/raid1/www/Hosts/bankrupt/TCR_Public/090510.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, May 10, 2009, Vol. 13, No. 128
Headlines
ABCDS 2006-1: Moody's Downgrades Ratings on Four Classes to 'C'
ABFC 2002-NC1: Moody's Downgrades Ratings on Three Securities
ABN AMRO: S&P Downgrades Rating on $850 Mil. Securities to 'B'
ACAS BUSINESS: Fitch Downgrades Ratings on Two Notes to Low-B
ACAS BUSINESS: Fitch Junks Ratings on 2007-2 Class E Notes
ACAS CLO: Fitch Downgrades Ratings on Class D Notes to 'B'
AEGIS ASSET: Moody's Downgrades Ratings on 30 Securities
AMERICREDIT AUTOMOBILE: S&P Affirms Ratings on 15 Securities
ARTESIA MORTGAGE: Fitch Affirms 'BB+' Rating on Class G Certs.
ATHILON ASSET: Moody's Downgrades Counterparty Rating to 'Ba1'
BANC OF AMERICA: Fitch Cuts Ratings on Three Classes to 'C/RR6'
BANC OF AMERICA: S&P Downgrades Ratings on 51 Classes of Notes
BEAR STEARNS: Fitch Downgrades Ratings on 2005-PWR10 Certs.
BEAR STEARNS: Fitch Affirms 'BB' Rating on Class B 2006-1 Certs.
CAPITAL ONE: S&P Raises Ratings on 2008-1 and 2008-2 Notes
CHALFONT 2007-1: Moody's Cuts Ratings on $50 Mil. Notes to 'C'
CHARTWELL CBO: Moody's Junks Ratings on Two Classes of Notes
CHASE COMMERCIAL: Moody's Affirms Ratings on Three 1998-1 Notes
CHATHAM LIGHT: S&P Downgrades Ratings on Two Classes of Notes
CHEYNE HIGH: S&P Puts Ratings on Notes on Negative CreditWatch
CHL MORTGAGE: Moody's Downgrades Ratings on 227 Tranches
CHRYSLER LLC: Fitch Reports Adverse Effects of Bankruptcy Filing
CIFC FUNDING: Moody's Has Not Taken Rating Actions on 2007-I Notes
CITIGROUP COMMERCIAL: Moody's Downgrades Ratings on 2004-FL1 Notes
COMMERCIAL MORTGAGE: Moody's Affirms Ratings on 11 1999-C1 Notes
CONSECO FUNDING: Moody's Junks Ratings on $75 Mil. Notes
DANIEL WEBSTER: Moody's Puts 'B1' Bond Rating on Watchlist
DVI FINANCIAL: Moody's Downgrades Ratings on 11 Classes of Notes
EATON VANCE: S&P Downgrades Issuer Credit Rating on Notes to 'CC'
FRONTIER LEASING: Moody's Downgrades Ratings on Two Classes
G-STAR 2002-1: S&P Withdraws 'BB-' Rating on Class D Notes
GENERAL GROWTH: DBRS Reviews CMBS Exposure Amid Bankruptcy
GOLDMAN SACHS: Moody's Downgrades Ratings on 56 Securities
GOOD SAMARITAN: Moody's Affirms 'B2' Rating on $76 Mil. Bonds
GSAMP TRUST: Moody's Downgrades Ratings on 32 Tranches
GSRPM MORTGAGE: Moody's Downgrades Ratings on 29 Tranches
JP MORGAN: Moody's Downgrades Ratings on 155 Tranches
LB-UBS COMMERCIAL: Moody's Affirms Ratings on 12 2004-C8 Notes
MARINE MILITARY: Moody's Reviews 'B3' Rating on Revenue Bonds
MARK IV: Moody's Downgrades Probability of Default Ratings to 'D'
MERITAGE MORTGAGE: Moody's Downgrades Ratings on 17 Securities
MINT 2005-1: DBRS Places A, B, C, D and E Notes Under Review
MORGAN STANLEY: Moody's Downgrades Ratings on 2004-7 Notes
MORGAN STANLEY: S&P Reinstates 'B-srp' Rating on Two Classes
NICHOLAS-APPLEGATE CBO: Moody's Downgrades Ratings on Four Classes
ORKNEY RE: S&P Downgrades Senior Debt Rating on A-2 Notes to 'CC'
QUATRO-PMX FUNDING: Moody's Assigns 'Ca' Rating on Funding Notes
PPM AMERICA: Moody's Junks Ratings on Two Classes of Notes
RAAC SP: Moody's Downgrades Ratings on 82 Tranches from 11 Deals
RESTRUCTURED ASSET: Moody's Cuts Ratings on Certs. to 'Caa3'
SECURITY NATIONAL: Moody's Downgrades Ratings on 44 Tranches
SILVER MARLIN: Fitch Junks Ratings on Six Classes of Notes
SITHE/INDEPENDENCE FUNDING: Moody's Confirms 'Ba2' Senior Rating
SOLAR INVESTMENT: Moody's Junks Ratings on Two Classes of Notes
STARLING FINANCE: S&P Raises Ratings on Two Notes from 'CCC-'
STEERS CREDIT-LINKED: Moody's Junks Ratings on $50 Mil. Tranche
STONY HILL: Moody's Junks Ratings on $50 Mil. 2005-1 Notes
STRATA TRUST: Moody's Junks Ratings on $79 Mil. 2006-13 Notes
STRUCTURED ASSET: Moody's Downgrades Ratings 120 Tranches
STRUCTURED ASSET: Moody's Downgrades Ratings on Eight Tranches
STRUCTURED INVESTMENT: Moody's Cuts Ratings on Series 77 to 'Ca'
TIERS BRISBANE: Moody's Pares Ratings on 2007-34 Notes to 'B2'
THORNBURG MORTGAGE: Moody's Downgrades Ratings on 86 Tranches
TRIBUNE LIMITED: Moody's Cuts Ratings on $80 Mil. Notes to 'C'
TRICADIA CDO: Moody's Downgrades Ratings on Three 2004-2 Notes
WACHOVIA BANK: Fitch Downgrades Ratings on 2007-ESH Certificates
WEIRTON MEDICAL: Moody's Cuts Underlying Bond Rating to 'Ba1'
* Fitch Downgrades Ratings on 97 Classes from 32 CDL Transactions
* Fitch Downgrades Ratings on 410 Tranches from 290 CDO Deals
* Moody's Cuts Ratings on 39 Certs. by Six Resecuritized Deals
* S&P Downgrades Ratings on Two Classes from One CFO Transaction
* S&P Takes Rating Actions on Three Market Value CLO Transactions
* S&P Puts Ratings on 18 ABS Transactions on Negative CreditWatch
* S&P Downgrades Ratings on 34 Tranches from Nine Hybrid CDO Deals
* S&P Downgrades Ratings on 36 Tranches from 13 Hybrid CDO Deals
* S&P Downgrades Ratings on 43 Classes from 13 RMBS Transactions
* S&P Downgrades Ratings on 66 Tranches from 15 Hybrid CDO Deals
* S&P Downgrades Ratings on 68 Classes from Four RMBS Transactions
* S&P Downgrades Ratings on 225 Classes from 37 RMBS Transactions
* S&P Withdraws Ratings on 658 Classes of Notes from 23 Cash Flows
*********
ABCDS 2006-1: Moody's Downgrades Ratings on Four Classes to 'C'
---------------------------------------------------------------
Moody's Investors Service downgraded its ratings of these Notes
issued by ABCDS 2006-1, Ltd.:
-- US$200,000,000 Senior Swap Agreement with Royal Bank of
Canada, London Branch (the "Senior Swap"), Downgraded to C;
previously on 12/11/2008 Caa1 Placed Under Review for
Possible Downgrade
-- US$60,000,000 Class A-2 First Priority Senior Secured
Floating Rate Notes Due 2050, Downgraded to C; previously on
5/18/2008 Ca
-- US$51,600,000 Class A-3 Second Priority Senior Secured
Floating Rate Notes Due 2050, Downgraded to C; previously on
5/18/2008 Ca
-- US$48,600,000 Class B Third Priority Senior Secured
Floating Rate Notes Due 2050, Downgraded to C; previously on
5/18/2008 Ca
ABCDS 2006-1, Ltd. is a collateralized debt obligation transaction
with a collateral pool consisting primarily of RMBS assets.
Moody's explained that the rating actions reflect certain updates
and projections and recent rating actions on underlying assets on
these asset classes.
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.
According to the press release, 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. According to the press
release, the anticipated actions will vary by vintage, but based
on average loss projections, it is likely that the vast majority
of mezzanine and subordinate certificates currently rated B or
above would be downgraded to ratings of Caa or below, particularly
for bonds issued in 2006 and 2007. Actions on senior bonds will
differ based on payment priority and protection relative to
projected losses. Given the level of losses currently being
projected, a majority of senior certificates will likely be
downgraded below investment grade. Many are expected to be
downgraded to Caa or below, particularly longer duration bonds
from 2006 and 2007.
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.
ABFC 2002-NC1: Moody's Downgrades Ratings on Three Securities
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of three
securities from one transaction issued by ABFC. These actions are
part of an ongoing review of subprime RMBS transactions.
The rating actions are the result of an analysis of credit
enhancement relative to updated collateral loss projections. The
revised loss projections generally result from deterioration in
collateral performance in recent months. Additionally, most
effected transactions have, at some point, passed performance
triggers and released portions of credit enhancement.
Moody's approach to analyzing seasoned subprime pools i.e. prior
to 2H 2005 takes into account the annualized loss rate from last
12 months and the projected loss rate over next 12 months, and
then translates these measures into lifetime losses based on a
deal's expected remaining life. Recent Losses are calculated by
assessing cumulative losses incurred over the past 12-months as a
percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%,
65% and 90% for loans that are delinquent 60-days, 90+ days, are
in foreclosure, and REO respectively. Moody's then applies deal-
specific severity assumptions, in this case 80%. The results of
these two calculations - Recent Losses and Pipeline Losses - are
weighted to arrive at the lifetime cumulative loss projection.
The complete rating actions:
Issuer: ABFC 2002-NC1 Trust
-- Cl. M-1, Downgraded to A1; previously on 6/17/2005 Upgraded
to Aaa
-- Cl. M-2, Downgraded to Ba3; previously on 6/17/2005 Upgraded
to Aa3
-- Cl. M-3, Downgraded to Ca; previously on 8/23/2007 Downgraded
to Baa3
ABN AMRO: S&P Downgrades Rating on $850 Mil. Securities to 'B'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on ABN AMRO
North America Holding Preferred Capital Repackaging Trust I's $850
million fixed- and floating-rate noncumulative trust securities to
'B' from 'BB-' and placed the rating on CreditWatch with negative
implications.
The rating on the certificates is dependent on the lower of the
ratings assigned to ABN AMRO North America Holding Capital Funding
LLC's I through XIV floating-rate noncumulative perpetual
preferred securities (B/Watch Neg), the underlying securities; and
the rating assigned to ABN AMRO Bank N.V. (A+/Stable/A-1), the
swap counterparty.
The rating actions reflect the lowering of S&P's ratings on the
underlying securities to 'B' from 'BB-' and their placement on
CreditWatch negative.
Bank of America Corp. acquired ABN AMRO North America Holding Co.
in 2007. ABN AMRO North America Holdings Capital Funding LLC I
through XIV are indirect subsidiaries of ABN AMRO North America
Holding Co.
ACAS BUSINESS: Fitch Downgrades Ratings on Two Notes to Low-B
-------------------------------------------------------------
Fitch Ratings downgrades four classes of notes issued by ACAS
Business Loan Trust 2007-1. These rating actions are effective
immediately:
-- $258,926,590 class A to 'AA' from 'AAA'; Stable Outlook;
-- $36,095,289 class B to 'A' from 'AA'; Negative Outlook;
-- $64,971,520 class C to 'BB' from 'A'; Negative Outlook;
-- $36,095,289 class D to 'B' from 'BBB'; Negative Outlook.
The downgrades are the result of negative credit migration and
reduced recovery rate expectations for second lien, junior
secured, and subordinate debt. These rating actions reflect the
first-time application of Fitch's revised Corporate CDO rating
methodology (April 2008), which assumes lower recovery rates for
non-senior debt than Fitch's previous criteria.
Credit deterioration in the portfolio is particularly evidenced by
the recent increase in defaulted obligors, which were reported at
8.9% of the initial collateral balance as of the latest trustee
report dated March 13, 2009. The level of defaults in the
portfolio is significantly outpacing the transaction's ability to
generate and apply excess spread via the additional principal
amount. Upon the occurrence of a defaulted asset, the APA feature
directs part or all of the excess interest otherwise available to
the equity to pay down the senior-most notes in an amount equal to
the aggregate balance of defaulted assets in the portfolio.
Underlying obligors considered 'CCC+' or below represented about
14.5% of the performing portfolio, which contributed to an
increase in the Fitch Weighted Average Rating Factor to 32.7
('B/B-') from 26.2 ('B+/B') at close. The current WARF breaches
the established test level of 30 ('B/B-'). Additionally, the
portfolio of 37 total obligors may present some obligor
concentration risk to the transaction.
In the criteria report 'Global Rating Criteria for Corporate CDOs'
released April 30, 2008, Fitch updated its recovery rate
assumptions for second lien loans, junior secured debt, and
subordinate debt to reflect lower recovery rate prospects for
these junior debt levels. The updated recovery rate assumptions
had a meaningful impact on the analysis of ACAS BLT 2007-1, since
junior and subordinate debt represent over 83% of the total
portfolio. All of these elements have increased the risk profile
of the notes.
Future performance of the transaction is dependent upon additional
defaults, recoveries, and recovery timing. The class B, C and D
notes are all vulnerable to elevated defaults and actual
recoveries that fall below historical levels, hence the Negative
Rating Outlook on these notes.
ACAS BLT 2007-1 is a collateralized debt obligation that closed on
April 24, 2007 and is managed by American Capital Strategies, Ltd.
The transaction's reinvestment period ended in November 2007.
ACAS BLT 2007-1 is secured by a portfolio composed of middle-
market loans, 83.2% of which are either junior secured or
subordinate, and 16.8% of which are senior secured.
The rating of the class A notes addresses the likelihood that
investors will receive full and timely payments of interest, as
per the governing documents, as well as the stated balance of
principal by the legal final maturity date. The ratings of the
classes B, C, and D notes address the likelihood that investors
will receive ultimate and compensating interest payments, as per
the governing documents, as well as the stated balance of
principal by the legal final maturity date.
Fitch reviewed this transaction in accordance with its updated
criteria 'Global Rating Criteria for Corporate CDOs', released on
April 30, 2008. At that time, Fitch noted it would be reviewing
its ratings accordingly to establish consistency for existing and
new transactions. As part of this review, Fitch makes standard
adjustments for any names on Rating Watch Negative or with a
Negative Outlook, reducing such ratings for default analysis
purposes by two notches and one notch, respectively.
Fitch introduced Rating Outlooks for U.S. structured finance in
September 2008 to provide investors with forward-looking analysis
for a structured finance tranche's credit performance. Fitch's
Rating Outlook indicates the likely direction of any rating change
over a one- to two-year period and may be Positive, Negative,
Stable or, occasionally, Evolving. More information is available
in Fitch's Sept. 11, 2008 report 'Introducing Rating Outlooks for
U.S. Structured Finance Bonds'.
ACAS BUSINESS: Fitch Junks Ratings on 2007-2 Class E Notes
----------------------------------------------------------
Fitch Ratings downgrades four classes and affirms one class of
notes issued by ACAS Business Loan Trust 2007-2:
-- $250,085,280 class A notes affirmed at 'AAA'; Stable Outlook;
-- $34,874,179 class B notes downgraded to 'AA-' from 'AA';
Negative Outlook;
-- $58,588,620 class C notes downgraded to 'BB+' from 'A';
Negative Outlook;
-- $29,294,310 class D notes downgraded to 'B+' from 'BBB';
Negative Outlook;
-- $39,524,069 class E notes downgraded to 'CCC' from 'BBB'.
The affirmation reflects the sufficient credit enhancement
available to the class A notes in the form of subordination and
the application of excess spread via the additional principal
amount. Upon the occurrence of a defaulted asset, the APA feature
directs part or all of the excess interest otherwise available to
the equity to pay down the senior-most notes in an amount equal to
the aggregate balance of defaulted assets in the portfolio.
The downgrades of the classes B, C, D and E notes are the result
of negative credit migration and reduced recovery rate
expectations for second lien, junior secured, and subordinate
debt. These rating actions reflect the first-time application of
Fitch's revised Corporate CDO rating methodology (April 2008),
which assumes lower recovery rates for non-senior debt than
Fitch's previous criteria.
Credit deterioration in the portfolio is particularly evidenced by
the recent increase in defaulted obligors, which were reported at
5.9% of the initial collateral balance as of the latest monthly
report from February 2009. Underlying obligors considered 'CCC+'
or below represented about 10.4% of the performing portfolio,
which contributed to an increase in the Fitch Weighted Average
Rating Factor to 33.2 ('B/B-') from 25 ('B+/B') at close. The
current WARF breaches the established test level of 30 ('B/B-').
Additionally, the portfolio of 41 total obligors may present some
obligor concentration risk to the transaction.
In the criteria report 'Global Rating Criteria for Corporate CDOs'
released April 30, 2008, Fitch updated its recovery rate
assumptions for second lien loans, junior secured debt, and
subordinate debt to reflect lower recovery rate prospects for
these junior debt levels. The updated recovery rate assumptions
had a meaningful impact on the analysis of ACAS BLT 2007-2, since
junior and subordinate debt represent approximately 70% of the
total portfolio. All of these elements, in addition to the
obligor risk in the portfolio, have increased the risk profile of
the classes B, C, D, and E notes.
Future performance of the transaction is dependent upon additional
defaults, recoveries, and recovery timing. The classes B, C, and
D notes are all vulnerable to elevated defaults and actual
recoveries that fall below historical levels, hence the Negative
Rating Outlook on these notes.
ACAS BLT 2007-2 is a collateralized debt obligation that closed on
Aug. 7, 2007 and is managed by American Capital Strategies, Ltd.
The transaction's reinvestment period ended in February 2008.
ACAS BLT 2007-2 is secured by a portfolio composed of middle-
market loans, 70% of which are either junior secured or
subordinate and 30% of which are senior secured.
The rating of the class A notes addresses the likelihood that
investors will receive full and timely payments of interest, as
per the governing documents, as well as the stated balance of
principal by the legal final maturity date. The ratings of the
classes B, C, and D notes address the likelihood that investors
will receive ultimate and compensating interest payments, as per
the governing documents, as well as the stated balance of
principal by the legal final maturity date. The rating of the
class E notes addresses the likelihood that investors will receive
the stated balance of principal by the legal final maturity date.
Fitch reviewed this transaction in accordance with its updated
criteria 'Global Rating Criteria for Corporate CDOs', released on
April 30, 2008. At that time, Fitch noted it would be reviewing
its ratings accordingly to establish consistency for existing and
new transactions. As part of this review, Fitch makes standard
adjustments for any names on Rating Watch Negative or with a
Negative Outlook, reducing such ratings for default analysis
purposes by two notches and one notch, respectively.
