/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/090426.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 26, 2009, Vol. 13, No. 114 Headlines ABACUS 2005-1: S&P Downgrades Ratings on Four Classes of Notes ABSPOKE 2005-IB: S&P Withdraws 'BB-' Rating on Notes BEAR STEARNS: Fitch Junks Ratings on Two Classes of 2000-WF2 Notes BEXAR COUNTY HOUSING: Moody's Affirms 'Ba1' Rating on 2001A Bonds BXG RECEIVABLES: Moody's Reviews Ratings on 21 Classes of Notes BRASCAN STRUCTURED: Moody's Cuts Ratings on Three 2005-2 Notes BRUSHFIELD 2007-1: Writedowns Cue S&P's Note Rating Cut to 'D' CHASE COMMERCIAL: Fitch Raises Rating on $8.1 Mil. Notes to 'B+' CITICORP MORTGAGE: Moody's Downgrades Ratings on 136 Tranches CITIGROUP COMMERCIAL: GGP Bankruptcy Cudes Moody's Review on Bonds CORIOLANUS LIMITED: Moody's Junks Rating on $125 Mil. Notes CORONADO CDO: Fitch Junks Ratings on Four Classes of Notes CORPORATE BACKED: S&P Raises Rating on $25 Mil. Certs. to 'CCC-' CORTS TRUST: S&P Raises Rating on $219.584 Mil. Notes to 'CCC-' CORTS TRUST: S&P Raises Rating on $300 Mil. Certs. to 'CCC-' CRAFT 2005-3: Moody's Junks Ratings on Series M-2 Notes EL PASO HOUSING: Moody's Affirms 'Ba3' Rating on Jr. Sub Bonds GALLERY AT HARBORPLACE: GGP Bankruptcy Cues Moody's Study on Bonds GE COMMERCIAL: GGP Bankruptcy Cues Moody's Review on Rake Bonds GENERAL GROWTH: Bankruptcy Cues Moody's Review on 15 Rake Bonds GMAC COMMERCIAL: Fitch Puts Ratings on 11 Notes on Negative Watch GS MORTGAGE: GGP Bankruptcy Cudes Moody's Review on Rake Bonds HARTFORD MEZZANINE: Moody's Downgrades Ratings on 10 2007-1 Notes JP MORGAN: Moody's Affirms Ratings on 14 Classes of 2003-C1 Notes KEYCORP STUDENT: Moody's Cuts Ratings on 3 Note Classes to Low-B KLIO STRUCTURED: Moody's Junks Ratings on Two 2005-1 Notes LEGG MASON: Moody's Cuts Ratings on 5 Classes of Notes to Low-B LEGG MASON: Moody's Cuts Rating on Class C Notes Due 2045 to Ba2 LE MONDE: S&P Withdraws 'CC' Ratings on Two Classes of Notes LOUISIANA PUBLIC: S&P Cuts L-T Ratings on 1993, 1999 Bonds to 'BB' MCKINLEY 2005-5: Moody's Downgrades Rating on $4,792,450 Certs. MERRILL LYNCH: Moody's Affirms Ratings on 2003-Canada 11 Certs. MERRILL LYNCH: Moody's Junks Rating on Cl. I-A2 2007-2 Securities MORGAN STANLEY: Fitch Corrects Rating Outlooks on 2005 IQ9 Notes MORGAN STANLEY: Fitch Affirms Ratings on 2003-IQ5 Certificates MORGAN STANLEY: S&P Downgrades Ratings on NG5FG Notes to 'B-srp' MORGAN STANLEY: S&P Downgrades Ratings on NG5FG Notes to 'B-srp' N-45 FIRST: Fitch Affirms 'BB+' Rating on Class E Notes N-STAR REL: Moody's Confirms Ratings on 12 Classes of Notes NYU HOSPITALS: Moody's Upgrades Bond Ratings from 'Ba2' OCWEN RESIDENTIAL: Moody's Downgrades Ratings on 16 Tranches PPLUS TRUST: S&P Raises Rating on $40 Mil. Certs. to 'CCC-' PREFERRED CPO: Moody's Downgrades Ratings on Two Tranches PREFERREDPLUS TRUST: S&P Cuts Rating on $31 Mil. Certs. to 'B' PUBLIC STEERS: S&P Raises Rating on $231.903 Mil. Certs. to 'CCC-' RAIT CRE: Moody's Downgrades Ratings on Five Classes of Notes RESOURCE REAL: Moody's Downgrades Ratings on 10 2007-1 Notes RESOURCE REAL: Moody's Downgrades Ratings on Eight 2006-1 Notes RESTRUCTURED ASSET: Moody's Cuts Rating on 2002-10-TR Certificates RESTRUCTURED ASSET: S&P Corrects Rating on 2006-18-C Certs. to 'D' RESTRUCTURED ASSET: S&P Corrects Rating on $87 Mil. Certs. to 'D' RESTRUCTURED ASSET: S&P Corrects Rating on Certificates to 'D' RFC CDO: Moody's Downgrades Ratings on 10 Classes of 2006-1 Notes RFMSI SERIES: Moody's Downgrades Ratings on 193 Tranches SATURNS TRUST: Moody's Downgrades Rating on 2003-1 Notes to 'Ba3' SATURNS TRUST: S&P Raises Ratings on $75 Mil. Units to 'CCC-' SATURNS TRUST: S&P Downgrades Ratings on 2003-7 Notes to 'BB' SATURNS TRUST: S&P Affirms 'BB-' Rating on $60.192 Mil. Certs. SEQUOIA MORTGAGE: Moody's Junks 16 Class of Pass-Through Certs. SLATE CDO: S&P Downgrades Ratings on All Classes of 2007-1 Notes SPGS SPC: S&P Downgrades Ratings on Four Classes to 'D' SPRING ASSET: Moody's Confirms Ratings on 11 Classes of Notes STRUCTURED ENHANCED: Moody's Downgrades Rating on 2004-2 Notes STEERS CDO: S&P Junks Rating on $130 Mil. 2005-1 Certificates TIMES SQUARE: S&P Downgrades Rating on Amortizing Certs. to 'BB' WACHOVIA BANK: GGP Bankruptcy Cudes Moody's Review on Rake Bonds WELLS FARGO: Moody's Downgrades Ratings on 100 2007-11 Tranches * Fitch Sees Negative Trend in U.S. Public Finance Rating Actions * Moody's Downgrades Ratings on 77 Notes by 17 CDO Transactions * Moody's Downgrades Ratings on 131 Notes by 37 CDO Transactions * Moody's Downgrades Ratings on 138 Notes by 38 CDO Transactions * Moody's Downgrades Ratings on 141 Notes by 37 CDO Transactions * Moody's Reports Impact of Auto Industry on Municipal Issuers * S&P Downgrades Ratings on 36 Classes from 11 RMBS Transactions * S&P Downgrades Ratings on 39 Tranches from Nine Hybrid CDO Deals * S&P Downgrades Ratings on 55 Classes of Notes from Five CDOs * S&P Downgrades Ratings on 57 Classes from 18 Prime Jumbo RMBS * S&P Downgrades Ratings on 77 Classes from 12 RMBS Transactions * S&P Downgrades Ratings on 96 Classes from 40 Prime RMBS Deals * S&P Downgrades Ratings on 244 Classes from 27 RMBS Transactions * S&P Downgrades Ratings on 272 Classes of Certificates to 'D' * S&P Downgrades Ratings on Classes of Notes by Various Issuers ********* ABACUS 2005-1: S&P Downgrades Ratings on Four Classes of Notes -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes of notes issued by ABACUS 2005-1 CB1 Ltd. The lowered ratings follow a number of recent credit events within the underlying portfolio. Specifically, write downs in the transaction's underlying reference portfolio have caused the class C and D notes to incur principal losses. S&P lowered its ratings on the other two classes in connection with decreased subordination levels available to support the notes. Ratings Lowered ABACUS 2005-1 CB1 Ltd. Rating ------ Class To From ----- -- ---- A-1 BB+ BBB- A-2 B B+ C D CCC- D D CCC- Other Ratings Outstanding ABACUS 2005-1 CB1 Ltd. Class Rating ----- ------ B CCC- E-1 D E-2 D F D G D ABSPOKE 2005-IB: S&P Withdraws 'BB-' Rating on Notes ---------------------------------------------------- Standard & Poor's Ratings Services withdrew its 'BB-' rating on the notes issued by ABSpoke 2005-IB Ltd. S&P withdrew the rating following the optional termination redemption that took place on April 15, 2009, pursuant to section 8.06(a)(i) of the indenture dated May 19, 2005. Rating Withdrawn ABSpoke 2005-IB Ltd. Rating ------ Class To From ----- -- ---- ABSpoke NR BB- NR -- Not rated. BEAR STEARNS: Fitch Junks Ratings on Two Classes of 2000-WF2 Notes ------------------------------------------------------------------ Fitch Ratings downgrades and assigns Recovery Ratings to Bear Stearns Commercial Mortgage Securities Inc.'s commercial mortgage pass-through certificates, series 2000-WF2: -- $4.2 million class L to 'CCC/RR2' from 'B'; -- $8.9 million class M to 'CC/RR5' from 'B-'. Fitch also affirms and assigns Rating Outlooks: -- $514.8 million class A-2 at 'AAA'; Outlook Stable; -- Interest-only class X at 'AAA'; Outlook Stable; -- $28.3 million class B at 'AAA'; Outlook Stable; -- $26.2 million class C at 'AAA'; Outlook Stable; -- $8.4 million class D at 'AAA'; Outlook Stable; -- $23.1 million class E at 'A+'; Outlook Stable; -- $7.3 million class F at 'A-'; Outlook Stable. Fitch does not rate classes G, H, I, J, K and N. Class A-1 has paid in full. The downgrades are the result of Fitch's loss expectations on two loans (2.9%) transferred to special servicing since the prior Fitch review. Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. As of the March 2009 distribution date, the pool's aggregate certificate balance has decreased 22.5% to $649.9 million from $838.5 million at issuance. Thirty-seven loans (36.0%) have defeased. There are currently 13 Fitch Loans of Concern (6.4%), including the two loans in special servicing. The largest specially serviced loan (1.7%) is secured by two industrial properties in Webster, New York. The loan has been delinquent since January 2008. The servicer-reported occupancy as of January 2009 was 32%. The special servicer is pursuing foreclosure. The second specially serviced asset (1.2%) is an industrial property in Westborough, Massachusetts. The property has been vacant for three years and borrower has been unable to locate a new tenant or buyer. The loan became real estate owned as of February 2009, and the special servicer will begin marketing the property shortly. Fitch reviewed the two shadow-rated loans in the pool, the MHC Portfolio (13.2%) and FM Global Headquarters (0.5%). The FM Global Headquarters loan has fully defeased. Both loans maintain their investment grade shadow ratings based on their stable performance. The MHC Portfolio is secured by six manufactured housing communities located in Florida, California and Illinois. The servicer reported occupancy has improved to 100% as of year-end 2008, as compared to 85% as of YE 2007. The YE 2008 servicer reported net cash flow has improved 24% since issuance. Of the non-defeased loans, approximately 16% have maturity dates in the next 12 months. The weighted average debt service coverage ratio and interest rate for these loans were 1.6 times and 8.1%, respectively. BEXAR COUNTY HOUSING: Moody's Affirms 'Ba1' Rating on 2001A Bonds ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on Bexar County Housing Finance Corporation Multifamily Housing Revenue Bonds (American Opportunity for Housing - Colinas LLC Project) at Ba1 for Series 2001A ($26,475,000 outstanding) and at B1 for Series 2001C ($3,600,000 outstanding). The Senior Bonds also carry the enhanced rating based on the municipal bond insurance policy provided by MBIA. The affirmations are reflective of the improved weighted average occupancy levels and debt service coverage levels in 2008 that are comparable with the benchmarks for the current rating categories. The outlook on both Series is Stable due to improved occupancy levels and financial performance from 2006 to 2008, balanced with rising repair and maintenance expenses and the use of concessions to attract renters in a difficult economic environment. The bonds are secured by the revenues from three cross collateralized properties, Las Colinas Apartments, Huebner Oaks Apartments and Perrin Crest Apartments, as well as by funds and investments pledged to the trustee under the indenture as security for the bonds. Las Colinas is a 232-unit garden style apartment complex built in 1978, composed of 30 two-story buildings and is located approximately 20 miles north west of the San Antonio central business district. Huebner Oaks is a 344-unit garden style apartment complex built in 1984, composed of 23 two-story buildings and is located approximately 12 miles north west of the San Antonio central business district. Perrin Crest is a 200-unit garden style apartment complex built in 1985, composed of 13 two- story buildings and is located approximately 12 miles north east of the San Antonio central business district. The three properties are owned by American Opportunity for Housing, a non- profit organization that maintains a Community Housing Development Organization status in the state of Texas. Management of the properties is overseen by The Lynd Company which manages over 6,000 units in the state of Texas alone. Recent Developments Debt service coverage ratios, derived from 2008 audited financial statements have improved to 1.30 from 1.18 (2006) for 2001A and to 1.11 from 1.01 (2006) for 2001C. Weighted average monthly occupancy averaged 90.6% in 2008, with the weakness attributed to the Las Colinas properties (87.7%) that experienced high vacancy from move-outs of students at University of Texas at San Antonio. March 2009 weighted average occupancy is 92.1%, with Heubner Oaks the weakest at 91%. The Lynd company has been actively managing lease expirations by offering concessions two months prior to lease termination dates in order to mitigate turnover expenses; a recently completed a lease-a-thon at the Heubner Oaks property was successful in filing February turnover. Operational costs have increased across the properties as numerous underground water line breaks have caused unanticipated but necessary contractor repair expenses in early 2009 which has been mitigated through cut backs in administrative expenses. The addition of wi-fi to all three properties has increased curb appeal and received positive feed- back from residents. Torto Wheaton Research forecasts rent growth of -0.5% in 2009 and 2.7% in 2010 for the Huebner Oaks' and Las Colinas' submarket. Occupancy in the submarket is forecasted to improve from 92.8% in 2008 to 93.9% in 2010. Perrin Crest's submarket is forecasted to under perform with -0.04% rent growth in 2009 and 2.9% in 2010. Occupancy is forecast to improve from 92.8% in 2008 to 94.1% in 2010. Legal Security: The bonds are limited obligations payable solely from the revenues, receipts and security pledged in the Trust Indenture. Interest Rate Derivatives: None Credit Strengths * Debt service reserves are fully funded as of 3/20/2009 * Excess cash in the surplus fund of $709,754.26 as of 3/20/2009 * Audited financial statements for 2007 and 2008 indicate improved debt service coverage Credit Challenges * High concentration of renters at Las Colinas from the student population of the University Texas at San Antonio and a high concentration of contract employees from USAA World Headquarters who live at Huebner Oaks could negatively impact occupancy if university attendance declines or large layoffs occur * Raising operating expenses from maintenance and repair costs for the upkeep of these older properties could negatively impact debt service coverage levels if turnover levels increase * Investments are tied to an MBIA Inc. GIC Outlook The outlook for the bonds is stable as improved financial performance and occupancy levels from 2006-2008 is mitigated by increased operating expenses and rental concessions. What could change the rating - UP * Stable weighted average occupancy * Improved debt service coverage * Fully funded debt service funds. What could change the rating - DOWN * Declines in debt service coverage levels * Weakened occupancy or concessions having a negative impact on rental income * Tapping of the Debt Service Reserve Funds The last rating action was on February 19, 2008 when Bexar County Housing Finance Corporation Multifamily Housing Revenue Bonds (American Opportunity for Housing - Colinas LLC Project) was affirmed at Ba1 for Series 2001A and at B1 for Series 2001C with a Stable outlook. BXG RECEIVABLES: Moody's Reviews Ratings on 21 Classes of Notes --------------------------------------------------------------- Moody's Investors Service placed on review for possible downgrade the ratings of twenty one notes issued by five BXG Receivables Note trusts issued in 2004, 2005, 2006, 2007 and 2008. The underlying collateral consists of timeshare loan receivables. The review of the notes was prompted by worse than expected performance of the underlying collateral pools as indicated by rising defaults and delinquencies. The analysis was primarily focused on the ratio of credit enhancement to expected gross charge-offs. Gross charge-offs on the remaining pools were assessed based on the level and shape of the cumulative gross charge-off curves and cumulative gross charge-off to amortization curve with additional consideration of the current economic environment and the nature of the asset class. The total credit enhancement available includes over collateralization, reserve fund and excess spread. As of February 28, 2009, over collateralization of BXG 2004-B, 2005-A, 2006-B, 2007-A and 2008-A represented 9.00%, 10.00%, 9.00%, 11.50% and 12.50% of the outstanding pool balance respectively. In addition, the reserve for 2004-B, 2005-A, 2006-B and 2007-A was at the floor or 1.50%, 1.50%, 1.50% and 5.00% of the initial pool balance whereas the reserve of the 2008-A was 7% of the outstanding pool balance. The complete rating actions are: Issuer: BXG Receivables Note Trust 2004-B -- Class D, Placed Under Review for Possible Downgrade; previously on 7/19/2004 Assigned Baa3. Issuer: BXG Receivables Note Trust 2005-A -- Class B, Placed Under Review for Possible Downgrade; previously on 1/11/2006 Assigned Aa2; -- Class C, Placed Under Review for Possible Downgrade; previously on 1/11/2006 Assigned A2; -- Class D, Placed Under Review for Possible Downgrade; previously on 1/11/2006 Assigned Baa1; -- Class E, Placed Under Review for Possible Downgrade; previously on 1/11/2006 Assigned Baa3; -- Class F, Placed Under Review for Possible Downgrade; previously on 1/11/2006 Assigned Ba2. Issuer: BXG Receivables Note Trust 2006-B -- Class B, Placed Under Review for Possible Downgrade; previously on 9/25/2006 Assigned Aa2; -- Class C, Placed Under Review for Possible Downgrade; previously on 9/25/2006 Assigned A2; -- Class D, Placed Under Review for Possible Downgrade; previously on 9/25/2006 Assigned Baa1; -- Class E, Placed Under Review for Possible Downgrade; previously on 9/25/2006 Assigned Baa3; -- Class F, Placed Under Review for Possible Downgrade; previously on 9/25/2006 Assigned Ba2. Issuer: BXG Receivables Note Trust 2007-A -- Class C, Placed Under Review for Possible Downgrade; previously on 10/21/2007 Assigned A3; -- Class D, Placed Under Review for Possible Downgrade; previously on 10/21/2007 Assigned Baa1; -- Class E, Placed Under Review for Possible Downgrade; previously on 10/21/2007 Assigned Baa2; -- Class F, Placed Under Review for Possible Downgrade; previously on 10/21/2007 Assigned Baa3; -- Class G, Placed Under Review for Possible Downgrade; previously on 10/21/2007 Assigned Ba2. Issuer: BXG Receivables Note Trust 2008-A -- Class C, Placed Under Review for Possible Downgrade; previously on 3/31/2008 Assigned A3; -- Class D, Placed Under Review for Possible Downgrade; previously on 3/31/2008 Assigned Baa1; -- Class E, Placed Under Review for Possible Downgrade; previously on 3/31/2008 Assigned Baa2; -- Class F, Placed Under Review for Possible Downgrade; previously on 3/31/2008 Assigned Baa3; -- Class G, Placed Under Review for Possible Downgrade; previously on 3/31/2008 Assigned Ba2. BRASCAN STRUCTURED: Moody's Cuts Ratings on Three 2005-2 Notes -------------------------------------------------------------- Moody's Investors Service confirmed the ratings two classes and downgraded three classes of Notes issued by Brascan Structured Notes 2005-2, Ltd. The rating actions are: -- Class A, $103,050,000, Floating Rate Notes Due 2040, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $29,700,000, Revolving Floating Rate Notes Due 2040, confirmed at Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $34,500,000, Floating Rate Notes Due 2040, downgraded to A3 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $34,500,000, Floating Rate Notes Due 2040, downgraded to Ba1 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $13,350,000, Floating Rate Notes Due 2040, downgraded to B2 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's confirmed Classes A and B, and downgraded the remaining Classes due to deteriorating pool performance and revised modeling parameters. The pool contains a 5% concentration in CMBS collateral all of which was issued prior to 2006. The remaining pool collateral includes ABS securities, whole loans, subordinate debt 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 review is summarized in a press release dated May 16, 2008. BRUSHFIELD 2007-1: Writedowns Cue S&P's Note Rating Cut to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on five classes of notes issued by Brushfield 2007-1 Ltd. to 'D' from 'CCC-'. The lowered ratings follow a number of recent credit events within the underlying portfolio. Writedowns in the underlying reference portfolio have caused all classes to incur a principal loss. Ratings Lowered Brushfield 2007-1 Ltd. Rating ------ Class To From ----- -- ---- A-1LB D CCC- A-2L D CCC- A-3L D CCC- B-1L D CCC- B-2L D CCC- CHASE COMMERCIAL: Fitch Raises Rating on $8.1 Mil. Notes to 'B+' ---------------------------------------------------------------- Fitch Ratings upgrades and assigns Rating Outlooks to Chase Commercial Mortgage Securities Corp., series 1997-2: -- $12.2 million class H to 'A+' from 'BB+'; Stable Outlook; -- $8.1 million class I to 'B+' from 'B-'; Stable Outlook. In addition, Fitch affirms and assigns Rating Outlooks to these classes: -- Interest-only class X at 'AAA'; Stable Outlook; -- $16.9 million class F at 'AAA'; Stable Outlook; -- $6.1 million class G at 'AAA'; Stable Outlook. The $4.7 million class J certificates are not rated by Fitch. Classes A-1, A-2, B, C, D and E are paid in full. The rating upgrades are the result of additional pay down of 8.6% and increase in subordination since Fitch's last rating action. As of the March 2009 distribution date, the pool's aggregate collateral balance has been reduced 94.1%, to $48 million from $814 million at issuance. Nine loans remain outstanding, three of which are defeased (27.5%). The remaining loans are all amortizing and interest rates range from 7.20% to 8.52%. The largest remaining loan (38.3%) is secured by a 239,179 square foot retail center located in Norwalk, California. The servicer reported occupancy as of year-end 2008 was 99.3% with a debt service coverage ratio of 1.58 times (x). The loan is scheduled to mature in 2012. The second largest non-defeased loan (13.2%) is secured by a retail plaza located in Cambridge, Massachusetts. The servicer reported occupancy as of YE 2008 was 92.9% with a DSCR of 4.43x. The loan is scheduled to mature in 2012. Fitch has identified two loans as Fitch Loans of Concern (9.8%) due to declining occupancy. Both loans remain current and are scheduled to mature in 2012. CITICORP MORTGAGE: Moody's Downgrades Ratings on 136 Tranches ------------------------------------------------------------- Moody's Investors Service has downgraded 136 tranches from 11 deals issued by Citicorp Mortgage Securities Trust and Citigroup Mortgage Loan Trust in 2006 and 2007. The collateral backing these transactions consists primarily of first-lien, fixed and adjustable rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19th, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: Citicorp Mortgage Securities Tr Ser 2007-8 -- Cl. IA-1, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to Ba3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-IO, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-IO, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-1, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-IO, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities Trust 2006-4 -- Cl. IA-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-8, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-9, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-10, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-11, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-12, Downgraded to Baa1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-IO, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-IO, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-IO, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities Trust 2006-5 -- Cl. IA-1, Downgraded to Aa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-8, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-9, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-10, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-11, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-12, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-13, Downgraded to Baa1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-14, Downgraded to Baa1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-IO, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-IO, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-IO, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities Trust 2006-6 -- Cl. A-1, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Aa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to A3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-IO, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities Trust 2006-7 -- Cl. IA-1, Downgraded to Ba3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-IO, Downgraded to Ba3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-IO, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-IO, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Ba3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities Trust 2007-2 -- Cl. IA-1, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to Aa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-IO, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-I, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-IO, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-IO, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities Trust 2007-5 -- Cl. IA-6, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-9, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities Trust 2007-6 -- Cl. IA-1, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-8, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-9, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-10, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-11, Downgraded to Ba1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-12, Downgraded to Ba1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-13, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-14, Downgraded to Ba1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-IO, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-IO, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-1, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-IO, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities Trust 2007-9 -- Cl. IA-1, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. IA-IO, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-IO, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Caa1; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade Citicorp Mortgage Securities, Inc. 2006-3 -- Cl. IA-1, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to Ba1; previously on 10/6/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-8, Downgraded to Baa1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-9, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-10, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-11, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-12, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-13, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-14, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-15, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-16, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-17, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-18, Downgraded to Ba1; previously on 10/6/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-19, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-PO, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-1, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-2, Downgraded to Ba1; previously on 10/6/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Baa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade Citigroup Mortgage Loan Trust 2007-AR4 -- Cl. 1-A1A, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A1B, Downgraded to Ca; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-IO, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade CITIGROUP COMMERCIAL: GGP Bankruptcy Cudes Moody's Review on Bonds ------------------------------------------------------------------ Moody's Investors Service placed the ratings of 15 rake or non- pooled bonds from six CMBS transactions on review for possible downgrade due to concerns about potential non-reimbursed trust expenses and interest shortfalls related to the Chapter 11 bankruptcy filing of General Growth Properties and affiliates on April 16, 2009. In these transactions, Moody's rated promise is to the timely payment of interest and ultimate payment of principal by the final rated distribution date. Moody's action reflects the possibility that non-reimbursed trust expenses and interest shortfalls may cause a disruption in the timely payment of interest on the rake or non-pooled bonds. Like non-pooled bonds, rake bonds are exposed to the first loss occurring on a single loan, or to the non-reimbursed trust expenses and interest shortfalls that may occur as a result of the loan being transferred to special servicing. There is no benefit from the pooling of cash flows from other loans. As a result, special servicing fees, legal expenses, and other trust expenses may create interest shortfalls that could negatively impact the non-rated or rated classes in reverse sequential order. In some cases, these shortfalls and expenses may not be reimbursed by the loan borrower upon the return of the loan to master servicing. The bankruptcy filing includes 158 properties. Of these, 46 properties are in 39 Moody's rated U.S. CMBS transactions. Moody's has reviewed the 39 deals and has concluded that no action is warranted at this time on the remaining 33 deals where pooled GGP loans were subject to the Chapter 11 filing. Moody's will continue to monitor the GGP bankruptcy case and the transactions with exposure to GGP; if there are any material changes, rating actions will be taken, if warranted. In Moody's review, Moody's concluded that the GGP exposure was not material in some deals. In others, prior rating actions reflected a below-investment grade underlying rating for the asset commensurate with the current risk. Finally, in the remaining deals, amortization and improved property performance, along with bond level paydowns and increased credit enhancement, mitigated the increased probability of default and expected loss associated with GGP's bankruptcy filing. In addition, when interest shortfalls and non-reimbursed trust expenses occur in the transactions in which the GGP affected loans are pooled, there is a non-rated class or classes that have an appropriate low rating to absorb these shortfalls. Moody's rating action is: Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2006-C5 -- Class AMP-1, $40,000,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from Baa1 on 2/9/2009 -- Class AMP-2, $48,000,000, currently rated Baa3; on review for possible downgrade; previously downgraded to Baa3 from Baa2 on 2/9/2009 -- Class AMP-3, $27,000,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from Baa3 on 2/9/2009. These classes are supported by a B note secured by the borrower's interest in Ala Moana Center, a 2.0 million square foot regional mall and office component located in Honolulu, Hawaii. The Ala Moana Center is the dominant retail center in its trade area and is considered the world's largest open-air shopping center. The property recently completed an expansion that included a 200,000 square foot Nordstrom department store as well as 100,000 square feet of additional retail space. Moody's prior full review is summarized in a press release dated February 9, 2009. Gallery at Harborplace Mortgage Trust Commercial Mortgage Pass- Through Certificates, Series 2000-C5C -- Class B-1, $3,200,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from A3 on 3/11/2009 -- Class B-2, $5,100,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from Baa2 on 3/11/2009 -- Class B-3, $2,200,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from Baa3 on 3/11/2009 These classes are supported by a B note secured by the borrower's interest in Gallery at Harborplace, a 404,000 square foot office and retail mixed use complex located within the Inner Harbor development in Baltimore, Maryland. The property was developed in 1987 by The Rouse Company which was acquired by GGP in 2004. Moody's prior full review is summarized in a press release dated March 11, 2009. GE Commercial Mortgage Corporation, Commercial Mortgage Pass- Through Certificates, Series 2003-C2 -- Class BLVD-1, $1,706,377, currently rated A2, on review for possible downgrade; previously affirmed at A2 on 11/7/2007 -- Class BLVD-2, $2,501,000, currently rated A3, on review for possible downgrade; previously affirmed at A3 on 11/7/2007 -- Class BLVD-3, $4,502,000, currently rated Baa1, on review for possible downgrade; previously affirmed at Baa1 on 11/7/2007 -- Class BLVD-4, $3,549,000, currently rated Baa2, on review for possible downgrade; previously affirmed at Baa2 on 11/7/2007 -- Class BLVD-5, $7,960,750, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 11/7/2007 These classes are supported by a B note secured by the borrower's interest in Boulevard Mall, a 1.2 million square foot shopping center located in Las Vegas, Nevada. The center is anchored by Sears, Dillard's, Macy's and J.C. Penney. Moody's prior full review is summarized in a press release dated November 7, 2007. GS Mortgage Securities Corporation II, Commercial Pass-Through Certificates, Series 2001-GL III -- Class F-NFC, $10,460,000, currently rated Aa3, on review for possible downgrade; previously downgraded to Aa3 from Aa2 on 3/19/2009 -- Class G-NFC, $5,910,569, currently rated A1, on review for possible downgrade; previously downgraded to A1 from Aa3 on 7/31/2008 These classes are supported by a B note secured by the borrower's interest in Northridge Fashion Center, a 1.4 million square foot regional mall located in Northridge, California. The mall is anchored by Macy's, Sears and J.C. Penney. Moody's prior full review is summarized in a press release dated July 31, 2008. Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2004-C14 -- Class PP, $37,145,889, currently rated Ba1, on review for possible downgrade; previously affirmed at Ba1 on 5/4/2007 The class is supported by a B note secured by the borrower's interest in Park Place Mall, a 1.0 million square foot regional mall located in Tucson, Arizona. The center is anchored by Sears, Dillard's and Macy's. Moody's prior full review is summarized in a press release dated May 4, 2007. Wachovia Bank Commercial Mortgage Trust 2006-C26, Commercial Pass- Through Certificates, Series 2006-C26 -- Class WM, $10,000,000, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 2/10/2009 The class is supported by a B note secured by the borrower's interest in Woodlands Mall, 1.4 million square foot mall located in Woodlands, Texas. The center is anchored by Dillard's, Foley's, Sears and J.C. Penney. Moody's prior full review is summarized in a press release dated February 10, 2009. CORIOLANUS LIMITED: Moody's Junks Rating on $125 Mil. Notes ----------------------------------------------------------- Moody's Investors Service downgraded its rating of Series 82 $125,000,000 Variable Floating Rate CDO Linked Secured Notes due 2051 issued pursuant to its EUR10,000,000,000 Secured Note Programme issued by Coriolanus Limited. The rating actions are: Class Description: Series 82 $125,000,000 Variable Floating Rate CDO Linked Secured Notes due 2051 -- Current Rating: Ca -- Prior Rating: B1 on review for possible downgrade -- Prior Rating Date: 07/22/08 The transaction is a repackaged security whose rating changes with the ratings of the underlying securities. The rating action is a result of the change of the ratings of Class A-1 Senior Secured Floating Rate Notes Due December 2051 and Class A-2 Senior Secured Floating Rate Notes Due December 2051. CORONADO CDO: Fitch Junks Ratings on Four Classes of Notes ---------------------------------------------------------- Fitch Ratings downgrades six classes of notes issued by Coronado CDO, Ltd./Inc.: -- $242,473,673 class A-1 notes to 'BB' from 'AA'; Outlook Negative; -- $3,215,831 class A-2 notes to 'BB' from 'AA'; Outlook Negative; -- $62,000,000 class B-1 notes to 'CC' from 'BB'; -- $15,000,000 class B-2 notes to 'CC' from 'BB'; -- $6,750,000 class C-1 notes to 'C' from 'B'; -- $13,500,000 class C-2 notes to 'C' from 'B'. Fitch has also removed the class B-1, B-2 (together, class B), C-1 and C-2 (together, class C) notes from Rating Watch Negative. The class A-1 and A-2 (together, class A) notes were assigned a Negative Outlook due to the high concentration of residential mortgage-backed securities in the portfolio that are expected to continue to face negative pressure until the housing market stabilizes. Fitch does not assign Rating Outlooks to classes rated 'CCC' or below. The downgrades to the notes are the result of credit deterioration experienced since Fitch's review in May 2008, and reflect Fitch's view on the credit risk of the rated notes following the release of its new rating criteria for structured finance collateralized debt obligations. Fitch now considers 38.7% of the portfolio to be rated below investment grade with 21.5% of the portfolio considered rated 'CCC+' or lower. Approximately 19% of the portfolio is now considered defaulted per the transaction's governing documents. MBIA Inc. insures the class A notes via an unconditional, irrevocable financial guarantee. However, because Fitch no longer rates MBIA, the current rating of the class A notes is based solely on the credit quality of the portfolio and on structural features of the transaction. Interest proceeds have been diverted to redeem class A principal after paying class B accrued interest on the previous two distribution dates due to the failure of the class B overcollateralization test. The class B OC ratio was 89.3% versus its trigger of 104.9% as of the March 31, 2009 trustee report. The class A OC test began to fail as of the March 31, 2009 trustee report with a ratio of 117.3% versus a 118.9% threshold. Class B will continue to receive interest even if the class A OC test continues to fail on the June 2009 payment date as class B accrued interest is paid prior the class A OC test. The class B notes will continue to receive timely accrued interest distributions due to its position in the priority of payments. However, based on the performance expectations of the 'CCC+' or lower rated portion of the portfolio, they are not expected to receive any significant principal distributions. The class C-1 and C-2 notes are not expected to receive any interest or principal distributions going forward due to the failure of the class B OC test, which is unlikely to be cured. Coronado is a SF CDO that closed on Sept. 4, 2003 and is managed by Western Asset Management Company. Coronado exited its reinvestment period in March 2007. The portfolio is comprised primarily of RMBS (63.9%), asset-backed securities (17.1%), commercial mortgage-backed securities (15%) and corporate CDOs (3.6%). These 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. As part of this review, Fitch made 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. CORPORATE BACKED: S&P Raises Rating on $25 Mil. Certs. to 'CCC-' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on Corporate Backed Trust Certificates Ford Motor Co. Note-Backed Series 2003-6 Trust's $25 million class A-1 8.0% pass-through certificates series 2003-6 to 'CCC-' from 'D'. The rating action follows the April 13, 2009, raising of S&P's rating on Ford Motor Co.'s 7.45% global landmark securities due July 16, 2031, the underlying security, to 'CCC-' from 'D'. The rating on the class A-1 certificates is dependent on the rating on the underlying security. CORTS TRUST: S&P Raises Rating on $219.584 Mil. Notes to 'CCC-' --------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on CorTS Trust II for Ford Notes' $219.584 million 8.0% pass-through trust certificates series 2003-3 to 'CCC-' from 'D'. The rating action follows the April 13, 2009, raising of S&P's rating on Ford Motor Co.'s 7.45% global landmark securities due July 16, 2031, the underlying security, to 'CCC-' from 'D'. The rating on the series 2003-3 trust certificates is dependent on the rating on the underlying security. CORTS TRUST: S&P Raises Rating on $300 Mil. Certs. to 'CCC-' ------------------------------------------------------------ Standard & Poor's Ratings Services raised its rating on CorTS Trust For Ford Debentures' $300 million 7.4% pass-through certificates to 'CCC-' from 'D'. The rating action follows the April 13, 2009, raising of S&P's rating on Ford Motor Co.'s 7.4% debentures due Nov. 1, 2046, the underlying security, to 'CCC-' from 'D'. The rating on the certificates is dependent on the rating on the underlying security. CRAFT 2005-3: Moody's Junks Ratings on Series M-2 Notes ------------------------------------------------------- Moody's Investors Service has downgraded its rating of notes issued by CRAFT 2005-3, Ltd., replenishable synthetic Balance Sheet collateralized debt obligation transactions referencing a pool of bank originated corporate loans. The rating action reflects (a) the deterioration in the credit quality of the transaction's reference portfolio and (b) the revision of certain key assumptions that the agency uses to rate and monitor corporate synthetic CDOs. These revised assumptions incorporate Moody's expectation that 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 titled "Moody's updates key assumptions for rating corporate synthetic CDOs" published on January 15, 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. 