance, which
also may ultimately be recovered.
Two loans, representing 4.7% of the current pool balance, are on
the DBRS HotList because of significant expired leases on an
outdated rent roll or upcoming significant lease expiries. The
largest loan on the DBRS HotList is the fourth largest loan in the
pool, Marine Building (3.8% of the pool), which is secured by a
mixed-use building in Montreal. As of the June 2006 rent roll,
Marine Building had leases on approximately 44% of the NRA expire.
Currently, Altus InSite lists 18.1% of NRA as available and DBRS
has requested updated information from the servicer regarding the
tenancy at the building. While the loan per square foot is
relatively high at $181, the location is very strong and the
ground floor retail space commands a substantial rental rate
premium compared with the office space.
Bedford Square Office Building (0.9% of the pool) is on the DBRS
HotList because the largest tenant, Voxcom (52% of NRA), is
occupying its space on a lease that was scheduled to expire on
March 31, 2009. An update from the borrower has been requested,
but no additional information has yet been received. The current
loan per square foot is relatively low at approximately $57, given
that the property is in good condition and was thoroughly
renovated in 2003 after a fire damaged a portion of the property.
According to Altus InSite, there is no space available in the
building, which could be an indication that Voxcom renewed its
lease.
A full-text copy of the performance update report providing
additional analytical detail is available at no charge at:
http://bankrupt.com/misc/DBRS20090407REA.PDF
RESTRUCTURED ASSET: S&P Corrects Rating on 2006-15-A Certs. To 'D'
------------------------------------------------------------------
Standard & Poor's Ratings Services corrected its rating to 'D'
from 'CCC' on Restructured Asset Certificates with Enhanced
Returns Series 2006-15-A Trust's $500 million certificates.
S&P lowered the rating on the certificates due to the payment
default on the December 2008 payment due date.
RBSSP RESECURITIZATION: DBRS Junks 33 Classes of 2009-4 Notes
-------------------------------------------------------------
Dominion Bond Rating Service assigned these ratings to the RBSSP
Resecuritization Trust 2009-4 Notes and Certificates issued by
RBSSP Resecuritization Trust 2009-4:
-- $3.6 million Class 1-A rated at AAA
-- $4.0 million Class 2-A rated at AAA
-- $6.8 million Class 3-A rated at AAA
-- $27.3 million Class 4-A rated at AAA
-- $2.8 million Class 5-A rated at AAA
-- $1.2 million Class 6-A rated at AAA
-- $1.5 million Class 7-A rated at AAA
-- $8.3 million Class 8-A rated at AAA
-- $3.1 million Class 9-A rated at AAA
-- $10.1 million Class 10-A rated at AAA
-- $11.0 million Class 11-A rated at AAA
-- $1.8 million Class 12-A rated at AAA
-- $3.8 million Class 13-A rated at AAA
-- $9.8 million Class 14-A rated at AAA
-- $5.8 million Class 15-A rated at AAA
-- $5.9 million Class 16-A rated at AAA
-- $9.1 million Class 17-A rated at AAA
-- $13.8 million Class 18-A rated at AAA
-- $6.1 million Class 19-A rated at AAA
-- $2.5 million Class 20-A rated at AAA
-- $1.0 million Class 21-A rated at AAA
-- $3.2 million Class 22-A rated at AAA
-- $4.6 million Class 23-A rated at AAA
-- $2.9 million Class 24-A rated at AAA
-- $4.5 million Class 25-A rated at AAA
-- $6.7 million Class 26-A rated at AAA
-- $7.5 million Class 27-A rated at AAA
-- $14.5 million Class 28-A rated at AAA
-- $5.3 million Class 29-A rated at AAA
-- $1.9 million Class 30-A rated at AAA
-- $3.1 million Class 31-A rated at AAA
-- $5.4 million Class 32-A rated at AAA
-- $4.9 million Class 33-A rated at AAA
-- $9.5 million Class 34-A rated at AAA
-- $7.0 million Class 35-A rated at AAA
-- $2.8 million Class 36-A rated at AAA
-- $4.4 million Class 37-A rated at AAA
-- $9.1 million Class 38-A rated at AAA
-- $2.3 million Class 39-A rated at AAA
-- $1.7 million Class 40-A rated at AAA
-- $497,378 Class 41-A rated at AAA
-- $600,000 Class 42-A rated at AAA
-- $1.5 million Class 43-A rated at AAA
-- $1.4 million Class 1-B rated at CCC
-- $1.7 million Class 2-B rated at CCC
-- $2.4 million Class 3-B rated at B (high)
-- $8.6 million Class 4-B rated at B (high)
-- $14.6 million Class 5-B rated at CCC
-- $4.8 million Class 6-B rated at CCC
-- $5.8 million Class 7-B rated at CCC
-- $7.7 million Class 8-B rated at B (high)
-- $3.1 million Class 9-B rated at BB
-- $11.9 million Class 10-B rated at B (high)
-- $14.0 million Class 11-B rated at B
-- $4.2 million Class 12-B rated at CCC
-- $11.3 million Class 13-B rated at BB (high)
-- $19.1 million Class 14-B rated at CCC
-- $2.2 million Class 15-B rated at B
-- $3.2 million Class 16-B rated at CCC
-- $3.9 million Class 17-B rated at B
-- $7.4 million Class 18-B rated at CCC
-- $2.6 million Class 19-B rated at BB (low)
-- $22.5 million Class 20-B rated at CCC
-- $9.0 million Class 21-B rated at CCC
-- $3.2 million Class 22-B rated at CCC
-- $2.1 million Class 23-B rated at CCC
-- $6.8 million Class 24-B rated at CCC
-- $5.5 million Class 25-B rated at CCC
-- $12.4 million Class 26-B rated at CCC
-- $17.5 million Class 27-B rated at CCC
-- $21.7 million Class 28-B rated at CCC
-- $47.4 million Class 29-B rated at CCC
-- $4.9 million Class 30-B rated at CCC
-- $7.2 million Class 31-B rated at CCC
-- $48.2 million Class 32-B rated at CCC
-- $4.5 million Class 33-B rated at CCC
-- $11.6 million Class 34-B rated at CCC
-- $10.4 million Class 35-B rated at CCC
-- $5.2 million Class 36-B rated at CCC
-- $10.2 million Class 37-B rated at CCC
-- $21.2 million Class 38-B rated at CCC
-- $5.4 million Class 39-B rated at CCC
-- $9.5 million Class 40-B rated at CCC
-- $4.5 million Class 41-B rated at CCC
-- $5.4 million Class 42-B rated at CCC
-- $13.3 million Class 43-B rated at CCC
There are a total of 43 groups in the resecuritization trust, each
consisting of one seasoned senior residential mortgage-backed
security. Within each group, the AAA rating on the Class A notes
reflects the credit enhancement provided by the Class B
certificates. The credit enhancements range from 24% to 90%, with
a weighted average of 64.5% by current face amounts. The ratings
also reflect the quality of the 43 underlying securities.
Interest and principal payments on the notes and certificates will
generally be made on the 27th day of each month, commencing in
April 2009. Within each group, interest payments will be
distributed on a pro rata basis to the notes and certificates, and
the principal payments will be distributed on a sequential basis
to the notes and the certificates until the note or certificate
principal balance has been reduced to zero.
Any losses realized from the underlying securities will be
allocated in a reverse sequential order to the certificates and
the notes within each group until their principal balances have
been reduced to zero.
The Trust is a resecuritization consisting of 43 senior
residential mortgage-backed securities represented by 41 real
estate mortgage investment conduits (REMICs). The REMICs are
backed by pools of first- or second-lien one- to four-family
residential mortgages.
ROCK 1 CRE: Moody's Downgrades Ratings on 14 Classes of Notes
-------------------------------------------------------------
Moody's Investors Service downgraded the ratings of 14 classes and
confirmed one class of Notes issued by Rock 1 CRE CDO. The rating
actions are:
-- Class A-1, $317,700,000, Floating Rate Notes Due 2026,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A-2, $35,300,000, Floating Rate Notes Due 2026;
downgraded to Baa1 from Aaa; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class B, $31,875,000, Floating Rate Notes Due 2026,
downgraded to Ba1 from Aa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class C, $23,500,000, Floating Rate Notes Due 2026,
downgraded to B2 from A1; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class D, $8,750,000, Floating Rate Notes Due 2026, downgraded
to B3 from A2; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class E, $7,000,000, Floating Rate Notes Due 2026, downgraded
to Caa1 from A3; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class F, $13,000,000, Floating Rate Notes Due 2026,
downgraded to Caa2 from Baa1; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class G, $10,875,000, Floating Rate Notes Due 2026,
downgraded to Caa2 from Baa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class H, $11,500,000, Floating Rate Notes Due 2026,
downgraded to Caa3 from Baa3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class J, $9,625,000, Floating Rate Notes Due 2026, downgraded
to Caa3 from Ba1; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class K, $5,125,000, Floating Rate Notes Due 2026, downgraded
to Caa3 from Ba2; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class L, $5,900,000, Floating Rate Notes Due 2026, downgraded
to Caa3 from Ba3; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class M, $4,800,000, Floating Rate Notes Due 2026, downgraded
to Caa3 from B1; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class N, $3,500,000, Floating Rate Notes Due 2026, downgraded
to Caa3 from B2; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class O, $2,550,000, Floating Rate Notes Due 2026, downgraded
to Caa3 from B3; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
Moody's downgraded Classes A-1, A-2, B, C, D, E, F, G, H, J, K, L,
M, N, and O due to revised modeling parameters.
The pool contains approximately a 9.0% concentration in CMBS and
CDO collateral and the remaining is comprised of whole loans and
B-Notes. Moody's ratings are based on the current credit quality
of the collateral and may not reflect potential migration as per
the legal documentation.
Moody's expects the aggregate default rate on CMBS loans (1.59% as
of March 2009) to revert to its long-term historical average of
1.5% to 2.0% in 2009, and most likely to surpass this level as the
market begins to form a bottom in 2010 and 2011. Commercial
property values, which have declined about 21% from the peak
reached in October 2007, are expected to decline an additional 5
to 15% over the next 18 to 24 months.
Moody's has revised three key parameters in Moody's model for
rating and monitoring commercial real estate collateralized debt
obligations - asset correlation, default probability, and recovery
rate. These revisions are generally consistent with recent
revisions to the key parameter assumptions for rating and
monitoring other collateralized debt obligation transactions
backed by structured finance securities.
Moody's has updated its asset correlation assumption for the
commercial real estate sector to be consistent with one of Moody's
CDO rating models, CDOROM v2.5 (released on February 3, 2009),
which incorporates these new parameters. However, for CRE CDOs
with non-CUSIP collateral, Moody's is reducing the maximum over
concentration stress applied to correlation factors by half due to
the diversity of tenants, property types, and geographic locations
inherent in the collateral pools. Previously, the average asset
correlations used for CMBS within CRE CDO deals ranged between 15%
and 35%, depending on vintage and issuer diversity. In light of
the systemic seizure of the credit markets, as well as higher
intra industry and inter industry asset correlations, the updated
correlation parameters for CRE CDOs will imply an average range of
asset correlations of between 30% and 60% for the underlying
collateral.
Moody's has previously stated that CRE CDO deals with collateral
concentrations in CMBS certificates will likely be among the first
transactions to be affected by credit issues that arise, and that
the additional leverage inherent in these deals creates the
potential for greater ratings transitions compared to that of a
first order transaction (i.e., those containing non-CUSIP assets).
For CRE CDOs with CUSIP collateral, the additional default
probability stress sometimes applied to resecuritization
collateral will not be applied to Moody's review of conduit and
fusion commercial mortgage backed securities collateral from the
2006 to 2008 vintages due to a recent ratings sweep of these
transactions. Based on Moody's current expectations for
commercial real estate performance, Moody's have migrated the
ratings for recent vintage CMBS to levels that Moody's believe
will remain relatively stable for the next 12 to 24 months. As
such, Moody's has eliminated the vintage stress factor and default
probability resecuritization stress from its analysis of deals
with recent vintage CMBS collateral.
For deals with pre-2006 CMBS collateral, Moody's is adopting the
default probability resecuritization stress assumptions contained
within CDOROM v2.5 to capture the leveraging effect and potential
ratings volatility of the underlying collateral. For CMBS, this
factor is equivalent to two times the probability of default for
non-Aaa and six times the PD for Aaa-rated collateral. For CRE
CDOs, this factor is equivalent to four times the probability of
default for non-Aaa and twelve times the PD for Aaa-rated
collateral. The lower stress for CMBS is due to the historical
stable performance of this asset class.
For CRE CDOs with non-CUSIP collateral, Moody's is eliminating the
additional default probability stress in CDOROM v2.5 that is
applied to corporate debt as Moody's anticipate that the
underlying non-CMBS collateral will experience lower default rates
and higher recovery rates. In addition, Moody's is reducing the
maximum over concentration stress applied to correlation factors
by half due to the diversity of tenants, property types, and
geographic locations inherent in the collateral pools. For those
deals that are significantly less diversified, Moody's will add
back over concentration stress as warranted.
In Moody's analysis of synthetic CRE CDOs, it historically
employed a fixed recovery rate by the asset's original rating and
tranche size. Moody's current analysis uses a simulation based
mean recovery rate based on the asset's current rating and tranche
size. This is consistent with the assumptions underlying CDOROM
v2.5. With this more robust approach, Moody's expects to capture
in Moody's ratings more of the tail risk associated with
variability of recovery rates.
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. This is Moody's first full review since
securitization.
SAGE COLLEGES: Moody's Affirms 'Ba2' Rating on 1999 Fixed Bonds
---------------------------------------------------------------
Moody's Investors Service has affirmed Sage Colleges' Ba2 long-
term debt rating on the Series 1999 fixed rate bonds and the
Series 2002 variable rate demand bonds, issued through the City of
Albany I.D.A. and Rensselaer County I.D.A., respectively. The
College's rating has been removed from watchlist for possible
downgrade. The outlook is negative.
Legal Security: Obligations under the Installment Sale Agreements
are general obligations of the college; debt service reserve fund
for Series 1999 bonds; Manufacturers & Traders Trust Company
letter of credit securing the Series 2002 bonds.
Debt-Related Derivatives: Sage Colleges is party to a floating to
fixed rate swap with a notional amount of $6.96 million that
hedges the interest rates on its Series 2002 bonds. The
counterparty for the swap is M&T Bank (rated A1/P-1). Under the
swap, Sage pays 3.65% and receives BMA. There are no collateral
posting requirements for the swap and the outstanding mark-to-
market value as of March 24th is negative $324,600 against the
College.
Challenges
* Highly strained operations in FY 2008 resulting from a drop in
enrollment in the fall of 2007. The College is 78% reliant on
student fees. An unexpected 12% decline in enrollment in the
fall of 2007 manifested in a 9% decline in net tuition revenue
and a 15% decline in auxiliary revenue in FY2008 from the
previous year. As a result, the College ended the 2008 fiscal
year with a negative operating margin of -8.9% and inadequate
debt service coverage of 0.2 times, by Moody's calculation.
Ultimately, the College ended the 2008 fiscal year with a
decline of over $4 million in unrestricted net assets.
Management attributes the enrollment plunge to a historically
under-developed and stagnant marketing approach. The College,
which has two distinct campuses, has a challenging student
market position and Moody's believe enrollment levels could be
pressured in the next year or two as the College competes
heavily with other local public institutions, which are lower
priced including community colleges and the University of
Albany.
* Dependence on endowment secured bank lines of credit and new
bank term loan (entered into after close of FY 2008) for
operating liquidity. Following the 2008 deficit, the College
acquired an additional operating line and term loan for
liquidity purposes. New debt consists of $6 million term loan
with M&T Bank and a $3 million fully drawn line of credit with
First Niagara. According to management approximately $12.5
million of the $24 million endowment (as of 3/31/09) was
securing the line of credit as well as the term loan all with
M&T Bank. In Moody's opinion, these security features on the
bank debt put fixed-rate bondholders in a weaker position, since
they do not have the same security.
* Increased balance sheet leverage in light of investment losses.
The College reports an investment loss consistent with peers at
negative 28% as of February 28, 2009 for the 2009 fiscal year.
In Moody's opinion, the College's asset allocation is aggressive
for an endowment of this size with approximately 40% in
alternative investments; up from 25% at the end of the 2008
fiscal year. This growth in allocation to alternatives is
partly the result of declines in the traditional equity and
fixed income allocations and a decision not to rebalance the
portfolio. As of 12/31/2008, the endowment asset allocation
consisted of 39% equity, 19% fixed income, 10% hedge funds, 9%
private investments and 22% absolute return. The College
maintains large allocations of the endowment with certain
managers, including 22% of the portfolio with Evanston
Weatherlow (absolute return, fund of funds) and 19% with PIMCO
(fixed income) and holds no more than 10% of remaining assets
with any individual manager. The College utilizes Convergent as
investment consultant with investment decisions largely overseen
by the investment committee of the board.
* Significant deterioration of the balance sheet due to the FY
2008 deficit, new debt in the form of lines of credit and
investment losses. Given a Moody's estimated 30% decline in
financial resources thus far for the 2009 fiscal year,
expendable financial resources cover debt and operations by 0.23
times and 0.18 times, respectively.
* Potential to breach Letter of Credit Covenants. Covenants
include a total investments to long-term debt ratio of 1.0 times
and a debt service coverage ratio of 1.0 times. Given poor
investment returns and challenged operations, there is concern
that the College may breach either or both of these covenants.
As of 4/30/08 (the College's FYE), Coverage levels were 1.01
times coverage of debt service (as calculated by M&T Bank) and
1.9 times coverage of total investments to long term debt (as
calculated by Moody's). Projected coverage levels for the end
of the fiscal 2009 year are 1.21 times coverage of debt service
(as calculated by the College) and 1.05 times coverage of long
term debt (as calculated by Moody's based on March 26, 2009
asset valuations). Further investment losses will cause
material deterioration of coverage levels.
Strengths
* Restructuring of management dedicated to growth initiatives.
New management, including a new president, vice president for
finance, and vice president for marketing and enrollment, is
focused on strategic planning, a branding initiative, and
longer-term enrollment growth for the College. See RECENT
DEVELOPMENTS
* Indications of rebounding enrollment and improved retention in
2009. With a moderate enrollment rebound of 7% in the fall of
2008, management is expecting to end the 2009 fiscal year with a
more modest deficit of under $1 million. Management reports
that they are budgeting higher enrollment for the 2010 fiscal
year in light of significant application growth, but remain
conservative in their estimates. Other areas of revenue growth
include a 5% tuition increase and planned auxiliary growth. A
2010 balanced budget was recently approved by the board.
* No additional debt plans in the near term. According to
management, the College has the physical capacity to grow its
enrollment before extensive investment in plant is necessary.
Management expects this advantage to result in more swift
revenue growth with limited expense growth.
Recent Developments: New Management Implementing Changes In An
Effort To Grow Enrollment, Improve Retention And Increase Academic
And Campus Appeal.
Following the retirement of the College president in the summer of
2008, the College recruited a new president with prior experience
as a College President. In addition to a new president, the
college has utilized the services of The Presidential Practices as
a strategic planning consultant, has brought on a new VP for
Finance and Treasurer and VP of Marketing and Enrollment, and is
currently searching for a new VP of Administration. This overhaul
of management has manifested in swift strategic change over the
last year; including large reorganization of departmental
management and added staff in essential departments such as
marketing and finance.
Although Moody's believes that the new management team is working
quickly to re-energize the college with significant changes to the
strategic plan, Moody's believe the College has a challenged
student market position and faces near-term financial challenges
which could pressure the rating. The College launched a new
marketing campaign which includes new branding and advertising
locally in papers, TV spots and on billboards. These efforts have
seen initial results with fall 2008 enrollment up 7% from the
previous year and fall 2009 applications up 53% for undergraduates
and 136% for graduate students compared to this time last year.
Ultimately, management plans to grow enrollment from the current
2,159 to 5,000 students over the long term. Management believes
there is adequate classroom and residential space to handle much
of this enrollment growth without extensive borrowing. However,
in order to reach and maintain this ambitious goal of 5,000,
significant investment in capital and capital renovation will be
necessary in the long term. The College has no debt plans in the
near-term.
College Trustees initiated strategic changes by establishing a
"Transformation Fund" in 2007 of over $669,000 to fund essential
growth areas such as enrollment and marketing. In an effort to
further develop fundraising, Sage recently reorganized their
development team and the president plans to focus, personally, on
this area of growth. A recent bequest of $2 million will be used
to grow endowment funds and launch a research institute on campus.
Other strategic changes include the integration of the two
campuses in Troy and Albany and a more focused attention to campus
life in an effort to enhance the student experience and increase
historically poor retention. Integration will open up the variety
of courses available to students; enhancing academic options.
More focused attention to campus experience has and will include
the opening of a new athletic center, supporting a resurgence of
athletic programs for both men and women, the reopening of the
swimming pool and the utilization of faculty to help rejuvenate
student academic and extra-curricular activity. Freshman to
sophomore retention in fall of 2007 was 66%. Fall of 2008
retention was up at both colleges at 82% and 76% which helped to
support the boost in enrollment.
Management reports upcoming academic changes in the post-graduate
arena as well. These will include the merging of the existing
health sciences and nursing school, the evolution of a management
department into a School of Management and the creation of a new
School of the Arts to bridge the established Theatre and Fine Arts
Departments. These are in addition to the already established
Education department. Sage already offers doctoral programs in
Nursing and Education will be adding a third in Women's Studies.
Outlook
The outlook reflects the College's long-term challenges, highly
leveraged balance sheet position, endowment securing bank debt,
and Moody's concerns that fall 2009 enrollment levels could be
pressured due to broader economic challenges, despite strong
application volume.
What could change the rating-UP
Significant growth of unrestricted financial resources coupled
with increased student demand and enrollment and steady growth of
net tuition revenue
What could change the rating-DOWN
Further enrollment declines; continued operating deficits and
deterioration of financial resources; additional borrowing;
tripping of financial covenants contained within bank documents.
Key Indicators (FY 2008 financial data and fall 2008 enrollment
data):
* Numbers included in parentheses represent the Moody's projection
of a 30% decline in resource levels
* Total Full-Time Equivalent Students: 2,159
* Freshman Acceptance Rate: 68.8%
* Freshman Matriculation Rate: 40.5%
* Total Pro-Forma Direct Debt: $29.9 million (includes $5.7
million drawn on line of credit and $6 million term loan)
* Expendable Resources to Pro-Forma Direct Debt: 0.32 times (0.23
times)
* Expendable Resources to Operations: 0.24 times (0.18 times)
* Three-year Average Operating Margin: -1.6%
* Operating Cash Flow Margin: 1.7%
* Reliance on Student Charges: 78%
Rated Debt:
* Series 1999 bonds: Ba2 rating
* Series 2002 bonds: Ba2 underlying; Aa1/VMIG1 based on two-party
pay rating methodology
The last rating action with respect to Sage Colleges was on
January 13, 2009 when the rating was downgraded to Ba2 and placed
on watchlist for further downgrade.
SALOMON BROS: S&P Downgrades Ratings on Four 2001-C1 Certs.
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of commercial mortgage pass-through certificates from
Salomon Bros. Commercial Mortgage Trust 2001-C1.
The downgrades of classes H, J, and K to 'BB-', 'CCC', and 'CCC-',
respectively, reflect anticipated credit support erosion upon the
liquidation of the nine assets ($38.3 million, 6%) with the
special servicer, CWCapital Asset Management LLC.
The downgrade of class L to 'D' reflects Standard & Poor's
expectation that the interest shortfalls affecting this class will
remain outstanding for an extended period. As of the March 18,
2009, remittance report, the class L certificate had an
accumulated interest shortfall amount of $42,884, which includes a
current interest shortfall amount of $14,316. These interest
shortfalls are the result of special servicing fees related to the
specially serviced assets, as well as an appraisal subordinate
entitlement reduction amount affecting one of the specially
serviced assets. Details concerning this asset are:
-- The Hilltop Apartments loan, the sixth-largest asset with the
special servicer, has a total exposure of $3.6 million. The
loan, which was transferred to CWCapital in January 2008 for
imminent default, is 90-plus-days delinquent, and is secured
by a 132-unit multifamily property in Anderson, Indiana. Net
cash flow was negative as of December 2007. The property was
placed in a receivership estate associated with the U.S.
Securities and Exchange Commission following the
borrower/sponsor's arrest for fraud. CWCapital is seeking to
have the asset released from the SEC's receivership estate.
At this time, Standard & Poor's expects the liquidation of
the asset will result in a severe loss.
Standard & Poor's will continue to evaluate the performance of the
assets with the special servicer and take rating actions as
appropriate.
Ratings Lowered
Salomon Bros. Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2001-C1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
H BB- BB+ 5.16
J CCC B 2.29
K CCC- CCC+ 1.22
L D CCC- 0.14
SEQUILS-CENTURION V: Fitch Junks Rating on $57 Mil. Secured Notes
-----------------------------------------------------------------
Fitch Ratings downgrades two classes of notes issued by SEQUILS-
Centurion V, Ltd. and one class of notes issued by MINCS-Centurion
V, Ltd. These rating actions are effective immediately:
-- $226,364,392 SEQUILS class A notes downgraded to 'AA' from
'AAA' and remain on Outlook Negative;
-- $16,644,441 SEQUILS class B notes downgraded to 'BBB' from
'A' and remain on Outlook Negative;
-- $57,000,000 MINCS Third Priority Secured notes downgraded to
'CC' from 'BBB', assigned 'RR3', and removed from Rating
Watch Negative.
SEQUILS-Centurion and MINCS-Centurion are a cash flow and
synthetic collateralized loan obligation, respectively, jointly
obtaining exposure to a portfolio of high yield U.S. senior bank
loans. Proceeds from the issuance of the SEQUILS-Centurion notes
were invested in senior bank loans. The SEQUILS-Centurion entered
in a credit swap with Morgan Guaranty Trust Company of New York
which provides credit protection to SEQUILS-Centurion. MGT's
ultimate parent JPMorgan Chase & Co. is rated 'AA-', Stable
Outlook. MGT simultaneously entered into a credit swap with
MINCS-Centurion. MINCS-Centurion's obligation under that swap was
collateralized with $57 million of securities purchased with the
proceeds from the sale of the MINCS-Centurion notes. Under the
SEQUILS-Centurion credit swap, MGT pays the amount of each
quarter's principal losses, up to the SEQUILS Credit Swap
Threshold. The SEQUILS Credit Swap Threshold was initially set at
$57 million but has since stepped down to $32.7 million due to the
ongoing amortization of the SEQUILS-Centurion. The balance of
principal losses received from MGT is paid back from the SEQUILS-
Centurion interest waterfall in the same or subsequent pay
periods, and any remaining interest proceeds are used to fund the
MINCS- Centurion interest waterfall. A ny outstanding SEQUILS
Credit Swap Balance at final maturity is paid from the collateral
of the MINCS-Centurion notes prior to these notes' paydown.
These downgrades are a result of the deterioration in the credit
quality of the portfolio. Non-defaulted assets rated 'CCC+' and
lower comprised 14.6 % of the portfolio as of March 16, 2009, as
reported in the most recent report. After making standard
adjustments for Rating Watch Negative and Negative Outlook, Fitch
estimates that 37.9% of the portfolio excluding defaults is rated
'CCC+' and lower. The accelerating pace of the defaults and
potentially lower future recoveries on defaulted names more than
offset the deleveraging which has taken place since the end of the
reinvestment period in March 2006. The SEQUILS-Centurion classes
A and B notes have amortized to approximately 55% of their
original balances. Class B has so far amortized pari-passu with
the class A; however, the paydowns will switch to a sequential
order, at the latest when class B is paid down to 50% of its
original balance. Fitch projected future losses from the
portfolio utilizing assumptions described in its current corporate
CDO criteria.
Since December 2008, the interest proceeds have been insufficient
to pay off the SEQUILS Credit Swap Balance which stands at $2.8
million after the March payment. As a result, in the last two
payment periods there was no excess spread available for the
MINCS-Centurion interest waterfall. For the March payment, MGT in
its capacity as MINCS-Centurion credit swap counterparty, advanced
funds to pay part of the expenses and basic interest on the MINCS-
Centurion notes in the amount of $0.25 million. In addition,
there is $0.27 million balance of deferred basic interest due to
the MINCS-Centurion notes. The outstanding balances will have to
be repaid from the future interest and principal MINCS-Centurion
proceeds prior to the paydown of the MINCS-Centurion notes. The
transaction does not benefit from the previously generated excess
spread due to the lack of excess-spread capturing features when
various tests are in compliance.
The ratings assigned to the SEQUILS-Centurion notes address the
timely return of interest and ultimate return of principal. The
rating assigned to the MINCS-Centurion notes addresses the timely
payment of basic interest and principal. Additionally, the
ratings assigned to the SEQUILS-Centurion and MINCS-Centurion
notes do not address the payment of any additional interest or
distributions.
SETCAP STRUCTURED: Moody's Completes Review; Confirms Note Ratings
------------------------------------------------------------------
Moody's Investors Service has completed its review of the
underlying ratings of the notes issued by SetCap Structured
Settlement Trust. The transaction involves the securitization of
litigation claimants' rights to receive future scheduled payments
under settlement agreements. The pool consists of both court
ordered and non-court ordered receivables.
The complete rating action is:
Issuer: SetCap Structured Settlement Trust, Series 2004-1
-- Class A Notes, Confirmed A2; Previously on Nov 16, 2008, A2
Placed on watch direction Uncertain
The Class A Notes are guaranteed by MBIA Insurance Corporation
whose financial strength rating is B3. Moody's Investors Service
completed its review of the underlying rating on the Class A
Notes. The performance of the transaction is better than Moody's
original expectations, and the A2 underlying rating reflects the
intrinsic credit quality of the securities in the absence of the
guarantee. The current rating on the Class A Notes is consistent
with Moody's practice of rating insured securities at the higher
of the guarantor's insurance financial strength rating and the
underlying rating based on Moody's modified approach to rating
structured finance securities wrapped by financial guarantors.
Please see the press release dated November 10, 2008, titled
"Moody's modifies approach to rating structured finance securities
wrapped by financial guarantors".