Fitch introduced Rating Outlooks for U.S. structured finance in
September 2008 to provide investors with forward-looking analysis
for a structured finance tranche's credit performance. Fitch's
Rating Outlook indicates the likely direction of any rating change
over a one- to two-year period and may be Positive, Negative,
Stable or, occasionally, Evolving. More information is available
in Fitch's Sept. 11, 2008 report 'Introducing Rating Outlooks for
U.S. Structured Finance Bonds'.
ACAS CLO: Fitch Downgrades Ratings on Class D Notes to 'B'
----------------------------------------------------------
Fitch Ratings downgrades one and affirms six classes of notes
issued by ACAS CLO 2007-1 Ltd./Corp. These rating actions are
effective immediately:
-- $110,750,000 class A-1 notes affirmed at 'AAA', Outlook
Stable;
-- $135,000,000 class A-1-S notes affirmed at 'AAA', Outlook
Stable;
-- $33,750,000 class A-1-J notes affirmed at 'AAA', Outlook
Stable;
-- $25,000,000 class A-2 notes affirmed at 'AA', Outlook Stable;
-- $22,000,000 class B notes affirmed at 'A', Outlook Stable;
-- $21,000,000 class C notes affirmed at 'BBB', Outlook
Negative;
-- $15,500,000 class D notes downgraded to 'B' from 'BB',
Outlook Negative.
The affirmations reflect the available credit enhancement
remaining consistent with the current ratings, even with higher
default assumptions and lower expected recoveries than at close.
The changes to Fitch's assumptions reflect the application of its
revised Corporate CDO criteria, which was released in April 2008.
Additional credit support is provided by excess spread and
subordination. As of the April 8, 2009 trustee report, all
coverage tests continued to pass, and the weighted average rating
factor of the underlying portfolio was considered 'B'.
The downgrade of the class D notes is the result of decreased
credit enhancement levels due to recent defaults and negative
credit migration that have occurred in the portfolio since close.
Approximately 10.3% of the portfolio was considered 'CCC+' or
lower by Fitch. In addition, 3.7% of the aggregate principal
balance of the portfolio defaulted in the fourth quarter of 2008
(4Q'08) and the 1Q'09. These factors, in combination with Fitch's
increased default expectations and decreased recovery expectations
on future defaulted collateral assets as per Fitch's revised
Corporate CDO criteria, no longer support the current rating on
the class D notes. Additionally, higher defaults may impair
credit enhancement levels further if principal proceeds are used
to pay any interest shortfalls caused by decreased interest
income.
With these actions, Fitch assigns a Negative Outlook to the class
C and class D notes. Although the credit enhancement available to
the class C notes is consistent with the current rating and
default assumptions, the class C notes may be sensitive to actual
recovery rates and timing on defaulted assets. Likewise, the
class D notes would be the most susceptible to lower than expected
and/or a lag in recoveries.
ACAS CLO 2007-1 is a managed cash flow CLO (collateralized loan
obligation) that closed April 26, 2007, with a portfolio primarily
invested in senior secured loans. As of the April trustee report,
92.1% of the loan assets were comprised of senior secured loans.
The portfolio is invested in broadly syndicated and middle market
loans. Approximately 33.6% of the loan assets were shadow-rated
by Fitch. The issuer's seven-year reinvestment period is
scheduled to end on April 20, 2014. During the reinvestment
period, there is a reinvestment over collateralization test
(trigger of 104.2%) that, if breached, will divert up to 50% of
remaining interest proceeds to invest in additional collateral,
allowing credit enhancement to build for the notes. The
transaction also maintains credit enhancement levels with
traditional OC and interest coverage tests on each class of notes.
In addition, the principal waterfall is designed to maintain the
coverage tests before any principal is used to pay interest
shortfalls on the class B notes and the notes subordinate to them.
The ratings of the class A-1, A-1-S, A-1-J, and A-2 notes
(collectively the class A notes) and the class B notes address the
likelihood that investors will receive full and timely payments of
interest, as per the governing documents, as well as the stated
balance of principal by the legal final maturity date. The
ratings of the class C and D notes address the likelihood that
investors will receive ultimate and compensating interest
payments, as per the governing documents, as well as the stated
balance of principal by the legal final maturity date.
Fitch reviewed this transaction in accordance with its updated
criteria, 'Global Rating Criteria for Corporate CDOs', released on
April 30, 2008 for corporate CDOs. At that time, Fitch noted it
would be reviewing its ratings accordingly to establish
consistency for existing and new transactions. As part of this
review, Fitch makes standard adjustments for any names on Rating
Watch Negative or with a Negative Outlook, reducing such ratings
for default analysis purposes by two notches and one notch,
respectively.
Fitch introduced Rating Outlooks for U.S. structured finance in
September 2008 to provide investors with forward-looking analysis
for a structured finance tranche's credit performance. Fitch's
Rating Outlook indicates the likely direction of any rating change
over a one- to two-year period and may be Positive, Negative,
Stable or, occasionally, Evolving. More information is available
in Fitch's Sept. 11, 2008 report 'Introducing Rating Outlooks for
U.S. Structured Finance Bonds'.
AEGIS ASSET: Moody's Downgrades Ratings on 30 Securities
--------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 30
securities from eight transactions issued by Aegis. These actions
are part of an ongoing review of subprime RMBS transactions.
The rating actions are the result of an analysis of credit
enhancement relative to updated collateral loss projections. The
revised loss projections generally result from deterioration in
collateral performance in recent months. Additionally, most
effected transactions have, at some point, passed performance
triggers and released portions of credit enhancement.
Moody's approach to analyzing seasoned subprime pools i.e. prior
to 2H 2005 takes into account the annualized loss rate from last
12 months and the projected loss rate over next 12 months, and
then translates these measures into lifetime losses based on a
deal's expected remaining life. Recent Losses are calculated by
assessing cumulative losses incurred over the past 12-months as a
percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%,
65% and 90% for loans that are delinquent 60-days, 90+ days, are
in foreclosure, and REO respectively. Moody's then applies deal-
specific severity assumptions, in this case ranging from 55% to
80%. The results of these two calculations - Recent Losses and
Pipeline Losses - are weighted to arrive at the lifetime
cumulative loss projection.
The complete rating actions:
Aegis Asset Backed Securities Trust 2003-1
-- Cl. M1, Downgraded to Baa3; previously on 1/16/2008
Downgraded to A3
-- Cl. M2, Downgraded to Ca; previously on 1/16/2008 Downgraded
to B3
Aegis Asset Backed Securities Trust 2003-2
-- Cl. M-2, Downgraded to Ba1; previously on 1/16/2008
Downgraded to Baa3
-- Cl. B, Downgraded to Ca; previously on 1/16/2008 Downgraded
to Caa2
Aegis Asset Backed Securities Trust 2003-3
-- Cl. B, Downgraded to C; previously on 12/13/2007 Downgraded
to Caa1
Aegis Asset Backed Securities Trust 2004-1
-- Cl. M2, Downgraded to Baa1; previously on 4/29/2004 Assigned
A2
-- Cl. M3, Downgraded to Baa3; previously on 12/3/2007
Downgraded to Baa2
-- Cl. B1, Downgraded to B1; previously on 12/3/2007 Downgraded
to Ba2
-- Cl. B2, Downgraded to C; previously on 12/3/2007 Downgraded
to B3
-- Cl. B3, Downgraded to C; previously on 12/3/2007 Downgraded
to Caa1
Aegis Asset Backed Securities Trust 2004-2
-- Cl. M2, Downgraded to Ba3; previously on 5/10/2004 Assigned
A2
-- Cl. M3, Downgraded to Ca; previously on 12/3/2007 Downgraded
to Baa2
-- Cl. B1, Downgraded to C; previously on 12/3/2007 Downgraded
to Ba1
-- Cl. B2, Downgraded to C; previously on 12/3/2007 Downgraded
to B1
-- Cl. B3, Downgraded to C; previously on 12/3/2007 Downgraded
to Caa1
Aegis Asset Backed Securities Trust 2004-3
-- Cl. M2, Downgraded to Baa3; previously on 8/23/2004 Assigned
A2
-- Cl. M3, Downgraded to Ba2; previously on 12/3/2007 Downgraded
to Baa2
-- Cl. B1, Downgraded to Ca; previously on 12/3/2007 Downgraded
to Ba1
-- Cl. B2, Downgraded to C; previously on 12/3/2007 Downgraded
to B1
-- Cl. B3, Downgraded to C; previously on 12/3/2007 Downgraded
to B3
Aegis Asset Backed Securities Trust 2004-4
-- Cl. M2, Downgraded to Baa1; previously on 9/27/2004 Assigned
A2
-- Cl. M3, Downgraded to Baa2; previously on 9/27/2004 Assigned
A3
-- Cl. B1, Downgraded to Baa3; previously on 9/27/2004 Assigned
Baa1
-- Cl. B2, Downgraded to Ba1; previously on 9/27/2004 Assigned
Baa2
-- Cl. B3, Downgraded to B2; previously on 9/27/2004 Assigned
Baa3
Aegis Asset Backed Securities Trust 2004-6
-- Cl. M2, Downgraded to Baa3; previously on 3/7/2005 Assigned
A2
-- Cl. M3, Downgraded to B3; previously on 3/7/2005 Assigned A3
-- Cl. B1, Downgraded to C; previously on 3/7/2005 Assigned Baa1
-- Cl. B2, Downgraded to C; previously on 12/3/2007 Downgraded
to Ba1
-- Cl. B3, Downgraded to C; previously on 12/3/2007 Downgraded
to Ba2
AMERICREDIT AUTOMOBILE: S&P Affirms Ratings on 15 Securities
------------------------------------------------------------
Standard & Poor's Ratings Services raised and affirmed various
ratings on 15 AmeriCredit Automobile Receivables Trust asset-
backed securities transactions and affirmed its ratings on two
AmeriCredit Prime Automobile Receivables Trust ABS transactions
issued between 2004 and 2008.
The upgrades and affirmations reflect growth in credit enhancement
in the structures as a percentage of the current pool balances.
Of these 17 transactions, 15 were subprime originations and two
were nonprime originations. All transactions have credit
enhancement in the form of a spread account, over
collateralization, and excess spread, and all but series 2005-1,
2006-1, and 2007-1 have support from a monoline insurer.
Collateral performance for most of the securitizations, beginning
with series 2005-D-A, has deviated negatively from S&P's initial
expectations. In S&P's opinion, increased default frequencies,
elevated delinquencies, and higher loss severities have led to net
losses which exceed S&P's original expectations. As a result, S&P
has revised S&P's loss assumptions for most of these transactions.
Table 1
Collateral Performance (%)
Initial Revised
Pool Current 60-plus day lifetime lifetime
Series Mo. factor CNL delinq. CNL(i) exp. CNL exp.
------ --- ------ ------- ----------- ----------- --------
2004-DF 53 7.89 9.97 2.96 12.00-14.00 10.00-10.50
2005-AX 50 9.79 10.31 3.35 12.00-14.00 10.00-11.00
2005-1 48 11.56 10.64 3.44 13.00-14.00 10.50-11.00
2005-BM 46 14.35 10.91 3.16 13.00-14.00 11.00-12.00
2005-CF 43 17.20 12.27 2.83 13.00-14.00 13.00-14.00
2005-DA 41 20.42 12.35 2.91 12.00-13.00 13.00-14.00
2006-1 37 23.68 12.41 2.78 12.00-13.00 14.00-15.00
2006-RM 35 43.26 12.06 2.60 12.00-13.00 14.00-15.00
2006-AF 33 31.32 12.51 2.49 12.00-13.00 15.00-16.00
2006-BG 31 36.26 12.30 2.39 12.00-13.00 15.00-16.00
2007-AX 27 41.70 11.37 2.46 12.00-13.00 15.00-16.00
2007-BF 24 48.14 10.08 2.27 12.00-13.00 15.00-16.00
2007-CM 21 54.75 9.28 2.14 12.00-13.00 16.00-17.00
2007-DF 19 59.78 8.63 2.65 12.00-13.00 15.00-16.00
2007-1 22 47.21 4.12 0.93 3.00-4.00 7.00-8.00
2007-2M 18 59.64 5.17 1.55 4.00-5.00 9.00-10.00
2008-AF 11 76.99 4.92 1.64 13.00-14.00 16.00-17.00
(i) CNL--cumulative net loss.
Although S&P has increased its loss expectations for most of these
transactions, S&P is affirming or raising the outstanding ratings as a
result of an increase in credit support as a percent of the amortizing
pool balances due to the benefits of deleveraging. The increase in
credit support has enabled the transactions to maintain or exceed the
requisite multiple of loss coverage despite S&P's increased loss
expectations for most of the outstanding pools.
Table 2
Hard Credit Support
Current
Total hard total hard
Pool credit support credit support(i)
Series Class factor(%) at issuance(i) (% of current)
------ ----- --------- -------------- -----------------
2004-DF A 7.89 9.50 37.34
2005-AX A 9.79 9.50 33.43
2005-1 C 11.56 21.00 47.30
2005-1 D 11.56 14.25 47.30
2005-BM A 14.35 9.50 28.94
2005-CF A 17.20 9.50 25.13
2005-DA A 20.42 9.50 22.80
2006-1 B 23.68 26.50 86.22
2006-1 C 23.68 18.50 52.44
2006-1 D 23.68 13.50 31.33
2006-RM A 31.18 9.50 14.11
2006-AF A 31.32 9.50 18.88
2006-BG A 36.26 9.50 17.52
2007-AX A 41.70 9.00 15.80
2007-BF A 48.14 9.00 15.15
2007-CM A 54.75 9.00 14.65
2007-DF A 59.78 9.00 14.35
2007-1 A 47.21 14.25 31.38
2007-1 B 47.21 10.75 23.96
2007-1 C 47.21 7.50 17.08
2007-1 D 47.21 4.00 9.66
2007-1 E 47.21 1.50 4.75
2007-2M A 59.64 3.50 12.97
2008-AF A 76.99 20.50 25.10
(i) Consists of a spread account and overcollateralization, as
well as subordination for the higher-rated tranches, and
excludes excess spread that can also provide additional
enhancement (as of the April 2009 distribution period).
Standard & Poor's expects the remaining credit support to be
sufficient to support the notes at the raised and affirmed rating
levels. Under S&P's criteria, the issue credit rating on a fully
credit-enhanced bond issue is the higher of two ratings: the
rating on the credit enhancer, or Standard & Poor's underlying
rating on the class. A SPUR reflects S&P's opinion of the stand-
alone creditworthiness of a transaction--that is, its capacity to
pay debt service on a debt issue in accordance with its terms--
without considering an otherwise applicable bond insurance policy.
Long-Term Ratings And Spurs Raised
AmeriCredit Automobile Receivables Trust
Long-term rating SPUR
Series Class To From To From
------ ----- -- ---- -- ----
2005-A-X A-4 AAA AA- AAA AA-
2005-B-M A-4 AAA A+ AAA A+
2005-D-A A-3 AAA A AAA BBB
2005-D-A A-4 AAA A AAA BBB
2006-1 B AAA AA N/A N/A
2006-1 C AAA A N/A N/A
2006-1 D AAA BBB+ N/A N/A
2006-R-M A-2 A BBB+ A BBB
2006-R-M A-3 A BBB+ A BBB
Long-Term Rating Affirmed; Spur Raised
AmeriCredit Automobile Receivables Trust
Long-term SPUR
Series Class rating To From
------ ----- ------ -- ----
2005-C-F A-4 AAA AAA BBB
Long-Term Ratings And Spurs Affirmed
AmeriCredit Automobile Receivables Trust
Series Class Long-term rating SPUR
------ ----- ---------------- ----
2004-D-F A-4 AAA AAA
2005-1 C AAA N/A
2005-1 D AAA N/A
2006-A-F A-3 AAA BBB
2006-A-F A-4 AAA BBB
2006-B-G A-3 BBB BBB
2006-B-G A-4 BBB BBB
2007-A-X A-3 BBB BBB
2007-A-X A-4 BBB BBB
2007-B-F A-3 AAA BBB
2007-B-F A-4 AAA BBB
2007-C-M A-3 BBB+ BBB
2007-C-M A-4 BBB+ BBB
2007-D-F A-3 AAA BBB
2007-D-F A-4 AAA BBB
2008-A-F A-2 AAA A-
2008-A-F A-3 AAA A-
2008-A-F A-4 AAA A-
AmeriCredit Prime Automobile Receivables Trust
Series Class Long-term rating SPUR
------ ----- ---------------- ----
2007-1 A AAA N/A
2007-1 B AA N/A
2007-1 C A N/A
2007-1 D BBB+ N/A
2007-1 E BB N/A
2007-2-M A-2 BBB BBB
2007-2-M A-3 BBB BBB
2007-2M A-4 BBB BBB
ARTESIA MORTGAGE: Fitch Affirms 'BB+' Rating on Class G Certs.
--------------------------------------------------------------
Fitch Ratings affirms Artesia Mortgage CMBS, Inc.'s commercial
mortgage pass-through certificates, series 1998-C1:
-- Interest-only class X at 'AAA'; Outlook Stable;
-- $5.0 million class F at 'AAA'; Outlook Stable;
-- $5.6 million class G at 'BB+'; Outlook Positive.
Fitch does not rate the $4.8 million class NR.
Classes A-1, A-2, B, C, D, and E are paid in full.
Although additional paydown has resulted in increased credit
enhancement since Fitch's last rating action, increasing deal
concentration, adverse selection, and upcoming maturities in 2010
warrant rating affirmations. 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 was reduced 92% to $15.4 million from $187
million at issuance.
The pool has become more concentrated with only 32 small balance
loans remaining with an average loan size of $481,621. Out of the
remaining loans, 17% are scheduled to mature in 2010, and the
weighted average coupon for these loans is 7.93%. There are
currently no specially serviced loans in the transaction.
Eight loans (20%) are considered Fitch Loans of Concern due to
declines in DSCR, occupancy, and upcoming lease expirations
including the fourth largest loan (5.3%) in the transaction. The
loan is secured by an industrial/warehouse property located in
South Hackensack, New Jersey. The property is 100% owner occupied
and the borrower pays rent according to the profitability of the
business. The master servicer is monitoring the loan for
delinquency.
The second largest loan of concern is secured by an office
building located in Tukwila, Washington. The property has
suffered declines in occupancy since 2007 as a result of tenant
vacancies upon lease expiration as well as tenant's downsizing
their existing space. The borrower continues to actively market
the vacant space. The property is currently 72% occupied.
ATHILON ASSET: Moody's Downgrades Counterparty Rating to 'Ba1'
--------------------------------------------------------------
Moody's Investors Service downgraded the counterparty rating of
Athilon Asset Acceptance Corp. and the counterparty and senior
debt ratings of Athilon Capital Corp.:
Athilon Asset Acceptance Corp.
-- Current Counterparty Rating: Ba1
-- Prior Counterparty Rating: Baa1
-- Prior Rating Action: Downgraded from Aaa on review for
possible downgrade to Baa1 on December 18, 2008
Athilon Capital Corp.
-- Current Counterparty Rating: Ba1
-- Prior Counterparty Rating: Baa1
-- Prior Rating Action: Downgraded from Aaa on review for
possible downgrade to Baa1 on December 18, 2008
Athilon Capital Corp.