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 this 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 (March 2009) -- Modeling Recovery Rates in European CDOs The rating action is: Class Description: Series M-2 Mezzanine Credit Linked Notes due 2012 -- Current Rating: Caa3 -- Prior Rating: Ba2 -- Prior Rating Date: September 28, 2006 EL PASO HOUSING: Moody's Affirms 'Ba3' Rating on Jr. Sub Bonds -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on El Paso Housing Corporation, Multifamily Housing Revenue Bonds (La Plaza Apartments): Baa1 on the Series 2000 A and B; Baa3 on the Subordinate Series C; and Ba3 on the Junior Subordinate Series D. The outlook is revised to negative from stable. Use Of Proceeds: The bonds were issued for the purpose of financing the acquisition, rehabilitation and equipping of a 129 unit multifamily housing development located in El Paso, Texas and occupied by persons of low and moderate income. Legal Security: The bonds are limited obligations of the issuer payable solely from and secured, to the extent and as provided in the indenture, by pledge of: 1) all right and title interest of the issuer; 2) funds, including monies and investments held by the trustee pursuant to the indenture. Strengths: * Strong reserve balances with maximum annual debt service reserve fully funded. As of September 30, 2008, the senior, junior and junior subordinate funds are fully funded. * The project consistently maintains strong debt service coverage (1.52/1.31/1.13) senior, junior and junior subordinate respectively. * The project consistently maintains high occupancy levels (97% as of March 2009). Challenges * Growing expenses charged to reserve and replacement balances may become recurring expenses, thereby reducing net operating income * Small size of the projects make cash flow somewhat volatile, as small swings in revenues or expenses can have a disproportionately large impact on NOI; * Potential market competition arising from increased multifamily building may attract tenants, possible increasing vacancy. * Market forecast indicates slow or stagnant rental revenue growth which may necessitate prolonged concessions as well as limiting rental increases Outlook The outlook is revised to negative from stable for the Senior, Subordinate and Junior Subordinate Bonds. This reflects Moody's the projects declining debt service coverage as well as a weakening growth in the El Paso rental market. What Could Cause the rating to go UP Significant improvement in debt service coverage. What Could Cause the rating to go DOWN The deterioration of occupancy levels or declines in debt service coverage. Capital expenditures becoming more frequent, thereby reducing net operating income. GALLERY AT HARBORPLACE: GGP Bankruptcy Cues Moody's Study on Bonds ------------------------------------------------------------------ Moody's Investors Service placed the ratings of 15 rake or non- pooled bonds from six CMBS transactions on review for possible downgrade due to concerns about potential non-reimbursed trust expenses and interest shortfalls related to the Chapter 11 bankruptcy filing of General Growth Properties and affiliates on April 16, 2009. In these transactions, Moody's rated promise is to the timely payment of interest and ultimate payment of principal by the final rated distribution date. Moody's action reflects the possibility that non-reimbursed trust expenses and interest shortfalls may cause a disruption in the timely payment of interest on the rake or non-pooled bonds. Like non-pooled bonds, rake bonds are exposed to the first loss occurring on a single loan, or to the non-reimbursed trust expenses and interest shortfalls that may occur as a result of the loan being transferred to special servicing. There is no benefit from the pooling of cash flows from other loans. As a result, special servicing fees, legal expenses, and other trust expenses may create interest shortfalls that could negatively impact the non-rated or rated classes in reverse sequential order. In some cases, these shortfalls and expenses may not be reimbursed by the loan borrower upon the return of the loan to master servicing. The bankruptcy filing includes 158 properties. Of these, 46 properties are in 39 Moody's rated U.S. CMBS transactions. Moody's has reviewed the 39 deals and has concluded that no action is warranted at this time on the remaining 33 deals where pooled GGP loans were subject to the Chapter 11 filing. Moody's will continue to monitor the GGP bankruptcy case and the transactions with exposure to GGP; if there are any material changes, rating actions will be taken, if warranted. In Moody's review, Moody's concluded that the GGP exposure was not material in some deals. In others, prior rating actions reflected a below-investment grade underlying rating for the asset commensurate with the current risk. Finally, in the remaining deals, amortization and improved property performance, along with bond level paydowns and increased credit enhancement, mitigated the increased probability of default and expected loss associated with GGP's bankruptcy filing. In addition, when interest shortfalls and non-reimbursed trust expenses occur in the transactions in which the GGP affected loans are pooled, there is a non-rated class or classes that have an appropriate low rating to absorb these shortfalls. Moody's rating action is: Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2006-C5 -- Class AMP-1, $40,000,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from Baa1 on 2/9/2009 -- Class AMP-2, $48,000,000, currently rated Baa3; on review for possible downgrade; previously downgraded to Baa3 from Baa2 on 2/9/2009 -- Class AMP-3, $27,000,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from Baa3 on 2/9/2009. These classes are supported by a B note secured by the borrower's interest in Ala Moana Center, a 2.0 million square foot regional mall and office component located in Honolulu, Hawaii. The Ala Moana Center is the dominant retail center in its trade area and is considered the world's largest open-air shopping center. The property recently completed an expansion that included a 200,000 square foot Nordstrom department store as well as 100,000 square feet of additional retail space. Moody's prior full review is summarized in a press release dated February 9, 2009. Gallery at Harborplace Mortgage Trust Commercial Mortgage Pass- Through Certificates, Series 2000-C5C -- Class B-1, $3,200,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from A3 on 3/11/2009 -- Class B-2, $5,100,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from Baa2 on 3/11/2009 -- Class B-3, $2,200,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from Baa3 on 3/11/2009 These classes are supported by a B note secured by the borrower's interest in Gallery at Harborplace, a 404,000 square foot office and retail mixed use complex located within the Inner Harbor development in Baltimore, Maryland. The property was developed in 1987 by The Rouse Company which was acquired by GGP in 2004. Moody's prior full review is summarized in a press release dated March 11, 2009. GE Commercial Mortgage Corporation, Commercial Mortgage Pass- Through Certificates, Series 2003-C2 -- Class BLVD-1, $1,706,377, currently rated A2, on review for possible downgrade; previously affirmed at A2 on 11/7/2007 -- Class BLVD-2, $2,501,000, currently rated A3, on review for possible downgrade; previously affirmed at A3 on 11/7/2007 -- Class BLVD-3, $4,502,000, currently rated Baa1, on review for possible downgrade; previously affirmed at Baa1 on 11/7/2007 -- Class BLVD-4, $3,549,000, currently rated Baa2, on review for possible downgrade; previously affirmed at Baa2 on 11/7/2007 -- Class BLVD-5, $7,960,750, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 11/7/2007 These classes are supported by a B note secured by the borrower's interest in Boulevard Mall, a 1.2 million square foot shopping center located in Las Vegas, Nevada. The center is anchored by Sears, Dillard's, Macy's and J.C. Penney. Moody's prior full review is summarized in a press release dated November 7, 2007. GS Mortgage Securities Corporation II, Commercial Pass-Through Certificates, Series 2001-GL III -- Class F-NFC, $10,460,000, currently rated Aa3, on review for possible downgrade; previously downgraded to Aa3 from Aa2 on 3/19/2009 -- Class G-NFC, $5,910,569, currently rated A1, on review for possible downgrade; previously downgraded to A1 from Aa3 on 7/31/2008 These classes are supported by a B note secured by the borrower's interest in Northridge Fashion Center, a 1.4 million square foot regional mall located in Northridge, California. The mall is anchored by Macy's, Sears and J.C. Penney. Moody's prior full review is summarized in a press release dated July 31, 2008. Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2004-C14 -- Class PP, $37,145,889, currently rated Ba1, on review for possible downgrade; previously affirmed at Ba1 on 5/4/2007 The class is supported by a B note secured by the borrower's interest in Park Place Mall, a 1.0 million square foot regional mall located in Tucson, Arizona. The center is anchored by Sears, Dillard's and Macy's. Moody's prior full review is summarized in a press release dated May 4, 2007. Wachovia Bank Commercial Mortgage Trust 2006-C26, Commercial Pass- Through Certificates, Series 2006-C26 -- Class WM, $10,000,000, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 2/10/2009 The class is supported by a B note secured by the borrower's interest in Woodlands Mall, 1.4 million square foot mall located in Woodlands, Texas. The center is anchored by Dillard's, Foley's, Sears and J.C. Penney. Moody's prior full review is summarized in a press release dated February 10, 2009. GE COMMERCIAL: GGP Bankruptcy Cues Moody's Review on Rake Bonds ---------------------------------------------------------------- Moody's Investors Service placed the ratings of 15 rake or non- pooled bonds from six CMBS transactions on review for possible downgrade due to concerns about potential non-reimbursed trust expenses and interest shortfalls related to the Chapter 11 bankruptcy filing of General Growth Properties and affiliates on April 16, 2009. In these transactions, Moody's rated promise is to the timely payment of interest and ultimate payment of principal by the final rated distribution date. Moody's action reflects the possibility that non-reimbursed trust expenses and interest shortfalls may cause a disruption in the timely payment of interest on the rake or non-pooled bonds. Like non-pooled bonds, rake bonds are exposed to the first loss occurring on a single loan, or to the non-reimbursed trust expenses and interest shortfalls that may occur as a result of the loan being transferred to special servicing. There is no benefit from the pooling of cash flows from other loans. As a result, special servicing fees, legal expenses, and other trust expenses may create interest shortfalls that could negatively impact the non-rated or rated classes in reverse sequential order. In some cases, these shortfalls and expenses may not be reimbursed by the loan borrower upon the return of the loan to master servicing. The bankruptcy filing includes 158 properties. Of these, 46 properties are in 39 Moody's rated U.S. CMBS transactions. Moody's has reviewed the 39 deals and has concluded that no action is warranted at this time on the remaining 33 deals where pooled GGP loans were subject to the Chapter 11 filing. Moody's will continue to monitor the GGP bankruptcy case and the transactions with exposure to GGP; if there are any material changes, rating actions will be taken, if warranted. In Moody's review, Moody's concluded that the GGP exposure was not material in some deals. In others, prior rating actions reflected a below-investment grade underlying rating for the asset commensurate with the current risk. Finally, in the remaining deals, amortization and improved property performance, along with bond level paydowns and increased credit enhancement, mitigated the increased probability of default and expected loss associated with GGP's bankruptcy filing. In addition, when interest shortfalls and non-reimbursed trust expenses occur in the transactions in which the GGP affected loans are pooled, there is a non-rated class or classes that have an appropriate low rating to absorb these shortfalls. Moody's rating action is: Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2006-C5 -- Class AMP-1, $40,000,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from Baa1 on 2/9/2009 -- Class AMP-2, $48,000,000, currently rated Baa3; on review for possible downgrade; previously downgraded to Baa3 from Baa2 on 2/9/2009 -- Class AMP-3, $27,000,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from Baa3 on 2/9/2009. These classes are supported by a B note secured by the borrower's interest in Ala Moana Center, a 2.0 million square foot regional mall and office component located in Honolulu, Hawaii. The Ala Moana Center is the dominant retail center in its trade area and is considered the world's largest open-air shopping center. The property recently completed an expansion that included a 200,000 square foot Nordstrom department store as well as 100,000 square feet of additional retail space. Moody's prior full review is summarized in a press release dated February 9, 2009. Gallery at Harborplace Mortgage Trust Commercial Mortgage Pass- Through Certificates, Series 2000-C5C -- Class B-1, $3,200,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from A3 on 3/11/2009 -- Class B-2, $5,100,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from Baa2 on 3/11/2009 -- Class B-3, $2,200,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from Baa3 on 3/11/2009 These classes are supported by a B note secured by the borrower's interest in Gallery at Harborplace, a 404,000 square foot office and retail mixed use complex located within the Inner Harbor development in Baltimore, Maryland. The property was developed in 1987 by The Rouse Company which was acquired by GGP in 2004. Moody's prior full review is summarized in a press release dated March 11, 2009. GE Commercial Mortgage Corporation, Commercial Mortgage Pass- Through Certificates, Series 2003-C2 -- Class BLVD-1, $1,706,377, currently rated A2, on review for possible downgrade; previously affirmed at A2 on 11/7/2007 -- Class BLVD-2, $2,501,000, currently rated A3, on review for possible downgrade; previously affirmed at A3 on 11/7/2007 -- Class BLVD-3, $4,502,000, currently rated Baa1, on review for possible downgrade; previously affirmed at Baa1 on 11/7/2007 -- Class BLVD-4, $3,549,000, currently rated Baa2, on review for possible downgrade; previously affirmed at Baa2 on 11/7/2007 -- Class BLVD-5, $7,960,750, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 11/7/2007 These classes are supported by a B note secured by the borrower's interest in Boulevard Mall, a 1.2 million square foot shopping center located in Las Vegas, Nevada. The center is anchored by Sears, Dillard's, Macy's and J.C. Penney. Moody's prior full review is summarized in a press release dated November 7, 2007. GS Mortgage Securities Corporation II, Commercial Pass-Through Certificates, Series 2001-GL III -- Class F-NFC, $10,460,000, currently rated Aa3, on review for possible downgrade; previously downgraded to Aa3 from Aa2 on 3/19/2009 -- Class G-NFC, $5,910,569, currently rated A1, on review for possible downgrade; previously downgraded to A1 from Aa3 on 7/31/2008 These classes are supported by a B note secured by the borrower's interest in Northridge Fashion Center, a 1.4 million square foot regional mall located in Northridge, California. The mall is anchored by Macy's, Sears and J.C. Penney. Moody's prior full review is summarized in a press release dated July 31, 2008. Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2004-C14 -- Class PP, $37,145,889, currently rated Ba1, on review for possible downgrade; previously affirmed at Ba1 on 5/4/2007 The class is supported by a B note secured by the borrower's interest in Park Place Mall, a 1.0 million square foot regional mall located in Tucson, Arizona. The center is anchored by Sears, Dillard's and Macy's. Moody's prior full review is summarized in a press release dated May 4, 2007. Wachovia Bank Commercial Mortgage Trust 2006-C26, Commercial Pass- Through Certificates, Series 2006-C26 -- Class WM, $10,000,000, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 2/10/2009 The class is supported by a B note secured by the borrower's interest in Woodlands Mall, 1.4 million square foot mall located in Woodlands, Texas. The center is anchored by Dillard's, Foley's, Sears and J.C. Penney. Moody's prior full review is summarized in a press release dated February 10, 2009. GENERAL GROWTH: Bankruptcy Cues Moody's Review on 15 Rake Bonds -------------------------------------------------------------- Moody's Investors Service placed the ratings of 15 rake or non- pooled bonds from six CMBS transactions on review for possible downgrade due to concerns about potential non-reimbursed trust expenses and interest shortfalls related to the Chapter 11 bankruptcy filing of General Growth Properties and affiliates on April 16, 2009. In these transactions, Moody's rated promise is to the timely payment of interest and ultimate payment of principal by the final rated distribution date. Moody's action reflects the possibility that non-reimbursed trust expenses and interest shortfalls may cause a disruption in the timely payment of interest on the rake or non-pooled bonds. Like non-pooled bonds, rake bonds are exposed to the first loss occurring on a single loan, or to the non-reimbursed trust expenses and interest shortfalls that may occur as a result of the loan being transferred to special servicing. There is no benefit from the pooling of cash flows from other loans. As a result, special servicing fees, legal expenses, and other trust expenses may create interest shortfalls that could negatively impact the non-rated or rated classes in reverse sequential order. In some cases, these shortfalls and expenses may not be reimbursed by the loan borrower upon the return of the loan to master servicing. The bankruptcy filing includes 158 properties. Of these, 46 properties are in 39 Moody's rated U.S. CMBS transactions. Moody's has reviewed the 39 deals and has concluded that no action is warranted at this time on the remaining 33 deals where pooled GGP loans were subject to the Chapter 11 filing. Moody's will continue to monitor the GGP bankruptcy case and the transactions with exposure to GGP; if there are any material changes, rating actions will be taken, if warranted. In Moody's review, Moody's concluded that the GGP exposure was not material in some deals. In others, prior rating actions reflected a below-investment grade underlying rating for the asset commensurate with the current risk. Finally, in the remaining deals, amortization and improved property performance, along with bond level paydowns and increased credit enhancement, mitigated the increased probability of default and expected loss associated with GGP's bankruptcy filing. In addition, when interest shortfalls and non-reimbursed trust expenses occur in the transactions in which the GGP affected loans are pooled, there is a non-rated class or classes that have an appropriate low rating to absorb these shortfalls. Moody's rating action is: Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2006-C5 -- Class AMP-1, $40,000,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from Baa1 on 2/9/2009 -- Class AMP-2, $48,000,000, currently rated Baa3; on review for possible downgrade; previously downgraded to Baa3 from Baa2 on 2/9/2009 -- Class AMP-3, $27,000,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from Baa3 on 2/9/2009. These classes are supported by a B note secured by the borrower's interest in Ala Moana Center, a 2.0 million square foot regional mall and office component located in Honolulu, Hawaii. The Ala Moana Center is the dominant retail center in its trade area and is considered the world's largest open-air shopping center. The property recently completed an expansion that included a 200,000 square foot Nordstrom department store as well as 100,000 square feet of additional retail space. Moody's prior full review is summarized in a press release dated February 9, 2009. Gallery at Harborplace Mortgage Trust Commercial Mortgage Pass- Through Certificates, Series 2000-C5C -- Class B-1, $3,200,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from A3 on 3/11/2009 -- Class B-2, $5,100,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from Baa2 on 3/11/2009 -- Class B-3, $2,200,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from Baa3 on 3/11/2009 These classes are supported by a B note secured by the borrower's interest in Gallery at Harborplace, a 404,000 square foot office and retail mixed use complex located within the Inner Harbor development in Baltimore, Maryland. The property was developed in 1987 by The Rouse Company which was acquired by GGP in 2004. Moody's prior full review is summarized in a press release dated March 11, 2009. GE Commercial Mortgage Corporation, Commercial Mortgage Pass- Through Certificates, Series 2003-C2 -- Class BLVD-1, $1,706,377, currently rated A2, on review for possible downgrade; previously affirmed at A2 on 11/7/2007 -- Class BLVD-2, $2,501,000, currently rated A3, on review for possible downgrade; previously affirmed at A3 on 11/7/2007 -- Class BLVD-3, $4,502,000, currently rated Baa1, on review for possible downgrade; previously affirmed at Baa1 on 11/7/2007 -- Class BLVD-4, $3,549,000, currently rated Baa2, on review for possible downgrade; previously affirmed at Baa2 on 11/7/2007 -- Class BLVD-5, $7,960,750, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 11/7/2007 These classes are supported by a B note secured by the borrower's interest in Boulevard Mall, a 1.2 million square foot shopping center located in Las Vegas, Nevada. The center is anchored by Sears, Dillard's, Macy's and J.C. Penney. Moody's prior full review is summarized in a press release dated November 7, 2007. GS Mortgage Securities Corporation II, Commercial Pass-Through Certificates, Series 2001-GL III -- Class F-NFC, $10,460,000, currently rated Aa3, on review for possible downgrade; previously downgraded to Aa3 from Aa2 on 3/19/2009 -- Class G-NFC, $5,910,569, currently rated A1, on review for possible downgrade; previously downgraded to A1 from Aa3 on 7/31/2008 These classes are supported by a B note secured by the borrower's interest in Northridge Fashion Center, a 1.4 million square foot regional mall located in Northridge, California. The mall is anchored by Macy's, Sears and J.C. Penney. Moody's prior full review is summarized in a press release dated July 31, 2008. Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2004-C14 -- Class PP, $37,145,889, currently rated Ba1, on review for possible downgrade; previously affirmed at Ba1 on 5/4/2007 The class is supported by a B note secured by the borrower's interest in Park Place Mall, a 1.0 million square foot regional mall located in Tucson, Arizona. The center is anchored by Sears, Dillard's and Macy's. Moody's prior full review is summarized in a press release dated May 4, 2007. Wachovia Bank Commercial Mortgage Trust 2006-C26, Commercial Pass- Through Certificates, Series 2006-C26 -- Class WM, $10,000,000, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 2/10/2009 The class is supported by a B note secured by the borrower's interest in Woodlands Mall, 1.4 million square foot mall located in Woodlands, Texas. The center is anchored by Dillard's, Foley's, Sears and J.C. Penney. Moody's prior full review is summarized in a press release dated February 10, 2009. GMAC COMMERCIAL: Fitch Puts Ratings on 11 Notes on Negative Watch ----------------------------------------------------------------- Fitch Ratings-New York-20 April 2009: Fitch Ratings has placed on Rating Watch Negative these 11 classes of GMAC Commercial Mortgage Securities, Inc.'s commercial mortgage pass-through certificates, series 2005-C1: -- $127.8 million class A-J 'AAA'; Rating Watch Negative; -- $34 million class B 'AA'; Rating Watch Negative; -- $12 million class C 'A+'; Rating Watch Negative; -- $24 million class D 'A-'; Rating Watch Negative; -- $16 million class E 'BBB+'; Rating Watch Negative; -- $16 million class F 'BBB-'; Rating Watch Negative; -- $16 million class G 'BB-'; Rating Watch Negative; -- $20 million class H 'B-'; Rating Watch Negative; -- $6 million class J 'CCC/DR1'; Rating Watch Negative; -- $6 million class K 'CCC/DR2'; Rating Watch Negative; -- $8 million class L 'CC/DR4'; Rating Watch Negative. The Rating Watch Negative placements on classes A-J through L are due to the recent transfer of the sixth largest loan in the transaction: 3301 N. Buffalo Drive (3.9%). The 3301 N. Buffalo Drive loan is collateralized by a 321,041 square foot class A office property located in Las Vegas, NV. The loan was transferred to special servicing on April 17, 2009 due to imminent default. The property suffered a substantial decline in occupancy that has affected the borrower's ability to service the debt. Based on the most recent rent roll, an additional 114,353 square feet of space at the property (36%) corresponds to leases that expire in 2009 or that are currently operating on a month-to- month basis. The most recent servicer-reported debt service coverage ratio was 1.43 times (x) as of year-end 2008, and the occupancy was 59.2% as of the same date. This compares to a reported DSCR of 1.90x and occupancy of 93.4% at year-end 2007. In addition to the newly transferred loan, an additional five assets (3.6%) are currently with the special servicer, one of which (0.9%) transferred subsequent to the previous Fitch rating action. Fitch expects losses on four of the five assets (3.4%) that transferred prior to the April remittance date. Fitch expects to resolve the Rating Watch status of these classes as more information about the potential workout scenarios and an updated valuation of the loan become available. Fitch considers the Outlooks on the 'AAA' rated classes senior to class A-J to be Stable due to potential losses having limited impact on credit enhancement given the size of the A-J class. GS MORTGAGE: GGP Bankruptcy Cudes Moody's Review on Rake Bonds -------------------------------------------------------------- Moody's Investors Service placed the ratings of 15 rake or non- pooled bonds from six CMBS transactions on review for possible downgrade due to concerns about potential non-reimbursed trust expenses and interest shortfalls related to the Chapter 11 bankruptcy filing of General Growth Properties and affiliates on April 16, 2009. In these transactions, Moody's rated promise is to the timely payment of interest and ultimate payment of principal by the final rated distribution date. Moody's action reflects the possibility that non-reimbursed trust expenses and interest shortfalls may cause a disruption in the timely payment of interest on the rake or non-pooled bonds. Like non-pooled bonds, rake bonds are exposed to the first loss occurring on a single loan, or to the non-reimbursed trust expenses and interest shortfalls that may occur as a result of the loan being transferred to special servicing. There is no benefit from the pooling of cash flows from other loans. As a result, special servicing fees, legal expenses, and other trust expenses may create interest shortfalls that could negatively impact the non-rated or rated classes in reverse sequential order. In some cases, these shortfalls and expenses may not be reimbursed by the loan borrower upon the return of the loan to master servicing. The bankruptcy filing includes 158 properties. Of these, 46 properties are in 39 Moody's rated U.S. CMBS transactions. Moody's has reviewed the 39 deals and has concluded that no action is warranted at this time on the remaining 33 deals where pooled GGP loans were subject to the Chapter 11 filing. Moody's will continue to monitor the GGP bankruptcy case and the transactions with exposure to GGP; if there are any material changes, rating actions will be taken, if warranted. In Moody's review, Moody's concluded that the GGP exposure was not material in some deals. In others, prior rating actions reflected a below-investment grade underlying rating for the asset commensurate with the current risk. Finally, in the remaining deals, amortization and improved property performance, along with bond level paydowns and increased credit enhancement, mitigated the increased probability of default and expected loss associated with GGP's bankruptcy filing. In addition, when interest shortfalls and non-reimbursed trust expenses occur in the transactions in which the GGP affected loans are pooled, there is a non-rated class or classes that have an appropriate low rating to absorb these shortfalls. Moody's rating action is: Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2006-C5 -- Class AMP-1, $40,000,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from Baa1 on 2/9/2009 -- Class AMP-2, $48,000,000, currently rated Baa3; on review for possible downgrade; previously downgraded to Baa3 from Baa2 on 2/9/2009 -- Class AMP-3, $27,000,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from Baa3 on 2/9/2009. These classes are supported by a B note secured by the borrower's interest in Ala Moana Center, a 2.0 million square foot regional mall and office component located in Honolulu, Hawaii. The Ala Moana Center is the dominant retail center in its trade area and is considered the world's largest open-air shopping center. The property recently completed an expansion that included a 200,000 square foot Nordstrom department store as well as 100,000 square feet of additional retail space. Moody's prior full review is summarized in a press release dated February 9, 2009. Gallery at Harborplace Mortgage Trust Commercial Mortgage Pass- Through Certificates, Series 2000-C5C -- Class B-1, $3,200,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from A3 on 3/11/2009 -- Class B-2, $5,100,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from Baa2 on 3/11/2009 -- Class B-3, $2,200,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from Baa3 on 3/11/2009 These classes are supported by a B note secured by the borrower's interest in Gallery at Harborplace, a 404,000 square foot office and retail mixed use complex located within the Inner Harbor development in Baltimore, Maryland. The property was developed in 1987 by The Rouse Company which was acquired by GGP in 2004. Moody's prior full review is summarized in a press release dated March 11, 2009. GE Commercial Mortgage Corporation, Commercial Mortgage Pass- Through Certificates, Series 2003-C2 -- Class BLVD-1, $1,706,377, currently rated A2, on review for possible downgrade; previously affirmed at A2 on 11/7/2007 -- Class BLVD-2, $2,501,000, currently rated A3, on review for possible downgrade; previously affirmed at A3 on 11/7/2007 -- Class BLVD-3, $4,502,000, currently rated Baa1, on review for possible downgrade; previously affirmed at Baa1 on 11/7/2007 -- Class BLVD-4, $3,549,000, currently rated Baa2, on review for possible downgrade; previously affirmed at Baa2 on 11/7/2007 -- Class BLVD-5, $7,960,750, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 11/7/2007 These classes are supported by a B note secured by the borrower's interest in Boulevard Mall, a 1.2 million square foot shopping center located in Las Vegas, Nevada. The center is anchored by Sears, Dillard's, Macy's and J.C. Penney. Moody's prior full review is summarized in a press release dated November 7, 2007. GS Mortgage Securities Corporation II, Commercial Pass-Through Certificates, Series 2001-GL III -- Class F-NFC, $10,460,000, currently rated Aa3, on review for possible downgrade; previously downgraded to Aa3 from Aa2 on 3/19/2009 -- Class G-NFC, $5,910,569, currently rated A1, on review for possible downgrade; previously downgraded to A1 from Aa3 on 7/31/2008 These classes are supported by a B note secured by the borrower's interest in Northridge Fashion Center, a 1.4 million square foot regional mall located in Northridge, California. The mall is anchored by Macy's, Sears and J.C. Penney. Moody's prior full review is summarized in a press release dated July 31, 2008. Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2004-C14 -- Class PP, $37,145,889, currently rated Ba1, on review for possible downgrade; previously affirmed at Ba1 on 5/4/2007 The class is supported by a B note secured by the borrower's interest in Park Place Mall, a 1.0 million square foot regional mall located in Tucson, Arizona. The center is anchored by Sears, Dillard's and Macy's. Moody's prior full review is summarized in a press release dated May 4, 2007. Wachovia Bank Commercial Mortgage Trust 2006-C26, Commercial Pass- Through Certificates, Series 2006-C26 -- Class WM, $10,000,000, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 2/10/2009 The class is supported by a B note secured by the borrower's interest in Woodlands Mall, 1.4 million square foot mall located in Woodlands, Texas. The center is anchored by Dillard's, Foley's, Sears and J.C. Penney. Moody's prior full review is summarized in a press release dated February 10, 2009. HARTFORD MEZZANINE: Moody's Downgrades Ratings on 10 2007-1 Notes ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 10 classes and confirmed the ratings of two classes of Notes issued by Hartford Mezzanine Investors -- CRE CDO 2007-1, Ltd. The rating actions are: -- Class A-1, $137,500,000, Floating Rate Notes Due 2042, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $50,000,000, Floating Rate Notes Due 2042, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-3, $52,500,000, Floating Rate Notes Due 2042, downgraded to Aa3 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $35,000,000, Floating Rate Notes Due 2042, downgraded to A3 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $10,000,000, Floating Rate Notes Due 2042, downgraded to Baa2 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $10,000,000, Floating Rate Notes Due 2042, downgraded to Baa3 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $15,000,000, Floating Rate Notes Due 2042, downgraded to Baa3 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $25,000,000, Floating Rate Notes Due 2042, downgraded to Ba2 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $20,000,000, Floating Rate Notes Due 2042, downgraded to B1 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class H, $21,250,000, Floating Rate Notes Due 2042, downgraded to B2 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class J, $23,750,000, Fixed Rate Notes Due 2042, downgraded to Caa1 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class K, $38,750,000, Fixed Rate Notes Due 2042, downgraded to Caa2 from B2 previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded Classes A-3, 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 5.0% concentration in CMBS collateral of which 100% was issued in 2007. The remaining collateral includes Whole Loans, Mezzanine Loans 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. We have updated Moody's 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 has migrated the ratings for recent vintage CMBS to levels that Moody's believes 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. Moody's review at securitization is summarized in a Pre-Sale report dated July 11, 2007. JP MORGAN: Moody's Affirms Ratings on 14 Classes of 2003-C1 Notes ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 14 classes and downgraded six classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2003-C1 due to realized and anticipated losses related to specially serviced loans and increased dispersion in loan credit quality. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the March 31, 2009 distribution date, the transaction's aggregate principal balance has decreased by approximately 15% to $928.9 million from $1.09 billion at securitization. The Certificates are collateralized by 95 loans, ranging in size from less than 1% to 16% of the pool, with the top ten loans representing 43% of the pool. The pool includes two loans, representing 21% of the pool, with investment grade underlying ratings. Twenty-four loans, representing 21% of the pool, have defeased and are collateralized by U.S. Government securities. Eleven loans, representing 11% of the pool, are on the master servicer's watchlist. The master servicer's watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watch-list to assess which loans have material issues that could impact performance. Not all loans on the watch-list are delinquent or have significant issues. One loan has been liquidated from the pool, resulting in a $5 million realized loss. Currently, there is one loan in special servicing, representing 2% of the pool. The loan is secured by a 73,000 square foot retail property located in St. Petersburg, Florida. The loan became real estate owned in February 2009. Moody's is estimating an $8 million loss for this specially serviced loan. Moody's was provided with full and partial year 2008 operating results for 87% of the pool. Moody's weighted average loan to value ratio for the conduit component is 93% compared to 89% at Moody's prior full review in July 2007. In addition to an overall increase in LTV, the pool has experienced greater LTV dispersion since last review. Based on Moody's analysis, 19% of the pool has an LTV greater than 100% compared to 16% at last review. The largest loan with an underlying rating is the Concord Mills Loan ($148.5 million -- 15.8%), which represents the pooled component of a $168.0 million mortgage loan. The loan is secured by a 1.3 million square foot regional mall located 15 miles north of Charlotte in Concord, North Carolina. Major tenants include Bass Pro Outdoor World, Burlington Coat Factory and TJ Maxx. The in-line shops were 88% occupied as of December 2008, essentially the same as at last review. Financial performance has been stable since last review. The loan sponsor is the Simon Property Group (Moody's preferred stock rating Baa1, stable outlook). The non-pooled component is held within the trust and is the security for non-pooled Classes CM-1, CM-2 and CM-3. Moody's current underlying rating of the pooled loan is A2, the same as at last review. The second loan with an underlying rating is the Bishops Gate Loan ($34.5 million -- 3.7%), which is secured by two office buildings totaling 484,000 square feet located in Mt. Laurel, New Jersey. The collateral is 100% leased to PHH Mortgage (formerly Cendant Mortgage), a subsidiary of PHH Corporation (Moody's senior unsecured rating Ba2; negative outlook). The lease to PHH Mortgage is triple net expiring in December 2022. The loan matures in January 2013. Moody's current underlying rating is A3, the same as at last review. The top three conduit loans represent 11.7% of the pool. The largest conduit loan is the Crossroads Mall Loan ($40.9 million - 4.4%), which is secured by the borrower's interest in a 858,000 square foot regional mall located in Omaha, Nebraska. The mall is anchored by Sears and Target. At last review, Dillard's was the third anchor; however, it closed in September 2008. The in-line shops were 57% occupied as of December 2008, compared to 61% at last review. The mall has been impacted by competition from two other malls located within nine miles of the property. The loan is on the master servicer's watch-list due to low occupancy. Moody's is concerned about the future performance of this property given its low occupancy, the possibility of additional tenants vacating the center and the stressed retail environment. The loan sponsor is Simon Property Group. Moody's LTV is 228% compared to 201% at last review. The second largest conduit loan is the Crossways/Newington Portfolio ($40.5 million -- 4.4%), which consists of two cross- collateralized loans secured by two industrial/office buildings totaling 812,000 square feet. Both properties are located in Virginia. As of December 2008, the two properties were 93% occupied, compared 89.0% at last review. Moody's LTV is 74% compared to 78% at last review. The third largest conduit loan is the Somerset Shoppes Loan ($27.5 million -- 3.0%), which is secured by a 187,000 square foot community shopping center located in Boca Raton, Florida. Major tenants include T.J. Maxx, Michaels and Loehmans. The center was 97% occupied as of December 2008. Moody's LTV is 88%, the same as at last review. Moody's rating action is: -- Class A-1, $114,095,862, affirmed at Aaa; previously affirmed Aaa on 7/31/2008 -- Class A-2, $595,147,000, affirmed at Aaa; previously affirmed Aaa on 7/31/2008 -- Class X-1, Notional, affirmed at Aaa; previously affirmed Aaa on 7/31/2008 -- Class X-2, Notional, affirmed at Aaa; previously affirmed Aaa on 7/31/2008 -- Class B, $34,700,000, affirmed at Aaa; previously affirmed Aaa on 7/31/2008 -- Class C, $10,676,000, affirmed at Aaa; previously affirmed Aaa on 7/31/2008 -- Class D, $32,031,000, affirmed at Aaa; previously upgraded to Aaa from Aa2 on 7/31/2008 -- Class E, $14,680,000, affirmed Aa3; previously upgraded to Aa3 from A1 on 7/31/2008 -- Class F, $17,350,000, affirmed at A2; previously upgraded to A2 from A3 on 7/31/2008 -- Class G, $17,350,000, affirmed at Baa2; previously affirmed at Baa2 on 7/31/2008 -- Class H, $12,011,000, affirmed at Baa3; previously affirmed at Baa3 on 7/31/2008 -- Class J, $16,015,000, downgraded to Ba3 from Ba1; previously affirmed at Ba1 on 7/31/2008 -- Class K, $10,677,000, downgraded to B2 from Ba2; previously affirmed at Ba2 on 7/31/2008 -- Class L, $6,673,000, downgraded to Caa2 from Ba3; previously affirmed at Ba3 on 7/31/2008 -- Class M, $8,007,000, downgraded to Caa2 from B1; previously affirmed at B1 on 7/31/2008 -- Class N, $4,004,000, downgraded to Caa3 from B3; previously downgraded to B3 from B2 on 7/31/2008 -- Class P, $1,776,000, downgraded to Caa3 from Caa1; previously downgraded to Caa1 from B3 on 7/31/2008 -- Class CM-1, $2,156,331, affirmed at A3; previously upgraded to A3 from Baa1 on 7/31/2008 -- Class CM-2, $3,965,729, affirmed at Baa1; previously upgraded to Baa1 from Baa2 on 7/31/2008 -- Class CM-3, $3,965,729, affirmed at Baa2; previously upgraded to Baa2 from Baa3 on 7/31/2008 KEYCORP STUDENT: Moody's Cuts Ratings on 3 Note Classes to Low-B ---------------------------------------------------------------- Moody's Investors Service has confirmed the ratings of three classes and downgraded the ratings of seven classes of Group II notes issued by three KeyCorp Student Loan Trusts. The Group II notes are backed by pools of private student loans, originated and serviced by KeyBank National Association. Each trust also issued Group I notes that are backed by pools of government guaranteed student loans which were not part of the review. The rating actions conclude Moody's review of the notes, which commenced in March 2009. The downgrades were driven by the worse than expected collateral performance compared to that at closing as indicated by rising delinquencies, and defaults. In light of the weakened collateral performance Moody's reassessed its projected lifetime losses and evaluated whether the available credit enhancement adequately protects investors against collateral losses. Moody's projection of lifetime net losses on the collateral pools was increased to a range of 15-20% from a range of 8-13%. The increase in net losses was largely driven by the underperformance of Career and Campus Door loans. In its review, Moody's assessed the available credit enhancement, such as the reserve account, overcollateralization, subordination, excess spread and limited support in the form of residual cash flow from Group I, for each class of notes relative to Moody's revised expected loss. Moody's also considered the significant uncertainties regarding future unemployment rates arising from the current economic downturn. The ratings also reflect additional qualitative factors such as structural protections available in the transactions. Significant structural features include floor level to the reserve fund, no release of excess spread at 10% pool factor, and the change of interest and principal payment priorities upon the occurrence of certain events, which would benefit the senior classes. The complete rating actions are: KeyCorp Student Loan Trust 2004-A -- Class II-A-2, Confirmed at Aaa; previously on 3/23/2009 Aaa Placed Under Review for Possible Downgrade -- Class II-B, Downgraded to Aa3; previously on 3/23/2009 Aa2 Placed Under Review for Possible Downgrade -- Class II-C, Downgraded to Baa3; previously on 3/12/2009 A3 Placed Under Review for Possible Downgrade -- Class II-D, Downgraded to B2; previously on 3/12/2009 Baa3 Placed Under Review for Possible Downgrade KeyCorp Student Loan Trust 2005-A -- Cl. II-A-4, Confirmed at Aaa; previously on 3/23/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-B, Confirmed at A2; previously on 3/23/2009 A2 Placed Under Review for Possible Downgrade -- Cl. II-C, Downgraded to Ba3; previously on 3/12/2009 Baa2 Placed Under Review for Possible Downgrade KeyCorp Student Loan Trust 2006-A -- Cl. II-A-4, Downgraded to Aa1; previously on 3/23/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-B, Downgraded to Baa2; previously on 3/12/2009 A1 Placed Under Review for Possible Downgrade -- Cl. II-C, Downgraded to B1; previously on 3/12/2009 Baa2 Placed Under Review for Possible Downgrade KLIO STRUCTURED: Moody's Junks Ratings on Two 2005-1 Notes ---------------------------------------------------------- Moody's Investors Service downgraded its rating of two Notes issued by Klio Structured Investments 2005-1. The rating actions are: Klio Structured Investments 2005-1 -- Class C Notes, Downgraded to C; Previously on 7/28/2005 Assigned Baa2 -- Class D Notes, Downgraded to C; Previously on 6/1/2006 Assigned Ba1 The Class C and D Notes are repacks of the Preferred Shares originally issued by Klio Funding Ltd., a multisector CDO that closed in April 2004 and later upsized in June 2004. Preferred Shares are currently receiving no cash flows. The class B notes issued by KLIO Funding, Ltd/KLIO Funding Corp, which are senior to the Preferred Shares in payment priority, were downgraded on 02/26/2009 to C. LEGG MASON: Moody's Cuts Ratings on 5 Classes of Notes to Low-B --------------------------------------------------------------- Moody's Investors Service confirmed the ratings of two classes and downgraded the ratings of eight classes of Notes issued by Legg Mason Real Estate CDO I Ltd. The rating actions are: -- Class A1-R, $55,324,248, Floating Rate Notes Due 2038, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A1-T, $194,000,000, Floating Rate Notes Due 2038, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A2, $90,440,000, Floating Rate Notes Due 2038, downgraded to Aa2 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $31,920,000, Floating Rate Notes Due 2038, downgraded to Baa1 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $5,601,000, Floating Rate Notes Due 2038, downgraded to Baa3 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $26,000,000, Floating Rate Notes Due 2038, downgraded to Ba2 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $8,299,000, Floating Rate Notes Due 2038, downgraded to Ba3 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F1, $6,970,000, Floating Rate Notes Due 2038, downgraded to B1 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F2, $5,000,000, Fixed Rate Notes Due 2038, downgraded to B1 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $11,970,000, Floating Rate Notes Due 2038, downgraded to B3 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded Classes A2, B, C, D, E, F1, F2 and G due to deteriorating pool performance and 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 4.7% concentration in CMBS collateral, which was issued between 2006 and 2007. The remaining collateral includes Whole Loans, 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. 