In addition, in reviewing the transaction Moody's took into
consideration these: (i) the increase in overcollateralization
from 10% at closing to approximately 17% as of the March 16, 2009
distribution date; (ii) the increase in court ordered structured
settlements as a percentage of the overall discounted receivables
balance from approximately 40% at closing to approximately 57% as
of March 31, 2009. As a result, the risk of claimant diversion
for this pool is lower compared to that risk at closing; (iii) the
servicing arrangement in which Wells Fargo Bank Minnesota, N.A.
acts as back-up servicer (Wells Fargo is expected to be able to
perform SetCap's servicing duties within a relatively short period
of time, if needed); and (iv) the highly rated and diversified
pool of insurance companies that are obligated to make payments on
the settlements and the annuities. Approximately 85% of the
discounted receivables value are backed by obligors rated A3 or
higher.
SOLAR INVESTMENT: Fitch Junks Ratings on Five Classes of Notes
--------------------------------------------------------------
Fitch Ratings downgrades six classes of notes issued by Solar
Investment Grade CBO II, Ltd. and assigns a Rating Outlook:
-- $242,090,342 class I downgraded to 'AA' from 'AAA'; Outlook
Stable.
-- $19,000,000 class II-A downgraded to 'CCC' from 'AA';
-- $13,000,000 class II-B downgraded to 'CCC' from 'AA';
-- $7,000,000 class III-A downgraded to 'CC' from 'BB';
-- $20,000,000 class III-B downgraded to 'CC' from 'BB';
-- $14,189,691 preferred shares downgraded to 'C' from 'CC/DR5'.
The Stable Outlook for class I reflect Fitch's expectation that
the rating will remain stable over the next one to two years.
Fitch has removed the Distressed Recovery rating from the
preferred shares.
The rating actions reflect negative credit migration in the
portfolio and incorporate Fitch's recently adjusted default and
recovery rate assumptions for analyzing structured finance
collateralized debt obligations as well as updated criteria for
corporate CDOs. The current Fitch derived weighted average rating
is 'BB-', with 41.8% of the portfolio rated below investment grade
and 14.3% rated 'CCC' or lower. Additionally, Fitch accounted for
the default of $6 million synthetic securities that had exposure
to Lehman Brothers as a swap counterparty. These securities are
expected to experience significant losses.
The class I notes have benefited from recent portfolio
amortization paying down $55.7 million over the two most recent
payment dates. Additionally, the principal collection account
contains $16.7 million as of the March 25 trustee report.
The transaction's ability to repay the class II-A, II-B, III-A and
III-B notes is highly dependant upon the performance of 'CCC' and
lower rated collateral (14.3%). This compares to credit
enhancement levels of 12.6% each for classes II-A and II-B and 4%
each for classes III-A and III-B. Due to this high concentration
of 'CCC' and lower rated collateral in the portfolio, Fitch does
not expect these classes to receive a full return of principal by
the final payment date.
The preferred shares are rated to the full return of principal
only, but no payments have been received since July 2005. Fitch
does not expect the preferred shares to receive any future
payments.
Solar II is a collateralized bond obligation that closed in July
2001, with a portfolio managed by Sun Capital Advisers, Inc.
Solar II is composed of 88.7% corporate bonds and 11.3% structured
finance securities, including 7.7% real estate investment trusts
primarily from the 2003-2005 vintage.
This transaction was reviewed in accordance with Fitch's current
criteria for structured finance CDOs and corporate CDOs. Fitch's
revised criteria report, 'Global Rating Criteria for Structured
Finance CDOs' was published in its final form on Dec. 16, 2008
along with an updated version of the Fitch Portfolio Credit Model
that includes functionality for analyzing structured finance and
corporate securities together. Fitch's revised criteria report
for rating corporate CDOs was released on April 30, 2008. As part
of this review, Fitch makes standard adjustments for any
structured finance names on Rating Watch Negative or with a
Negative Outlook, downgrading such ratings for default analysis
purposes by three and one notches, respectively. Fitch also makes
standard adjustments for any corporate names on Rating Watch
Negative or with a Negative Outlook, downgrading such ratings for
default analysis purposes by two and one notches, respectively.
SOLAR INVESTMENT: Fitch Junks Ratings on Four Classes of Notes
--------------------------------------------------------------
Fitch Ratings affirms two classes of notes issued by Solar
Investment Grade CBO I, Ltd. and assigns Rating Outlooks:
-- $104,803,838 class I-A affirmed at 'AAA'; Outlook Stable;
-- $7,891,855 class I-B affirmed at 'AAA'; Outlook Stable.
Fitch also downgrades these classes:
-- $25,000,000 class II-A downgraded to 'CCC' from 'A';
-- $22,000,000 class II-B downgraded to 'CCC' from 'A';
-- $28,250,000 class III-A downgraded to 'C' from 'CC/DR3';
-- $10,000,000 class III-B downgraded to 'C' from 'CC/DR3'.
The Stable Outlooks for classes I-A and I-B reflect Fitch's
expectation that the ratings will remain stable over the next one
to two years. Fitch has removed the Distressed Recovery rating
from the class III-A and III-B notes.
The rating actions reflect negative credit migration in the
portfolio and incorporate Fitch's recently adjusted default and
recovery rate assumptions for analyzing structured finance
collateralized debt obligations as well as updated criteria for
corporate CDOs. The current Fitch derived weighted average rating
is 'BB', with 29.8% of the portfolio rated below investment grade
and 8.3% rated 'CCC' or lower. Additionally, Fitch accounted for
the default of $20 million synthetic securities that had exposure
to Lehman Brothers as a swap counterparty. These securities are
expected to experience significant losses.
The class I-A and I-B notes maintain their rating as they continue
to benefit from a failing senior coverage test along with
significant principal paydowns. On the previous two semi-annual
payment dates they received $51.8 million and $22.3 million.
The class II-A and II-B notes received full interest payments as
of the March 2009 payment date, primarily from the interest
waterfall, though some principal proceeds were used to pay the
class II-A and II-B interest due to an interest shortfall. Fitch
expects the class II-A and II-B notes to continue to receive
future interest payments, but future principal payments may be
adversely affected by the performance of 'CCC' and lower rated
collateral.
The transaction's ability to repay the class III-A and III-B notes
is highly dependant upon the recoveries on defaulted and
distressed collateral. Fitch does not expect the class III-A and
III-B notes to receive any future principal proceeds as the
principal waterfall diverts principal proceeds first to the class
I-A and I-B notes, pro rata, until paid in full. The mezzanine
overcollateralization test is currently failing at 93.7% compared
to the 103.2% trigger as of the February 2009 trustee report.
Solar I is a collateralized bond obligation that closed in August
2000, with a portfolio managed by Sun Capital Advisers, Inc.
Solar I is composed of 51 securities, of which 87.1% is corporate
bonds and 12.9% is structured finance securities, including 9.9%
real estate investment trusts primarily from the pre-2002 vintage.
This transaction was reviewed in accordance with Fitch's current
criteria for structured finance CDOs and corporate CDOs. Fitch's
revised criteria report, 'Global Rating Criteria for Structured
Finance CDOs' was published in its final form on Dec. 16, 2008
along with an updated version of the Fitch Portfolio Credit Model
that includes functionality for analyzing structured finance and
corporate securities together. Fitch's revised criteria report
for rating corporate CDOs was released on April 30, 2008. As part
of this review, Fitch makes standard adjustments for any
structured finance names on Rating Watch Negative or with a
Negative Outlook, downgrading such ratings for default analysis
purposes by three and one notches, respectively. Fitch also makes
standard adjustments for any corporate names on Rating Watch
Negative or with a Negative Outlook, downgrading such ratings for
default analysis purposes by two and one notches, respectively.
TEXAS AFFORDABLE HOUSING: S&P Cuts Mortgage Revenue Bonds to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on Texas
State Affordable Housing Corp.'s (South Texas Affordable Housing
Corp.) multifamily mortgage revenue bonds (South Texas Apartment
Portfolio) series 2002B to 'D' from 'C'.
Standard & Poor's received a trustee notice dated March 2, 2009,
that South Texas Affordable Properties Corp., the borrower, did
not make sufficient payments to the trustee to make any payments
of principal or interest to the holders of the series B bonds, and
that the funds remaining in the series B debt service reserve fund
were insufficient to make these payments. As a result, the March
1, 2009, debt service payment due to the series B bondholders was
not made.
As of March 2, 2009, the remaining balance in the series B debt
service reserve fund was $134,010, which is less than the $590,800
required by the indenture.
TPG-AUSTIN PORTFOLIO: S&P Withdraws 'CCC' Corporate Credit Rating
-----------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'CCC' corporate
credit and secured debt ratings on TPG-Austin Portfolio Holdings
LLC. The ratings were previously on CreditWatch with negative
implications. S&P is withdrawing its ratings at the company's
request, as the previously rated $292 million secured debt
facility has been restructured.
TPG-Austin was formed in 2007 to acquire a portfolio of 10 office
properties in Austin, Texas (3.5 million square feet; formerly
owned by Equity Office Properties) in a $1.15 billion leveraged
transaction. TPG-Austin is a wholly-owned subsidiary of a limited
partnership joint venture between TPG/CalSTRS LLC (25%), Lehman
Bros. (50%), and a sovereign wealth fund (25%). TPG/CalSTRS LLC
is, in turn, a limited liability company joint venture between
Thomas Properties (25%) and CalSTRS (75%). Thomas Properties, a
publicly traded real estate company that is focused on developing
and operating office properties in a handful of markets, manages
the assets. TPG-Austin is Austin's largest landlord and is a
competitive player within the city's class A office market.
In December 2008, S&P lowered its ratings and placed them on
CreditWatch negative given S&P's concerns regarding TPG-Austin's
inability to access funding under its $100 million credit facility
following Lehman's bankruptcy filing and management's recent
indication that TPG-Austin could itself file for bankruptcy as
early as January 2009. Lehman was the sole lender for the
company's $292 million secured debt facility; while the
$192 million term portion was fully funded at the time of
origination in 2007, TPG-Austin's request for funding under the
previously unused $100 million credit facility in September 2008
remains unfunded. As such, the company pursued legal remedies to
compel Lehman to either fund in accordance with the terms of the
credit agreement or reject the credit agreement so that TPG-Austin
may seek alternative financing supported by the underlying assets
currently securing the facility.
Ratings Withdrawn
TPG-Austin Portfolio Holdings LLC
Rating
------
To From
-- ----
Corporate credit NR CCC/Watch Neg/--
Secured debt NR CCC/Watch Neg/--
NR -- Not rated.
WACHOVIA CRE: Moody's Downgrades Ratings on 16 2006-1 Notes
-----------------------------------------------------------
Moody's Investors Service confirmed the rating of one class and
downgraded the ratings of sixteen classes of Notes issued by
Wachovia CRE CDO 2006-1, Ltd. The rating actions are:
-- Class A-1A, $616,500,000, Floating Rate Notes Due 2026,
downgraded to A2 from Aaa; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class A-1B, $68,500,000, Floating Rate Notes Due 2026,
downgraded to Ba3 from Aaa; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class A-2A, $145,000,000, Floating Rate Notes Due 2026,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A-2B, $145,000,000, Floating Rate Notes Due 2026,
downgraded to Baa3 from Aaa; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class B, $53,300,000, Floating Rate Notes Due 2026,
downgraded to B2 from Aa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class C, $39,000,000, Floating Rate Capitalized Interest
Notes Due 2026, downgraded to Caa1 from A1; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class D, $12,350,000, Floating Rate Capitalized Interest
Notes Due 2026, downgraded to Caa1 from A2; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class E, $13,650,000, Floating Rate Capitalized Interest
Notes Due 2026, downgraded to Caa2 from A3; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class F, $24,700,000, Floating Rate Capitalized Interest
Notes Due 2026, downgraded to Caa2 from Baa1; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class G, $16,900,000, Floating Rate Capitalized Interest
Notes Due 2026, downgraded to Caa2 from Baa2; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class H, $35,100,000, Floating Rate Capitalized Interest
Notes Due 2026, downgraded to Caa3 from Baa3; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class J, $13,000,000, Floating Rate Capitalized Interest
Notes Due 2026, downgraded to Caa3 from Ba1; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class K, $14,950,000, Floating Rate Capitalized Interest
Notes Due 2026, downgraded to Caa3 from Ba2; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class L, $9,100,000, Floating Rate Capitalized Interest Notes
Due 2026, downgraded to Caa3 from Ba3; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class M, $34,450,000, Floating Rate Capitalized Interest
Notes Due 2026, downgraded to Caa3 from B1; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class N, $16,250,000, Floating Rate Capitalized Interest
Notes Due 2026, downgraded to Caa3 from B2; previously on
3/12/2009 Placed Under Review for Possible Downgrade
-- Class O, $6,500,000, Floating Rate Capitalized Interest Notes
Due 2026, downgraded to Caa3 from B3; previously on 3/12/2009
Placed Under Review for Possible Downgrade
Moody's downgraded Classes A-1A, A-1B, A-2B, B, C, D, E, F, G, H,
J, K, L, M, N and O due to revised modeling parameters. Moody's
ratings are based on the current credit quality of the collateral
and may not reflect potential migration as per the legal
documentation.
The pool contains a 88.1% concentration in Whole Loans originated
between 2004 and 2008. The remaining collateral includes B-Notes
and Mezzanine Loans.
Moody's expects the aggregate default rate on CMBS loans (1.59% as
of March 2009) to revert to its long-term historical average of
1.5% to 2.0% in 2009, and most likely to surpass this level as the
market begins to form a bottom in 2010 and 2011. Commercial
property values, which have declined about 21% from the peak
reached in October 2007, are expected to decline an additional 5
to 15% over the next 18 to 24 months.
Moody's has revised three key parameters in Moody's model for
rating and monitoring commercial real estate collateralized debt
obligations - asset correlation, default probability, and recovery
rate. These revisions are generally consistent with recent
revisions to the key parameter assumptions for rating and
monitoring other collateralized debt obligation transactions
backed by structured finance securities.
Moody's has updated its asset correlation assumption for the
commercial real estate sector to be consistent with one of Moody's
CDO rating models, CDOROM v2.5 (released on February 3, 2009),
which incorporates these new parameters. However, for CRE CDOs
with non-CUSIP collateral, Moody's is reducing the maximum over
concentration stress applied to correlation factors by half due to
the diversity of tenants, property types, and geographic locations
inherent in the collateral pools. Previously, the average asset
correlations used for CMBS within CRE CDO deals ranged between 15%
and 35%, depending on vintage and issuer diversity. In light of
the systemic seizure of the credit markets, as well as higher
intra industry and inter industry asset correlations, the updated
correlation parameters for CRE CDOs will imply an average range of
asset correlations of between 30% and 60% for the underlying
collateral.
Moody's has previously stated that CRE CDO deals with collateral
concentrations in CMBS certificates will likely be among the first
transactions to be affected by credit issues that arise, and that
the additional leverage inherent in these deals creates the
potential for greater ratings transitions compared to that of a
first order transaction (i.e., those containing non-CUSIP assets).
For CRE CDOs with CUSIP collateral, the additional default
probability stress sometimes applied to resecuritization
collateral will not be applied to Moody's review of conduit and
fusion commercial mortgage backed securities collateral from the
2006 to 2008 vintages due to a recent ratings sweep of these
transactions. Based on Moody's current expectations for
commercial real estate performance, Moody's have migrated the
ratings for recent vintage CMBS to levels that Moody's believe
will remain relatively stable for the next 12 to 24 months. As
such, Moody's has eliminated the vintage stress factor and default
probability resecuritization stress from its analysis of deals
with recent vintage CMBS collateral.
For deals with pre-2006 CMBS collateral, Moody's is adopting the
default probability resecuritization stress assumptions contained
within CDOROM v2.5 to capture the leveraging effect and potential
ratings volatility of the underlying collateral. For CMBS, this
factor is equivalent to two times the probability of default for
non-Aaa and six times the PD for Aaa-rated collateral. For CRE
CDOs, this factor is equivalent to four times the probability of
default for non-Aaa and twelve times the PD for Aaa-rated
collateral. The lower stress for CMBS is due to the historical
stable performance of this asset class.
For CRE CDOs with non-CUSIP collateral, Moody's is eliminating the
additional default probability stress in CDOROM v2.5 that is
applied to corporate debt as Moody's anticipate that the
underlying non-CMBS collateral will experience lower default rates
and higher recovery rates. In addition, Moody's is reducing the
maximum over concentration stress applied to correlation factors
by half due to the diversity of tenants, property types, and
geographic locations inherent in the collateral pools. For those
deals that are significantly less diversified, Moody's will add
back over concentration stress as warranted.
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. This is Moody's first review since
securitization. Moody's review at securitization is summarized in
a Pre-Sale report dated May 22, 2006.
WAMU MORTGAGE: S&P Corrects Ratings on 2007-HY7 Certs. To 'B+'
--------------------------------------------------------------
Standard & Poor's Ratings Services corrected and lowered its
rating on the class 3-A2 from WaMu Mortgage Pass-Through
Certificates Series 2007-HY7 Trust to 'B+' from 'AAA'.
On March 17, 2009, as part of a larger review of U.S. residential
mortgage-backed securities backed by Alternative-A collateral, S&P
affirmed the 'AAA' rating on this class and removed the rating
from CreditWatch with negative implications, based on incorrect
data provided by a third-party regarding the credit enhancement
available to this class.
The downgrade incorporates the current and Standard & Poor's
projected losses based on the dollar amount of loans currently in
the transaction's delinquency, foreclosure, and real estate owned
pipeline, as well as S&P's projection of future defaults. S&P
also incorporated cumulative losses to date in its analysis.
The class 3-A2 is a super senior class, which benefits from senior
support classes that will absorb a certain amount of losses before
any applicable losses could affect this class. However, the
lowered rating reflects S&P's belief that the amount of credit
enhancement available from these senior support classes is
consistent with a B+ rating.
Rating Corrected
WaMu Mortgage Pass-Through Certificates Series 2007-HY7 Trust
Rating
------
Class CUSIP Current March 17 Pre-March 17
----- ----- ------- -------- ------------
3-A2 93364FAH4 B+ AAA AAA/Watch Neg
* Fitch Takes Various Rating Actions on 58 SFs and 98 CRE CDOs
--------------------------------------------------------------
Fitch Ratings has taken various actions on 58 structured finance
and 98 commercial real estate collateralized debt obligations.
The rating actions resolve the 'Under Analysis' status issued on
Oct. 14, 2008 following Fitch's announcement of its proposed
criteria revision for analyzing SF CDOs. The revised criteria
report, 'Global Rating Criteria for Structured Finance CDOs', was
published in its final form on Dec. 16, 2008 along with an updated
version of the Fitch Portfolio Credit Model that includes
additional functionality for analyzing SF CDOs.
Fitch assigned Rating Outlooks to all classes, except for those
classes rated 'CCC' and lower. For SF CDOs, Negative Outlooks
were assigned to classes in transactions with a significant
portion of the underlying portfolio comprised of residential
mortgage-backed securities and other SF CDOs that are expected to
continue to face negative pressure as the housing market
stabilizes. For CRE CDOs, Negative Outlooks were assigned to
classes that fail Fitch's property value decline stress testing.
* Moody's Puts Ratings on 18 Interest Rate Swaps to March 31 RMBS
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings on 18 interest rate
swaps to RMBS transactions on March 31, 2009. Because there is
relatively limited historical performance data for the types of
assets involved in these transactions, these credit ratings may
have a greater potential rating volatility than would ratings for
transactions supported by more historical performance data.
Moody's ratings address the risk posed to the swap counterparties
on an expected loss basis arising from the inability of the
respective trusts to honor their obligations under the swaps. The
ratings take into account the ratings of the swap counterparties,
the transactions' legal structures and the characteristics of the
collateral mortgage pools of each respective trust.
The complete ratings action is:
Issuer: CWALT, Inc. Alternative Loan Trust 2006-OC5 Swap
(Reference Number 1264906B)
-- Interest Rate Swap, Assigned Aa3
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-OH1 Swap (Reference Number 1762254B)
-- Interest Rate Swap, Assigned A2
Issuer: GSC Alternative Loan Trust Notes, Series 2006-2 Swap
(Reference Number 1254100B)
-- Interest Rate Swap, Assigned Aa3
Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX1 Swap (Reference
Number 1554177B)
-- Interest Rate Swap, Assigned A3
Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX2 Swap (Reference
Number 1615240B)
-- Interest Rate Swap, Assigned A3
Issuer: Impac Secured Asset Corp., Mortgage Pass-Through
Certificates, Series 2005-2 Swap (Reference Number 1029007B)
-- Interest Rate Swap, Assigned Aa3
Issuer: Option One Mortgage Loan Trust 2006-2 Swap (Reference
Number 1259949B)
-- Interest Rate Swap, Assigned Ba1
Issuer: RALI Series 2007-QH3 Trust Swap (Reference Number
1683809B)
-- Interest Rate Swap, Assigned A3
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-HE1
Swap (Reference Number 1332847B)
-- Interest Rate Swap, Assigned Baa2
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-NC3
Swap (Reference Number 1431789B)
-- Interest Rate Swap, Assigned Baa1
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-WM2
Swap (Reference Number 1615240B)
-- Interest Rate Swap, Assigned Baa2
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-WM3
Swap (Reference Number 1470290B)
-- Interest Rate Swap, Assigned Baa3
Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR3
Swap (Reference Number 1786944B)
-- Interest Rate Swap, Assigned Baa2
Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR4
Swap (Reference Number 1796240B)
-- Interest Rate Swap, Assigned Baa1
Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR5
Swap (Reference Number 1829264B)
-- Interest Rate Swap, Assigned Baa1
Issuer: Securitized Asset Backed Receivables LLC Trust 2007-HE1
Swap (Reference Number 1554163B)
-- Interest Rate Swap, Assigned Baa2
Issuer: WaMu Asset-Backed Certificates WaMu Series 2007-HE3 Trust
Swap (Reference Number 1733274B)
-- Interest Rate Swap, Assigned Baa1
Issuer: WaMu Asset-Backed Certificates WaMu Series 2007-HE4 Trust
Swap (Reference Number 1789071B)
-- Interest Rate Swap, Assigned Baa1
The swap counterparties in these transactions are paid a fixed
rate and pay LIBOR to the trusts on a notional amount that can be
found in a schedule to the swap agreements, or it can be the
minimum of either the outstanding bonds or mortgage pool balance
and the amount that is found in the notional schedule to the swap
agreement, or is tied directly to the balance of the bonds. The
swap counterparties recieve payments prior to bondholders, and are
thus in a senior position to all bonds issued by the trusts. In
addition to the senior position in the waterfall, the swap
providers are paid from proceeds derived from both principal and
interest collections, including liquidation proceeds and servicer
advances. These structural features provide access to ample funds
to make swap payments even in instances where the underlying
mortgage pool is subject to severe stress.
Given the position of the swaps in the cashflow waterfalls, in
addition to the limitation placed on the size of the notional
amounts relative to the collateral pool balances, the primary risk
driving the ratings on the swaps that have a notional that is
calculated as the minimum of the collateral or bond balance and
the balance in the schedule is the risk of a termination event
triggered by an event of default where the swap provider is the
defaulting party.
The primary risks driving the ratings on the swaps that have
notional amounts that are based strictly on a schedule are the
risk that the collateral pool amortizes at a rate that exceeds the
amortization rate of the swap notional and the risk of a
termination event triggered by a default of the swap counterparty.
The risk that the collateral balance would amortize faster than
the swap notional is deemed remote due to the extremely slow
prepayment rate on the collateral pool.
The primary risks driving the rating on the swap that has a
notional that is equivalent to the bond balance are the risk that
the collateral pool incurs losses in excess of the combined
subordinate bond balance and overcollateralization amount, as the
senior bonds in the transaction backing this swap are not
allocated losses. This would result in a swap notional in excess
of the collateral balance. Given the short remaining term of the
swap, the likelihood of a payment shortfall to the swap
counterparty due to a mismatch in the notional and collateral
balances is somewhat remote.
The counterparty in the swap, Barclays Bank PLC, has a Aa3 long
term rating and a P-1 short term rating by Moody's.
* Moody's Downgrades Ratings on 47 Tranches from Nine Alt-A RMBS
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 47
tranches from 9 Alt-A RMBS transactions issued by Washington
Mutual. The collateral backing these transactions consists
primarily of first-lien, fixed and adjustable-rate, Alt-A
residential mortgage loans.
These actions are a result of updated loss expectations on the
underlying collateral relative to available credit enhancement.
Moody's methodology for rating securities for more seasoned Alt-A
pools, takes into account the annualized loss rate from last 12
months and the projected loss rate over next 12 months, and then
translates these measures into lifetime losses based on a deal's
expected remaining life. Recent Losses are calculated by
assessing cumulative losses incurred over the past 12-months as a
percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%,
65% and 90% for loans that are delinquent 60-days, 90+ days, are
in foreclosure, and REO respectively. Moody's then applies deal-
specific severity assumptions ranging from 40% to 55%. The
results of these two calculations - Recent Losses and Pipeline
Losses - are weighted to arrive at the lifetime cumulative loss
projection.
Once expected losses have been assigned to each collateral group,
Moody's assesses available credit enhancement from subordination,
overcollateralization, excess spread and any external support
(mortgage insurance, pool policy, etc.). The available
enhancement is weighed against projected future losses to
ultimately arrive at an updated rating.
List of actions:
WaMu Mortgage Pass-Through Ctfs. 2004-CB1
-- Cl. B-1, Downgraded to A1; previously on 6/17/2004 Assigned
Aa2
-- Cl. B-2, Downgraded to Baa1; previously on 6/17/2004 Assigned
A2
-- Cl. B-3, Downgraded to Ba1; previously on 6/17/2004 Assigned
Baa2
-- Cl. B-4, Downgraded to Caa1; previously on 6/17/2004 Assigned
Ba2
WaMu Mortgage Pass-Through Ctfs. 2004-CB2
-- Cl. B-4, Downgraded to B2; previously on 8/23/2004 Assigned
Ba2
WaMu Mortgage Pass-Through Ctfs. 2004-CB3
-- Cl. I-A, Downgraded to Aa1; previously on 9/17/2004 Assigned
Aaa
-- Cl. II-A, Downgraded to Aa1; previously on 9/17/2004 Assigned
Aaa
-- Cl. III-A, Downgraded to Aa1; previously on 9/17/2004
Assigned Aaa
-- Cl. IV-A, Downgraded to Aa1; previously on 9/17/2004 Assigned
Aaa
-- Cl. I-P, Downgraded to Aa1; previously on 9/17/2004 Assigned
Aaa
-- Cl. III-P, Downgraded to Aa1; previously on 9/17/2004
Assigned Aaa
-- Cl. C-X, Downgraded to Aa1; previously on 9/17/2004 Assigned
Aaa
-- Cl. B-1, Downgraded to A2; previously on 9/17/2004 Assigned
Aa2
-- Cl. B-2, Downgraded to Baa3; previously on 9/17/2004 Assigned
A2
-- Cl. B-3, Downgraded to Ba3; previously on 9/17/2004 Assigned
Baa2
-- Cl. B-4, Downgraded to Caa2; previously on 9/17/2004 Assigned
Ba2
WaMu Mortgage Pass-Through Ctfs. 2004-CB4
-- Cl. I-1-A, Downgraded to Aa3; previously on 12/13/2004
Assigned Aaa
-- Cl. I-2-A, Downgraded to Aa3; previously on 12/13/2004
Assigned Aaa
-- Cl. II-1-A, Downgraded to Aa3; previously on 12/13/2004
Assigned Aaa
-- Cl. II-2-A, Downgraded to Aa3; previously on 12/13/2004
Assigned Aaa
-- Cl. I-P, Downgraded to Aa3; previously on 12/13/2004 Assigned
Aaa
-- Cl. II-P, Downgraded to Aa3; previously on 12/13/2004
Assigned Aaa
-- Cl. C-X, Downgraded to Aa3; previously on 12/13/2004 Assigned
Aaa
-- Cl. B-1, Downgraded to Baa1; previously on 12/13/2004
Assigned Aa2
-- Cl. B-2, Downgraded to Ba2; previously on 12/13/2004 Assigned
A2
-- Cl. B-3, Downgraded to Caa1; previously on 12/13/2004
Assigned Baa2
-- Cl. B-4, Downgraded to Caa3; previously on 12/13/2004
Assigned Ba2
Washington Mutual MSC 2002-AR3 Trust
-- Cl. M, Downgraded to Aa1; previously on 12/19/2002 Assigned
Aaa
-- Cl. B-1, Downgraded to A1; previously on 9/1/2004 Upgraded to
Aaa
-- Cl. B-2, Downgraded to Baa2; previously on 9/1/2004 Upgraded
to Aa2
-- Cl. B-3, Downgraded to B1; previously on 9/1/2004 Upgraded to
A2
Washington Mutual MSC 2003-AR1 Trust
-- Cl. M, Downgraded to Aa3; previously on 3/18/2003 Assigned
Aaa
-- Cl. B-1, Downgraded to A2; previously on 9/1/2004 Upgraded to
Aaa
-- Cl. B-2, Downgraded to Baa3; previously on 10/20/2006
Upgraded to Aaa
-- Cl. B-3, Downgraded to Caa1; previously on 10/20/2006
Upgraded to Aa2
Washington Mutual MSC 2003-AR2 Trust
-- Cl. M, Downgraded to Aa3; previously on 6/16/2003 Assigned
Aaa
-- Cl. B-1, Downgraded to Baa1; previously on 9/1/2004 Upgraded
to Aaa
-- Cl. B-2, Downgraded to Ba3; previously on 10/20/2006 Upgraded
to Aa1
-- Cl. B-3, Downgraded to Caa3; previously on 10/20/2006
Upgraded to A2
Washington Mutual MSC 2003-AR3 Trust
-- Cl. M, Downgraded to Aa2; previously on 7/31/2003 Assigned \
Aaa
-- Cl. B-1, Downgraded to A2; previously on 7/27/2005 Upgraded
to Aaa
-- Cl. B-2, Downgraded to Baa2; previously on 7/27/2005 Upgraded
to Aa2
-- Cl. B-3, Downgraded to Ba3; previously on 7/27/2005 Upgraded
to A2
Washington Mutual MSC 2003-AR4 Trust
-- Cl. M, Downgraded to A1; previously on 10/1/2003 Assigned Aaa
-- Cl. B-1, Downgraded to Baa2; previously on 10/20/2006
Upgraded to Aaa
-- Cl. B-2, Downgraded to Ba1; previously on 10/20/2006 Upgraded
to Aa2
-- Cl. B-3, Downgraded to Caa2; previously on 10/20/2006
Upgraded to A2
* Moody's Cuts Ratings on 149 Tranches Backed by Housing Loans
--------------------------------------------------------------
Moody's Investors Service has taken rating actions with respect to
the ratings of certain tranches of transactions collateralized by
manufactured housing loans. These actions result in changes to
ratings announced on March 30, which the rating agency determined
had employed unduly conservative assumptions regarding loss
multiples and severity of loss upon default and did not give full
credit for scheduled principal payments. In taking these rating
actions, Moody's applied an expanded ratings multiple table to
provide loss multiples for transactions with higher loss levels,
added credit for scheduled principal payments, and updated its
loss severity assumption to 85%, which compares to actual recent
severity experience of about 75%. This resulted in adjusted
ratings on 197 tranches.