-- US$62,500,000 Senior Subordinated Deferrable Interest Notes-
Series A
-- Current Rating: Caa2
-- Prior Counterparty Rating: B3
-- Prior Rating Action: Downgraded from B1 on review for
possible downgrade to B3 on December 18, 2008
Athilon Capital Corp.
-- US$62,500,000 Senior Subordinated Deferrable Interest Notes-
Series B
-- Current Rating: Caa2
-- Prior Counterparty Rating: B3
-- Prior Rating Action: Downgraded from B1 on review for
possible downgrade to B3 on December 18, 2008
Athilon Capital Corp.
-- US$62,500,000 Senior Subordinated Deferrable Interest Notes-
Series C
-- Current Rating: Caa2
-- Prior Counterparty Rating: B3
-- Prior Rating Action: Downgraded from B1 on review for
possible downgrade to B3 on December 18, 2008
Athilon Capital Corp.
-- US$62,500,000 Senior Subordinated Deferrable Interest Notes-
Series D
-- Current Rating: Caa2
-- Prior Counterparty Rating: B3
-- Prior Rating Action: Downgraded from B1 on review for
possible downgrade to B3 on December 18, 2008
Athilon Capital Corp.
-- US$100,000,000 Senior Subordinated Deferrable Interest
Notes, Series E
-- Current Rating: Caa2
-- Prior Counterparty Rating: B3
-- Prior Rating Action: Downgraded from B1 on review for
possible downgrade to B3 on December 18, 2008
Moody's explained that the key driver behind the downgrades was
the application of revised and updated key modeling parameter
assumptions that Moody's uses to rate and monitor ratings of
corporate synthetic collateralized debt obligations and credit
derivative product companies. The revisions in modeling
assumptions affect key parameters in Moody's model for rating
CDPCs: default probability, asset correlation, and other credit
indicators such as ratings reviews and outlooks. Moody's
announced the changes to these assumptions in a press release
titled "Moody's Updates its Key Assumptions for Rating Corporate
Synthetic CDOs," published on January 15, 2009. However, as
mentioned in the press release accompanying the Athilon rating
actions of December 18, 2008, the deteriorated credit quality of
an asset-backed collateral debt obligation against which Athilon
has written protection continues to have a major impact on Athilon
ratings. The rating of this ABS CDO was downgraded on February
26, 2009 to Ca from Caa3 on review for possible downgrade.
BANC OF AMERICA: Fitch Cuts Ratings on Three Classes to 'C/RR6'
---------------------------------------------------------------
Fitch Ratings has taken these rating actions on Banc of America
Funding Corp. certificates. The classes represent a beneficial
ownership interest in separate trust funds, which include bonds
that have been downgraded.
Banc of America Funding 2006-R1 Trust
-- Class A-1 withdrawn;
-- Class A-2 withdrawn;
-- Class A-3 withdrawn;
-- Class B-1 downgraded to 'C/RR6' from 'CCC/DR1';
-- Class B-2 downgraded to 'C/RR6' from 'CC/DR3';
Banc of America Funding 2006-R2 Trust
-- Class A-1 withdrawn;
-- Class A-2 withdrawn;
-- Class B-1 downgraded to 'C/RR6' from 'CC/DR3';
-- Class B-2 affirmed at 'C/RR6'.
The rating actions were taken as part of Fitch's ongoing
surveillance process of existing transactions.
The withdrawal of the ratings on the A classes reflects the
financial guaranties provided by CIFG NA, which is not rated by
Fitch. The actions on the B classes were based on the strength of
the underlying certificates backing each respective deal.
BANC OF AMERICA: S&P Downgrades Ratings on 51 Classes of Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 51
classes from Banc of America Funding 2007-7 Trust and Residential
Asset Securitization Trust 2007-A5. Both transactions are U.S.
Alternative-A residential mortgage-backed securities transactions.
S&P removed 36 of the lowered ratings from CreditWatch with
negative implications.
The downgrades and CreditWatch resolutions incorporate S&P's
current and projected losses based on the dollar amounts of loans
currently in the transactions' delinquency, foreclosure, and real
estate owned pipelines, as well as S&P's projection of future
defaults. S&P also incorporated cumulative losses to date in
S&P's analysis when assessing rating outcomes.
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is not sufficient
to cover losses at the previous rating levels. Although
cumulative losses were, in S&P's view, generally low in comparison
to S&P's projected lifetime losses for the transactions reviewed,
S&P is projecting an increase in losses due to increases in
delinquencies and the current negative condition of the housing
market. Certain senior classes also benefit from senior support
classes that would provide support, to a certain extent, before
any applicable losses could affect the super-senior certificates.
To maintain a 'AAA' rating, S&P considers whether a bond is able
to withstand approximately 150% of S&P's base-case loss
assumptions, subject to individual caps and qualitative factors
assumed on specific transactions. For a class for which we've
affirmed a 'B' rating, S&P considers whether a bond is able to
withstand S&P's base-case loss assumption. Other rating
categories are dispersed, approximately equally, between these two
loss assumptions. For example, to maintain a 'BB' rating on one
class, S&P may consider whether the class is able to withstand
approximately 110% of S&P's base-case loss assumptions, while, in
connection with a different class, S&P may consider whether it is
able to withstand approximately 120% of S&P's base-case loss
assumptions to maintain a 'BBB' rating.
The subordination of more-junior classes within each structure
provides credit support for the affected transactions. The
collateral backing these deals originally consisted predominantly
of Alt-A, first-lien, fixed-rate, adjustable-rate, or negative-
amortization residential mortgage loans secured by one- to four-
family properties.
S&P monitors these transactions to incorporate updated losses and
delinquency pipeline performance to assess whether, in S&P's view,
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P think
appropriate.
Rating Actions
Banc of America Funding 2007-7 Trust
Series 2007-7
Class CUSIP To From
----- ----- -- ----
1-A-1 059529AB3 BB AAA/Watch Neg
1-A-2 059529AC1 B AAA/Watch Neg
1-A-3 059529AD9 BB AAA/Watch Neg
2-A-1 059529AE7 B AAA/Watch Neg
2-A-2 059529AF4 B AAA/Watch Neg
2-A-3 059529AG2 B AAA/Watch Neg
30-IO 059529AZ0 BB AAA
30-PO 059529BA4 B AAA/Watch Neg
C-A-1 059529BB2 B AAA/Watch Neg
X-B-1 059529BC0 CC CCC
X-B-2 059529BD8 CC CCC
X-B-3 059529BE6 CC CCC
X-B-4 059529BN6 CC CCC
3-A-1 059529AH0 BB AAA/Watch Neg
3-A-2 059529AJ6 BB AAA/Watch Neg
3-A-3 059529AK3 B+ AAA/Watch Neg
3-A-4 059529AL1 B AAA/Watch Neg
3-A-5 059529AM9 CCC BBB/Watch Neg
3-A-6 059529AN7 CC B/Watch Neg
3-A-7 059529AP2 B AAA/Watch Neg
3-A-8 059529AQ0 CCC BBB/Watch Neg
3-A-9 059529AR8 CC B/Watch Neg
3-A-10 059529AS6 CC B/Watch Neg
3-A-11 059529AT4 B AAA/Watch Neg
3-A-12 059529AU1 CCC BBB/Watch Neg
3-A-13 059529AV9 CC B/Watch Neg
3-A-14 059529AW7 CCC BBB/Watch Neg
3-A-15 059529AX5 CC B/Watch Neg
3-A-16 059529AY3 CC B/Watch Neg
3-B-1 059529BF3 CC CCC
3-B-2 059529BG1 CC CCC
3-B-3 059529BH9 CC CCC
3-B-4 059529BR7 CC CCC
Residential Asset Securitization Trust 2007-A5
Series 2007-E
Class CUSIP To From
----- ----- -- ----
1-A-1 76114HAA3 CCC B/Watch Neg
1-A-2 76114HAB1 B AAA/Watch Neg
1-A-3 76114HAC9 B AAA/Watch Neg
1-A-4 76114HAD7 B AAA
1-A-5 76114HAE5 B AAA
1-A-6 76114HAF2 B AAA/Watch Neg
1-A-7 76114HAG0 CCC B/Watch Neg
2-A-1 76114HAH8 CCC B/Watch Neg
2-A-2 76114HAJ4 CCC B/Watch Neg
2-A-3 76114HAK1 B- AA/Watch Neg
2-A-4 76114HAL9 CCC B/Watch Neg
2-A-5 76114HAM7 B- AA/Watch Neg
2-A-6 76114HAN5 CCC B/Watch Neg
PO 76114HAP0 CCC B/Watch Neg
A-X 76114HAQ8 B AAA
B-1 76114HAS4 CC CCC
B-2 76114HAT2 CC CCC
B-3 76114HAU9 CC CCC
BEAR STEARNS: Fitch Downgrades Ratings on 2005-PWR10 Certs.
-----------------------------------------------------------
Fitch Ratings downgrades and assigns Rating Outlooks on Bear
Stearns Commercial Mortgage Securities commercial mortgage pass-
through certificates series 2005-PWR10:
-- $36.2 million class K to 'BB+' from 'BBB-'; Outlook Negative;
-- $3.3 million class L to 'BB'; from 'BB+'; Outlook Negative;
-- $9.9 million class M to 'BB-' from 'BB'; Outlook Negative;
-- $13.2 million class N to 'B+' from 'BB-'; Outlook Negative;
-- $6.6 million class O to 'B' from 'B+'; Outlook Negative;
-- $6.6 million class P to 'B-' from 'B'; Outlook Negative.
Additionally, Fitch affirms and assigns Rating Outlooks to these
classes:
-- $49.7million class A-1 at 'AAA'; Outlook Stable;
-- $139.4 million class A-2 at 'AAA'; Outlook Stable;
-- $59.4 million class A-3 at 'AAA'; Outlook Stable;
-- $171 million class A-AB at 'AAA'; Outlook Stable;
-- $1.05 billion class A-4 at 'AAA'; Outlook Stable;
-- $290.2 million class A-1A at 'AAA'; Outlook Stable;
-- $263.4 million class A-M at 'AAA'; Outlook Stable;
-- $210.7 million class A-J at 'AAA'; Outlook Stable;
-- Interest-only class X-1 at 'AAA'; Outlook Stable;
-- Interest-only class X-2 at 'AAA'; Outlook Stable;
-- $19.8 million class B at 'AA+'; Outlook Stable;
-- $29.6 million class C at 'AA'; Outlook Stable;
-- $23 million class D at 'AA-'; Outlook Stable;
-- $16.5 million class E at 'A+'; Outlook Stable;
-- $26.3 million class F at 'A'; Outlook Stable;
-- $26.3 million class G at 'A-'; Outlook Stable;
-- $29.6 million class H at 'BBB+'; Outlook Stable;
-- $26.3 million class J at 'BBB'; Outlook Negative;
-- $9.9 million class Q at 'B-'; Outlook Negative.
Fitch does not rate the $32.9 million class S.
The downgrades and Negative Outlook assignments are due to
expected losses on the two loans currently in special servicing,
as well as an increased concentration of Fitch Loans of Concern.
The affirmations reflect sufficient credit enhancement to the
senior classes. The Rating Outlooks reflect the likely direction
of any rating changes over the next one to two years.
Fitch has identified 28 Loans of Concern (19.4%), including two
loans in special servicing (0.6%) as well as other loans with
deteriorating performance, including two top 10 loans (10.1%).
The largest specially serviced loan is collateralized by Commerce
Crossings Business Center (0.4%), an office property in
Louisville, Kentucky. The loan transferred to special servicing
June 6, 2008 for payment default and shortly after, the borrower
surrendered the property via deed-in-lieu of foreclosure. Losses
are expected.
The second specially serviced loan is collateralized by 220
Remington Boulevard (0.2%), an office property in Bolingbrook,
Illinois. The loan transferred to special servicing in January
2009 as a result of payment default. The subject property lost a
major tenant (84.5% of NRA) and the special servicer is currently
preparing for foreclosure. Losses are expected.
The largest Fitch Loan of Concern is the World Market Center
(8.6%). This loan is collateralized by a furniture mart in Las
Vegas, Nevada. As of Sept. 30, 2008, the property was 91%
occupied and the loan had a DSCR of 0.99 times (x). Performance
has dropped due to increased expenses as well as deteriorating
market conditions. The loan began to amortize in July 2007.
Another Fitch Loan of Concern, and the ninth largest in the deal,
is College Square Mall (1.5%). This loan is collateralized by a
406,908 square foot shopping center in Cedar Falls, Iowa. As of
Sept. 30, 2008, the property was 89% occupied and the loan had a
DSCR of 0.89x. Performance has dropped due to increases in
utility, and repair and maintenance expenses.
As of the April distribution date, the pool's aggregate
certificate balance has decreased 3.2% to $2.549 billion from
$2.634 billion at issuance. In total, six loans (2%) have
defeased since issuance.
Fitch shadow rates these 11 loans (9%): The Promenade; Sully Place
Shopping Center; Muirwood Apartments; Tennant Station; Pacheco
Pass; Sand Canyon Medical; Todd Center; Eastgate Village; Spring
Creek Apartments; Quakertown Shopping Center; and Holiday Spa
Phoenix. With the exception of Pachecho Pass, these loans
maintain their investment grade shadow ratings based on stable
performance and occupancy levels since issuance.
Pacheco Pass (0.6%), a retail center in Gilroy, CA has experienced
a decrease in occupancy from 91.2% to 64.4% as Linens 'n Things
(32%) vacated in third quarter-2008 as a result of the chain's
bankruptcy in early 2008. Effective gross income is expected to
decline even further as property remains 35.7% vacant. This loan
has been downgraded to below investment grade.
BEAR STEARNS: Fitch Affirms 'BB' Rating on Class B 2006-1 Certs.
----------------------------------------------------------------
Fitch Ratings has affirmed and assigned Rating Outlooks to these
Bear Stearns Small Balance Commercial Mortgage Loan Trust
Certificates:
Series 2006-1
-- Class A-IO at 'AAA'; Outlook Stable;
-- Class A at 'AAA'; Outlook Stable;
-- Class M-1 at 'AA', Outlook Stable;
-- Class M-2 at 'A', Outlook Stable;
-- Class M-3 at 'BBB', Outlook Stable;
-- Class M-4 at 'BBB-', Outlook Stable;
-- Class B at 'BB', Outlook Stable.
The rating actions were taken as part of Fitch's ongoing
surveillance process of existing transactions.
Deal Summary
-- 60+ day Delinquency: 5.79%
-- Realized Losses to date (% of Original Balance): 0%
-- Current Pool Factor 70.99%
-- Current Overcollateralization $1,645,581
The original mortgage pool consists of 73 adjustable-rate mortgage
loans secured by senior liens on commercial, multifamily, and
mixed-use properties with an aggregate principal balance of
$107,213,764.05. As of the cut-off date of Nov. 5, 2006, the
mortgage loans had a weighted average combined loan-to-value ratio
of 78.03%, weighted average coupon of 9.560%, weighted average
remaining term of 287 months and an average principal balance of
$1,468,681.70. Property types include hotels and motels (88.58%),
among others with concentrations under 10%. The three largest
state concentrations are Florida (15.74%), California (8.93%), and
Georgia (8.51%).
CAPITAL ONE: S&P Raises Ratings on 2008-1 and 2008-2 Notes
----------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on the class
B, C, and D-1 notes from Capital One Mainstreet Master Note
Trust's series 2008-1 and 2008-2 on CreditWatch with negative
implications.
S&P performed its most recent review of the performance of the
COMMNT receivables as part of S&P's overall review of the credit
card sector, which S&P began in the first quarter of 2009. S&P's
review includes all credit card portfolios underlying outstanding
Standard & Poor's rated asset-backed securities transactions.
The CreditWatch placements reflect an increase in the trust's
charge-off and delinquency rates throughout 2008, a decrease in
total payment rate, and S&P's loss rate forecast for the COMMNT
receivables. S&P increased its loss forecast for COMMNT by about
15%-20%. S&P's forecast is based on, among other factors,
performance trends, collateral characteristics, and S&P's current
baseline and pessimistic economic forecasts that unemployment in
the next 12-18 months could reach 9.7% and 11.7%, respectively.
As of March 2009, the trust's loss rate was higher than the 8.8%
loss rate for the U.S. credit card trusts tracked by Standard &
Poor's Credit Card Quality Index. The rate of increase in losses
for COMMNT has been slightly higher than the rate of increase for
the CCQI over the past eight months. March 2009 losses for COMMNT
increased approximately 48% since August 2008, while losses for
the CCQI increased approximately 36%. Total delinquencies for the
COMMNT are also trending upward, as they have increased
approximately 18% since August 2008.
The trust's total payment rate was lower than the 17.8% total
payment rate for the CCQI as of March 2009. S&P lowered its base-
case total payment rate for the trust by about 10%-15% from S&P's
previous assumptions.
S&P believes the increase in losses and delinquencies and the
decrease in total payment rate for COMMNT are largely due to the
stress in the economy, rather than because of changes in the
composition of the portfolio.
S&P's ratings review focused on the fundamentals of credit
analysis, including both quantitative and qualitative assessments
of the pool's performance and each performance variable, S&P's
opinion of the quality of the collateral, and the
sponsor/servicer's general operations.
Over the course of the next 90 days, Standard & Poor's will
continue its detailed review of the credit performance of the
underlying receivables backing COMMNT, as well as the credit
enhancement available for the classes of notes, which S&P has
placed on CreditWatch, to determine whether rating actions are
warranted. At this time, S&P believes that any downgrades, if
warranted, would not likely exceed one rating category.
Ratings Placed On Creditwatch Negative
Capital One Mainstreet Master Note Trust
Rating
------
Series Class To From
------ ----- -- ----
2008-1 B A/Watch Neg A
2008-1 C BBB/Watch Neg BBB
2008-1 D-1 BB/Watch Neg BB
2008-2 B A/Watch Neg A
2008-2 C BBB/Watch Neg BBB
2008-2 D-1 BB/Watch Neg BB
CHALFONT 2007-1: Moody's Cuts Ratings on $50 Mil. Notes to 'C'
--------------------------------------------------------------
Moody's Investors Service downgraded its rating of this note
issued by Chalfont 2007-1 Segregated Portfolio.
The rating action is:
-- Chalfont 2007-1 Segregated Portfolio US$50,000,000 Floating
Rate Notes Due 2046, Downgraded to C; Previously on
12/11/2008, Downgraded to Caa1 and remains on Review for
Downgrade.
The underlying reference portfolio consists of significant
exposure to RMBS, CMBS and SF CDOs. Moody's explained that the
rating actions reflect certain updates and projections and recent
rating actions on underlying assets on these asset classes.
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.
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.
CHARTWELL CBO: Moody's Junks Ratings on Two Classes of Notes
------------------------------------------------------------
Moody's Investors Service downgraded the ratings of these notes
issued by Chartwell CBO I Limited:
-- US$100,500,000 Class A Floating Rate Notes due 2012,
Downgraded to B3; previously on August 6, 2003 Downgraded to
Aa3;
-- US$12,800,000 Class B Floating Rate Notes due 2012,
Downgraded to C; previously on August 6, 2003 Downgraded to
Ba1;
-- US$12,500,000 Class C Floating Rate Notes due 2012,
Downgraded to C; previously on August 6, 2003 Downgraded to
B3.