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. Moody's review at securitization is summarized in a Pre-Sale report dated March 10, 2006. LEGG MASON: Moody's Cuts Rating on Class C Notes Due 2045 to Ba2 ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of three classes of Notes and confirmed two classes of Notes issued by Legg Mason Real Estate CDO II, Corp. The rating actions are: -- Class A-1R, $53,901,944, Floating Rate Notes Due 2045, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-1T, $233,100,000, Floating Rate Notes Due 2045, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $60,375,000, Floating Rate Notes Due 2045; downgraded to Aa2 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $34,650,000, Floating Rate Notes Due 2045, downgraded to Baa1 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $49,350,000, Floating Rate Notes Due 2045, downgraded to Ba2 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded Classes A-2, B, and C 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 an 11.0% concentration in commercial mortgage backed securities and collateralized debt obligations collateral with the remaining balance comprised of whole loans, B-Notes, and mezzanine debt. 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. We have updated Moody's 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 has migrated the ratings for recent vintage CMBS to levels that Moody's believes 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. Moody's review at securitization is summarized in a Pre-Sale Report dated April 27, 2007. LE MONDE: S&P Withdraws 'CC' Ratings on Two Classes of Notes ------------------------------------------------------------ Standard & Poor's Ratings Services withdrew its ratings on the class A-2MM and A-3MM notes issued by Le Monde CDO I PLC, a hybrid high-grade structured finance collateralized debt obligation transaction managed by TCW Asset Management Co. At the same time, S&P assigned ratings to the new class A-2MML and A-3MML long-term notes. The rating withdrawals and assignments follow the March 2009 conversion of the class A-2MM and A-3MM short-term notes into the class A-2MML and A-3MML long-term notes. Ratings Withdrawn Le Monde CDO I PLC Rating Balance (mil. $) ------ ---------------- Class To From Current Original ----- -- ---- ------- -------- A-2MM NR CC 0.000 840.000 A-3MM NR/NR CC/C 0.000 160.000 Ratings Assigned Le Monde CDO I PLC Class Rating Balance (mil. $) ----- ------ ---------------- A-2MML CC 803.119 A-3MML CC 152.974 Other Outstanding Ratings Le Monde CDO I PLC Class Rating ----- ------ A-1 CC A-1R(USD) CC A-1R(EUR) CC A-2 CC A-3 (EUR) CC A-4 CC B CC C CC D CC E CC NR -- Not rated. LOUISIANA PUBLIC: S&P Cuts L-T Ratings on 1993, 1999 Bonds to 'BB' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its long-term ratings to 'BB' from 'BBB-' on Louisiana Public Facilities Financing Authority's series 1993 and 1999 bonds, issued for Touro Infirmary, reflecting ongoing operating and nonoperating losses, high leverage, and very limited liquidity. The ratings are being placed on CreditWatch with negative implications pending the outcome of an announced affiliation agreement with Louisiana Children's Medical Center, the parent of Children's Hospital. More specifically, the rating reflects Touro's depleted liquidity from operating and investment losses; 68% long-term debt to capitalization; continued sizable, although moderating operating losses; and insufficient cash flow to fully cover maximum annual debt service. On Feb. 3, 2009, Touro signed a preliminary health system agreement to affiliate with LCMC. Pursuant to the agreement LCMC's governing board will have ultimate authority over both Touro and Children's, although each hospital will maintain a separate board and will continue to operate as separate 501c3 organizations. "Should the agreement with LCMC not be consummated, the rating on the bonds would likely be lowered as Touro's viability over the intermediate term will be less certain, particularly given the weakness in the hospital's balance sheet, continued operating losses, and challenging payor mix," said Standard & Poor's credit analyst Karl Propst. "According to management, the failure to close on the agreement with Children's would likely result in a 'going concern' opinion from Touro's auditors," said Mr. Propst. A lower rating is precluded at this time by the added stability that is expected to come from Touro's affiliation with LCMC, although benefits from the affiliation will take time to have a material positive effect on Touro's financial position. Additional positive rating factors include the hospital's recent successes with clinical staff recruiting, stronger-than-expected volumes year to date--although year-to-date volume improvements are based on only two months of data, and Touro's substantial medical residency program with a New Orleans-based medical school A gross revenue pledge secures the bonds. On Dec. 31, 2008, Touro had $91.2 million of long-term debt outstanding. MCKINLEY 2005-5: Moody's Downgrades Rating on $4,792,450 Certs. --------------------------------------------------------------- Moody's Investors Service downgraded its rating of US$4,792,450 Tiers Credit Backed Trust Certificates, Series McKinley 2005-5: The rating action is: Class Description: US$4,792,450 Tiers Credit Backed Trust Certificates , Series McKinley 2005-5 -- Current Rating: C -- Prior Rating: Ba2 -- Prior Rating Date: 11/30/2005 The transaction is a repackaged security whose rating changes with the ratings of the underlying securities. The rating action is a result of the change of the ratings of McKinley Funding, Ltd. Class C Notes. MERRILL LYNCH: Moody's Affirms Ratings on 2003-Canada 11 Certs. --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of six classes and upgraded three classes Merrill Lynch Financial Assets Inc., Commercial Mortgage Pass Through Certificates, Series 2003-Canada 11. The upgrades are due to increased credit subordination due to amortization and payoffs. The pool balance has decreased by 85% since Moody's last review. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the April 13, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 91% to $24.1 million from $270.9 million at securitization. The Certificates are collateralized by seven loans ranging in size from 11% to 20% of the pool, with the top three loans non-defeased representing 53% of the pool. One loan, representing 11% of the pool, has defeased and is collateralized by Canadian government securities. Five loans, representing 77% of the pool, are on the master servicer's watchlist. All of the loans are on the watchlist because they have matured or are scheduled to mature within the next six months. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact pool performance. There have been no realized losses since securitization and currently there are no loans in special servicing. Moody's received limited financial information for this transaction. Year-end 2007 and 2008 operating results were provided for 78% and 42% of the pool, respectively. Moody's loan to value ratio is 92% compared to 72% at Moody's last full review in June 2008. Moody's rating action is: -- Class X, Notional, affirmed at Aaa; previously affirmed at Aaa on 6/19/08 -- Class C, $1,068,406, affirmed at Aaa; previously upgraded to Aaa from Aa2 on 6/19/08 -- Class D, $6,800,000, upgraded to Aaa from A2; previously upgraded to A2 from Baa1 on 6/19/08 -- Class E, $2,370,000, upgraded to A1 from A3; previously upgraded to A3 from Baa2 on 6/19/08 -- Class F, $2,377,000, upgraded to Baa1 from Baa2; previously upgraded to Baa2 from Ba1 on 6/19/08 -- Class G, $2,370,000, affirmed at Ba1; previously upgraded to Ba1 from Ba2 on 6/19/08 -- Class H, $1,355,000, affirmed at Ba3; previously affirmed at Ba3 on 6/19/08 -- Class J, $2,370,000, affirmed at B2; previously affirmed at B2 on 6/19/08 -- Class K, $1,015,000, affirmed at B3; previously affirmed at B3 on 6/19/08 MERRILL LYNCH: Moody's Junks Rating on Cl. I-A2 2007-2 Securities ----------------------------------------------------------------- Moody's Investors Service has downgraded 17 tranches and confirmed 5 tranches from 4 deals issued by Merrill Lynch Mortgage Investors Trust and Merrill Lynch Mortgage Backed Securities Trust in 2006 and 2007. The collateral backing these transactions consists primarily of first-lien, fixed and adjustable rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: Issuer: Merrill Lynch Mortgage Backed Securities Trust 2007-2 -- Cl. I-A1, Downgraded to B3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. I-A2, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. X-A, Downgraded to B3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust 2006-F1 -- Cl. I-A1, Confirmed at Ba3; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. I-A2, Confirmed at Ba3; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. I-A3, Confirmed at Ba1; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. I-A4, Downgraded to B1; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. I-A6, Confirmed at Ba3; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. I-A7, Downgraded to B1; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. I-A8, Downgraded to B1; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B1; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. IO, Confirmed at Ba3; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2006-1 -- Cl. I-A, Downgraded to Baa1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Baa2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2006-2 -- Cl. I-A, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IV-A, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Baa3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade MORGAN STANLEY: Fitch Corrects Rating Outlooks on 2005 IQ9 Notes ---------------------------------------------------------------- Fitch Ratings issued a revised press release to correct the Rating Outlooks on classes E and F to Negative of the Morgan Stanley Capital I Trust Pass-Through Certificates, Series 2005 IQ9. Specificially, Fitch downgrades and assigns Rating Outlooks and Recovery Ratings to Morgan Stanley Capital I Trust Pass-Through Certificates, Series 2005 IQ9: -- $11.5 million class G to 'BBB-'from 'BBB'; Negative Outlook; -- $17.2 million class H to 'BB+' from 'BBB-'; Negative Outlook, -- $5.7 million class J to 'BB' from 'BB+'; Negative Outlook, -- $7.7 million class K to 'BB-'from 'BB'; Negative Outlook, -- $5.7 million class L to 'B+' from 'BB-'; Negative Outlook, -- $5.7 million class M to 'B-'from 'B+'; Negative Outlook, -- $3.8 million class N to 'B-' from 'B'; Negative Outlook; -- $5.7 million class O to 'CCC/RR2' from 'B-'; Negative Outlook. In addition, Fitch affirms these classes and assigns Rating Outlooks: -- $35.9 million class A-1 at 'AAA'; Stable Outlook; -- $262.7 million class A-1A at 'AAA'; Stable Outlook, -- $112.6 million class A-2 at 'AAA'; Stable Outlook, -- $194.7 million class A-3 at 'AAA'; Stable Outlook, -- $94.4 million class A-4 at 'AAA'; Stable Outlook, -- $43.8 million class A-AB at 'AAA'; Stable Outlook, -- $446.2 million class A-5 at 'AAA'; Stable Outlook, -- $130.2 million class A-J at 'AAA'; Stable Outlook, -- Interest-only class X-1 at 'AAA'; Stable Outlook, -- Interest-only class X-2 at 'AAA'; Stable Outlook, -- interest-only class X-Y at 'AAA'; Stable Outlook, -- $32.6 million class B at 'AA'; Stable Outlook, -- $11.5 million class C at 'AA-'; Stable Outlook, -- $26.8 million class D at 'A'; Stable Outlook, -- $15.3 million class E at 'A-'; Negative Outlook, -- $15.3 million class F at 'BBB+'; Negative Outlook. Fitch does not rate the $11.5 million class P. The downgrades are due to an increase in Fitch expected losses on two of the special serviced assets in the transaction, and the increased number of Fitch designated Loans of Concern. The Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. As of the April 2009 distribution date, the pool's aggregate certificate balance has decreased 4.75% to $1.46 billion from $1.53 billion at issuance. Four loans (2.15%) have defeased. At issuance, Fitch credit assessed the 540 Madison Avenue loan. The loan maintains its investment grade shadow rating due to stable performance. The loan is secured by the leasehold interest in a 39-story, 1,818,613 square foot office property located in midtown Manhattan. Occupancy in the property remains strong at 93% as of September. The largest special serviced loan (0.58%) is secured by a 165 unit/532 bed student housing project located in Statesboro, Georgia, home of Georgia Southern University. The property is in good overall condition. The market has become oversaturated with newer and slightly better quality properties. Additionally, much of the newer product is better located, closer to campus, and on the campus bus route. The second largest special serviced loan (0.27%) is secured by a 49,442 sf unanchored neighborhood strip center located in Mariemont, Ohio, which is an eastern suburb of Cincinnati. The loan transferred due to imminent default because of erosion of the hillside at the rear of the property. The hillside collapsed, causing six tenants to vacate their spaces, and shut down utilities to additional tenants. MORGAN STANLEY: Fitch Affirms Ratings on 2003-IQ5 Certificates -------------------------------------------------------------- Fitch Ratings has affirmed Morgan Stanley Capital I Trust commercial mortgage pass-through certificates, series 2003-IQ5 and assigned Rating Outlooks: -- $9.3 million class A-3 at 'AAA'; Outlook Stable; -- $373.7 million class A-4 at 'AAA'; Outlook Stable; -- Interest-only classes X-1 and X-2 at 'AAA'; Outlook Stable; -- $22.4 million class B at 'AAA'; Outlook Stable; -- $30.2 million class C at 'AA+'; Outlook Stable; -- $7.8 million class D at 'AA-'; Outlook Stable; -- $5.8 million class E at 'A+'; Outlook Stable; -- $6.8 million class F at 'A-'; Outlook Stable; -- $7.8 million class G at 'BBB'; Outlook Stable; -- $5.8 million class H at 'BBB-'; Outlook Stable; -- $2.9 million class J at 'BB+'; Outlook Stable; -- $4.9 million class K at 'BB'; Outlook Stable; -- $2.9 million class L at 'B+'; Outlook Negative; -- $1.9 million class M at 'B'; Outlook Negative; -- $1 million class N at 'B-'; Outlook Negative. Class A-1 has paid in full. Fitch does not rate the $7.8 million class O. The affirmations are the result of stable pool performance since Fitch's last rating action. As of the March 2009 distribution date, the pool's aggregate principal balance has decreased 36.9% to $491.1 million from $778.8 million at issuance. Six loans (11.73%) have been defeased. Approximately 8.2% of the non- defeased loans mature in 2009 or 2010. These loans have a weighted average coupon of 5.73%. General Growth Properties, which filed for chapter 11 bankruptcy protection on April 16, 2009, is the sponsor on two loans (5.43%) maturing in July 2010. Both loans have interest rates of 4.7%. While there are currently no specially serviced or delinquent loans in the pool, Fitch considers it likely that these two loans will transfer to the special servicer due to the recent GGP bankruptcy filing. The Rating Outlooks represent the likely direction of rating actions over the next one to two years. The Negative Outlooks on classes L through N are due to the concentration of near-term maturities as well as the loan size, and property type concentrations. The top 10 loans represent 55% of the pool and loans collateralized by office properties represent 44% of the pool. Six loans (33.5%) were shadow rated investment grade at issuance. Fifty-five East Monroe (7.5% at issuance), International Plaza (6% at issuance), and 200 Berkley & Stephen L. Brown Buildings (3.2% at issuance) have paid in full. One other loan (6.53%) has defeased. The two remaining shadow rated loans retain their investment grade ratings. The largest shadow rated loan is Two Commerce Square (11%). The loan is secured by a 40-story class A office building totaling 953,276 square feet located in Philadelphia, Pennsylvania. Two of the four pari-passu notes (A-1 and A-2) serve as collateral for this transaction. As of year-end 2008, occupancy had declined to 86.1% from 97.4%. The decline was due to the lease expiration of a major tenant. Due to the decrease in occupancy the shadow rating was downgraded, however, it still remains investment grade. The other shadow rated loan 3 Times Square (5.8%) is secured by an 883,405 sf office building located in Manhattan, New York. Property performance remains stable demonstrated by its September 2008 occupancy of 99.5%, up slightly since issuance. MORGAN STANLEY: S&P Downgrades Ratings on NG5FG Notes to 'B-srp' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the notes from two Morgan Stanley Capital Services Inc. credit default swap transactions. Both transactions are total return swaps that are directly linked to the rating on the junior super-senior notes from Morgan Stanley Managed Aces SPC's series 2006-6, which S&P lowered to 'B-'on April 9, 2009. Ratings Lowered Credit Default Swap Morgan Stanley Capital Services Inc - K2 Corp. Series NG5FG Rating ------ Class To From ----- -- ---- Notes B-srp B+srp Credit Default Swap Morgan Stanley Capital Services Inc - K2 Corporation, Series NG5FR Rating ------ Class To From ----- -- ---- Notes B-srp B+srp MORGAN STANLEY: S&P Downgrades Ratings on NG5FG Notes to 'B-srp' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the notes from two Morgan Stanley Capital Services Inc. credit default swap transactions. Both transactions are total return swaps that are directly linked to the rating on the junior super-senior notes from Morgan Stanley Managed Aces SPC's series 2006-6, which S&P lowered to 'B-'on April 9, 2009. Ratings Lowered Credit Default Swap Morgan Stanley Capital Services Inc - K2 Corp. Series NG5FG Rating ------ Class To From ----- -- ---- Notes B-srp B+srp Credit Default Swap Morgan Stanley Capital Services Inc - K2 Corporation, Series NG5FR Rating ------ Class To From ----- -- ---- Notes B-srp B+srp N-45 FIRST: Fitch Affirms 'BB+' Rating on Class E Notes ------------------------------------------------------- Fitch Ratings affirms N-45 First CMBS Issuer Corporation, series 2003-3 and assigns Rating Outlooks: -- C$171.5 million class A-2 at 'AAA'; Outlook Stable; -- C$47.6 million class B at 'AAA'; Outlook Stable; -- Interest-only class IO at 'AAA'; Outlook Stable; -- C$31.4 million class C at 'AA'; Outlook Stable; -- C$31.4 million class D at 'BBB-'; Outlook Stable; and -- C$3.7 million class E at 'BB+'; Outlook Stable. Class A-1 has paid in full. The affirmations are attributed to continued stable performance of the two remaining loans in the transaction, Place Bell (50.3%) and Fitch Avenue Place (49.7%). Based on the March 2009 remittance, the transaction has paid down approximately 38.2% to $285.7 million from $462.4 million at issuance. The Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. Place Bell, located in Ottawa, Canada, consists of a 990,526 square foot class A office building built in 1971 and renovated in the late 1990s. The Place Bell loan is full recourse to the sponsor. As of February 2008, Place Bell was 99% occupied. Bell Canada, the largest tenant, is Canada's largest telephone and telecommunications company. The tenant represents approximately 48.6% of the net rentable area and is on a long-term lease until 2022. The trailing twelve ending February 2008 Fitch debt service coverage ratio was 1.42 times (x), compared to 1.36x at issuance. The loan matures on Dec. 1, 2012. Fifth Avenue Place consists of two 34-story office towers totaling 1.5 million sf in downtown Calgary. Approximately 48,000 sf of the property's NRA consists of retail and storage space. The tenant base is concentrated in the oil and gas industry, such as Devon Estates, which is owned by Imperial Oil Limited, Anadarko, Canada (rated 'BBB-' by Fitch), and Enbridge, Inc. As of December 2008, occupancy was 94%, as compared to 99% at issuance. The year-end 2008 Fitch stressed DSCR improved to 2.74x from 1.49x at issuance largely due to rent bumps and new leases signed at higher rates than at the time of origination. The loan matures Aug. 5, 2011. N-STAR REL: Moody's Confirms Ratings on 12 Classes of Notes ----------------------------------------------------------- Moody's Investors Service confirmed the ratings 12 classes of Notes issued by N-Star REL CDO VI Ltd. The rating actions are: -- Class A-1, $174,800,000, Floating Rate Notes Due 2041, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-R, $70,000,000, Revolving Floating Rate Notes Due 2041, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $27,225,000, Floating Rate Notes Due 2041, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $21,825,000, Floating Rate Notes Due 2041, confirmed at Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $12,825,000, Floating Rate Notes Due 2041, confirmed at A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $13,950,000, Floating Rate Notes Due 2041, confirmed at A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $10,125,000, Floating Rate Notes Due 2041, confirmed at Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $7,650,000, Floating Rate Notes Due 2041, confirmed at Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $9,900,000, Floating Rate Notes Due 2041, confirmed at Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class H, $6,075,000, Floating Rate Notes Due 2041, confirmed at Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class J, $18,000,000, Floating Rate Notes Due 2041, confirmed at Ba3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class K, $13,950,000, Floating Rate Notes Due 2041, confirmed at B2; previously on 3/12/2009 Placed Under Review for Possible Downgrade The pool collateral includes CDO securities, whole loans, subordinate debt 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 securitization. Moody's review at securitization is summarized in a Pre-Sale report dated January 31, 2006. NYU HOSPITALS: Moody's Upgrades Bond Ratings from 'Ba2' ------------------------------------------------------- Moody's Investors Service has upgraded to Baa2 from Ba2 the rating assigned to New York University Hospitals Center's outstanding bonds issued by the Dormitory Authority of the State of New York. The outlook is stable at this new rating level. The multi-notch upgrade and return to investment grade reflects improving financial performance and a change in governance signaling closer integration with Aa3-rated New York University (NYU or University)and its School of Medicine that create a halo effect for recruitment of physicians, strategic direction, and ultimately provide for a platform for financial stability. Legal Security: The outstanding bonds are jointly secured by a pledge of gross receipts and a mortgage of all health care facilities of NYUHC. Sale/leaseback transactions that may include a portion of the mortgaged property are permitted. Long term debt service coverage ratio of at least 1.10 times. Debt service reserve fund in place. Following the withdrawal from the Mount Sinai NYU Health Obligated Group (MSNYU) in 2006, NYUHC received approval to substitute New York University as the sole corporate member of NYUHC. NYU has the power to elect NYUHC's board of trustees and to review its mission, strategic plans, financial plans and budgets and to approve certain transactions. NYUHC financial statements are now consolidated with the University's and the fiscal year of NYUHC has been changed from December 31 to August 31 as of August 31, 2008 to reflect the new governance structure. (A December 31 audit will also be prepared for cost reporting purposes) NYUHC, together with the NYU School of Medicine (a division of New York University) are separate entities (with separate tax identification numbers) functioning as an integrated academic medical center under the name, NYU Langone Medical Center. The debt of NYUHC is not an obligation of NYU and is separately secured. For more information on NYU, please see Moody's report dated April 23, 2009. Interest Rate Derivatives: None Strengths * Integrated academic medical center provides opportunities to grow market share in the fragmented New York City market. Realignment with the School of Medicine and renewed medical center model enhances recruitment of physicians, operations and philanthropy between the hospital and School of Medicine. * Programmatic growth aiding physician recruitment that has translated into a multi-year trend of increasing volume. Designated centers of excellence in cancer, cardiovascular, children's services, musculoskeletal and neurosciences are growing and generate profit margins. * Significant and profitable outpatient services and visits, contributes to an atypical payer mix for a NYC hospital and provides a differentiating niche for the hospital. * Much improved financial performance with cashflow demonstrating steady increases since FY2004. * Improved contracting ability as an independent organization has resulted in increased revenue from payers. * Improved liquidity although absolute cash is modest for a hospital of this size and stature and some of the recent gains were lost in the first quarter 2009 because of the market's turmoil. * Majority of debt is fixed rate. Challenges * Leveraged balance sheet with weak balance sheet indicators, characterized by modest cash and high debt load. Cash balances expected to improve on an absolute basis, but days' cash on hand is not expected to improve until at least 2010. * Fragmented New York City market highlighted by the ability of physicians to change referral patterns and move volume within the market. Recruitment of significant number of physicians critical to meeting volume growth targets in key service lines. * Reductions in Medicaid funding and graduate education funding are expected. * Integration of NYUHC and the NYU School of Medicine into a more aligned academic medical center will include cash transfer to NYU School of Medicine to fund shared programs that may limit NYUHC balance sheet gains. * Future debt in the longer term could be material, including financing for a new clinical building in the longer term Recent Developments/Results NYUHC has made great strides in turning its operating losses into operating profits since the disaffiliation with Mount Sinai Hospital in 2003 and re-integration with the NYU School of Medicine and New York University to form a "Medical Center." By consolidating the management team responsible for the medical center's strategic vision, NYUHC has been reinvigorated and able to drive efficiencies and cost reductions while focusing on growth opportunities within its key competencies. The School of Medicine has historically been the benefactor of significant annual philanthropy, and by becoming part of the medical center, NYUHC expects to benefit from these donor relationships as well through its role as the teaching hospital for the School of Medicine. The new governance structure is a key component incorporated in Moody's rating upgrade. The executive team for NYUHC is the executive team responsible for the Medical Center. The executive team includes the University's Senior Vice President for Health, which ensures coordination of vision and that the strategic direction of the Medical Center is met by the School of Medicine and NYUHC. This is a relatively new structure, as is the University becoming the sole member of NYUHC with the power to elect its board of trustees, review its mission, strategic plans, financial plans and budgets and approve certain transactions. This new alignment with the University and inclusion of NYUHC's financial statements with the consolidating statements of the University necessitated changing NYUHC's fiscal year end to August 31 for FY2008 to coordinate with the fiscal year of the University and stresses the new linkage to the University. While the University has articulated to Moody's that it does not plan to provide financial support to NYUHC, Moody's believe that future cash transfers from NYUHC to the University, the ripple effect of recruitment of faculty, research programs that will aid clinical growth and a common institutional identity created by the overlap of trustees signal closer integration and will provide tangible benefits to NYUHC over time. Moody's believe the spirit and personality of NYUHC has become more integrated with the University as a result of the restructured governance model which is a new and improved credit strength. NYUHC has benefited from the development of the School of Medicine's new ambulatory care sites in Manhattan and Queens that have increased referrals to NYUHC's own outpatient programs. NYUHC's future plans to build a new clinical pavilion in the intermediate period for short-stay and high tech outpatient volume will largely be financed through philanthropy that has been enhanced by the closer relationship with the University and School of Medicine. In the immediate term, funding for the installation of the EPIC software system will also be shared with the School of Medicine since the benefits will accrue to each entity. Financially, NYUHC's performance has improved in each of the last four years, reaching an operating profit of $22.2 million for fiscal year 2008 (ending August 31, 2008) compared to an operating profit of $11.8 million in FY 2007 ending December 31, 2007 (Moody's excludes investment income from other operating revenue). Inpatient volume was up 2.3% over the prior year, and outpatient visits which include its growing cancer program, were up 8.5% over the prior year. Improved contract terms for its eight largest contracts (93% of its managed care revenue) which included material rate increases for growing service lines and an increasing case mix index has been the most significant contributor to the improved performance. NYUHC continues to meet the benchmark goals established from its Navigant engagement and revenue cycle initiatives (days in A/R are low at 45 days) that in conjunction with length of stay reductions and performance management have kept NYUHC on an improving financial trend. Additionally, NYUHC will not transfer $10 million to the School of Medicine as expected for the current year because of the favorable performance posted of the School. The balance sheet remains a limiting credit factor, with cash of $194.5 million at FYE2008 equating to an improved but still modest 63.3 days of cash on hand. Liquidity has dropped through February 28, 2009 (2Q09) to $186.6 million due to market factors and increased unrealized losses, causing days to decline to 57.3 days of cash on hand (39.2% cash to debt). Cash is invested in accordance with the University's investment policy. NYUHC's total debt includes $23.5 million outstanding as of December 31, 2008 of taxable debt that was used to fund NYUHC's 2007 required pension contribution, which allowed NYUHC to retain its cash but has exacerbated the leverage measures. A defined contribution plan was established for new employees after July 2000 but the defined benefit plan remains underfunded by $35.7 million at FYE2008; it will require a $15.9 million contribution in FY2009. The hospital is limited in its ability to grow cash by its significant debt load and annual debt service requirements through at least 2011, before annual MADS declines to $33 million/year from the current MADS of $44.2 million. Variable debt is limited to the Series 2000D bonds ($49.7 million or 13% of total debt outstanding) which was privately placed following the termination of the Mount Sinai-NYU Hospitals Center Obligated Group and is not rated. Additional, non-rated variable rate debt is outstanding for patient account receivable financing ($21.8 million) and the pension loan ($23.5 million) discussed above. Projections do not anticipate days cash on hand growing beyond current levels. Routine capital spending for FY2009 approximates $45 million. For FY2009, capital spending has been curtailed as NYUHC reevaluates its master facilities plan with the School of Medicine. Outlook The stable outlook is based on Moody's belief that financial performance will remain at current levels and support stable coverage of the outstanding debt and the renewed alignment with NYU provides a platform for financial stability. What could change the rating--UP Material improvement in financial performance and cashflow, evidence of increased University oversight or financial support as well as additional seasoning of this newer relationship What could change the rating--DOWN Material reduction in liquidity, downturn in financial performance, change from current governance structure Key Indicators Assumptions & Adjustments: -- Based on financial statements for NYU Hospitals Center for FY2007. -- Based on financial statements for New York University Consolidated Financial Statements for FY2008 -- First number reflects audit year ended December 31, 2007 -- Second number reflects audit year August 31, 2008 -- Investment returns normalized at 6% unless otherwise noted * Inpatient admissions: 37,555; 38,435 * Total operating revenues: $1.12 billion; $1.18 billion * Moody's-adjusted net revenue available for debt service: $92.7 million; $114.0 million * Total debt outstanding: $494.1 million; $478.7 million * Maximum annual debt service (MADS): $44.160 million; $44.160 million * MADS Coverage with reported investment income: 2.26 times; 2.48 times * Moody's-adjusted MADS Coverage with normalized investment income: 2.1 times; 2.6 times * Debt-to-cash flow: 6.78 times; 5.22 times * Days cash on hand: 52.1 days; 63.5 days * Cash-to-debt: 30.7%; 40.6% * Operating margin: 1.1%; 1.9% * Operating cash flow margin: 6.7%; 7.5% Rated Debt (debt outstanding as of August 31, 2008) -- Series 2006A, $97.0 million outstanding, Baa2 rating, fixed rate -- Series 2007A, $166.5 million, Baa2 rating, fixed rate -- Series 2007B, $91.0 million; Baa2 rating, fixed rate The last rating action was on October 30, 2007 when the ratings of NYU Hospitals Center were affirmed at Ba2 and the positive outlook was affirmed. OCWEN RESIDENTIAL: Moody's Downgrades Ratings on 16 Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 16 tranches issued in three transactions of the Ocwen Residential MBS Corporation Series shelf. The collateral backing each tranche consists primarily of first lien adjustable-rate and fixed-rate "scratch and dent" mortgage loans, most of which were experiencing some type of delinquency at closing. The actions are triggered by higher than anticipated delinquency levels and severity of loss as well as slower than anticipated voluntary prepayments, resulting in higher updated loss expectation for the underlying collateral and lower coverage for the rated debt given available credit enhancement. The ratings on the securities are monitored by evaluating factors determined to be applicable to the credit profile of the securities, such as i) the nature, sufficiency, and quality of historical performance information regarding the asset class ii) an analysis of the collateral being securitized, iii) an analysis of the transaction's allocation of collateral cash flow and capital structure, and (iv) a comparison of these attributes against those of other similar transactions. General loss estimation methodology is outlined. For seasoned vintages (before 2005), Moody's calculates estimated losses for Scratch and Dent RMBS: -- Current delinquencies are used to project pipeline losses. -- Annual roll rates are assumed at 0% for 30 days, 15% for 60 days, 30% for 90 days, 65% for foreclosures and 90% for REO. -- Severities used are higher of 65% or actual historical severity for each transaction. -- Adjustments to roll rates and severities were made for very seasoned transactions and when pool factors were very low. -- Loss is calculated for the previous year. Expected annual loss is then derived from a weighted average of previous