The adjusted rating actions are:
Access Financial MH Contract Trust 1995-1
-- B-1, Downgraded from B2 to Ca on 3/30/2009; Changed to Caa2
on 4/3/2009.
Access Financial MH Contract Trust 1996-1
-- A-5, Downgraded from Aaa to Aa1 on 3/30/2009; Changed to Aaa
placed on review for possible downgrade on 4/3/2009.
-- A-6, Downgraded from A1 to Ca on 3/30/2009; Changed to Ba2 on
4/3/2009.
Associates Manufactured Housing 1996-2
-- B-1, Downgraded from Ba2 to B2 on 3/30/2009; Changed to Ba2
on 4/3/2009.
Associates Manufactured Housing 1997-2
-- A-6, Downgraded from Aaa to A1 on 3/30/2009; Changed to Aaa
placed on review for possible downgrade on 4/3/2009.
-- M, Downgraded from A1 to B1 on 3/30/2009; Changed to A2 on
4/3/2009.
Bombardier Capital Mortgage Securitization Corp 1998-A
-- A-3, Downgraded from A1 to Ba3 on 3/30/2009; Changed to A1 on
4/3/2009.
-- A-4, Downgraded from A1 to Ba3 on 3/30/2009; Changed to A1 on
4/3/2009.
-- A-5, Downgraded from A1 to Ba3 on 3/30/2009; Changed to A1 on
4/3/2009.
Bombardier Capital Mortgage Securitization Corp 1998-B
-- A, Downgraded from B2 to Caa3 on 3/30/2009; Changed to Caa1
on 4/3/2009.
Bombardier Capital Mortgage Securitization Corp 1999-A
-- A-2, Downgraded from B1 to Caa2 on 3/30/2009; Changed to B3
on 4/3/2009.
-- A-3, Downgraded from B1 to Caa2 on 3/30/2009; Changed to B3
on 4/3/2009.
-- A-4, Downgraded from B1 to Caa2 on 3/30/2009; Changed to B3
on 4/3/2009.
-- A-5, Downgraded from B1 to Caa2 on 3/30/2009; Changed to B3
on 4/3/2009.
Bombardier Capital Mortgage Securitization Corp 2001-A
-- Cl. A, Downgraded from Baa3 to B3 on 3/30/2009; Changed to
Baa3 on 4/3/2009.
-- Cl. M-1, Downgraded from Caa3 to C on 3/30/2009; Changed to
Ca on 4/3/2009.
Conseco Finance Securitization Corp. Series 2001-4
-- Class M-1, Downgraded from Caa2 to Ca on 3/30/2009; Changed
to Caa2 on 4/3/2009.
Conseco Finance Securitization Corp. Series 2002-2
-- Class M-1, Downgraded from B1 to B2 on 3/30/2009; Changed to
B1 on 4/3/2009.
Conseco Finance Securitizations Corp. Series 1999-6
-- Cl. A-1, Downgraded from Caa2 to Ca on 3/30/2009; Changed to
Caa2 on 4/3/2009.
Conseco Finance Securitizations Corp. Series 2000-6
-- Cl. A-5, Downgraded from B3 to Caa3 on 3/30/2009; Changed to
Caa1 on 4/3/2009.
Conseco Finance Securitizations Corp. Series 2001-1
-- Cl. A-5, Downgraded from B3 to Caa3 on 3/30/2009; Changed to
B3 on 4/3/2009.
Conseco Finance Securitizations Corp. Series 2001-3
-- Class A-4, Downgraded from B1 to Caa2 on 3/30/2009; Changed
to B1 placed on review for possible downgrade on 4/3/2009.
C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1
-- Cl. AF-2, Downgraded from Aaa to A1 on 3/30/2009; Changed to
Aaa on 4/3/2009.
-- Cl. AF-3, Downgraded from Aaa to A1 on 3/30/2009; Changed to
Aaa on 4/3/2009.
-- Cl. AF-4, Downgraded from Aaa to A1 on 3/30/2009; Changed to
Aaa on 4/3/2009.
-- Cl. M-1, Downgraded from Aa2 to Baa2 on 3/30/2009; Changed to
A1 on 4/3/2009.
C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1
-- Cl. B-1, Downgraded from Baa2 to B3 on 3/30/2009; Changed to
Ca on 4/3/2009.
CIT Group Securitization Corp II MH 1995-1
-- A-4, Downgraded from Aa3 to Ba1 on 3/30/2009; Changed to Aa3
on 4/3/2009.
CIT Group Securitization Corp II MH 1995-2
-- A-5, Downgraded from Aa3 to Ba2 on 3/30/2009; Changed to Aa3
on 4/3/2009.
CSFB ABS Trust Manufactured Housing Pass-Through Certificates
2001-MH29
-- Cl. M-1, Downgraded from Aa2 to A2 on 3/30/2009; Changed to
Aa2 placed on review for possible downgrade on 4/3/2009.
-- Cl. M-2, Downgraded from A2 to B1 on 3/30/2009; Changed to
Baa3 on 4/3/2009.
CSFB Manufactured Housing Pass-Through Certificates, Series 2002-
MH3
-- Cl. A, Downgraded from Aaa to A2 on 3/30/2009; Changed to Aaa
placed on review for possible downgrade on 4/3/2009.
-- Cl. M-1, Downgraded from Aa2 to Ba2 on 3/30/2009; Changed to
A3 on 4/3/2009.
-- Cl. M-2, Downgraded from Baa2 to Ca on 3/30/2009; Changed to
B2 on 4/3/2009.
Deutsche Financial Capital Securitization LLC, Series 1997-I
-- Class A-3, Downgraded from A3 to Baa2 on 3/30/2009; Changed
to A3 on 4/3/2009.
-- Class A-4, Downgraded from A3 to Baa2 on 3/30/2009; Changed
to A3 on 4/3/2009.
-- Class A-5, Downgraded from A3 to Baa2 on 3/30/2009; Changed
to A3 on 4/3/2009.
-- Class A-6, Downgraded from A3 to Baa2 on 3/30/2009; Changed
to A3 on 4/3/2009.
-- Class M, Downgraded from B3 to Ca on 3/30/2009; Changed to B3
placed on review for possible downgrade on 4/3/2009.
Deutsche Financial Capital Securitization LLC, Series 1998-I
-- Class A-2, Downgraded from Baa1 to B3 on 3/30/2009; Changed
to Baa1 on 4/3/2009.
-- Class A-3, Downgraded from Baa1 to B3 on 3/30/2009; Changed
to Baa1 on 4/3/2009.
-- Class A-4, Downgraded from Baa1 to B3 on 3/30/2009; Changed
to Baa1 on 4/3/2009.
-- Class A-5, Downgraded from Baa1 to B3 on 3/30/2009; Changed
to Baa1 on 4/3/2009.
-- Class A-6, Downgraded from Baa1 to B3 on 3/30/2009; Changed
to Baa1 on 4/3/2009.
-- Class A-7, Downgraded from Baa1 to B3 on 3/30/2009; Changed
to Baa1 on 4/3/2009.
-- Class M, Downgraded from Caa2 to C on 3/30/2009; Changed to
Ca on 4/3/2009.
Green Tree Financial Corporation MH 1992-02
-- B, Downgraded from Caa1 to Caa3 on 3/30/2009; Changed to Caa1
on 4/3/2009.
Green Tree Financial Corporation MH 1993-01
-- B, Downgraded from Caa1 to Caa3 on 3/30/2009; Changed to Caa1
on 4/3/2009.
Green Tree Financial Corporation MH 1993-02
-- B, Downgraded from Caa1 to Caa3 on 3/30/2009; Changed to Caa1
on 4/3/2009.
Green Tree Financial Corporation MH 1993-03
-- B, Downgraded from Caa1 to Caa3 on 3/30/2009; Changed to Caa1
on 4/3/2009.
Green Tree Financial Corporation MH 1995-03
-- B-1, Downgraded from Ba2 to B1 on 3/30/2009; Changed to Ba2
on 4/3/2009.
Green Tree Financial Corporation MH 1995-04
-- B-1, Downgraded from B1 to Caa3 on 3/30/2009; Changed to B1
on 4/3/2009.
Green Tree Financial Corporation MH 1995-05
-- B-1, Downgraded from B1 to Caa2 on 3/30/2009; Changed to B1
on 4/3/2009.
Green Tree Financial Corporation MH 1995-06
-- M-1, Downgraded from Baa2 to Ba3 on 3/30/2009; Changed to
Baa2 on 4/3/2009.
-- B-1, Downgraded from B3 to Ca on 3/30/2009; Changed to Caa1
on 4/3/2009.
Green Tree Financial Corporation MH 1995-08
-- M-1, Downgraded from A1 to A2 on 3/30/2009; Changed to A1 on
4/3/2009.
-- B-1, Downgraded from B3 to Ca on 3/30/2009; Changed to Caa1
on 4/3/2009.
Green Tree Financial Corporation MH 1995-09
-- M-1, Downgraded from A2 to A3 on 3/30/2009; Changed to A2 on
4/3/2009.
-- B-1, Downgraded from B3 to Caa1 on 3/30/2009; Changed to B3
on 4/3/2009.
Green Tree Financial Corporation MH 1995-10
-- M-1, Downgraded from Aa3 to Baa1 on 3/30/2009; Changed to Aa3
on 4/3/2009.
-- B-1, Downgraded from B3 to Ca on 3/30/2009; Changed to B3
placed on review for possible downgrade on 4/3/2009.
Green Tree Financial Corporation MH 1996-01
-- M-1, Downgraded from Baa1 to Ba2 on 3/30/2009; Changed to
Baa1 on 4/3/2009.
-- B-1, Downgraded from B3 to Ca on 3/30/2009; Changed to Caa2
on 4/3/2009.
Green Tree Financial Corporation MH 1996-02
-- M-1, Downgraded from B3 to Caa2 on 3/30/2009; Changed to B3
placed on review for possible downgrade on 4/3/2009.
Green Tree Financial Corporation MH 1996-03
-- A-5, Downgraded from Aa1 to A1 on 3/30/2009; Changed to Aa1
on 4/3/2009.
-- A-6, Downgraded from Aa1 to A1 on 3/30/2009; Changed to Aa1
on 4/3/2009.
-- M-1, Downgraded from Caa2 to Ca on 3/30/2009; Changed to Caa3
on 4/3/2009.
Green Tree Financial Corporation MH 1996-04
-- A-6, Downgraded from A2 to A3 on 3/30/2009; Changed to A2 on
4/3/2009.
-- A-7, Downgraded from A2 to A3 on 3/30/2009; Changed to A2 on
4/3/2009.
Green Tree Financial Corporation MH 1996-05
-- A-6, Downgraded from Aa3 to A1 on 3/30/2009; Changed to Aa3
on 4/3/2009.
-- A-7, Downgraded from Aa3 to A1 on 3/30/2009; Changed to Aa3
on 4/3/2009.
-- M-1, Downgraded from Caa2 to Ca on 3/30/2009; Changed to Caa2
on 4/3/2009.
Green Tree Financial Corporation MH 1996-06
-- M-1, Downgraded from B3 to Ca on 3/30/2009; Changed to Caa1
on 4/3/2009.
Green Tree Financial Corporation MH 1996-07
-- M-1, Downgraded from B1 to Caa2 on 3/30/2009; Changed to B3
on 4/3/2009.
Green Tree Financial Corporation MH 1996-08
-- A-6, Downgraded from Aa2 to Aa3 on 3/30/2009; Changed to Aa2
on 4/3/2009.
-- A-7, Downgraded from Aa2 to Aa3 on 3/30/2009; Changed to Aa2
on 4/3/2009.
-- M-1, Downgraded from B3 to Ca on 3/30/2009; Changed to Caa2
on 4/3/2009.
Green Tree Financial Corporation MH 1996-09
-- M-1, Downgraded from B2 to Ca on 3/30/2009; Changed to Caa1
on 4/3/2009.
Green Tree Financial Corporation MH 1997-01
-- M-1, Downgraded from B3 to Ca on 3/30/2009; Changed to Caa2
on 4/3/2009.
Green Tree Financial Corporation MH 1997-02
-- A-6, Downgraded from Baa1 to Baa3 on 3/30/2009; Changed to
Baa1 on 4/3/2009.
-- A-7, Downgraded from Baa1 to Baa3 on 3/30/2009; Changed to
Baa1 on 4/3/2009.
Green Tree Financial Corporation MH 1997-03
-- A-5, Downgraded from Baa1 to Ba1 on 3/30/2009; Changed to
Baa1 on 4/3/2009.
-- A-6, Downgraded from Baa1 to Ba1 on 3/30/2009; Changed to
Baa1 on 4/3/2009.
Green Tree Financial Corporation MH 1997-05
-- M-1, Downgraded from B2 to Caa2 on 3/30/2009; Changed to B2
on 4/3/2009.
Green Tree Financial Corporation MH 1997-07
-- A-6, Downgraded from A3 to Baa1 on 3/30/2009; Changed to A3
on 4/3/2009.
-- A-7, Downgraded from A3 to Baa1 on 3/30/2009; Changed to A3
on 4/3/2009.
-- A-8, Downgraded from A3 to Baa1 on 3/30/2009; Changed to A3
on 4/3/2009.
-- A-9, Downgraded from A3 to Baa1 on 3/30/2009; Changed to A3
on 4/3/2009.
-- A-10, Downgraded from A3 to Baa1 on 3/30/2009; Changed to A3
on 4/3/2009.
-- M-1, Downgraded from Caa2 to Ca on 3/30/2009; Changed to Caa3
on 4/3/2009.
Green Tree Financial Corporation MH 1998-01
-- M-1, Downgraded from Caa2 to Ca on 3/30/2009; Changed to Caa3
on 4/3/2009.
Green Tree Financial Corporation MH 1998-02
-- A-5, Downgraded from Baa3 to Ba3 on 3/30/2009; Changed to Ba1
on 4/3/2009.
-- A-6, Downgraded from Ba1 to Ba3 on 3/30/2009; Changed to Ba1
on 4/3/2009.
-- M-1, Downgraded from Ca to C on 3/30/2009; Changed to Ca on
4/3/2009.
Green Tree Financial Corporation MH 1998-04
-- A-5, Downgraded from Ba3 to B3 on 3/30/2009; Changed to Ba3
on 4/3/2009.
-- A-6, Downgraded from Ba3 to B3 on 3/30/2009; Changed to Ba3
on 4/3/2009.
-- A-7, Downgraded from Ba3 to B3 on 3/30/2009; Changed to Ba3
on 4/3/2009.
-- M-1, Downgraded from Ca to C on 3/30/2009; Changed to Ca on
4/3/2009.
Green Tree Financial Corporation MH 1998-05
-- A-1, Downgraded from Ba1 to B3 on 3/30/2009; Changed to Ba1
on 4/3/2009.
-- M-1, Downgraded from Ca to C on 3/30/2009; Changed to Ca on
4/3/2009.
Green Tree Financial Corporation MH 1998-07
-- A-1, Downgraded from Ba1 to B1 on 3/30/2009; Changed to Ba1
on 4/3/2009.
-- M-1, Downgraded from Caa3 to C on 3/30/2009; Changed to Ca on
4/3/2009.
Green Tree Financial Corporation MH 1998-08
-- A-1, Downgraded from Ba2 to B3 on 3/30/2009; Changed to Ba2
on 4/3/2009.
-- M-1, Downgraded from Caa3 to C on 3/30/2009; Changed to Ca on
4/3/2009.
Greenpoint Manufactured Housing Contract Trust 1999-5
-- Cl. A-5, Downgraded from Ba1 to Ba2 on 3/30/2009; Changed to
Ba1 on 4/3/2009.
-- Cl. M-1B, Downgraded from Ca to C on 3/30/2009; Changed to Ca
on 4/3/2009.
GreenPoint Manufactured Housing Contract Trust 2001-1
-- Cl. I M-2, Downgraded from Aa3 to B1 on 3/30/2009; Changed to
Baa3 on 4/3/2009.
IndyMac MH Contract 1997-1
-- A-2, Downgraded from B1 to Ca on 3/30/2009; Changed to Caa3
on 4/3/2009.
-- A-3, Downgraded from B1 to Ca on 3/30/2009; Changed to Caa3
on 4/3/2009.
-- A-4, Downgraded from B1 to Ca on 3/30/2009; Changed to Caa3
on 4/3/2009.
-- A-5, Downgraded from B1 to Ca on 3/30/2009; Changed to Caa3
on 4/3/2009.
-- A-6, Downgraded from B1 to Ca on 3/30/2009; Changed to Caa3
on 4/3/2009.
Mid-State Trust VI
-- A-1, Downgraded from Aaa to A1 on 3/30/2009; Changed to Aa3
on 4/3/2009.
-- A-2, Downgraded from Aa2 to Baa3 on 3/30/2009; Changed to
Baa2 on 4/3/2009.
-- A-3, Downgraded from A2 to B2 on 3/30/2009; Changed to Ba1 on
4/3/2009.
-- A-4, Downgraded from Baa2 to C on 3/30/2009; Changed to Caa3
on 4/3/2009.
Mid-State Trust X
-- Cl. M-1, Downgraded from Aa2 to Ca on 3/30/2009; Changed to
Caa1 on 4/3/2009.
-- Cl. M-2, Downgraded from A2 to Ca on 3/30/2009; Changed to
Caa3 on 4/3/2009.
Mid-State Trust XI
-- Cl. A, Downgraded from Aaa to Ba1 on 3/30/2009; Changed to
Baa1 on 4/3/2009.
Oakwood Mortgage Investors, Inc. Series 1997-D
-- A-3, Downgraded from A2 to A3 on 3/30/2009; Changed to A2 on
4/3/2009.
-- A-4, Downgraded from A2 to A3 on 3/30/2009; Changed to A2 on
4/3/2009.
-- A-5, Downgraded from A2 to A3 on 3/30/2009; Changed to A2 on
4/3/2009.
-- M, Downgraded from Ba3 to Caa1 on 3/30/2009; Changed to Ba3
placed on review for possible downgrade on 4/3/2009.
Oakwood Mortgage Investors, Inc. Series 1998-A
-- M, Downgraded from Caa1 to Ca on 3/30/2009; Changed to Caa2
on 4/3/2009.
Oakwood Mortgage Investors, Inc., Series 1998-C
-- A, Downgraded from Baa3 to B3 on 3/30/2009; Changed to Baa3
on 4/3/2009.
-- A-1 AR M, Downgraded from Baa3 to B3 on 3/30/2009; Changed to
Baa3 on 4/3/2009.
-- M-1, Downgraded from Ca to C on 3/30/2009; Changed to Ca on
4/3/2009.
Oakwood Mortgage Investors, Inc., Series 1998-D
-- A, Downgraded from Ba1 to Caa1 on 3/30/2009; Changed to Ba1
on 4/3/2009.
-- A-1 AR M, Downgraded from Ba1 to Caa1 on 3/30/2009; Changed
to Ba1 on 4/3/2009.
-- M-1, Downgraded from Ca to C on 3/30/2009; Changed to Ca on
4/3/2009.
Oakwood Mortgage Investors, Inc., Series 1999-A
-- A-2, Downgraded from Ba1 to B3 on 3/30/2009; Changed to Ba1
placed on review for possible downgrade on 4/3/2009.
-- A-3, Downgraded from Ba1 to B3 on 3/30/2009; Changed to Ba1
placed on review for possible downgrade on 4/3/2009.
-- A-4, Downgraded from Ba1 to B3 on 3/30/2009; Changed to Ba1
placed on review for possible downgrade on 4/3/2009.
-- A-5, Downgraded from Ba1 to B3 on 3/30/2009; Changed to Ba1
placed on review for possible downgrade on 4/3/2009.
-- M-1, Downgraded from Caa3 to C on 3/30/2009; Changed to Ca on
4/3/2009.
Oakwood Mortgage Investors, Inc., Series 1999-B
-- A-2, Downgraded from B3 to Ca on 3/30/2009; Changed to Caa2
on 4/3/2009.
-- A-3, Downgraded from B3 to Ca on 3/30/2009; Changed to Caa2
on 4/3/2009.
-- A-4, Downgraded from B3 to Ca on 3/30/2009; Changed to Caa2
on 4/3/2009.
Oakwood Mortgage Investors, Inc., Series 1999-D
-- A-1, Downgraded from Caa1 to Ca on 3/30/2009; Changed to Caa2
on 4/3/2009.
OMI Trust 2000-C
-- Cl. A-1, Downgraded from B2 to Ca on 3/30/2009; Changed to
Caa2 on 4/3/2009.
OMI Trust 2000-D
-- Cl. A-3, Downgraded from Caa1 to Ca on 3/30/2009; Changed to
Caa1 on 4/3/2009.
OMI Trust 2001-B
-- Cl. A-2, Downgraded from Ba3 to Caa3 on 3/30/2009; Changed to
B3 on 4/3/2009.
-- Cl. A-3, Downgraded from Ba3 to Caa3 on 3/30/2009; Changed to
B3 on 4/3/2009.
-- Cl. A-4, Downgraded from Ba3 to Caa3 on 3/30/2009; Changed to
B3 on 4/3/2009.
OMI Trust 2002-A
-- Cl. A-1, Downgraded from B1 to Ca on 3/30/2009; Changed to B3
on 4/3/2009.
-- Cl. A-2, Downgraded from B1 to Ca on 3/30/2009; Changed to B3
on 4/3/2009.
-- Cl. A-3, Downgraded from B1 to Ca on 3/30/2009; Changed to B3
on 4/3/2009.
-- Cl. A-4, Downgraded from B1 to Ca on 3/30/2009; Changed to B3
on 4/3/2009.
-- Cl. A-IO, Downgraded from Ba3 to Ca on 3/30/2009; Changed to
B3 on 4/3/2009.
OMI Trust 2002-B
-- Cl. A-1, Downgraded from Ba2 to Ca on 3/30/2009; Changed to
Caa1 on 4/3/2009.
-- Cl. A-2, Downgraded from Ba2 to Ca on 3/30/2009; Changed to
Caa1 on 4/3/2009.
-- Cl. A-3, Downgraded from Ba2 to Ca on 3/30/2009; Changed to
Caa1 on 4/3/2009.
-- Cl. A-4, Downgraded from Ba2 to Ca on 3/30/2009; Changed to
Caa1 on 4/3/2009.
-- Cl. IO, Downgraded from Ba1 to Ca on 3/30/2009; Changed to
Caa1 on 4/3/2009.
OMI Trust 2002-C
-- Cl. A-1, Downgraded from Ba1 to Ca on 3/30/2009; Changed to
Caa1 on 4/3/2009.
-- Cl. A-IO, Downgraded from Ba1 to Ca on 3/30/2009; Changed to
Caa1 on 4/3/2009.
OMI Trust Series 2001-E
-- Cl. A-1, Downgraded from B3 to Ca on 3/30/2009; Changed to
Caa3 on 4/3/2009.
-- Cl. A-2, Downgraded from B3 to Ca on 3/30/2009; Changed to
Caa3 on 4/3/2009.
-- Cl. A-3, Downgraded from B3 to Ca on 3/30/2009; Changed to
Caa3 on 4/3/2009.
-- Cl. A-4, Downgraded from B3 to Ca on 3/30/2009; Changed to
Caa3 on 4/3/2009.
-- Cl. A-IO, Downgraded from B2 to Ca on 3/30/2009; Changed to
Caa3 on 4/3/2009.
Origen Manufactured Housing Conract Trust Collateralized Notes,
Series 2005-B
Origen Manufactured Housing Contract Senior/Subordinate Asset-
Backed Certificates, Series 2001-A
-- Cl. A-5, Downgraded from A2 to Caa2 on 3/30/2009; Changed to
A2 on 4/3/2009.
-- Cl. A-6, Downgraded from A2 to Caa3 on 3/30/2009; Changed to
B2 on 4/3/2009.
-- Cl. A-7, Downgraded from A2 to Caa2 on 3/30/2009; Changed to
B1 on 4/3/2009.
UCFC Funding Corporation 1997-2
-- M, Downgraded from B2 to B3 on 3/30/2009; Changed to B2 on
4/3/2009.
UCFC Funding Corporation 1997-3
-- A-4, Downgraded from Baa2 to Ba3 on 3/30/2009; Changed to
Baa2 on 4/3/2009.
-- M, Downgraded from Ca to C on 3/30/2009; Changed to Ca on
4/3/2009.
UCFC Funding Corporation 1997-4
-- A-4, Downgraded from B1 to Ca on 3/30/2009; Changed to B1 on
4/3/2009.
UCFC Funding Corporation 1998-1
-- A-3, Downgraded from Baa3 to Caa3 on 3/30/2009; Changed to
Baa3 on 4/3/2009.
-- M, Downgraded from Ca to C on 3/30/2009; Changed to Ca on
4/3/2009.
UCFC Funding Corporation 1998-2
-- A-4, Downgraded from Ba2 to Caa3 on 3/30/2009; Changed to B1
on 4/3/2009.
Vanderbilt Mortgage and Finance Inc. 1997-A
-- I A-6, Downgraded from Aa2 to Aa3 on 3/30/2009; Changed to
Aa2 placed on review for possible downgrade on 4/3/2009.
Vanderbilt Mortgage and Finance Inc. 1997-B
-- I A-6, Downgraded from Aa3 to A3 on 3/30/2009; Changed to A1
on 4/3/2009.
Vanderbilt Mortgage and Finance Inc. 1997-C
-- I A-6, Downgraded from Aa3 to A2 on 3/30/2009; Changed to Aa3
placed on review for possible downgrade on 4/3/2009.
Vanderbilt Mortgage and Finance Inc. 1997-D
-- I A-6, Downgraded from Aa3 to A2 on 3/30/2009; Changed to Aa3
placed on review for possible downgrade on 4/3/2009.
Vanderbilt Mortgage and Finance Inc. 1998-A
-- I A-6, Downgraded from Aa3 to A1 on 3/30/2009; Changed to Aa3
on 4/3/2009.
Vanderbilt Mortgage and Finance Inc. 1998-B
-- I A-6, Downgraded from Aa3 to A1 on 3/30/2009; Changed to Aa3
placed on review for possible downgrade on 4/3/2009.
Vanderbilt Mortgage and Finance Inc. 1999-A
-- I A-6, Downgraded from Aa3 to A3 on 3/30/2009; Changed to A2
on 4/3/2009.
-- I M-1, Downgraded from A2 to Ba2 on 3/30/2009; Changed to
Baa1 on 4/3/2009.
Vanderbilt Mortgage and Finance Inc. 1999-D
-- Cl. II A-1, Downgraded from Aaa to Aa2 on 3/30/2009; Changed
to Aaa placed on review for possible downgrade on 4/3/2009.
Vanderbilt Mortgage and Finance Inc. 2000-B
-- Cl. I M-1, Downgraded from A2 to Ba1 on 3/30/2009; Changed to
Baa2 on 4/3/2009.
Vanderbilt Mortgage and Finance Inc. 2000-C
-- Cl. M-1, Downgraded from A2 to Baa1 on 3/30/2009; Changed to
A3 on 4/3/2009.
Vanderbilt Mortgage and Finance Inc. 2001-A
-- Cl. M-1, Downgraded from A2 to Baa3 on 3/30/2009; Changed to
Baa1 on 4/3/2009.
-- Cl. B-1, Downgraded from Baa2 to Ba2 on 3/30/2009; Changed to
Baa2 placed on review for possible downgrade on 4/3/2009.
Vanderbilt Mortgage and Finance, Inc. 2002-C
-- Cl. B-1, Downgraded from Baa2 to Ca on 3/30/2009; Changed to
Baa2 on 4/3/2009.
Vanderbilt Mortgage and Finance, Inc. Series 2001-B
-- Cl. M-1, Downgraded from A2 to Baa2 on 3/30/2009; Changed to
Baa1 on 4/3/2009.
-- Cl. B-1, Downgraded from Baa2 to Baa3 on 3/30/2009; Changed
to Baa2 placed on review for possible downgrade on 4/3/2009.
Vanderbilt Mortgage and Finance, Inc. Series 2001-C
-- Cl. M-1, Downgraded from A2 to Baa1 on 3/30/2009; Changed to
A2 placed on review for possible downgrade on 4/3/2009.
Vanderbilt Mortgage and Finance, Inc. Series 2002-A
-- Cl. M-1, Downgraded from A2 to Ba1 on 3/30/2009; Changed to
Baa2 on 4/3/2009.
-- Cl. B-1, Downgraded from Baa2 to Ba3 on 3/30/2009; Changed to
Baa3 on 4/3/2009.
Vanderbilt Mortgage and Finance, Inc. Series 2002-B
-- Cl. M-1, Downgraded from A2 to A3 on 3/30/2009; Changed to A2
placed on review for possible downgrade on 4/3/2009.
-- Cl. B-1, Downgraded from Baa2 to Ba1 on 3/30/2009; Changed to
Baa2 placed on review for possible downgrade on 4/3/2009.
Accordingly, Moody's issued an updated press release. Moody's
said it downgraded the ratings of 149 tranches and placed the
ratings of 29 tranches on review for downgrade, connected with 86
transactions, and upgraded the rating of 1 tranche. Underlying
securities' collateral consists of manufactured housing loans.