According to Moody's, the rating actions taken on the notes are a
result of applying Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The actions also reflect
consideration of credit deterioration of the underlying portfolio.
The revised assumptions that have been applied to all corporate
credits in the underlying portfolio are described in the press
release dated February 4, 2009.
Credit deterioration of the collateral pool is observed in, among
others, a decline in the average credit rating (as measured
through the weighted average rating factor), an increase in the
dollar amount of defaulted securities, an increase in the
proportion of securities from issuers rated Caa1 and below. The
weighted average rating factor of the portfolio has significantly
increased over the last few months and it is currently at 5737
versus a test level of 2750 as of the last trustee report, dated
April 3, 2009. Based on the same trustee report, approximately
55% of the transaction's assets are rated Caa1 or below. Moody's
also assessed the collateral pool's elevated concentration risk in
a small number of industries. This includes a significant
concentration in debt obligations of companies in the banking,
finance, real estate, and insurance industries, which Moody's
views to be more strongly correlated in the current market
environment. These four industries account for approximately 18%
of the transaction's underlying collateral pool, based on the
latest trustee report.
In addition, Class C and Class D notes did not receive their
interest payments on the last payment date in April 2009. This
was due to the failure of the Class B over collateralization test
which caused all excess interest to be diverted towards paying
down the Class A notes. The deal is also failing its Class C and
Class D over collateralization tests. Given the high percentage
of assets rated Caa1 or below and the increased pace of defaults
in the portfolio, Moody's believes it is likely that the
collateral par will continue to erode, causing a potential failure
of the Class A over collateralization test and resulting interest
shortfall on the Class B notes.
Chartwell CBO I Limited, issued in September of 2000, is a
collateralized bond obligation backed primarily by a portfolio of
senior unsecured bonds.
CHASE COMMERCIAL: Moody's Affirms Ratings on Three 1998-1 Notes
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings of three classes
and upgraded three classes of Chase Commercial Mortgage Securities
Corp., Commercial Mortgage Pass-Through Certificates, Series
1998-1. The upgrades are due to overall improved pool performance
and increased subordination due to paydowns and amortization. The
outstanding pool balance has declined 66% since Moody's prior
review in April 2008. The action is the result of Moody's on-
going surveillance of commercial mortgage backed securities
transactions.
As of the April 20, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 90%
to $83.5 million from $817.9 million at securitization. The
Certificates are collateralized by 14 mortgage loans ranging in
size from less than 1% to 14% of the pool, with the 10 largest
loans representing 88% of the pool. The pool includes a credit
tenant lease component which represents 52% of the pool.
There are no loans on the master servicer's watchlist. Two loans
have been liquidated from the pool, resulting in an aggregate
realized loss of approximately $6.3 million. One loan, Pine Tree
Mall ($9.8 million -- 11.8%) is currently in special servicing.
The loan is secured by a 261,700 square foot retail center located
in Marinette, Wisconsin. The center is anchored by Wal-Mart, J.C.
Penney and Younkers and was 87% occupied as of 3/31/2009. The
loan was transferred to special servicing in March 2008 due to
maturity default. The borrower has been unable to refinance the
loan and filed for Chapter 11 bankruptcy protection in February
2009. The loan is current. Moody's is currently estimating a
$2.0 million loss from this loan.
Moody's was provided with full-year and partial-year 2008
operating results for 98% of the pool. Moody's loan to value
ratio for the conduit component is 53% compared to 62% at Moody's
prior full review.
The top three performing conduit loans represent 28% of the
outstanding pool balance. The largest conduit loan is the 299
Broadway Loan ($9.9 million -- 11.8%), which is secured by a
229,800 square foot office building located in New York City. The
property was 90% occupied as of December 2008 compared to 97% at
last review. Moody's LTV is 53% compared to 55% at last review.
The second largest loan is the Columbia Wellness Center Loan ($8.1
million -- 9.7%), which is secured by a 61,000 square foot medical
office building located in Framingham, Massachusetts. The
property is 100% occupied by two tenants, with leases expiring in
2013 (34% of the NRA) and 2020 (66%). Property performance has
been stable. Moody's LTV is 75% compared to 78% at last review.
The third largest loan is the Depotech Corp Building Loan ($5.2
million -- 6.2%), which is secured by a 156,563 square foot retail
building located in San Diego, California. Moody's LTV is 32%
compared to 34% at last review and 73% at securitization.
The CTL component includes seven loans secured by properties
leased to three tenants under bondable leases. The tenants are
Brinker International, Inc. ($26.0 million; Moody's senior
unsecured rating Ba2, stable outlook), Star Market ($9.1 million;
an affiliate of Supervalu, Inc. which has a Moody's senior
unsecured rating Ba3 stable outlook), and H.E. Butt Grocery Stores
($8.6 million).
Moody's rating action is:
-- Class X, Notional, affirmed at Aaa; previously affirmed at
Aaa on 4/17/2008
-- Class E, $7,776,979, affirmed at Aaa; previously upgraded to
Aaa from Aa1 on 4/17/2008
-- Class F, $36,804,365, upgraded to Aaa from A1; previously
upgraded to A1 from Baa1 on 4/17/2008
-- Class G, $8,178,748, upgraded to A1 from Baa1; previously
upgraded to Baa1 from Baa3 on 4/17/2008
-- Class H, $18,402,183, upgraded to Ba3 from B2; previously
affirmed at B2 on 4/17/2008
-- Class I, $4,089,374, affirmed at Caa2; previously downgraded
to Caa2 from Caa1 on 4/17/2008
CHATHAM LIGHT: S&P Downgrades Ratings on Two Classes of Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class Def C-1 and Def C-2 notes issued by Chatham Light CLO Ltd.,
a hybrid transaction that combines elements of cash and synthetic
collateralized debt obligations managed by Sankaty Advisors LLC.
The ratings on the class Def C-1 and Def C-2 notes remain on
CreditWatch, where they were originally placed with negative
implications on Dec. 5, 2008. At the same time, S&P affirmed the
ratings on the class A-1, A-2, and Def B notes.
The downgrades resulted from deterioration in the credit quality
of the underlying collateral in the portfolio over the past six
months, in addition to an increase in the amount of defaulted
securities. As of April 6, 2009, Standard & Poor's CDO asset
database indicated that 12.82% ($64.7 million) of the assets the
transaction held were rated in the 'CCC' and 'CC' categories,
compared with 5.11% ($25.6 million) as of Nov. 7, 2008.
Furthermore, the trustee acknowledged $49.4 million in defaults in
the April 6, 2009, trustee report, up from $16.1 million in
defaults in the Nov. 7, 2008, report.
The increase in defaults has also reduced the level of over
collateralization available to support the notes, and classes B
and C are now failing their over collateralization tests. The
failure of the over collateralization test causes the interest
proceeds to pay down principal to the rated notes sequentially,
and as a result, interest payments to the class Def C-1 and Def C-
2 notes have been deferred. The class A-1 note recently paid down
14.2% ($3.7 million) of its original balance on the April 2009
payment date.
Ratings Lowered And Remaining On Creditwatch Negative
Chatham Light CLO Ltd.
Rating
------
Class To From Current balance (mil. $)
----- -- ---- ------------------------
Def C-1 BB/Watch Neg BBB/Watch Neg 19.148
Def C-2 BB/Watch Neg BBB/Watch Neg 5.080
Ratings Affirmed
Chatham Light CLO Ltd.
Class Rating Current balance (mil. $)
----- ------ ------------------------
A-1 AAA 22.305
A-2 AA 28.500
Def B A 27.000
Transaction Information
-----------------------
Issuer: Chatham Light CLO Ltd.
Co-issuer: Chatham Light CLO Corp.
Collateral manager: Sankaty Advisors LLC
Underwriter: Citigroup Inc.
Indenture trustee: JPMorgan Chase Bank N.A.
Test Summary
Apr. 2009 Nov. 2008 Trigger
--------- --------- -------
Class A OC test (%) 165.1 207.3 155
Class B OC test 110.4 138.6 120
Class C OC test 85.3 107.1 105
Class A interest coverage test 1913.0 434.6 115
Class B interest coverage test 721.0 275.2 110
Class C interest coverage test 520.3 200.6 105
* Based on the April 6, 2009, and Nov. 7, 2008, trustee reports.
CHEYNE HIGH: S&P Puts Ratings on Notes on Negative CreditWatch
--------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on the
medium-term notes issued by Cheyne High Grade ABS CDO I Ltd.,
Whitehawk CDO Funding Ltd., and Davis Square Funding II Ltd. on
CreditWatch with negative implications. Wachovia Bank N.A. acts
as the put provider for these three collateralized debt obligation
transactions.
The CreditWatch placements follow the May 4, 2009, placement of
the rating on Wachovia Bank N.A. on CreditWatch negative. The
ratings on the medium-term notes from these CDO transactions are
based on the long-term ratings assigned to Wachovia Bank N.A.
Ratings Placed On Creditwatch Negative
Cheyne High Grade ABS CDO I Ltd.
Rating
------
Class To From
----- -- ----
A-1MT-e AA+/Watch Neg AA+
Whitehawk CDO Funding Ltd.
Rating
------
Class To From
----- -- ----
A-1MT-g AA+/Watch Neg AA+
A-1MT-i AA+/Watch Neg AA+
Davis Square Funding II Ltd.
Rating
------
Class To From
----- -- ----
A-1MT-a AA+/Watch Neg AA+
A-1MT-b AA+/Watch Neg AA+
A-1MT-d AA+/Watch Neg AA+
Other Ratings Outstanding
Cheyne High Grade ABS CDO I Ltd.
Class Rating
----- ------
A-1MM-h A-1/A/Watch Neg
A-1 LT A/Watch Neg
A2 BB+/Watch Neg
B B-/Watch Neg
C CC
Whitehawk CDO Funding Ltd.
Class Rating
----- ------
A1 MM-I A-1+/AA/Watch Neg
A-1LT AA/Watch Neg
A-2 BBB-/Watch Neg
B CCC+
C CCC-
D CC
Davis Square Funding II Ltd.
Class Rating
----- ------
A-1MM-a A-1+/AA/Watch Neg
A-1MM-e A-1+/AA/Watch Neg
A-1LT-a AA/Watch Neg
A-1LT-b AA/Watch Neg
A-1LT-c AA/Watch Neg
A-1LT-d AA/Watch Neg
A-1LT-e AA/Watch Neg
A-1LT-f AA/Watch Neg
CHL MORTGAGE: Moody's Downgrades Ratings on 227 Tranches
--------------------------------------------------------
Moody's Investors Service has downgraded 227 tranches and
confirmed 15 tranches from 20 CHL Mortgage Pass-Through Trust
deals issued in 2006 and 2007.
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 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.
For details regarding Moody's approach to estimating losses on
Jumbo pools originated in 2005, 2006, 2007 and 2008, please refer
to the methodology publication "Prime Jumbo RMBS Loss Projection
Update: March 2009" available on Moodys.com.
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:
CHL Mortgage Pass-Through Trust 2006-6
-- Cl. A-1, Downgraded to B2; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B2; previously on 3/19/2009 Baa2
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 B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to Ba1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to Caa1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. X, Downgraded to Ba1; previously on 3/19/2009 Baa2 Placed
Under Review for Possible Downgrade
-- Cl. PO, Downgraded to B3; previously on 3/19/2009 Baa3 Placed
Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2006-11
-- Cl. 1-A-1, Downgraded to B3; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ca; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. X, Downgraded to B3; previously on 3/19/2009 A3 Placed
Under Review for Possible Downgrade
-- Cl. PO, Downgraded to Caa1; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2006-12
-- Cl. A-1, Downgraded to B3; previously on 3/19/2009 A2 Placed
Under Review for Possible Downgrade
-- Cl. X, Downgraded to B3; previously on 3/19/2009 A2 Placed
Under Review for Possible Downgrade
-- Cl. PO, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2006-13
-- Cl. 1-A-1, Downgraded to Ba3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Ba3; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Ba3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to Ba1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-8, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-9, Downgraded to Ba1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-10, Downgraded to Ba1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-11, Downgraded to Ba1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-12, Downgraded to Ba3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-13, Downgraded to Ba1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-14, Downgraded to B1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-15, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-16, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-17, Downgraded to Ba3; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-18, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-19, Downgraded to B1; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-20, Confirmed at Baa1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-21, Downgraded to Ca; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-22, Downgraded to Ba2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-23, Downgraded to B1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-24, Downgraded to B1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-25, Downgraded to Baa3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-26, Downgraded to Ca; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. X, Downgraded to Baa1; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. PO, Downgraded to B3; previously on 3/19/2009 Baa1 Placed
Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2006-14
-- Cl. A-1, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A-2, Confirmed at Aa1; previously on 3/19/2009 Aa1 Placed
Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Baa3; previously on 3/19/2009 Aa3
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 Ba1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Ba2; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. X, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. PO, Downgraded to Ba1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2006-15
-- Cl. A-1, Downgraded to Baa3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to A3; previously on 3/19/2009 Aa2 Placed
Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Baa3; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ba1; previously on 3/19/2009 A3 Placed
Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Ba1; previously on 3/19/2009 A2 Placed
Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Baa3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. X, Downgraded to Baa3; previously on 3/19/2009 Aa2 Placed
Under Review for Possible Downgrade
-- Cl. PO, Downgraded to Ba1; previously on 3/19/2009 A2 Placed
Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2006-17
-- Cl. A-2, Downgraded to B1; previously on 3/19/2009 Aa1 Placed
Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to Ba3; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2006-18
-- Cl. 2-A-1, Downgraded to A2; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to B1; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2006-19
-- Cl. 1-A-1, Downgraded to A3; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to A3; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to B1; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Baa3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to B1; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-6, Downgraded to Ba3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to Ba3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-8, Downgraded to B2; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. PO, Downgraded to B1; previously on 3/19/2009 A2 Placed
Under Review for Possible Downgrade
-- Cl. X, Downgraded to A3; previously on 3/19/2009 Aa1 Placed
Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2006-21
-- Cl. A-4, Downgraded to Baa1; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2006-8
-- Cl. 1-A-1, Downgraded to B1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ca; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to B3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 1-X, Downgraded to B1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 2-X, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 3-X, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. PO, Downgraded to B3; previously on 3/19/2009 Baa2 Placed
Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2007-11
-- Cl. A-4, Downgraded to Aa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to Baa3; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2007-13
-- Cl. A-7, Downgraded to B1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2007-14
-- Cl. A-1, Downgraded to Ba3; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2007-19
-- Cl. 2-A-1, Downgraded to B2; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa1; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-PO, Downgraded to Caa1; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 2-X, Downgraded to B2; previously on 3/19/2009 A3 Placed
Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2007-2
-- Cl. A-18, Downgraded to Ba2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2007-3
-- Cl. A-23, Downgraded to Ba1; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2007-4
-- Cl. 1-A-1, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-6, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-8, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-9, Downgraded to Ca; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-10, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-11, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-12, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-13, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-14, Downgraded to Ca; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-15, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-16, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-17, Downgraded to Ca; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-18, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-19, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-20, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-21, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-22, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-23, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-24, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-25, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-26, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-27, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-28, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-29, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-30, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-31, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-32, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-33, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-34, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-35, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-36, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-37, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-38, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-39, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-40, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-41, Downgraded to B2; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-42, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-43, Downgraded to Ca; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-44, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-45, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-46, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-47, Downgraded to Ba2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-48, Downgraded to Ca; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-49, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-50, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-51, Downgraded to B1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-52, Downgraded to B1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-54, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-55, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-56, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-57, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-58, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-59, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-60, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-61, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-62, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-63, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-64, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-65, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-66, Downgraded to Ca; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-67, Downgraded to Ca; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-68, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-69, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-70, Downgraded to B3; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-71, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-72, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-73, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-74, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-75, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. X, Downgraded to Ba2; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. PO, Downgraded to B3; previously on 3/19/2009 Ba2 Placed
Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2007-5
-- Cl. A-1, Downgraded to Ba3; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa2; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to B3; previously on 3/19/2009 Baa2
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 Ca; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to B1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to Ca; previously on 3/19/2009 Baa3
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-13, Downgraded to Ca; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-14, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-15, Downgraded to Ca; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-16, Downgraded to B1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-17, Downgraded to Ca; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-18, Downgraded to Ba3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. A-19, Downgraded to Ca; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-20, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-21, Downgraded to Ca; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-22, Downgraded to B1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-23, Downgraded to Ca; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-24, Downgraded to Ba3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. A-25, Downgraded to Ca; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-26, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-27, Downgraded to Ca; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-28, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-29, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-30, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-31, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-32, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-33, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-34, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-35, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-36, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-37, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-38, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-39, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-40, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-41, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-42, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-43, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-44, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-45, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-46, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-47, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-48, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-49, Downgraded to B1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-50, Downgraded to Ca; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-51, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. X, Downgraded to Ba3; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. PO, Downgraded to B3; previously on 3/19/2009 Baa2 Placed
Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2007-J3
-- Cl. A-1, Confirmed at B3; previously on 3/19/2009 B3 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, Confirmed at B3; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. A-4, Confirmed at Caa1; previously on 3/19/2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A-5, Confirmed at B2; previously on 3/19/2009 B2 Placed
Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to B3; previously on 3/19/2009 B2 Placed
Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to B3; previously on 3/19/2009 B2 Placed
Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to Ca; previously on 3/19/2009 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-9, Confirmed at Caa1; previously on 3/19/2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to B3; previously on 3/19/2009 B2 Placed
Under Review for Possible Downgrade
-- Cl. A-11, Confirmed at Caa2; previously on 3/19/2009 Caa2
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 Ca; previously on 3/19/2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A-14, Confirmed at B3; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. A-15, Downgraded to Ca; previously on 3/19/2009 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-16, Confirmed at B3; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. A-17, Downgraded to Ca; previously on 3/19/2009 Caa2
Placed Under Review for Possible Downgrade
-- Cl. PO, Confirmed at B3; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. X, Confirmed at B2; previously on 3/19/2009 B2 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.
CHRYSLER LLC: Fitch Reports Adverse Effects of Bankruptcy Filing
----------------------------------------------------------------
The Chapter 11 bankruptcy filing and subsequent potential
reorganization of Chrysler LLC, may negatively affect rating
performance on assorted Chrysler-affiliated auto ABS transactions,
according to Fitch Ratings.
Among the deals that may see increased pressure include Chrysler
Financial LLC's outstanding dealer-floorplan ABS, and the rental
car ABS issued by Dollar Thrifty Automotive Group due to their
exposure to Chrysler vehicles in these pools. Fitch is also
focused on the affect of the bankruptcy on Chrysler's auto loan
ABS. However, no immediate rating actions are being contemplated
by Fitch on these transactions at this time, given the evolving
nature of the bankruptcy and minimal information available at this
time.
A Chrysler Chapter 11 bankruptcy filing, government and third
party financing provided, and the announced alliance with Fiat
S.p.A., is a less damaging outcome than had the company filed for
Chapter 7 bankruptcy with no support. Fitch remains concerned
with the impact that the bankruptcy may have on vehicle values for
all transactions. Additional concerns include the financial and
operating status of Chrysler Financial, given its role as primary
servicer for the loan and dealer floorplan ABS. Furthermore,
Chrysler's ability to repurchase program vehicles is a risk for
the rental car ABS. For auto loan ABS, should loss pace
accelerate in the short term, subordinate bonds would likely face
negative rating actions.