year loss and expected pipeline loss. The transaction expected loss is projected out over the deal's expected remaining life. Depending on a transaction's time of origination, a 75% weight can be applied to pipeline loss when it is considered to be more representative of future expected performance than the previous year's losses. -- Expected loss is finally compared to credit enhancement to derive a rating. Loss estimates are subject to variability and, as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly if necessary. Complete rating actions are: Ocwen Residential MBS Corporation 1998-R2 -- B1-F, Downgraded to A3; previously on 6/29/1998 Assigned Aa2 -- B2-F, Downgraded to Ca; previously on 6/29/1998 Assigned A2 -- B3-F, Downgraded to Ca; previously on 6/29/1998 Assigned Baa2 -- B4-F, Downgraded to Ca; previously on 7/27/2004 Downgraded to B1 -- B5-F, Downgraded to C; previously on 7/27/2004 Downgraded to Ca -- B1-A, Downgraded to A1; previously on 6/29/1998 Assigned Aa2 -- B2-A, Downgraded to Caa1; previously on 6/29/1998 Assigned A2 -- B3-A, Downgraded to Ca; previously on 6/29/1998 Assigned Baa2 -- B4-A, Downgraded to C; previously on 3/1/2007 Downgraded to B2 -- B5-A, Downgraded to C; previously on 3/1/2007 Downgraded to Caa2 Ocwen Residential MBS Corporation 1999-R1 -- B3-F, Downgraded to Ba3; previously on 3/31/1999 Assigned Baa2 -- B4-F, Downgraded to Ca; previously on 5/1/2006 Downgraded to Caa2 -- B4-A, Downgraded to Ca; previously on 11/30/2006 Downgraded to B1 Ocwen Residential MBS Corporation 1999-R2 -- AP, Downgraded to A1; previously on 6/30/1999 Assigned Aaa -- B1, Downgraded to Ba3; previously on 7/27/2004 Upgraded to Aaa -- B2, Downgraded to C; previously on 6/30/1999 Assigned A3 PPLUS TRUST: S&P Raises Rating on $40 Mil. Certs. to 'CCC-' ----------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on PPLUS Trust Series FMC-1's $40 million 8.25% pass-through trust certificates series FMC-1 to 'CCC-' from 'D'. The rating action follows the April 13, 2009, raising of S&P's rating on Ford Motor Co.'s 7.45% global landmark securities due July 16, 2031, the underlying security, to 'CCC-' from 'D'. The rating on the trust certificates is dependent on the rating on the underlying security. PREFERRED CPO: Moody's Downgrades Ratings on Two Tranches --------------------------------------------------------- Moody's has downgraded 2 tranches of Preferred CPO Limited, a Trust Preferred CDO. This downgrade was prompted by the exposure of this TRUP CDO to trust preferred securities issued by small to medium sized U.S. community bank, insurance companies, and corporate securities. The rating actions are the result of using a combination of these analysis: (1) Coverage level and problem bank analysis (2) Event of default analysis (3) Cash-flow analysis Coverage Level And Problem Bank Analysis For each rated tranche, Moody's calculated a coverage ratio. The coverage ratio was the performing collateral par over the current tranche being evaluated, including more senior tranches. The performing collateral excluded all Moody's defaulted par. To calculate the Moody's defaulted par, Moody's assumed there will be zero recovery on the 99 bank trust preferred securities in the 89 rated TRUP CDOs that are currently deferring interest payment or were closed by their regulator. The coverage ratios are used in benchmarking the general rating levels for tranches across the capital structure of these transactions. For example, for super senior tranches, Moody's generally requires more than 400% coverage to achieve a Aaa rating, more than 200% coverage to achieve a Aa rating level or more than 150% to achieve a single-A rating level. Moody's also calculated two financial ratios for every bank in the collateral portfolio. The first ratio is calculated: (non-current loans plus other real estate owned) divided by (tangible common equity plus allowance for loan losses). The second ratio is calculated: (non-current loans plus other real estate owned plus 20% of current construction and development loans) divided by (tangible common equity plus allowance for loan losses). If the First Ratio is above 150% or the Second Ratio is above 175%, for purposes of these rating actions, Moody's assumed these banks to be defaulted with a zero recovery. These cutoffs for the First Ratio and Second Ratio were used to identify about 200 banks and thrifts that Moody's considered problematic of the roughly 8400 FDIC insured US banks and thrifts. Moody's also used the quantitative V3.1 Risk Calc Model for private banks, with an adjustment to account for Moody's position in the current credit cycle downturn (the "Model") to identify another 100 US banks and thrifts that scored poorly and were assumed defaulted with a zero recovery. Most banks that have been closed by the FDIC have deferred on their trust preferred securities, had levels above the First Ratio or Second Ratio, or scored poorly in the Model. In addition, there are three insurance companies that are currently deferring interest payment or have defaulted. Moody's assumed these insurance names were defaulted with zero recovery. Event of Default analysis This CDO has not declared an Event of Default. The most likely reason a TRUP CDO would trigger an EOD is non-payment of interest on a non-deferrable tranche or a senior coverage test falling below 100% caused by deferral of payment by a sufficient number of the underlying securities. EOD vary across TRUP CDOs and was taken into account for each rating action. For this rating action, Moody's assumed liquidation would not result if EOD occurs because most of the underlying collateral does not have an active market making it difficult to sell the portfolio. Instead, if EOD occurs, Moody's assumed the controlling class would rather elect to accelerate cash flows from the underlying performing securities. There are uncertainties with EOD and although no tranches remain on review for possible downgrade, further downgrades may be warranted if an EOD is triggered within the TRUP CDO. Cash Flow Modeling Analysis Moody's looked at scenarios from its cash flow model using the correlated binomial distribution with a higher emphasis on scenarios in which deferrals were spiked in the first year of the analysis. The major inputs into the cash flow model are the default probability, correlations, and recovery rates. To calculate the default probability of banks, Moody's first removed all assumed defaults. Next, two financial ratios were calculated for every bank in the collateral portfolio. If the First Ratio is above 100% or the Second Ratio is above 130%, Moody's assumed these banks had an implied default probability Rating Factor of 6500, which translates into an implied default probability rating of Caa2. Although these banks were not considered defaulted, the likelihood of moving to default is high. For any bank which was not publicly rated or which did not exceed the First or Second Ratio thresholds, default probability was determined using the Model. To account for the inherent limitations of statistical models and adverse selection, the most favorable implied default probability Rating Factor assumed from the Model was 360, which translates into an implied default probability rating of Baa2. This is about equal to the 30 year historical U.S. bank default rate. To account for the increased likelihood of deferral on the bank TRUPs in the current environment, the pool-wide default probability was multiplied by 1.25. Although there is not any historical context to evaluate the likeliness of bank deferrals, Moody's ultimately believes there will be more deferrals than defaults. For insurance companies, Moody's now supplements the use of the quantitative insurance model developed by MKMV for estimating default probabilities of unrated companies with an independent fundamental review by an analyst from Moody's rating estimates team. Similar to Moody's approach to the modeling of banks, Moody's accounts for model limitations and adverse selection by capping the implied default probability Rating Factor. The cap is set at Baa3, one notch below the Baa2 level for banks because of the uncertainties of the investment portfolios for the insurance companies. Also, similarly to account for the increased likelihood of deferral/default in the current environment, the pool-wide default probability was multiplied by 1.25. Much like banks, Moody's believes there will be more deferrals than defaults in the current environment. For correlation, Moody's discontinued the practice of granting diversity credit for the distinction between banks and thrifts. Moody's also increased the assumed correlation between bank regions, to 10% from 0%. The assumed correlation between banks within any one of the five US regions remained at 45%. Moody's modified the correlation approach for insurance companies by breaking out P&C issuers by region opposed to 12 product lines. Moody's assumed five property/casualty regions, which are the same regions used for banks, and one life/health classification. The correlation for P&C issuers, L&H issuers, and bank issuers in the same region was 45%. The inter-industry correlation between P&C issuers, L&H issuers, and bank issuers in different regions was 10%. Among these various modifications to Moody's rating parameters, the update to the default probability assumptions was a much larger driver than the correlation update. Moody's continued to assume a 10% recovery rate for bank trust preferred securities in its cash flow analysis. This recovery rate represents the likelihood that some banks that defer interest payments may ultimately pay cumulative interest without defaulting. Moody's also continued to assume a 5% recovery rate for insurance companies in its cash flow analysis due to less support by the industry to problem insurance companies. Other than the assumptions noted, the cash flow model also used the approach outlined in Moody's Approach to Rating U.S. Bank Trust Preferred Security CDOs, April 14, 2004 and Moody's Approach to Rating Insurance Trust Preferred Security CDOs, April 1, 2004. * Preferred CPO Limited * Current Model WARF [1]: 907 * Current Assumed Defaulted Amount: $10,000,000 -- US$103,000,000 of Class A Senior Secured Notes due July 26, 2030, Downgraded to Aa1; previously on 8/14/2000 was Aaa -- US$74,000,000 Class B Senior Subordinated Notes due July 26, 2030, Downgraded to Ba3; previously on 8/14/2000 was Baa3 PREFERREDPLUS TRUST: S&P Cuts Rating on $31 Mil. Certs. to 'B' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on PreferredPLUS Trust Series CTR-1's $31 million trust certificates to 'B' from 'B+'. The rating action reflects the April 2, 2009, lowering of the rating on Cooper Tire & Rubber Co.'s 8.00% notes due Dec. 15, 2019, to 'B' from 'B+'. The rating on the trust certificates is dependent on the rating on the 8.00% Cooper Tire & Rubber Co. notes. PUBLIC STEERS: S&P Raises Rating on $231.903 Mil. Certs. to 'CCC-' ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on Public STEERS Series 1998 F-Z4 Trust's $231.903 million class A and B pass-through certificates series 1998 F-Z4 to 'CCC-' from 'D'. The rating action reflects the April 13, 2009, raising of S&P's rating on Ford Motor Co.'s 7.7% debentures due May 15, 2097, the underlying security, to 'CCC-' from 'D'. The rating on the class A and B certificates is dependent on the rating on the underlying security. RAIT CRE: Moody's Downgrades Ratings on Five Classes of Notes ------------------------------------------------------------- Moody's Investors Service confirmed the ratings of six classes and downgraded the ratings of five classes of Notes issued by RAIT CRE CDO I, Ltd. The rating actions are: -- Class A1-A, $200,000,000, Floating Rate Notes Due 2046, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A1-B, $275,000,000, Floating Rate Notes Due 2046, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $90,000,000, Floating Rate Notes Due 2046, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $110,000,000, Floating Rate Notes Due 2046, confirmed at Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $41,500,000, Floating Rate Notes Due 2046, confirmed at A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $25,000,000, Floating Rate Notes Due 2046, confirmed at A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $16,000,000, Floating Rate Notes Due 2046, downgraded to Baa1 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $22,000,000, Floating Rate Notes Due 2046, downgraded to Baa2 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $20,500,000, Fixed Rate Notes Due 2046, downgraded to Baa3 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class H, $18,000,000, Floating Rate Notes Due 2046, downgraded to Ba2 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class J, $35,000,000, Floating Rate Notes Due 2046, downgraded to B1 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded Classes E, F, G, H and J due to deteriorating pool performance and 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 0.8% concentration in REIT collateral, which was issued in 2008. The remaining collateral includes Whole Loans, Mezzanine Loans 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. 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. Moody's review at securitization is summarized in a press release dated November 20, 2006. RESOURCE REAL: Moody's Downgrades Ratings on 10 2007-1 Notes ------------------------------------------------------------ Moody's Investors Service downgraded the ratings of 10 classes and confirmed the ratings of four classes of Notes issued by Resource Real Estate Funding CDO 2007-1, Ltd. The rating actions are: -- Class A-1, $180,000,000, Floating Rate Notes Due 2046, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-1R, $50,000,000, Floating Rate Notes Due 2046, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $57,500,000, Floating Rate Notes Due 2046, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $22,500,000, Floating Rate Notes Due 2046, confirmed at Aa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $7,000,000, Fixed Rate Notes Due 2046, downgraded to Aa3 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $26,750,000, Floating Rate Notes Due 2046, downgraded to A3 from Aa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $11,875,000, Floating Rate Notes Due 2046, downgraded to Baa2 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $11,875,000, Floating Rate Notes Due 2046, downgraded to Baa3 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $11,250,000, Floating Rate Notes Due 2046, downgraded to Ba1 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class H, $11,250,000, Floating Rate Notes Due 2046, downgraded to Ba2 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class J, $11,250,000, Floating Rate Notes Due 2046, downgraded to Ba3 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class K, $10,000,000, Floating Rate Notes Due 2046, downgraded to B2 from Baa3 previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class L, $18,750,000, Fixed Rate Notes Due 2046, downgraded to Caa1 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class M, $28,750,000, Fixed Rate Notes Due 2046, downgraded to Caa2 from B2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded Classes C, D, E, F, G, H, J, K, L and M 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 9.8% concentration in CMBS collateral of which 100% was issued between 2006 and 2007. The remaining collateral includes Whole Loans, Mezzanine Loans 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. We have updated Moody's 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 has migrated the ratings for recent vintage CMBS to levels that Moody's believes 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. Moody's review at securitization is summarized in a Pre-Sale report dated May 23, 2007. RESOURCE REAL: Moody's Downgrades Ratings on Eight 2006-1 Notes --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of eight classes of Notes and confirmed one class of Notes issued by Resource Real Estate Funding CDO 2006-1, Ltd. The rating actions are: -- Class A-1, $129,370,000, Floating Rate Notes Due 2046, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $6,900,000, Floating Rate Notes Due 2046, downgraded to A3 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $20,700,000, Floating Rate Notes Due 2046; downgraded to Baa2 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $15,520,000, Floating Rate Notes Due 2046, downgraded to Baa3 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $20,700,000, Floating Rate Notes Due 2046, downgraded to Ba1 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $19,830,000, Floating Rate Notes Due 2046, downgraded to Ba2 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $17,250,000, Floating Rate Notes Due 2046, downgraded to B1 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class J, $14,660,000, Floating Rate Notes Due 2046, downgraded to Caa1 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class K, $28,460,000, Floating Rate Notes Due 2046, 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, 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 approximately a 9.0% concentration in CMBS and CDO collateral and the remaining is comprised of whole loans, B- Notes, and mezzanine debt. 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 itss 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 has migrated the ratings for recent vintage CMBS to levels that Moody's believes 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. Moody's review at securitization is summarized in a Pre-Sale Report dated July 5, 2006 RESTRUCTURED ASSET: Moody's Cuts Rating on 2002-10-TR Certificates ------------------------------------------------------------------ Moody's Investors Service downgraded its rating of Restructured Asset Certificates with Enhanced Returns, Series 2002-10-TR Certificates issued by Restructured Asset Certificates with Enhanced Returns, Series 2002-10-TR Trust. The rating action is: Class Description: Restructured Asset Certificates with Enhanced Returns, Series 2002-10-TR Certificates -- Current Rating: Ca -- Prior Rating: Caa2 on review for possible downgrade -- Prior Rating Date: 04/02/09 The transaction is a repackaged security whose rating is based primarily upon the transaction's structure and the credit quality of the Reference Obligation, Swap Counterparty and Underlying Asset. RESTRUCTURED ASSET: S&P Corrects Rating on 2006-18-C Certs. to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services corrected its rating on Restructured Asset Certificates w/ Enhanced Returns Series 2006- 18-C (ABX_A_06_2_i)'s $75 million credit-linked certificates by lowering the rating to 'D' from 'CC'. The rating action reflects the April 3, 2009, lowering of S&P's rating on Restructured Asset Certificates with Enhanced Returns Series 2006-15-A Trust's $500 million certificates to 'D' from 'CCC' due to a payment default on the December 2008 payment due date. The rating action did not occur contemporaneously with the payment default on 2006-15-A Trust's $500 million certificates due to a process delay. The rating on the series 2006-18-C certificates is dependent on the lower of the rating on (i) the certificates issued by RACERS Series 2006-15-A Trust ('D') and (ii) the $40 million class M-5 certificates Series 2006-1 due Feb. 25, 2036, issued by Long Beach Mortgage Loan Trust ('CC'). RESTRUCTURED ASSET: S&P Corrects Rating on $87 Mil. Certs. to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on Restructured Asset Certificates w/ Enhanced Returns Series 2006-18-C (ABX_A_06_1_iii)'s $87 million credit-linked certificates by lowering the rating to 'D' from 'CCC'. The rating action reflects the April 3, 2009, lowering of S&P's rating on Restructured Asset Certificates with Enhanced Returns Series 2006-15-A Trust's $500 million certificates to 'D' from 'CCC' due to a payment default on the December 2008 payment due date. The rating action did not occur contemporaneously with the payment default on 2006-15-A Trust's $500 million certificates due to a process delay. The rating on the series 2006-18-C certificates is dependent on the lower of the rating on (i) the certificates issued by RACERS Series 2006-15-A Trust ('D') and (ii) the lowest-rated reference obligations in the credit default swap, which are the $24.539 million class M-5 certificates due Sept. 25, 2035, issued by Morgan Stanley ABS Capital I Inc. Trust 2005-HE5 ('CCC'); the $12.829 million class M-5 certificates due Sept. 25, 2035, issued by RAMP Series 2005-EFC4 Trust ('CCC'); and the $24.880 million class M-5 certificates due Sept. 25, 2035, issued by Structured Asset Investment Loan Trust 2005-HE3 ('CCC'). RESTRUCTURED ASSET: S&P Corrects Rating on Certificates to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on Restructured Asset Certificates w/ Enhanced Returns Series 2006-18-C (ABX_A_06_1_ii)'s $87 million credit-linked certificates by lowering the rating to 'D' from 'CCC'. The rating action reflects the April 3, 2009, lowering of S&P's rating on Restructured Asset Certificates with Enhanced Returns Series 2006-15-A Trust's $500 million certificates to 'D' from 'CCC' due to a payment default on the December 2008 payment due date. The rating action did not occur contemporaneously with the payment default on 2006-15-A Trust's $500 million certificates due to a process delay. The rating on the series 2006-18-C certificates is dependent on the lower of the rating on (i) the certificates issued by RACERS Series 2006-15-A Trust ('D') and (ii) the lowest-rated reference obligations in the credit default swap, which are the $32.425 million class M-5 certificates due Nov. 25, 2036, issued by First Franklin Mortgage Loan Trust Series 2005-FF12 ('CCC'); the $24.750 million class M-5 certificates due Feb. 25, 2036, issued by Home Equity Asset Trust 2005-8 ('CCC'); the $75.248 million class M-2 certificates due Oct. 25, 2035, issued by Structured Asset Backed Receivables LLC Trust 2005-HE1 ('CCC'); and the $17.219 million class M-5 certificates due March 25, 2036, issued by Soundview Home Loan Trust 2005-4 ('CCC'). RFC CDO: Moody's Downgrades Ratings on 10 Classes of 2006-1 Notes ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 10 classes of Notes issued by RFC CDO 2006-1, Ltd. The rating actions are: -- Class A-1, $353,124,418, Floating Rate Notes Due 2046, downgraded to Aa2 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $33,000,000, Floating Rate Notes Due 2046, downgraded to Baa2 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $34,500,000, Floating Rate Notes Due 2046, downgraded to Ba1 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $15,000,000, Floating Rate Notes Due 2046, downgraded to Ba2 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $13,500,000, Floating Rate Notes Due 2046, downgraded to B1 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $9,000,000, Floating Rate Notes Due 2046, downgraded to B2 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $10,500,000, Floating Rate Notes Due 2046, downgraded to B3 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $13,500,000, Floating Rate Notes Due 2046, downgraded to Caa1 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class J, $24,000,000, Floating Rate Notes Due 2046, downgraded to Caa3 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class K, $20,250,000, Floating Rate Notes Due 2046, downgraded to Caa3 from B2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded all Classes due to deteriorating pool performance and 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 an 18.5% concentration in CMBS collateral, of which 65.0% was issued between 2004 and 2006. The remaining collateral includes Whole Loans, 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. 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. Moody's review at securitization is summarized in a Pre-Sale report dated February 24, 2006. RFMSI SERIES: Moody's Downgrades Ratings on 193 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded 193 tranches and confirmed 17 tranches from 16 RFMSI Series deals issued in 2006 and 2007. The collateral backing these transactions consists primarily of first-lien, fixed and adjustable rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19th, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: RFMSI Series 2006-S1 Trust -- Cl. I-A-1, Downgraded to B1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to B1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to A1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to B1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. I-A-5, Downgraded to B1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to B1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. I-A-8, Downgraded to B1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. I-A-9, Downgraded to B1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. II-A, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to A1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade RFMSI Series 2006-S12 Trust -- Cl. I-A-1, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-P, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-V, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Ba2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Baa1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Baa2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Ba3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to Ba2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to Baa2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. II-A-7, Downgraded to Ba3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. II-A-P, Downgraded to Ba2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. II-A-V, Downgraded to Baa2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. III-A-3, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. III-A-4, Downgraded to Baa2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. III-A-5, Downgraded to B3; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. III-A-6, Downgraded to B3; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. III-A-7, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. III-A-8, Downgraded to Caa3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. III-A-9, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. III-A-10, Downgraded to Caa3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. III-A-P, Downgraded to B3; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. III-A-V, Downgraded to Baa2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade RFMSI Series 2006-S5 Trust -- Cl. A-1, Downgraded to Ba1; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba1; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Baa3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Baa2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-11, Confirmed at Aa3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to B1; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to B3; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Aa3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade RFMSI Series 2006-S6 Trust -- Cl. A-1, Downgraded to Ba3; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at Ba1; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-3, Confirmed at Ba1; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at Ba1; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-5, Confirmed at Ba1; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-6, Confirmed at Ba1; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-7, Confirmed at Ba1; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-8, Confirmed at Ba1; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Baa2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Baa2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Ba3; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Baa2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Baa2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Baa2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Baa2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Ba3; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Baa2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade RFMSI Series 2006-S7 Trust -- Cl. A-1, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ca; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to B2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to B2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Ca; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to B2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade RFMSI Series 2006-S8 Trust -- Cl. A-1, Downgraded to Ba1; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba1; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B1; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to A3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Ba2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to A1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to A1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Ba2; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Ba2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Ba2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Ba2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Ba2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Ba2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Ba2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Ba2; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to A1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade RFMSI Series 2006-S9 Trust -- Cl. A-1, Downgraded to Ba1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade RFMSI Series 2006-SA1 Trust -- Cl. I-A-1, Downgraded to B3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Ca; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to B3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Ca; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 3/19/2009 Ca Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 3/19/2009 Ca Placed Under Review for Possible Downgrade RFMSI Series 2006-SA4 Trust -- Cl. I-A-1, Downgraded to Caa3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Ca; previously on 3/19/2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to B3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Ca; previously on 3/19/2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Caa2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to Caa2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. III-A-3, Downgraded to Ca; previously on 3/19/2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. III-A-X-1, Downgraded to Caa2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 3/19/2009 Ca Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 3/19/2009 Ca Placed Under Review for Possible Downgrade RFMSI Series 2007-S1 Trust -- Cl. A-1, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Baa1; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to B3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Ba2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa3; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade RFMSI Series 2007-S2 Trust -- Cl. A-6, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade RFMSI Series 2007-S4 Trust -- Cl. A-1, Downgraded to B2; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B2; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-6, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-8, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to B3; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-10, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Ca; previously on 3/19/2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to B3; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to B3; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to B3; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to B3; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-P, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade RFMSI Series 2007-S5 Trust -- Cl. A-1, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa1; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa1; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Ba2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Ba2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa1; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa1; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade RFMSI Series 2007-S6 Trust -- Cl. I-A-4, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to B1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. I-A-13, Downgraded to B1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. I-A-14, Downgraded to Ca; previously on 3/19/2009 B1 Placed Under Review for Possible Downgrade -- Cl. I-A-17, Downgraded to B1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. I-A-19, Downgraded to Ca; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to B3; previously on 3/19/2009 B1 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to B3; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to B1; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. II-A-7, Downgraded to B1; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. II-A-10, Downgraded to B1; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. II-A-14, Downgraded to Ca; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade RFMSI Series 2007-SA1 Trust -- Cl. I-A-1, Downgraded to Caa2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa2; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Caa1; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Ca; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. II-A-X, Downgraded to Caa2; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. III-A, Downgraded to Caa2; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. IV-A, Downgraded to B3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 3/19/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 3/19/2009 Ca Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 3/19/2009 Ca Placed Under Review for Possible Downgrade RFMSI Series 2007-SA2 Trust -- Cl. I-A, Downgraded to Caa3; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa3; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Caa1; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Ca; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. III-A, Downgraded to Caa3; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade -- Cl. IV-A, Downgraded to Caa3; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade -- Cl. V-A, Downgraded to B3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 3/19/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 3/19/2009 Ca Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 3/19/2009 Ca Placed Under Review for Possible Downgrade SATURNS TRUST: Moody's Downgrades Rating on 2003-1 Notes to 'Ba3' ----------------------------------------------------------------- Moody's Investors Service downgraded its rating of $60,191,699 of 7.25% Callable Units due June 1, 2032 issued by SATURNS Trust No. 2003-1. The rating actions are: Class Description: $60,191,699 of 7.25% Callable Units due June 1, 2032 -- Current Rating: Ba3 -- Prior Rating: Ba2 -- Prior Rating Date: 11/03/06 The transaction is a structured note whose rating changes with the ratings of the Securities. The rating action is a result of the change of the rating 7.00% Sears Roebuck Acceptance Corp. debentures due June 1, 2032, which were downgraded to Ba3 on March 23, 2009. SATURNS TRUST: S&P Raises Ratings on $75 Mil. Units to 'CCC-' ------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on SATURNS Trust No. 2003-5's $75 million 8.125% pass-through callable units series 2003-5 to 'CCC-' from 'D'. The rating action follows the April 13, 2009, raising of S&P's rating on Ford Motor Co.'s 7.45% global landmark securities due July 16, 2031, the underlying security, to 'CCC-' from 'D'. The rating on the callable units is dependent on the rating on the underlying security. SATURNS TRUST: S&P Downgrades Ratings on 2003-7 Notes to 'BB' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on SATURNS Trust No. 2003-7's class A and B units to 'BB' from 'BBB-' and removed them from CreditWatch, where they were placed with negative implications on Feb. 12, 2009. The rating actions reflect the April 16, 2009, lowering of the rating on Macy's Retail Holdings Inc.'s 6.90% debentures due Jan. 15, 2032, to 'BB' and its removal from CreditWatch negative. The ratings on the class A and B units are based solely on the rating assigned to the Macy's Retail Holdings Inc. debentures. SATURNS TRUST: S&P Affirms 'BB-' Rating on $60.192 Mil. Certs. -------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'BB-' rating on SATURNS Trust No. 2003-1's $60.192 million certificates and removed it from CreditWatch, where it was placed with negative implications on Feb. 13, 2009. The actions reflect the April 16, 2009, affirmation of the 'BB-' rating on Sears Roebuck Acceptance Corp.'s 7.00% notes due June 1, 2032, and its removal from CreditWatch negative. The rating on the certificates is based solely on the rating assigned to Sears Roebuck Acceptance Corp.'s debentures. SEQUOIA MORTGAGE: Moody's Junks 16 Class of Pass-Through Certs. --------------------------------------------------------------- Moody's Investors Service has downgraded 27 tranches from 3 deals issued by Sequoia Mortgage Trust in 2007. The collateral backing these transactions consists primarily of first-lien, adjustable rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19th, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: Issuer: Sequoia Mortgage Trust 2007-2, Mortgage Pass-Through Certificates, Series 2007-2 -- Cl. 1-A1, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Ba1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-XA, Downgraded to Ba1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-XB, Downgraded to C; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-B1, Downgraded to C; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-B2, Downgraded to C; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2007-3, Mortgage Pass-Through Certificates, Series 2007-3 -- Cl. 1-A1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Caa3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 1-XA, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-XB, Downgraded to C; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-B1, Downgraded to C; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-B2, Downgraded to C; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-B3, Downgraded to C; previously on 3/19/2009 Caa2 Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2007-4, Mortgage Pass-Through Certificates, Series 2007-4 -- Cl. 1-A1, Downgraded to A2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Ca; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-XA, Downgraded to A2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Ca; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Ca; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to A3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 4-A2, Downgraded to Ca; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade -- Cl. 5-A1, Downgraded to B3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 5-A2, Downgraded to Ca; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C; previously on 3/19/2009 Ca Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C; previously on 3/19/2009 Ca Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C; previously on 3/19/2009 Ca Placed Under Review for Possible Downgrade SLATE CDO: S&P Downgrades Ratings on All Classes of 2007-1 Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on all of the rated classes of notes issued by Slate CDO 2007-1 Ltd., a commercial real estate collateralized debt obligation transaction backed by cash and synthetic commercial real estate assets. The lowered ratings remain on CreditWatch with negative implications. The transaction was originated in June 2007. The rating actions reflect S&P's receipt of notice from the trustee indicating the occurrence of an event of default under section 5.1 (h) of the transaction's indenture. The EOD gives holders of at least 50% in aggregate outstanding amount of the class A1SA notes the right to direct the trustee to proceed with the liquidation of the collateral backing the rated notes. The rating actions reflect S&P's opinion that, should the requisite A1SA noteholders direct the trustee to proceed with liquidation, 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 prior to the end of any liquidation period. Standard & Poor's will continue to monitor the performance of the transaction to determine the stability of the tranches at their rating levels. Rating And Creditwatch Actions Slate CDO 2007-1 Ltd. Rating ------ Class To From ----- -- ---- A1SA BBB/Watch Neg AAA/Watch Neg A1SB BBB/Watch Neg AAA/Watch Neg A1J BB/Watch Neg AAA/Watch Neg A2 B/Watch Neg AA/Watch Neg A3 B-/Watch Neg A/Watch Neg B1 CCC+/Watch Neg BBB/Watch Neg B2 CCC/Watch Neg BBB-/Watch Neg B3 CCC-/Watch Neg BB+/Watch Neg C CCC-/Watch Neg BB/Watch Neg Transaction Information ----------------------- Issuer: Slate CDO 2007-1 Ltd. Co-issuer: Slate CDO 2007-1 LLC Collateral manager: Petra Cap Management LLC Underwriter: UBS Securities Inc. Indenture trustee: Wells Fargo Bank N.A. SPGS SPC: S&P Downgrades Ratings on Four Classes to 'D' ------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on SPGS SPC's Baldwin Series 2006-IV, 2006-V, 2006-VI, and 2006-VII notes. The lowered ratings follow a number of recent write-downs of underlying reference entities, which have caused the notes to incur principal losses. Ratings Lowered SPGS SPC