The ratings on the securities were monitored by evaluating factors
Moody's determined to be essential in the analysis of securities
backed by such loans. The salient factors include: i) the nature,
sufficiency, and quality of historical loan performance
information, ii) the collateral composition and pool credit
performance including loan delinquency and loss data, iii) the
transaction's capital structure and related allocations of
collateral cash flows and losses, and iv) a comparison of current
credit enhancement levels to updated Moody's pool loss projections
based on present collateral credit performance.
When analyzing underlying ratings for MH transactions, Moody's
projects cumulative losses for each deal based on a collateral
analysis of the deal's Constant Prepayment Rate and Constant
Default Rate.
CPR - CPR is based on the average of the last six months 1-month
CPR.
CDR - There are three approaches for determining pool CDR. The
first approach calculates CDR based on pool loan losses from the
previous twelve months, i.e. recent losses. A second approach is
based on pipeline defaults -- derived from days-aged delinquencies
and Moody's assumptions for default based on days delinquent or
REO. The third approach calculates the default to liquidation
which linearly extrapolates future losses based on the current
cumulative loss given the current pool factor. Moody's assumes
85% severity for manufactured homes at an expected case. After
CDR is calculated using the three methods, the effective CDR for
loss projection purposes is determined by using a weighted average
of the CDRs with weightings determined on a transaction by
transaction basis. Moody's will project future CDR rates based on
delinquency and loss trends. For the actions noted, in most
cases, Moody's has assumed that CDR will remain constant over the
life of each deal. A sudden reversal in the existing trend of
projected defaults and losses is not anticipated for these deals
as they are well seasoned.
Based on calculated CPR and CDR, Moody's calculates projected
deal-specific cumulative losses and the weighted average life of
the deal. The credit enhancement calculation may also include
credit for excess spread, i.e. the aggregate, positive difference
in the weighted average loan coupon and the all-inclusive
securities' interest and deal fees, including servicing. Excess
spread benefit is calculated by multiplying the stressed
annualized excess spread by the weighted average life of the deal.
Aggregate credit enhancement which combines subordination benefit
(including overcollateralization and/or reserve accounts) and
support from letters of credit or guarantees and excess spread
benefit, is compared with projected cumulative losses for the deal
to derive coverage multiples and associated ratings by tranche.
Moody's will analyze tranche coverage multiples after
consideration of tranche-specific loss allocation and timing of
principal repayment.
Complete Rating Action are:
Access Financial MH Contract Trust 1995-1
-- B-1, Downgraded to Caa2; previously on 3/22/2005 Downgraded
to B2
Access Financial MH Contract Trust 1996-1
-- A-5, Currently Aaa, placed on review for possible downgrade;
previously on 5/29/1996 Assigned Aaa
-- A-6, Downgraded to Ba2; previously on 3/22/2005 Downgraded to
A1
Associates Manufactured Housing 1996-1
-- B-1, Downgraded to A3; previously on 11/15/2001 Upgraded to
Aa1
Associates Manufactured Housing 1997-1
-- B-1, Downgraded to A3; previously on 11/15/2001 Upgraded to
Aa1
Associates Manufactured Housing 1997-2
-- A-6, Currently Aaa, placed on review for possible downgrade;
previously on 9/24/1997 Assigned Aaa
-- B-1, Downgraded to A3; previously on 11/15/2001 Upgraded to
Aa1
-- B-2, Downgraded to A3; previously on 11/15/2001 Upgraded to
Aa1
-- M, Downgraded to A2; previously on 12/16/2004 Downgraded to
A1
BCMSC Trust 1999-A
-- A-2, Downgraded to B3; previously on 7/28/2004 Downgraded to
B1
-- A-3, Downgraded to B3; previously on 7/28/2004 Downgraded to
B1
-- A-4, Downgraded to B3; previously on 7/28/2004 Downgraded to
B1
-- A-5, Downgraded to B3; previously on 7/28/2004 Downgraded to
B1
BCMSC Trust 2001-A
-- Cl. M-1, Downgraded to Ca; previously on 7/28/2004 Downgraded
to Caa3
Bombardier Capital Mortgage Sec Corp 1998-A
-- B-1, Downgraded to C; previously on 7/28/2004 Downgraded to
Ca
-- M, Downgraded to Ca; previously on 7/28/2004 Downgraded to
Ba2
Bombardier Capital Mortgage Sec Corp 1998-B
-- A, Downgraded to Caa1; previously on 7/28/2004 Downgraded to
B2
C-BASS Series 2006-MH1 Trust
-- Cl. AF-2, Currently Aaa, placed on review for possible
downgrade; previously on 9/15/2006 Assigned Aaa
-- Cl. AF-3, Currently Aaa, placed on review for possible
downgrade; previously on 9/15/2006 Assigned Aaa
-- Cl. AF-4, Currently Aaa, placed on review for possible
downgrade; previously on 9/15/2006 Assigned Aaa
-- Cl. B-1, Downgraded to Ca; previously on 9/15/2006 Assigned
Baa2
-- Cl. B-2, Downgraded to C; previously on 9/15/2006 Assigned
Ba2
-- Cl. B-3, Downgraded to C; previously on 9/15/2006 Assigned B2
-- Cl. M-1, Downgraded to A1; previously on 9/15/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to Ba2; previously on 9/15/2006 Assigned
A2
CIT Group Securitization Corp II MH 1995-1
-- A-5, Downgraded to Baa2 and Placed Under Review for Possible
Downgrade; previously on 9/28/2004 Downgraded to A2
CIT Group Securitization Corp II MH 1995-2
-- B, Downgraded to Ca; previously on 9/28/2004 Downgraded to
Ba1
Conseco Finance Securitization Corp 2002-2
-- Class B-1, Downgraded to C; previously on 8/2/2006 Downgraded
to Ca
-- Class M-2, Downgraded to Ca; previously on 8/2/2006
Downgraded to Caa1
Conseco Finance Securitizations Corp 2000-1
-- Cl. A-5, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
Conseco Finance Securitizations Corp 2000-2
-- Cl. A-5, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
-- Cl. A-6, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
Conseco Finance Securitizations Corp 2000-3
-- Cl. A-1, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
Conseco Finance Securitizations Corp 2000-4
-- Cl. A-5, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
-- Cl. A-6, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
Conseco Finance Securitizations Corp 2000-5
-- Cl. A-6, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
-- Cl. A-7, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
Conseco Finance Securitizations Corp 2000-6
-- Cl. A-5, Downgraded to Caa1; previously on 8/2/2006
Downgraded to B3
-- Class A-4, Currently B1, placed on review for possible
downgrade; previously on 8/2/2006 Downgraded to B1
Conseco Finance Securitizations Corp 2002-1
-- Class M-2, Downgraded to Ca; previously on 8/2/2006
Downgraded to Caa2
CSFB ABS Trust Manufactured Housing Pass-Thru 2001-MH29
-- Cl. B-1, Downgraded to Ca; previously on 12/5/2001 Assigned
Baa2
-- Cl. B-2, Downgraded to Baa2 and Placed Under Review for
Possible Downgrade; previously on 12/5/2001 Assigned A2
-- Cl. M-1, Currently Aa2, placed under review for possible
downgrade; previously on 12/5/2001 Assigned Aa2
-- Cl. M-2, Downgraded to Baa3; previously on 12/5/2001 Assigned
A2
CSFB ABS Trust Series 2002-MH3
-- Cl. A, Currently Aaa, placed on review for possible
downgrade; previously on 5/6/2002 Assigned Aaa
-- Cl. B-1, Downgraded to C; previously on 6/9/2006 Downgraded
to Ba3
-- Cl. B-2, Downgraded to Baa2 and Placed Under Review for
Possible Downgrade; previously on 5/6/2002 Assigned A2
-- Cl. M-1, Downgraded to A3; previously on 5/6/2002 Assigned
Aa2
-- Cl. M-2, Downgraded to B2; previously on 6/9/2006 Downgraded
to Baa2
Deutsche Financial Capital Sec LLC, 1997-I
-- Class M, Currently B3, placed on review for possible
downgrade; previously on 4/8/2004 Downgraded to B3
Deutsche Financial Capital Sec LLC, 1998-I
-- Class M, Downgraded to Ca; previously on 4/8/2004 Downgraded
to Caa2
Green Tree Financial Corporation MH 1995-06
-- B-1, Downgraded to Caa1; previously on 8/2/2006 Downgraded to
B3
Green Tree Financial Corporation MH 1995-08
-- B-1, Downgraded to Caa1; previously on 12/29/2003 Downgraded
to B3
Green Tree Financial Corporation MH 1995-10
-- B-1, Currently B3, placed under review for possible
downgrade; previously on 12/29/2003 Downgraded to B3
Green Tree Financial Corporation MH 1996-01
-- B-1, Downgraded to Caa2; previously on 12/29/2003 Downgraded
to B3
Green Tree Financial Corporation MH 1996-02
-- M-1, Currently B3, placed on review for possible downgrade;
previously on 8/2/2006 Downgraded to B3
Green Tree Financial Corporation MH 1996-03
-- M-1, Downgraded to Caa3; previously on 8/2/2006 Downgraded to
Caa2
Green Tree Financial Corporation MH 1996-04
-- M-1, Downgraded to Ca; previously on 8/2/2006 Downgraded to
Caa2
Green Tree Financial Corporation MH 1996-06
-- M-1, Downgraded to Caa1; previously on 12/13/2004 Downgraded
to B3
Green Tree Financial Corporation MH 1996-07
-- M-1, Downgraded to B3; previously on 12/13/2004 Downgraded to
B1
Green Tree Financial Corporation MH 1996-08
-- M-1, Downgraded to Caa2; previously on 12/13/2004 Downgraded
to B3
Green Tree Financial Corporation MH 1996-09
-- M-1, Downgraded to Caa1; previously on 12/13/2004 Downgraded
to B2
Green Tree Financial Corporation MH 1997-01
-- M-1, Downgraded to Caa2; previously on 12/13/2004 Downgraded
to B3
Green Tree Financial Corporation MH 1997-02
-- M-1, Downgraded to Ca; previously on 12/13/2004 Downgraded to
Caa1
Green Tree Financial Corporation MH 1997-03
-- A-7, Downgraded to Ba1; previously on 12/13/2004 Downgraded
to Baa1
-- M-1, Downgraded to Ca; previously on 12/13/2004 Downgraded to
Caa1
Green Tree Financial Corporation MH 1997-04
-- M-1, Downgraded to Ca; previously on 12/13/2004 Downgraded to
B3
Green Tree Financial Corporation MH 1997-07
-- M-1, Downgraded to Caa3; previously on 8/2/2006 Downgraded to
Caa2
Green Tree Financial Corporation MH 1998-01
-- M-1, Downgraded to Caa3; previously on 8/2/2006 Downgraded to
Caa2
Green Tree Financial Corporation MH 1998-02
-- A-5, Downgraded to Ba1; previously on 12/13/2004 Downgraded
to Baa3
Green Tree Financial Corporation MH 1998-07
-- M-1, Downgraded to Ca; previously on 8/2/2006 Downgraded to
Caa3
Green Tree Financial Corporation MH 1998-08
-- M-1, Downgraded to Ca; previously on 8/2/2006 Downgraded to
Caa3
Greenpoint Manufactured Housing Contract Trust 2001-1
-- Cl. I M-2, Downgraded to Baa3; previously on 3/30/2001
Assigned Aa3
-- Cl. II M-2, Downgraded to B1; previously on 3/30/2001
Assigned Aa3
IndyMac MH Contract 1997-1
-- A-2, Downgraded to Caa3; previously on 9/24/2004 Downgraded
to B1
-- A-3, Downgraded to Caa3; previously on 9/24/2004 Downgraded
to B1
-- A-4, Downgraded to Caa3; previously on 9/24/2004 Downgraded
to B1
-- A-5, Downgraded to Caa3; previously on 9/24/2004 Downgraded
to B1
-- A-6, Downgraded to Caa3; previously on 9/24/2004 Downgraded
to B1
IndyMac MH Contract 1998-1
-- A-3, Downgraded to Ca; previously on 9/24/2004 Downgraded to
B3
-- A-4, Downgraded to Ca; previously on 9/24/2004 Downgraded to
B3
-- A-5, Downgraded to Ca; previously on 9/24/2004 Downgraded to
B3
Mid-State Capital Corporation 2005-1 Trust
-- Cl. A, Downgraded to Ba1; previously on 12/20/2005 Assigned
Aaa
-- Cl. B, Downgraded to Ca; previously on 12/20/2005 Assigned
Baa2
-- Cl. M-1, Downgraded to B3; previously on 12/20/2005 Assigned
Aa2
-- Cl. M-2, Downgraded to Ca; previously on 12/20/2005 Assigned
A2
Mid-State Capital Corporation 2006-1 Trust
-- Cl. A, Downgraded to Ba3; previously on 11/13/2006 Assigned
Aaa
-- Cl. B, Downgraded to Ca; previously on 11/13/2006 Assigned
Baa2
-- Cl. M-1, Downgraded to Ca; previously on 11/13/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to Ca; previously on 11/13/2006 Assigned
A2
Mid-State Trust VI
-- A-1, Downgraded to Aa3; previously on 6/11/1997 Assigned Aaa
-- A-2, Downgraded to Baa2; previously on 6/11/1997 Assigned Aa2
-- A-3, Downgraded to Ba1; previously on 6/11/1997 Assigned A2
-- A-4, Downgraded to Caa3; previously on 6/11/1997 Assigned
Baa2
Mid-State Trust X
-- Cl. A-1, Downgraded to B1; previously on 11/20/2001 Assigned
Aaa
-- Cl. A-2, Downgraded to B1; previously on 11/20/2001 Assigned
Aaa
-- Cl. B, Downgraded to Ca; previously on 11/20/2001 Assigned
Baa2
-- Cl. M-1, Downgraded to Caa1; previously on 11/20/2001
Assigned Aa2
-- Cl. M-2, Downgraded to Caa3; previously on 11/20/2001
Assigned A2
Mid-State Trust XI
-- Cl. A, Downgraded to Baa1; previously on 7/14/2003 Assigned
Aaa
-- Cl. B, Downgraded to Ca; previously on 7/14/2003 Assigned
Baa2
-- Cl. M-1, Downgraded to B3; previously on 7/14/2003 Assigned
Aa2
-- Cl. M-2, Downgraded to Ca; previously on 7/14/2003 Assigned
A2
Oakwood Mortgage Investors, Inc. 1997-D
-- M, Currently Ba3, placed on review for possible downgrade;
previously on 3/25/2004 Downgraded to Ba3
Oakwood Mortgage Investors, Inc. 1998-A
-- M, Downgraded to Caa2; previously on 3/25/2004 Downgraded to
Caa1
Oakwood Mortgage Investors, Inc. 1999-A
-- A-2, Currently Ba1, placed on review for possible downgrade;
previously on 12/21/2004 Downgraded to Ba1
-- A-3, Currently Ba1, placed on review for possible downgrade;
previously on 12/21/2004 Downgraded to Ba1
-- A-4, Currently Ba1, placed on review for possible downgrade;
previously on 12/21/2004 Downgraded to Ba1
-- A-5, Currently Ba1, placed on review for possible downgrade;
previously on 12/21/2004 Downgraded to Ba1
-- M-1, Downgraded to Ca; previously on 3/25/2004 Downgraded to
Caa3
Oakwood Mortgage Investors, Inc. 1999-B
-- A-2, Downgraded to Caa2; previously on 3/25/2004 Downgraded
to B3
-- A-3, Downgraded to Caa2; previously on 3/25/2004 Downgraded
to B3
-- A-4, Downgraded to Caa2; previously on 3/25/2004 Downgraded
to B3
Oakwood Mortgage Investors, Inc. 1999-D
-- A-1, Downgraded to Caa2; previously on 3/25/2004 Downgraded
to Caa1
OMI Trust 2000-C
-- Cl. A-1, Downgraded to Caa2; previously on 12/21/2004
Downgraded to B2
OMI Trust 2000-D
-- Cl. A-4, Downgraded to C; previously on 12/21/2004 Downgraded
to Caa3
OMI Trust 2001-B
-- Cl. A-2, Downgraded to B3; previously on 12/21/2004
Downgraded to Ba3
-- Cl. A-3, Downgraded to B3; previously on 12/21/2004
Downgraded to Ba3
-- Cl. A-4, Downgraded to B3; previously on 12/21/2004
Downgraded to Ba3
OMI Trust 2001-C
-- Cl. A-IO, Downgraded to Ca; previously on 12/21/2004
Downgraded to Caa3
OMI Trust 2001-D
-- Cl. A-1, Downgraded to Ca; previously on 12/21/2004
Downgraded to B2
-- Cl. A-2, Downgraded to Ca; previously on 12/21/2004
Downgraded to B2
-- Cl. A-3, Downgraded to Ca; previously on 12/21/2004
Downgraded to B2
-- Cl. A-4, Downgraded to Ca; previously on 12/21/2004
Downgraded to B2
-- Cl. A-IO, Downgraded to Ca; previously on 12/21/2004
Downgraded to B1
OMI Trust 2001-E
-- Cl. A-1, Downgraded to Caa3; previously on 12/21/2004
Downgraded to B3
-- Cl. A-2, Downgraded to Caa3; previously on 12/21/2004
Downgraded to B3
-- Cl. A-3, Downgraded to Caa3; previously on 12/21/2004
Downgraded to B3
-- Cl. A-4, Downgraded to Caa3; previously on 12/21/2004
Downgraded to B3
-- Cl. A-IO, Downgraded to Caa3; previously on 12/21/2004
Downgraded to B2
OMI Trust 2002-A
-- Cl. A-1, Downgraded to B3; previously on 12/21/2004
Downgraded to B1
-- Cl. A-2, Downgraded to B3; previously on 12/21/2004
Downgraded to B1
-- Cl. A-3, Downgraded to B3; previously on 12/21/2004
Downgraded to B1
-- Cl. A-4, Downgraded to B3; previously on 12/21/2004
Downgraded to B1
-- Cl. A-IO, Downgraded to B3; previously on 3/25/2004
Downgraded to Ba3
-- Cl. M-1, Downgraded to C; previously on 3/25/2004 Downgraded
to Ca
OMI Trust 2002-B
-- Cl. A-1, Downgraded to Caa1; previously on 12/21/2004
Downgraded to Ba2
-- Cl. A-2, Downgraded to Caa1; previously on 12/21/2004
Downgraded to Ba2
-- Cl. A-3, Downgraded to Caa1; previously on 12/21/2004
Downgraded to Ba2
-- Cl. A-4, Downgraded to Caa1; previously on 12/21/2004
Downgraded to Ba2
-- Cl. IO, Downgraded to Caa1; previously on 3/25/2004
Downgraded to Ba1
-- Cl. M-1, Downgraded to C; previously on 3/25/2004 Downgraded
to Ca
OMI Trust 2002-C
-- Cl. A-1, Downgraded to Caa1; previously on 3/25/2004
Downgraded to Ba1
-- Cl. A-IO, Downgraded to Caa1; previously on 3/25/2004
Downgraded to Ba1
-- Cl. M-1, Downgraded to C; previously on 3/25/2004 Downgraded
to Ca
Origen Manufactured Housing Contract Trust 2001-A
-- Cl. A-6, Downgraded to B2; previously on 9/7/2004 Downgraded
to A2
-- Cl. A-7, Downgraded to B1; previously on 9/7/2004 Downgraded
to A2
-- Cl. M-1, Downgraded to C; previously on 1/17/2007 Downgraded
to B3
Origen Manufactured Housing Contract Trust 2002-A
-- Cl. B-1, Downgraded to Ca; previously on 9/7/2004 Downgraded
to Caa3
Origen Manufactured Housing Contract Trust 2005-B
-- Cl. B-1, Downgraded to Baa3; previously on 12/21/2005
Assigned Baa2
-- Cl. B-2, Downgraded to Ba2; previously on 12/21/2005 Assigned
Baa3
Signal Securitization Corp. MH 1998-2
-- Class A, Downgraded to Caa3; previously on 10/29/2004
Downgraded to B1
UCFC Funding Corporation 1997-4
-- M, Downgraded to C; previously on 9/28/2004 Downgraded to Ca
UCFC Funding Corporation 1998-2
-- A-4, Downgraded to B1; previously on 9/28/2004 Downgraded to
Ba2
-- M-1, Downgraded to C; previously on 9/28/2004 Downgraded to
Ca
Vanderbilt Mortgage and Finance Inc. 1997-A
-- I A-6, Currently Aa2, placed on review for possible
downgrade; previously on 3/7/2005 Upgraded to Aa2
Vanderbilt Mortgage and Finance Inc. 1997-B
-- I A-6, Downgraded to A1; previously on 5/28/1997 Assigned Aa3
Vanderbilt Mortgage and Finance Inc. 1997-C
-- I A-6, Currently Aa3, placed on review for possible
downgrade; previously on 8/29/1997 Assigned Aa3
Vanderbilt Mortgage and Finance Inc. 1997-D
-- I A-6, Currently Aa3, placed on review for possible
downgrade; previously on 12/1/1997 Assigned Aa3
Vanderbilt Mortgage and Finance Inc. 1998-B
-- I A-6, Currently Aa3, placed on review for possible
downgrade; previously on 5/27/1998 Assigned Aa3
Vanderbilt Mortgage and Finance Inc. 1999-A
-- IA-6, Downgraded to A2; previously on 2/26/1999 Assigned Aa3
-- I M-1, Downgraded to Baa1; previously on 2/26/1999 Assigned
A2
Vanderbilt Mortgage and Finance Inc. 1999-D
-- Cl. IIA-1, Currently Aaa, placed on review for possible
downgrade; previously on 11/30/1999 Assigned Aaa
-- Cl. IIB-4, Upgraded to Baa1; previously on 11/30/1999
Assigned Baa2
Vanderbilt Mortgage and Finance Inc. 2000-B
-- Cl. IA-5, Downgraded to A2; previously on 5/31/2000 Assigned
Aa3
-- Cl. I M-1, Downgraded to Baa2; previously on 5/31/2000
Assigned A2
Vanderbilt Mortgage and Finance Inc. 2000-C
-- Cl. M-1, Downgraded to A3; previously on 8/29/2000 Assigned
A2
Vanderbilt Mortgage and Finance Inc. 2001-A
-- Cl. A-5, Downgraded to A1; previously on 2/28/2001 Assigned
Aa2
-- Cl. B-1, Currently Baa2, placed on review for possible
downgrade; previously on 2/28/2001 Assigned Baa2
-- Cl. M-1, Downgraded to Baa1; previously on 2/28/2001 Assigned
A2
Vanderbilt Mortgage and Finance, Inc. 2001-C
-- Cl. M-1, Currently A2, placed on review for possible
downgrade; previously on 11/29/2001 Assigned A2
Vanderbilt Mortgage and Finance, Inc. 2001-B
-- Cl. A-5, Downgraded to Aa3; previously on 8/23/2001 Assigned
Aa2
-- Cl. B-1, Currently Baa2, placed on review for possible
downgrade; previously on 8/23/2001 Assigned Baa2
-- Cl. M-1, Downgraded to Baa1; previously on 8/23/2001 Assigned
A2
Vanderbilt Mortgage and Finance, Inc. 2002-A
-- Cl. A-5, Downgraded to A2; previously on 2/26/2002 Assigned
Aa2
-- Cl. B-1, Downgraded to Baa3; previously on 2/26/2002 Assigned
Baa2
-- Cl. M-1, Downgraded to Baa2; previously on 2/26/2002 Assigned
A2
Vanderbilt Mortgage and Finance, Inc. 2002-B
-- Cl. B-1, Currently Baa2, placed on review for possible
downgrade; previously on 8/29/2002 Assigned Baa2
-- Cl. M-1, Currently A2, placed on review for possible
downgrade; previously on 8/29/2002 Assigned A2
* S&P Takes Rating Actions on Six Corporate Credit Unions
---------------------------------------------------------
Standard & Poor's Ratings Services said that it has taken rating
actions on six corporate credit unions. The ratings on all the
credit unions remain on CreditWatch Negative. S&P is also
withdrawing S&P's ratings on Eastern Corporate Federal Credit
Union and Central Corporate Credit Union, each at
the company's request.
This action was prompted by S&P's reassessment of these
institutions' creditworthiness in light of recent regulatory
actions taken by the National Credit Union Administration
(regulator for credit unions) and the corporate credit unions'
capitalization being severely impaired as the result of the
expected write-down of their capital investments in U.S. Central
Federal Credit Union. None of these corporate credit unions have
rated debt outstanding.
On March 20, 2009, the NCUA took U.S. Central and Western
Corporate Federal Credit Union into conservatorship after
determining that their exposure to losses in their portfolios of
mortgage-related structured securities was in excess of their
capital. As a result, the NCUA has announced that all corporate
credit unions' capital investments (paid-in capital and
membership capital shares) in U.S. Central will have to be
completely or almost completely written down. Although the NCUA
has stated that it does not plan to seize any corporates because
of the write-down of their investments in U.S. Central, S&P
believes that this will severely impair the corporates'
capitalization.
The impact of this write-down on the rated corporate credit
unions' capitalization varies widely, but in all cases it results
in a capital profile that S&P believes is insufficient to support
any rated corporate at the prior ratings level. Before these
recent events, EasCorp and Cencorp were among the highest rated
corporates because they had the least exposure to at-risk,
mortgage-related, structured securities, but S&P expects their
capital levels to be the most severely affected by the write-down
of their U.S. Central capital investments. According to S&P's
calculations, each is likely to have negative regulatory core
capital. Although S&P expects the capital levels at Southwest
Corporate Federal Credit Union and Constitution Corporate Federal
Credit Union to be least affected by the write-down, S&P believes
their resulting capitalization will be weak in light of their
significant exposure to potential future losses on their
portfolios of mortgage-related structured securities.
The remaining rated corporate credit unions will stay on
CreditWatch Negative because of continued negative pressure on the
ratings from weak capitalization, the potential for further
securities write-downs in the near term, and uncertainty as to the
direction and form of future regulatory action toward these
companies. The NCUA has stated that it would inject capital into
any corporate that needed it as the result of securities write-
downs. It remains to be seen if this would be done under
conservatorship, as it was at U.S. Central and WesCorp, or in a
way less favorable to creditors.
Credit Union creditors are especially well protected in the event
of a liquidation because all credit union debt ranks senior to
members' shares and deposits. S&P believes the NCUA's program to
guarantee all member deposits through December 2010, into which
all of the rated corporates with the exception of Eascorp have
opted, is crucial to the corporate credit unions'
creditworthiness.
To resolve the CreditWatch on the remaining rated corporate credit
unions, S&P will closely monitor further industry and company-
specific developments, assess each rated corporate's capital
plans, and seek further insight from the NCUA as to its plans for
the corporate credit union network.
Ratings Lowered, Remain On CreditWatch
Southeast Corporate Federal Credit Union
Counterparty Credit Rating
To From
-- ----
BBB-/Watch Neg/A-3 A+/Watch Neg/A-1
Southwest Corporate Federal Credit Union
Counterparty Credit Rating
To From
-- ----
BBB-/Watch Neg/A-3 A+/Watch Neg/A-1
Constitution Corporate Federal Credit Union
Counterparty Credit Rating
To From
-- ----
--/Watch Neg/A-3 --/Watch Neg/A-1
SunCorp Corporate Credit Union
Counterparty Credit Rating
To From
-- ----
--/Watch Neg/A-3 --/Watch Neg/A-1+
Central Corporate Credit Union
Counterparty Credit Rating
To From
-- ----
--/Watch Neg/B --/Watch Neg/A-1+
Eastern Corporate Federal Credit Union
Counterparty Credit Rating
To From
-- ----
--/Watch Neg/B --/Watch Neg/A-1+
Ratings Withdrawn
Central Corporate Credit Union
Counterparty Credit Rating
To From
-- ----
NR --/Watch Neg/B
Eastern Corporate Federal Credit Union
Counterparty Credit Rating
To From
-- ----
NR --/Watch Neg/B
* S&P Downgrades Ratings on 14 Classes from Three 2005 RMBS Deals
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 14
classes from three U.S. residential mortgage-backed securities
transactions issued in 2005 that contain seasoned prime mortgage
collateral. Additionally, S&P affirmed its ratings on 28 classes
from the same transactions.
S&P arrived at the rating actions by applying its criteria for the
surveillance of transactions backed by "prime" mortgage
collateral. S&P assessed the projected losses based on the dollar
amount of loans currently in the transactions' or structures'
delinquency, foreclosure, and real estate owned pipelines. S&P
also incorporated cumulative losses to date in S&P's analysis when
assessing lifetime loss projections.
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is not sufficient
to cover losses at the previous rating levels. Although
cumulative losses in some cases may have been low compared with
S&P's projected lifetime losses for the transactions reviewed, S&P
is projecting an increase in losses due to upward trends S&P has
observed in delinquencies and the current condition of the housing
market. Generally, S&P's loss projections will represent its 'B'
case rating scenario and S&P increase the projection per rating
category based on rating designated credit enhancement multiples.
Typically, if a rating is commensurate with the ratio derived from
subordination-to-remaining loss, S&P will affirm it. The
affirmations reflect S&P's view that there is sufficient credit
enhancement to support the ratings at their current levels.
The subordination of more-junior classes within each structure
provides credit support for the affected transactions. The
collateral backing the affected trusts originally consisted
predominantly of seasoned first-lien, fixed- or adjustable-rate
residential mortgage loans secured by one- to four-family
properties.
S&P monitors these transactions to incorporate updated losses and
delinquency pipeline performance to assess whether S&P think the
applicable credit enhancement features are sufficient to support
the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P deem
appropriate.