Fitch expects to receive more details in the coming days on all
asset classes from all parties involved.
Auto Loan ABS
A potential impact would be related to protracted declines in
retail and wholesale values for Chrysler vehicles. Fitch
witnessed vehicle value declines in the range of 10%-25% in
previous brand eliminations; however, the Chrysler bankruptcy is a
much larger scenario relative to prior examples so the impact on
vehicle values may be greater. Decreases in wholesale values will
adversely affect recovery rates on future defaults, leading to
higher cumulative lifetime losses. Chrysler stated that the
company will honor consumer warranties and the U.S. Treasury is
making nearly $300 million available as a backstop on the orderly
payment of warranties for cars sold during the restructuring
period. This provides some benefit to consumers and marginal
support to vehicle values. Fitch does not expect rapid increases
in consumer defaults to occur as a result of the filing.
Any potential deterioration in the servicing capacity of Chrysler
Financial could affect auto loan ABS. Although Chrysler
Financial, as a separate company, has thus far avoided a
bankruptcy filing, its current financial position and liquidity,
closely linked with that of Chrysler's, are expected to be further
impacted by the Chrysler filing. Given recent announcements that
GMAC LLC will be retained to meet the future vehicle financing
needs of Chrysler, the ongoing viability of Chrysler Financial and
its ability to maintain key servicing personnel and operations at
prior levels is uncertain. The current scenario is evolving, and
Fitch is awaiting further information from Chrysler Financial on
their servicing role, ability to service, and potential impact on
the transactions. While Fitch does not believe it is a near-term
likelihood, any disruptions in, or transfers of, the servicing of
the outstanding transactions may impact performance.
Despite these risks, to date, Chrysler Financial has exhibited
adequate servicing of their auto-related ABS transactions
historically. In addition, Fitch believes Chrysler Financial is
the most-suited party to service their transactions, and that an
efficient servicing transfer would be difficult given the size of
Chrysler Financial's portfolio and certain transactions.
Currently, Fitch rates seven outstanding auto loan ABS
transactions issued by Chrysler Financial totaling $4.34 billion
in outstanding notes. The transactions are secured by loans made
by Chrysler Financial to U.S. consumers:
-- DaimlerChrysler Auto Trust 2005-B;
-- DaimlerChrysler Auto Trust 2006-A;
-- DaimlerChrysler Auto Trust 2006-B;
-- DaimlerChrysler Auto Trust 2006-D;
-- Chrysler Financial Auto Securitization Trust 2007-A;
-- Chrysler Financial Auto Securitization Trust 2008-A;
-- Chrysler Financial Auto Securitization Trust 2008-B.
Dealer Floorplan ABS
Heightened risk surrounds the potential for significant increases
in dealer bankruptcies, and ultimately defaults in Chrysler
Financial's outstanding dealer floorplan ABS. Fitch expects the
Chrysler filing to have a negative impact on new vehicle sales
levels at existing dealers, further weakening the financial
profile of the franchised dealer base. Additionally, Chrysler has
indicated its expectation to significantly reduce its franchised
dealer count in conjunction with any potential reorganization.
What funding and support Chrysler can or will provide related to
the outstanding inventory of vehicles for these dealers, as well
as any retained dealers, is unclear and may have a material impact
on loss severity under floorplan lines for dealers that go out of
business.
Chrysler Financial's role in servicing these transactions is
imperative. Their knowledge of and relationship with the dealer
base, maintenance of inventory audit frequency and dealer
monitoring, and effective management of dealer workouts and
liquidations are key to limiting losses. These functions are not
easily transferable to a third-party servicer.
Fitch currently rates one outstanding Chrysler Financial dealer
floorplan ABS, Master Chrysler Financial Owner Trust (f.k.a.
DaimlerChrysler Master Owner Trust), series 2006-A, totaling
approximately $1 billion. Fitch downgraded 2006-A to 'A' and
placed the series on Rating Watch Negative on April 14, 2009
citing ongoing concerns surrounding the US domestic auto industry
and heightened risk of a Chrysler bankruptcy and liquidation
scenario. As the bankruptcy filing was a Chapter 11, no immediate
additional rating actions are anticipated, although Fitch will
continue to monitor the ongoing bankruptcy proceedings to assess
potential impacts on dealer defaults and vehicle values in the
short-term. Additionally, the transaction has entered into early
amortization as a result of the Chrysler bankruptcy filing and
will be repaid in full within three-to-five months should monthly
payments rates and other performance metrics remain at current
levels.
Rental Car ABS
Fitch currently rates two Rental Car Finance Corp. (RCFC; both
issued by DTAG) transactions. Fitch assigns 'BB' ratings to the
class A-1 and A-2 notes for series 2005-1, as well as a 'BBB+'
rating to the class A notes for series 2007-1.
These transactions have large concentrations of Chrysler vehicles;
as of the end of March 2009, 2005-1 composed approximately 89%
Chrysler vehicles and 2007-1 75%. The majority of these vehicles
in each transaction are purchased as non-program vehicles,
exposing DTAG to potential risks stemming from declines in vehicle
values upon disposition of the vehicles. The remaining minority
of the Chrysler vehicles is program vehicles, and exposes DTAG to
the ability of Chrysler to repurchase these vehicles back from
DTAG under Chrysler's repurchase obligation. Chrysler may be
limited in its ability, or may not be able at all, to entirely
fulfill this obligation to repurchase these program vehicles due
to the bankruptcy and lack of financial strength. No immediate
additional rating actions are anticipated, although Fitch will
continue to monitor the ongoing bankruptcy proceedings to assess
potential impacts on Chrysler's ability to fulfill its repurchase
obligation, and the impacts on vehicle values related to non-
program vehicles that are disposed of by DTAG.
Fitch will continue to closely monitor the performance of the
transactions, and will take further rating actions as deemed
necessary.
CIFC FUNDING: Moody's Has Not Taken Rating Actions on 2007-I Notes
------------------------------------------------------------------
Moody's Investors Service has not withdrawn, reduced, or taken any
other adverse action with respect to its current ratings on these
notes issued by CIFC Funding 2007-I, Ltd. as a result of the
Issuer's execution on April 20, 2009 of the First Supplemental
Indenture to the indenture, dated as of February 21, 2007:
-- US$100,000,000 Class A-1L Floating Rate Notes due 2021,
Aaa; previously on March 23, 2007 Assigned Aaa;
-- US$77,800,000 Class A-1LAt Floating Rate Notes due 2021,
Aaa; previously on March 23, 2007 Assigned Aaa;
-- US$75,000,000 Class A-1LAr Variable Funding Notes due
2021, Aaa; previously on March 23, 2007 Assigned Aaa;
-- US$38,200,000 Class A-1LB Floating Rate Notes due 2021,
Aa1 Under Review for Possible Downgrade; previously on March
4, 2009 Placed Under Review for Possible Downgrade;;
-- US$24,000,000 Class A-2L Floating Rate Notes due 2021, Aa2
Under Review for Possible Downgrade; previously on March 4,
2009 Placed Under Review for Possible Downgrade;;
-- US$25,000,000 Class A-3L Floating Rate Notes due 2021,
Baa3 Under Review for Possible Downgrade; previously on March
23, 2009 Baa3 Placed Under Review for Possible Downgrade;
-- US$17,000,000 Class B-1L Floating Rate Notes due 2021, Ba3
Under Review for Possible Downgrade; previously on March 23,
2009 Ba3 Placed Under Review for Possible Downgrade;
-- US$17,000,000 Class B-2L Floating Rate Notes due 2021, B3
Under Review for Possible Downgrade; previously on March 23,
2009 B3 Placed Under Review for Possible Downgrade;
The Supplemental Indenture is being entered into pursuant to
Section 8.2 of the Indenture and primarily modifies the definition
of "Discount Debt Obligation." The Supplemental Indenture
introduces the ability for deep discount obligation substitutions
into this transaction, the exercise of which by the manager is
subject to certain limitations. The mechanism of DDO substitution
permits the collateral manager to sell an asset and substitute it
with another even if the substitute asset would otherwise fit the
description of deep discount and receive full par credit for the
substitute asset for over collateralization test purposes. Under
the terms of the Supplemental Indenture, the purchase price of the
substituted asset must be equal or greater than that of the
existing asset, but in any event cannot be lower than 0.50. The
Moody's Rating of the substituted asset must be higher than that
of the disposed asset, subject to a minimum rating of B3 and
excludes any assets with a SGL-4 designation. The Moody's
Recovery Rate of the substituted asset cannot be lower than 45%,
and must be equal to or greater than the recovery rate of the
disposed asset, unless the substituted asset has a higher Moody's
Rating. In that case, the recovery rate of the substituted asset
can be lower if it has a higher Moody's Rating,: (i) if Moody's
Recovery Rate of the disposed asset is equal to or greater than
60% and Moody's Rating of the substituted asset is 2 notches
higher, then Moody's Recovery Rate of the substituted asset can be
equal to or greater than 45%; (ii) if Moody's Recovery Rate of the
disposed asset is equal to or greater than 60% and Moody's Rating
of the substituted asset is 1 notch higher, then Moody's Recovery
Rate of the substituted asset can be equal to or greater than 50%;
(iii) if Moody's Recovery Rate of the disposed asset is below 60%
but equal to or greater than 50% and Moody's Rating of the
substituted asset is 1 notch higher, then Moody's Recovery Rate of
the substituted asset can be equal to or greater than 45%.
From a credit perspective, DDO substitution has two primary risks
as described in Moody's press release "Moody's Comments on Deep
Discount Substitution Amendments" dated March 6, 2009: one, that
the manager may unintentionally purchase a new asset that is worse
than the existing asset, and two, that the manager may use DDO
substitution to artificially build par to circumvent diversion of
cash flows to senior notes upon par deterioration. Moody's
concluded that the Supplemental Indenture does not have a ratings
impact at this time due to the fact that the risks of DDO
substitution are mitigated by the limitations described previous
paragraph. The manager is only permitted to substitute one asset
for another, and only if the substitution meets the restrictions
in price, rating and recovery rate, which together provide
objective indication that the substituted asset does not
deteriorate the transaction's portfolio at the time that the
substitution is made. Furthermore, the amount of DDO substitution
that can be performed is limited to 20% at any point in time of
the transaction, with a sub-limit of 10% on DDO substitutions made
below a purchase price of 0.60. Compliance with these
concentration limits, as well as with the limits on purchase
price, recovery rate and rating will be evidenced by the trustee's
monthly reports. Finally, the ability to effect these
substitutions is strictly limited to a technical dislocation
period, which is defined as a period starting from the time when
the LSTA leveraged loan index trades below 90% of par for 30
consecutive days and ending when such index trades above 90% of
par for 30 consecutive days.
Many CLO documents (to which Moody's is never a party) specify
that, in order to amend the documents, the issuer must obtain an
opinion from the rating agencies that the proposed amendment would
not in and of itself result in the related ratings being
downgraded or withdrawn at the time of the amendment. This type
of provision is typically referred to in the CLO indenture as a
"rating agency confirmation" or "RAC". Moody's is never obligated
to provide a RAC, and the decision whether or not to issue a RAC
lies entirely within Moody's sole discretion.
Before providing a RAC for an amendment, the proposal will be
reviewed by a Moody's credit committee which will consider, among
other things, the performance of the specific CLO and collateral
manager and the specifics of the proposed amendment and the
particular structure of the CLO. A RAC is purely an opinion, as
of the point in time at which the RAC is provided, that the
proposed amendment in isolation does not introduce sufficient
additional credit risk so as to negatively impact the related
ratings. In other words, it does not consider the impact of other
factors on the ratings, such as collateral deterioration. Also,
the RAC does not address any other, non-credit related impact that
the amendment might have. Moody's further emphasizes that a RAC
is not a substitute for noteholder consent or for independent
analyses by noteholders of the impact on them of any proposed
amendment.
CITIGROUP COMMERCIAL: Moody's Downgrades Ratings on 2004-FL1 Notes
------------------------------------------------------------------
Moody's Investors Service downgraded one pooled class and upgraded
one pooled class of Citigroup Commercial Mortgage Trust 2004-FL1,
Commercial Pass-Through Certificates, Series 2004-FL1. The
downgrade was attributable to an increase in expected loss due to
an anticipated negotiated discounted payoff of the Jamestown Mall
Loan, the one remaining loan in the trust. Moody's upgraded one
pooled class due to a high level of certainty that the class will
be paid off in full. Moody's also affirmed two pooled classes.
Moody's rating action is:
-- Class X-2GMAC, Notional, affirmed at Aaa; previously affirmed
at Aaa on 3/04/09
-- Class X-3GMAC-MULTI, Notional, affirmed at Aaa; previously
affirmed at Aaa on 3/4/09
-- Class K, $287,750, upgraded to Aaa from A1; previously
affirmed at A1 on 3/4/09
-- Class L, $3,069,602, downgraded to Ca from Ba1; previously
affirmed at Ba1 on 3/4/09
COMMERCIAL MORTGAGE: Moody's Affirms Ratings on 11 1999-C1 Notes
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 11 classes and
downgraded two classes of Commercial Mortgage Asset Trust,
Commercial Mortgage Pass-Through Certificates, Series 1999-C1.
The downgrades are due to higher expected losses for the pool
resulting from higher leverage, increased credit quality
dispersion and anticipated losses from specially serviced loans.
Although the overall credit quality of the pool has declined since
last review, the pool has benefited from increased subordination
due to payoffs and amortization. The outstanding pool balance has
declined 29% since Moody's last review in August 2007. The rating
action is the result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
As of the April 17, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 44%
to $1.32 billion from $2.37 billion at securitization. The
Certificates are collateralized by 153 mortgage loans ranging in
size from less than 1% to 9% of the pool, with the top 10 non-
defeased loans representing 41% of the pool. The pool includes
one loan with an underlying rating, representing 5% of the pool,
and a credit tenant lease component, which represents 7% of the
pool. Forty-one loans, representing 24% of the pool, have
defeased and are collateralized by U.S. Government securities.
Twenty-five loans, representing 21% of the pool, are on the master
servicer's watchlist. 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 performance.
Seventeen loans have been liquidated from the trust, resulting in
an aggregate realized loss of $36.4 million. Eight loans,
representing 11% of the pool, are currently in special servicing.
The largest loan in special servicing is The Source Loan ($124.0
million -- 9.4%), which is secured by a 521,500 square foot mall
located in Westbury, New York. The center is shadow anchored by
Fortunoff, which declared bankruptcy in February 2009 and
announced plans to close all its stores. Two of the larger
tenants in the mall were Circuit City and Steve & Barry's, both of
which declared bankruptcy and have vacated the mall. The loan was
transferred to special servicing in January 2009 due to tenant
issues as well as pending maturity. The loan matured on March 11,
2009 and was unable to refinance. The loan sponsor is Simon
Property Group (Moody's preferred stock rating Baa1, stable
outlook). Five of the remaining specially serviced loans,
representing 2% of the pool, were transferred for imminent default
due to the bankruptcy of Circuit City (four) or Value City. All
of these loans are delinquent. Moody's is estimating an aggregate
$22 million loss from the specially serviced loans.
Moody's was provided with year-end 2007 and full or partial year
2008 operating results for 70% and 81% of the pool, respectively,
excluding specially serviced, defeased and CTL loans. Moody's
loan to value ratio for the conduit component is 82% compared to
79% at Moody's prior review.
The loan with an underlying rating is the Atlanta Marriott Loan
($63.6 million -- 4.8%), which represents a 50% pari passu
interest in a $127.3 million loan. The loan is secured by a
1,671-room full service hotel located in Atlanta, Georgia.
Moody's analysis incorporates a stressed cash flow to reflect
Moody's concerns about the impact of the current recession on
hotel performance. The loan has amortized 6% since last review.
Moody's current underlying rating is Ba1, the same as at last
review.
The largest conduit loan is the Springfield Mall Loan ($80.9
million -- 6.1%), which represents a 50% pari passu interest in a
$161.9 million loan. The loan is secured by the borrower's
interest in a 1.4 million square foot regional mall located in
Springfield (Fairfax County), Virginia. The property is anchored
by J.C. Penney, Macy's and Target. The in-line stores were 70%
occupied as of December 2008 compared to 86% at last review. The
increase in vacancy is partially the result of a major property
renovation which began in September 2008 and is expected to take
approximately 14 months to complete. The loan is on the master
servicer's watchlist due to low debt service coverage. The loan
sponsor is Vornado Realty Trust (Moody's senior unsecured rating
Baa2, stable outlook). Moody's LTV is 129% compared to 100% at
last review.
The second largest conduit loan is the Laurel Mall Loan ($47.8
million - 3.6%), which is secured by the borrower's interest in a
505,000 square foot regional mall located in Livonia, Michigan.
The mall is anchored by Von Maur and Parisian. The mall was 98%
occupied as of December 2008 compared to 96% at last review. The
loan sponsor is CBL & Associates Properties, Inc. Moody's LTV is
70%, the same as at last review.
The third largest conduit loan is the Baldwin Complex Loan ($43.6
million - 3.3%), which is secured by two office buildings located
in Cincinnati, Ohio. The two buildings total 455,000 square feet.
Property performance has declined since last review due to a
significant increase in vacancy resulting from lease rollovers.
The buildings were 58% occupied as of December 2008. The loan is
on the servicer's watchlist due to low debt service coverage.
Moody's LTV is 188% compared to 110% at last review.
The CTL component includes 15 loans secured by properties under
bondable leases to six credits. Five of these loans have been
transferred to special servicing due to tenant bankruptcy. The
largest CTL loan, representing 41% of the CTL exposure, is leased
to Accor SA (Moody's commercial paper rating P-3, stable outlook).
Moody's rating action is:
-- Class A-3, $232,825,236, affirmed at Aaa; previously affirmed
at Aaa on 8/9/2007
-- Class A-4, $448,115,000, affirmed at Aaa; previously affirmed
at Aaa on 8/9/2007
-- Class X, Notional, affirmed at Aaa; previously affirmed at
Aaa on 8/9/2007
-- Class B, $106,875,000, affirmed at Aaa; previously affirmed
at Aaa on 8/9/2007
-- Class C, $130,624,000, affirmed at Aaa; previously affirmed
at Aaa on 8/9/2007
-- Class D, $136,562,000, affirmed at Aaa; previously upgraded
to Aaa from Aa1 on 9/25/2008
-- Class E, $35,625,000, affirmed at Aa2; previously upgraded to
Aa2 from A1 on 9/25/2008
-- Class F, $53,437,000, affirmed at Baa1; previously upgraded
to Baa1 from Baa2
-- Class G, $59,375,000, affirmed at Ba2; previously affirmed at
Ba2 on 8/9/2007
-- Class H, $23,750,000, affirmed at Ba3; previously affirmed at
Ba3 on 8/9/2007
-- Class J, $29,687,000, downgraded to Caa2 from B2; previously
affirmed at B2 on 8/9/2007
-- Class K, $41,562,000, downgraded to Ca from Caa2; previously
affirmed at Caa2 on 8/9/2007
-- Class L, $17,813,000, affirmed at Ca; previously affirmed at
Ca on 8/9/2007
CONSECO FUNDING: Moody's Junks Ratings on $75 Mil. Notes
--------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating on these notes issued by Conseco Funding, Ltd.:
-- US$75,000,000 Class B Fixed Rate Senior Subordinate Notes Due
2015, Downgraded to Caa1, previously on August 28, 1998
Assigned Baa2.