Series Baldwin 2006-IV Rating ------ Class To From ----- -- ---- Notes D CCC- SPGS SPC Series Baldwin 2006-V Rating ------ Class To From ----- -- ---- Notes D CCC- SPGS SPC Series Baldwin 2006-VI Rating ------ Class To From ----- -- ---- A D CCC- SPGS SPC Series Baldwin 2006-VII Rating ------ Class To From ----- -- ---- A-2 D CCC- Other Outstanding Ratings SPGS SPC Series Baldwin 2006-VII Class Rating ----- ------ A-1 CCC- SPRING ASSET: Moody's Confirms Ratings on 11 Classes of Notes ------------------------------------------------------------- Moody's Investors Service confirmed the ratings eleven classes of Notes issued by Spring Asset Funding Ltd. The rating actions are: -- Class A, $868,750,000, Floating Rate Notes Due 2050, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $81,250,000, Floating Rate Notes Due 2050, confirmed at Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $28,125,000, Floating Rate Notes Due 2050, confirmed at A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $9,375,000, Floating Rate Notes Due 2050, confirmed at A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $9,375,000, Floating Rate Notes Due 2050, confirmed at A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $18,750,000, Floating Rate Notes Due 2050, confirmed at Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $18,750,000, Floating Rate Notes Due 2050, confirmed at Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class H, $15,625,000, Floating Rate Notes Due 2050, confirmed at Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class J, $18,750,000, Floating Rate Notes Due 2050, confirmed at Ba1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class K, $18,750,000, Floating Rate Notes Due 2050, confirmed at Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class L, $18,750,000, Floating Rate Notes Due 2050, confirmed at Ba3; previously on 3/12/2009 Placed Under Review for Possible Downgrade The pool contains a 16.4% concentration in CMBS collateral of which approximately 67.5% was issued between 2006 and 2008. The remaining pool collateral includes CDO securities, whole loans, subordinate debt 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 securitization. Moody's review at securitization is summarized in a press release dated November 3, 2006. STRUCTURED ENHANCED: Moody's Downgrades Rating on 2004-2 Notes -------------------------------------------------------------- Moody's Investors Service downgraded its rating of Structured Enhanced Trust Securities Series 2004-2 issued by SETS Trust No. 2004-2. The rating action is: Class Description: Structured Enhanced Trust Securities Series 2004-2 -- Current Rating: Ba1 -- Prior Rating: Baa1 on review for possible downgrade -- Prior Rating Date: 03/18/09 The transaction is a structured note whose rating changes with the rating of the Debt Securities Insurer as well as the rating of the underlying assets. STEERS CDO: S&P Junks Rating on $130 Mil. 2005-1 Certificates ------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on Steers CDO Squared Trust Series 2005-1's $130 million trust certificates series 2005-1 by lowering the rating to 'CCC' from 'B+'. S&P initially rated these notes Feb. 20, 2009. However, due to an analytical error at that time, S&P believed the transaction benefited from 17.69% subordination. Upon further review, S&P discovered that the transaction's actual subordination level is 7.96%, and S&P is adjusting its rating based on this corrected subordination level. Steers CDO Squared Trust Series 2005-1 has a remaining life of 15 months and is scheduled to mature in July 2010. TIMES SQUARE: S&P Downgrades Rating on Amortizing Certs. to 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Times Square Hotel Trust's mortgage and lease amortizing certificates to 'BB' from 'BB+' and removed it from CreditWatch with negative implications. The outlook is stable. The action follows the April 16, 2009, lowering of the corporate credit rating on Starwood Hotels & Resorts Worldwide Inc. The rating on the Times Square Hotel Trust transaction is based on the payments and obligations made by Starwood pursuant to a triple-net-lease for the W New York -- Times Square Hotel on Broadway at 47th Street in Manhattan. WACHOVIA BANK: GGP Bankruptcy Cudes Moody's Review on Rake Bonds ---------------------------------------------------------------- Moody's Investors Service placed the ratings of 15 rake or non- pooled bonds from six CMBS transactions on review for possible downgrade due to concerns about potential non-reimbursed trust expenses and interest shortfalls related to the Chapter 11 bankruptcy filing of General Growth Properties and affiliates on April 16, 2009. In these transactions, Moody's rated promise is to the timely payment of interest and ultimate payment of principal by the final rated distribution date. Moody's action reflects the possibility that non-reimbursed trust expenses and interest shortfalls may cause a disruption in the timely payment of interest on the rake or non-pooled bonds. Like non-pooled bonds, rake bonds are exposed to the first loss occurring on a single loan, or to the non-reimbursed trust expenses and interest shortfalls that may occur as a result of the loan being transferred to special servicing. There is no benefit from the pooling of cash flows from other loans. As a result, special servicing fees, legal expenses, and other trust expenses may create interest shortfalls that could negatively impact the non-rated or rated classes in reverse sequential order. In some cases, these shortfalls and expenses may not be reimbursed by the loan borrower upon the return of the loan to master servicing. The bankruptcy filing includes 158 properties. Of these, 46 properties are in 39 Moody's rated U.S. CMBS transactions. Moody's has reviewed the 39 deals and has concluded that no action is warranted at this time on the remaining 33 deals where pooled GGP loans were subject to the Chapter 11 filing. Moody's will continue to monitor the GGP bankruptcy case and the transactions with exposure to GGP; if there are any material changes, rating actions will be taken, if warranted. In Moody's review, Moody's concluded that the GGP exposure was not material in some deals. In others, prior rating actions reflected a below-investment grade underlying rating for the asset commensurate with the current risk. Finally, in the remaining deals, amortization and improved property performance, along with bond level paydowns and increased credit enhancement, mitigated the increased probability of default and expected loss associated with GGP's bankruptcy filing. In addition, when interest shortfalls and non-reimbursed trust expenses occur in the transactions in which the GGP affected loans are pooled, there is a non-rated class or classes that have an appropriate low rating to absorb these shortfalls. Moody's rating action is: Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2006-C5 -- Class AMP-1, $40,000,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from Baa1 on 2/9/2009 -- Class AMP-2, $48,000,000, currently rated Baa3; on review for possible downgrade; previously downgraded to Baa3 from Baa2 on 2/9/2009 -- Class AMP-3, $27,000,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from Baa3 on 2/9/2009. These classes are supported by a B note secured by the borrower's interest in Ala Moana Center, a 2.0 million square foot regional mall and office component located in Honolulu, Hawaii. The Ala Moana Center is the dominant retail center in its trade area and is considered the world's largest open-air shopping center. The property recently completed an expansion that included a 200,000 square foot Nordstrom department store as well as 100,000 square feet of additional retail space. Moody's prior full review is summarized in a press release dated February 9, 2009. Gallery at Harborplace Mortgage Trust Commercial Mortgage Pass- Through Certificates, Series 2000-C5C -- Class B-1, $3,200,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from A3 on 3/11/2009 -- Class B-2, $5,100,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from Baa2 on 3/11/2009 -- Class B-3, $2,200,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from Baa3 on 3/11/2009 These classes are supported by a B note secured by the borrower's interest in Gallery at Harborplace, a 404,000 square foot office and retail mixed use complex located within the Inner Harbor development in Baltimore, Maryland. The property was developed in 1987 by The Rouse Company which was acquired by GGP in 2004. Moody's prior full review is summarized in a press release dated March 11, 2009. GE Commercial Mortgage Corporation, Commercial Mortgage Pass- Through Certificates, Series 2003-C2 -- Class BLVD-1, $1,706,377, currently rated A2, on review for possible downgrade; previously affirmed at A2 on 11/7/2007 -- Class BLVD-2, $2,501,000, currently rated A3, on review for possible downgrade; previously affirmed at A3 on 11/7/2007 -- Class BLVD-3, $4,502,000, currently rated Baa1, on review for possible downgrade; previously affirmed at Baa1 on 11/7/2007 -- Class BLVD-4, $3,549,000, currently rated Baa2, on review for possible downgrade; previously affirmed at Baa2 on 11/7/2007 -- Class BLVD-5, $7,960,750, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 11/7/2007 These classes are supported by a B note secured by the borrower's interest in Boulevard Mall, a 1.2 million square foot shopping center located in Las Vegas, Nevada. The center is anchored by Sears, Dillard's, Macy's and J.C. Penney. Moody's prior full review is summarized in a press release dated November 7, 2007. GS Mortgage Securities Corporation II, Commercial Pass-Through Certificates, Series 2001-GL III -- Class F-NFC, $10,460,000, currently rated Aa3, on review for possible downgrade; previously downgraded to Aa3 from Aa2 on 3/19/2009 -- Class G-NFC, $5,910,569, currently rated A1, on review for possible downgrade; previously downgraded to A1 from Aa3 on 7/31/2008 These classes are supported by a B note secured by the borrower's interest in Northridge Fashion Center, a 1.4 million square foot regional mall located in Northridge, California. The mall is anchored by Macy's, Sears and J.C. Penney. Moody's prior full review is summarized in a press release dated July 31, 2008. Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2004-C14 -- Class PP, $37,145,889, currently rated Ba1, on review for possible downgrade; previously affirmed at Ba1 on 5/4/2007 The class is supported by a B note secured by the borrower's interest in Park Place Mall, a 1.0 million square foot regional mall located in Tucson, Arizona. The center is anchored by Sears, Dillard's and Macy's. Moody's prior full review is summarized in a press release dated May 4, 2007. Wachovia Bank Commercial Mortgage Trust 2006-C26, Commercial Pass- Through Certificates, Series 2006-C26 -- Class WM, $10,000,000, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 2/10/2009 The class is supported by a B note secured by the borrower's interest in Woodlands Mall, 1.4 million square foot mall located in Woodlands, Texas. The center is anchored by Dillard's, Foley's, Sears and J.C. Penney. Moody's prior full review is summarized in a press release dated February 10, 2009. WELLS FARGO: Moody's Downgrades Ratings on 100 2007-11 Tranches --------------------------------------------------------------- Moody's Investors Service has downgraded 100 tranches from Wells Fargo Mortgage-Backed Securities 2007-11 Trust. The collateral backing these transactions consists primarily of first-lien, fixed rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions listed below reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19th, 2009, and are part of Moody's on- going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Wells Fargo Mtge Backed Securities 2007-11 Trust -- Cl. A-1, Downgraded to Ba2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-20, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-21, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-22, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-23, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-24, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-25, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-26, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-27, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-28, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-29, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-30, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-31, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-32, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-33, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-34, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-35, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-36, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-37, Downgraded to Ba2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-38, Downgraded to Ba2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-39, Downgraded to Ba2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-40, Downgraded to Ba2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-41, Downgraded to Ba2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-42, Downgraded to Ba2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-43, Downgraded to Ba2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-44, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-45, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-46, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-47, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-48, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-49, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-50, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-51, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-52, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-53, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-54, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-55, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-56, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-57, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-58, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-59, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-60, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-61, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-62, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-63, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-64, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-65, Downgraded to Caa3; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-66, Downgraded to Caa3; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-67, Downgraded to Caa3; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-68, Downgraded to Caa3; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-69, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-70, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-71, Downgraded to Ba2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-72, Downgraded to Ba2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-73, Downgraded to Ba2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-74, Downgraded to Ba2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-75, Downgraded to Ba2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-76, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-77, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-78, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-79, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-80, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-81, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-82, Downgraded to B1; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-83, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-84, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-85, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-86, Downgraded to B1; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-87, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-88, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-89, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-90, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-91, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-92, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-93, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-94, Downgraded to Ba3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-95, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-96, Downgraded to Ba3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-97, Downgraded to Caa3; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-98, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-99, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to B1; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade The ratings on the notes were assigned after evaluating factors determined applicable to the credit profile of the notes, such as: i) the nature, sufficiency, and quality of historical performance information available for the asset class as well as for the transaction sponsor, ii) collateral analysis, iii) an analysis of the policies, procedures and alignment of interests of the key parties to the transaction, most notably the originator and the servicer, iv) an analysis of the transaction's allocation of collateral cashflow and capital structure, v) an analysis of the transaction's governance and legal structure, and vi) a comparison of these attributes against those of other similar transactions. * Fitch Sees Negative Trend in U.S. Public Finance Rating Actions ----------------------------------------------------------------- Fitch Ratings notes a significantly negative trend in U.S. Public Finance rating actions during the first quarter of 2009 (1Q'09), accelerating a decline in municipal credit from 2008. This deterioration reflects the severe recessionary macro-economic environment, dislocations in the credit markets, and increased fiscal and liquidity pressures. In the 1Q'09, Fitch's U.S. Public Finance group upgraded underlying ratings on only 40 credits totaling $12.9 billion in par value, while it downgraded underlying ratings on 56 credits totaling $84.2 billion. This resulted in an upgrade-to-downgrade ratio of only 0.71:1 in terms of rating changes and a ratio of 0.15:1 on a par value basis. This was considerably worse than the annual ratios for 2007 and 2008, which were 3.67:1 in terms of rating changes and 8.6:1 in terms of par value and 1.59:1 in terms of rating changes and 5.13:1 in terms of par value, respectively. Fitch notes also that last quarter saw the largest number of Fitch U.S. Public Finance rating downgrades since at least 2002, when Fitch began reporting quarterly municipal rating change totals. The number of downgrades in the last quarter was nearly two-thirds of the total number of downgrades in all of 2008 and greater than the total number of downgrades in all of 2007. The bulk of the par value in downgrades was attributable to the state of California, whose $51.4 billion in general obligation (GO) bonds were downgraded to 'A' from 'A+'; $8.9 billion in lease-supported bonds were downgraded to 'A-' from 'A'; and $8.7 billion in special tax bonds were downgraded to 'A' from 'A+' (California's special tax bonds were downgraded previously during the 1Q'09 from 'AA-'). Other significant downgrades were the Florida Department of Environmental Protection's $2.6 billion Florida Forever and Preservation 2000 bonds and $200 million Florida Everglades bonds (downgraded to 'A-' from 'A+'); Tennessee Energy Acquisition Corporation's $2 billion gas prepaid revenue bonds (downgraded to 'A+' from 'AA-' following Fitch's downgrade of Goldman Sachs Group to 'A+' from 'AA-'); and various bonds issued on behalf of Detroit, Michigan (the city) including $1.5 billion Detroit Retirement System's Funding Trust certificates of participation (downgraded to 'BB' from 'BBB'), the city's $530 million unlimited tax GO bonds (downgraded to 'BB' from 'BB+'), and the city's $314 million limited tax GO bonds (downgraded to 'BB-' from 'BB'). The largest upgrades on a par basis were for Energy Northwest, WA's $6.6 billion electric revenue bonds (upgraded to 'AA' from 'AA-'), and the Frisco Independent School District's $1.1 billion unlimited tax general obligation bonds (upgraded to 'A+' from 'A'). During the 1Q'09, there were 20 upgrades and 29 downgrades in the tax-backed sector, four upgrades and eight downgrades in healthcare, six upgrades and seven downgrades in water & sewer, three upgrades and five downgrades in public power, no upgrades and four downgrades in transportation, and four upgrades and no downgrades in tax-exempt housing. The ratio of Positive to Negative Rating Watches and Outlooks indicates the declining trend in public finance ratings is likely to continue for some time. As of the end of the 1Q'09, 44 credits were on Rating Watch Negative, up from 25 credits at the end of the 1Q'08. Five were on Rating Watch Positive at the end of the 1Q'09, down from seven at the end of the 1Q'08. During 1Q'09, six credits were taken off Rating Watch Negative (four of them in conjunction with a downgrade, and one due to a rating withdrawal), while 11 were placed on Rating Watch Negative. Massachusetts Turnpike Authority's Metropolitan Highway System revenue bonds and subordinated revenue bonds were taken off and then placed back on Rating Watch Negative within the 1Q'09. There were 90 credits with a Positive Rating Outlook and 177 with a Negative Rating Outlook at the end of the 1Q'09, yielding a ratio of 0.51:1, down from 1.08:1 at the end of the 1Q'08; 1Q'09 was the fifth consecutive quarter that this ratio declined. * Moody's Downgrades Ratings on 77 Notes by 17 CDO Transactions --------------------------------------------------------------- Moody's Investors Service downgraded its ratings of 77 Notes issued by 17 collateralized debt obligation transactions which consist of significant exposure to one or more of Alt-A, Option- ARM and subprime RMBS securities, CLOs, or CMBS. Moody's explained that the rating actions reflect certain updates and projections and recent rating actions on underlying assets on these asset classes. Some of the deals have also experienced an Event of Default. Moody's revised loss projections for Alt-A RMBS securities which were described in a press release published on January 22, 2009. According to the press release, on average, Moody's is now projecting cumulative losses of about 20% for 2006 securitizations and about 24% for 2007 securitizations. Moody's revised loss projections for subprime RMBS issued from 2005 to 2007 were described in a press release titled "2005-7 subprime RMBS on downgrade review" published on February 26, 2009. The revised loss projection for 2006 vintage subprime pools is expected to fall within the range of 28% to 32% of the original balance of such pools, whereas Moody's previous estimate was 22%. For 2005 and 2007 pools, such projections are expected to range from 12% to 14% and 33% to 37% of original balance, respectively. A review of all U.S. commercial mortgage backed securities conduit and fusion transactions rated during the period from 2006 through 2008, and all large loan and single borrower transactions regardless of vintage was concluded recently. The review was announced in a Press Release titled "Moody's announces review of Certain U.S. CMBS Ratings " on February 5, 2009. Moody's announced revisions and updates to certain key assumptions, including Default Probability and Diversity Score, that it uses to rate and monitor collateralized loan obligations in a Press Release published on February 4, 2009. The completion of the first stage of its two-stage review of U.S. and EMEA cash flow CLOs was announced on March 27, 2009. As of March 23, Moody's had downgraded approximately 2,071 tranches from 668 transactions. In addition, Moody's explained that the rating actions taken incorporate the application of revised and updated key modeling parameter assumptions that Moody's uses to rate and monitor ratings of SF CDOs. The revisions affect the three key parameters in Moody's model for rating SF CDOs: asset correlation, default probability and recovery rate. Moody's announced the changes to these assumptions in a press release published on December 11, 2008. Moody's initially analyzed and continues to monitor these transactions using primarily the methodology and its supplements for ABS CDOs as described in Moody's Special Report below: -- Moody's Approach to Rating SF CDOs (March 2009) The rating actions are: Abacus 2006-8, Ltd. -- US$50,000,000 Class A-1 Floating Rate Notes, Due 2045, Downgraded to C; previously on 12/16/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- US$35,000,000 Class A-2 Floating Rate Notes, Due 2045, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$27,500,000 Class A-3 Floating Rate Notes, Due 2045, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$20,000,000 Class B Floating Rate Notes, Due 2045, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$32,500,000 Class C Floating Rate Notes, Due 2045, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$4,000,000 Class D Floating Rate Notes, Due 2045, Downgraded to C; previously on 5/30/2008 Downgraded to Ca ABACUS 2006-9, Ltd. -- US$25,000,000 Class A-1 Variable Rate Notes Due 2041, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$40,625,000 Class A-2 Variable Rate Notes, Due 2041, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$35,937,500 Class B Variable Rate Notes, Due 2041, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$23,437,500 Class C Variable Rate Notes, Due 2041, Downgraded to C; previously on 5/30/2008 Downgraded to Ca ABSpoke 2006-IA Segregated Portfolio -- US$100,000,000 Variable Floating Rate Notes Due 2046, Downgraded to Ca; previously on 12/16/2008 Downgraded to B1 and remains on Review for Possible Downgrade Burnham Harbor CDO 2006-1 -- Class A-1Lb, Downgraded to Caa2; previously on 12/16/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- Class A-2L, Downgraded to C; previously on 12/16/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class A-3L, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- Class B-1L, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade Class V Funding II, Ltd. -- Class A-1, Downgraded to Caa1; previously on 12/16/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class A-2A, Downgraded to C; previously on 5/29/2008 Downgraded to Ca -- Class A-2B, Downgraded to C; previously on 5/29/2008 Downgraded to Ca Fort Duquesne CDO 2006-1 Ltd. -- US$450,000,000 Class A-1A Senior Secured Floating Rate Notes Due 2046, Downgraded to Ca; previously on 2/10/2009 Downgraded to Ba3 -- US$400,000,000 Class A-1B Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 2/10/2009 Downgraded to Ca -- US$11,000,000 Class X Senior Secured Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to B3 GSC ABS CDO 2006-2m, Ltd. -- US$225,000,000 Class A-1A First Priority Senior Secured Floating Rate Notes due 2045, Downgraded to C; previously on 6/9/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- US$125,000,000 Class A-1B Second Priority Senior Secured Floating Rate Delayed Draw Notes due 2045, Downgraded to C; previously on 6/9/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$13,500,000 Class A-2 Third Priority Senior Secured Floating Rate Notes due 2045, Downgraded to C; previously on 6/9/2008 Downgraded to Ca -- US$56,500,000 Class B Fourth Priority Senior Secured Floating Rate Notes due 2045, Downgraded to C; previously on 6/9/2008 Downgraded to Ca -- US$14,500,000 Class C Fifth Priority Senior Secured Floating Rate Notes due 2045, Downgraded to C; previously on 6/9/2008 Downgraded to Ca Lexington Capital Funding II, Ltd. -- US$385,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$17,050,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$64,625,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 5/8/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$19,800,000 Class C Fourth Priority Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 5/8/2008 Downgraded to Ca Libertas Preferred Funding I, Ltd. -- Class A-1, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- Class A-2, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class B, Downgraded to C; previously on 12/16/2008 Caa3 Placed Under Review for Possible Downgrade -- Class C, Downgraded to C; previously on 6/9/2008 Downgraded to Ca -- Class D, Downgraded to C; previously on 6/9/2008 Downgraded to Ca -- Class E, Downgraded to C; previously on 6/9/2008 Downgraded to Ca -- Class F, Downgraded to C; previously on 6/9/2008 Downgraded to Ca -- Class G, Downgraded to C; previously on 6/9/2008 Downgraded to Ca Mayflower CDO I Ltd. -- US$609,000,000 Class A-1LA Investor Swap, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$157,000,000 Class A-1LB Floating Rate Notes Due June 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$75,000,000 Class A-2L Floating Rate Notes Due June 2046, Downgraded to C; previously on 5/9/2008 Downgraded to Ca -- US$46,000,000 Class A-3L Floating Rate Notes Due June 2046, Downgraded to C; previously on 5/9/2008 Downgraded to Ca -- US$50,000,000 Class B-1L Floating Rate Notes Due June 2046, Downgraded to C; previously on 3/26/2008 Downgraded to Ca -- US$20,000,000 Class X Notes Due September 2012, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade Millerton II High Grade ABS CDO, Ltd. -- US$1,118,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2051, Downgraded to Ca; previously on 12/16/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- US$91,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$46,500,000 Class B Senior Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- US$17,000,000 Class C Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 6/4/2008 Downgraded to Ca Point Pleasant Funding 2007-1 Ltd. -- US$6,000,000 Class S Floating Rate Notes due 2012, Downgraded to C; previously on 12/11/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade RFC CDO IV Ltd. -- Class A-2 Senior Secured Floating Rate Notes Due July 15, 2051, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- Class A-3 Senior Secured Floating Rate Notes Due July 15, 2051, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- Class B Senior Secured Floating Rate Notes Due July 15, 2051, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class C Secured Floating Rate Deferrable Interest Notes Due July 15, 2051, Downgraded to C; previously on 6/3/2008 Downgraded to Ca -- Class D Secured Floating Rate Deferrable Interest Notes Due July 15, 2051, Downgraded to C; previously on 6/3/2008 Downgraded to Ca -- Subordinated Notes Due July 15, 2051, Downgraded to C; previously on 6/3/2008 Downgraded to Ca -- Super Senior Facility, Downgraded to Ca; previously on 12/16/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade South Coast Funding VII Ltd -- US$45,000,000 Class A-1AV First Priority Senior Secured Voting Floating Rate Notes Due 2041-1, Downgraded to Ca; previously on 12/17/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- US$773,750,000 Class A-1ANV First Priority Senior Secured Non-Voting Floating Rate Notes Due 2041, Downgraded to Ca; previously on 12/17/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- US$250,000 Class A-1B First Priority Senior Secured Floating Rate Notes Due 2041, Downgraded to Ca; previously on 12/17/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- US$146,255,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2041, Downgraded to C; previously on 11/10/2008 Downgraded to Ca -- US$75,450,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2041, Downgraded to C; previously on 11/10/2008 Downgraded to Ca -- US$1,000,000 Class P-3 Combination Securities Due 2041, Withdrawn; previously on 5/31/2005 Assigned Aaa South Coast Funding VIII Ltd -- Class A-1NV, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- Class A-1V, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- Class A-2, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class B, Downgraded to C; previously on 6/2/2008 Downgraded to Ca STAtic ResidenTial CDO 2006-A Ltd. -- Class A-1(a) Floating Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class A-1(b) Floating Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- Class A-2 Floating Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- Class B Floating Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- Class C Deferrable Interest Floating Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- Class D Deferrable Interest Floating Rate Notes, Downgraded to C; previously on 4/24/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class E Deferrable Interest Floating Rate Notes, Downgraded to C; previously on 4/24/2008 Downgraded to Ca Wadsworth CDO, Ltd. -- US$800,000,000 Class A-1A Senior Secured Floating Rate Notes due 2046, Downgraded to Ca; previously on 12/16/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- US$256,000,000 Class A-1B Senior Secured Floating Rate Notes due 2046, Downgraded to Ca; previously on 12/16/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- US$72,500,000 Class A-2 Senior Secured Floating Rate Notes due 2046, Downgraded to C; previously on 6/25/2008 Downgraded to Ca -- US$38,000,000 Class B Senior Secured Floating Rate Notes due 2046, Downgraded to C; previously on 3/31/2008 Downgraded to Ca * Moody's Downgrades Ratings on 131 Notes by 37 CDO Transactions ---------------------------------------------------------------- Moody's Investors Service downgraded its ratings of 131 Notes issued by 37 collateralized debt obligation transactions, and confirmed the ratings of 5 Notes issued by 2 collateralized debt obligation transactions which consist of significant exposure to one or more of Alt-A, Option-ARM and subprime RMBS securities, CLOs, or CMBS. Moody's explained that the rating actions reflect certain updates and projections and recent rating actions on underlying assets on these asset classes. Some of the deals have also experienced an Event of Default. Moody's revised loss projections for subprime RMBS issued from 2005 to 2007 were described in a press release titled "2005-7 subprime RMBS on downgrade review" published on February 26, 2009. The revised loss projection for 2006 vintage subprime pools is expected to fall within the range of 28% to 32% of the original balance of such pools, whereas Moody's previous estimate was 22%. For 2005 and 2007 pools, such projections are expected to range from 12% to 14% and 33% to 37% of original balance, respectively. A review of all U.S. commercial mortgage backed securities conduit and fusion transactions rated during the period from 2006 through 2008, and all large loan and single borrower transactions regardless of vintage was concluded recently. The review was announced in a Press Release on February 5, 2009. Moody's announced revisions and updates to certain key assumptions, including Default Probability and Diversity Score, that it uses to rate and monitor collateralized loan obligations in a Press Release published on February 4, 2009. The completion of the first stage of its two-stage review of U.S. and EMEA cash flow CLOs was announced on March 27, 2009. As of March 23, Moody's had downgraded approximately 2,071 tranches from 668 transactions. In addition, Moody's explained that the rating actions taken incorporate the application of revised and updated key modeling parameter assumptions that Moody's uses to rate and monitor ratings of SF CDOs. The revisions affect the three key parameters in Moody's model for rating SF CDOs: asset correlation, default probability and recovery rate. Moody's announced the changes to these assumptions in a press release published on December 11, 2008. Moody's initially analyzed and continues to monitor these transactions using primarily the methodology and its supplements for ABS CDOs as described in Moody's Special Report below: -- Moody's Approach to Rating SF CDOs (March 2009) The rating actions are: ABACUS 2005-1, Ltd. -- Class A-1, Downgraded to Caa3; previously on 12/17/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- Class A-2, Downgraded to Ca; previously on 12/17/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- Class B, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class C, Downgraded to C; previously on 11/5/2008 Downgraded to Ca -- Class D, Downgraded to C; previously on 11/5/2008 Downgraded to Ca ABSpoke 2005-X, Ltd. -- Yen2,000,000,000 Variable Floating Rate Notes Due 2015, Downgraded to C; previously on 12/17/2008 Downgraded to B3 and remains on Review for Possible Downgrade ABSpoke 2005-XII B -- Variable Floating Rate Notes, Downgraded to Ca; previously on 12/16/ 2008 Downgraded to B1 and remains on Review for Possible Downgrade ACA ABS 2003-2, Limited -- US$108,000,000 Class A1-J Floating Rate Notes, due December 10, 2038, Downgraded to Caa3; previously on 12/23/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$146,500,000 Class A1-SD Floating Rate Notes, due December 10, 2038, Downgraded to Caa1; previously on 12/23/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- US$315,000,000 Class A1-SU Floating Rate Notes, due December 10, 2038, Downgraded to Caa1; previously on 12/23/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- US$10,000,000 Class A1-SW Floating Rate Notes, due December 10, 2038, Downgraded to Caa1; previously on 1/22/2009 Upgraded to Ba3 -- US$51,000,000 Class A2 Floating Rate Notes, due December 10, 2038, Downgraded to Ca; previously on 12/23/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Ambassador Structured Finance CDO, Ltd -- US$800,000,000 Class A-1 Floating Rate Notes Due July 2041, Downgraded to Ca; previously on 12/17/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- US$112,000,000 Class A-2 Floating Rate Notes Due July 2041, Downgraded to C; previously on 12/17/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$35,000,000 Class B Floating Rate Notes Due July 2041, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$26,000,000 Class C Floating Rate Deferrable Interest Notes Due July 2041, Downgraded to C; previously on 10/31/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Baldwin 2006-I Segregated Portfolio -- US$35,000,000 Variable Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to B2 and remains on Review for Possible Downgrade Bluegrass ABS CDO III, Ltd. -- US $280,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2039, Downgraded to B2; previously on 12/22/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- US $49,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2039, Downgraded to Ca; previously on 12/22/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US $27,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2039, Downgraded to C; previously on 12/22/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Broadwick Funding, Ltd. -- Class A-1-b Notes, Downgraded to Ca; previously on 10/23/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class A-2 Notes, Downgraded to C; previously on 10/23/2008 Downgraded to Ca -- Class B Notes, Downgraded to C; previously on 10/23/2008 Downgraded to Ca -- Class S, Confirmed at B1; previously on 12/16/2008 Downgraded to B1 and remains on Review for Possible Downgrade C-BASS CBO XV Ltd. -- US$565,800,000 Class A First Priority Senior Secured Floating Rate Notes Due 2041, Downgraded to Ca; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$39,100,000 Class B Second Priority Senior Secured Floating Rate Notes Due 2041, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$44,800,000 Class C Third Priority Secured Floating Rate Deferrable Interest Notes Due 2041, Downgraded to C; previously on 5/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$19,500,000 Class D Fourth Priority Secured Floating Rate Deferrable Interest Notes Due 2041, Downgraded to C; previously on 5/16/2008 Downgraded to Ca Dallaglio CDO 2005-3 Ltd. -- Class B Fixed Rate Notes, Downgraded to C; previously on 12/17/2008 Downgraded to B2 and remains on Review for Possible Downgrade Diogenes CDO I Ltd -- Class A-1, Downgraded to Ca; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class A-2, Downgraded to C; previously on 12/17/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- Class B, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class C, Downgraded to C; previously on 5/29/2008 Downgraded to Ca Duke Funding High Grade I, Ltd. -- $660,000,000 Class A-1 LT-a Senior Secured Floating Rate Notes Due 2040, Downgraded to Caa2; previously on 12/17/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- Class A-1 LT-b1 Senior Secured Floating Rate Notes Due 2045, Downgraded to Caa2; previously on 12/17/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- Class A-1 LT-b2 Senior Secured Floating Rate Notes Due 2045, Downgraded to Caa2; previously on 12/17/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- $117,500,000 Class A-2 Senior Secured Floating Rate Notes Due 2045, Downgraded to Ca; previously on 11/5/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- $77,500,000 Class B Senior Secured Floating Rate Notes Due 2045, Downgraded to C; previously on 11/5/2008 Downgraded to Ca Dutch Hill Funding I Ltd -- Class A-1A, Downgraded to Ca; previously on 12/17/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- Class A-1B, Downgraded to C; previously on 12/17/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- Class A-2L, Downgraded to C; previously on 12/17/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- Class A-2X, Downgraded to C; previously on 12/17/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- Class B, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class