Ratings Lowered
MASTR Seasoned Securitization Trust 2005-1
Series 2005-1
Rating
------
Class CUSIP To From
----- ----- -- ----
30-B-1 55265WCS0 BB AA
15-B-1 55265WCP6 BB AA
HY-B-1 55265WCV3 BB AA
30-B-2 55265WCT8 B BBB
15-B-2 55265WCQ4 B A
HY-B-2 55265WCW1 B A
30-B-3 55265WCU5 CCC BB
15-B-3 55265WCR2 CCC BBB
HY-B-3 55265WCX9 CCC BBB
C-B-4 55265WCY7 CCC B
MASTR Seasoned Securitization Trust 2005-2
Series 2005-2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 55265WDV2 BB A
B-3 55265WDW0 CCC BB
Prime Mortgage Trust 2005-2
Series 2005-2
Rating
------
Class CUSIP To From
----- ----- -- ----
II-B-4 74160MJE3 B BB
II-B-5 74160MJF0 CCC B
Ratings Affirmed
MASTR Seasoned Securitization Trust 2005-1
Series 2005-1
Class CUSIP Rating
----- ----- ------
1-A-1 55265WCF8 AAA
2-A-1 55265WCH4 AAA
3-A-1 55265WCJ0 AAA
4-A-1 55265WCK7 AAA
4-A-2 55265WCL5 AAA
C-B-5 55265WCZ4 CCC
MASTR Seasoned Securitization Trust 2005-2
Series 2005-2
Class CUSIP Rating
----- ----- ------
1-A-1 55265WDB6 AAA
1-A-2 55265WDC4 AAA
1-A-3 55265WDD2 AAA
1-A-4 55265WDE0 AAA
2-A-1 55265WDF7 AAA
2-A-2 55265WDG5 AAA
30-A-X 55265WDH3 AAA
3-A-1 55265WDJ9 AAA
3-A-2 55265WDK6 AAA
4-A-1 55265WDM2 AAA
5-A-1 55265WDN0 AAA
30-PO 55265WDR1 AAA
15-PO 55265WDS9 AAA
15-A-X 55265WDT7 AAA
B-1 55265WDU4 AA
B-4 55265WDX8 CCC
Prime Mortgage Trust 2005-2
Series 2005-2
Class CUSIP Rating
----- ----- ------
II-A-1 74160MHU9 AAA
II-X 74160MHV7 AAA
II-B-1 74160MHX3 AA
II-XB 74160MJA1 AA
II-B-2 74160MHY1 A
II-B-3 74160MHZ8 BBB
* S&P Puts Ratings on 31 Asia-Pacific CDOs on Negative CreditWatch
------------------------------------------------------------------
Standard & Poor's Ratings Services placed the ratings on 31 Asia-
Pacific (excluding Japan) synthetic collateralized debt
obligations on CreditWatch with negative implications. In
addition, the ratings on five CDOs were taken off CreditWatch
negative and affirmed.
The 31 transactions have been placed on CreditWatch negative due
to a fall in their SROC to below 100% at the current rating level
in the end-of-month analysis for March 2009. This reflects the
negative rating migration within the portfolios.
Rating
------
Deal Name To From SROC
--------- -- ---- ----
ARLO IX Ltd. 2007
(Pascal SCO A-1) BB-/Watch Neg BB- 9.7280%
ARLO Ltd. Series 2006 (OCL-1) CCC/Watch Neg CCC 99.9885%
ARLO Ltd. Series 2006
(SKL CDO Series 11) BBBpNRi/Watch Neg BBBpNRi 99.6011%
Athenee CDO PLC Series 2007-2 BBB+/Watch Neg BBB+ 99.3212%
Athenee CDO PLC Series 2007-3 BBB+/Watch Neg BBB+ 99.5077%
Athenee CDO PLC Series 2007-8 BBB+/Watch Neg BBB+ 99.5077%
Athenee CDO PLC Series 2007-9 BBB+/Watch Neg BBB+ 99.3212%
Athenee CDO PLC Series 2007-10 AAA/Watch Neg AAA 99.7607%
Athenee CDO PLC Series 2007-11 BBB+/Watch Neg BBB+ 99.3212%
Athenee CDO PLC Series 2007-15 BBB+/Watch Neg BBB+ 99.4678%
Chess II Ltd. Series 2004-6 AAA/Watch Neg AAA 99.9514%
Chess II Ltd. Series 2004-7 AA/Watch Neg AA 99.8611%
Corsair (Jersey) No. 2 Ltd.
Series 72 B-/Watch Neg B- 99.0520%
Eirles Two Ltd. Series 241 B/Watch Neg B 99.9949%
Magnolia Finance I PLC
Series 2006-21 B-/Watch Neg B- 99.9462%
Magnolia Finance I PLC
Series 2006-22 B-/Watch Neg B- 99.9462%
Morgan Stanley Managed ACES SPC
Series 2006-12 Class IA CCC+/Watch Neg CCC+ 99.4017%
Morgan Stanley Managed ACES SPC
Series 2006-7 Class IIA CCC/Watch Neg CCC 99.6900%
Morgan Stanley ACES SPC
Series 2006-31 BB-/Watch Neg BB- 99.9792%
Sceptre Capital B.V.
Series 2005-3 BBB+/Watch Neg BBB+ 85.5362%
Sceptre Capital B.V.
Series 2007-2 B/Watch Neg B 92.4445%
Signum Platinum III Ltd.
Series 2007-1 CCC+/Watch Neg CCC+ 98.8722%
United Investment Grade ABS/CDO Fund
2005-1A AA/Watch Neg AA 98.0133%
Xelo PLC Series 2006 (Spinnaker III Asia Mezz)
Tranche B B/Watch Neg B 99.7231%
Xelo PLC Series 2007
(Spinnaker III Asia Mezzanine 3) B/Watch Neg B 99.7711%
Castlereagh Trust Series 1 CCC/Watch Neg CCC 99.9033%
Echo Funding Pty Ltd. Series 16 B/Watch Neg B 90.4000%
Echo Funding Pty Ltd. Series 19 CCC+/Watch Neg CCC+ 99.9125%
Echo Funding Pty Ltd. Series 21 B+/Watch Neg B+ 99.9125%
SELECT ACCESS Investments Ltd.
Series 2005-2 BB/Watch Neg BB 98.4046%
Security Holding Investment
Entity Linking Deals (SHIELD)
Series 24 AA/Watch Neg AA 99.9515%
The ratings on these five CDOs were taken off CreditWatch negative
and affirmed as their SROC passed 100% at their current rating
level in the end-of-month analysis for March 2009, thereby
reflecting a positive rating migration within the portfolios.
Deal Name Rating To Rating From SROC
--------- --------- ----------- ----
Zenesis SPC Series 2005-3 AA AA/Watch Neg 111.8172%
Zenesis SPC Series 2005-4 AAA AAA/Watch Neg 105.4753%
Jacaranda Trust Series 1 AAA AAA/Watch Neg 100.0690%
Jacaranda Trust Series 2 AA- AA-/Watch Neg 100.3584%
Wollemi 2005-1 Trust AAA AAA/Watch Neg 100.9642%
Note: Where the final price on defaulted reference names in CDO
portfolios is not known, S&P's analysis takes into consideration
the auction results for these names from the International Swaps
and Derivatives Association, Inc.
NRI -- Interest is not rated.
The Global SROC Report with the SROC analysis as of end-March 2009
will be published shortly. In the week following the publication
of the report, a full review of the affected tranches of Asia-
Pacific synthetic CDOs will be performed and appropriate rating
actions, if any, will be taken. The Global SROC Report provides
SROC and other performance metrics on more than 3,000 individual
CDO tranches.
* S&P Downgrades Ratings on 48 Classes from Three Prime Jumbo RMBS
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 48
classes from three U.S. prime jumbo residential mortgage-backed
securities transactions issued in 2006. The downgraded classes
have a current balance of approximately $1.35 billon. S&P removed
47 of the lowered ratings from CreditWatch with negative
implications. Additionally, S&P affirmed its ratings on two
classes and removed them from CreditWatch negative.
The downgrades reflect S&P's opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings, given S&P's current projected losses. S&P's default
curve for U.S. prime jumbo RMBS is a key component of S&P's loss
projection analysis of U.S. RMBS transactions. These articles
describe how S&P uses its loss curve forecasting methodology and
how S&P incorporate each transaction's current delinquency
(including 60- and 90-day delinquencies), default, and loss
trends. S&P is currently assuming a 35% loss severity on prime
jumbo collateral originated in 2005 and a 40% loss severity on
prime jumbo collateral originated in 2006 and 2007.
As part of S&P's analysis, S&P considered the characteristics of
the underlying mortgage collateral as well as macroeconomic
influences. For example, the risk profile of the underlying
mortgage pools influences S&P's default projections, while its
outlook for housing price declines and the health of the housing
market influence S&P's loss severity assumptions.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
expected ability to withstand additional credit deterioration. In
order to maintain a rating higher than 'B', S&P considered whether
a class was able to absorb losses in excess of the base-case
assumptions S&P made in its analysis, subject to individual caps
and qualitative factors assumed on specific transactions. For
example, a class may have to withstand approximately 127% of S&P's
base-case loss assumptions in order to maintain a 'BB' rating,
while a different class may have to withstand approximately 154%
of S&P's base-case loss assumptions to maintain a 'BBB' rating.
An affirmed 'AAA' rating reflects S&P's opinion that the class can
withstand approximately 235% of S&P's base-case loss assumptions.
The affirmations reflect S&P's belief that there is sufficient
credit enhancement to support the ratings at their current levels.
Certain senior classes also benefit from senior-support classes
that would provide support to a certain extent before any
applicable losses could affect the super-senior certificates. The
subordination of classes within each structure provides credit
support for the affected transactions.
The collateral for these deals consists of prime jumbo fixed- and
adjustable-rate mortgage loans secured by one- to four-family
residential properties.
S&P monitors these transactions to incorporate updated losses and
delinquency pipeline performance to assess whether, in S&P's
opinion, the applicable credit enhancement features are sufficient
to support the current ratings. S&P will continue to monitor
these transactions and take additional rating actions as S&P deem
appropriate.
Rating Actions
CHL Mortgage Pass-Through Trust 2006-10
Series 2006-10
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 126694Z76 B+ BBB/Watch Neg
1-A-2 126694Z84 B+ BBB/Watch Neg
1-A-3 126694Z92 B+ BBB/Watch Neg
1-A-4 1266942A5 B+ BBB/Watch Neg
1-A-5 1266942B3 B+ BBB/Watch Neg
1-A-6 1266942C1 B+ BBB/Watch Neg
1-A-7 1266942D9 B+ BBB/Watch Neg
1-A-8 1266942E7 BBB AA/Watch Neg
1-A-9 1266942F4 B+ BBB/Watch Neg
1-A-10 1266942G2 BB BBB/Watch Neg
1-A-11 1266942H0 B+ BBB/Watch Neg
1-A-12 1266942J6 B+ BBB/Watch Neg
1-A-13 1266942K3 B+ BBB/Watch Neg
1-A-14 1266942L1 B+ BBB/Watch Neg
1-A-15 1266942M9 B+ BBB/Watch Neg
1-A-16 1266942N7 B+ BBB/Watch Neg
1-X 1266942P2 BBB AA/Watch Neg
2-A-1 1266942Q0 B+ BBB/Watch Neg
2-A-2 1266943A4 B+ BBB/Watch Neg
2-X 1266942R8 B+ BBB/Watch Neg
PO 1266942S6 B+ BBB/Watch Neg
M-1 1266942U1 CCC BB/Watch Neg
CHL Mortgage Pass-Through Trust 2006-16
Series 2006-16
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 170257AA7 B AA+/Watch Neg
1-X 170257AB5 B AA+/Watch Neg
2-A-1 170257AC3 B AA+/Watch Neg
2-X 170257AD1 B AA+/Watch Neg
3-A-1 170257AE9 B AA+/Watch Neg
3-A-2 170257AF6 B AA+/Watch Neg
3-A-3 170257AG4 B AA+/Watch Neg
3-A-4 170257AH2 B AA+/Watch Neg
3-A-5 170257AJ8 B AA+/Watch Neg
3-A-6 170257AK5 B AA+/Watch Neg
3-A-7 170257AV1 B AA+/Watch Neg
3-X 170257AL3 B AA+/Watch Neg
PO 170257AM1 B AA+/Watch Neg
M-1 170257AP4 CCC BBB/Watch Neg
RFMSI Series 2006-S1 Trust
Series 2006-S1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 76111XJ20 BBB AA/Watch Neg
I-A-2 76111XJ38 BBB AA/Watch Neg
I-A-3 76111XJ46 AAA AAA/Watch Neg
I-A-4 76111XJ53 BBB AA/Watch Neg
I-A-5 76111XJ61 BBB AA/Watch Neg
I-A-6 76111XJ79 BBB AA/Watch Neg
I-A-8 76111XJ95 BBB AA/Watch Neg
I-A-9 76111XK28 BBB AA/Watch Neg
II-A 76111XK36 BBB AA/Watch Neg
A-P 76111XK44 BBB AA/Watch Neg
A-V 76111XK51 AAA AAA/Watch Neg
M-1 76111XK85 CCC BB/Watch Neg
M-2 76111XK93 CCC B/Watch Neg
M-3 76111XL27 CC CCC
* S&P Downgrades Ratings on 89 Classes from Three RMBS Deals
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 89
classes from three residential mortgage-backed securities
transactions backed by U.S. Alternative-A mortgage loan collateral
issued in 2006 and 2007. The downgraded classes have a current
balance of approximately $2.41 billion. S&P removed 72 of the
lowered ratings from CreditWatch with negative implications. In
addition, S&P affirmed its ratings on 16 classes from these
transactions and removed four of the affirmed ratings from
CreditWatch with negative implications. Two ratings remain on
CreditWatch with negative implications because the rating on the
bond insurer for these classes is on CreditWatch negative.
The downgrades, affirmations, and CreditWatch resolutions
incorporate S&P's current and projected losses based on the dollar
amounts of loans currently in the transactions' delinquency,
foreclosure, and real estate owned pipelines, as well as S&P's
projection of future defaults. S&P also incorporated cumulative
losses to date in S&P's analysis when assessing rating outcomes.
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is not sufficient
to cover losses at the previous rating levels. Although
cumulative losses were, in S&P's view, generally low in comparison
to S&P's projected lifetime losses for the transactions reviewed,
S&P is projecting an increase in losses due to increases in
delinquencies and the current negative condition of the housing
market. Certain senior classes also benefit from senior support
classes that would provide support, to a certain extent, before
any applicable losses could affect the super-senior certificates.
To maintain a 'AAA' rating, S&P considers whether a bond is able
to withstand approximately 150% of S&P's base-case loss
assumptions, subject to individual caps and qualitative factors
assumed on specific transactions. For a class for which we've
affirmed a 'B' rating, S&P considers whether a bond is able to
withstand S&P's base-case loss assumption. Other rating
categories are dispersed, approximately equally, between these two
loss assumptions. For example, to maintain a 'BB' rating on one
class, S&P may consider whether the class is able to withstand
approximately 110% of S&P's base-case loss assumptions, while, in
connection with a different class, S&P may consider whether it is
able to withstand approximately 120% of S&P's base-case loss
assumptions to maintain a 'BBB' rating.
The affirmations reflect S&P's belief that there is sufficient
credit enhancement to support the ratings at their current levels.
Certain senior classes also benefit from senior-support classes
that would provide support to a certain extent before any
applicable losses could affect the super-senior certificates.
The subordination of more-junior classes within each structure
provides credit support for the affected transactions. The
collateral backing these deals originally consisted predominantly
of Alt-A, first-lien, fixed-rate, adjustable-rate, or negative-
amortization residential mortgage loans secured by one- to four-
family properties.
S&P monitors these transactions to incorporate updated losses and
delinquency pipeline performance to assess whether, in S&P's view,
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P think
appropriate.
Rating Actions
CSMC Mortgage-Backed Trust Series 2006-3
Series 2006-3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-2 225470M42 BB AAA/Watch Neg
1-A-3 225470M59 BB A/Watch Neg
1-A-4A 225470M67 BBB+ AAA/Watch Neg
1-A-4B 225470M75 BB+ A/Watch Neg
1-M-1 225470R70 CC B/Watch Neg
1-M-2 225470R88 CC CCC
2-A-1 225470M83 B AAA/Watch Neg
2-A-2 225470M91 B AAA/Watch Neg
2-A-3 225470N25 B AAA/Watch Neg
2-A-4 225470N33 B AAA/Watch Neg
2-A-5 225470N41 B AAA/Watch Neg
2-A-6 225470N58 B AAA/Watch Neg
2-A-7 225470N66 B AAA/Watch Neg
2-A-8 225470N74 B AAA/Watch Neg
2-A-10 225470N90 B AAA/Watch Neg
2-A-11 225470P23 B AAA/Watch Neg
2-A-12 225470P31 B AAA/Watch Neg
2-A-13 225470P49 B AAA/Watch Neg
2-A-14 225470P56 B AAA/Watch Neg
3-A-1 225470P64 B AAA/Watch Neg
4-A-1 225470P72 AAA AAA/Watch Neg
4-A-2 225470P80 B AAA/Watch Neg
4-A-3 225470P98 B AAA/Watch Neg
4-A-4 225470Q22 B AAA/Watch Neg
4-A-5 225470Q30 B AAA/Watch Neg
5-A-1 225470Q48 B AAA/Watch Neg
5-A-2 225470Q55 B AAA/Watch Neg
5-A-3 225470Q63 B AAA/Watch Neg
5-A-4 225470Q71 B AAA/Watch Neg
5-A-5 225470Q89 B AAA/Watch Neg
5-A-6 225470Q97 B AAA/Watch Neg
5-A-7 225470R21 B AAA/Watch Neg
5-A-8 225470R39 B AAA/Watch Neg
5-A-9 225470R47 B AAA/Watch Neg
A-P 225470R62 B AAA/Watch Neg
C-B-1 225470S38 CCC BB/Watch Neg
C-B-3 225470S53 CC CCC
CSMC Mortgage-Backed Trust 2007-3
Series 2007-3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1A 12638PAB5 CCC BB-/Watch Neg
1-A-1B 12638PAC3 CCC B/Watch Neg
1-A-2 12638PAD1 CCC BB-/Watch Neg
1-A-3A 12638PAE9 CCC BB-/Watch Neg
1-A-3B 12638PAF6 CCC B/Watch Neg
1-A-6A 12638PAJ8 CCC BBB-/Watch Neg
1-A-6B 12638PAK5 CCC B/Watch Neg
1-M-1 12638PAL3 CC CCC
1-M-2 12638PAM1 CC CCC
1-M-3 12638PAN9 CC CCC
1-M-5 12638PAQ2 D CC
Washington Mutual Mortgage Pass-Through Certificates WMALT
Series 2006-5 Trust
Series 2006-5
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 93934NAA3 CCC BB/Watch Neg
1-A-2 93934NAB1 B- AA/Watch Neg
1-A-3 93934NAC9 CCC B/Watch Neg
1-A-4 93934NAD7 CCC BB
1-A-5 93934NAE5 CCC B/Watch Neg
1-A-6 93934NAF2 CCC B/Watch Neg
1-A-7 93934NAG0 CCC B/Watch Neg
1-A-8 93934NAH8 B AAA/Watch Neg
1-A-9 93934NAJ4 CCC B/Watch Neg
1-A-10 93934NAK1 B AAA/Watch Neg
1-A-11 93934NAL9 CCC B/Watch Neg
1-A-12 93934NAM7 B AAA/Watch Neg
1-A-13 93934NAN5 CCC B/Watch Neg
1-A-14 93934NAP0 CCC B/Watch Neg
2-CB-1 93934NAQ8 CCC BB/Watch Neg
2-CB-2 93934NAR6 CCC BB/Watch Neg
2-CB-3 93934NAS4 CCC B/Watch Neg
2-CB-4 93934NAT2 CCC BB
2-CB-5 93934NAU9 CCC B/Watch Neg
2-CB-6 93934NAV7 B- AA/Watch Neg
2-CB-7 93934NAW5 B- AA/Watch Neg
2-CB-8 93934NAX3 CCC B/Watch Neg
3-A-7 93935BAJ9 CCC B/Watch Neg
3-M-2 93935BAL4 CC CCC
3-M-3 93935BAM2 CC CCC
3-M-4 93935BAN0 CC CCC
3-M-5 93935BAP5 CC CCC
3-M-6 93935BAQ3 CC CCC
3-B-1 93935BAR1 CC CCC
2-CB-9 93934NAY1 CCC B/Watch Neg
2-CB-P 93934NBD6 CCC B/Watch Neg
4-A-1 93934NAZ8 B- AA/Watch Neg
4-A-2 93934NBA2 CCC B/Watch Neg
C-X 93934NBB0 B AAA
C-P 93934NBC8 CCC B/Watch Neg
L-B-1 93934NBE4 CC CCC
L-B-2 93934NBF1 CC CCC
3-A-1A 93935BAA8 A A/Watch Neg
3-A-1B 93935BAB6 A A/Watch Neg
3-A-2 93935BAC4 BB BB/Watch Neg
3-A-3 93935BAD2 CCC B/Watch Neg
3-A-4A 93935BAE0 CCC B/Watch Neg
3-A-4B 93935BAF7 CCC B/Watch Neg
3-A-5 93935BAG5 CCC B/Watch Neg
3-A-6 93935BAH3 CCC B+/Watch Neg
Ratings Remaining On Creditwatch Negative
CSMC Mortgage-Backed Trust 2007-3
Series 2007-3
Class CUSIP Rating
1-A-4 12638PAG4 AAA/Watch Neg
1-A-5 12638PAH2 AAA/Watch Neg
Ratings Affirmed
CSMC Mortgage-Backed Trust 2006-3
Series 2006-3
Class CUSIP Rating
----- ------ ------
PP 225470V91 AAA
2-A-9 225470N82 AAA
A-X 225470R54 AAA
C-B-2 225470S46 CCC
CSMC Mortgage-Backed Trust 2007-3
Series 2007-3
Class CUSIP Rating
----- ----- ------
1-P 12638PCU1 AAA
2-A-4 12638PAW9 AAA
2-A-12 12638PBE8 AAA
4-A-3 12638PBS7 AAA
4-A-4 12638PBT5 AAA
Washington Mutual Mortgage Pass-Through Certificates WMALT
Series 2006-5 Trust
Series 2006-5
Class CUSIP Rating
----- ----- ------
3-PPP 93935BAU4 AAA
3-M-1 93935BAK6 CCC
C-PPP 93934NBN4 AAA
* S&P Downgrades Ratings on 166 Classes from 72 Risk Transfer RMBS
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 166
classes from 72 U.S. synthetic risk transfer residential mortgage-
backed securities deals issued by RESI Finance Ltd. Partnership,
RESIX Finance Ltd., WASI Finance Ltd. Partnership, and Smart Home
Reinsurance Ltd., which are predominantly used for risk-transfer
securitizations. S&P placed three of the lowered ratings on
CreditWatch with negative implications. Additionally, S&P raised
its ratings on seven classes from RESIX Finance Ltd. Lastly, S&P
affirmed its ratings on 101 classes.
Some of the downgrades are based on S&P's view that cumulative
losses will increase due to the general rise in delinquencies in
the pools observed from prior remittance periods. Other
downgrades and CreditWatch negative placements are a result of the
dependency on S&P's financial strength rating on the applicable
entity that has obligations to provide contractual interest
payments to security holders.
The upgrades from RESIX Finance Ltd. are dependent on related
ratings on the parent trusts that Standard & Poor's has previously
upgraded.
The affirmations reflect S&P's belief that the credit support
available for the related classes is sufficient based on S&P's
projected losses for the affected deals.
S&P's analysis is based on several factors including S&P's
projected losses based on the performance and seasoning of the
mortgage pools, the change in delinquencies over time, and the
rating on the applicable party responsible for making certain
interest payments
The collateral is predominantly made up of prime loans and also
includes subprime loans and home equity lines of credit. S&P will
continue to evaluate the ratings on these transactions and adjust
ratings as S&P deem appropriate.