According to Moody's, the rating action taken on the notes is a
result of applying Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The actions also reflect
consideration of credit deterioration of the underlying portfolio.
The revised assumptions that have been applied to all corporate
credits in the underlying portfolio are described in the press
release dated February 4, 2009, titled "Moody's updates key
assumptions for rating CLOs."
Credit deterioration of the collateral pool is observed in, among
other metrics, a decline in the average credit rating (as measured
through the weighted average rating factor), an increase in the
dollar amount of defaulted securities, an increase in the
proportion of securities from issuers rated Caa1 and below, and
failure of the Senior Subordinate Interest Coverage Ratio.
DANIEL WEBSTER: Moody's Puts 'B1' Bond Rating on Watchlist
----------------------------------------------------------
Moody's Investors Service has placed Daniel Webster College's B1
rating on the Series 1999 and 2001 bonds on watchlist direction
uncertain. The rating action impacts $16.2 million of rated debt.
The bonds were issued through the New Hampshire Health and
Educational Facilities Authority. The rating action reflects the
planned acquisition of the not-for-profit college by ITT
Educational Services, a chain of for-profit schools. The purchase
has received preliminary approval by the New England Association
of Schools and Colleges, the regional accreditation agency, and
change in ownership is expected by July 1, 2009. Moody's is in
the process of following up with the College's management on
details of the planned acquisition and the ultimate impact on
payment of the Series 1999 and 2001 bonds.
Legal Security Of Series 1999 And 2001 Bonds: Obligations under
the bond loan agreements are a general obligation of College. The
bonds are secured by debt service reserve funds, a pledge of the
College's gross receipts, and a first priority mortgage on and
security interest in substantially all of the College's land,
building, and equipment at its Nashua, New Hampshire campus,
subject to permitted encumbrances.
Debt-Related Rate Derivatives: None
Rated Debt:
-- Series 1999 and 2001: B1 on watchlist with a developing
outlook
The last rating action was on March 11, 2008 when the College's
rating and outlook were affirmed.
DVI FINANCIAL: Moody's Downgrades Ratings on 11 Classes of Notes
----------------------------------------------------------------
Moody's Investors Service downgraded 11 classes of notes issued in
four equipment securitizations by DVI Financial Services, Inc.
The securitized pools consist of medical equipment lease
contracts. U.S. Bancorp Portfolio Services is the servicer for
these transactions.
The downgrades reflect a continued deterioration in the
performance of the receivable pools. Very high defaults have
greatly reduced the balances of the underlying collateral pools
without a corresponding reduction in the outstanding note
balances. As a result, some affected classes of notes have no
underlying collateral backing them. Although these classes
continue receiving monthly interest payments, they are
substantially undercollateralized making their principal repayment
highly unlikely.
The complete rating actions are:
Issuer: DVI Receivables XVI, L.L.C. Series 2001-2
-- Cl. A-4, Downgraded to C from Caa3; previously on 4/2/2004
downgraded to Caa3 from Ba2
-- Cl. B, Downgraded to C from Ca; previously on 4/2/2004
downgraded to Ca from B2
Issuer: DVI Receivables XVII, L.L.C. Series 2002-1
-- Cl. A-3a, Downgraded to C from Caa1; previously on 4/2/2004
downgraded to Caa1 from Baa3
-- Cl. A-3b, Downgraded to C from Caa1; previously on 4/2/2004
downgraded to Caa1 from Baa3
Issuer: DVI Receivables XVIII, L.L.C. Series 2002-2
-- Cl. C, Downgraded to C from Caa3; previously on 4/2/2004
downgraded to Caa3 from Ba3
-- Cl. D, Downgraded to C from Ca; previously on 4/2/2004
downgraded to Ca from B2
Issuer: DVI Receivables XIX, L.L.C. Series 2003-1
-- Cl. A-3a, Downgraded to C from Caa1; previously on 4/2/2004
downgraded to Caa1 from Baa3
-- Cl. A-3b, Downgraded to C from Caa1; previously on 4/2/2004
downgraded to Caa1 from Baa3
-- Cl. B, Downgraded to C from Caa3; previously on 4/2/2004
downgraded to Caa3 from Ba3
-- Cl. C-1, Downgraded to C from Ca; previously on 4/2/2004
downgraded to Ca from B2
-- Cl. C-2, Downgraded to C from Ca; previously on 4/2/2004
downgraded to Ca from B2
EATON VANCE: S&P Downgrades Issuer Credit Rating on Notes to 'CC'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its issuer credit
rating on Eaton Vance Variable Leverage Fund Ltd. and its long-
term rating on EVVLF's medium-term notes. At the same time,
Standard & Poor's removed the ratings from CreditWatch with
negative implications, where they were placed March 12, 2008.
S&P's outlook on EVVLF is negative.
The lowered ratings reflect S&P's view that EVVLF will be unable
to repay its remaining $10 million in MTNs due Aug 29, 2016,
following the completion of its asset liquidation.
EVVLF is the sole remaining structured investment vehicle that
hasn't either been wrapped with liquidity support or been declared
insolvent due to its inability to mitigate time-subordination
challenges across pari passu senior investors that invested in
different maturities. EVVLF also differs from other SIVs in that
its investment focus is on corporate loans. In addition, its
senior class of commercial paper was refinanced with MTNs.
Therefore, post-refinancing, EVVLF more closely resembles a market
value collateralized loan obligation than a traditional SIV.
When EVVLF entered into enforcement mode on Oct. 14, 2008, it had
$455 million in MTNs outstanding. Thus far, EVVLF has completed
the sale of its loan assets and has paid back $445 million in
MTNs. In other words, EVVLF repaid 97.8% of the MTNs that were
outstanding on Oct. 14, 2008, in full with the proceeds from its
asset liquidation. As of the April 28, 2009, report that
S&P received from EVVLF's manager, the vehicle had $0.29 million
in cash on deposit and $10.3 million in MTNs outstanding. EVVLF
has no remaining assets other than the $0.29 million cash. In
addition, since EVVLF entered enforcement mode, it has continued
to pay MTN interest each quarter.
S&P will likely lower its issuer credit rating on EVVLF and S&P's
long-term rating on the MTNs to 'D' on the earlier of the MTNs'
maturity date, the date on which EVVLF fails to make an interest
payment, or when the manager closes the program (if it chooses to
do so).
Ratings Lowered And Removed From Creditwatch Negative
Eaton Vance Variable Leverage Fund Ltd.
Rating
------
Issue To From
----- -- ----
Issuer credit rating CC CCC-/Watch Neg
MTN issues CC CCC-/Watch Neg
FRONTIER LEASING: Moody's Downgrades Ratings on Two Classes
-----------------------------------------------------------
Moody's Investors Service downgraded two classes of notes issued
in two securitizations sponsored by Frontier Leasing Corp. The
securitized pools consist of small ticket equipment loans.
The rating action related to the Frontier Equipment Receivables
Trust 2002-1 deal was prompted by the significantly slower than
expected amortization speed of the notes. At the current rate of
cash collections available for principal distributions, there is a
risk that the outstanding principal balance will not be fully
repaid by the legal final maturity date on May 20, 2010.
The rating action related to the Frontier Equipment Receivables
Trust 2004-1 deal was prompted by the low level of credit
enhancement needed to protect the notes against future collateral
losses. Because there is no cash left in the reserve account and
the entire Class C has been written down, the Class A notes are
protected only through the subordination of the Class B, which has
also been partially written down.
The complete rating actions are:
Issuer: Frontier Equipment Receivables Trust 2002-1
-- Cl. A, Downgraded to Ba3 from Baa2; previously on Dec 11,
2008 downgraded to Baa2 from A3
Issuer: Frontier Equipment Receivables Trust 2004-1
-- Cl. A, Downgraded to B2 from Ba1; previously on Dec 11, 2008
downgraded to Ba1 from Baa2
G-STAR 2002-1: S&P Withdraws 'BB-' Rating on Class D Notes
----------------------------------------------------------
Standard & Poor's Ratings Services withdrew its rating on class D
notes issued by G-Star 2002-1 Ltd., a cash flow collateralized
debt obligation of commercial mortgage-backed securities
transaction managed by GMAC Institutional Advisors LLC.
The rating withdrawal follows the complete paydown of class D
notes on the April 20, 2009, payment date.
Rating Withdrawn
G-Star 2002-1 Ltd.
Rating Balance (mil. $)
------ ----------------
Class To From Current Original
----- -- ---- ------- --------
D NR BB- 0.000 10.200
Other Outstanding Ratings
G-Star 2002-1 Ltd.
Balance (mil. $)
----------------
Class Rating Current Original
----- ------ ------- --------
A-1MM AAA/A-1+ 81.015 162.250
A-2 AAA 39.274 72.950
BFL A- 15.760 23.000
BFX A- 18.702 27.300
C BB+ 11.278 16.250
NR -- Not rated.
GENERAL GROWTH: DBRS Reviews CMBS Exposure Amid Bankruptcy
----------------------------------------------------------
Dominion Bond Rating Service reviewed its exposure to General
Growth Properties' sponsored assets in the U.S. CMBS transactions
it rates in light of GGP's recent filing for bankruptcy. DBRS has
been monitoring the health of its GGP exposure since the REIT
announced it was experiencing difficulty meeting its maturating
debt obligations. In total, DBRS rates seven transactions with
exposure to GGP, four of which have had GGP sponsored loans
transfer to special servicing.
Some of the loans have upcoming maturities within the next 18
months, which could present further extension risk. Despite the
numerous challenges brought upon by a difficult economic
environment, the majority of these malls have maintained stable
occupancy rates and continue to meet debt service obligations.
However, DBRS believes these assets will continue to operate under
stress as declining sales volumes erode percentage rent and
tenants vie for rental abatements.
Of more immediate concern to DBRS is the important precedence this
voluntary bankruptcy filing will ultimately establish. In January
2009, DBRS published The Four Planks in the Platform for Recovery:
The Commercial Mortgage Market and Securitization, which
underlined the fact that the CMBS industry is reliant upon the
courts to uphold the rule of law going forward. CMBS transactions
rated by DBRS are based upon the understanding of certain
principles such as special purpose entities operating as
bankruptcy remote entities and the validity of non-consolidation
opinions. The voluntary bankruptcy filing from GGP threatens this
base assumption on a number of levels. The establishment of a
collective cash collateral facility by GGP to absorb excess cash
flow would violate these fundamentals and is specifically intended
to disrupt the timely payment of loan principal from these
performing assets.
Also of importance are the fees associated with the loans that
have been transferred to special servicing, which will ultimately
translate into losses if not recovered from the sponsor. The
special servicer is entitled to receive a monthly fee in addition
to a liquidated or corrected mortgage loan fee, depending on the
outcome of the transfer. For loans with subordinate B-notes in
place, these fees may be absorbed in a reverse sequential manner
in accordance with the respective loan's intercreditor agreement.
While the fees would be expected to be contained to the lowest
unrated class in each of the DBRS rated transactions, it is
possible that the interest shortfalls associated with the monthly
special servicing in conjunction with other specially serviced
loans could cause interest shortfalls to rise into rated classes
as the loans secured by the GGP malls often represent a
significant portion of the respective transactions. At this point,
DBRS is hopeful that the courts will uphold the bankruptcy remote
nature of the partnerships, minimizing the credit impacts to DBRS
rated classes.
DBRS will continue to monitor the performance of each property
closely while the sponsorship remains in bankruptcy and update
shadow ratings as needed to reflect the individual credit
characteristics of the loans.
A full-text copy of DBRS's news statement is available at no
charge at http://bankrupt.com/misc/DBRSCMBSdeals.PDF
GOLDMAN SACHS: Moody's Downgrades Ratings on 56 Securities
----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 56
securities from 15 transactions issued by Goldman. These actions
are part of an ongoing review of subprime RMBS transactions.
The rating actions are the result of an analysis of credit
enhancement relative to updated collateral loss projections. The
revised loss projections generally result from deterioration in
collateral performance in recent months. Additionally, most
effected transactions have, at some point, passed performance
triggers and released portions of credit enhancement.
Moody's approach to analyzing seasoned subprime pools i.e. prior
to 2H 2005 takes into account the annualized loss rate from last
12 months and the projected loss rate over next 12 months, and
then translates these measures into lifetime losses based on a
deal's expected remaining life. Recent Losses are calculated by
assessing cumulative losses incurred over the past 12-months as a
percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%,
65% and 90% for loans that are delinquent 60-days, 90+ days, are
in foreclosure, and REO respectively. Moody's then applies deal-
specific severity assumptions, in this case ranging from 55% to
80%. The results of these two calculations - Recent Losses and
Pipeline Losses - are weighted to arrive at the lifetime
cumulative loss projection.
The complete rating actions:
GSAA Home Equity Trust 2004-9
-- Cl. B-1, Downgraded to Ba1; previously on 11/23/2004 Assigned
Baa3
GSAA Trust 2004-NC1
-- Cl. B-1, Downgraded to Baa3; previously on 9/21/2007 Upgraded
to A3
-- Cl. B-2, Downgraded to Ba2; previously on 3/30/2004 Assigned
Baa3
GSAMP Trust 2002-HE
-- Cl. M-1, Downgraded to Ba2; previously on 11/8/2007
Downgraded to Aa3 and Placed Under Review for Possible
Downgrade
-- Cl. M-2, Downgraded to Ca; previously on 11/8/2007 Downgraded
to Baa2
-- Cl. B-1, Downgraded to C; previously on 11/8/2007 Downgraded
to Caa1
GSAMP Trust 2002-WF
-- Cl. M-2, Downgraded to Baa2; previously on 10/28/2002
Assigned A2
-- Cl. B-1, Downgraded to Baa3; previously on 10/28/2002
Assigned Baa2
GSAMP Trust 2003-FM1
-- Cl. M-1, Downgraded to Baa3; previously on 4/9/2003 Assigned
Aa2
-- Cl. M-2, Downgraded to Caa3; previously on 4/9/2003 Assigned
A2
-- Cl. B-1, Downgraded to C; previously on 4/9/2003 Assigned
Baa1
-- Cl. B-2, Downgraded to C; previously on 4/9/2003 Assigned
Baa2
GSAMP Trust 2003-HE1
-- Cl. M-2, Downgraded to Baa3; previously on 6/16/2003 Assigned
A2
-- Cl. M-3, Downgraded to Ba1; previously on 6/16/2003 Assigned
A3
-- Cl. B-1, Downgraded to Ca; previously on 6/16/2003 Assigned
Baa2
-- Cl. B-2, Downgraded to C; previously on 5/1/2007 Downgraded
to B2
GSAMP Trust 2004-AHL
-- Cl. M-2, Downgraded to Baa3; previously on 12/7/2004 Assigned
A2
-- Cl. M-3, Downgraded to Ba1; previously on 12/7/2004 Assigned
A3
-- Cl. B-1, Downgraded to Ba2; previously on 12/7/2004 Assigned
Baa1
-- Cl. B-2, Downgraded to Caa1; previously on 12/7/2004 Assigned
Baa2
-- Cl. B-3, Downgraded to C; previously on 12/7/2004 Assigned
Baa3
-- Cl. B-4, Downgraded to C; previously on 12/7/2004 Assigned
Ba2
GSAMP Trust 2004-AR1
-- Cl. M-6, Downgraded to Baa2; previously on 7/26/2004 Assigned
A3
GSAMP Trust 2004-AR2
-- Cl. M-2, Downgraded to A2; previously on 9/23/2004 Assigned
Aa2
-- Cl. M-3, Downgraded to Baa1; previously on 6/5/2008
Downgraded to A1
-- Cl. M-4, Downgraded to Baa3; previously on 6/5/2008
Downgraded to A3
-- Cl. M-5, Downgraded to Ba1; previously on 6/5/2008 Downgraded
to Baa2
-- Cl. M-6, Downgraded to Ba3; previously on 6/5/2008 Downgraded
to Ba1
-- Cl. B-1, Downgraded to Ca; previously on 6/5/2008 Downgraded
to B3
-- Cl. B-2, Downgraded to C; previously on 6/5/2008 Downgraded
to Caa2
-- Cl. B-3, Downgraded to C; previously on 6/5/2008 Downgraded
to Ca
GSAMP Trust 2004-FM1
-- Cl. M-2, Downgraded to A1; previously on 12/27/2007 Upgraded
to Aa2
GSAMP Trust 2004-HE1
-- Cl. M-1, Downgraded to A1; previously on 5/11/2004 Assigned
Aa2
-- Cl. M-2, Downgraded to Ba3; previously on 5/11/2004 Assigned
A2
-- Cl. M-3, Downgraded to Ca; previously on 5/11/2004 Assigned
A3
-- Cl. M-4, Downgraded to C; previously on 5/11/2004 Assigned
Baa1
-- Cl. B-1, Downgraded to C; previously on 11/8/2007 Downgraded
to Baa3
-- Cl. B-2, Downgraded to C; previously on 11/8/2007 Downgraded
to Ba3
GSAMP Trust 2004-HE2
-- Cl. M-2, Downgraded to Baa1; previously on 9/29/2004 Assigned
A1
-- Cl. M-3, Downgraded to Baa2; previously on 9/29/2004 Assigned
A2
-- Cl. M-4, Downgraded to Baa3; previously on 9/29/2004 Assigned
A3
-- Cl. B-3, Downgraded to Ca; previously on 7/31/2008 Downgraded
to B3
-- Cl. B-4, Downgraded to C; previously on 7/31/2008 Downgraded
to Caa2
GSAMP Trust 2004-NC1
-- Cl. M-3, Downgraded to Baa1; previously on 6/18/2004 Assigned
A3
-- Cl. B-1, Downgraded to Baa2; previously on 6/18/2004 Assigned
Baa1
-- Cl. B-2, Downgraded to Baa3; previously on 6/18/2004 Assigned
Baa2
GSAMP Trust 2004-OPT
-- Cl. M-2, Downgraded to Baa2; previously on 1/14/2005 Assigned
A2
-- Cl. M-3, Downgraded to Baa3; previously on 1/14/2005 Assigned
A3
-- Cl. B-1, Downgraded to Ba2; previously on 1/14/2005 Assigned
Baa1
-- Cl. B-2, Downgraded to Caa3; previously on 1/14/2005 Assigned
Baa2
-- Cl. B-3, Downgraded to C; previously on 12/14/2007 Downgraded
to Ba1
-- Cl. B-4, Downgraded to C; previously on 12/14/2007 Downgraded
to B1
GSAMP Trust 2004-WF
-- Cl. M-2, Downgraded to Baa3; previously on 4/15/2008
Downgraded to Baa2
-- Cl. M-3, Downgraded to Ba3; previously on 4/15/2008
Downgraded to Ba2
-- Cl. B-1, Downgraded to Caa2; previously on 4/15/2008
Downgraded to B2
-- Cl. B-2, Downgraded to C; previously on 4/15/2008 Downgraded
to Caa2
GOOD SAMARITAN: Moody's Affirms 'B2' Rating on $76 Mil. Bonds
-------------------------------------------------------------
Moody's Investors Service has affirmed the B2 bond rating on Good
Samaritan Hospital's bonds, affecting $76 million of Series 1991
fixed rate bonds. The outlook remains negative. Good Samaritan
is located in Los Angeles, California. Despite some early
evidence of operating improvement in fiscal year 2009, the rating
and negative outlook reflects Moody's belief that the hospital's
extremely low cash position of $20 million and weak cashflow
threaten the hospital's viability and ability to make future debt
service payments. While the hospital does have an additional $44
million in unrestricted cash from a land sale, which provides a
short-term liquidity source, the hospital plans to use this cash
for capital.