C, Downgraded to C; previously on 5/9/2008 Downgraded to Ca Glacier Funding CDO II, Inc. -- Class A-1NV Notes, Confirmed at B1; previously on 12/22/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class A-1V Notes, Confirmed at B1; previously on 12/22/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class A-2 Notes, Confirmed at Caa3; previously on 12/22/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class B Notes, Confirmed at Ca; previously on 4/30/2008 Downgraded to Ca Highgate ABS CDO, Ltd. -- US$601,200,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2046, Downgraded to Ca; previously on 12/17/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- US$71,918,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 12/17/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$50,201,000 Class B Third Priority Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Independence V CDO, LTD -- Class A-1 Senior Floating Rate Notes Due 2039, Downgraded to Ca; previously on 12/22/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- Class A-2A Senior Floating Rate Notes Due 2039, Downgraded to C; previously on 6/5/2008 Downgraded to Ca -- Class A-2B Senior Floating Rate Notes due 2039, Downgraded to C; previously on 6/5/2008 Downgraded to Ca Inman Square Funding II, Ltd. -- Class I Senior Secured Floating Rate Notes, Downgraded to Ca; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class II Senior Secured Floating Rate Notes, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class III Mezzanine Secured Fixed Rate Notes, Downgraded to C; previously on 12/17/2008 Downgraded to Ca -- Class III Mezzanine Secured Floating Rate Notes, Downgraded to C; previously on 12/17/2008 Downgraded to Ca Ischus High Grade Funding I, Ltd. -- Class A1J, Downgraded to C; previously on 10/20/2008 Downgraded to Ca -- Class A1S, Downgraded to Ca; previously on 12/16/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class A2, Downgraded to C; previously on 10/20/2008 Downgraded to Ca Jupiter High Grade CDO II, Ltd. -- Class A-1, Downgraded to Ca; previously on 12/17/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- Class A-2, Downgraded to C; previously on 12/17/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- Class B, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Jupiter International Co. Ltd. -- Jupiter 2006-1, Downgraded to Caa2 and remains on Review for Possible Downgrade; previously on 12/16/2008 Downgraded to Ba3 and Placed Under Review for Possible Downgrade KLEROS PREFERRED FUNDING II, LTD. -- US$250,000 Class A-1V First Priority Senior Secured Voting Floating Rate Notes Due December 2042, Downgraded to Caa3; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$869,750,000 Class A-1NV First Priority Senior Secured Non-Voting Floating Rate Notes Due December 2042, Downgraded to Caa3; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$60,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due December 2042, Downgraded to C; previously on 10/20/2008 Downgraded to Ca -- US$34,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due December 2042, Downgraded to C; previously on 10/20/2008 Downgraded to Ca -- US$8,000,000 Class C Fourth Priority Senior Secured Floating Rate Notes Due December 2042, Downgraded to C; previously on 10/20/2008 Downgraded to Ca Lancer Funding, Ltd. -- Class A1J, Downgraded to C; previously on 10/17/2008 Downgraded to Ca -- Class A-1S1, Downgraded to Ca; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- Class A-1S2, Downgraded to C; previously on 10/17/2008 Downgraded to Ca -- Class A2, Downgraded to C; previously on 10/17/2008 Downgraded to Ca Le Monde CDO I PLC -- US$120,000,000 Class A-1US Variable Funding Dollar Notes Due 2052, Downgraded to Ca; previously on 12/11/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$80,000,000 and EUR69,500,000 Class A-1R Redenominatable Floating Rate Notes Due 2052, Downgraded to Ca; previously on 12/11/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$604,250,000 Class A-2US Floating Rate Dollar Notes Due 2052, Downgraded to Ca; previously on 12/11/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- EUR360,000,000 Class A-3EU Floating Rate Euro Notes Due 2052, Downgraded to Ca; previously on 12/11/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$62,500,000 Class A-4 Floating Rate Dollar Notes Due 2052, Downgraded to C; previously on 6/12/2008 Downgraded to Ca -- US$17,500,000 Class D Deferrable Floating Rate Dollar Notes Due 2052, Downgraded to C; previously on 3/14/2008 Downgraded to Ca -- US$22,500,000 Class C Deferrable Floating Rate Dollar Notes Due 2052, Downgraded to C; previously on 3/14/2008 Downgraded to Ca -- US$3,000,000 Class E Subordinated Deferrable Floating Rate Dollar Notes Due 2052, Downgraded to C; previously on 3/14/2008 Downgraded to Ca -- US$30,750,000 Class B Floating Rate Dollar Notes Due 2052, Downgraded to C; previously on 6/12/2008 Downgraded to Ca Lenox CDO, Inc. -- US$75,000,000 Class A-1J Second Priority Senior Secured Floating Rate Notes due 2043, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$70,000,000 Class A-1S First Priority Senior Secured Floating Rate Delayed Draw Notes due 2043-1, Downgraded to Ca; previously on 12/17/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- US$2,000,000 Class A-2 Third Priority Senior Secured Floating Rate Notes due 2043, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$31,000,000 Class B-1 Fourth Priority Senior Secured Floating Rate Notes due 2043, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$14,000,000 Class B-2 Fourth Priority Senior Secured Floating Rate Notes due 2043, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$8,000,000 Class C Fifth Priority Senior Secured Floating Rate Notes due 2043, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$30,000,000 Combination Securities due 2043, Downgraded to C; previously on 5/30/2008 Downgraded to Ca Liberty Harbour CDO Ltd. 2005-1 -- Class A LT-1 Notes, Downgraded to Ca; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class A LT-2 Notes, Downgraded to Ca; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- US$117,600,000 Class B Secured Floating Rate Notes due 2040, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$84,000,000 Class C Secured Floating Rate Notes due 2040, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Base Liquidity Advances, Downgraded to Ca; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade Longshore CDO Funding 2006-1 Ltd. -- Class A-1, Downgraded to Ca; previously on 12/16/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- Class A-2, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class B, Downgraded to C; previously on 6/4/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade MANASQUAN CDO 2005-1, LTD. -- US$195,000,000 Class A-ILA Floating Rate Notes Due 2045, Downgraded to Ca; previously on 12/17/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- US$23,000,000 Class A-1LB Floating Rate Notes Due 2045, Downgraded to C; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- US$42,000,000 Class A-2L Floating Rate Notes Due 2045, Downgraded to C; previously on 7/11/2008 Downgraded to Ca -- US$9,500,000 Class A-3L Floating Rate Notes Due 2045, Downgraded to C; previously on 5/30/2008 Downgraded to Ca Mercury CDO II, Ltd. -- US$855,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2045, Downgraded to Ca; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- US$62,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2045, Downgraded to C; previously on 10/22/2008 Downgraded to Ca -- US$55,000,000 Class B Senior Secured Floating Rate Notes Due 2045, Downgraded to C; previously on 10/22/2008 Downgraded to Ca North Cove CDO II, Ltd. -- Class A, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- Class B, Downgraded to C; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- Class C, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- Class D, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- Class E, Downgraded to C; previously on 12/16/2008 Downgraded to Ca North Street Reference Linked Notes, 2005-8 L -- Class A Floating Rate Notes, Downgraded to C; previously on 12/17/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- Class B Floating Rate Notes, Downgraded to C; previously on 10/30/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class C Floating Rate Notes, Downgraded to C; previously on 10/30/2008 Downgraded to Ca -- Class X Fixed Rate Notes, Downgraded to C; previously on 10/30/2008 Downgraded to Ca Pinetree CDO LTD. -- US$33,000,000 Class A-1J Senior Secured Floating Rate Notes due 2045, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$195,000,000 Class A-1S Senior Secured Floating Rate Notes due 2045, Downgraded to Ca; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- US$27,000,000 Class A-2 Senior Secured Floating Rate Notes due 2045, Downgraded to C; previously on 12/17/2008 Downgraded to Ca -- US$15,000,000 Class A-3 Senior Secured Deferrable Floating Rate Notes due 2045, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$18,000,000 Class B Secured Deferrable Floating Rate Notes due 2045, Downgraded to C; previously on 5/30/2008 Downgraded to Ca River North CDO Ltd -- US$193,500,000 Class A-1 Senior Secured Floating Rate Notes Due 2040, Downgraded to Caa3; previously on 12/17/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- US$37,500,000 Class A-2 Senior Secured Floating Rate Notes Due 2040, Downgraded to C; previously on 12/17/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$33,000,000 Class B Senior Secured Floating Rate Notes Due 2040, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade STAtic ResidenTial CDO 2005-C Ltd. -- Class A-1, Downgraded to Ca; previously on 12/16/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- Class A-2, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Stillwater ABS CDO 2006-1, Ltd. -- Class A-1 First Priority Senior Secured Floating Rate Term Notes Due 2046, Downgraded to Ca; previously on 12/16/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- Class A-2 Second Priority Senior Secured Floating Rate Term Notes Due 2046, Downgraded to C; previously on 7/30/2008 Downgraded to Ca Tourmaline CDO I Ltd -- US$487,500,000 Class I Senior Variable Funding Floating Rate Notes Due 2040-1, Downgraded to Ca; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- US$112,500,000 Class II Senior Floating Rate Notes Due 2040, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$64,500,000 Class III Senior Floating Rate Notes Due 2040, Downgraded to C; previously on 7/30/2008 Downgraded to Ca Tremonia CDO 2005-1 PLC -- US$825,000,000 Class A-1 Tremonia CDO 2005-1 PLC Floating Rate Notes Due 2045, Downgraded to Ca; previously on 12/17/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$55,000,000 Class A-2 Tremonia CDO 2005-1 PLC Floating Rate Notes Due 2045, Downgraded to C; previously on 12/1/2008 Downgraded to Ca -- US$33,000,000 Class B Tremonia CDO 2005-1 PLC Floating Rate Notes Due 2045, Downgraded to C; previously on 12/1/2008 Downgraded to Ca ZAIS Investment Grade Limited VIII -- Class A-1, Downgraded to Ca; previously on 12/16/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class A-2, Downgraded to C; previously on 10/6/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class B, Downgraded to C; previously on 10/6/2008 Downgraded to Ca * Moody's Downgrades Ratings on 138 Notes by 38 CDO Transactions ---------------------------------------------------------------- Moody's Investors Service downgraded its ratings of 138 Notes issued by 38 collateralized debt obligation transactions which consist of significant exposure to one or more of Alt-A, Option- ARM and subprime RMBS securities, CLOs, or CMBS. Moody's explained that the rating actions reflect certain updates and projections and recent rating actions on underlying assets on these asset classes. Some of the deals have also experienced an Event of Default. Moody's revised loss projections for Alt-A RMBS securities which were described in a press release published on January 22, 2009. According to the press release, on average, Moody's is now projecting cumulative losses of about 20% for 2006 securitizations and about 24% for 2007 securitizations. Moody's revised loss projections for subprime RMBS issued from 2005 to 2007 were described in a press release titled "2005-7 subprime RMBS on downgrade review" published on February 26, 2009. The revised loss projection for 2006 vintage subprime pools is expected to fall within the range of 28% to 32% of the original balance of such pools, whereas Moody's previous estimate was 22%. For 2005 and 2007 pools, such projections are expected to range from 12% to 14% and 33% to 37% of original balance, respectively. A review of all U.S. commercial mortgage backed securities conduit and fusion transactions rated during the period from 2006 through 2008, and all large loan and single borrower transactions regardless of vintage was concluded recently. The review was announced in a Press Release on February 5, 2009. Moody's announced revisions and updates to certain key assumptions, including Default Probability and Diversity Score, that it uses to rate and monitor collateralized loan obligations in a Press Release published on February 4, 2009. The completion of the first stage of its two-stage review of U.S. and EMEA cash flow CLOs was announced on March 27, 2009. As of March 23, Moody's had downgraded approximately 2,071 tranches from 668 transactions. In addition, Moody's explained that the rating actions taken incorporate the application of revised and updated key modeling parameter assumptions that Moody's uses to rate and monitor ratings of SF CDOs. The revisions affect the three key parameters in Moody's model for rating SF CDOs: asset correlation, default probability and recovery rate. Moody's announced the changes to these assumptions in a press release published on December 11, 2008. Moody's initially analyzed and continues to monitor these transactions using primarily the methodology and its supplements for ABS CDOs as described in Moody's Special Report below: -- Moody's Approach to Rating SF CDOs (March 2009) The rating actions are: ABS Capital Funding, Ltd. -- Class A-1 Senior Secured Floating Rate Term Notes Due 2033, Downgraded to Caa1; previously on 4/3/2008 Downgraded to B1 and Placed Under Review for Possible Downgrade -- Class A-2 Senior Secured Floating Rate Revolving Notes Due 2033, Downgraded to Caa1; previously on 4/3/2008 Downgraded to B1 and Placed Under Review for Possible Downgrade -- Class A-2 Combined Passthrough Note Security Due 2033, Downgraded to Caa1; previously on 4/3/2008 Downgraded to B1 and Placed Under Review for Possible Downgrade -- Class B-1 Second Priority Floating Rate Term Notes Due 2033 Downgraded to C; previously on 8/29/2006 Downgraded to Ca -- Class B-2 Second Priority Fixed Rate Term Notes Due 2033, Downgraded to C; previously on 8/29/2006 Downgraded to Ca Acacia CDO 9, Ltd. -- Class A First Priority Senior Secured Floating Rate Notes, Downgraded to Ca; previously on 12/16/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class B Second Priority Senior Secured Floating Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Ayresome CDO I, Ltd. -- Class A-1a Notes, Downgraded to B2; previously on 12/17/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- Class A-1b Notes, Downgraded to Ca; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class A-2 Notes, Downgraded to C; previously on 12/17/2008 Downgraded to Ca -- Class A-3 Notes, Downgraded to Ca; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class B Notes, Downgraded to C; previously on 10/28/2008 Downgraded to Ca Bleecker Structured Asset Funding, Ltd. -- Class A-1 First Priority Senior Secured Floating Rate Notes Due 2035, Downgraded to Ca; previously on 4/3/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade -- Class A-2 First Priority Senior Secured Floating Rate Notes Due 2035, Downgraded to Ca; previously on 4/3/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade Blue Heron Funding VI Ltd. -- US$1,113,750,000 Class A-1 Blue Heron Funding VI Notes Due May 21, 2047, Downgraded to Caa2; previously on 12/23/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- US$25,000,000 Class A-2 Blue Heron Funding VI Notes Due May 21, 2047, Downgraded to C; previously on 12/23/2008 Downgraded to Ca -- Euro $89,936,000 (US$105,000,000) Class B Blue Heron Funding VI Notes Due May 21, 2047, Downgraded to C; previously on 5/16/2008 Downgraded to Ca Blue Heron Funding VII Ltd -- US$1,113,750,000 Class A-1 Blue Heron Funding VII Notes Due May 30, 2047, Downgraded to Caa2; previously on 12/23/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- US$25,000,000 Class A-2 Blue Heron Funding Vll Notes Due May 30, 2047, Downgraded to C; previously on 12/23/2008 Downgraded to Ca -- US$105,000,000 (Euro 88,451,000) Class B Blue Heron Funding VII Notes Due May 20, 2047, Downgraded to C; previously on 5/30/2008 Downgraded to Ca Buckingham CDO LTD. -- Class A LT Notes, Downgraded to Caa2; previously on 12/17/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- B, Downgraded to C; previously on 11/10/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Base Liquidity Advances, Downgraded to Caa2; previously on 12/17/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade Class V Funding, Ltd. -- Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes due 2045, Downgraded to Caa3; previously on 12/17/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- Class A-2 Second Priority Senior Secured Floating, Downgraded to C; previously on 12/17/2008 Downgraded to Ca Crystal Cove CDO, Ltd. -- US$ 350,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2039, Downgraded to Caa3; previously on 12/22/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- US$ 70,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2039, Downgraded to C; previously on 12/22/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$ 39,700,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2039, Downgraded to C; previously on 6/9/2008 Downgraded to Ca Duke Funding High Grade III, Ltd. -- A-1A Senior Secured Floating Rate Notes Due 2049, Downgraded to Caa2; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- A-1B1 Senior Secured Floating Rate Notes Due 2049, Downgraded to Caa2; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- A-1B2 Senior Secured Floating Rate Interest Only Notes Due 2049, Downgraded to Caa2; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- A-2 Senior Secured Floating Rate Notes Due 2049, Downgraded to C; previously on 11/5/2008 Downgraded to Ca -- B-1 Senior Secured Floating Rate Notes Due 2049, Downgraded to C; previously on 11/5/2008 Downgraded to Ca -- B-2 Senior Secured Floating Rate Notes Due 2049, Downgraded to C; previously on 11/5/2008 Downgraded to Ca Duke Funding High Grade IV, Ltd. -- Class A-1, Downgraded to Caa2; previously on 12/16/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- Class A-2, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- Class B-1, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class B-2, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- Class C-1, Downgraded to C; previously on 7/21/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class C-2, Downgraded to C; previously on 7/21/2008 Downgraded to Ca -- Class D, Downgraded to C; previously on 7/21/2008 Downgraded to Ca DUKE FUNDING IX, LTD., -- A1, Downgraded to C; previously on 12/17/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- A2F, Downgraded to C; previously on 12/17/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- A2V, Downgraded to C; previously on 12/17/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- A3F, Downgraded to C; previously on 4/24/2008 Downgraded to Ca -- A3V, Downgraded to C; previously on 4/24/2008 Downgraded to Ca -- Combo Notes, Downgraded to Ca; previously on 12/17/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- Senior Swap, Downgraded to Ca; previously on 12/17/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade Duke Funding V, Ltd. -- US$175,000,000 Class I-A1 Senior Secured Floating Rate Notes Due 2033 (the "Class I-A1 Notes"), Downgraded to Caa3; previously on 1/23/2009 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$69,000,000 Class I-A2 Senior Secured Floating Rate Notes Due 2033 (the "Class I-A2 Notes"), Downgraded to Caa3; previously on 1/23/2009 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$6,000,000 Class I-B Senior Secured Fixed Rate Notes Due 2033 (the "Class I-B Notes"), Downgraded to Caa3; previously on 1/23/2009 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$9,000,000 Class B Combination Securities Due 2038, Downgraded to Caa2; previously on 1/23/2009 Downgraded to B3 and remains on Review for Possible Downgrade Duke Funding VI, Ltd. -- Class A1J Senior Secured Floating Rate Notes Due 2039, Downgraded to C; previously on 12/22/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- Class A1S Senior Secured Floating Rate Notes Due 2039, Downgraded to Caa2; previously on 12/22/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- Class A2 Senior Secured FLoating Rate Notes Due 2039, Downgraded to C; previously on 12/22/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- Class A3 Senior Secured Defferable Interest FLoating Rate Notes Due 2039, Downgraded to C; previously on 4/24/2008 Downgraded to Ca -- Class BF Mezzanine Secured Fixed Rate Notes Due 2039, Downgraded to C; previously on 4/24/2008 Downgraded to Ca -- Class BV Mezzanine Secured Floating Rate Notes Due 2039, Downgraded to C; previously on 4/24/2008 Downgraded to Ca -- Composite 1 Securities due 2039, Downgraded to Ca; previously on 12/22/2008 Downgraded to B2 and Placed Under Review for Possible Downgrade -- Composite 2 Securities Due 2039, Downgraded to C; previously on 4/24/2008 Downgraded to Ca E*TRADE ABS CDO IV, LTD. -- US$ 7,000,000 Class A-1A First Priority Senior Secured Floating Rate Notes Due 2042-1, Downgraded to Ca; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- US$ 152,800,000 Class A-1B-1 First P riority Senior Secured Floating Rate Delayed Draw Notes Due 2042, Downgraded to Ca; previously on 12/17/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- US$ 38,200,000 Class A-1B-2 First P riority Senior Secured Floating Rate Notes Due 2042, Downgraded to C; previously on 12/17/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$ 21,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2042 Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$ 52,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2042, Downgraded to C; previously on 6/2/2008 Downgraded to Ca Harbourview CDO III, Limited -- $311,250,000 Class A First Priority Senior Secured Floating Rate Notes Due 2031, Downgraded to Caa3; previously on 4/29/2008 Downgraded to B3 Harp High Grade CDO I, Ltd. -- Class A-1 Notes, Downgraded to Caa3; previously on 12/16/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- Class A-2 Notes, Downgraded to C; previously on 8/14/2008 Downgraded to Ca -- Class B Notes, Downgraded to C; previously on 8/14/2008 Downgraded to Ca -- Class C Notes, Downgraded to C; previously on 8/14/2008 Downgraded to Ca House of Europe Funding I Ltd. -- Class A, Downgraded to B2; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade House of Europe Funding II PLC -- Class A House of Europe Funding II Floating Rate Notes due 2044, Downgraded to B2; previously on 12/22/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- Class B House of Europe Funding II Floating Rate Notes due 2044, Downgraded to Ca; previously on 12/22/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Independence I CDO, Ltd. -- Class A First Priority Senior Secured Floating Rate Notes, Downgraded to B1; previously on 4/8/2008 Downgraded to Ba1 and Placed Under Review for Possible Downgrade -- Class B Second Priority Senior Secured Floating Rate Notes, Downgraded to Ca; previously on 4/8/2008 Downgraded to Caa2 and Placed Under Review for Possible Downgrade Independence VI CDO, Ltd. -- US$675,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2041, Downgraded to Caa3; previously on 12/17/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- US$94,500,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2041, Downgraded to C; previously on 12/17/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$92,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2041, Downgraded to C; previously on 12/17/2008 Downgraded to Ca Ischus Mezzanine CDO IV, Ltd. -- US$100,000,000 Class A-1 Second Priority Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 10/20/2008 Downgraded to Ca -- US$17,500,000 Class X First Priority Senior Secured Amortizing Notes Due 2013, Downgraded to C; previously on 12/11/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- US$150,000,000 Super Senior Swap dated as of June 27, 2007, Downgraded to C; previously on 10/20/2008 Downgraded to Ca Kent Funding II, Ltd. -- Class A-1A, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class X, Downgraded to B1; previously on 9/2/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade Knollwood CDO II Ltd. -- Class A-1VF First Priority Senior Secured Floating Rate Notes Due 2046, Downgraded to Ca; previously on 12/16/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class A-2J Third Priority Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- Class A-2S Second Priority Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- Class B Fourth Priority Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class C Fifth Priority Senior Secured Deferrable Floating Rate Notes Due 2046, Downgraded to C; previously on 4/23/2008 Downgraded to Ca Knollwood CDO LTD. -- Class A-1 First Priority Senior Secured Floating Rate Notes due January 8, 2039, Downgraded to Caa2; previously on 12/22/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- Class A-2 Second Priority Senior Secured Floating Rate Notes due January 8, 2039, Downgraded to C; previously on 12/22/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class B Third Priority Senior Secured Floating Rate Notes due January 8, 2039, Downgraded to C; previously on 12/22/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Magnolia Finance II plc -- Series 2006-6B ABS Portfolio Variable Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Series 2006-6C ABS Portfolio Variable Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- Series 2006-6D ABS Portfolio Variable Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Series 2006-6E ABS Portfolio Variable Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Series 2006-6FE ABS Portfolio Variable Rate Notes, Downgraded to C; previously on 10/1/2008 Downgraded to Ca -- Series 2006-6FU ABS Portfolio Variable Rate Notes, Downgraded to C; previously on 10/1/2008 Downgraded to Ca -- Series 2006-6GE ABS Portfolio Variable Rate Notes, Downgraded to C; previously on 10/1/2008 Downgraded to Ca -- Series 2006-6GG ABS Portfolio Variable Rate Notes, Downgraded to C; previously on 10/1/2008 Downgraded to Ca -- Series 2006-6GU ABS Portfolio Variable Rate Notes, Downgraded to C; previously on 10/1/2008 Downgraded to Ca Monroe Harbor CDO 2005-1 Ltd. -- Class A-1A Floating Rate Notes Due December 2040, Downgraded to Caa3; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class A-1B Floating Rate Notes Due December 2040, Downgraded to Caa3; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class A-2 Floating Rate Notes Due December 2040, Downgraded to C; previously on 10/28/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class B Floating Rate Notes Due December 2040, Downgraded to C; previously on 10/28/2008 Downgraded to Ca Mulberry Street CDO, Ltd. -- Class A-1B Floating Rate Notes, Downgraded to Caa3; previously on 1/20/2009 Downgraded to B3 and Placed Under Review for Possible Downgrade Neptune CDO II, Ltd. -- US$198,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2045, Downgraded to Ca; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- US$52,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2045, Downgraded to C; previously on 12/17/2008 Downgraded to Ca -- US$18,000,000 Class B Senior Secured Floating Rate Notes Due 2045, Downgraded to C; previously on 7/17/2008 Downgraded to Ca North Street Referenced Linked Notes 2004-6 L -- Class A Floating Rate Notes, Downgraded to Ca; previously on 12/22/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class B Floating Rate Notes, Downgraded to Ca; previously on 12/22/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Orient Point CDO, Ltd. -- Class A-1NVA First Priority Senior Secured Non-Voting Floating Rate Delayed Draw Notes, Downgraded to Ca; previously on 12/17/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- Class A 1NVB First Priority Senior Secured Non-Voting Floating Rate Notes, Downgraded to Ca; previously on 12/17/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- Class A-1V First Priority Senior Secured Voting Floating Rate, Downgraded to Ca; previously on 12/17/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- Class A-2 Second Priority Senior Secured Floating Rate Notes, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class B Third Priority Senior Secured Floating Rate Notes, Downgraded to C; previously on 12/17/2008 Downgraded to Ca -- Class C Fourth Priority Mezzanine Deferrable Secured Floating Rate Notes, Downgraded to C; previously on 6/9/2008 Downgraded to Ca Pine Mountain CDO III Ltd. -- US$230,000,000 Class A-1 Floating Rate Notes Due July 7, 2047, Downgraded to Ca; previously on 12/11/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- US$20,000,000 Class A-2 Floating Rate Notes Due July 7, 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$90,000,000 Class A-3 Floating Rate Notes Due July 7, 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$41,250,000 Class A-4 Floating Rate Notes Due July 7, 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$45,000,000 Class B Floating Rate Notes Due July 7, 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$22,500,000 Class C Deferrable Interest Floating Rate Notes Due July 7, 2047, Downgraded to C; previously on 5/9/2008 Downgraded to Ca -- US$25,000,000 Class D Deferrable Interest Floating Rate Notes Due July 7, 2047, Downgraded to C; previously on 5/9/2008 Downgraded to Ca -- US$3,750,000 Class E Deferrable Interest Floating Rate Notes Due July 7, 2047, Downgraded to C; previously on 5/9/2008 Downgraded to Ca Porter Square CDO III, Ltd. -- US$240,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2041, Downgraded to Ca; previously on 12/17/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- US$56,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2041, Downgraded to C; previously on 12/17/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$48,000,000 Class B Senior Secured Floating Rate Notes Due 2041, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Rutland Rated Investments -- Secured Floating Rate Credit Linked Notes due 2042, Downgraded to Ca; previously on 12/17/2008 Downgraded to B2 and remains on Review for Possible Downgrade Sunrise CDO I, Ltd. -- Class A Notes, Downgraded to B2; previously on 5/29/2008 Downgraded to Ba1 and Placed Under Review for Possible Downgrade -- Class B Notes, Downgraded to Ca; previously on 5/29/2008 Downgraded to Caa1 and Placed Under Review for Possible Downgrade Talon Funding I, Ltd. -- Class A Floating Rate Notes due 2035, Downgraded to Caa3; previously on 4/29/2008 Downgraded to B2 and Placed Under Review for Possible Downgrade -- Class B Floating Rate Notes due 2035, Downgraded to C; previously on 1/16/2008 Downgraded to Ca Varick Structured Asset Fund, Ltd. -- US$50,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes due 2035, Downgraded to Caa2; previously on 5/9/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade -- US$300,000,000 Class A-2 First Priority Senior Secured Floating Rate Notes due 2035, Downgraded to Caa2; previously on 5/9/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade Vertical ABS CDO 2006-1, LTD. -- A1, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- A2, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- A3, Downgraded to C; previously on 4/22/2008 Downgraded to Ca -- A-S1VF, Downgraded to Ca; previously on 12/16/2008 Downgraded to B2 and remains on Review for Possible Downgrade * Moody's Downgrades Ratings on 141 Notes by 37 CDO Transactions ---------------------------------------------------------------- Moody's Investors Service has downgraded its ratings of 141 Notes issued by 37 collateralized debt obligation transactions, and confirmed the ratings of 1 Note issued by another transaction, which consist of significant exposure to one or more of Alt-A, Option-ARM and subprime RMBS securities, CLOs, or CMBS. Moody's explained that the rating actions reflect certain updates and projections and recent rating actions on underlying assets on these asset classes. Some of the deals have also experienced an Event of Default. Moody's revised loss projections for Alt-A RMBS securities which were described in a press release published on January 22, 2009. According to the press release, on average, Moody's is now projecting cumulative losses of about 20% for 2006 securitizations and about 24% for 2007 securitizations. Moody's revised loss projections for subprime RMBS issued from 2005 to 2007 were described in a press release titled "2005-7 subprime RMBS on downgrade review" published on February 26, 2009. The revised loss projection for 2006 vintage subprime pools is expected to fall within the range of 28% to 32% of the original balance of such pools, whereas Moody's previous estimate was 22%. For 2005 and 2007 pools, such projections are expected to range from 12% to 14% and 33% to 37% of original balance, respectively. A review of all U.S. commercial mortgage backed securities conduit and fusion transactions rated during the period from 2006 through 2008, and all large loan and single borrower transactions regardless of vintage was concluded recently. The review was announced in a Press Release on February 5, 2009. Moody's announced revisions and updates to certain key assumptions, including Default Probability and Diversity Score, that it uses to rate and monitor collateralized loan obligations in a Press Release published on February 4, 2009. The completion of the first stage of its two-stage review of U.S. and EMEA cash flow CLOs was announced on March 27, 2009. As of March 23, Moody's had downgraded approximately 2,071 tranches from 668 transactions. In addition, Moody's explained that the rating actions taken incorporate the application of revised and updated key modeling parameter assumptions that Moody's uses to rate and monitor ratings of SF CDOs. The revisions affect the three key parameters in Moody's model for rating SF CDOs: asset correlation, default probability and recovery rate. Moody's announced the changes to these assumptions in a press release titled "Moody's Updates its Key Assumptions for Rating Structured Finance CDOs," published on December 11, 2008. Moody's initially analyzed and continues to monitor these transactions using primarily the methodology and its supplements for ABS CDOs as described in Moody's Special Report below: -- Moody's Approach to Rating SF CDOs (March 2009) The rating actions are: Acacia CDO 12, Ltd. -- US$291,500,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- US$100,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$41,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 8/7/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Adrastea SHG 2007-1, Ltd. -- US$1,600,000,000 Class A-1M Variable Funding Floating Rate Notes Due 2052, Downgraded to Ca; previously on 12/11/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- US$200,000,000 Class A-1Q Floating Rate Notes Due 2052, Downgraded to C; previously on 12/11/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- US$84,000,000 Class A-2 Floating Rate Notes Due 2052, Downgraded to C; previously on 12/11/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$50,000,000 Class A-3 Floating Rate Notes Due 2052, Downgraded to C; previously on 12/11/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$30,000,000 Class A-4 Floating Rate Notes Due 2052, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Altius IV Funding, Ltd. -- US$644,850,000 Class A-1B Floating Rate Notes Due 2042, Downgraded to C; previously on 10/28/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$300,000 Class A-1V Floating Rate Notes Due 2042, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$50,000,000 Class A-2a Floating Rate Notes Due 2042, Downgraded to C; previously on 10/28/2008 Downgraded to Ca -- US$55,000,000 Class A-2b Floating Rate Notes Due 2042, Downgraded to C; previously on 10/28/2008 Downgraded to Ca -- US$66,000,000 Class B Floating Rate Notes Due 2042, Downgraded to C; previously on 6/9/2008 Downgraded to Ca Anderson Mezzanine Funding 2007-1, Ltd. -- US$130,000,000 Class A-1a Floating Rate Notes due July 2042, Downgraded to C; previously on 10/8/2008 Downgraded to Ca -- US$53,000,000 Class A-1b Floating Rate Notes due July 2042, Downgraded to C; previously on 10/8/2008 Downgraded to Ca -- US$30,500,000 Class A-2 Floating Rate Notes due July 2042, Downgraded to C; previously on 3/24/2008 Downgraded to Ca -- US$42,700,000 Class B Floating Rate Notes due July 2042, Downgraded to C; previously on 3/24/2008 Downgraded to Ca BFC Ajax CDO Ltd. -- US$275,000,000 Class A Senior Floating Rate Notes Due 2046, Downgraded to C; previously on 3/24/2009 Upgraded to Ba3 -- US$15,000,000 Class B Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$10,000,000 Class X Deferrable Floating Rate Notes Due 2046, Downgraded to C; previously on 5/23/2008 Downgraded to Ca C-BASS CBO VIII Ltd. -- US$26,600,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due November 2028, Downgraded to Aa3; previously on 12/23/2008 Downgraded to Aa2 and Placed Under Review for Possible Downgrade -- US$ 18,350,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2038, Downgraded to A3; previously on 2/6/2009 Downgraded to A2 -- US$ 20,700,000 Class C Fourth Priority Secured Floating Rate Deferrable Interest Notes Due 2038, Downgraded to B2; previously on 2/6/2009 Downgraded to Ba1 -- US$ 12,000,000 Class D-1 Fifth Priority Secured Floating Rate Deferrable Interest Notes Due 2038, Downgraded to Ca; previously on 2/6/2009 Downgraded to Ba3 -- US$ 4,950,000 Class D-2 Fifth Priority Secured Fixed Rate Deferrable Interest Notes Due 2038, Downgraded to Ca; previously on 2/6/2009 Downgraded to Ba3 C-BASS CBO XIX Ltd. -- A-1, Downgraded to Ca; previously on 12/11/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- A-2, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- B, Downgraded to C; previously on 4/24/2008 Downgraded to Ca Coda CDO 2007-1 LTD. -- US$145,000,000 Class A-1LA Investor Swap Due November 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- US$55,000,000 Class A-1LB Floating Rate Notes Due November 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$35,000,000 Class A-2L Floating Rate Notes Due November 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$125,000,000 Class A-3L Deferrable Floating Rate Notes Due November 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$63,000,000 Class B-1L Deferrable Floating Rate Notes Due November 2047, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$40,000,000 Class X Notes Due November 2014, Downgraded to C; previously on 12/11/2008 Downgraded to B2 and remains on Review for Possible Downgrade Collybus CDO I Ltd. -- US$675,000,000 Class A-2 Senior Secured Floating Rate Notes due 2047, Downgraded to Ca; previously on 12/11/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- US$55,000,000 Class A-3 Senior Secured Floating Rate Notes due 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$53,000,000 Class B Senior Secured Floating Rate Notes due 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Credit Derivative Transaction Ref. No. NWGOC -- Credit Default Swap, Downgraded to C; previously on 12/16/2008 Downgraded to B1 and remains on Review for Possible Downgrade Davis Square Funding VI, Ltd. -- US$274,000,000 Class A-1LT-a Floating Rate Notes Due 2041, Downgraded to C; previously on 12/16/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- US$300,000,000 Class A-1LT-b Floating Rate Notes Due 2041, Downgraded to C; previously on 12/16/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- US$1,166,000,000 Class A-1LT-c Floating Rate Notes Due 2041, Downgraded to C; previously on 12/16/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- US$85,000,000 Class A-2 Floating Rate Notes Due 2041, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$105,000,000 Class B Floating Rate Notes Due 2041, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- US$35,000,000 Class C Deferrable Floating Rate Notes Due 2041, Downgraded to C; previously on 5/9/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$25,000,000 Class D Deferrable Floating Rate Notes Due 2041, Downgraded to C; previously on 5/9/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Diversified Asset Securitization Holdings I, LP -- US$ 218,000,000 Class A-1Floating Rate Senior Secured Term Notes Due 2034, Downgraded to Ba2; previously on 4/29/2008 Downgraded to Baa3 -- US$45,000,000 Class A-2 Fixed Rate Senior Secured Term Notes Due 2034, Downgraded to Ba2; previously on 4/29/2008 Downgraded to Baa3 Duke Funding IV, Ltd. -- Class A-1 First Priority Senior Secured Flt. Rt. Notes due 2023, Confirmed at Ba3; previously on 12/23/2008 Downgraded to Ba3 and Placed Under Review for Possible Downgrade Euler ABS CDO I, Ltd. -- US$270,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes due 