Ratings Lowered
RESI Finance Limited Partnership 2003-A
Series 2003-A
Rating
------
Class CUSIP To From
----- ----- -- ----
B8 74951PAT5 A+ AAA
B9 74951PAU2 A+ AA+
B10 74951PAV0 A+ AA-
RESI Finance Limited Partnership 2003-B
Series 2003-B
Rating
------
Class CUSIP To From
----- ----- -- ----
B4 74951PAZ1 A+ AAA
B5 74951PBA5 A+ AA+
B6 74951PBB3 A+ AA
B7 74951PBC1 A+ AA-
RESI Finance Limited Partnership 2003-CB1
Series 2003-CB1
Rating
------
Class CUSIP To From
----- ----- -- ----
B3 74951PBH0 A+ AA-
RESI Finance Limited Partnership 2004-C
Series 2004-C
Rating
------
Class CUSIP To From
----- ----- -- ----
B11 74951PDP0 CCC B-
RESI Finance Limited Partnership 2005-A
Series 2005-A
Rating
------
Class CUSIP To From
----- ----- -- ----
B7 74951PDU9 B BB
B8 74951PDV7 B- BB-
B9 74951PDW5 CCC B+
B10 74951PDX3 CCC B
B11 74951PDY1 CCC B-
RESI Finance Limited Partnership 2005-B
Series 2005-B
Rating
------
Class CUSIP To From
----- ----- -- ----
B3 74951PDZ8 A+ AA-
B4 74951PEA2 A A+
B5 74951PEB0 BB BBB+
B6 74951PEC8 B+ BBB
B7 74951PED6 CCC BB
B8 74951PEE4 CCC BB-
B9 74951PEF1 CCC B+
B10 74951PEG9 CCC B
B11 74951PEH7 CCC B
RESI Finance Limited Partnership 2005-C
Series 2005-C
Rating
------
Class CUSIP To From
----- ----- -- ----
B3 76113GAA6 BBB+ A
B4 76113GAB4 BB+ A-
B5 76113GAC2 B BBB
B6 76113GAD0 B- BBB-
B7 76113GAE8 CCC BB
B8 76113GAF5 CCC BB-
B9 76113GAG3 CCC B+
B10 76113GAH1 CCC B
B11 76113GAJ7 CCC B-
RESI Finance Limited Partnership 2005-D
Series 2005-D
Rating
------
Class CUSIP To From
----- ----- -- ----
B3 74951PEJ3 B A
B4 74951PEK0 B- A-
B5 74951PEL8 CCC BBB
B6 74951PEM6 CCC BBB-
B7 74951PEN4 CCC BB
B8 74951PEP9 CCC BB-
B9 74951PEQ7 CCC B+
B10 74951PER5 CCC B
B11 74951PES3 CC B-
RESI Finance Limited Partnership 2006-A
Series 2006-A
Rating
------
Class CUSIP To From
----- ----- -- ----
B3 NOTES 76113DAA3 BB A
B4 NOTES 76113DAB1 B A-
B5 NOTES 76113DAC9 CCC BBB
B6 NOTES 76113DAD7 CCC BBB-
B7 NOTES 76113DAE5 CCC BB
B8 NOTES 76113DAF2 CCC BB-
B9 CERTS 76113DAG0 CCC B+
B10 CERTS 76113DAH8 CC B
B11 CERTS 76113DAJ4 CC B-
RESI Finance Limited Partnership 2006-B
Series 2006-B
Rating
------
Class CUSIP To From
----- ----- -- ----
B3 Notes 76113RAA2 CCC A
B4 Notes 76113RAB0 CCC A-
B5 Notes 76113RAC8 CCC BBB
B6 Notes 76113RAD6 CCC BBB-
B7 Notes 76113RAE4 CCC BB
B8 Notes 76113RAF1 CCC BB-
B9 Cert 76113RAG9 CCC B+
B10 Cert 76113RAH7 CC B
B11 Cert 76113RAJ3 CC B-
RESI Finance Limited Partnership 2006-C
Series 2006-C
Rating
------
Class CUSIP To From
----- ----- -- ----
B3 76113VAA3 CCC A
B4 76113VAB1 CCC A-
B5 76113VAC9 CCC BBB
B6 76113VAD7 CCC BBB-
B7 76113VAE5 CCC BB+
B8 76113VAF2 CCC BB
B9 76113VAG0 CCC BB-
B10 76113VAH8 CCC B+
B11 76113VAJ4 CC B
B12 76113VAK1 CC B-
RESI Finance Limited Partnership 2007-A
Series 2007-A
Rating
------
Class CUSIP To From
----- ----- -- ----
B3 74951RAA2 CCC A-
B4 74951RAB0 CCC BBB+
B5 74951RAC8 CCC BBB
B6 74951RAD6 CCC BBB-
B7 74951RAE4 CCC BB+
B8 74951RAF1 CCC BB
B9 74951RAG9 CCC BB-
B10 74951RAH7 CC B+
B11 74951RAJ3 CC B
B12 74951RAK0 CC B-
RESI Finance Limited Partnership 2007-B
Series 2007-B
Rating
------
Class CUSIP To From
----- ----- -- ----
B3 74951QAA4 CCC A-
B4 74951QAB2 CCC BBB+
B5 74951QAC0 CCC BBB
B6 74951QAD8 CCC BBB-
B7 74951QAE6 CCC BB+
B8 74951QAF3 CCC BB
B9 74951QAG1 CCC BB-
B10 74951QAH9 CCC B+
B11 74951QAJ5 CC B
B12 74951QAK2 CC B-
RESI Finance Limited Partnership 2007-C
Series 2007-C
Rating
------
Class CUSIP To From
----- ----- -- ----
B6 74951TAA8 CCC BBB-
B7 74951TAB6 CCC BB+
B8 74951TAC4 CCC BB
B9 74951TAD2 CCC BB-
B10 74951TAE0 CCC B+
B11 74951TAF7 CCC B
B12 74951TAG5 CC B-
RESIX Finance Limited
Series 2003-A B9
Rating
------
Class CUSIP To From
----- ----- -- ----
B9 76116LAW4 A+ AA-
RESIX Finance Limited
Series 2004-C B11
Rating
------
Class CUSIP To From
----- ----- -- ----
B11 76116LBV5 CCC B-
RESIX Finance Limited
Series 2005-A-B7
Rating
------
Class CUSIP To From
----- ----- -- ----
B7 76116LBW3 B BB
RESIX Finance Limited
Series 2005-A-B8
Rating
------
Class CUSIP To From
----- ----- -- ----
B8 76116LBX1 B- BB-
RESIX Finance Limited
Series 2005-A-B9
Rating
------
Class CUSIP To From
----- ----- -- ----
B9 76116LBY9 CCC B+
RESIX Finance Limited
Series 2005-A-B10
Rating
------
Class CUSIP To From
----- ----- -- ----
B10 76116LBZ6 CCC B
RESIX Finance Limited
Series 2005-A-B11
Rating
------
Class CUSIP To From
----- ----- -- ----
B11 76116LCA0 CCC B-
RESIX Finance Limited
Series 2005-B-B7
Rating
------
Class CUSIP To From
----- ----- -- ----
B7 76116LCB8 CCC BB
RESIX Finance Limited
Series 2005-B-B8
Rating
------
Class CUSIP To From
----- ----- -- ----
B8 76116LCC6 CCC BB-
RESIX Finance Limited
Series 2005-B-B9
Rating
------
Class CUSIP To From
----- ----- -- ----
B9 76116LCD4 CCC B+
RESIX Finance Limited
Series 2005-B-B11
Rating
------
Class CUSIP To From
----- ----- -- ----
B11 76116LCF9 CCC B
RESIX Finance Limited
Series 2005-B-B10
Rating
------
Class CUSIP To From
----- ----- -- ----
B10 76116LCE2 CCC B
RESIX Finance Limited
Series 2005-C-B7
Rating
------
Class CUSIP To From
----- ----- -- ----
B7 76116LCG7 CCC BB
RESIX Finance Limited
Series 2005-C-B8
Rating
------
Class CUSIP To From
----- ----- -- ----
B8 76116LCH5 CCC BB-
RESIX Finance Limited
Series 2005-C-B9
Rating
------
Class CUSIP To From
----- ----- -- ----
B9 76116LCJ1 CCC B+
RESIX Finance Limited
Series 2005-C-B10
Rating
------
Class CUSIP To From
----- ----- -- ----
B10 76116LCK8 CCC B
RESIX Finance Limited
Series 2005-C-B11
Rating
------
Class CUSIP To From
----- ----- -- ----
B11 76116LCL6 CCC B-
RESIX Finance Limited
Series 2005-D-B7
Rating
------
Class CUSIP To From
----- ----- -- ----
B7 76116LCM4 CCC BB
RESIX Finance Limited
Series 2005-D-B8
Rating
------
Class CUSIP To From
----- ----- -- ----
B8 76116LCN2 CCC BB-
RESIX Finance Limited
Series 2005-D-B9
Rating
------
Class CUSIP To From
----- ----- -- ----
B9 76116LCP7 CCC B+
RESIX Finance Limited
Series 2005-D-B10
Rating
------
Class CUSIP To From
----- ----- -- ----
B10 76116LCQ5 CCC B
RESIX Finance Limited
Series 2005-D-B11
Rating
------
Class CUSIP To From
----- ----- -- ----
B11 76116LCR3 CC B-
RESIX Finance Limited
Series 2006-A-B7
Rating
------
Class CUSIP To From
----- ----- -- ----
B7 Notes 76116LCS1 CCC BB
RESIX Finance Limited
Series 2006-A-B8
Rating
------
Class CUSIP To From
----- ----- -- ----
B8 Notes 76116LCT9 CCC BB-
RESIX Finance Limited
Series 2006-A-B9
Rating
------
Class CUSIP To From
----- ----- -- ----
B9 Notes 76116LCU6 CCC B+
RESIX Finance Limited
Series 2006-A-B10
Rating
------
Class CUSIP To From
----- ----- -- ----
B10 Notes 76116LCV4 CC B
RESIX Finance Limited
Series 2006-A-B11
Rating
------
Class CUSIP To From
----- ----- -- ----
B11 Notes 76116LCW2 CC B-
RESIX Finance Limited
Series 2006-B-B7
Rating
------
Class CUSIP To From
----- ----- -- ----
B7 76116LDD3 CCC BB
RESIX Finance Limited
Series 2006-B-B8
Rating
------
Class CUSIP To From
----- ----- -- ----
B8 76116LDE1 CCC BB-
RESIX Finance Limited
Series 2006-B-B9
Rating
------
Class CUSIP To From
----- ----- -- ----
B9 76116LDF8 CCC B+
RESIX Finance Limited
Series 2006-B-B10
Rating
------
Class CUSIP To From
----- ----- -- ----
B10 76116LDG6 CC B
RESIX Finance Limited
Series 2006-B-B11
Rating
------
Class CUSIP To From
----- ----- -- ----
B11 76116LDH4 CC B-
RESIX Finance Limited
Series 2006-C B7
Rating
------
Class CUSIP To From
----- ----- -- ----
B7 76116LDJ0 CCC BB+
RESIX Finance Limited
Series 2006-C B8
Rating
------
Class CUSIP To From
----- ----- -- ----
B8 76116LDK7 CCC BB
RESIX Finance Limited
Series 2006-C B9
Rating
------
Class CUSIP To From
----- ----- -- ----
B9 76116LDL5 CCC BB-
RESIX Finance Limited
Series 2006-C B10
Rating
------
Class CUSIP To From
----- ----- -- ----
B10 76116LDM3 CCC B+
RESIX Finance Limited
Series 2006-C B11
Rating
------
Class CUSIP To From
----- ----- -- ----
B11 76116LDN1 CC B
RESIX Finance Limited
Series 2006-C B12
Rating
------
Class CUSIP To From
----- ----- -- ----
B12 76116LDP6 CC B-
RESIX Finance Limited
Series 2007-A-B7
Rating
------
Class CUSIP To From
----- ----- -- ----
B-7 76116LDQ4 CCC BB+
RESIX Finance Limited
Series 2007-A-B8
Rating
------
Class CUSIP To From
----- ----- -- ----
B-8 76116LDR2 CCC BB
RESIX Finance Limited
Series 2007-A-B9
Rating
------
Class CUSIP To From
----- ----- -- ----
B-9 76116LDS0 CCC BB-
RESIX Finance Limited
Series 2007-A-B10
Rating
------
Class CUSIP To From
----- ----- -- ----
B-10 76116LDT8 CC B+
RESIX Finance Limited
Series 2007-A-B11
Rating
------
Class CUSIP To From
----- ----- -- ----
B-11 76116LDU5 CC B
RESIX Finance Limited
Series 2007-A-B12
Rating
------
Class CUSIP To From
----- ----- -- ----
B-12 76116LDV3 CC B-
RESIX Finance Limited
Series 2007-B-B7
Rating
------
Class CUSIP To From
----- ----- -- ----
B7 76116LDW1 CCC BB+
RESIX Finance Limited
Series 2007-B-B8
Rating
------
Class CUSIP To From
----- ----- -- ----
B8 76116LDX9 CCC BB
RESIX Finance Limited
Series 2007-B-B9
Rating
------
Class CUSIP To From
----- ----- -- ----
B9 76116LDY7 CCC BB-
RESIX Finance Limited
Series 2007-B-B10
Rating
------
Class CUSIP To From
----- ----- -- ----
B10 76116LDZ4 CCC B+
RESIX Finance Limited
Series 2007-B-B11
Rating
------
Class CUSIP To From
----- ----- -- ----
B11 76116LEA8 CC B
RESIX Finance Limited
Series 2007-B-B12
Rating
------
Class CUSIP To From
----- ----- -- ----
B12 76116LEB6 CC B-
RESIX Finance Limited
Series 2007-C-B7
Rating
------
Class CUSIP To From
----- ----- -- ----
B7 76116LEC4 CCC BB+
RESIX Finance Limited
Series 2007-C-B8
Rating
------
Class CUSIP To From
----- ----- -- ----
B8 76116LED2 CCC BB
RESIX Finance Limited
Series 2007-C-B9
Rating
------
Class CUSIP To From
----- ----- -- ----
B9 76116LEE0 CCC BB-
RESIX Finance Limited
Series 2007-C-B10
Rating
------
Class CUSIP To From
----- ----- -- ----
B10 76116LEF7 CCC B+
RESIX Finance Limited
Series 2007-C-B11
Rating
------
Class CUSIP To From
----- ----- -- ----
B11 76116LEG5 CCC B
RESIX Finance Limited
Series 2007-C-B12
Rating
------
Class CUSIP To From
----- ----- -- ----
B12 76116LEH3 CC B-
HOME Reinsurance 2006-1 Limited
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-5 83170GAG9 B A
M-6 83170GAJ3 CCC A-
M-7 83170GAL8 CCC BBB+
M-8 83170GAN4 CCC BBB
M-9 83170GAQ7 CC BBB-
B-1 83170GAS3 CC BB+
WASI Finance Limited Partnership 2006-HES1
Series 2006-HES1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-5 941034AB6 CCC BBB+
M-6 941034AC4 CCC BBB
B-1-A 941034AD2 CCC BBB-
B-1-B 941034AE0 CCC BBB-
Ratings Lowered And Placed On Creditwatch Negative
SMART HOME Reinsurance 2006-1 Limited
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 83170GAA2 BB/Watch Neg AA
M-3 83170GAC8 BB/Watch Neg AA
M-4 83170GAE4 BB/Watch Neg A+
Ratings Raised
RESIX Finance Limited
Series 2003-A B11
Rating
------
Class CUSIP To From
----- ----- -- ----
B11 76116LAC8 A- BB+
RESIX Finance Limited
Series 2003-A B10
Rating
------
Class CUSIP To From
----- ----- -- ----
B10 76116LAB0 A+ A-
RESIX Finance Limited
Series 2003-B B9
Rating
------
Class CUSIP To From
----- ----- -- ----
B9 76116LAD6 BBB+ BB
RESIX Finance Limited
Series 2003-B B10
Rating
------
Class CUSIP To From
----- ----- -- ----
B10 76116LAE4 BBB BB-
RESIX Finance Limited
Series 2003-B B11
Rating
------
Class CUSIP To From
----- ----- -- ----
B11 76116LAF1 BB B-
RESIX Finance Limited
Series 2003-B B7
Rating
------
Class CUSIP To From
----- ----- -- ----
B7 76116LAY0 A+ BBB
RESIX Finance Limited
Series 2003-A B10S
Rating
------
Class CUSIP To From
----- ----- -- ----
B10-S 76116LAX2 A+ A-
Ratings Affirmed
RESI Finance Limited Partnership 2003-A
Series 2003-A
Class CUSIP Rating
----- ----- ------
B11 74951PAW8 A-
RESI Finance Limited Partnership 2003-B
Series 2003-B
Class CUSIP Rating
----- ----- ------
B8 74951PBD9 A+
B9 74951PBE7 BBB+
B10 74951PBF4 BBB
B11 74951PBG2 BB
RESI Finance Limited Partnership 2003-C
Series 2003-C
Class CUSIP Rating
----- ----- ------
B3 74951PBT4 A
B-4 74951PBU1 A-
B5 74951PBV9 BBB
B6 74951PBW7 BBB-
B7 74951PBX5 BB
B8 74951PBY3 BB-
B9 74951PBZ0 B+
B10 74951PCA4 B
B11 74951PCB2 B-
RESI Finance Limited Partnership 2003-CB1
Series 2003-CB1
Class CUSIP Rating
----- ----- ------
B4 74951PBJ6 A+
B5 74951PBK3 A
B6 74951PBL1 A-
B7 74951PBM9 BBB-
B8 74951PBN7 BB+
B9 74951PBP2 BB-
B10 74951PBQ0 B+
B11 74951PBR8 B
RESI Finance Limited Partnership 2003-D
Series 2003-D
Class CUSIP Rating
----- ----- ------
B3 74951PCC0 A
B4 74951PCD8 A-
B5 74951PCE6 BBB
B6 74951PCF3 BBB-
B7 74951PCG1 BB
B8 74951PCH9 BB-
B9 74951PCJ5 B+
B10 74951PCK2 B+
B11 74951PCL0 B
RESI Finance Limited Partnership 2004-A
Series 2004-A
Class CUSIP Rating
----- ----- ------
B3 74951PCM8 A+
B4 74951PCN6 A
B5 74951PCP1 BBB
B6 74951PCQ9 BBB-
B7 74951PCR7 BB
B8 74951PCS5 BB-
B9 74951PCT3 B+
B10 74951PCU0 B
B11 74951PCV8 B-
RESI Finance Limited Partnership 2004-B
Series 2004-B
Class CUSIP Rating
----- ----- ------
B3 74951PCW6 A
B4 74951PCX4 A-
B5 74951PCY2 BBB
B6 74951PCZ9 BBB-
B7 74951PDA3 BB+
B8 74951PDB1 BB
B9 74951PDC9 BB-
B10 74951PDD7 B+
B11 74951PDE5 B
RESI Finance Limited Partnership 2004-C
Series 2004-C
Class CUSIP Rating
----- ----- ------
B3 74951PDF2 A
B4 74951PDG0 A-
B5 74951PDH8 BBB
B6 74951PDJ4 BBB-
B7 74951PDK1 BB
B8 74951PDL9 BB-
B9 74951PDM7 B+
B10 74951PDN5 B
RESI Finance Limited Partnership 2005-A
Series 2005-A
Class CUSIP Rating
----- ----- ------
B3 74951PDQ8 A
B4 74951PDR6 A-
B5 74951PDS4 BBB-
B6 74951PDT2 BB+
RESIX Finance Limited
Series 2003-C B9
Class CUSIP Rating
----- ----- ------
B9 76116LAQ7 B+
RESIX Finance Limited
Series 2003-C B10
Class CUSIP Rating
----- ----- ------
B10 76116LAR5 B
RESIX Finance Limited
Series 2003-C B11
Class CUSIP Rating
----- ----- ------
B11 76116LAS3 B-
RESIX Finance Limited
Series 2003-C B7
Class CUSIP Rating
----- ----- ------
B7 76116LAN4 BB
RESIX Finance Limited
Series 2003-C B8
Class CUSIP Rating
----- ----- ------
B8 76116LAP9 BB-
RESIX Finance Limited
Series 2003-CB1 B7
Class CUSIP Rating
----- ----- ------
B7 76116LAG9 BBB-
RESIX Finance Limited
Series 2003-CB1 B8
Class CUSIP Rating
----- ----- ------
B8 76116LAH7 BB+
RESIX Finance Limited
Series 2003-CB1 B9
Class CUSIP Rating
----- ----- ------
B9 76116LAJ3 BB-
RESIX Finance Limited
Series 2003-CB1 B10
Class CUSIP Rating
----- ----- ------
B10 76116LAK0 B+
RESIX Finance Limited
Series 2003-CB1 B11
Class CUSIP Rating
----- ----- ------
B11 76116LAL8 B
RESIX Finance Limited
Series 2003-D B11
Class CUSIP Rating
----- ----- ------
B11 76116LBD5 B
RESIX Finance Limited
Series 2003-D B10
Class CUSIP Rating
----- ----- ------
B10 76116LBC7 B+
RESIX Finance Limited
Series 2003-D B9
Class CUSIP Rating
----- ----- ------
B9 76116LBB9 B+
RESIX Finance Limited
Series 2003-D B8
Class CUSIP Rating
----- ----- ------
B8 76116LBA1 BB-
RESIX Finance Limited
Series 2003-D B7
Class CUSIP Rating
----- ----- ------
B7 76116LAZ7 BB
RESIX Finance Limited
Series 2004-A B11
Class CUSIP Rating
----- ----- ------
B11 76116LBK9 B-
RESIX Finance Limited
Series 2004-A B10
Class CUSIP Rating
----- ----- ------
B10 76116LBJ2 B
RESIX Finance Limited
Series 2004-A B9
Class CUSIP Rating
----- ----- ------
B9 76116LBH6 B+
RESIX Finance Limited
Series 2004-A B8
Class CUSIP Rating
----- ----- ------
B8 76116LBG8 BB-
RESIX Finance Limited
Series 2004-A B7
Class CUSIP Rating
----- ----- ------
B7 76116LBF0 BB
RESIX Finance Limited
Series 2004-B B7
Class CUSIP Rating
----- ----- ------
B7 76116LBL7 BB+
RESIX Finance Limited
Series 2004-B B8
Class CUSIP Rating
----- ----- ------
B8 76116LBM5 BB
RESIX Finance Limited
Series 2004-B B9
Class CUSIP Rating
----- ----- ------
B9 76116LBN3 BB-
RESIX Finance Limited
Series 2004-B B10
Class CUSIP Rating
----- ----- ------
B10 76116LBP8 B+
RESIX Finance Limited
Series 2004-B B11
Class CUSIP Rating
----- ----- ------
B11 76116LBQ6 B
RESIX Finance Limited
Series 2004-C B10
Class CUSIP Rating
----- ----- ------
B10 76116LBU7 B
RESIX Finance Limited
Series 2004-C B9
Class CUSIP Rating
----- ----- ------
B9 76116LBT0 B+
RESIX Finance Limited
Series 2004-C B8
Class CUSIP Rating
----- ----- ------
B8 76116LBS2 BB-
RESIX Finance Limited
Series 2004-C B7
Class CUSIP Rating
----- ----- ------
B7 76116LBR4 BB
SMART HOME Reinsurance 2004-1 Limited
Series 2004-1
Class CUSIP Rating
----- ----- ------
M-1 83168LAA5 AA
M-2 83168LAB3 A
Smart Home Reinsurance 2005-1 Limited
Series 2005-1
Class CUSIP Rating
----- ----- ------
M-1 83169RAA1 AA+
M-2 83169RAB9 AA
M-3 83169RAC7 AA-
M-4 83169RAD5 A+
M-5 83169RAE3 A
M-6 83169RAF0 A-
M-7 83169RAG8 BBB+
M-8 83169RAH6 BBB
M-9 83169RAJ2 BBB-
* S&P Downgrades Ratings on 174 Classes from 10 RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 174
classes from 10 residential mortgage-backed securities
transactions backed by U.S. subprime and Alternative-A mortgage
loan collateral from 2006 and 2007. S&P removed 135 of the
lowered ratings from CreditWatch with negative implications. In
addition, S&P affirmed 12 ratings from these transactions and
removed seven of them from CreditWatch negative.
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is insufficient
to cover losses at the previous rating levels. Although
cumulative losses were generally low in comparison to S&P's
projected lifetime losses for the transactions reviewed, S&P is
projecting an increase in losses due to increases in delinquencies
and the current negative condition of the housing market. Certain
senior classes also benefit from senior support classes that would
provide support, to a certain extent, before any applicable losses
could affect the super-senior certificates.
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover losses associated with these rating levels.
The downgrades, affirmations, and CreditWatch resolutions
incorporate S&P's current and projected losses based on the dollar
amounts of loans currently in the transactions' delinquency,
foreclosure, and real estate owned pipelines, as well as S&P's
projection of future defaults. S&P also incorporated cumulative
losses to date in S&P's analysis when determining rating outcomes.
To maintain a 'AAA' rating, S&P considers whether a bond is able
to withstand approximately 1.5% of its base-case loss assumptions,
subject to individual caps and qualitative factors assumed on
specific transactions. For a class for which we've affirmed a 'B'
rating, S&P considers whether a bond is able to withstand S&P's
base-case loss assumptions. Other rating categories are
dispersed, approximately equally, between these two loss
assumptions. For example, to maintain a 'BB' rating on one class,
S&P may consider whether the class is able to withstand
approximately 1.1% of S&P's base-case loss assumptions, while, in
connection with a different class, S&P may consider whether it is
able to withstand approximately 1.2% of S&P's base-case loss
assumptions to maintain a 'BBB' rating.
The subordination from the more-junior classes within each
structure provides credit support for the affected transactions.
The collateral backing these deals originally consisted
predominantly of Alt-A first-lien, fixed-rate, adjustable-rate, or
negative-amortization residential mortgage loans secured by one-
to four-family properties.
S&P monitors these transactions to incorporate updated losses and
delinquency pipeline performance to assess whether S&P believes
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P think
appropriate.
Rating Actions
Alternative Loan Trust 2007-7T2
Series 2007-7T2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 02147BAA3 B AAA/Watch Neg
A-2 02147BAB1 CCC B/Watch Neg
A-3 02147BAC9 B AAA/Watch Neg
A-4 02147BAD7 B AAA
A-5 02147BAE5 CCC B/Watch Neg
A-6 02147BAF2 CCC B/Watch Neg
A-7 02147BAG0 CCC B
A-8 02147BAH8 CCC B+/Watch Neg
A-9 02147BAJ4 CCC B/Watch Neg
A-11 02147BAL9 CCC B/Watch Neg
A-12 02147BAM7 CCC B/Watch Neg
A-13 02147BAN5 CCC B/Watch Neg
A-14 02147BAP0 CCC B/Watch Neg
A-15 02147BAQ8 CCC B/Watch Neg
A-16 02147BAR6 CCC B
A-17 02147BAS4 CCC B/Watch Neg
A-18 02147BAT2 CCC B/Watch Neg
A-19 02147BAU9 CCC B/Watch Neg
A-20 02147BAV7 CCC B
A-21 02147BAW5 CCC B+/Watch Neg
A-22 02147BAX3 CCC B+/Watch Neg
A-23 02147BAY1 CCC B+/Watch Neg
A-24 02147BAZ8 CCC B+/Watch Neg
A-25 02147BBA2 CCC B+/Watch Neg
A-26 02147BBB0 CCC B+
A-27 02147BBC8 CCC B/Watch Neg
A-28 02147BBD6 CCC B/Watch Neg
A-29 02147BBE4 CCC B/Watch Neg
A-30 02147BBF1 CCC B
A-31 02147BBG9 CCC B/Watch Neg
A-32 02147BBH7 CCC B/Watch Neg
X 02147BBJ3 B AAA
PO 02147BBK0 CCC B/Watch Neg
M 02147BBM6 CC CCC
B-1 02147BBN4 CC CCC
B-2 02147BBP9 CC CCC
Bear Stearns ALT-A Trust 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 07386XAA4 CCC B+/Watch Neg
I-A-2 07386XAB2 CC B/Watch Neg
I-M-1 07386XAC0 CC CCC
II-1A-1 07386XAH9 B AAA/Watch Neg
II-1A-2 07386XAJ5 CCC B/Watch Neg
II-1X-1 07386XAK2 B AAA
II-2A-1 07386XAL0 B AAA/Watch Neg
II-2A-2 07386XAM8 CCC B/Watch Neg
II-2X-1 07386XAN6 B AAA
II-B-1 07386XAZ9 CC CCC
II-BX-1 07386XBA3 CC CCC
II-B-2 07386XAP1 CC CCC
II-B-3 07386XAQ9 CC CCC
Bear Stearns ARM Trust 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 073880AA4 B AA/Watch Neg
I-A-2 073880AC0 CCC B/Watch Neg
I-X-1 073880AB2 B AA
II-A-1 073880AD8 B AA/Watch Neg
II-A-2 073880AF3 CCC B/Watch Neg
II-X-1 073880AE6 B AA
III-A-1 073880AG1 B AA/Watch Neg
III-A-2 073880AJ5 CCC B/Watch Neg
III-X-1 073880AH9 B AA
IV-A-1 073880AK2 CCC B/Watch Neg
IV-X-1 073880AL0 CCC B
V-A-1 073880AM8 B AA/Watch Neg
V-A-2 073880AP1 CCC B/Watch Neg
V-X-1 073880AN6 B AA
ChaseFlex Trust Series 2006-2
Series 2006-2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1-A 16165MAA6 AAA AAA/Watch Neg
A-1-B 16165MAB4 AAA AAA/Watch Neg
A-2-A 16165MAC2 AAA AAA/Watch Neg
A-2-B 16165MAD0 A AAA/Watch Neg
A-3 16165MAE8 A AAA/Watch Neg
A-4 16165MAF5 A AAA/Watch Neg
A-5 16165MAG3 A AAA/Watch Neg
A-6 16165MAH1 B AAA/Watch Neg
M-1 16165MAK4 CCC BBB-/Watch Neg
M-2 16165MAL2 CC B-/Watch Neg
B-1 16165MAM0 CC CCC
B-2 16165MAN8 CC CCC
HomeBanc Mortgage Trust 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-1A-1 43741BAA7 BB AAA/Watch Neg
I-1A-2 43741BAB5 CCC B/Watch Neg
I-1X 43741BAK5 BB AAA
I-2A-1 43741BAC3 B- AA/Watch Neg
I-2A-2 43741BAD1 CCC B/Watch Neg
I-2X 43741BAL3 B- AA
I-3A-1 43741BAE9 B- AA/Watch Neg
I-3A-2 43741BAF6 CCC B/Watch Neg
I-3X 43741BAM1 B- AA
I-B-2 43741BAH2 CC CCC
I-B-3 43741BAJ8 CC CCC
I-B-4 43741BAT6 D CC
Nomura Asset Acceptance Corporation Alternative Loan Trust
Series 2006-AP1
Series 2006 AP1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 65535VSH2 AAA AAA/Watch Neg
A-2 65535VSJ8 CCC B-/Watch Neg
A-3 65535VSK5 CCC B-/Watch Neg
A-4 65535VSL3 CCC B-/Watch Neg
A-5 65535VSM1 CCC B-/Watch Neg
PHH Alternative Mortgage Trust, Series 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A1 69337BAA2 BBB AAA/Watch Neg
I-A-2 69337BAB0 BBB AAA/Watch Neg
I-A-3 69337BAC8 B AAA/Watch Neg
I-M-1 69337BAD6 CCC AA/Watch Neg
I-M-2 69337BAE4 CCC BBB/Watch Neg
I-M-3 69337BAF1 CC CCC
II-1A 69337BAH7 B AAA/Watch Neg
II-2A1 69337BAJ3 BBB AAA/Watch Neg
II-2A2 69337BAY0 B AAA/Watch Neg
II-1AX 69337BAK0 B AAA
II-2AX 69337BAL8 BBB AAA
II-1PO 69337BAM6 B AAA/Watch Neg
II-2PO 69337BAN4 B AAA/Watch Neg
II-B-1 69337BAP9 CCC AA/Watch Neg
II-B-2 69337BAQ7 CCC B/Watch Neg
II-B-4 69337BAS3 CC CCC
RALI Series 2006-QS13 Trust
Series 2006-QS13
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 75115DAA3 CCC B/Watch Neg
I-A-3 75115DAC9 BB AAA/Watch Neg
I-A-2 75115DAB1 CCC AAA
I-A-4 75115DAD7 CCC B/Watch Neg
I-A-5 75115DAE5 CCC B/Watch Neg
I-A-6 75115DAF2 CCC B/Watch Neg
I-A-7 75115DAG0 CCC B/Watch Neg
I-A-8 75115DAH8 BB+ AAA/Watch Neg
I-A-9 75115DAJ4 CCC B/Watch Neg
I-A-10 75115DAK1 CCC B/Watch Neg
I-A-11 75115DAL9 CCC B/Watch Neg
I-A-P 75115DAN5 CCC B/Watch Neg
I-A-V 75115DAP0 BB+ AAA
II-A-1 75115DAM7 CCC BBB/Watch Neg
II-A-P 75115DBD6 CCC BBB/Watch Neg
II-A-V 75115DBE4 CCC BBB
RALI Series 2007-QS9 Trust
Series 2007-QS9
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 75116FAA7 B AAA/Watch Neg
A-2 75116FAB5 B AAA/Watch Neg
A-3 75116FAC3 B AAA/Watch Neg
A-4 75116FAD1 B AAA/Watch Neg
A-5 75116FAE9 B AAA/Watch Neg
A-6 75116FAF6 B AAA/Watch Neg
A-7 75116FAG4 B AAA/Watch Neg
A-8 75116FAH2 B AAA/Watch Neg
A-9 75116FAJ8 B AAA/Watch Neg
A-10 75116FAK5 B AAA/Watch Neg
A-11 75116FAL3 B AAA/Watch Neg
A-12 75116FAM1 B AAA/Watch Neg
A-13 75116FAN9 B AAA/Watch Neg
A-14 75116FAP4 B AAA/Watch Neg
A-15 75116FAQ2 B AAA/Watch Neg
A-16 75116FAR0 B AAA/Watch Neg
A-17 75116FAS8 CCC AAA/Watch Neg
A-18 75116FAT6 B AAA/Watch Neg
A-19 75116FAU3 B AAA/Watch Neg
A-20 75116FAV1 B AAA/Watch Neg
A-21 75116FAW9 B AAA/Watch Neg
A-22 75116FBU2 B AAA/Watch Neg
A-23 75116FAX7 B AAA/Watch Neg
A-24 75116FAY5 B AAA/Watch Neg
A-25 75116FAZ2 B AAA/Watch Neg
A-26 75116FBA6 B AAA/Watch Neg
A-27 75116FBB4 B AAA/Watch Neg
A-28 75116FBC2 B AAA/Watch Neg
A-29 75116FBD0 B AAA/Watch Neg
A-30 75116FBE8 B AAA/Watch Neg
A-31 75116FBF5 B AAA/Watch Neg
A-32 75116FBG3 B AAA/Watch Neg
A-33 75116FBH1 B AAA/Watch Neg
A-P 75116FBJ7 CCC AAA/Watch Neg
A-V 75116FBK4 B AAA/Watch Neg
P 75116FBV0 AAA AAA/Watch Neg
Washington Mutual Mortgage Pass-Through Certificates, WMALT
Series 2007-4 Trust
Series 2007-4
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 93936NAA1 B AAA/Watch Neg
1-A-2 93936NAB9 CCC A+/Watch Neg
1-A-3 93936NAC7 B AAA/Watch Neg
1-A-4 93936NAD5 CCC A+/Watch Neg
1-A-5 93936NAE3 AAA AAA/Watch Neg
1-A-6 93936NAF0 CCC A+/Watch Neg
1-A-7 93936NAG8 B AAA/Watch Neg
1-A-8 93936NAH6 B AAA/Watch Neg
1-A-9 93936NAJ2 B AAA/Watch Neg
1-A-10 93936NAK9 B AAA/Watch Neg
1-A-11 93936NAL7 B AAA/Watch Neg
1-A-12 93936NAM5 B AAA/Watch Neg
1-A-13 93936NAN3 CCC A+/Watch Neg
2-A-1 93936NAP8 AAA AAA/Watch Neg
2-A-2 93936NAQ6 B+ AAA/Watch Neg
2-A-3 93936NBC6 CCC A+/Watch Neg
2-A-4 93936NAR4 B+ AAA/Watch Neg
C-P 93936NAT0 CCC AAA/Watch Neg
B-1 93936NAU7 CC B/Watch Neg
B-2 93936NAV5 CC CCC
B-3 93936NAW3 D CC
Ratings Affirmed
HomeBanc Mortgage Trust 2007-1
Series 2007-1
Class CUSIP Rating
----- ----- ------
I-B-1 43741BAG4 CCC
Nomura Asset Acceptance Corporation Alternative Loan Trust Series
2006-AP1
Series 2006 AP1
Class CUSIP Rating
----- ----- ------
M-1 65535VSP4 CCC
PHH Alternative Mortgage Trust, Series 2007-1
Series 2007-1
Class CUSIP Rating
----- ----- ------
II-B-3 69337BAR5 CCC
Washington Mutual Mortgage Pass-Through Certificates, WMALT Series
2007-4 Trust
Series 2007-4
Class CUSIP Rating
----- ----- ------
C-X 93936NAS2 AAA
C-PPP 93936NAY9 AAA
* S&P Downgrades Ratings on 293 Classes from 14 Prime Jumbo RMBS
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 293
classes from 14 U.S. prime jumbo residential mortgage-backed
securities transactions issued in 1992-2007. S&P removed 267 of
the lowered ratings from CreditWatch with negative implications.