Legal Security: Bonds are secured by a first lien on certain
pledged assets, which include the medical center and underlying
real estate, a conference center, and two parking structures.
There are limits on additional indebtedness. There is no debt
service reserve fund; the hospital makes monthly interest and
sinking fund payments into a bond fund.
Interest Rate Derivatives: None
Strengths
* High-end clinical provider with almost 200 open heart surgeries
performed in fiscal year 2008, and a relatively high Medicare
case mix index of 1.74; trends in heart surgeries are negative
due to alternative treatments and competition
* Debt structure with all fixed rate debt and no interest rate
derivatives
* Presence of $44 million in unrestricted cash from a land sale
that could provide a short-term source of liquidity for
operations and debt service, but is expected to be spent on
capital
* Potential future benefit from projected growth and
revitalization of the downtown Los Angeles area
Challenges
* Excluding the $44 million in proceeds from a land sale,
unrestricted cash declined over the last two years to a level
that is not adequate to meet operating needs and debt service
(unrestricted cash was $20 million as of March 31, 2009; about
26 days of cash on hand)
* Long-term historical trend of erratic volumes due to physician
turnover and continued declines in certain profitable cardiac
services, which have been replaced with growth in less
profitable obstetrics; however, inpatient and outpatient volumes
in fiscal year 2008 and through the six months of fiscal year
2009 are up due to the successful recruitment of physicians
* High and growing Medi-Cal patient base, representing 22% of
revenues and more than doubling in the last five years, due to a
shift in service mix, and resulting in a higher dependency on
the state for adequate funding
* Even with recent operating improvement in seven months of fiscal
year 2009, history of extremely weak cashflow margins of under
4% and negative operating cashflow in 2008, resulting in very
weak leverage measures including a very low peak debt service
coverage of 0.7 times
* Small and very competitive primary service area consisting of 11
hospitals; larger service area includes over 20 hospitals
* Unionized nursing staff and sizable wage increases
* Deferred capital needs, resulting in a very high average age of
plant of 24 years
Recent Developments/Results
Since Moody's last report in October 2008, Good Samaritan's
unrestricted cash position is slightly higher, although remains
very weak. As of March 31, 2009, unrestricted cash was $19.6
million (26 days of cash on hand), compared with $16.2 million (23
days of cash on hand) as of August 31, 2008. Management had
projected cash to decline to approximately $8 million by fiscal
year end 2009 (August 31), although with recent operating
improvement cash is now expected to be better. Routine capital
spending in FY 2009 is expected to be $10-$12 million. The
hospital's cash is primarily invested in money markets or bonds.
The project funds are invested approximately 25% in equities,
which Moody's believe creates risk given market volatility and the
intent to use these funds in the near future.
Good Samaritan currently has an additional source of liquidity in
the form of $44 million in cash acquired from a land sale. The
funds are unrestricted and can be used to support operations and
debt service. However, this money has been set aside by the board
to fund the construction of a large 190,000 square foot medical
office building and outpatient pavilion, which will assist with
recruiting physicians and expand clinical space. The total cost
of this project is approximately $80 million. If the project
proceeds, the hospital is targeting fundraising to supplement the
$44 million in designated cash. While the hospital has hired a
new development director and has board members with resources,
there has been very little evidence historically of fundraising of
the magnitude needed. The hospital does have a pledge of $14
million but will begin the project before having pledges for the
remaining gifts, which Moody's view as a significant risk.
Historically the hospital's volumes have been very erratic and
tied to physician turnover, although recent trends are more
positive. Following inpatient and outpatient declines in 2007,
admissions were up 3.9% and outpatient surgeries up 8.4% in 2008
due to the recruitment of new surgeons. Through the six months of
fiscal year 2009, admissions were up 2.5%, outpatient surgeries
were up modestly at 0.8% and inpatient surgeries were up 34%.
Growth in admissions is due to the recent recruitment of
orthopedists, and to the opening of a clinical decision unit that
has driven an increase in the number of medical transports
received through the emergency department. Importantly, growth
has been in more profitable Medicare volumes. Cardiology volumes
continue to decline with cardiac caths down 13%.
Operating results in both FY 2007 and FY 2008 were worse than FY
2006, and operating losses were high. The operating loss was
$15.6 million (-6%) in fiscal year 2008, compared with an
operating loss of $14.6 million (-6%) in 2007 (excluding a $4.5
million non-recurring Medicare settlement as well as investment
income and gifts). Operating cashflow was $0.9 million (0.4%) in
2008, compared with $1.8 million (0.7%) in 2007. Operating
cashflow from operations (as shown on the cashflow statement) was
negative in 2008. Both years were affected by the loss of
orthopedists, the replacement of which did not start until well
into fiscal year 2008. Additionally, the hospital continues to
face high wage increases under its current union contracts, which
expire in 2009.
Fiscal year 2009 is showing some early signs of operating
improvement. Through seven months of fiscal year 2009, the
operating loss was $2.6 million (-1.6%), compared with a loss of
$8.7 million (-6.2%) in the prior year period. The improvement is
due to volume growth, higher Medicare business, and a timing issue
related to a special state funding received in the current period
but not in the prior period.
While performance in 2009 is better, over the longer-term the
hospital has not been able to translate its size, presence and
service strength into profitable and sustainable performance,
which has resulted in its very weak financial position.
Furthermore, the hospital has failed thus far to demonstrate a
strong capacity to fundraise. Given its fundamental strengths and
prominent board, Moody's believe the hospital should be performing
at much better levels. Moody's believe that the hospital's
viability will be dictated by whether management and the board are
able to reverse operating losses and sustain adequate operating
profits, invest in needed facilities to retain physicians and grow
volume, restore cash levels and realize potential fundraising
opportunities.
Good Samaritan's Medi-Cal business continues to rise, increasing
its dependency on state funding sources. Medi-Cal increased to
22% from 21% of gross revenue in the last year. The hospital is
expecting a rate increase under its contract with Medi-Cal;
however, Moody's believe the state's fiscal challenges put this
funding at risk. In 2006 Good Samaritan qualified for funding
under a special funding distribution from the State of California,
which has been received through 2009. The future of this funding
is uncertain.
Outlook
The negative outlook reflects Moody's belief that the hospital's
extremely low cash position of $20 million and weak cashflow
threaten the hospital's viability and ability to make future debt
service payments. While the hospital does have an additional $44
million in unrestricted cash from a land sale, which provides a
short-term source of liquidity, the hospital plans to use this
cash for capital.
What could change the rating--UP
The negative outlook suggests an upgrade is not likely in the
absence of an extraordinary cash infusion
What could change the rating--DOWN
Further decline in unrestricted cash, continued operating losses
Key Indicators
Assumptions & Adjustments:
-- Based on financial statements for Good Samaritan Hospital
-- First number reflects audit fiscal year ended August 31, 2007
-- Second number reflects audit fiscal year ended August 31,
2008
-- Investment returns smoothed at 6% unless otherwise noted
-- Fiscal Year 2007 data has been adjusted to exclude a non-
recurring $4.5 million non-cash Medicare-related adjustment
from operating income
* Inpatient admissions: 17,383; 18,067
* Total operating revenues: $244 million; $259 million
* Moody's-adjusted net revenue available for debt service: $6.7
million; $6.2 million
* Total debt outstanding: $76 million; $76 million
* Maximum annual debt service (MADS): $8.6 million; $8.6 million
* MADS coverage based on reported investment income: 1.0 times;
1.4 times
* Moody's-adjusted MADS coverage: 0.8 times; 0.7 times
* Debt-to-cash flow: 62 times; 89 times
* Days cash on hand: 46 days; 22 days
* Cash-to-debt: 41%; 21%
* Operating margin: (6.0)%; (6.0)%
* Operating cash flow margin: 0.7%; 0.4%
The last rating action was on October 15, 2008 when the rating for
Good Samaritan Hospital was downgraded to B2 from B1 and the
negative outlook maintained.
GSAMP TRUST: Moody's Downgrades Ratings on 32 Tranches
------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 32
tranches issued in nine transactions from the GSAMP Trust shelf.
The collateral backing each tranche consists primarily of first
lien adjustable-rate and fixed-rate "scratch and dent" mortgage
loans. Scratch and dent loans in the GSAMP shelf include loans in
bankruptcy or forbearance, loans that may not comply with the
applicable guidelines of the related originator, loans for which
the original appraisal is believed to be inaccurate, seasoned
loans and loans subject to multiple delinquencies prior to closing
or / and delinquent 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, separately for
recent and for more seasoned vintages.
For recent vintages (2005 and later), Moody's calculates estimated
losses for Scratch and Dent RMBS in a two-step process. First,
serious delinquencies are projected through late 2009, primarily
based upon recent historical performance.
These projected delinquencies are converted into projected losses
using lifetime roll rates (the probability of transition to
default) averaging 60% for 60-day delinquencies, 90% for
delinquencies greater than 90 days, 100% for foreclosure and 100%
for REO, and severity assumptions based on the higher of actual
severities and 65%.
The second step is to determine losses beyond 2009. Depending on
a deal's performance, as well as collateral characteristics, such
as loan type, or loan-to-value ratios and geographic
concentrations of remaining current loans, Moody's assumes varying
degrees of slowing in the loss rate (which is measured by loss-to-
liquidation) for the remaining life of the deal. Typical degrees
of slowing in loss rate after late 2009 range from 15% to 35%.
For more 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.
-- 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:
GSAMP Trust 2003-SEA
-- Cl. A-1, Downgraded to Ba2; previously on 8/8/2008 Upgraded
to Aa2
-- Cl. M-1, Downgraded to B3; previously on 9/29/2003 Assigned
A2
-- Cl. B-1, Downgraded to Ca; previously on 9/29/2003 Assigned
Baa1
-- Cl. B-2, Downgraded to Ca; previously on 9/29/2003 Assigned
Baa2
-- Cl. B-3, Downgraded to Ca; previously on 9/29/2003 Assigned
Baa3
GSAMP Trust 2003-SEA2
-- Cl. M-1, Downgraded to A1; previously on 6/23/2006 Upgraded
to Aa2
-- Cl. B-2, Downgraded to Caa3; previously on 3/22/2004 Assigned
Ba2
GSAMP Trust 2005-SD2
-- Cl. M-3, Downgraded to B3; previously on 6/22/2005 Assigned
A2
-- Cl. B-1, Downgraded to Ca; previously on 6/22/2005 Assigned
Baa1
-- Cl. B-2, Downgraded to C; previously on 6/4/2008 Downgraded
to Ba1
-- Cl. B-3, Downgraded to C; previously on 6/4/2008 Downgraded
to Ca
GSAMP Trust 2004-SEA2
-- Cl. M-2 Downgraded to Caa1; previously on 8/22/2008
Downgraded to B3 and Placed Under Review for Possible
Downgrade
-- Cl. M-3 Downgraded to C; previously on 8/22/2008 Downgraded
to Caa3
GSAMP Trust 2005-SEA2
-- Cl. A-1, Downgraded to Aa3; previously on 10/27/2005 Assigned
Aaa
-- Cl. A-2, Downgraded to Aa3; previously on 10/27/2005 Assigned
Aaa
-- Cl. M-1, Downgraded to A2; previously on 10/27/2005 Assigned
Aa2
-- Cl. M-2, Downgraded to Baa2; previously on 10/27/2005
Assigned A2
-- Cl. B-1, Downgraded to Baa3; previously on 10/27/2005
Assigned Baa1
-- Cl. B-2, Downgraded to Ba1; previously on 10/27/2005 Assigned
Baa2
-- Cl. B-3, Downgraded to B1; previously on 10/27/2005 Assigned
Baa3
GSAMP Trust 2006-SD1
-- Cl. M-1, Downgraded to B2; previously on 6/4/2008 Downgraded
to A2
-- Cl. M-2, Downgraded to C; previously on 6/4/2008 Downgraded
to B3
GSAMP Trust 2006-SD2
-- Cl. A-1, Downgraded to Baa2; previously on 6/23/2006 Assigned
Aaa
-- Cl. A-2, Downgraded to Caa1; previously on 6/4/2008
Downgraded to Aa2
-- Cl. A-3, Downgraded to Caa2; previously on 6/4/2008
Downgraded to A2
-- Cl. M-1, Downgraded to C; previously on 6/4/2008 Downgraded
to B2
GSAMP Trust 2006-SD3
-- Cl. A, Downgraded to Caa2; previously on 7/26/2006 Assigned
Aaa
-- Cl. M-1, Downgraded to C; previously on 6/4/2008 Downgraded
to B1
GSAMP Trust 2007-SEA1
-- Cl. A, Downgraded to Caa1; previously on 2/9/2007 Assigned
Aaa
-- Cl. M-1, Downgraded to C; previously on 6/4/2008 Downgraded
to Aa3
-- Cl. M-2, Downgraded to C; previously on 6/4/2008 Downgraded
to B1
-- Cl. B-1, Downgraded to C; previously on 6/4/2008 Downgraded
to Ca
GSRPM MORTGAGE: Moody's Downgrades Ratings on 29 Tranches
---------------------------------------------------------
Moody's Investors Service has downgraded the ratings of twenty
nine tranches issued in four transactions from the GSRPM Mortgage
Loan Trust shelf. The collateral backing each tranche consists
primarily of first lien adjustable-rate and fixed-rate "scratch
and dent" mortgage loans. Scratch and dent loans in the GSRPM
shelf include loans in bankruptcy or forbearance, loans that may
not comply with the applicable guidelines of the related
originator, loans for which the original appraisal is believed to
be inaccurate, seasoned loans and loans subject to multiple
delinquencies prior to closing or / and delinquent 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, separately for
recent and for more seasoned vintages.
For recent vintages (2005 and later), Moody's calculates estimated
losses for Scratch and Dent RMBS in a two-step process. First,
serious delinquencies are projected through late 2009, primarily
based upon recent historical performance. These projected
delinquencies are converted into projected losses using lifetime
roll rates (the probability of transition to default) averaging
60% for 60-day delinquencies, 90% for delinquencies greater than
90 days, 100% for foreclosure and 100% for REO, and severity
assumptions based on the higher of actual severities and 65%.
The second step is to determine losses beyond 2009. Depending on a
deal's performance, as well as collateral characteristics, such as
loan type, or loan-to-value ratios and geographic concentrations
of remaining current loans, Moody's assumes varying degrees of
slowing in the loss rate (which is measured by loss-to-
liquidation) for the remaining life of the deal. Typical degrees
of slowing in loss rate after late 2009 range from 15% to 35%.
For more 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.
-- 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:
Issuer: GSRPM Mortgage Loan Trust 2003-2
-- Cl. A-1, Downgraded to Aa1; previously on 10/30/2003 Assigned
Aaa
-- Cl. M-1, Downgraded to A2; previously on 10/30/2003 Assigned
Aa2
-- Cl. M-2, Downgraded to B3; previously on 10/30/2003 Assigned
A2
-- Cl. B-1, Downgraded to C; previously on 6/25/2008 Downgraded
to Baa3
-- Cl. B-2, Downgraded to C; previously on 6/25/2008 Downgraded
to Ba2
-- Cl. B-3, Downgraded to C; previously on 6/25/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
Issuer: GSRPM Mortgage Loan Trust 2006-1
-- Cl. A-1, Downgraded to Aa2; previously on 5/2/2006 Assigned
Aaa
-- Cl. A-2, Downgraded to Aa2; previously on 5/2/2006 Assigned
Aaa
-- Cl. A-3, Downgraded to Baa1; previously on 5/2/2006 Assigned
Aaa
-- Cl. M-1, Downgraded to Caa1; previously on 5/2/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to Caa2; previously on 5/2/2006 Assigned
A2
-- Cl. B-1, Downgraded to Ca; previously on 6/25/2008 Downgraded
to Baa2
-- Cl. B-2, Downgraded to C; previously on 6/25/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C; previously on 6/25/2008 Downgraded
to Caa1
-- Cl. B-4, Downgraded to C; previously on 6/25/2008 Downgraded
to Caa3
Issuer: GSRPM Mortgage Loan Trust 2006-2
-- Cl. A-1B, Downgraded to Baa3; previously on 10/24/2006
Assigned Aaa
-- Cl. A-2, Downgraded to Baa3; previously on 10/24/2006
Assigned Aaa
-- Cl. M-1, Downgraded to Caa2; previously on 6/25/2008
Downgraded to A1
-- Cl. M-2, Downgraded to Ca; previously on 6/25/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C; previously on 6/25/2008 Downgraded
to Caa2
-- Cl. B-2, Downgraded to C; previously on 6/25/2008 Downgraded
to Caa3
-- Cl. B-3, Downgraded to C; previously on 6/25/2008 Downgraded
to Ca
Issuer: GSRPM Mortgage Loan Trust 2007-1
-- Cl. A, Downgraded to Caa1; previously on 4/27/2007 Assigned
Aaa
-- Cl. M-1, Downgraded to C; previously on 6/25/2008 Downgraded
to A3
-- Cl. M-2, Downgraded to C; previously on 6/25/2008 Downgraded
to B3
-- Cl. B-1, Downgraded to C; previously on 6/25/2008 Downgraded
to Caa1
-- Cl. B-2, Downgraded to C; previously on 6/25/2008 Downgraded
to Caa2
-- Cl. B-3, Downgraded to C; previously on 6/25/2008 Downgraded
to Caa3
-- Cl. B-4, Downgraded to C; previously on 6/25/2008 Downgraded
to Ca
JP MORGAN: Moody's Downgrades Ratings on 155 Tranches
-----------------------------------------------------
Moody's Investors Service has downgraded 155 tranches and
confirmed 5 tranches from 7 J.P. Morgan Jumbo deals.
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.
For details regarding Moody's approach to estimating losses on
Jumbo pools originated in 2005, 2006, 2007 and 2008, please refer
to the methodology publication "Prime Jumbo RMBS Loss Projection
Update: March 2009" available on Moodys.com.