2050, Downgraded to C; previously on 12/11/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- US$135,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due 2050, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$93,750,000 Class A-3 Third Priority Senior Secured Floating Rate Notes due 2050, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$53,000,000 Class B Fourth Priority Senior Secured Floating Rate Notes due 2050, Downgraded to C; previously on 6/5/2008 Downgraded to Ca -- US$20,000,000 Class C Fifth Priority Senior Secured Floating Rate Notes due 2050, Downgraded to C; previously on 6/5/2008 Downgraded to Ca -- US$24,500,000 Class D Sixth Priority Mezzanine Deferrable Secured Floating Rate Notes due 2050, Downgraded to C; previously on 6/5/2008 Downgraded to Ca -- US$6,750,000 Class E Seventh Priority Mezzanine Deferrable Secured Floating Rate Notes due 2050, Downgraded to C; previously on 6/5/2008 Downgraded to Ca -- US$22,500,000 Class F Eighth Priority Mezzanine Deferrable Secured Floating Rate Notes due 2050, Downgraded to C; previously on 6/5/2008 Downgraded to Ca -- US$12,500,000 Class G Ninth Priority Mezzanine Deferrable Secured Floating Rate Notes due 2050, Downgraded to C; previously on 6/5/2008 Downgraded to Ca -- US$14,000,000 Class H Tenth Priority Mezzanine Deferrable Secured Floating Rate Notes due 2050, Downgraded to C; previously on 3/31/2008 Downgraded to Ca FACTS 2007-1 -- Floating Rate Notes, Downgraded to Ca; previously on 12/11/2008 Downgraded to B1 and remains on Review for Possible Downgrade Gemstone CDO VII Ltd. -- US$159,000,000 Class A-2 Floating Rate Notes due December 2045, Downgraded to C; previously on 4/28/2008 Downgraded to Ca -- US$200,000,000 Class A-1b(i) Floating Rate Notes due December 2045, Downgraded to C; previously on 12/11/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$200,000,000 Class A-1b(ii) Floating Rate Notes due December 2045, Downgraded to C; previously on 4/28/2008 Downgraded to Ca -- US$244,000,000 Class A-1a Floating Rate Notes due December 2045, Downgraded to Ca; previously on 12/11/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- US$400,000,000 Class A-1b Floating Rate Notes due December 2045, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$96,900,000 Class B Floating Rate Notes due December 2045, Downgraded to C; previously on 4/28/2008 Downgraded to Ca Glacier Funding CDO V, Ltd. -- US$200,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 12/11/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- US$122,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$46,000,000 Class A-3 Third Priority Senior Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$44,000,000 Class B Fourth Priority Senior Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 5/30/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$15,000,000 Class C Fifth Priority Senior Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 5/30/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$20,500,000 Class D Sixth Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2051, Downgraded to C; previously on 3/27/2008 Downgraded to Ca -- US$26,500,000 Class E Seventh Priority Mezzanin Secured Deferrable Floating Rate Notes Due 2051, Downgraded to C; previously on 3/27/2008 Downgraded to Ca -- US$5,500,000 Class F Eighth Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2051, Downgraded to C; previously on 3/27/2008 Downgraded to Ca -- US$6,500,000 Class G Ninth Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2051, Downgraded to C; previously on 3/27/2008 Downgraded to Ca Halcyon Securitized Prod Inv ABS CDO II Ltd. -- US$225,000,000 Class A-1(a) Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 12/11/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$75,000,000 Class A-1(b) Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$82,500,000 Class A-2 Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 5/9/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$36,000,000 Class B Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 5/9/2008 Downgraded to Ca -- US$27,500,000 Class C Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 5/9/2008 Downgraded to Ca -- US$21,500,000 Class D-1 Senior Secured Deferrable Interest Floating Rate Notes Due 2046, Downgraded to C; previously on 5/9/2008 Downgraded to Ca -- US$6,000,000 Class D-2 Senior Secured Deferrable Interest Floating Rate Notes Due 2046, Downgraded to C; previously on 5/9/2008 Downgraded to Ca Halcyon Securitized Products Investors Ltd. -- Class A-1 Senior Secured Floating Rate Notes, due 2050, Downgraded to C; previously on 12/16/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- Class A-2 Senior Secured Floating Rate Notes, due 2050, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class B Senior Secured Floating Rate Notes, due 2050, Downgraded to C; previously on 5/18/2008 Downgraded to Ca Highridge ABS CDO II, Ltd. -- US$800,000,000 Class A-1S First Priority Senior Secured Floating Rate Notes due 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade HSPI Diversified CDO Fund I, Ltd. -- US$384,000,000 Class A-1 Advance Swap Agreement, Downgraded to C; previously on 9/2/2008 Downgraded to Ca Ischus Synthetic ABS CDO 2006-2 Ltd. -- US$575,000,000 Class A-1LA Investor Swap, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$11,000,000 Class B-2L Floating Rate Notes Due, Downgraded to C; previously on 3/27/2008 Downgraded to Ca -- US$203,000,000 Class A-1LB Floating Rate Notes D, Downgraded to C; previously on 4/30/2008 Downgraded to Ca -- US$32,000,000 Class X Notes Due January 2014, Downgraded to C; previously on 4/30/2008 Downgraded to Ca -- US$41,000,000 Class B-1L Floating Rate Notes Due, Downgraded to C; previously on 3/27/2008 Downgraded to Ca -- US$48,000,000 Class A-2L Floating Rate Notes Due, Downgraded to C; previously on 3/27/2008 Downgraded to Ca -- US$60,000,000 Class A-3L Floating Rate Notes Due, Downgraded to C; previously on 3/27/2008 Downgraded to Ca Kent Funding III, Ltd. -- US$780,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes due 2047, Downgraded to Ca; previously on 12/16/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- US$325,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due 2047, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$113,000,000 Class A-3 Third Priority Senior Secured Floating Rate Notes due 2047, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$55,000,000 Class B Fourth Priority Senior Secured Floating Rate Notes due 2047, Downgraded to C; previously on 5/30/2008 Downgraded to Ca Kleros Preferred Funding IX, Ltd. -- US$1,380,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2052, Downgraded to Ca; previously on 12/11/2008 Downgraded to Ba3 Los Robles CDO Ltd. -- US$112,500,000 Class A-1b Floating Rate Notes D, Downgraded to Ca; previously on 10/21/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$225,000,000 Class A-2 Floating Rate Notes Due August 12, 2047, Downgraded to C; previously on 10/21/2008 Downgraded to Ca -- US$67,500,000 Class A-3 Floating Rate Notes Due August 12, 2047, Downgraded to C; previously on 10/21/2008 Downgraded to Ca -- US$33,000,000 Class B Floating Rate Notes Due August 12, 2047, Downgraded to C; previously on 10/21/2008 Downgraded to Ca Lunar Funding V plc Series 2007-39 -- US$200,000,000 Limited Recourse Secured Floating Rate Credit-Linked Notes due 2037, Downgraded to C; previously on 12/11/2008 Downgraded to B1 and remains on Review for Possible Downgrade Magnolia Finance II plc Series 2006-6A1 -- Series 2006-6A1 USD 50,000,000 ABS Portfolio Variable Rate Notes due December 2038, Downgraded to C; previously on 12/11/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade Magnolia Finance II plc Series 2006-6A2E -- EUR7,500,000 ABS Portfolio Variable Rate Notes due December 2038, Downgraded to C; previously on 12/11/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade Magnolia Finance II plc Series 2006-6A2G -- GBP 6,000,000 ABS Portfolio Variable Rate Notes due December 2038, Downgraded to C; previously on 12/11/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade Mantoloking CDO 2006-1, Ltd. -- US$166,250,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due 2046, Downgraded to Ca; previously on 10/6/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$40,000,000 Class A-3 Third Priority Senior Secured Floating Rate Notes due 2046, Downgraded to C; previously on 10/6/2008 Downgraded to Ca -- US$71,750,000 Class B Fourth Priority Senior Secured Floating Rate Notes due 2046, Downgraded to C; previously on 5/30/2008 Downgraded to Ca Orient Point CDO II, Ltd. -- US$1,350,000,000 Class A First Priority Senior Secured Floating Rate Notes due 2051, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$36,000,000 Class B Second Priority Senior Secured Floating Rate Notes due 2051, Downgraded to C; previously on 6/4/2008 Downgraded to Ca -- US$75,000,000 Class C Third Priority Secured Floating Rate Notes due 2051, Downgraded to C; previously on 6/4/2008 Downgraded to Ca Sharps CDO II Ltd. -- US$600,000,000 Class A-1 Senior Secured Floating Rate Notes due 2046, Downgraded to C; previously on 12/11/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- US$100,000,000 Class A-2 Senior Secured Floating Rate Notes due 2046, Downgraded to C; previously on 12/11/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$60,000,000 Class A-3 Senior Secured Floating Rate Notes due 2046, Downgraded to C; previously on 12/11/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$82,000,000 Class B Senior Secured Floating Rate Notes due 2046, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$52,000,000 Class C Senior Secured Deferrable Interest Floating Rate Notes due 2046, Downgraded to C; previously on 5/9/2008 Downgraded to Ca Silver Marlin CDO I Ltd. -- US$625,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes due 2050, Downgraded to C; previously on 12/11/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- US$437,500,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due 2050, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$62,500,000 Class A-3 Third Priority Senior Secured Floating Rate Notes due 2050, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$67,000,000 Class A-4 Fourth Priority Senior Secured Floating Rate Notes due 2050, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$21,500,000 Class B Fifth Priority Senior Secured Floating Rate Notes due 2050, Downgraded to C; previously on 3/10/2008 Downgraded to Ca -- US$9,400,000 Class C Sixth Priority Senior Secured Floating Rate Notes due 2050, Downgraded to C; previously on 3/10/2008 Downgraded to Ca Summer Street 2007-1, Ltd. -- US$57,000,000 Class A-1A Senior Secured Floating Rate Notes Due 2052, Downgraded to C; previously on 2/8/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$50,000,000 Class A-1B Senior Secured Floating Rate Notes Due 2052, Downgraded to C; previously on 2/8/2008 Downgraded to Ca -- US$80,000,000 Class A-1SA Senior Secured Floating Rate Notes Due 2052, Downgraded to C; previously on 12/11/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- US$63,000,000 Class A-1SB Senior Secured Floatng Rate Notes Due 2052i, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$37,500,000 Class A-2 Senior Secured Floating Rate Notes Due 2052, Downgraded to C; previously on 2/8/2008 Downgraded to Ca -- US$55,000,000 Class B Senior Secured Floating Rate Notes Due 2052, Downgraded to C; previously on 2/8/2008 Downgraded to Ca Term CDO 2007-1 Ltd. -- Class A-1LA Floating Rate Notes Due July 2038, Downgraded to Ca; previously on 12/11/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- Class A-1LB Floating Rate Notes Due July 2038, Downgraded to C; previously on 4/23/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class A-2L Floating Rate Notes Due July 2038, Downgraded to C; previously on 4/23/2008 Downgraded to Ca -- Class A-3L Floating Rate Notes Due July 2038, Downgraded to C; previously on 4/23/2008 Downgraded to Ca -- Class B-1L Floating Rate Notes Due July 2038, Downgraded to C; previously on 4/2/2008 Downgraded to Ca AMP A CLO 2007-2 -- US$25,000,000 Credit Linked Notes, Downgraded to Caa2 and remains on Review for Possible Downgrade; previously on 12/11/2008 Downgraded to B2 and Placed Under Review for Possible Downgrade West Trade Funding CDO III Ltd. -- US$1,500,000,000 Class A-1 First Priority Senior Floating Rate Delayed Draw Notes Due 2053, Downgraded to C; previously on 12/11/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- US$625,000,000 Class A-2 Second Priority Senior Floating Rate Delayed Draw Notes Due 2053, Downgraded to C; previously on 12/11/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$125,000,000 Class A-3 Third Priority Senior Floating Rate Delayed Draw Notes Due 2053, Downgraded to C; previously on 5/20/2008 Downgraded to Ca -- US$155,000,000 Class A-4 Fourth Priority Senior Floating Rate Delayed Draw Notes Due 2053, Downgraded to C; previously on 5/20/2008 Downgraded to Ca -- US$27,000,000 Class B Fifth Priority Senior Floating Rate Delayed Draw Notes Due 2053, Downgraded to C; previously on 5/20/2008 Downgraded to Ca -- US$10,000,000 Class C Sixth Priority Senior Floating Rate Delayed Draw Notes Due 2053, Downgraded to C; previously on 5/20/2008 Downgraded to Ca Whitehawk CDO Funding, LTD. -- Class B Floating Rate Notes, Downgraded to C; previously on 1/30/2009 Downgraded to Ca * Moody's Reports Impact of Auto Industry on Municipal Issuers -------------------------------------------------------------- The U.S. domestic automobile industry's severe distress has growing potential to put downward pressure on credit ratings of U.S. local and state governments that have historically relied on the industry for tax revenue and employment opportunities, says Moody's Investors Service in new report. "The highest concentration of automakers remains in the Midwest, with Detroit as the historic epicenter with rings emanating outward throughout Michigan and neighboring Ohio, Indiana and beyond," said Moody's Senior Vice President Edward Damutz, author of the report, which identifies rated issuers most at risk. He said continued distress is forecast for all three of the Detroit domestic automakers, Ford (Caa3), General Motors (Ca), and Chrysler (Ca). The state and local issuers most likely to face downward rating pressure from the automakers' turmoil include certain cities, counties, school districts, and special districts located in Michigan (general obligation rated Aa3/negative outlook), Indiana (general obligation rated Aa1/stable outlook) and Ohio (general obligation rated Aa1/negative outlook). "The states themselves, particularly Michigan, will likely also come under pressure," said Damutz. "The recent pressure on local government credits has been a key driver in several recent downgrades." Rapidly rising unemployment rates in Michigan (12.0%), Indiana (9.4%) and Ohio (9.4%) place further strain on state and local governments, says the Moody's report. The looming threat of potential bankruptcy of certain auto or auto-related companies has also further exacerbated the situation. Moody's maintains underlying ratings on 253 U.S. state and local issuers that currently have or recently lost some type of Big Three automotive industry manufacturing presence. Of these entities, 32 have tax bases, as measured by assessed valuation, of which the Detroit companies represent more than 5%. The report identifies the rated issuers most at risk, the ways these issuers are being affected, and mitigating factors that may prevent or limit the erosion in credit quality. "Analysis of the future credit quality of these issuers will focus on the magnitude and timing of local shift reductions and job cuts, as well as other local economic trends which may compound or mitigate the effect of the industry's restructuring efforts," said Damutz. Also monitored, he said, will be the impact of these pressures on issuers' key revenues and expenditures, and the actions taken by management to address the fiscal pressures. "In many cases, Moody's expect that these issuers will be able to take timely action such as budget revisions, and avoid a rating downgrade," said Damutz. "To the extent local government issuers are unable to make needed budget corrections on a timely basis, rating downgrades in this segment of the municipal market are likely." * S&P Downgrades Ratings on 36 Classes from 11 RMBS Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 36 classes from 11 U.S. residential mortgage-backed securities transactions backed by subprime mortgage loan collateral and issued in 1998, 2002, and 2004-2006. S&P removed 11 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed 65 ratings on 10 of the downgraded transactions and one additional transaction, and S&P removed 15 of the affirmed ratings 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 with 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 the losses associated with the respective rating levels. The downgrades, affirmations, and CreditWatch resolutions incorporate current losses and S&P's 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. 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 subprime residential mortgage loans secured by one- to four- family properties. To maintain an 'AAA' rating, S&P consider 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 consider 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 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. S&P monitor these transactions over time 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 Asset Backed Securities Corporation Home Equity Loan Trust, Series 2004-HE8 Rating ------ Class CUSIP To From ----- ----- -- ---- M4 04541GMR0 CCC BBB+ M5 04541GMS8 CCC BB M6 04541GMT6 CC B CWABS Asset-Backed Certificates Trust 2004-10 Series 2004-10 Rating ------ Class CUSIP To From ----- ----- -- ---- AF-5B 126673FV9 AAA AAA/Watch Neg B-F 126673JK9 BB A MV-4 126673JW3 A AA MV-5 126673JX1 BB AA- MV-6 126673JY9 CCC A+ MV-7 126673JZ6 CCC A MV-8 126673KA9 CCC A- BV 126673KB7 CCC BBB CWABS Asset-Backed Certificates Trust 2004-AB2 Series 2004-AB2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-3 126673QE5 AAA AAA/Watch Neg M-1 126673QF2 AA+ AA+/Watch Neg M-2 126673QG0 AA+ AA+/Watch Neg M-3 126673QH8 A AA/Watch Neg M-4 126673QJ4 B AA/Watch Neg M-5 126673QK1 CCC A+/Watch Neg M-6 126673QL9 CC A+/Watch Neg CWABS Inc. Series 2002-BC1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 126671NS1 AA AAA/Watch Neg A-IO 126671NW2 AA AAA M-1 126671NT9 D CCC FFMLT Trust 2005-FF2 Series 2005-FF2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 36242DN82 CCC BB B-2 36242DN90 CCC B B-3 36242DP23 CC CCC Securitized Asset Backed Receivables LLC Trust 2004-DO1 Series 2004-DO1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 81375WAU0 BB BBB M-3 81375WAV8 CCC BBB- B-1 81375WAW6 CCC BB B-2 81375WAX4 CC B Soundview Home Loan Trust 2006-3 Series 2006-3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 83612HAB4 AAA AAA/Watch Neg A-3 83612HAC2 BBB BBB/Watch Neg A-4 83612HAD0 B B/Watch Neg M-1 83612HAE8 B- B-/Watch Neg M-4 83612HAH1 CC CCC M-5 83612HAJ7 CC CCC Structured Asset Investment Loan Trust 2004-11 Series 2004-11 Rating ------ Class CUSIP To From ----- ----- -- ---- A4 86358EPP5 AAA AAA/Watch Neg M1 86358EPQ3 AA+ AA+/Watch Neg M2 86358EPR1 AA AA/Watch Neg M3 86358EPS9 AA- AA-/Watch Neg M4 86358EPT7 A A+/Watch Neg M5 86358EPU4 BB A/Watch Neg M6 86358EPV2 CCC A-/Watch Neg M7 86358EPW0 CC BBB+/Watch Neg Structured Asset Investment Loan Trust 2005-4 Series 2005-4 Rating ------ Class CUSIP To From ----- ----- -- ---- M5 86358ESP2 B BB Structured Asset Investment Loan Trust 2006-BNC3 Series 2006-BNC3 Rating ------ Class CUSIP To From ----- ----- -- ---- A1 86361KAA5 BBB BBB/Watch Neg A2 86361KAB3 AAA AAA/Watch Neg A3 86361KAC1 A AA/Watch Neg A4 86361KAD9 BBB BBB/Watch Neg M1 86361KAF4 CCC B-/Watch Neg M2 86361KAG2 CC CCC M3 86361KAH0 CC CCC Structured Asset Securities Corp. Series 1998-6 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 863572UE1 CC CCC Ratings Affirmed Asset Backed Securities Corporation Home Equity Loan Trust Series 2004-HE8 Class CUSIP Rating ----- ----- ------ M1 04541GMN9 AA+ M2 04541GMP4 A M3 04541GMQ2 A- Chase Funding Loan Acquisition Trust Series 2003-C2 Series 2003-C2 Class CUSIP Rating ----- ----- ------ IA 161542CY9 AAA IIA 161542DB8 AAA IA-X 161542CZ6 AAA IIA-X 161542DC6 AAA IA-P 161542DA0 AAA IIA-P 161542DD4 AAA B-1 161542DF9 AA+ B-2 161542DG7 A+ B-3 161542DH5 BBB+ B-4 161542DJ1 BB+ B-5 161542DK8 B+ CWABS Asset-Backed Certificates Trust 2004-10 Series 2004-10 Class CUSIP Rating ----- ----- ------ AF-4 126673HZ8 AAA AF-5A 126673JA1 AAA AF-6 126673JB9 AAA MF-1 126673JC7 AA+ MF-2 126673JD5 AA+ MF-3 126673JE3 AA+ MF-4 126673JF0 AA+ MF-5 126673JG8 AA MF-6 126673JH6 AA MF-7 126673JJ2 AA- MV-1 126673JT0 AA+ MV-2 126673JU7 AA+ MV-3 126673JV5 AA FFMLT Trust 2005-FF2 Series 2005-FF2 Class CUSIP Rating ----- ----- ------ A-1 36242DM67 AAA A-2C 36242DM91 AAA M-1 36242DN25 AA+ M-2 36242DN33 AA M-3 36242DN41 AA M-4 36242DN58 AA- M-5 36242DN66 A+ M-6 36242DN74 BBB Securitized Asset Backed Receivables LLC Trust 2004-DO1 Series 2004-DO1 Class CUSIP Rating ----- ----- ------ A-1 81375WAZ9 AAA A-2 81375WAS5 AAA M-1 81375WAT3 AA+ Soundview Home Loan Trust 2006-3 Series 2006-3 Class CUSIP Rating ----- ----- ------ M-2 83612HAF5 CCC M-3 83612HAG3 CCC Structured Asset Investment Loan Trust 2005-4 Series 2005-4 Class CUSIP Rating ----- ----- ------ A3 86358ESG2 AAA A4 86358ESH0 AAA A5 86358ESJ6 AAA M1 86358ESK3 AA+ M2 86358ESL1 AA M3 86358ESM9 AA M4 86358ESN7 AA- M6 86358ESQ0 CCC M7 86358ESR8 CCC Structured Asset Securities Corp. Series 1998-6 Class CUSIP Rating ----- ----- ------ B-1 863572UD3 AA * S&P Downgrades Ratings on 39 Tranches from Nine Hybrid CDO Deals ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 39 tranches from nine U.S. cash flow and hybrid collateralized debt obligation transactions. At the same time, S&P removed seven of the lowered ratings from CreditWatch with negative implications. The ratings on 29 of the downgraded tranches are on CreditWatch with negative implications, indicating a significant likelihood of further downgrades. In addition, S&P placed its ratings on two tranches from two transactions on CreditWatch with negative implications. The CreditWatch placements primarily affect transactions for which a significant portion of the collateral assets currently have ratings on CreditWatch with negative implications or have significant exposure to assets rated in the 'CCC' category. The 39 downgraded U.S. cash flow and hybrid tranches have a total issuance amount of $8.339 billion. Six of the nine affected transactions are mezzanine structured finance CDOs of asset-backed securities, which are collateralized in large part by mezzanine tranches of residential mortgage-backed securities and other SF securities. The other three transactions are high-grade SF CDOs of ABS that were collateralized at origination primarily by 'AAA' through 'A' rated tranches of RMBS and other SF securities. The CDO downgrades reflect a number of factors, including credit deterioration and recent negative rating actions on U.S. subprime RMBS. Standard & Poor's will continue to monitor the CDO transactions it rates and take rating actions, including CreditWatch placements, when appropriate. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Acacia CDO 6 Ltd A-1 A/Watch Neg AAA Acacia CDO 6 Ltd A-2 BBB-/Watch Neg AAA Acacia CDO 6 Ltd B BB/Watch Neg AA Acacia CDO 6 Ltd C B/Watch Neg A Acacia CDO 6 Ltd D B-/Watch Neg A- Acacia CDO 6 Ltd E-1 CCC-/Watch Neg BB+ Acacia CDO 6 Ltd E-2 CCC-/Watch Neg BB+ Commodore CDO III, Ltd. A-1A A/Watch Neg AAA Commodore CDO III, Ltd. A-1B AA/Watch Neg AAA Commodore CDO III, Ltd. A-1C A/Watch Neg AAA Commodore CDO III, Ltd. A-2 B+/Watch Neg A- High Grade Structured Credit A-1 BBB+/Watch Neg AA+/Watch Neg CDO 2005-1 LTD. High Grade Structured Credit A-2 B/Watch Neg AA-/Watch Neg CDO 2005-1 LTD. High Grade Structured Credit B CCC+/Watch Neg A-/Watch Neg CDO 2005-1 LTD. High Grade Structured Credit X CCC/Watch Neg BBB/Watch Neg CDO 2005-1 LTD. High Grade Structured Credit C CCC-/Watch Neg BB/Watch Neg CDO 2005-1 LTD. River North CDO Ltd A-2 B/Watch Neg BB-/Watch Neg Saybrook Point CBO II, Limited A A-/Watch Neg A+/Watch Neg Saybrook Point CBO II, Limited B-1 B+/Watch Neg BB+/Watch Neg Saybrook Point CBO II, Limited B-2 B+/Watch Neg BB+/Watch Neg Saybrook Point CBO II, Limited C-1 CC CCC-/Watch Neg Saybrook Point CBO II, Limited C-2 CC CCC-/Watch Neg Straits Global ABS CDO I Ltd A-2 BB/Watch Neg A+/Watch Neg Summer Street 2004-1, Ltd. A-1 BBB/Watch Neg AAA/Watch Neg Summer Street 2004-1, Ltd. A-2 B/Watch Neg A/Watch Neg Summer Street 2004-1, Ltd. A-3 CC CCC/Watch Neg Triaxx Prime CDO 2006-2, Ltd. A-1A BB-/Watch Neg AA-/Watch Neg Triaxx Prime CDO 2006-2, Ltd. A-1B1 BB/Watch Neg AA/Watch Neg Triaxx Prime CDO 2006-2, Ltd. A-1B2 BB-/Watch Neg AA-/Watch Neg Triaxx Prime CDO 2006-2, Ltd. A-1BV BB-/Watch Neg AA-/Watch Neg Triaxx Prime CDO 2006-2, Ltd. A-2 CCC+/Watch Neg BB+/Watch Neg Triaxx Prime CDO 2006-2, Ltd. B CCC/Watch Neg B/Watch Neg Triaxx Prime CDO 2006-2, Ltd. X CC CCC Triaxx Prime CDO 2006-2, Ltd. C CC CCC- Triaxx Prime CDO 2007-1 Ltd A-1D CCC A/Watch Neg Triaxx Prime CDO 2007-1 Ltd A-1T CCC A/Watch Neg Triaxx Prime CDO 2007-1 Ltd A-2 CC BB/Watch Neg Triaxx Prime CDO 2007-1 Ltd B CC B/Watch Neg Triaxx Prime CDO 2007-1 Ltd X CC CCC Ratings Placed On Creditwatch Negative Rating ------ Transaction Class To From ----------- ----- -- ---- River North CDO Ltd A-1 A/Watch Neg A Straits Global ABS CDO I Ltd A-1 AAA/Watch Neg AAA Other Ratings Reviewed Transaction Class Rating ----------- ----- ------ Commodore CDO III, Ltd. B CC Commodore CDO III, Ltd. C-1 CC Commodore CDO III, Ltd. C-2 CC River North CDO Ltd B CC River North CDO Ltd C CC River North CDO Ltd D-1 CC River North CDO Ltd D-2 CC Straits Global ABS CDO I Ltd A Combo CC Straits Global ABS CDO I Ltd B Combo CC Straits Global ABS CDO I Ltd B-1 CC Straits Global ABS CDO I Ltd B-2 CC Straits Global ABS CDO I Ltd C-1 CC Straits Global ABS CDO I Ltd C-2 CC Summer Street 2004-1, Ltd. B CC Summer Street 2004-1, Ltd. C CC Summer Street 2004-1, Ltd. D Inc Nts CC Triaxx Prime CDO 2007-1 Ltd C CC * S&P Downgrades Ratings on 55 Classes of Notes from Five CDOs -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 55 classes of notes from two cash flow and five hybrid collateralized debt obligation transactions following the liquidation of the collateral in their portfolios. The affected tranches have a combined issuance amount of $6.79 billion. S&P lowered its ratings on the two cash flow CDO transactions to 'D' because the proceeds from the liquidations have not been sufficient to make par payments to the rated notes. S&P lowered its ratings on the hybrid CDO transactions to 'D' because the transactions did not have proceeds to pay back par payments to the noteholders after making the termination payments on the credit default swap contracts. The five hybrid CDOs are backed predominantly by mezzanine residential mortgage-backed securities, and the two cash flow CDOs are backed predominantly by high-grade RMBS securities. The deals triggered events of default, after which, the controlling noteholders subsequently voted to accelerate the maturity of the notes and liquidate the collateral assets. The current rating actions follow notice from the trustees that the liquidation of the portfolio assets is complete and that the available proceeds have been distributed to the noteholders. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Costa Bella CDO Ltd. A1A D CCC-/Watch Neg Costa Bella CDO Ltd. A2 D CC Costa Bella CDO Ltd. B D CC Costa Bella CDO Ltd. C D CC Costa Bella CDO Ltd. D D CC Costa Bella CDO Ltd. E D CC Costa Bella CDO Ltd. F D CC Costa Bella CDO Ltd. G D CC Longridge ABS CDO I Ltd A-1 D CCC-/Watch Neg Longridge ABS CDO I Ltd A-2 D CC Longridge ABS CDO I Ltd B D CC Longridge ABS CDO I Ltd C D CC Longridge ABS CDO I Ltd D D CC Longridge ABS CDO I Ltd E D CC Longridge ABS CDO I Ltd F D CC Longridge ABS CDO I Ltd UnfunSupSr D CCC-/Watch Neg Mayflower CDO I Ltd. A-1LA D CCC/Watch Neg Mayflower CDO I Ltd. A-1lB D CC Mayflower CDO I Ltd. A-2L D CC Mayflower CDO I Ltd. A-3L D CC Mayflower CDO I Ltd. B-1L D CC Mayflower CDO I Ltd. X D BB/Watch Neg Octonion I CDO Ltd. A1 D CCC/Watch Neg Octonion I CDO Ltd. A2 D CC Octonion I CDO Ltd. A3 D CC Octonion I CDO Ltd. B D CC Octonion I CDO Ltd. C D CC Octonion I CDO Ltd. D D CC Octonion I CDO Ltd. E D CC Octonion I CDO Ltd. S D CCC-/Watch Neg Palmer Square 3 Ltd. X D CC Palmer Square 3 Ltd. A1-M D CC Palmer Square 3 Ltd. A1-Q D CC Palmer Square 3 Ltd. A2 D CC Palmer Square 3 Ltd. A3 D CC Palmer Square 3 Ltd. A4 D CC Palmer Square 3 Ltd. B D CC Palmer Square 3 Ltd. C D CC Palmer Square 3 Ltd. D D CC Sagittarius CDO I Ltd A D CC Sagittarius CDO I Ltd B D CC Sagittarius CDO I Ltd C D CC Sagittarius CDO I Ltd D-1 D CC Sagittarius CDO I Ltd D-2 D CC Sagittarius CDO I Ltd D-3 D CC Sagittarius CDO I Ltd E D CC Sagittarius CDO I Ltd S D CCC/Watch Neg Sagittarius CDO I Ltd Super Sr D CCC+/Watch Neg Sagittarius CDO I Ltd X D CC Singa Funding, Ltd. A-1M D CCC/Watch Neg Singa Funding Ltd. A-1Q D CCC/Watch Neg Singa Funding Ltd. A-2 D CCC-/Watch Neg Singa Funding Ltd. A-3 D CC Singa Funding Ltd. A-4 D CC Singa Funding Ltd. B D CC * S&P Downgrades Ratings on 57 Classes from 18 Prime Jumbo RMBS --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 57 classes from 18 U.S. Prime Jumbo residential mortgage-backed securities transactions issued from 2002 to 2004 and removed five of them from CreditWatch with negative implications. At the same time, S&P affirmed the ratings on 122 classes from the same transactions and removed 10 of 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. 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 ability to withstand additional credit deterioration. For mortgage pools that are continuing to experience increasing delinquencies, S&P increased its stresses to account for potential increases in monthly losses. In order to maintain a rating higher than 'B', S&P assessed whether, in its view, a class could absorb losses in excess of the base-case loss assumptions S&P assumed in its analysis. For example, generally, S&P assessed whether one class could, in S&P's view, withstand approximately 130% of S&P's base-case loss assumptions in order to maintain a 'BB' rating, while S&P assessed whether a different class could withstand 155% of S&P's base-case loss assumption to maintain a 'BBB' rating. Each class that has an affirmed 'AAA' rating can, in S&P's view, withstand approximately 235% of S&P's base-case loss assumptions under S&P's analysis. 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. Subordination provides credit support for the affected transactions. The underlying pool of loans backing these transactions consists of fixed- and adjustable-rate, first-lien, prime jumbo mortgage loans. Rating Actions CHL Mortgage Pass-Through Trust 2004-23 Series 2004-23 Rating ------ Class CUSIP To From ----- ----- -- ---- A 12669GAA9 AA AAA X 12669GAC5 AA AAA B-1 12669GAE1 B A+ B-2 12669GAF8 CCC BBB B-3 12669GBJ9 CC BB M 12669GAD3 BBB AA+ CHL Mortgage Pass-Through Trust 2004-HYB9 Series 2004-HYB9 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-M 12669GHN4 A AA 2-B-1 12669GHP9 B A 1-B-3 12669GHM6 BB BBB 2-B-2 12669GHQ7 CCC BBB 1-B-4 12669GHS3 CCC BB 2-B-3 12669GHV6 CC B 1-B-5 12669GHT1 CC B Citigroup Mortgage Loan Trust Series 2004-HYB3 Series 2004 HYB3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 17307GKF4 CCC B Fifth Third Mortgage Loan Trust 2002-FTB1 Series 2002-FTB1 Rating ------ Class CUSIP To From ----- ----- -- ---- C-B-3 2254W0AZ8 B BB GSR Mortgage Loan Trust 2004-11 Series 2004-11 Rating ------ Class CUSIP To From ----- ----- -- ---- B2 36242DGB3 B A B3 36242DGC1 CCC BBB- B4 36242DGE7 CC CCC HarborView Mortgage Loan Trust 2003-3 Series 2003-3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 41161PCT8 B BBB B-4 41161PCU5 CCC B Harborview Mortgage Loan Trust 2004-6 Series 2004-6 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 41161PFY4 BBB A B-3 41161PFZ1 CCC BBB B-4 41161PGA5 CC B HarborView Mortgage Loan Trust 2004-7 Series 2004-7 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 41161PGS6 BB A B-3 41161PGT4 CCC BBB B-4 41161PGU1 CC B HarborView Mortgage Loan Trust 2004-8 Series 2004-8 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 41161PHH9 BBB AA+ B-2 41161PHJ5 B A+ B-3 41161PHK2 CCC BBB+ B-4 41161PHL0 CC BB Morgan Stanley Mortgage Loan Trust 2004-7AR Series 2004-7AR Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 61748HCR0 B BBB B-4 61748HCT6 CC B Sequoia Mortgage Trust 11 Series 11 Rating ------ Class CUSIP To From ----- ----- -- ---- A 81744AAA6 AAA AAA/Watch Neg X-1A 81744AAC2 AAA AAA/Watch Neg X-1B 81744AAD0 AAA AAA/Watch Neg X-B 81744AAE8 AA AAA/Watch Neg B-1 81744AAB4 AA AA/Watch Neg B-2 81744AAG3 A A/Watch Neg Structured Adjustable Rate Mortgage Loan Trust Series 2004-2 Rating ------ Class CUSIP To From ----- ----- -- ---- B2-I 86359BLN9 BBB A B2X-I 86359BLP4 BBB A B2-II 86359BLS8 BBB A B3 86359BLT6 B BBB B4 86359BLV1 CCC BB Structured Adjustable Rate Mortgage Loan Trust Series 2004-15 Rating ------ Class CUSIP To From ----- ----- -- ---- B2 863579DG0 BBB A B3 863579DH8 CCC BBB B4 863579DL9 CC CCC Structured Asset Securities Corp. Series 2002-14A Rating ------ Class CUSIP To From ----- ----- -- ---- B1-I 86358RR82 BBB AA+ B1-I-X 86358RR90 BBB AA+ B2-I 86358RS24 B AA- B2-I-X 86358RS32 B AA- B1-II 86358RS40 A AA+ B2-II 86358RS73 B AA- B3 86358RS57 CCC BBB+ Structured Asset Securities Corp. Series 2003-32 Rating ------ Class CUSIP To From ----- ----- -- ---- B4 86359A7F4 CCC BB B5 86359A7G2 CC B Structured Asset Securities Corp. Series 2004-13 Rating ------ Class CUSIP To From ----- ----- -- ---- B2 86359BVQ1 BBB A B3 86359BVR9 BB BBB B4 86359BVU2 CCC BB Wells Fargo Mortgage Backed Securities 2004-J Trust Series 2004-J Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 949813AA7 AAA AAA/Watch Neg B-1 949813AC3 AA AA/Watch Neg B-2 949813AD1 A A/Watch Neg B-3 949813AE9 BB BBB/Watch Neg B-4 949813AF6 CCC BB/Watch Neg Wells Fargo Mortgage Backed Securities 2004-U Trust Series 2004-U Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 949803AA8 AAA AAA/Watch Neg B-1 949803AC4 AA+ AA+/Watch Neg B-2 949803AD2 B A+/Watch Neg B-3 949803AE0 CCC BBB+/Watch Neg Ratings Affirmed CHL Mortgage Pass-Through Trust 2004-HYB9 Series 2004-HYB9 Class CUSIP Rating ----- ----- ------ 1-A-1 12669GHG9 AAA 2-A-1 12669GHH7 AAA 2-A-2 12669GHJ3 AAA 1-B-1 12669GHK0 AA 1-B-2 12669GHL8 A Citigroup Mortgage Loan Trust Series 2004-HYB3 Series 2004 HYB3 Class CUSIP Rating ----- ----- ------ I-A 17307GJX7 AAA II-A 17307GJY5 AAA III-A 17307GJZ2 AAA Fifth Third Mortgage Loan Trust 2002-FTB1 Series 2002-FTB1 Class CUSIP Rating ----- ----- ------ I-A-1 2254W0AN5 AAA I-X 2254W0AT2 AAA II-A-1 2254W0AP0 AAA III-A-1 2254W0AQ8 AAA III-X 2254W0AU9 AAA IV-A-1 2254W0AR6 AAA IV-X 2254W0AV7 AAA V-A-1 2254W0AS4 AAA V-X 2254W0AW5 AAA C-B-1 2254W0AX3 AA+ C-B-2 2254W0AY1 AA GSR Mortgage Loan Trust 2004-11 Series 2004-11 Class CUSIP Rating ----- ----- ------ 1A1 36242DFP3 AAA 1A2 36242DFQ1 AAA 2A1 36242DFS7 AAA 2AX1 36242DFV0 AAA 2A2 36242DFT5 AAA 2AX2 36242DFW8 AAA 2A3 36242DFU2 AAA 3A1 36242DFX6 AAA 4A1 36242DFY4 AAA 5A1 36242DFZ1 AAA B1 36242DGA5 AA HarborView Mortgage Loan Trust 2003-3 Series 2003-3 Class CUSIP Rating ----- ----- ------ 1A-1 41161PCK7 AAA 2A-1 41161PCL5 AAA 2A-2 41161PCM3 AAA 2A-3 41161PCN1 AAA A-X 41161PCP6 AAA B-1 41161PCR2 AA+ B-2 41161PCS0 A Harborview Mortgage Loan Trust 2004-6 Series 2004-6 Class CUSIP Rating ----- ----- ------ 1-A 41161PFP3 AAA 2-A 41161PFQ1 AAA 3-A-1 41161PFR9 AAA 3-A-2A 41161PFS7 AAA 3-A-2B 41161PFT5 AAA 4-A 41161PFU2 AAA 5-A 41161PFV0 AAA B-1 41161PFX6 AA HarborView Mortgage Loan Trust 2004-7 Series 2004-7 Class CUSIP Rating ----- ----- ------ 1-A 41161PGF4 AAA 2-A-1 41161PGG2 AAA 2-A-2 41161PGH0 AAA 2-A-3 41161PGJ6 AAA 3-A-1 41161PGK3 AAA 3-A-2 41161PGL1 AAA 4-A 41161PGM9 AAA X-1 41161PGN7 AAA X-2 41161PGP2 AAA B-1 41161PGR8 AA+ HarborView Mortgage Loan Trust 2004-8 Series 2004-8 Class CUSIP Rating ----- ----- ------ 1-A 41161PGY3 AAA 2-A1 41161PGZ0 AAA 2-A2 41161PHA4 AAA 2-A3 41161PHB2 AAA 2-A4A 41161PHC0 AAA 2-A4B 41161PHD8 AAA 3-A1 41161PHE6 AAA 3-A2 41161PHF3 AAA X 41161PHQ9 AAA Morgan Stanley Mortgage Loan Trust 2004-7AR Series 2004-7AR Class CUSIP Rating ----- ----- ------ 1-A 61748HCD1 AAA 2-A-1 61748HCE9 AAA 2-A-2 61748HCF6 AAA 2-A-3 61748HCG4 AAA 2-A-4 61748HCH2 AAA 2-A-5 61748HCJ8 AAA 2-A-6 61748HCK5 AAA 2-A-7 61748HCL3 AAA 3-A 61748HCM1 AAA 4-A 61748HCN9 AAA A-R 61748HCS8 AAA B-1 61748HCP4 AA B-2 61748HCQ2 A Structured Adjustable Rate Mortgage Loan Trust Series 2004-2 Class CUSIP Rating ----- ----- ------ 1-A1 86359BKY6 AAA 1-A2 86359BKZ3 AAA 1-AX 86359BLA7 AAA 2-A 86359BLB5 AAA 3-A 86359BLC3 AAA 4-A1 86359BLE9 AAA 4-A2 86359BLF6 AAA 4-A3 86359BMC2 AAA 5-A 86359BLJ8 AAA 5-AX 86359BLK5 AAA B1-I 86359BLL3 AA B1X-I 86359BLM1 AA B1-II 86359BLQ2 AA Structured Adjustable Rate Mortgage Loan Trust Series 2004-15 Class CUSIP Rating ----- ----- ------ A 863579DE5 AAA B1 863579DF2 AA BX 863579DJ4 BBB Structured Asset Securities Corp. Series 2002-14A Class CUSIP Rating ----- ----- ------ 1-A1 86358RR41 AAA 1-A2 86358RR58 AAA 2-A1 86358RR66 AAA Structured Asset Securities Corp. Series 2003-32 Class CUSIP Rating ----- ----- ------ 1-A1 86359A6T5 AAA 2-A1 86359A6U2 AAA 2-AP 86359A6V0 AAA 3-A1 86359A6W8 AAA 4-A1 86359A6X6 AAA 5-A1 86359A6Y4 AAA AX 86359A6Z1 AAA PAX 86359A7A5 AAA B1 86359A7B3 AA B2 86359A7C1 A B3 86359A7D9 BBB Structured Asset Securities Corp. Series 2004-13 Class CUSIP Rating ----- ----- ------ 1-A1 86359BVL2 AAA 1-A2 86359BVM0 AAA 1-A3 86359BVN8 AAA 2-A1 86359BVT5 AAA B1 86359BVP3 AA * S&P Downgrades Ratings on 77 Classes from 12 RMBS Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 77 classes from 12 residential mortgage-backed securities transactions backed by U.S. Alternative-A mortgage loan collateral issued from 2004, 2006, and 2007. S&P removed 56 of the lowered ratings from CreditWatch with negative implications. S&P also affirmed its ratings on 41 classes from seven of the downgraded transactions as well as one additional deal. S&P removed 28 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 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 consider 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 consider 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 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. 