In addition, S&P affirmed its ratings on 50 classes from the same
transactions and removed 22 of the affirmed ratings from
CreditWatch negative. Two ratings remain on CreditWatch with
negative implications.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
expected ability to withstand additional credit deterioration. In
order to maintain a rating higher than 'B', S&P considered whether
a class absorbed losses in excess of the base-case assumptions S&P
made in S&P's analysis. For example, S&P assess whether a class
can withstand approximately 127% of S&P's base-case loss
assumptions in order to maintain a 'BB' rating, while S&P
considers whether a different class can withstand approximately
154% of S&P's base-case loss assumptions to maintain a 'BBB'
rating. An affirmed 'AAA' rating reflects S&P's opinion that the
class can withstand approximately 235% of S&P's base-case loss
assumptions.
The downgrades reflect S&P's opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings, given S&P's current projected losses.
S&P is currently assuming a 35% loss severity on prime jumbo
collateral originated in 2005 and a 40% loss severity on prime
jumbo collateral originated in 2006 and 2007.
As part of S&P's analysis, S&P considered the characteristics of
the underlying mortgage collateral as well as macroeconomic
influences. For example, the risk profile of the underlying
mortgage pools influences S&P's default projections, while its
outlook for housing price declines and the health of the housing
market influences S&P's loss severity assumptions. The
affirmations reflect S&P's belief that there is sufficient credit
enhancement to support the ratings at their current levels.
Certain senior classes also benefit from senior-support classes
that would provide support to a certain extent before any
applicable losses could affect the super-senior certificates. The
subordination of classes within each structure provides credit
support for the affected transactions.
The collateral for these deals consists of prime jumbo fixed- and
adjustable-rate mortgage loans secured by one- to four-family
residential properties.
S&P monitors these transactions to incorporate updated losses and
delinquency pipeline performance to assess whether S&P believes
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P deems
appropriate.
Rating Actions
Banc of America Funding 2006-B Trust
Series 2006-B
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 058928AA0 B A/Watch Neg
1-A-2 058928AB8 CCC BB/Watch Neg
2-A-1 058928AD4 B A/Watch Neg
2-A-2 058928AE2 CCC BB/Watch Neg
3-A-1 058928AF9 B A/Watch Neg
3-A-2 058928AG7 CCC BB/Watch Neg
4-A-1 058928AH5 B A/Watch Neg
4-A-2 058928AJ1 CCC BB/Watch Neg
5-A-1 058928AK8 CCC BB/Watch Neg
6-A-1 058928AL6 B A/Watch Neg
6-A-2 058928AM4 CCC BB/Watch Neg
7-A-1 058928AN2 BB AAA/Watch Neg
7-A-2 058928AP7 CCC BB/Watch Neg
B-1 058928AQ5 CC CCC
Bear Stearns ARM Trust 2007-4
Series 2007-4
Rating
------
Class CUSIP To From
----- ----- -- ----
I-1A-1 07401CAA1 BB AA/Watch Neg
I-1A-2 07401CAB9 CCC B/Watch Neg
I-1X-1 07401CAC7 BB AA
I-2A-1 07401CAD5 BB AA/Watch Neg
I-2A-2 07401CAE3 CCC B/Watch Neg
I-2X-1 07401CAF0 BB AA
I-B-2 07401CAM5 CC CCC
I-B-3 07401CAN3 CC CCC
II-1A-1 07401CAS2 B A/Watch Neg
II-1A-2 07401CAT0 CCC BB/Watch Neg
II-1X-1 07401CAU7 B A/Watch Neg
II-2A-1 07401CAV5 B A/Watch Neg
II-2A-2 07401CAW3 CCC BB/Watch Neg
II-2X-1 07401CAX1 B A/Watch Neg
Chase Mortgage Finance Trust Series 2006-S4
Series 2006-S4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 16162YAA3 A AAA/Watch Neg
A-2 16162YAB1 A AAA/Watch Neg
A-3 16162YAC9 A AAA/Watch Neg
A-4 16162YAD7 A AAA/Watch Neg
A-5 16162YAE5 A AAA/Watch Neg
A-6 16162YAF2 A AAA/Watch Neg
A-7 16162YAG0 A AAA/Watch Neg
A-8 16162YAH8 CCC A/Watch Neg
A-9 16162YAJ4 CCC A/Watch Neg
A-10 16162YAK1 CCC A/Watch Neg
A-11 16162YAL9 CCC A/Watch Neg
A-13 16162YAN5 CCC A/Watch Neg
A-14 16162YAP0 CCC A/Watch Neg
A-15 16162YAQ8 CCC A/Watch Neg
A-16 16162YAR6 A AAA/Watch Neg
A-17 16162YAS4 A AAA/Watch Neg
A-18 16162YAT2 A AAA/Watch Neg
A-19 16162YAU9 CCC A/Watch Neg
A-20 16162YAV7 CCC A/Watch Neg
A-21 16162YAW5 CCC A/Watch Neg
A-22 16162YAX3 CCC A/Watch Neg
A-23 16162YAY1 CCC A/Watch Neg
A-X 16162YAZ8 A AAA/Watch Neg
A-P 16162YBA2 CCC A/Watch Neg
A-M 16162YBC8 CCC BB/Watch Neg
CHL Mortgage Pass-Through Trust 2006-HYB3
Series 2006-HYB3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1A 1266943U0 B BB/Watch Neg
1-A-1B 1266943V8 B BB/Watch Neg
1-A-IO 1266943X4 B BB/Watch Neg
2-A-1A 1266943Y2 B BB/Watch Neg
2-A-B-1 1266943Z9 BB BB/Watch Neg
2-A-B-2 1266944A3 B BB/Watch Neg
2-A-B-3 1266944B1 B BB/Watch Neg
2-A-IO 1266944D7 BB BB/Watch Neg
3-A-1A 1266944E5 CCC BB/Watch Neg
3-A-1B 1266944F2 B BB/Watch Neg
3-A-IO 1266944H8 B BB/Watch Neg
4-A-1A 1266944J4 B BB/Watch Neg
4-A-1B 1266944K1 B BB/Watch Neg
4-A-1C 1266944L9 B BB/Watch Neg
4-A-IO 1266944N5 B BB/Watch Neg
M 1266944P0 CC CCC
B-2 1266944R6 D CC
Financial Asset Securitization, Inc.
Series 1997-NAMC2
Rating
------
Class CUSIP To From
----- ----- -- ----
FXS 31738VBP9 BB AAA
S 31738VBZ7 BB AAA
First Horizon Mortgage Pass-Through Trust 2007-2
Series 2007-2
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 320520AA7 B AAA/Watch Neg
I-A-2 320520AB5 B AAA/Watch Neg
I-A-3 320520AC3 B AAA/Watch Neg
I-A-4 320520AD1 B AAA/Watch Neg
I-A-6 320520AF6 B AAA/Watch Neg
I-A-7 320520AG4 B AAA/Watch Neg
I-A-PO 320520AH2 B AAA/Watch Neg
II-1 320520AK5 B AAA/Watch Neg
I-A-5 320520AE9 B AAA/Watch Neg
Greenwich Capital Acceptance Inc.
Series 1994-ARM5
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 396782CW2 B AAA
A-2 396782CX0 B AAA
B-1 396782CY8 B AAA
B-2 396782CZ5 B AAA
GSR Mortgage Loan Trust 2006-AR2
Series 2006-AR2
Rating
------
Class CUSIP To From
----- ----- -- ----
2A1 36297TAB8 AAA AAA/Watch Neg
2A2 36297TAC6 BBB BBB/Watch Neg
2A3 36297TAD4 B BBB/Watch Neg
3A1 36297TAE2 BBB AAA/Watch Neg
3A2 36297TAF9 B BBB/Watch Neg
4A1 36297TAG7 BBB AAA/Watch Neg
4A2 36297TAH5 B BBB/Watch Neg
5A1 36297TAJ1 BBB AAA/Watch Neg
5A2 36297TAK8 B BBB/Watch Neg
1B1 36297TAM4 AA AA/Watch Neg
2B1 36297TAQ5 CCC B/Watch Neg
1B2 36297TAN2 BBB BBB/Watch Neg
2B2 36297TAR3 CC CCC
1B3 36297TAP7 CCC B/Watch Neg
2B3 36297TAS1 CC CCC
2B4 36297TAY8 CC CCC
JPMorgan Mortgage Trust 2007-S2
Series 2007-S2
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 46630WAA8 B AAA/Watch Neg
1-A-3 46630WAC4 B AAA/Watch Neg
1-A-4 46630WAD2 AAA AAA/Watch Neg
1-A-5 46630WAE0 AAA AAA/Watch Neg
1-A-7 46630WAG5 B AAA/Watch Neg
1-A-8 46630WAH3 AAA AAA/Watch Neg
1-A-2 46630WAB6 BBB AAA/Watch Neg
1-A-9 46630WAJ9 AAA AAA/Watch Neg
1-A-10 46630WAK6 B AAA/Watch Neg
1-A-11 46630WAL4 AAA AAA/Watch Neg
1-A-12 46630WAM2 B AAA/Watch Neg
1-A-13 46630WAN0 B AAA/Watch Neg
1-A-14 46630WAP5 B AAA/Watch Neg
1-A-15 46630WAQ3 B AAA/Watch Neg
1-A-16 46630WAR1 B AAA/Watch Neg
1-A-17 46630WAS9 B AAA/Watch Neg
1-A-18 46630WBP4 B AAA/Watch Neg
2-A-1 46630WAT7 B AAA/Watch Neg
2-A-2 46630WAU4 B AAA/Watch Neg
2-A-3 46630WAV2 B AAA/Watch Neg
2-A-4 46630WAW0 B AAA/Watch Neg
2-A-5 46630WAX8 B AAA/Watch Neg
2-A-6 46630WAY6 B AAA/Watch Neg
2-A-7 46630WAZ3 B AAA/Watch Neg
3-A-1 46630WBA7 B AAA/Watch Neg
3-A-2 46630WBB5 B AAA/Watch Neg
3-A-3 46630WBC3 B AAA/Watch Neg
A-P 46630WBD1 B AAA/Watch Neg
A-X 46630WBE9 AAA AAA/Watch Neg
P 46630WBN9 AAA AAA/Watch Neg
JPMorgan Mortgage Trust 2007-S3
Series 2007-S3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 46631NAA7 BB A/Watch Neg
1-A-2 46631NAB5 CCC B/Watch Neg
1-A-3 46631NAC3 CCC B/Watch Neg
1-A-4 46631NAD1 CCC B/Watch Neg
1-A-5 46631NAE9 CCC B/Watch Neg
1-A-6 46631NAF6 CCC B/Watch Neg
1-A-7 46631NAG4 CCC B/Watch Neg
1-A-8 46631NAH2 CCC B/Watch Neg
1-A-9 46631NAJ8 CCC B/Watch Neg
1-A-10 46631NAK5 CCC B/Watch Neg
1-A-11 46631NAL3 BB A/Watch Neg
1-A-12 46631NAM1 BB A/Watch Neg
1-A-13 46631NAN9 BB A/Watch Neg
1-A-14 46631NAP4 BB A/Watch Neg
1-A-15 46631NAQ2 BB A/Watch Neg
1-A-16 46631NAR0 BB A/Watch Neg
1-A-17 46631NAS8 BB A/Watch Neg
1-A-18 46631NAT6 CCC B/Watch Neg
1-A-19 46631NAU3 CCC B/Watch Neg
1-A-20 46631NAV1 BB A/Watch Neg
1-A-21 46631NAW9 BB A/Watch Neg
1-A-22 46631NAX7 BB A/Watch Neg
1-A-23 46631NAY5 BB A/Watch Neg
1-A-24 46631NAZ2 BB A/Watch Neg
1-A-25 46631NBA6 BB A/Watch Neg
1-A-26 46631NBB4 BB A/Watch Neg
1-A-27 46631NBC2 BB A/Watch Neg
1-A-28 46631NBD0 BB A/Watch Neg
1-A-29 46631NBE8 BB A/Watch Neg
1-A-30 46631NBF5 BB A/Watch Neg
1-A-31 46631NBG3 BB A/Watch Neg
1-A-32 46631NBH1 BB A/Watch Neg
1-A-33 46631NBJ7 BB A/Watch Neg
1-A-34 46631NBK4 BB A/Watch Neg
1-A-35 46631NBL2 BB A/Watch Neg
1-A-36 46631NBM0 BB A/Watch Neg
1-A-37 46631NBN8 BB A/Watch Neg
1-A-38 46631NBP3 BB A/Watch Neg
1-A-39 46631NBQ1 BB A/Watch Neg
1-A-40 46631NBR9 CCC B/Watch Neg
1-A-41 46631NBS7 CCC B/Watch Neg
1-A-42 46631NBT5 BB A/Watch Neg
1-A-43 46631NBU2 BB A/Watch Neg
1-A-44 46631NBV0 BB A/Watch Neg
1-A-45 46631NBW8 BB A/Watch Neg
1-A-46 46631NBX6 BB A/Watch Neg
1-A-47 46631NBY4 BB A/Watch Neg
1-A-48 46631NBZ1 BB A/Watch Neg
1-A-49 46631NCA5 CCC A/Watch Neg
1-A-50 46631NCB3 BBB A/Watch Neg
1-A-51 46631NCC1 CCC A/Watch Neg
1-A-52 46631NCD9 CCC A/Watch Neg
1-A-53 46631NCE7 CCC A/Watch Neg
1-A-54 46631NCF4 BBB A/Watch Neg
1-A-55 46631NCG2 BBB A/Watch Neg
1-A-56 46631NCH0 BBB A/Watch Neg
1-A-57 46631NCJ6 BBB A/Watch Neg
1-A-58 46631NCK3 BBB A/Watch Neg
1-A-59 46631NCL1 CCC B/Watch Neg
1-A-60 46631NCM9 BB BBB/Watch Neg
1-A-61 46631NCN7 BB BBB/Watch Neg
1-A-62 46631NCP2 CCC B/Watch Neg
1-A-63 46631NCQ0 CCC B/Watch Neg
1-A-64 46631NCR8 BB BBB/Watch Neg
1-A-65 46631NCS6 CCC B/Watch Neg
1-A-66 46631NCT4 CCC B/Watch Neg
1-A-67 46631NCU1 BB BBB/Watch Neg
1-A-68 46631NCV9 BB BBB/Watch Neg
1-A-69 46631NCW7 BB BBB/Watch Neg
1-A-70 46631NCX5 BB BBB/Watch Neg
1-A-71 46631NCY3 BB A/Watch Neg
1-A-72 46631NCZ0 BB A/Watch Neg
1-A-73 46631NDA4 BB A/Watch Neg
1-A-74 46631NDB2 BB A/Watch Neg
1-A-75 46631NDC0 BB A/Watch Neg
1-A-76 46631NDD8 BBB A/Watch Neg
1-A-77 46631NDE6 BBB A/Watch Neg
1-A-78 46631NDF3 BBB A/Watch Neg
1-A-79 46631NDG1 BBB A/Watch Neg
1-A-80 46631NDH9 BBB A/Watch Neg
1-A-81 46631NDJ5 BB A/Watch Neg
1-A-82 46631NDK2 BB A/Watch Neg
1-A-83 46631NDL0 BB A/Watch Neg
1-A-84 46631NDM8 BB A/Watch Neg
1-A-85 46631NDN6 BB A/Watch Neg
1-A-86 46631NDP1 BB A/Watch Neg
1-A-87 46631NDQ9 BB A/Watch Neg
1-A-88 46631NDR7 CCC B/Watch Neg
1-A-89 46631NDS5 BB A/Watch Neg
1-A-90 46631NDT3 BB A/Watch Neg
1-A-91 46631NDU0 CCC B/Watch Neg
1-A-92 46631NDV8 CCC B/Watch Neg
1-A-93 46631NDW6 CCC B/Watch Neg
1-A-94 46631NDX4 CCC B/Watch Neg
1-A-95 46631NDY2 CCC B/Watch Neg
1-A-96 46631NDZ9 BB A/Watch Neg
1-A-97 46631NEA3 BB A/Watch Neg
1-A-98 46631NEB1 CCC B/Watch Neg
1-A-99 46631NEC9 BB A/Watch Neg
A-100 46631NED7 BB A/Watch Neg
A-101 46631NEE5 CCC B/Watch Neg
A-102 46631NEF2 CCC B/Watch Neg
A-103 46631NEG0 CCC B/Watch Neg
A-104 46631NEH8 CCC B/Watch Neg
A-105 46631NEJ4 CCC B/Watch Neg
A-106 46631NEK1 CCC B/Watch Neg
A-107 46631NEL9 CCC B/Watch Neg
A-108 46631NEM7 CCC B/Watch Neg
A-109 46631NEN5 CCC B/Watch Neg
A-110 46631NEP0 CCC B/Watch Neg
A-111 46631NEQ8 CCC B/Watch Neg
A-112 46631NER6 CCC B/Watch Neg
A-113 46631NES4 CCC B/Watch Neg
A-114 46631NET2 CCC A/Watch Neg
2-A-1 46631NEX3 CCC B/Watch Neg
2-A-2 46631NEY1 CCC B/Watch Neg
2-A-3 46631NEZ8 CCC B/Watch Neg
2-A-4 46631NFA2 CCC B/Watch Neg
A-P 46631NFB0 CCC B/Watch Neg
A-X 46631NFC8 B B/Watch Neg
P 46631NFL8 AAA AAA/Watch Neg
MASTR Seasoned Securitization Trust 2003-1
Series 2003-1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-5 55265WAB9 BB BBB
Structured Adjustable Rate Mortgage Loan Trust Series 2005-18
Series 2005-18
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 863579WZ7 AA+ AAA/Watch Neg
1-A2 863579XA1 B AAA/Watch Neg
2-A 863579XB9 B AAA/Watch Neg
3-A1 863579XC7 BBB AAA/Watch Neg
3-A2 863579XD5 B AAA/Watch Neg
4-A1 863579XE3 B AAA/Watch Neg
4-A2 863579XF0 BBB AAA/Watch Neg
4-A3 863579XG8 B AAA/Watch Neg
5-A1 863579XH6 AA+ AAA/Watch Neg
5-A2 863579XJ2 B AAA/Watch Neg
6-A1 863579XK9 BBB AAA/Watch Neg
6-A2 863579XL7 B AAA/Watch Neg
B1-I 863579XY9 CCC AA+/Watch Neg
B2-I 863579XZ6 CCC AA/Watch Neg
B3-I 863579YA0 CC A/Watch Neg
B4-I 863579YB8 CC BB/Watch Neg
B5-I 863579YC6 CC B+/Watch Neg
B6-I 863579YK8 D CCC
7-A1 863579XM5 BB AAA/Watch Neg
7-A2 863579XN3 BB AAA/Watch Neg
7-A3 863579XP8 BB AAA/Watch Neg
7-AX 863579XQ6 BB AAA
8-A1 863579XR4 AAA AAA/Watch Neg
8-A2 863579XS2 BB AAA/Watch Neg
9-A1 863579XT0 AAA AAA/Watch Neg
9-A2 863579XU7 AAA AAA/Watch Neg
9-A3 863579XV5 AAA AAA/Watch Neg
9-A4 863579XW3 BB AAA/Watch Neg
B1-II 863579YD4 B AA+/Watch Neg
B2-II 863579YE2 CCC AA/Watch Neg
B3-II 863579YF9 CC BBB/Watch Neg
B4-II 863579YG7 CC B+/Watch Neg
B5-II 863579YH5 CC B/Watch Neg
B6-II 863579YN2 CC CCC
Structured Asset Securities Corporation Assistance Loan Trust
Series 2003-AL1
Rating
------
Class CUSIP To From
----- ----- -- ----
B4 86359AML4 B BB
B5 86359AMM2 CC CCC
WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust
Series 2007-HY1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 92925VAA8 B AA/Watch Neg
1-A2 92925VAB6 CCC BB/Watch Neg
2-A1 92925VAC4 B AA/Watch Neg
2-A2A 92925VAD2 BBB AAA/Watch Neg
2-A2B 92925VAE0 B AA/Watch Neg
2-A3 92925VAF7 B BB/Watch Neg
2-A4 92925VAG5 CCC BB/Watch Neg
L-B-1 92925VAR1 CC B/Watch Neg
L-B-2 92925VAS9 CC CCC
L-B-4 92925VBB5 D CC
3-A1 92925VAH3 AAA AAA/Watch Neg
3-A2 92925VAJ9 AAA AAA/Watch Neg
3-A3 92925VAK6 AAA AAA/Watch Neg
3-A4 92925VAL4 A AAA/Watch Neg
3-B-1 92925VAU4 B AA/Watch Neg
3-B-2 92925VAV2 CCC A/Watch Neg
3-B-3 92925VAW0 CCC BBB/Watch Neg
3-B-4 92925VBE9 CC B/Watch Neg
3-B-5 92925VBF6 CC CCC
4-A1 92925VAM2 BBB- AAA/Watch Neg
4-A2 92925VAN0 CCC A/Watch Neg
5-A1 92925VAP5 BBB- AAA/Watch Neg
5-A2 92925VAQ3 CCC A/Watch Neg
M-B-1 92925VAX8 CCC BB/Watch Neg
M-B-2 92925VAY6 CC B/Watch Neg
M-B-3 92925VAZ3 CC CCC
Ratings Affirmed
Bear Stearns ARM Trust 2007-4
Series 2007-4
Class CUSIP Rating
----- ----- ------
I-B-1 07401CAL7 CCC
CHL Mortgage Pass-Through Trust 2006-HYB3
Series 2006-HYB3
Class CUSIP Rating
----- ----- ------
1-A-2 1266943W6 CCC
2-A-2 1266944C9 CCC
3-A-2 1266944G0 CCC
4-A-2 1266944M7 CCC
GSR Mortgage Loan Trust 2006-AR2
Series 2006-AR2
Class CUSIP Rating
----- ----- ------
1A1 36297TAA0 AAA
1X 36297TAL6 AAA
MASTR Seasoned Securitization Trust 2003-1
Series 2003-1
Class CUSIP Rating
----- ----- ------
2-A-1 55265WAE3 AAA
3-A-1 55265WAF0 AAA
3-A-2 55265WAG8 AAA
3-A-3 55265WAH6 AAA
PO 55265WAP8 AAA
A-X 55265WAQ6 AAA
A-R 55265WAR4 AAA
B-1 55265WAS2 AAA
B-2 55265WAT0 AAA
B-3 55265WAU7 AA
B-4 55265WAA1 A+
Structured Adjustable Rate Mortgage Loan Trust Series 2005-18
Series 2005-18
Class CUSIP Rating
----- ----- ------
9-AX 863579XX1 AAA
Structured Asset Securities Corp.
Series 2002-8A
Class CUSIP Rating
----- ----- ------
7-A1 86358RE29 AAA
7-A2 86358RE37 AAA
B3 86358RE86 BBB
Structured Asset Securities Corporation Assistance Loan Trust
Series 2003-AL1
Class CUSIP Rating
----- ----- ------
A 86359AME0 AAA
APO 86359AMG5 AAA
AIO 86359AMF7 AAA
B1 86359AMH3 AA
B2 86359AMJ9 A
B3 86359AMK6 BBB
Ratings On Creditwatch Negative
Structured Mortgage Asset Residential Trust, Series 92-12
Series 1992-12
Class CUSIP Rating
----- ----- ------
BX 863573UU3 AAA/Watch Neg
Structured Mortgage Asset Residential Trust, Series 93-2
Series 1993-2
Class CUSIP Rating
----- ----- ------
BX AAA/Watch Neg
* S&P Downgrades Ratings on 385 Classes from 13 RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 385
classes from 13 residential mortgage-backed securities
transactions backed by U.S. Alternative-A mortgage loan collateral
issued in 2005, 2006, and 2007. The downgraded classes have a
current balance of approximately $11.28 billion. S&P removed 337
of the lowered ratings from CreditWatch with negative
implications. In addition, S&P affirmed its ratings on 56 classes
from these transactions and removed 35 of the affirmed ratings
from CreditWatch with negative implications.
The downgrades, affirmations, and CreditWatch resolutions
incorporate S&P's current and projected losses based on the dollar
amounts of loans currently in the transactions' delinquency,
foreclosure, and real estate owned pipelines, as well as S&P's
projection of future defaults. S&P also incorporated cumulative
losses to date in S&P's analysis when assessing rating outcomes.
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is not sufficient
to cover losses at the previous rating levels. Although
cumulative losses were in S&P's view generally low in comparison
to S&P's projected lifetime losses for the transactions reviewed,
S&P is projecting an increase in losses due to increases in
delinquencies and the current negative condition of the housing
market. Certain senior classes also benefit from senior support
classes that would provide support, to a certain extent, before
any applicable losses could affect the super-senior certificates.
To maintain a 'AAA' rating, S&P considers whether a bond is able
to withstand approximately 1.5% of S&P's base-case loss
assumptions, subject to individual caps and qualitative factors
assumed on specific transactions. For a class for which we've
affirmed a 'B' rating, S&P considers whether a bond is able to
withstand S&P's base-case loss assumption. Other rating
categories are dispersed, approximately equally, between these two
loss assumptions. For example, to maintain a 'BB' rating on one
class, S&P may consider whether the class is able to withstand
approximately 1.1% of S&P's base-case loss assumptions, while, in
connection with a different class, S&P may consider whether it is
able to withstand approximately 1.2% of S&P's base-case loss
assumptions to maintain a 'BBB' rating."
The affirmations reflect S&P's belief that there is sufficient
credit enhancement to support the ratings at their current levels.
Certain senior classes also benefit from senior-support classes
that would provide support to a certain extent before any
applicable losses could affect the super-senior certificates.
The subordination of more junior classes within each structure
provides credit support for the affected transactions. The
collateral backing these deals originally consisted predominantly
of Alt-A, first-lien, fixed-rate, adjustable-rate, or negative-
amortization residential mortgage loans secured by one- to four-
family properties.
S&P monitors these transactions to incorporate updated losses and
delinquency pipeline performance to assess whether S&P believes
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P think
appropriate.