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 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 HarborView Mortgage Loan Trust 2006-10 Series 2006-10 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1A 41162CAA9 AA AAA/Watch Neg 1A-1B 41162CAB7 AAA AAA/Watch Neg 2A-1B 41162CAD3 BBB AAA/Watch Neg 2A-1C 41162CAE1 AAA AAA/Watch Neg B-1 41162CAF8 CCC BB/Watch Neg B-3 41162CAH4 CC CCC B-4 41162CAJ0 CC CCC B-5 41162CAK7 CC CCC HarborView Mortgage Loan Trust 2006-13 Series 2006-13 Rating ------ Class CUSIP To From ----- ----- -- ---- A 41162KAA1 B AAA/Watch Neg B-1 41162KAD5 CCC BB+/Watch Neg B-2 41162KAE3 CC B/Watch Neg B-3 41162KAF0 CC CCC IndyMac INDX Mortgage Loan Trust 2004-AR13 Series 2004-AR13 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 45660N7J8 AAA AAA/Watch Neg 2-A-1 45660N7K5 AAA AAA/Watch Neg 2-A-2 45660N7L3 AAA AAA/Watch Neg 2-A-3 45660N7M1 AAA AAA/Watch Neg X 45660N7N9 AAA AAA/Watch Neg B-1 45660N7R0 B AA/Watch Neg B-2 45660N7S8 CCC A/Watch Neg B-3 45660N7T6 CC BBB/Watch Neg IndyMac INDX Mortgage Loan Trust 2004-AR14 Series 2004-AR14 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1A 45660LAA7 A AAA/Watch Neg 1-A-1B 45660LAB5 B AAA/Watch Neg 2-A-1A 45660LAC3 AA AAA/Watch Neg 2-A-1B 45660LAD1 B AAA/Watch Neg 2-A-2A 45660LAE9 AAA AAA/Watch Neg 2-A-2B 45660LAF6 B AAA/Watch Neg A-X-2 45660LAH2 AAA AAA/Watch Neg B-1 45660LAK5 CCC AA/Watch Neg B-2 45660LAL3 CCC A/Watch Neg B-3 45660LAM1 CC BBB/Watch Neg IndyMac INDX Mortgage Loan Trust 2004-AR15 Series 2004-AR15 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 45660LBE8 AAA AAA/Watch Neg 2-A-1 45660LBF5 AAA AAA/Watch Neg 3-A-1 45660LBG3 AAA AAA/Watch Neg 4-A-1 45660LBH1 AAA AAA/Watch Neg 4-A-2 45660LBJ7 AAA AAA/Watch Neg 5-A-1 45660LBK4 AAA AAA/Watch Neg 5-A-2 45660LBL2 AAA AAA/Watch Neg 6-A-1 45660LBM0 AAA AAA/Watch Neg B-1 45660LBP3 CCC AA/Watch Neg B-2 45660LBQ1 CCC A/Watch Neg B-3 45660LBR9 CC BBB/Watch Neg IndyMac INDX Mortgage Loan Trust 2004-AR2 Series 2004-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 45660NG66 AA AAA/Watch Neg 2-A-1 45660NG74 AA AAA/Watch Neg A-X-2 45660NG90 AA AAA/Watch Neg B-1 45660NH32 CCC AA/Watch Neg B-2 45660NH40 CCC A/Watch Neg B-3 45660NH57 CCC BBB/Watch Neg B-4 45660NH65 CC BB/Watch Neg IndyMac INDX Mortgage Loan Trust 2004-AR4 Series 2004-AR4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 45660NQ24 AA AAA/Watch Neg 2-A 45660NQ32 AA AAA/Watch Neg 3-A 45660NQ40 AA AAA/Watch Neg B-1 45660NQ65 CCC AA/Watch Neg B-2 45660NQ73 CC A/Watch Neg B-3 45660NQ81 CC BBB/Watch Neg IndyMac INDX Mortgage Loan Trust 2004-AR5 Series 2004-AR5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 45660NS22 AA AAA 2-A-2 45660NS55 AA AAA B-1 45660NS97 CCC AA B-2 45660NT21 CCC BBB B-3 45660NT39 CCC B B-4 45660NT47 CC CCC IndyMac INDX Mortgage Loan Trust 2004-AR6 Series 2004-AR6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 45660NX26 AAA AAA/Watch Neg 2-A 45660NX34 AAA AAA/Watch Neg 3-A-1 45660NX42 AAA AAA/Watch Neg 3-A-2 45660NX59 AAA AAA/Watch Neg 3-A-3 45660NX67 AAA AAA/Watch Neg 4-A 45660NX75 AAA AAA/Watch Neg 5-A-1 45660NX83 AAA AAA/Watch Neg 5-A-2 45660NX91 AAA AAA/Watch Neg 6-A-1 45660NY25 AAA AAA/Watch Neg 6-A-2 45660NY33 AAA AAA/Watch Neg B-1 45660NY58 AA+ AA+/Watch Neg B-2 45660NY66 B A+/Watch Neg B-3 45660NY74 CCC BBB/Watch Neg B-4 45660NZ57 CC BB/Watch Neg IndyMac INDX Mortgage Loan Trust 2004-AR8 Series 2004-AR8 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 45660N2H7 B AAA/Watch Neg 2-A-1 45660N2L8 B AAA/Watch Neg 2-A-2A 45660N2J3 BBB AAA/Watch Neg 2-A-2B 45660N2K0 B AAA/Watch Neg A-X-2 45660N2N4 BBB AAA/Watch Neg B-1 45660N2Q7 CCC AA/Watch Neg B-2 45660N2R5 CCC A/Watch Neg B-3 45660N2S3 CC BBB/Watch Neg B-4 45660N2T1 CC BB/Watch Neg Lehman Mortgage Trust 2007-6 Series 2007-6 Rating ------ Class CUSIP To From ----- ----- -- ---- AX 52521NAN0 CCC AAA AP 52521NAM2 CCC B/Watch Neg 1-A1 52521NAA8 CCC B+/Watch Neg 1-A2 52521NAB6 CCC B/Watch Neg 1-A3 52521NAC4 CCC B/Watch Neg 1-A4 52521NAD2 CCC B/Watch Neg 1-A5 52521NAE0 CCC B 1-A6 52521NAF7 CCC B/Watch Neg 1-A7 52521NAG5 CCC B+/Watch Neg 1-A8 52521NAH3 CCC B+/Watch Neg 1-A9 52521NAT7 CCC B 1-A10 52521NAU4 CCC B 1-A11 52521NAJ9 CCC B/Watch Neg 2-A1 52521NAK6 CCC B+/Watch Neg 2-A2 52521NAL4 CCC B/Watch Neg B1 52521NAP5 CC CCC B2 52521NAQ3 CC CCC B3 52521NAR1 D CC Washington Mutual MSC Mortgage Pass-Through Certificates Series 2004-RA1 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- C-B-1 939336Q55 BBB A C-B-2 939336Q63 CCC BB C-B-3 939336Q71 CCC B C-B-4 939336Q97 CC CCC Ratings Affirmed HarborView Mortgage Loan Trust 2006-10 Series 2006-10 Class CUSIP Rating ----- ----- ------ 2A-1A 41162CAC5 AAA B-2 41162CAG6 CCC IndyMac INDX Mortgage Loan Trust 2004-AR5 Series 2004-AR5 Class CUSIP Rating ----- ----- ------ 2-A-1A 45660NS30 AAA 2-A-1B 45660NS48 AAA A-X-2 45660NS71 AAA Washington Mutual MSC Mortgage Pass-Through Certificates Series 2004-RA1 Trust Class CUSIP Rating ----- ----- ------ I-A 939336P72 AAA II-A 939336P80 AAA I-X 939336P98 AAA II-X 939336Q22 AAA I-P 939336Q30 AAA II-P 939336Q48 AAA Wells Fargo Alternative Loan 2002-1 Trust Series 2002-1 Class CUSIP Rating ----- ----- ------ I-A-1 94974SAA1 AAA A-PO 94974SAC7 AAA * S&P Downgrades Ratings on 96 Classes from 40 Prime RMBS Deals --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 96 classes from 40 U.S. prime jumbo residential mortgage-backed securities transactions issued from 1989 to 2004. S&P removed one of the lowered ratings from CreditWatch with negative implications. Concurrently, S&P affirmed its ratings on 390 other classes of certificates from the downgraded transactions and removed 22 of the affirmed ratings from CreditWatch with negative implications. For the deals with outstanding subordinate bonds, 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 its analysis. For example, S&P assess whether a class can withstand approximately 130% of S&P's base-case loss assumptions in order to maintain a 'BB' rating, while S&P consider whether a different class can withstand approximately 160% 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 subordination of the more-junior classes provides credit support for these transactions. The collateral for these transactions consists of fixed and adjustable-rate prime jumbo mortgage loans secured by one- to four-family residential properties. For the deals without subordinate bonds whose only outstanding form of credit support is primarily based on insurance, be it pool or bond insurance, S&P is lowering the rating on these bonds to the highest of the ratings on the insurers. The collateral for these transactions consists of fixed- and adjustable-rate prime jumbo mortgage loans secured by one- to four-family residential properties. The affirmed ratings on these transactions 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 on these transactions 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. 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 Chase Mortgage Finance Trust Series 2003-S14 Series 2003-S14 Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 16162WEU9 B BB B-4 16162WEV7 CCC B Chase Mortgage Finance Trust, Series 2003-S15 Series 2003-S15 Rating ------ Class CUSIP To From ----- ----- -- ---- IIA-1 16162WFF1 AAA AAA/Watch Neg B-4 16162WEY1 CCC B Citicorp Mortgage Securities Inc. Series 2003-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-3 172973GJ2 AAA AAA/Watch Neg Citicorp Mortgage Securities Inc. Series 2003-3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-5 172973LZ0 AAA AAA/Watch Neg A-16 172973ML0 AAA AAA/Watch Neg A-17 172973MM8 AAA AAA/Watch Neg A-18 172973MN6 AAA AAA/Watch Neg A-19 172973MP1 AAA AAA/Watch Neg A-20 172973MQ9 AAA AAA/Watch Neg Citicorp Mortgage Securities Inc. Series 2003-11 Rating ------ Class CUSIP To From ----- ----- -- ---- IIA-11 172973UT4 AAA AAA/Watch Neg DLJ Mortgage Acceptance Corp. Series 1993- 4A Rating ------ Class CUSIP To From ----- ----- -- ---- A 23321PCN6 BB- AAA First Horizon Mtg Pass-Through Trust 2000-H Series 2000-H Rating ------ Class CUSIP To From ----- ----- -- ---- I-B-1 32051DCJ9 AAA AAA/Watch Neg II-B-1 32051DCN0 AAA AAA/Watch Neg III-B-1 32051DCR1 AAA AAA/Watch Neg IV-B-1 32051DCU4 AAA AAA/Watch Neg V-B-1 32051DCX8 AAA AAA/Watch Neg I-B-2 32051DCK6 AAA AAA/Watch Neg II-B-2 32051DCP5 AAA AAA/Watch Neg III-B-2 32051DCS9 AAA AAA/Watch Neg IV-B-2 32051DCV2 AAA AAA/Watch Neg V-B-2 32051DCY6 AAA AAA/Watch Neg D-B-3 32051DCL4 A AAA/Watch Neg GSR Mortgage Loan Trust 2004-13F Series 2004-13F Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 36242DMC4 B BBB B-3 36242DMD2 CCC B B-4 36242DME0 CC CCC MASTR Asset Securitization Trust 2003-1 Series 2003-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A-4 55265KPY9 AAA AAA/Watch Neg MASTR Asset Securitization Trust 2003-8 Series 2003-8 Rating ------ Class CUSIP To From ----- ----- -- ---- 3-A-5 55265KK73 AAA AAA/Watch Neg B-4 55265KN88 B BB B-5 55265KN96 CCC B MASTR Asset Securitization Trust 2004-9 Rating ------ Class CUSIP To From ----- ----- -- ---- 30-B-4 57643MGS7 B BB 30-B-5 57643MGT5 CCC B Prime Mortgage Trust 2003-1 Series 2003-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-11 74160MAL6 AAA AAA/Watch Neg Prime Mortgage Trust 2004-CL1 Series 2004-CL1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 74160MEA6 B AA B-2 74160MEB4 CCC BBB- B-3 74160MEC2 CC CCC Ryland Mortgage Securities Corp. Series 1991-14 Rating ------ Class CUSIP To From ----- ----- -- ---- 14-X 783766FX1 BBB+ AAA 14B-1 783766GG7 BBB+ AAA Ryland Mortgage Securities Corp. Series 1991-15 Rating ------ Class CUSIP To From ----- ----- -- ---- B 783766GV4 BBB+ AAA Ryland Mortgage Securities Corp. Series 1991-16 Rating ------ Class CUSIP To From ----- ----- -- ---- B 783766GY8 BBB+ AAA I 783766GZ5 BBB+ AAA Ryland Mortgage Securities Corp. Series 1991-17 Rating ------ Class CUSIP To From ----- ----- -- ---- B 783766HB7 BBB+ AAA Ryland Mortgage Securities Corp. Series 1991-19 Rating ------ Class CUSIP To From ----- ----- -- ---- B 783766HF8 BBB+ AAA Ryland Mortgage Securities Corp. Series 1992- 4 Rating ------ Class CUSIP To From ----- ----- -- ---- B 783766JT6 BBB+ AA+ Ryland Mortgage Securities Corp. Series 1992-1FBS Rating ------ Class CUSIP To From ----- ----- -- ---- G 783766KJ6 BBB+ AAA R 783766KM9 BBB+ AAA RL 783766KN7 BBB+ AAA M 783766KL1 BBB+ AAA F 783766KK3 BBB+ AAA SLH Mortgage Trust Series 1989-1 Series 1989- 1 Rating ------ Class CUSIP To From ----- ----- -- ---- H 863572AS2 BBB+ AAA Z 863572AW3 BBB+ AAA Structured Mortgage Asset Residential Trust Series 92-6 Series 1992- 6 Rating ------ Class CUSIP To From ----- ----- -- ---- BM 863573KN0 BBB+ AAA BN 863573KP5 BBB+ AAA BO 863573KQ3 BBB+ AAA R-1 863573KT7 BBB+ AAA G 863573KR1 BBB+ AAA Structured Mortgage Asset Residential Trust Series 92-9 Series 1992-9 Rating ------ Class CUSIP To From ----- ----- -- ---- BX 863573NC1 BBB+ AAA G 863573NJ6 BBB+ AAA Structured Mortgage Asset Residential Trust, Series 91-1 Series 1991- 1 Rating ------ Class CUSIP To From ----- ----- -- ---- G 863573AH4 BBB+ AAA H 863573AG6 BBB+ AAA I 863573AU5 BBB+ AAA J 863573AJ0 BBB+ AAA K 863573AK7 BBB+ AAA Structured Mortgage Asset Residential Trust, Series 91-5 Series 1991- 5 Rating ------ Class CUSIP To From ----- ----- -- ---- GA 863573CS8 BBB+ AAA I 863573CR0 BBB+ AAA R-1 863573CQ2 BBB+ AAA G 863573CT6 BBB+ AAA Structured Mortgage Asset Residential Trust, Series 91-7 Series 1991- 7 Rating ------ Class CUSIP To From ----- ----- -- ---- H 863573DY4 BB AAA I 863573DU2 BB AAA G 863573DZ1 BB AAA Structured Mortgage Asset Residential Trust, Series 91-8 Series 1991- 8 Rating ------ Class CUSIP To From ----- ----- -- ---- E 863573EE7 BB AAA F 863573EF4 BB AAA G 863573EJ6 BB AAA Structured Mortgage Asset Residential Trust, Series 92-1 Series 1992- 1 Rating ------ Class CUSIP To From ----- ----- -- ---- G 863573FG1 BBB+ AAA Structured Mortgage Asset Residential Trust, Series 92-10 Series 1992-10 Rating ------ Class CUSIP To From ----- ----- -- ---- BH 863573NZ0 BBB+ AAA BX 863573NX5 BBB+ AAA BY 863573PA3 BBB+ AAA G 863573PB1 BBB+ AAA Structured Mortgage Asset Residential Trust, Series 92-2 Series 1992- 2 Rating ------ Class CUSIP To From ----- ----- -- ---- J 863573FL0 BBB+ AAA I 863573FT3 BBB+ AAA Structured Mortgage Asset Residential Trust, Series 92-3 Series 1992- 3 Rating ------ Class CUSIP To From ----- ----- -- ---- BI 863573GF2 BBB+ AAA R 863573GH8 BBB+ AAA Structured Mortgage Asset Residential Trust, Series 92-4 Series 1992- 4 Rating ------ Class CUSIP To From ----- ----- -- ---- BK 863573HA2 BBB+ AAA BL 863573GY1 BBB+ AAA R 863573HB0 BBB+ AAA Structured Mortgage Asset Residential Trust, Series 92-5 Series 1992- 5 Rating ------ Class CUSIP To From ----- ----- -- ---- BP 863573JH5 BBB+ AAA G 863573JL6 BBB+ AAA Structured Mortgage Asset Residential Trust, Series 92-7 Series 1992- 7 Rating ------ Class CUSIP To From ----- ----- -- ---- BI 863573LC3 BBB+ AAA BX 863573LF6 BBB+ AAA Structured Mortgage Asset Residential Trust, Series 92-8 Series 1992- 8 Rating ------ Class CUSIP To From ----- ----- -- ---- BX 863573ML2 BBB+ AAA BY 863573MM0 BBB+ AAA G 863573MQ1 BBB+ AAA BF 863573MK4 BBB+ AAA Structured Mortgage Asset Residential Trust, Series 93-2 Series 1993- 2 Rating ------ Class CUSIP To From ----- ----- -- ---- BI 863573RX1 BBB+ AAA BX 863573RY9 BBB+ AAA BY 863573RZ6 BBB+ AAA R-1 863573SB8 BBB+ AAA G 863573QZ7 BBB+ AAA Structured Mortgage Asset Residential Trust, Series 93-3 Series 1993- 3 Rating ------ Class CUSIP To From ----- ----- -- ---- CK 863573SP7 BBB+ AAA CL 863573SQ5 BBB+ AAA CX 863573SR3 BBB+ AAA CY 863573SW2 BBB+ AAA G 863573SC6 BBB+ AAA Structured Mortgage Asset Residential Trust, Series 93-4 Series 1993- 4 Rating ------ Class CUSIP To From ----- ----- -- ---- AF 8635739A1 BBB+ AAA AX 863573TC5 BBB+ AAA AY 863573TB7 BBB+ AAA R-1 863573TE1 BBB+ AAA G 863573TG6 BBB+ AAA Structured Mortgage Asset Residential Trust, Series 93-5 Series 1993- 5 Rating ------ Class CUSIP To From ----- ----- -- ---- CJ 863573TT8 BBB+ AAA CX 863573TW1 BBB+ AAA G 863573TH4 BBB+ AAA Structured Mortgage Asset Residential Trust, Series 93-6 Series 1993- 6 Rating ------ Class CUSIP To From ----- ----- -- ---- BI 863573UJ8 BBB+ AAA BX 863573UN9 BBB+ AAA AA 863573UL3 BBB+ AAA G 863573UA7 BBB+ AAA Wells Fargo Mortgage Backed Securities 2004-1 Trust Series 2004-1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 949814BZ9 CCC B Wells Fargo Mortgage Backed Securities 2004-8 Trust Series 2004-8 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 94980LAN0 CCC B Ratings Affirmed Banc of America Funding 2002-1 Trust Series 2002-1 Class CUSIP Rating ----- ----- ------ A-1 06051GAA7 AAA A-5 06051GAE9 AAA A-WIO 06051GAG4 AAA A-PO 06051GAH2 AAA B-1 06051GAJ8 AAA B-2 06051GAK5 AAA B-3 06051GAL3 AAA Banc of America Funding Corporation Series 2000-1 Class CUSIP Rating ----- ----- ------ 2A-2 05946XAV5 AAA 2A-WIO 05946XAW3 AAA Charlie Mac Trust 2004-1 Series 2004-1 Class CUSIP Rating ----- ----- ------ A-1 160762AA8 AAA A-2 160762AB6 AAA A-3 160762AC4 AAA A-4 160762AD2 AAA A-5 160762AE0 AAA A-6 160762AF7 AAA A-7 160762AG5 AAA A-8 160762AH3 AAA A-9 160762AJ9 AAA PO 160762AK6 AAA B-1 160762AP5 AA B-2 160762AQ3 A B-3 160762AR1 BBB B-4 160762AS9 BB B-5 160762AT7 B Charlie Mac Trust 2004-2 Series 2004-2 Class CUSIP Rating ----- ----- ------ A-1 160762AV2 AAA A-2 160762AW0 AAA A-3 160762AX8 AAA A-R 160762BC3 AAA B-1 160762AY6 AA B-2 160762AZ3 A B-3 160762BA7 BBB L 160762BB5 AAA Chase Mortgage Finance Trust Series 2003-S14 Series 2003-S14 Class CUSIP Rating ----- ----- ------ IA-1 16162WDM8 AAA IA-2 16162WDN6 AAA IA-3 16162WDP1 AAA IA-4 16162WDQ9 AAA IA-5 16162WDR7 AAA IIA-1 16162WDS5 AAA IIA-2 16162WDT3 AAA IIA-3 16162WDU0 AAA IIA-4 16162WDV8 AAA IIA-5 16162WDW6 AAA IIA-6 16162WDX4 AAA IIA-7 16162WDY2 AAA IIA-8 16162WDZ9 AAA IIA-9 16162WEA3 AAA IIA-10 16162WEB1 AAA IIIA-1 16162WEC9 AAA IIIA-2 16162WED7 AAA IIIA-3 16162WEE5 AAA IIIA-4 16162WEF2 AAA IIIA-6 16162WEH8 AAA IIIA-7 16162WEJ4 AAA IIIA-8 16162WEK1 AAA IIIA-9 16162WEL9 AAA IIIA-10 16162WEM7 AAA A-P 16162WEN5 AAA A-X 16162WEP0 AAA M 16162WER6 AA B-1 16162WES4 A B-2 16162WET2 BBB Chase Mortgage Finance Trust, Series 2003-S15 Series 2003-S15 Class CUSIP Rating ----- ----- ------ IA-1 16162WFA2 AAA IA-2 16162WFB0 AAA IA-3 16162WFC8 AAA IA-4 16162WFD6 AAA IA-X 16162WFE4 AAA IIA-2 16162WFG9 AAA IIA-3 16162WFH7 AAA IIA-4 16162WFJ3 AAA IIA-5 16162WFK0 AAA IIA-6 16162WFL8 AAA IIA-7 16162WFM6 AAA IIA-8 16162WFN4 AAA IIA-9 16162WFP9 AAA IIA-10 16162WFQ7 AAA IIA-11 16162WFR5 AAA IIA-12 16162WFS3 AAA IIA-13 16162WFT1 AAA IIA-14 16162WFU8 AAA IIA-15 16162WFV6 AAA IIA-16 16162WFW4 AAA IIA-17 16162WFX2 AAA IIA-18 16162WFY0 AAA A-P 16162WFZ7 AAA IIA-X 16162WGA1 AAA M 16162WGC7 AA B-1 16162WGD5 A- B-2 16162WGE3 BBB- B-3 16162WEX3 BB Chase Mortgage Finance Trust, Series 2003-S2 Series 2003-S2 Class CUSIP Rating ----- ----- ------ A-1 16162T3Q7 AAA A-2 16162T3R5 AAA A-3 16162T3S3 AAA A-4 16162T3T1 AAA A-X 16162T3U8 AAA A-P 16162T3V6 AAA M 16162T3X2 AA+ B-1 16162T3Y0 AA B-2 16162T3Z7 BBB+ B-3 16162T4A1 BB+ B-4 16162T4B9 B Citicorp Mortgage Securities Inc. Series 2003-1 Class CUSIP Rating ----- ----- ------ A-3A 172973GK9 AAA A-4 172973GL7 AAA A-65 172973JZ3 AAA B-1 172973KB4 AAA B-2 172973KC2 AA+ B-3 172973KD0 AA Citicorp Mortgage Securities Inc. Series 2003-3 Class CUSIP Rating ----- ----- ------ A-1 172973LV9 AAA A-2 172973LW7 AAA A-6 172973MA4 AAA A-7 172973MB2 AAA A-8 172973MC0 AAA A-23 172973MT3 AAA A-26 172973MW6 AAA A-PO 172973NF2 AAA Citicorp Mortgage Securities Inc. Series 2003-11 Class CUSIP Rating ----- ----- ------ IA-1 172973TY5 AAA IA-2 172973TZ2 AAA IA-3 172973UA5 AAA IA-4 172973UB3 AAA IA-5 172973UC1 AAA IA-6 172973UD9 AAA IA-7 172973UE7 AAA IA-8 172973UF4 AAA IA-PO 172973UG2 AAA IA-IO AAA IIA-IO AAA IIA-1 172973UH0 AAA IIA-2 172973UJ6 AAA IIA-3 172973UK3 AAA IIA-4 172973UL1 AAA IIA-5 172973UM9 AAA IIA-6 172973UN7 AAA IIA-7 172973UP2 AAA IIA-9 172973UR8 AAA IIA-10 172973US6 AAA IIA-8 172973UQ0 AAA IIA-12 172973UU1 AAA IIA-13 172973UV9 AAA IIA-14 172973UW7 AAA GSR Mortgage Loan Trust 2004-13F Series 2004-13F Class CUSIP Rating ----- ----- ------ 1A-1 36242DLQ4 AAA 2A-1 36242DLR2 AAA 2A-2 36242DLS0 AAA 3A-1 36242DLU5 AAA 3A-2 36242DLV3 AAA 3A-3 36242DLW1 AAA 4A-1 36242DLX9 AAA 4A-2 36242DLY7 AAA A-X 36242DLZ4 AAA A-P 36242DMA8 AAA B-1 36242DMB6 AA Guardian S&L Assn, Huntington Beach, CA Series 1989- 7 Class CUSIP Rating ----- ----- ------ A 40145CAT2 BBB- MASTR Asset Securitization Trust 2003-1 Series 2003-1 Class CUSIP Rating ----- ----- ------ 1-A-1 55265KPU7 AAA 2-A-6 55265KQA0 AAA 2-A-8 55265KQC6 AAA 2-A-11 55265KQF9 AAA 2-A-12 55265KQG7 AAA 2-A-13 55265KQH5 AAA 2-A-14 55265KQJ1 AAA 2-A-15 55265KQK8 AAA 2-A-16 55265KQL6 AAA 2-A-17 55265KQM4 AAA 2-A-18 55265KQN2 AAA 2-A-20 55265KQQ5 AAA 3-A-1 55265KQT9 AAA 3-A-2 55265KQU6 AAA 3-A-4 55265KQW2 AAA 3-A-5 55265KQX0 AAA 3-A-6 55265KQY8 AAA 3-A-7 55265KQZ5 AAA PO 55265KRA9 AAA 15-A-X 55265KRB7 AAA 30-A-X 55265KRC5 AAA 15-B-1 55265KRE1 AAA 15-B-2 55265KRF8 AA+ 15-B-3 55265KRG6 A+ 30-B-1 55265KRH4 AAA 30-B-2 55265KRJ0 AA+ 30-B-3 55265KRK7 AA- 15-B-4 55265KPN3 BBB 15-B-5 55265KPP8 BB 30-B-4 55265KPR4 A- 30-B-5 55265KPS2 B+ MASTR Asset Securitization Trust 2003-8 Series 2003-8 Class CUSIP Rating ----- ----- ------ 1-A-1 55265KJ91 AAA 2-A-1 55265KK24 AAA 3-A-1 55265KK32 AAA 3-A-2 55265KK40 AAA 3-A-3 55265KK57 AAA 3-A-4 55265KK65 AAA 3-A-6 55265KK81 AAA 3-A-7 55265KK99 AAA 3-A-8 55265KL23 AAA 3-A-9 55265KL31 AAA 3-A-10 55265KL49 AAA 3-A-11 55265KL56 AAA 3-A-12 55265KL64 AAA 3-A-13 55265KL72 AAA 4-A-1 55265KL80 AAA 4-A-2 55265KL98 AAA 5-A-1 55265KM22 AAA 5-A-2 55265KM30 AAA 6-A-1 55265KM48 AAA 7-A-1 55265KM55 AAA 8-A-1 55265KM63 AAA 15-PO 55265KM71 AAA 30-PO 55265KM89 AAA PP-A-X 55265KM97 AAA 15-A-X 55265KN21 AAA 30-A-X 55265KN39 AAA B-1 55265KN54 AA B-2 55265KN62 A B-3 55265KN70 BBB MASTR Asset Securitization Trust 2004-9 Class CUSIP Rating ----- ----- ------ 1-A-1 57643MFC3 AAA 2-A-1 57643MFD1 AAA 2-A-2 57643MFE9 AAA 2-A-3 57643MFF6 AAA 2-A-4 57643MFG4 AAA 3-A-1 57643MFH2 AAA 3-A-2 57643MFJ8 AAA 3-A-3 57643MFK5 AAA 3-A-4 57643MFL3 AAA 3-A-5 57643MFM1 AAA 3-A-6 57643MFN9 AAA 3-A-7 57643MFP4 AAA 4-A-1 57643MFQ2 AAA 5-A-1 57643MFR0 AAA 6-A-1 57643MFS8 AAA 7-A-1 57643MFT6 AAA PO 57643MFU3 AAA 15-A-X 57643MFV1 AAA 30-A-X 57643MFW9 AAA 8-A-2 57643MGG3 AAA 15-B-1 57643MFZ2 AA 8-B-3 57643MGK4 BBB 30-B-3 57643MGE8 BBB- 15-B-4 57643MGP3 BB 8-B-4 57643MGL2 BB 8-B-5 57643MGM0 B 8-B-1 57643MGH1 AA 15-B-2 57643MGA6 A 8-B-2 57643MGJ7 A 15-B-3 57643MGB4 BBB 15-B-5 57643MGQ1 B Mellon Residential Funding Corp. Series 1998-2 Class CUSIP Rating ----- ----- ------ A-11 585525BM9 AAA A-12 585525BN7 AAA X-1 585525BG2 AAA X-2 585525BH0 AAA Prime Mortgage Trust 2003-1 Series 2003-1 Class CUSIP Rating ----- ----- ------ A-2 74160MAB8 AAA A-3 74160MAC6 AAA A-4 74160MAD4 AAA A-5 74160MAE2 AAA A-7 74160MAG7 AAA A-8 74160MAH5 AAA A-9 74160MAJ1 AAA A-14 74160MAW2 AAA A-15 74160MAX0 AAA B-1 74160MAT9 AA+ B-2 74160MAU6 A+ B-3 74160MAV4 BBB B-4 74160MAY8 BB B-5 74160MAZ5 B PO 74160MAP7 AAA X 74160MAQ5 AAA Prime Mortgage Trust 2004-CL1 Series 2004-CL1 Class CUSIP Rating ----- ----- ------ I-A-1 74160MDK5 AAA I-A-2 74160MDL3 AAA I-A-3 74160MDM1 AAA I-A-4 74160MDN9 AAA I-X 74160MDP4 AAA I-PO 74160MDQ2 AAA II-A-1 74160MDR0 AAA II-A-2 74160MDS8 AAA II-A-3 74160MDT6 AAA II-X 74160MDU3 AAA II-PO 74160MDV1 AAA III-A-1 74160MDW9 AAA Structured Asset Securities Corp. Series 2002-AL1 Class CUSIP Rating ----- ----- ------ A1(B) 86358R9T3 AAA A2(1) 86358RXY8 AAA A2(2) 86358R9V9 AAA A3(1) 86358RXZ5 AAA A3(2) 86358R9X5 AAA A3(3) 86358R9Y2 AAA AIO(1) 86358RYA9 AAA AIO(2) 86358ROA3 AAA AIO(3) 86358ROB2 AAA APO(1) 86358RYB7 AAA APO(2) 86358ROD0 AAA APO(3) 86358ROE9 AAA B1 86358RYC5 AA B2 86358RYD3 A B3 86358RYE1 BBB Structured Asset Securities Corp. Series 2002-21A Class CUSIP Rating ----- ----- ------ 1-A1 86359ABP7 AAA 1-A3 86359ABR3 AAA B1-I 86359ACA9 AA+ B1-I-X 86359ACB7 AA+ B2-I 86359ACG6 AA B2-I-X 86359ACH4 AA 2-A1 86359ABS1 AAA 2-A2 86359ABT9 AAA 4-A1 86359ABW2 AAA 4-A2 86359ABX0 AAA B1-II 86359ACC5 AA+ B2-II 86359ACD3 AA B3 86359ACE1 A+ Structured Mortgage Asset Residential Trust, Series 92-1 Series 1992- 1 Class CUSIP Rating ----- ----- ------ BH 863573FC0 AAA BI 863573FD8 AAA Structured Mortgage Asset Residential Trust, Series 92-5 Series 1992- 5 Class CUSIP Rating ----- ----- ------ BN 863573JG7 AAA BO 863573JK8 AAA BQ 863573JJ1 AAA Wells Fargo Mortgage Backed Securities 2002-18 Trust Series 2002-18 Class CUSIP Rating ----- ----- ------ I-A-1 949784AA0 AAA I-A-16 949784AR3 AAA I-A-17 949784AS1 AAA II-A-4 949784AY8 AAA II-A-5 949784AZ5 AAA II-A-18 949784BN1 AAA II-A-WIO 949784BP6 AAA A-PO 949784BQ4 AAA B-1 949784BR2 AAA B-2 949784BS0 AAA B-3 949784BT8 AA+ Wells Fargo Mortgage Backed Securities 2004-1 Trust Series 2004-1 Class CUSIP Rating ----- ----- ------ A-1 949814AA5 AAA A-2 949814AB3 AAA A-3 949814AC1 AAA A-4 949814AD9 AAA A-5 949814AE7 AAA A-6 949814AF4 AAA A-7 949814AG2 AAA A-8 949814AH0 AAA A-9 949814AJ6 AAA A-10 949814AK3 AAA A-11 949814AL1 AAA A-12 949814AM9 AAA A-13 949814AN7 AAA A-14 949814AP2 AAA A-15 949814AQ0 AAA A-16 949814AR8 AAA A-17 949814AS6 AAA A-18 949814AT4 AAA A-20 949814AV9 AAA A-21 949814AW7 AAA A-22 949814AX5 AAA A-23 949814AY3 AAA A-26 949814BB2 AAA A-27 949814BC0 AAA A-28 949814BD8 AAA A-29 949814BE6 AAA A-30 949814BF3 AAA A-31 949814BG1 AAA A-33 949814BJ5 AAA A-34 949814BK2 AAA A-35 949814BL0 AAA A-36 949814BM8 AAA A-37 949814BN6 AAA A-39 949814BQ9 AAA A-PO 949814BS5 AAA A-WIO 949814CB1 AAA B-1 949814BV8 AA B-2 949814BW6 A B-3 949814BX4 BBB B-4 949814BY2 BB Wells Fargo Mortgage Backed Securities 2004-8 Trust Series 2004-8 Class CUSIP Rating ----- ----- ------ A-1 94980LAA8 AAA A-2 94980LAB6 AAA A-3 94980LAC4 AAA A-4 94980LAD2 AAA A-5 94980LAE0 AAA A-6 94980LAF7 AAA A-PO 94980LAG5 AAA B-1 94980LAJ9 AA B-2 94980LAK6 A B-3 94980LAL4 BBB B-4 94980LAM2 BB * S&P Downgrades Ratings on 244 Classes from 27 RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 244 classes from 27 residential mortgage-backed securities transactions backed by U.S. subprime and Alternative-A mortgage loan collateral issued in 2005, 2006, and 2007. S&P removed 180 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed 114 ratings from these transactions as well as one additional deal and removed 74 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 loss projections for two transactions that have been revised based on a forward-looking default curve are: Original Loss Transaction bal. (mil. $) projection (%) ----------- ------------- -------------- Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA2 447.7 27.30 Accredited Mortgage Loan Trust 2007-1 759.7 21.11 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 assessing rating outcomes. To maintain a 'AAA' rating, S&P consider 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 consider 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 subprime or 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 Accredited Mortgage Loan Trust 2007-1 Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A1 00438QAA2 AAA AAA/Watch Neg A2 00438QAB0 AAA AAA/Watch Neg A3 00438QAC8 AAA AAA/Watch Neg A4 00438QAD6 AAA AAA/Watch Neg M1 00438QAE4 A AA+/Watch Neg M2 00438QAF1 BB AA+/Watch Neg M3 00438QAG9 B+ AA/Watch Neg M4 00438QAH7 B B/Watch Neg Alternative Loan Trust 2006-19CB Series 2006-19CB Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 02147QAA0 BB AAA/Watch Neg A-2 02147QAB8 BB AAA/Watch Neg A-3 02147QAC6 B AAA/Watch Neg A-4 02147QAD4 B AAA/Watch Neg A-5 02147QAE2 BB AAA/Watch Neg A-6 02147QAF9 B AAA/Watch Neg A-7 02147QAG7 B AAA/Watch Neg A-8 02147QAH5 B AAA/Watch Neg A-9 02147QAJ1 B AAA/Watch Neg A-10 02147QAK8 B AAA/Watch Neg A-11 02147QAL6 AAA AAA/Watch Neg A-12 02147QAM4 B AAA/Watch Neg A-13 02147QAN2 B AAA/Watch Neg A-14 02147QAP7 BB AAA/Watch Neg A-15 02147QAQ5 BB AAA/Watch Neg A-16 02147QAR3 BB AAA/Watch Neg A-17 02147QAS1 BB AAA/Watch Neg A-18 02147QAT9 BB AAA/Watch Neg A-19 02147QAU6 B AAA/Watch Neg A-20 02147QAV4 B AAA/Watch Neg A-21 02147QAW2 BB AAA/Watch Neg A-22 02147QAX0 BB AAA/Watch Neg A-23 02147QAY8 B AAA/Watch Neg A-24 02147QAZ5 B AAA/Watch Neg A-25 02147QBA9 B AAA/Watch Neg A-26 02147QBB7 B AAA/Watch Neg A-27 02147QBC5 B AAA/Watch Neg A-28 02147QBD3 B AAA/Watch Neg A-29 02147QBE1 B AAA/Watch Neg A-30 02147QBF8 B AAA/Watch Neg A-32 02147QBH4 B AAA/Watch Neg A-33 02147QBJ0 B AAA/Watch Neg X 02147QBK7 BB AAA PO 02147QBL5 B AAA/Watch Neg A-31 02147QBG6 CCC AA/Watch Neg CHL Mortgage Pass-Through Trust 2006-3 Series 2006-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-2 126694YK8 B AAA/Watch Neg 1-A-3 126694YL6 CCC A/Watch Neg 1-M-1 126694YU6 CC B/Watch Neg 1-M-2 126694YV4 CC CCC 1-M-3 126694YW2 CC CCC 2-A-2 126694YN2 AA- AAA/Watch Neg 2-A-3 126694YP7 B AAA/Watch Neg 2-M-1 126694ZB7 CCC BBB/Watch Neg 3-A-1 126694YQ5 AA AAA 3-A-2 126694YR3 CCC AA/Watch Neg 3-A-3 126694YS1 CCC BB/Watch Neg 3-M-1 126694ZJ0 CC CCC 3-M-2 126694ZK7 CC CCC 3-M-3 126694ZL5 CC CCC 3-M-6 126694ZP6 D CC CIT Mortgage Loan Trust 2007-1 Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 12559QAA0 AAA AAA/Watch Neg 2-A-1 12559QAB8 AAA AAA/Watch Neg 2-A-2 12559QAC6 AAA AAA/Watch Neg 2-A-3 12559QAD4 AAA AAA/Watch Neg 1-M1 12559QAF9 AA+ AA+/Watch Neg 2-M1 12559QAG7 AA+ AA+/Watch Neg 1-M2 12559QAH5 AA AA/Watch Neg 2-M2 12559QAJ1 AA AA/Watch Neg 1-M3 12559QAK8 AA- AA-/Watch Neg 2-M3 12559QAL6 AA- AA-/Watch Neg 1-M4 12559QAM4 A+ A+/Watch Neg 2-M4 12559QAN2 A+ A+/Watch Neg 1-M5 12559QAP7 A A/Watch Neg 2-M5 12559QAQ5 A A/Watch Neg 1-M6 12559QAR3 BBB A-/Watch Neg 2-M6 12559QAS1 BBB A-/Watch Neg B-1 12559QAT9 B BBB+/Watch Neg B-2 12559QAU6 CCC BBB/Watch Neg B-3 12559QAV4 CCC BBB-/Watch Neg Citicorp Residential Mortgage Trust Series 2007-2 Series 2007-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1a 17312HAA7 AAA AAA/Watch Neg A-1b 17312HAT6 AAA AAA/Watch Neg A-2 17312HAB5 AAA AAA/Watch Neg A-3 17312HAC3 AAA AAA/Watch Neg A-4 17312HAD1 AAA AAA/Watch Neg A-5 17312HAE9 AAA AAA/Watch Neg A-6 17312HAF6 AAA AAA/Watch Neg M-1 17312HAG4 AA+ AA+/Watch Neg M-2 17312HAH2 AA AA/Watch Neg M-3 17312HAJ8 AA- AA-/Watch Neg M-4 17312HAK5 A+ A+/Watch Neg M-5 17312HAL3 A A/Watch Neg M-6 17312HAM1 A- A-/Watch Neg M-7 17312HAN9 BBB BBB/Watch Neg M-8 17312HAP4 BBB- BBB-/Watch Neg M-9 17312HAQ2 BB+ BB+/Watch Neg Citigroup Mortgage Loan Trust 2006-HE2 Series 2006-HE2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 17309LAA3 AAA AAA/Watch Neg A2-A 17309LAB1 AAA AAA/Watch Neg 2A-B 17309LAC9 AAA AAA/Watch Neg A2-C 17309LAD7 AAA AAA/Watch Neg A2-D 17309LAE5 AAA AAA/Watch Neg M-1 17309LAF2 AA+ AA+/Watch Neg M-2 17309LAG0 BBB A/Watch Neg M-3 17309LAH8 BB BBB/Watch Neg M-4 17309LAJ4 CCC BB/Watch Neg M-5 17309LAK1 CCC B/Watch Neg M-7 17309LAM7 CC CCC M-8 17309LAN5 CC CCC M-9 17309LAP0 CC CCC M-10 17309LAQ8 CC CCC Deutsche Alt-A Securities Mortgage Loan Trust, Series 2006-OA1 Series 2006-OA1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 25150QAB3 BB AAA/Watch Neg A-3 25150QAC1 CCC BBB/Watch Neg M-1 25150QAD9 CC B/Watch Neg M-2 25150QAE7 CC B-/Watch Neg M-3 25150QAF4 CC CCC M-4 25150QAG2 CC CCC Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA2 Series 2007-OA2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 25150UAA6 AAA AAA/Watch Neg A-2 25150UAB4 B AAA/Watch Neg A-3 25150UAC2 B- AAA/Watch Neg M-1 25150UAD0 CCC AA+/Watch Neg M-2 25150UAE8 CCC AA/Watch Neg M-3 25150UAF5 CC AA-/Watch Neg M-4 25150UAG3 CC A+/Watch Neg M-5 25150UAH1 CC A+/Watch Neg M-6 25150UAJ7 CC A-/Watch Neg M-7 25150UAK4 CC BBB+/Watch Neg M-8 25150UAL2 CC BBB/Watch Neg M-9 25150UAM0 CC BB+/Watch Neg Greenpoint Mortgage Funding Trust 2006-AR2 Series 2006-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-2 39538WGB8 A AA/Watch Neg II-A-2 39538WGD4 A AA/Watch Neg III-A-2 39538WGG7 CCC AAA/Watch Neg III-A-3 39538WGH5 CCC BB/Watch Neg IV-A-2 39538WGK8 CCC AAA/Watch Neg IV-A-3 39538WGL6 CCC BB/Watch Neg M-1 39538WGN2 CC CCC M-2 39538WGP7 CC CCC GreenPoint Mortgage Funding Trust Series 2007-AR2 Series 2007-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 39539LAA9 B AAA/Watch Neg 1-A2A 39539LAB7 BBB- AAA/Watch Neg 1-A2B 39539LAC5 B AAA/Watch Neg 1-A3 39539LAD3 B AAA/Watch Neg 1-A4A 39539LAE1 BB+ AAA 1-A4B 39539LAF8 BB AAA/Watch Neg 1-A4C 39539LAG6 B AAA/Watch Neg 1-M1 39539LAL5 CCC AA+/Watch Neg 1-M2 39539LAM3 CC AA/Watch Neg 2-A2 39539LAJ0 BBB AAA/Watch Neg 2-A3 39539LAK7 B AAA/Watch Neg 2-M1 39539LAV3 CCC AA+/Watch Neg 2-M2 39539LAW1 CCC AA/Watch Neg 2-M3 39539LAX9 CCC AA-/Watch Neg 2-M4 39539LAY7 CCC A+/Watch Neg 2-M5 39539LAZ4 CCC A/Watch Neg 2-M6 39539LBA8 CCC A-/Watch Neg 2-M7 39539LBB6 CC BBB/Watch Neg HarborView Mortgage Loan Trust 2006-14 Series 2006-14 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1A 41162NAA5 CCC BB/Watch Neg 2A-1B 41162NAD9 BB AAA/Watch Neg 2A-1C 41162NAE7 A AAA/Watch Neg 2A-2C 41162NAH0 CCC BB/Watch Neg B-1 41162NAJ6 CC B/Watch Neg B-3 41162NAL1 CC CCC B-4 41162NAM9 CC CCC MASTR Asset Backed Securities Trust 2006-NC3 Series 2006-NC3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 55275RAA0 BB BBB/Watch Neg A-2 55275RAB8 AAA AAA/Watch Neg A-3 55275RAC6 AAA AAA/Watch Neg A-4 55275RAD4 BB AA/Watch Neg A-5 55275RAE2 BB BBB/Watch Neg M-1 55275RAF9 CCC B/Watch Neg M-3 55275RAH5 CC CCC M-4 55275RAJ1 CC CCC M-5 55275RAK8 CC CCC Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4 Series 2007-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 59025CAA8 CCC B/Watch Neg 2-A1 59025CAB6 AAA AAA/Watch Neg 2-A2 59025CAC4 B AA/Watch Neg 2-A3 59025CAD2 CCC B/Watch Neg 2-A4 59025CAE0 CCC B/Watch Neg 1-M2 59025CAH3 CC CCC 2-M2 59025CAJ9 CC CCC 1-M3 59025CAK6 CC CCC 2-M3 59025CAL4 CC CCC M4 59025CAM2 CC CCC M5 59025CAN0 CC CCC M6 59025CAP5 CC CCC B1 59025CAQ3 CC CCC Morgan Stanley ABS Capital I Inc. Trust 2007-HE7 Series 2007-HE7 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 61756YAA1 BB AAA/Watch Neg A-2a 61756YAB9 AAA AAA/Watch Neg A-2b 61756YAC7 A AAA/Watch Neg A-2c 61756YAD5 BB AAA/Watch Neg M-1 61756YAE3 B+ AA+/Watch Neg M-2 61756YAF0 CCC AA/Watch Neg M-3 61756YAG8 CCC A+/Watch Neg M-4 61756YAH6 CCC A/Watch Neg M-5 61756YAJ2 CCC A-/Watch Neg B-1 61756YAK9 CC BBB+/Watch Neg B-2 61756YAL7 CC BBB/Watch Neg B-3 61756YAM5 CC BBB-/Watch Neg Morgan Stanley IXIS Real Estate Capital Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-fpt 61749QAA8 AAA AAA/Watch Neg A-2 61749QAC4 AAA AAA/Watch Neg A-3 61749QAD2 A AAA/Watch Neg A-4 61749QAE0 BB AA/Watch Neg M-1 61749QAF7 CCC B/Watch Neg M-2 61749QAG5 CCC B-/Watch Neg M-3 61749QAH3 CC CCC M-4 61749QAJ9 CC CCC M-5 61749QAK6 D CC New Century Home Equity Loan Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 64352VQP9 AAA AAA/Watch Neg A-2b 64352VQR5 AAA AAA/Watch Neg A-2c 64352VQS3 AAA AAA/Watch Neg M-1 64352VQT1 AA+ AA+/Watch Neg M-2 64352VQU8 BBB BBB/Watch Neg M-3 64352VQV6 BB BB/Watch Neg M-6 64352VQY0 CC CCC M-7 64352VQZ7 CC CCC M-8 64352VRA1 D CCC Option One Mortgage Loan Trust 2006-3 Series 2006-3 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 68389BAN3 CCC B/Watch Neg II-A-1 68389BAA1 AAA AAA/Watch Neg II-A-2 68389BAB9 BBB- AAA/Watch Neg II-A-3 68389BAC7 CCC BB/Watch Neg II-A-4 68389BAP8 CCC B/Watch Neg M-1 68389BAD5 CC CCC M-2 68389BAE3 CC CCC M-3 68389BAF0 CC CCC M-4 68389BAG8 CC CCC RAMP Series 2006-NC3 Trust Series 2006-NC3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 76112B4M9 BBB AAA/Watch Neg A-3 76112B4N7 B AA/Watch Neg M-1 76112B4P2 CCC BBB/Watch Neg M-2 76112B4Q0 CCC B-/Watch Neg RASC Series 2006-KS4 Trust Series 2006-KS4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 75406EAB7 AAA AAA/Watch Neg A-3 75406EAC5 AAA AAA/Watch Neg A-4 75406EAD3 AAA AAA/Watch Neg M-1 75406EAE1 AA+ AA+/Watch Neg M-2 75406EAF8 A AA+/Watch Neg M-3 75406EAG6 BB A/Watch Neg M-4 75406EAH4 B BB/Watch Neg M-5 75406EAJ0 CCC B/Watch Neg M-6 75406EAK7 CC CCC M-7 75406EAL5 CC CCC RASC Series 2007-KS1 Trust Series 2007-KS1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 74924SAA4 AAA AAA/Watch Neg A-2 74924SAB2 AAA AAA/Watch Neg A-3 74924SAC0 AAA AAA/Watch Neg A-4 74924SAD8 AAA AAA/Watch Neg M-1S 74924SAE6 A A+/Watch Neg M-2S 74924SAF3 B BB/Watch Neg M-3S 74924SAG1 CCC B+/Watch Neg M-4 74924SAH9 CCC B/Watch Neg M-6 74924SAK2 CC CCC M-7 74924SAL0 CC CCC RASC Series 2007-KS4 Trust Series 2007-KS4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 74924NAA5 AAA AAA/Watch Neg A-2 74924NAB3 AA AAA/Watch Neg A-3 74924NAC1 BBB+ AA/Watch Neg A-4 74924NAD9 BBB A/Watch Neg M-1S 74924NAE7 B BB/Watch Neg M-2S 74924NAF4 CCC B/Watch Neg M-5 74924NAJ6 CC CCC M-6 74924NAK3 CC CCC M-7 74924NAL1 CC CCC M-8 74924NAM9 CC CCC M-9 74924NAN7 D CCC Saxon Asset Securities Trust 2007-2 Series 2007-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 80556YAA3 B BB/Watch Neg A-2a 80556YAB1 AAA AAA/Watch Neg A-2b 80556YAC9 A AAA/Watch Neg A-2c 80556YAD7 BB- BBB/Watch Neg A-2d 80556YAE5 B BB/Watch Neg M-1 80556YAF2 CCC B/Watch Neg M-2 80556YAG0 CCC B-/Watch Neg M-5 80556YAK1 CC CCC M-6 80556YAL9 CC CCC B-1 80556YAM7 CC CCC Soundview Home Loan Trust 2006-EQ1 Series 2006-EQ1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 83612JAB0 AAA AAA/Watch Neg A-3 83612JAC8 BBB+ AAA/Watch Neg A-4 83612JAD6 BBB- AAA/Watch Neg M-1 83612JAE4 B AA+/Watch Neg M-2 83612JAF1 CCC AA/Watch Neg M-3 83612JAG9 CCC A/Watch Neg M-4 83612JAH7 CCC BBB/Watch Neg M-5 83612JAJ3 CCC BB/Watch Neg M-6 83612JAK0 CCC B/Watch Neg M-7 83612JAL8 CC CCC M-8 83612JAM6 CC CCC M-9 83612JAN4 CC CCC Soundview Home Loan Trust 2006-OPT4 Series 2006-OPT4 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 83611YAA0 A AAA/Watch Neg II-A-2 83611YAC6 AAA AAA/Watch Neg II-A-3 83611YAD4 AA AAA/Watch Neg II-A-4 83611YAE2 A AAA/Watch Neg M-1 83611YAF9 B BBB/Watch Neg M-2 83611YAG7 CCC B/Watch Neg M-4 83611YAJ1 CC CCC Structured Adjustable Rate Mortgage Loan Trust Series 2005-19XS Series 2005 19XS Rating ------ Class CUSIP To From ----- ----- -- ---- 1-AA 863579YS1 AAA AAA/Watch Neg 1-AB 863579ZD3 AAA AAA/Watch Neg 1-A-3 863579YT9 A AAA/Watch Neg M1-I 863579YX0 CCC AA/Watch Neg M2-I 863579YY8 CC A/Watch Neg M3-I 863579YZ5 CC BBB/Watch Neg 2-A3 863579YW2 AAA AAA/Watch Neg Structured Asset Mortgage Investments II Trust 2006-AR6 Series 2006-AR6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-2 86360UAB2 B AAA/Watch Neg 1-A-3 86360UAC0 B+ AAA/Watch Neg I-A-4 86360UAD8 B AAA/Watch Neg 1-A-5 86360UAE6 CCC AA/Watch Neg II-A-2 86360UAG1 B AAA/Watch Neg II-A-3 86360UAH9 CCC AA/Watch Neg B-1 86360UAK2 CC BBB/Watch Neg B-2 86360UAL0 CC B+/Watch Neg B-3 86360UAM8 CC B/Watch Neg B-4 86360UAN6 CC CCC B-5 86360UAP1 CC CCC B-6 86360UAQ9 CC CCC Structured Asset Securities Corporation Mortgage Loan Trust 2006-BC2 Rating ------ Class CUSIP To From ----- ----- -- ---- A1 86361GAA4 CCC BBB/Watch Neg A2 86361GAB2 AAA AAA/Watch Neg A3 86361GAC0 BBB+ AA/Watch Neg A4 86361GAD8 CCC BBB/Watch Neg M1 86361GAE6 CCC B-/Watch Neg M2 86361GAF3 CC CCC M3 86361GAG1 CC CCC Structured Asset Securities Corporation Mortgage Loan Trust 2006-BC3 Rating ------ Class CUSIP To From ----- ----- -- ---- A1 86359PAA8 B BBB/Watch Neg A2 86359PAB6 AAA AAA/Watch Neg A3 86359PAC4 A A/Watch Neg A4 86359PAD2 B BBB/Watch Neg M1 86359PAE0 CCC B/Watch Neg M2 86359PAF7 CC B-/Watch Neg M3 86359PAG5 CC CCC M4 86359PAH3 CC CCC M6 86359PAK6 D CC Ratings Affirmed Accredited Mortgage Loan Trust 2007-1 Series 2007-1 Class CUSIP Rating ----- ----- ------ M5 00438QAJ3 CCC M6 00438QAK0 CCC M7 00438QAL8 CCC M8 00438QAM6 CCC M9 00438QAN4 CCC CHL Mortgage Pass-Through Trust 2006-3 Series 2006-3 Class CUSIP Rating ----- ----- ------ 1-A-1 126694YJ1 AAA 2-A-1 126694YM4 AAA Citigroup Mortgage Loan Trust 2006-HE2 Series 2006-HE2 Class CUSIP Rating ----- ----- ------ M-6 17309LAL9 CCC Deutsche Alt-A Securities Mortgage Loan Trust, Series 2006-OA1 Class CUSIP Rating ----- ----- ------ A-1 25150QAA5 AAA Greenpoint Mortgage Funding Trust 2006-AR2 Series 2006-AR2 Class CUSIP Rating ----- ----- ------ I-A-1 39538WGA0 AAA II-A-1 39538WGC6 AAA II-X 39538WGE2 AAA III-A-1 39538WGF9 AAA IV-A-1 39538WGJ1 AAA IV-X 39538WGM4 AAA GreenPoint Mortgage Funding Trust Series 2007-AR2 Series 2007-AR2 Class CUSIP Rating ----- ----- ------ 1-AP 39539LBD2 AAA 2-A1 39539LAH4 AAA 2-AP 39539LBE0 AAA HarborView Mortgage Loan Trust 2006-14 Series 2006-14 Class CUSIP Rating ----- ----- ------ 2A-1A 41162NAC1 AAA MASTR Asset Backed Securities Trust 2006-NC3 Series 2006-NC3 Class CUSIP Rating ----- ----- ------ M-2 55275RAG7 CCC Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-4 Class CUSIP Rating ----- ----- ------ 1-M1 59025CAF7 CCC 2-M1 59025CAG5 CCC New Century Home Equity Loan Trust 2006-1 Series 2006-1 Class CUSIP Rating ----- ----- ------ M-4 64352VQW4 CCC M-5 64352VQX2 CCC RAMP Series 2006-NC3 Trust Series 2006-NC3 Class CUSIP Rating ----- ----- ------ M-3 76112B4R8 CCC M-4 76112B4S6 CCC M-5 76112B4T4 CCC M-6 76112B4U1 CCC RASC Series 2007-KS1 Trust Series 2007-KS1 Class CUSIP Rating ----- ----- ------ M-5 74924SAJ5 CCC RASC Series 2007-KS4 Trust Series 2007-KS4 Class CUSIP Rating ----- ----- ------ M-3S 74924NAG2 CCC M-4 74924NAH0 CCC Saxon Asset Securities Trust 2007-2 Series 2007-2 Class CUSIP Rating ----- ----- ------ M-3 80556YAH8 CCC M-4 80556YAJ4 CCC Soundview Home Loan Trust 2006-OPT4 Series 2006-OPT4 Class CUSIP Rating ----- ----- ------ M-3 83611YAH5 CCC Structured Adjustable Rate Mortgage Loan Trust Series 2005-19XS Series 2005 19XS Class CUSIP Rating ----- ----- ------ 1-A1 863579YR3 AAA 2-A-1 863579YU6 AAA 2-A2 863579YV4 AAA Structured Asset Mortgage Investments II Trust 2006-AR6 Series 2006-AR6 Class CUSIP Rating ----- ----- ------ I-A-1 86360UAA4 AAA II-A-1 86360UAF3 AAA II-X 86360UAJ5 AAA * S&P Downgrades Ratings on 272 Classes of Certificates to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D' on 272 classes of mortgage pass-through certificates from 266 U.S. subprime residential mortgage-backed securities transactions from various issuers. S&P removed four of the lowered ratings from CreditWatch with negative implications. In addition, 50 other ratings remain on CreditWatch with negative implications and S&P placed two additional ratings on CreditWatch negative (see list). The downgrades reflect S&P's assessment of principal write-downs on the affected classes during recent remittance periods. S&P lowered approximately 97.80% of the ratings on the 272 defaulted classes from the 'CCC' or 'CC' rating categories, and S&P lowered 99.63% of the ratings from other speculative-grade categories. S&P expects to resolve the CreditWatch placements affecting these transactions after S&P completes its reviews of the underlying credit enhancement. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs and adjust the ratings as S&P deem appropriate. * S&P Downgrades Ratings on Classes of Notes by Various Issuers --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes from Merrill Lynch Mortgage Investors Trust Series MLCC 2006-1, 10 classes from Sequoia Mortgage Trust 2007-2, and six classes from Structured Asset Securities Corp. Trust 2005-6. S&P removed 16 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed the ratings on 47 classes from the same transactions and removed 46 of the affirmed ratings from CreditWatch with negative implications. 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. 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 ability to withstand additional credit deterioration. For mortgage pools that are continuing to experience increasing delinquencies, S&P increased its stresses to account for potential increases in monthly losses. In order to maintain a rating higher than 'B', S&P assessed whether, in S&P's view, a class could absorb losses in excess of the base-case loss assumptions S&P assumed in S&P's analysis. For example, generally, S&P assessed whether one class could, in S&P's view, withstand approximately 130% of S&P's base-case loss assumptions in order to maintain a 'BB' rating, while S&P assessed whether a different class could withstand 155% of S&P's base-case loss assumptions to maintain a 'BBB' rating. Each class that has an affirmed 'AAA' rating can, in S&P's view, withstand approximately 235% of S&P's base-case loss assumptions under S&P's analysis. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses at these rating levels. Subordination provides credit support for the affected transactions. The collateral backing these transactions consists of fixed- and adjustable-rate, first-lien, prime jumbo mortgage loans. Standard & Poor's will continue to closely monitor the performance of these transactions and take further ratings actions as S&P consider appropriate. Rating Actions Merrill Lynch Mortgage Investors Trust Series MLCC 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A 59020U4R3 AAA AAA/Watch Neg II-A-1 59020U4S1 AAA AAA/Watch Neg II-A-2 59020U4T9 AAA AAA/Watch Neg M-1 59020U4U6 BB AA/Watch Neg M-2 59020U4V4 CCC BBB/Watch Neg M-3 59020U5A9 CCC B/Watch Neg B-2 59020U4X0 CC CCC Sequoia Mortgage Trust 2007-2 Series 2007-2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 81744LAA2 BB A/Watch Neg 1-A2 81744LAZ7 AAA AAA/Watch Neg 1-A3 81744LBA1 BB A/Watch Neg 1-XA 81744LAC8 AAA AAA/Watch Neg 1-XB 81744LAD6 B BBB/Watch Neg 1-B1 81744LAE4 B BBB/Watch Neg 1-B2 81744LAF1 CCC BB/Watch Neg 1-B3 81744LAG9 CC CCC 2A-A1 81744LAL8 CCC BB/Watch Neg 2B-A1 81744LAN4 CCC BB/Watch Neg 2-B1 81744LAR5 CC CCC 2-B2 81744LAS3 CC CCC Structured Asset Securities Corporation Trust 2005-6 Series 2005-6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 863576BB9 AAA AAA/Watch Neg 1-A2 863576BC7 AAA AAA/Watch Neg 1-A3 863576BD5 AAA AAA/Watch Neg 1-A4 863576BE3 AAA AAA/Watch Neg 2-A1 863576BF0 AAA AAA/Watch Neg 2-A2 863576BG8 AAA AAA/Watch Neg 2-A3 863576BH6 AAA AAA/Watch Neg 2-A4 863576BJ2 AAA AAA/Watch Neg 2-A5 863576BK9 AAA AAA/Watch Neg 2-A6 863576BL7 AAA AAA/Watch Neg 2-A7 863576BM5 AAA AAA/Watch Neg 2-A8 863576BN3 AAA AAA/Watch Neg 2-A9 863576BP8 AAA AAA/Watch Neg 2-A10 863576BQ6 AAA AAA/Watch Neg 2-A12 863576BS2 AAA AAA/Watch Neg 2-A13 863576BT0 AAA AAA/Watch Neg 2-A14 863576BU7 AAA AAA/Watch Neg 2-A15 863576BV5 AAA AAA/Watch Neg 2-A16 863576BW3 AAA AAA/Watch Neg 2-A17 863576BX1 AAA AAA/Watch Neg 2-A18 863576BY9 AAA AAA/Watch Neg 2-A19 863576BZ6 AAA AAA/Watch Neg 2-A20 863576CA0 AAA AAA/Watch Neg 2-A21 863576CB8 AAA AAA/Watch Neg 3-A1 863576CC6 AAA AAA/Watch Neg 3-A2 863576CD4 AAA AAA/Watch Neg 4-A1 863576CE2 AAA AAA/Watch Neg 5A-1 863576CF9 AAA AAA/Watch Neg 5A-2 863576CG7 AAA AAA/Watch Neg 5A-3 863576CH5 AAA AAA/Watch Neg 5A-4 863576CJ1 AAA AAA/Watch Neg 5A-5 863576CK8 AAA AAA/Watch Neg 5A-6 863576CL6 AAA AAA/Watch Neg 5A-7 863576CM4 AAA AAA/Watch Neg 5A-8 863576CN2 AAA AAA/Watch Neg 5A-9 863576CP7 AAA AAA/Watch Neg 5A-10 863576CQ5 AAA AAA/Watch Neg 5A-11 863576CR3 AAA AAA/Watch Neg AP 863576CS1 AAA AAA/Watch Neg AX 863576CT9 AAA AAA/Watch Neg PAX 863576CU6 AAA AAA/Watch Neg B1 863576CV4 BBB AA/Watch Neg B2 863576CW2 B A/Watch Neg B3 863576CX0 CCC BBB/Watch Neg B4 863576CY8 CCC BBB-/Watch Neg B5 86359DBC0 CCC BB/Watch Neg B6 86359DBD8 CC B/Watch Neg Ratings Affirmed Merrill Lynch Mortgage Investors Trust Series MLCC 2006-1 Series 2006-1 Class CUSIP Rating ----- ----- ------ B-1 59020U4W2 CCC ********* 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 Beard at 240/629-3300. *** End of Transmission ***