Rating Actions
Alternative Loan Trust 2005-54CB
Series 2005-54CB
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 12668ANT8 BBB AAA/Watch Neg
1-A-2 12668ANU5 BBB AAA/Watch Neg
1-A-3 12668ANV3 BBB AAA/Watch Neg
1-A-4 12668ANW1 A- AAA/Watch Neg
1-A-5 12668ANX9 BBB AAA/Watch Neg
1-A-6 12668ANY7 BBB AAA/Watch Neg
1-A-7 12668ANZ4 AAA AAA/Watch Neg
1-A-8 12668APA7 BBB AAA/Watch Neg
1-A-9 12668APB5 BBB AAA/Watch Neg
1-A-10 12668APC3 BBB AAA/Watch Neg
1-A-11 12668APD1 A+ AAA/Watch Neg
2-A-1 12668APE9 AAA AAA/Watch Neg
2-A-2 12668APF6 BBB AAA/Watch Neg
2-A-3 12668APG4 A AAA/Watch Neg
2-A-4 12668APH2 A- AAA/Watch Neg
2-A-5 12668APJ8 BBB AAA/Watch Neg
2-A-6 12668APK5 BBB AAA/Watch Neg
3-A-1 12668APL3 BBB AAA/Watch Neg
3-A-2 12668APM1 BBB AAA/Watch Neg
3-A-3 12668APN9 BBB AAA/Watch Neg
3-A-4 12668APP4 A AAA/Watch Neg
3-A-5 12668APQ2 BBB AAA/Watch Neg
3-A-6 12668APR0 BBB AAA/Watch Neg
3-A-7 12668APS8 A AAA/Watch Neg
3-A-8 12668APT6 BBB AAA/Watch Neg
3-A-9 12668APU3 BBB AAA/Watch Neg
3-A-10 12668APV1 BBB AAA/Watch Neg
3-A-11 12668APW9 BBB AAA/Watch Neg
3-A-12 12668APX7 BBB AAA/Watch Neg
3-A-13 12668APY5 BBB AAA/Watch Neg
PO 12668APZ2 BBB AAA/Watch Neg
M 12668AQB4 CCC AA/Watch Neg
B-1 12668AQC2 CCC A/Watch Neg
B-2 12668AQD0 CCC BBB/Watch Neg
B-3 12668AQE8 CC BB/Watch Neg
Alternative Loan Trust 2006-32CB
Series 2006-32CB
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 02147XAA5 B AAA/Watch Neg
A-2 02147XAB3 B AAA
A-3 02147XAC1 B A/Watch Neg
A-4 02147XAD9 BB AAA/Watch Neg
A-5 02147XAE7 BB AAA/Watch Neg
A-6 02147XAF4 BB AAA/Watch Neg
A-7 02147XAG2 B AAA/Watch Neg
A-8 02147XAH0 B AAA
A-9 02147XAJ6 BB AAA/Watch Neg
A-10 02147XAK3 BB AAA/Watch Neg
A-11 02147XAL1 BB AAA/Watch Neg
A-12 02147XAM9 BB AAA/Watch Neg
A-13 02147XAN7 BB AAA/Watch Neg
A-14 02147XAP2 BB AAA/Watch Neg
A-15 02147XAQ0 BB AAA
A-16 02147XAR8 BB AAA/Watch Neg
A-17 02147XAS6 BB AAA/Watch Neg
A-18 02147XAT4 BB AAA/Watch Neg
A-19 02147XAU1 BB AAA/Watch Neg
A-20 02147XAV9 BB AAA/Watch Neg
A-21 02147XAW7 BB AAA/Watch Neg
A-22 02147XAX5 B A/Watch Neg
X 02147XAY3 BB AAA
PO 02147XAZ0 B A/Watch Neg
CSFB Mortgage-Backed Trust Series 2005-8
Series 2005-8
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 225458W87 AA AAA/Watch Neg
I-A-2 225458W95 AA AAA/Watch Neg
I-A-3 225458X29 AAA AAA/Watch Neg
I-A-4 225458X37 AA AAA/Watch Neg
IV-A-1 2254582C1 AA AAA/Watch Neg
V-A-1 2254582D9 AAA AAA/Watch Neg
V-A-2 2254582E7 AA AAA/Watch Neg
V-A-3 2254582F4 AAA AAA/Watch Neg
VI-A-1 2254582G2 AA AAA/Watch Neg
IX-A-1 2254582K3 AA AAA/Watch Neg
IX-A-2 2254582L1 AAA AAA/Watch Neg
IX-A-3 2254582M9 AA AAA/Watch Neg
IX-A-4 2254582N7 AA AAA/Watch Neg
IX-A-6 2254582Q0 AAA AAA/Watch Neg
IX-A-8 2254582S6 AA AAA/Watch Neg
IX-A-9 2254582T4 AA AAA/Watch Neg
IX-A-10 2254582U1 AA AAA/Watch Neg
IX-A-11 2254582V9 AA AAA/Watch Neg
IX-A-12 2254582W7 AA AAA/Watch Neg
IX-A-13 2254582X5 AAA AAA/Watch Neg
IX-A-14 2254582Y3 AA AAA/Watch Neg
IX-A-15 2254582Z0 AA AAA/Watch Neg
A-X 2254583A4 AAA AAA/Watch Neg
D-X 2254583B2 B AAA/Watch Neg
A-P 2254583C0 AA AAA/Watch Neg
B-1 2254583D8 CCC AA/Watch Neg
B-2 2254583E6 CCC A/Watch Neg
B-3 2254583F3 CCC BBB/Watch Neg
B-4 2254583Q9 CC BB/Watch Neg
II-A-1 225458X45 AAA AAA/Watch Neg
II-A-2 225458X52 AAA AAA/Watch Neg
III-A-1 225458X60 AAA AAA/Watch Neg
III-A-2 225458X78 AAA AAA/Watch Neg
III-A-3 225458X86 AAA AAA/Watch Neg
III-A-5 225458Y28 AAA AAA/Watch Neg
III-A-6 225458Y36 AAA AAA/Watch Neg
III-A-7 225458Y44 AAA AAA/Watch Neg
III-A-8 225458Y51 AAA AAA/Watch Neg
III-A-9 225458Y69 AAA AAA/Watch Neg
III-A-10 225458Y77 AAA AAA/Watch Neg
III-A-11 225458Y85 AAA AAA/Watch Neg
III-A-12 225458Y93 AAA AAA/Watch Neg
III-A-13 225458Z27 AAA AAA/Watch Neg
III-A-14 225458Z35 AAA AAA/Watch Neg
III-A-15 225458Z43 AAA AAA/Watch Neg
III-A-16 225458Z50 AAA AAA/Watch Neg
III-A-17 225458Z68 AAA AAA/Watch Neg
III-A-18 225458Z76 AAA AAA/Watch Neg
III-A-19 225458Z84 AAA AAA/Watch Neg
III-A-20 225458Z92 AAA AAA/Watch Neg
III-A-21 2254582A5 AAA AAA/Watch Neg
III-A-22 2254582B3 AAA AAA/Watch Neg
C-B-1 2254583G1 B AA/Watch Neg
C-B-2 2254583H9 CCC A/Watch Neg
C-B-3 2254583J5 CCC BBB/Watch Neg
C-B-4 2254583T3 CCC BB/Watch Neg
C-B-5 2254583U0 CC B/Watch Neg
VII-A-1 2254582H0 B AAA/Watch Neg
VIII-A-1 2254582J6 B AAA/Watch Neg
D-B-1 2254583K2 CC AA/Watch Neg
D-B-2 2254583L0 D A/Watch Neg
First Horizon Alternative Mortgage Securities Trust 2006-FA1
Series 2006-FA1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 32051GS48 B AAA/Watch Neg
I-A-2 32051GS55 AAA AAA/Watch Neg
I-A-3 32051GS63 B AAA/Watch Neg
I-A-5 32051GS89 B AAA/Watch Neg
I-A-7 32051GT21 B AAA/Watch Neg
I-A-8 32051GT39 B AAA/Watch Neg
I-A-9 32051GT47 B AAA/Watch Neg
I-A-10 32051GT54 B+ AAA/Watch Neg
I-A-11 32051GT62 B AAA/Watch Neg
I-A-12 32051GT70 B AAA/Watch Neg
I-A-PO 32051GT88 B AAA/Watch Neg
II-A-1 32051GU37 B AAA/Watch Neg
II-A-PO 32051GU29 B AAA/Watch Neg
First Horizon Alternative Mortgage Securities Trust 2006-FA3
Series 2006-FA3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 32051HAA1 CCC B+/Watch Neg
A-2 32051HAB9 CCC B/Watch Neg
A-3 32051HAC7 CCC AA/Watch Neg
A-4 32051HAD5 CCC B+/Watch Neg
A-5 32051HAE3 CCC B+
A-6 32051HAF0 AA AAA/Watch Neg
A-7 32051HAG8 CCC B/Watch Neg
A-8 32051HAH6 A AAA/Watch Neg
A-9 32051HAJ2 CCC B/Watch Neg
A-10 32051HAK9 CCC B/Watch Neg
A-11 32051HAL7 CCC B/Watch Neg
A-12 32051HAM5 CCC B/Watch Neg
A-13 32051HAN3 CCC B/Watch Neg
A-PO 32051HAP8 CCC B/Watch Neg
B-2A 32051HAS2 CC CCC
B-2B 32051HAT0 CC CCC
B-3 32051HAU7 CC CCC
JPMorgan Alternative Loan Trust 2006-S1
Series 2006-S1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 46627MDX2 B AAA/Watch Neg
1-A-2 46627MDY0 B AAA/Watch Neg
1-A-3 46627MDZ7 B AAA/Watch Neg
1-A-4 46627MEA1 B AAA/Watch Neg
1-A-5 46627MEB9 B+ AAA/Watch Neg
1-A-6 46627MEC7 B AAA/Watch Neg
1-A-7 46627MED5 B AAA/Watch Neg
1-A-8 46627MEE3 B AAA/Watch Neg
1-A-9 46627MEF0 B AAA/Watch Neg
1-A-10 46627MEG8 B AAA/Watch Neg
1-A-11 46627MEH6 A AAA/Watch Neg
1-A-12 46627MEJ2 A AAA/Watch Neg
1-A-13 46627MEK9 A AAA/Watch Neg
1-A-14 46627MEL7 A AAA/Watch Neg
1-A-15 46627MEM5 A AAA/Watch Neg
1-A-16 46627MEN3 A AAA/Watch Neg
1-A-17 46627MEP8 A AAA/Watch Neg
1-A-18 46627MEQ6 B AAA/Watch Neg
1-A-19 46627MER4 B AAA/Watch Neg
2-A-1 46627MES2 B AAA/Watch Neg
2-A-2 46627MET0 BBB AAA/Watch Neg
2-A-3 46627MEU7 B AAA/Watch Neg
2-A-4 46627MEV5 B AAA/Watch Neg
2-A-5 46627MEW3 B AAA/Watch Neg
2-A-6 46627MEX1 B AAA/Watch Neg
A-X 46627MFG7 BBB AAA
A-P 46627MFH5 B AAA/Watch Neg
3-A-1 46627MEY9 AAA AAA/Watch Neg
3-A-1A 46627MEZ6 AAA AAA/Watch Neg
3-A-2 46627MFA0 B AAA/Watch Neg
3-A-2A 46627MFB8 B AAA/Watch Neg
3-A-3 46627MFU6 B AAA/Watch Neg
3-A-4 46627MFV4 B AAA/Watch Neg
3-A-5 46627MFW2 B AAA/Watch Neg
3-M-1 46627MFC6 CCC BBB/Watch Neg
3-M-2 46627MFD4 CCC B/Watch Neg
3-B-1 46627MFE2 CC CCC
3-B-2 46627MFF9 CC CCC
RALI Series 2006-QS1 Trust
Series 2006-QS1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 761118RZ3 CCC BBB/Watch Neg
A-2 761118SA7 CCC A/Watch Neg
A-3 761118SB5 BB AAA/Watch Neg
A-4 761118SC3 CCC BBB/Watch Neg
A-5 761118SD1 CCC A/Watch Neg
A-6 761118SE9 CCC A/Watch Neg
A-7 761118SF6 CCC BBB/Watch Neg
A-8 761118SG4 CCC BBB/Watch Neg
A-9 761118SH2 CCC BBB
A-P 761118SJ8 CCC BBB/Watch Neg
A-V 761118SK5 BB AAA
RALI Series 2006-QS2 Trust
Series 2006-QS2
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 761118UG1 B BB/Watch Neg
I-A-2 761118UH9 B AAA/Watch Neg
I-A-3 761118UJ5 B AAA
I-A-4 761118UK2 B+ AAA/Watch Neg
I-A-5 761118UL0 B BB/Watch Neg
I-A-6 761118UM8 B BB/Watch Neg
I-A-7 761118UN6 B+ BB
I-A-8 761118UP1 B BB/Watch Neg
I-A-9 761118UQ9 B BB/Watch Neg
I-A-10 761118UR7 B BB/Watch Neg
I-A-11 761118US5 B BB
I-A-13 761118UU0 B BB/Watch Neg
I-A-14 761118UV8 B BB/Watch Neg
I-A-15 761118UW6 B BB
I-A-16 761118UX4 B BB/Watch Neg
I-A-17 761118UY2 B BB/Watch Neg
I-A-18 761118UZ9 B BB
I-A-P 761118VD7 B BB/Watch Neg
I-A-V 761118VE5 B+ AAA
II-A-1 761118VA3 BBB AAA/Watch Neg
II-A-2 761118VB1 BBB AAA/Watch Neg
III-A-1 761118VC9 BBB AAA/Watch Neg
II-A-P 761118VF2 BBB AAA/Watch Neg
II-A-V 761118VG0 BBB AAA
RALI Series 2007-QS4 Trust
Series 2007-QS4
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 74923HAA9 CCC B/Watch Neg
I-A-2 74923HAB7 CCC B
I-A-3 74923HAC5 CCC B/Watch Neg
I-A-4 74923HAD3 CCC B/Watch Neg
II-A-1 74923HAE1 B- BB-/Watch Neg
II-A-2 74923HAF8 B- BB-
II-A-3 74923HAG6 CCC B/Watch Neg
II-A-4 74923HAH4 B- BB-/Watch Neg
II-A-5 74923HAJ0 B- BB-
III-A-1 74923HAK7 CCC B/Watch Neg
III-A-2 74923HAL5 B- B+/Watch Neg
III-A-3 74923HAM3 CCC B/Watch Neg
III-A-4 74923HAN1 CCC B/Watch Neg
III-A-5 74923HAP6 CCC B/Watch Neg
III-A-6 74923HAQ4 CCC B+/Watch Neg
III-A-7 74923HAR2 B- BB/Watch Neg
III-A-8 74923HAS0 B- BB
III-A-9 74923HAT8 B- B+/Watch Neg
III-A-10 74923HAU5 CCC B/Watch Neg
III-A-11 74923HAV3 CCC B/Watch Neg
IV-A-1 74923HAW1 CCC B/Watch Neg
IV-A-2 74923HAX9 CCC B
IV-A-3 74923HAY7 CCC B/Watch Neg
V-A-1 74923HAZ4 CCC B/Watch Neg
V-A-2 74923HBA8 CCC B/Watch Neg
I-A-P 74923HBB6 CCC B/Watch Neg
I-A-V 74923HBC4 CCC B
II-A-P 74923HBD2 CCC B/Watch Neg
II-A-V 74923HBE0 B- BB-
III-A-P 74923HBF7 CCC B/Watch Neg
III-A-V 74923HBG5 B- BB
V-A-P 74923HBH3 CCC B/Watch Neg
V-A-V 74923HBJ9 CCC B
RALI Series 2007-QS6 Trust
Series 2007-QS6
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 75116CAA4 CCC B/Watch Neg
A-2 75116CAB2 CCC B/Watch Neg
A-3 75116CAC0 CCC B/Watch Neg
A-4 75116CAD8 CCC B/Watch Neg
A-5 75116CAE6 CCC B/Watch Neg
A-6 75116CAF3 CCC B+/Watch Neg
A-7 75116CAG1 CCC B+/Watch Neg
A-8 75116CAH9 CCC B/Watch Neg
A-9 75116CAJ5 CCC B/Watch Neg
A-10 75116CAK2 CCC B/Watch Neg
A-11 75116CAL0 CCC B/Watch Neg
A-12 75116CAM8 CCC B/Watch Neg
A-13 75116CAN6 CCC B/Watch Neg
A-14 75116CAP1 CCC B/Watch Neg
A-15 75116CAQ9 CCC B/Watch Neg
A-16 75116CAR7 CCC B/Watch Neg
A-P 75116CEW2 CCC B/Watch Neg
A-V 75116CEX0 CCC B+
A-17 75116CAS5 CCC B/Watch Neg
A-18 75116CAT3 CCC B/Watch Neg
A-19 75116CAU0 CCC B/Watch Neg
A-20 75116CAV8 CCC B/Watch Neg
A-21 75116CAW6 CCC B/Watch Neg
A-22 75116CAX4 CCC B/Watch Neg
A-23 75116CAY2 CCC B/Watch Neg
A-24 75116CAZ9 CCC B/Watch Neg
A-25 75116CBA3 CCC B+/Watch Neg
A-26 75116CBB1 CCC B+/Watch Neg
A-27 75116CBC9 CCC B+/Watch Neg
A-28 75116CBD7 CCC B+/Watch Neg
A-29 75116CBE5 CCC B+/Watch Neg
A-30 75116CBF2 CCC B+
A-31 75116CBG0 CCC B/Watch Neg
A-32 75116CBH8 CCC B/Watch Neg
A-33 75116CBJ4 CCC B/Watch Neg
A-34 75116CBK1 CCC B
A-35 75116CBL9 CCC B+/Watch Neg
A-36 75116CBM7 CCC B+/Watch Neg
A-37 75116CBN5 CCC B+/Watch Neg
A-38 75116CBP0 CCC B+/Watch Neg
A-39 75116CBQ8 CCC B+/Watch Neg
A-40 75116CBR6 CCC B+/Watch Neg
A-41 75116CBS4 CCC B+/Watch Neg
A-42 75116CBT2 CCC B+/Watch Neg
A-43 75116CBU9 CCC B/Watch Neg
A-44 75116CBV7 CCC B/Watch Neg
A-45 75116CBW5 CCC B/Watch Neg
A-46 75116CBX3 CCC B/Watch Neg
A-47 75116CBY1 CCC B
A-48 75116CBZ8 CCC B/Watch Neg
A-49 75116CCA2 CCC B/Watch Neg
A-50 75116CCB0 CCC B/Watch Neg
A-51 75116CCC8 CCC B/Watch Neg
A-52 75116CCD6 CCC B/Watch Neg
A-53 75116CCE4 CCC B/Watch Neg
A-54 75116CCF1 CCC B/Watch Neg
A-55 75116CCG9 CCC B/Watch Neg
A-56 75116CCH7 CCC B/Watch Neg
A-57 75116CCJ3 CCC B/Watch Neg
A-58 75116CCK0 CCC B/Watch Neg
A-59 75116CCL8 CCC B/Watch Neg
A-60 75116CCM6 CCC B/Watch Neg
A-61 75116CCN4 CCC B/Watch Neg
A-62 75116CCP9 CCC B/Watch Neg
A-63 75116CCQ7 CCC B/Watch Neg
A-64 75116CCR5 CCC B/Watch Neg
A-65 75116CCS3 CCC B
A-66 75116CCT1 CCC B/Watch Neg
A-67 75116CCU8 CCC B/Watch Neg
A-68 75116CCV6 CCC B/Watch Neg
A-69 75116CCW4 CCC B/Watch Neg
A-70 75116CCX2 CCC B/Watch Neg
A-71 75116CCY0 CCC B/Watch Neg
A-72 75116CCZ7 CCC B/Watch Neg
A-73 75116CDA1 CCC B/Watch Neg
A-74 75116CDB9 CCC B/Watch Neg
A-75 75116CDC7 CCC B/Watch Neg
A-76 75116CDD5 CCC B/Watch Neg
A-77 75116CDE3 CCC B/Watch Neg
A-78 75116CDF0 CCC B/Watch Neg
A-79 75116CDG8 CCC B/Watch Neg
A-80 75116CDH6 CCC B/Watch Neg
A-81 75116CDJ2 CCC B/Watch Neg
A-82 75116CDK9 CCC B/Watch Neg
A-83 75116CDL7 CCC B/Watch Neg
A-84 75116CDM5 CCC B/Watch Neg
A-85 75116CDN3 CCC B/Watch Neg
A-86 75116CDP8 CCC B/Watch Neg
A-87 75116CDQ6 CCC B/Watch Neg
A-88 75116CDR4 CCC B/Watch Neg
A-89 75116CDS2 CCC B/Watch Neg
A-90 75116CDT0 CCC B/Watch Neg
A-91 75116CDU7 CCC B/Watch Neg
A-92 75116CDV5 CCC B/Watch Neg
A-93 75116CDW3 CCC B/Watch Neg
A-94 75116CDX1 CCC B/Watch Neg
A-95 75116CDY9 CCC B/Watch Neg
A-96 75116CDZ6 CCC B/Watch Neg
A-97 75116CEA0 CCC B/Watch Neg
A-98 75116CEB8 CCC B
A-99 75116CEC6 CCC B+/Watch Neg
A-100 75116CED4 CCC B+/Watch Neg
A-101 75116CEE2 CCC B+/Watch Neg
A-102 75116CEF9 CCC B+/Watch Neg
A-103 75116CEG7 CCC B+/Watch Neg
A-104 75116CEH5 CCC B+
A-105 75116CEJ1 CCC B/Watch Neg
A-106 75116CEK8 CCC B/Watch Neg
A-107 75116CEL6 CCC B/Watch Neg
A-108 75116CEM4 CCC B/Watch Neg
A-109 75116CEN2 CCC B/Watch Neg
A-110 75116CEP7 CCC B
A-111 75116CEQ5 CCC B/Watch Neg
A-112 75116CER3 CCC B/Watch Neg
A-113 75116CES1 CCC B/Watch Neg
A-114 75116CET9 CCC B/Watch Neg
A-115 75116CEU6 CCC B/Watch Neg
A-116 75116CEV4 CCC B
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-5
Series 2006-5
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 86360NAG7 CCC BB/Watch Neg
1-A2 86360NAH5 CCC B/Watch Neg
2-A1 86360NAJ1 CCC BB/Watch Neg
2-A2 86360NAK8 CCC BB/Watch Neg
2-A3 86360NAL6 CCC B/Watch Neg
2-AX 86360NAM4 CCC BB
3-A 86360NAN2 CCC BBB/Watch Neg
4-A1 86360NAP7 BBB AAA/Watch Neg
4-A2 86360NAQ5 CCC BBB/Watch Neg
5-A1 86360NAR3 BBB AAA/Watch Neg
5-A2 86360NAS1 BBB AAA/Watch Neg
5-A3 86360NAT9 BBB AAA/Watch Neg
5-A4 86360NAU6 CCC BBB/Watch Neg
B1-II 86360NAZ5 CCC B/Watch Neg
B3-II 86360NBB7 CC CCC
WaMu Mortgage Pass-Through Certificates, Series 2006-AR19 Trust
Series 2006-AR19
Rating
------
Class CUSIP To From
----- ----- -- ----
CA-1C 933638AF5 CCC B/Watch Neg
B-7 933638AR9 CC CCC
B-8 933638AS7 CC CCC
B-9 933638AT5 CC CCC
Washington Mutual Mortgage Securities Corp
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 93934FKH4 B AAA/Watch Neg
1-A-2 93934FKJ0 CCC BB/Watch Neg
2-CB-1 93934FKK7 CCC BB/Watch Neg
2-CB-2 93934FKL5 CCC BB/Watch Neg
2-CB-3 93934FKM3 CCC BB/Watch Neg
3-A-1 93934FKN1 B AAA/Watch Neg
3-A-2 93934FKP6 B AAA/Watch Neg
3-A-3 93934FKQ4 CCC BB/Watch Neg
3-A-4 93934FKR2 CCC BB/Watch Neg
3-A-5 93934FKS0 CCC BB
3-A-6 93934FKT8 CCC BB/Watch Neg
3-A-7 93934FKU5 CCC BB/Watch Neg
3-A-8 93934FKV3 CCC BB/Watch Neg
3-A-9 93934FKW1 CCC BB/Watch Neg
3-A-10 93934FKX9 CCC BB/Watch Neg
4-CB 93934FKY7 CCC BB/Watch Neg
5-CB-1 93934FKZ4 B AAA/Watch Neg
5-CB-2 93934FLA8 B AAA/Watch Neg
5-CB-3 93934FLB6 CCC BB/Watch Neg
5-CB-4 93934FLC4 BB AAA/Watch Neg
5-CB-5 93934FLD2 CCC BB/Watch Neg
5-CB-6 93934FLE0 CCC BB/Watch Neg
CP 93934FLG5 CCC BB/Watch Neg
CX 93934FLF7 BB AAA
B-2 93934FLJ9 CC CCC
B-3 93934FLK6 CC CCC
B-4 93934FJZ6 CC CCC
Ratings Affirmed
First Horizon Alternative Mortgage Securities Trust 2006-FA1
Series 2006-FA1
Class CUSIP Rating
----- ----- ------
I-A-6 32051GS97 AAA
First Horizon Alternative Mortgage Securities Trust 2006-FA3
Series 2006-FA3
Class CUSIP Rating
----- ----- ------
B-1A 32051HAQ6 CCC
B-1B 32051HAR4 CCC
JPMorgan Alternative Loan Trust 2006-S1
Series 2006-S1
Class CUSIP Rating
----- ----- ------
P 46627MFR3 AAA
B-1 46627MFJ1 CCC
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-5
Series 2006-5
Class CUSIP Rating
----- ----- ------
B2-II 86360NBA9 CCC
WaMu Mortgage Pass-Through Certificates, Series 2006-AR19 Trust
Series 2006-AR19
Class CUSIP Rating
----- ----- ------
1A 933638AA6 AAA
1A-1A 933638AB4 AAA
1A-1B 933638AC2 AAA
1X-PPP 933638AG3 AAA
1X-2 933638AH1 AAA
2A 933638AD0 AAA
2A-1B 933638AE8 AAA
2X-PPP 933638AJ7 AAA
B-1 933638AK4 CCC
B-2 933638AL2 CCC
B-3 933638AM0 CCC
B-4 933638AN8 CCC
B-5 933638AP3 CCC
B-6 933638AQ1 CCC
Washington Mutual Mortgage Securities Corp
Series 2006-1
Class CUSIP Rating
----- ----- ------
B-1 93934FLH3 CCC
* S&P Puts Ratings on 654 Classes on Negative CreditWatch
---------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 654
classes of commercial mortgage pass-through certificates from 45
floating-rate commercial mortgage-backed securities transactions
and 49 classes from seven large loan fixed-rate and single-
borrower CMBS transactions on CreditWatch with negative
implications. In total, with the current CreditWatch placement
actions, S&P placed its ratings on 703 classes on CreditWatch
negative, and these classes have an aggregate par balance of
$37.5 billion.
The negative CreditWatch placements reflect S&P's preliminary re-
evaluation of the remaining underlying loans in the 52 identified
large loan transactions, based on the most recent master
servicer's reported net cash flow. S&P previously placed its
ratings on 23 classes from four of the floating-rate CMBS
transactions and seven ratings from one of the fixed-rate and
single-borrower CMBS transactions on CreditWatch with negative
implications that remain outstanding. Including the classes
previously placed on CreditWatch negative, these summarizes the
outstanding CreditWatch negative placements on the large loan
floating-rate, fixed-rate, and single-borrower CMBS transactions
rated by Standard & Poor's. A summary of the 677 floating-rate
classes on CreditWatch negative by rating category:
-- 219 'AAA' ($21.5 billion, 68.1%);
-- 91 'AA' category ($3.5 billion, 11.2%);
-- 108 'A' category ($2.5 billion, 8.0%);
-- 180 'BBB' category ($3.0 billion, 9.4%);
-- 61 'BB' category ($0.8 billion, 2.5%);
-- 16 'B' category ($0.2 billion, 0.7%); and
-- 2 'CCC-' ($16.2 million, 0.1%).
A summary of the 677 floating-rate classes on CreditWatch negative
by vintage:
-- 234 2007 vintage ($14.6 billion, 46.4%);
-- 256 2006 vintage ($13.0 billion, 41.2%);
-- 104 2005 vintage ($2.8 billion, 8.9%);
-- 69 2004 vintage ($0.9 billion, 2.9%);
-- 11 2003 vintage ($0.2 billion, 0.6%); and
-- 3 2001 vintage (N/A).
N/A - represents ratings outstanding on interest-only
certificates with notional balances.
A summary of the 56 fixed-rate and single-borrower classes on
CreditWatch negative by rating category:
-- 17 'AAA' ($4.2 billion, 56.6%);
-- 13 'AA' category ($779.0 million, 10.6%);
-- 10 'A' category ($642.0 million, 8.7%);
-- 11 'BBB' category ($658.1 million, 9.0%);
-- 3 'BB' category ($807.8 million, 11.0%); and
-- 2 'B' category ($300.0 million, 4.1%).
A summary of the 56 fixed-rate and single-borrower classes on
CreditWatch negative by vintage:
-- 3 2008 vintage ($1.4 billion, 19.6%);
-- 16 2007 vintage ($3.6 billion, 49.5%);
-- 32 2006 vintage ($2.2 billion, 29.9%);
-- 4 2001 vintage ($51.4 million, 0.7%); and
-- 1 2000 vintage ($24.6 million, 0.3%).
To resolve S&P's negative CreditWatch placements, S&P expects to
analyze each of the remaining loans in the 52 large loan floating-
rate and fixed-rate and single-borrower transactions based on
current and expected net cash flows and derive updated property
valuations. S&P will evaluate the impact of any changes in the
resultant valuations in the content of each transaction's capital
structure to determine if rating changes are appropriate. In
performing S&P's analysis, S&P will also consider other factors
that potentially could impact the transaction's underlying
performance, including, but not limited to these: the transitional
nature of the underlying trust collateral (when applicable),
refinancing risk, liquidity interruption, loan payment status, and
special servicing transfers and associated fees.
* S&P Puts Ratings on 1,994 Classes on Negative CreditWatch
-----------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 1,994
classes of commercial mortgage pass-through certificates from 170
conduit and fusion commercial mortgage pass-through transactions
on CreditWatch with negative implications. In total, 2,149
conduit and fusion ratings are now on CreditWatch negative from
171 transactions, and the aggregate outstanding par balance of the
certificates is $59.1 billion.
The negative CreditWatch placements reflect S&P's preliminary
reevaluation of all the loans in the identified transactions.
S&P previously placed its ratings on 155 classes from 13 ($3.7
billion) transactions on CreditWatch with negative implications
that remain outstanding. Including the ratings previously placed
on CreditWatch, these summarizes the outstanding CreditWatch
negative placements on the conduit and fusion transactions rated
by Standard & Poor's.
A rating summary of the CreditWatch placements:
-- 112 'AAA' ($19.2 billion, 32.5%);
-- 281 'AA' category ($8.7 billion, 14.7%);
-- 364 'A' category ($9.7 billion, 16.4%);
-- 423 'BBB' category ($12.0 billion, 20.3%);
-- 396 'BB' category ($5.1 billion, 8.6%);
-- 382 'B' category ($2.9 million, 4.9%); and
-- 191 'CCC' category ($1.5 million, 2.5%).
A vintage summary of the CreditWatch placements:
-- 98 2008 vintage ($1.4 billion, 2.3%);
-- 742 2007 vintage ($29.2 billion, 49.4%);
-- 529 2006 vintage ($14.8 billion, 25.1%);
-- 324 2005 vintage ($7.5 billion, 12.7%);
-- 209 2004 vintage ($3.4 billion, 5.7%);
-- 84 2003 vintage ($1.0 billion, 1.7%);
-- 76 2002 vintage ($0.7 billion, 1.3%);
-- 44 2001 vintage ($0.5 billion, 0.9%);
-- 34 2000 vintage ($0.4 billion, 0.6%); and
-- 9 1999 vintage ($0.2 billion, 0.3%).
To resolve S&P's negative CreditWatch placements, S&P will
evaluate loan-level cash flows and will analyze the loans with low
or expected cash flow declines that have negatively affected their
property valuations. In performing this analysis, S&P will seek
to isolate the loans that S&P believes are at heightened risk of
default and those that may, in S&P's view, incur losses. S&P will
also consider other factors that could potentially affect the
transactions' underlying performance, including, but not limited
to these: specially serviced assets, refinancing risk, geographic
and property type concentrations, interest-only loan exposure,
liquidity interruptions, and defeased loans.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers'
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
Wednesday's edition of the TCR. Submissions about insolvency-
related conferences are encouraged. Send announcements to
conferences@bankrupt.com/
On Thursdays, the TCR delivers a list of recently filed chapter 11
cases involving less than $1,000,000 in assets and liabilities
delivered to nation's bankruptcy courts. The list includes links
to freely downloadable images of these small-dollar petitions in
Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
bankruptcy documents filed in cases pending outside the District
of Delaware, contact Ken Troubh at Nationwide Research &
Consulting at 207/791-2852.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published by
Bankruptcy Creditors' Service, Inc., Fairless Hills, Pennsylvania,
USA, and Beard Group, Inc., Frederick, Maryland, USA. Ma. Theresa
Amor J. Tan Singco, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R.
Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G.
Patalinghug, Frauline S. Abangan, and Peter A. Chapman, Editors.
Copyright 2009. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $775 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Christopher
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*** End of Transmission ***