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:
J.P. Morgan Mortgage Trust 2006-A2
-- Cl. 1-A-1, Downgraded to B3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Caa1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Caa1; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Ca; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to B2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Baa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa1; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to B3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to Ca; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to B1; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to B2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to B2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Ca; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Ba3; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Confirmed at Aaa; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 5-A-2, Downgraded to A1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 5-A-3, Downgraded to Aa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 5-A-4, Downgraded to Ba3; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. P, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
J.P. Morgan Mortgage Trust 2006-A4
-- Cl. 1-A-1, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to B2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to B3; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to Ca; previously on 3/19/2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Ca; previously on 3/19/2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to B2; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to B3; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Downgraded to Ca; previously on 3/19/2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to B3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to B2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-3, Downgraded to B3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-4, Downgraded to A1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-5, Downgraded to B3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-6, Downgraded to Ca; previously on 3/19/2009 B1
Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 5-A-2, Downgraded to Ca; previously on 3/19/2009 B2
Placed Under Review for Possible Downgrade
-- Cl. P, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
J.P. Morgan Mortgage Trust 2006-A7
-- Cl. 1-A-1, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ca; previously on 3/19/2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4F, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4L, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1K, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1R, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3F, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3L, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3M, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3S, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4F, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4K, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4L, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4M, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4R, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4S, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to Ca; previously on 3/19/2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to B3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2F, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2L, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2M, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2S, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3F, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3L, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3M, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3S, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Ca; previously on 3/19/2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to B3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2F, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2L, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2M, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2S, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-3, Downgraded to Ca; previously on 3/19/2009 B3
Placed Under Review for Possible Downgrade
J.P. Morgan Mortgage Trust 2007-A1
-- Cl. 1-A-1, Confirmed at Aaa; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Caa2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to B2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Ca; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Ca; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to B3; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to B3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Downgraded to Ca; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to B1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to A2; previously on 3/19/2009 Aaa \
Placed Under Review for Possible Downgrade
-- Cl. 4-A-3, Downgraded to Ca; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-4, Downgraded to Ca; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Ba2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 5-A-2, Downgraded to A1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 5-A-3, Downgraded to Ca; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 5-A-4, Downgraded to Ca; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 5-A-5, Confirmed at Aaa; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 5-A-6, Downgraded to B3; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to B3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 6-A-2, Downgraded to Ca; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 6-A-3, Downgraded to B3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 6-A-4, Downgraded to B3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 7-A-1, Downgraded to B2; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 7-A-2, Downgraded to B1; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 7-A-3, Downgraded to B2; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 7-A-3M, Downgraded to B2; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 7-A-3S, Downgraded to B2; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 7-A-4, Downgraded to Ca; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
J.P. Morgan Mortgage Trust 2007-A2
-- Cl. 1-A-1, Downgraded to B1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-1M, Downgraded to B1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-1S, Downgraded to B1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ca; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to B2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3F, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3L, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3M, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3S, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Ca; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-5M, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-5S, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3F, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3L, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3M, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3S, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Ca; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Ba2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1M, Downgraded to Ba2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1S, Downgraded to Ba2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2F, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2L, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2M, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2S, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-3, Downgraded to Ca; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-4, Downgraded to Ba2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-4M, Downgraded to Ba2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-4S, Downgraded to Ba2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
J.P. Morgan Mortgage Trust 2007-S1
-- Cl. 2-A-1, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
J.P. Morgan Mortgage Trust 2007-S2
-- Cl. 1-A-4, Downgraded to Ba3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-9, Downgraded to B2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-10, Downgraded to Ca; previously on 3/19/2009 B1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-11, Downgraded to Ba3; previously on 3/19/2009 A1
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.
LB-UBS COMMERCIAL: Moody's Affirms Ratings on 12 2004-C8 Notes
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 12 classes and
downgraded 8 classes of LB-UBS Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2004-C8.
The downgrades are due to higher expected losses for the pool
resulting from higher leverage, increased credit quality
dispersion, anticipated losses from loans in special servicing and
concerns about five year loans approaching maturity. The action
is the result of Moody's on-going surveillance of commercial
mortgage backed securities transactions.
As of the April 17, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 5% to
$1.25 billion from $1.31 billion at securitization. The
Certificates are collateralized by 91 mortgage loans ranging in
size from less than 1% to 9% of the pool, with the top 10 loans
representing 54% of the pool. The pool includes three loans,
representing 16% of the pool, with investment grade underlying
ratings. Four loans, representing 19% of the pool, have defeased
and are collateralized with U.S. Government securities.
Twenty-six loans, representing 26% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. Moody's is concerned about several of these loans,
including the Lembi Portfolio Loan ($113.9 million -- 9.1%), which
is the pool's second largest loan. The loan is secured by a
portfolio of multifamily properties located in San Francisco.
One loan has been liquidated from the trust with minimal loss.
There are two loans, representing 6% of the pool, currently in
special servicing. One of the specially serviced loans (Houston
Apartments - $40.0 million, 3.2%) is secured by a 1,151 unit
multifamily property located in Houston, Texas and is real estate
owned. The other specially serviced loan (Hunt Retail Portfolio -
$33.3 million, 2.7%) is secured by a portfolio of 11 retail
properties and is 60 days delinquent. Moody's estimates an
aggregate $24.7 million loss for the specially serviced loans.
Moody's was provided with full-year 2007 and 2008 operating
results for 90% and 42% of the pool, respectively. Moody's loan
to value ratio for the conduit component, excluding the specially
serviced loans, is 109% compared to 99% at Moody's prior full
review in March 2007. In addition to the overall increase in
leverage, the pool has experienced increased LTV dispersion.
Based on Moody's analysis, 54% of the pool has an LTV in excess of
100% compared to 33% at last review and 27% has an LTV in excess
of 120%, compared to nothing at last review.
Thirty seven loans representing 16% of the pool mature within the
next 12 months. Six of these loans, representing 8% of the pool,
have a debt service coverage ratio less than 1.0x based on Moody's
stressed 9.25% rate.
The largest loan with an underlying rating is The Grace Building
Loan ($114.4 million - 9.1%), which is secured by a 1.5 million
square foot Class A office building located in New York City. The
loan represents a 33.3% pari-passu interest in a $343.2 million
loan. There is also a subordinate B Note of $29.3 million held
outside the trust. Currently 13% of the premises is available for
lease. Property performance has declined due to increased vacancy
and operating expenses. The loan sponsor is Brookfield
Properties. Moody's current underlying rating is Baa1 compared to
A2 at last review.
The second largest loan with an underlying rating is the 757 Third
Avenue Loan ($67.7 million - 5.4%), which is secured by a 456,000
square foot office building located in New York City. There is
also a subordinate B Note of $60.0 million held outside the trust.
The property was 94% leased as of February 2009 compared to 97% at
last review. Property performance has declined due to increased
operating expenses. Moody's current underlying rating is A2
compared to Aa3 at last review.
The third largest loan with an underlying rating is the Westfield
Shoppingtown Meriden Loan ($18.2 million - 1.5%) which is a
subordinate B Note secured by the borrower's interest in a 913,625
square foot mall located in Meriden, Connecticut. The center is
anchored by Macy's, J.C. Penney and Sears. The in-line stores
were 80% occupied as of January 2009, essentially the same as at
last review. The property's net operating income has declined 15%
since securitization. Moody's current underlying rating is Baa3
compared to A3 at last review.
The three largest conduit loans represent 20.8% of the pool. The
largest conduit loan is the Lembi Portfolio Loan ($113.9 million -
- 9.1%), which is secured by 29 multifamily properties containing
795 apartments and 27 ground floor retail units. The properties
are all located in San Francisco, California. The portfolio was
96% occupied as of December 2008 compared to 99% at last review.
The loan matures in November 2009 and is full recourse to the
sponsor, which is an affiliate of the Lembi Group, a private
family-owned real estate firm. In December 2008 and January 2009,
an affiliate of the company deeded a total of 51 properties to the
United Bank of Switzerland. In addition, several lenders have
initiated foreclosure proceedings on another 31 properties. None
of these 82 properties are part of the security for the loan in
this trust. The loan is on the master servicer's watchlist and is
30 days delinquent. Moody's analysis of this loan incorporates a
stressed cash flow due to concerns about the loan's sponsor.
Moody's LTV is 129% compared to 99% at last review.
The second largest conduit loan is the U-Store-It Portfolio I Loan
($84.4 million - 6.7%), which is secured by 25 self storage
facilities totaling 1.7 million square feet. The properties are
located in Illinois, Indiana, Ohio and Wisconsin. The portfolio
was 81% occupied as of December 2008 compared to 74% at last
review. Moody's LTV is 100% compared to 99% at last review.
The third largest conduit loan is the 1601 Market Street Loan
($61.5 million - 4.9%), which is secured by a 681,000 square foot
office building located in downtown Philadelphia, Pennsylvania.
The property was 89% occupied as of February 2009 compared to 82%
at last review. The largest tenants are KPMG Peat Marwick (18% of
the NRA; lease expiration June 2012) and Radian Guaranty (16% of
the NRA; lease expiration August 2017). Financial performance has
been impacted by a decline in rental revenue and expense
reimbursements. Moody's LTV is 110% compared to 100% at last
review.
Moody's rating action is:
-- Class A-2, $377,915,110, affirmed at Aaa; previously affirmed
at Aaa on 3/30/07
-- Class A-3, $44,000,000, affirmed at Aaa; previously affirmed
at Aaa on 3/30/07
-- Class A-4, $150,000,000, affirmed at Aaa; previously affirmed
at Aaa on 3/30/07
-- Class A-5, $36,000,000, affirmed at Aaa; previously affirmed
at Aaa on 3/30/07
-- Class A-6, $383,027,000, affirmed at Aaa; previously affirmed
at Aaa on 3/30/07
-- Class A-J, $85,232,000, affirmed at Aaa; previously affirmed
at Aaa on 3/30/07
-- Class X-CL, Notional, affirmed at Aaa; previously affirmed at
Aaa on 3/30/07
-- Class X-CP, Notional, affirmed at Aaa; previously affirmed at
Aaa on 3/30/07
-- Class B, $19,669,000, affirmed at Aaa; previously upgraded to
Aaa from Aa1 on 3/30/07
-- Class C, $19,669,000, affirmed at Aa2; previously affirmed at
Aa2 on 3/30/07
-- Class D, $14,752,000, affirmed at Aa3; previously affirmed at
Aa3 on 3/30/07
-- Class E, $14,752,000, affirmed at A1; previously affirmed at
A1 on 3/30/07
-- Class F, $16,391,000, downgraded to A3 from A2; previously
affirmed at A2 on 3/30/07
-- Class G, $11,473,000, downgraded to Baa1 from A3; previously
affirmed at A3 on 3/30/07
-- Class H, $13,113,000, WAC, downgraded to Baa3 from Baa1;
previously affirmed at Baa1 on 3/30/07
-- Class J, $9,838,000, downgraded to Ba2 from Baa2; previously
affirmed at Baa2 on 3/30/07
-- Class K, $16,391,000, downgraded to B1 from Baa3; previously
affirmed at Baa3 on 3/30/07
-- Class L, $6,556,000, downgraded to B2 from Ba1; previously
affirmed at Ba1 on 3/30/07
-- Class M, $4,918,000, downgraded to B3 from Ba2; previously
affirmed at Ba2 on 3/30/07
-- Class N, $4,917,000, downgraded to Caa1 from Ba3; previously
affirmed at Ba3 on 3/30/07
MARINE MILITARY: Moody's Reviews 'B3' Rating on Revenue Bonds
-------------------------------------------------------------
Moody's Investors Service has placed Marine Military Academy's B3
rating on the Revenue Bonds, Series 1995 and 1997 on Watchlist
with direction uncertain. The bonds were issued through the City
of Harlingen, Texas Higher Education Facilities Corporation. This
action affects $6 million of outstanding debt. The Watchlist
action is prompted by the lack of sufficient current financial and
operating information. If the information is not obtained within
the next 30 days, Moody's will take appropriate action which could
include the withdrawal or lowering of the rating.
Rated Debt:
-- Revenue Bonds, Series 1995 and 1997: rated B3
The last rating action and report with respect to Marine Military
Academy was published on October 6, 2006 when the B3 rating and
stable outlook were affirmed.
MARK IV: Moody's Downgrades Probability of Default Ratings to 'D'
------------------------------------------------------------------
Moody's Investors Service has lowered the Corporate Family and
Probability of Default Ratings of Mark IV Industries to Ca from
Caa3, and to D from Caa3, respectively. In a related action
Moody's lowered the ratings of the senior secured first lien
facilities, to Caa3 from Caa2; and senior secured second lien term
loan, to C from Ca.
The lowered ratings reflect the filing for Chapter 11 protection
by Mark IV on April 30, 2009. As part of the Chapter 11 filing
announcement, the company said it has already reached agreement in
principle with a steering committee of its senior lenders on a
plan of reorganization and new capital structure for the
reorganized Company. Also according the announcement, Mark IV's
international operations and its IVHS business, which includes the
manufacturing operations of electronic toll collection equipment
in North America, are excluded from the filing. Consistent with
Moody's Withdrawal Policy, Moody's will withdraw the ratings of
Mark IV.
These ratings were lowered:
Mark IV Industries, Inc.
-- Corporate Family Rating, to Ca from Caa3;
-- Probability of Default Rating to D from Caa3;
Dayco Products, LLC
-- Senior secured credit facilities, to Caa3 (LGD 3, 32%) from
Caa2 (LGD 3, 32%), consisting of:
-- $150 million US/European revolving credit facility due 2010
(up to $50 million-equivalent to be available in Euros); and
a
-- $635 million (remaining balance) 7-year US term loan B due
2011;
-- $148 million (remaining balance) senior secured second lien
term loan due 2011, to C (LGD5, 86%) from Ca (LGD5, 86%);
Dayco Europe SrL
-- $28 million (remaining balance) equivalent euro equivalent
denominated European term loan A due 2010, to Caa3 (LGD 3,
32%) from Caa2 (LGD 3, 32%)
The last rating action for Mark IV was on February 12, 2009 when
the Corporate Family Rating was lowered to Caa3.
Mark IV Industries is a diversified manufacturer of engineered
systems and components utilizing radio frequency identification,
information display system, mechanical power transmission, air
admission, and other technologies that serve industrial,
transportation and automotive markets. Mark IV manages and
reports its operations into two categories: (i)
Industrial/Distribution and (ii) Automotive OEM. Annual revenues
approximate $1.4 billion.
MERITAGE MORTGAGE: Moody's Downgrades Ratings on 17 Securities
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 17
securities from three transactions issued by Meritage. These
actions are part of an ongoing review of subprime RMBS
transactions.
The rating actions are the result of an analysis of credit
enhancement relative to updated collateral loss projections. The
revised loss projections generally result from deterioration in
collateral performance in recent months. Additionally, most
effected transactions have, at some point, passed performance
triggers and released portions of credit enhancement.
Moody's approach to analyzing seasoned subprime pools i.e. prior
to 2H 2005 takes into account the annualized loss rate from last
12 months and the projected loss rate over next 12 months, and
then translates these measures into lifetime losses based on a
deal's expected remaining life. Recent Losses are calculated by
assessing cumulative losses incurred over the past 12-months as a
percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%,
65% and 90% for loans that are delinquent 60-days, 90+ days, are
in foreclosure, and REO respectively. Moody's then applies deal-
specific severity assumptions, in this case ranging from 70% to
80%. The results of these two calculations - Recent Losses and
Pipeline Losses - are weighted to arrive at the lifetime
cumulative loss projection.
The complete rating actions:
Meritage Mortgage Loan Trust 2003-1
-- Cl. M-3, Downgraded to Baa3; previously on 5/28/2004 Assigned
A3
-- Cl. M-4, Downgraded to Ba2; previously on 5/28/2004 Assigned
Baa1
-- Cl. M-5, Downgraded to Ca; previously on 5/28/2004 Assigned
Baa2
-- Cl. M-6, Downgraded to C; previously on 9/19/2007 Downgraded
to B3
Meritage Mortgage Loan Trust 2004-1
-- Cl. M-1, Downgraded to Baa3; previously on 2/1/2008 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to B2; previously on 2/1/2008 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Ca; previously on 2/1/2008 Downgraded
to Baa2
-- Cl. M-4, Downgraded to C; previously on 2/1/2008 Downgraded
to Ba1
-- Cl. M-5, Downgraded to C; previously on 2/1/2008 Downgraded
to B2
-- Cl. M-6, Downgraded to C; previously on 2/1/2008 Downgraded
to Caa1
Meritage Mortgage Loan Trust 2004-2
-- Cl. M-2, Downgraded to A2; previously on 8/19/2004 Assigned
Aa2
-- Cl. M-3, Downgraded to Baa3; previously on 8/19/2004 Assigned
Aa3
-- Cl. M-4, Downgraded to Caa1; previously on 2/1/2008
Downgraded to A3
-- Cl. M-5, Downgraded to C; previously on 2/1/2008 Downgraded
to Baa2
-- Cl. M-6, Downgraded to C; previously on 2/1/2008 Downgraded
to Ba1
-- Cl. M-7, Downgraded to C; previously on 2/1/2008 Downgraded
to B1
-- Cl. M-8, Downgraded to C; previously on 2/1/2008 Downgraded
to Caa1
MINT 2005-1: DBRS Places A, B, C, D and E Notes Under Review
------------------------------------------------------------
Dominion Bond Rating Service has placed the Series A, B, C, D and
E Notes issued by MINT 2005-1 LTD Under Review with Negative
Implications.
The Transaction consists of customized synthetic investment-grade
collateralized debt obligation tranches, with separate credit
default swaps for each series of notes. Credit enhancement for
each series of notes is provided by subordination from all lower
tranches. For each series of notes, the scheduled termination of
the credit default swap is June 20, 2012.
Aggregate
Losses
From
Original Aggregate Previous
Remaining
Subordination Tranche Trading Credit
Subordination
Amount Thickness Losses Events Amount
-------------- --------- --------- --------- ------
-------
Series A 9.50% 1.00% 1.61% 2.45%
5.43%
Series B 8.50% 1.00% 1.61% 2.45%
4.43%
Series C 7.50% 1.00% 1.61% 2.45%
3.43%
Series D 6.50% 1.00% 1.61% 2.45%
2.43%
Series E 5.50% 1.00% 1.61% 2.45%
1.43%
In the last month, credit events have been triggered for Abitibi-
Consolidated Inc. and Syncora Guarantee Inc. The Transaction has
0.72% exposure to Abitibi and 2.16% exposure to Syncora (based on
the original portfolio notional amount). The Series D Notes and
Series E Notes currently have 2.43% and 1.43% of subordination,
respectively. As a result, the Abitibi and Syncora credit events
could result in first-dollar loss to both the Series D Notes and
Series E Notes, depending on the final recovery values. The credit
quality of the Series A, B and C Notes has also been negatively
affected by the credit events, which will result in a large
reduction in remaining subordination. As a result, the Notes have
been placed Under Review with Negative Implications.
Further rating action may be warranted once additional information
regarding recoveries is available.
A full-text copy of DBRS's news statement with respect to MINT
2005-1 LTD securities is available at no charge at
http://bankrupt.com/misc/DBRSCMBSdeals.PDF
MORGAN STANLEY: Moody's Downgrades Ratings on 2004-7 Notes
----------------------------------------------------------
Moody's Investors Service downgraded its ratings of notes issued
by Morgan Stanley Aces SPC 2004-7, a synthetic collateralized debt
obligation transaction. Morgan Stanley Aces SPC 2004-7, is a CDO
squared transaction that synthetically references a portfolio of
structured finance securities and fifteen bespoke synthetic CDO
tranches each referencing a portfolio of corporate entities.
The rating downgrade reflects the portfolio deterioration in the
credit quality of the transaction's reference portfolio including
the occurrence of four credit events: Lehman Brothers Holdings
Inc., Delphi Corporation, Quebecor World Inc. and Washington
Mutual Inc. The portfolio also has significant exposure to ABS
Credit Card and CMBS securities as well as corporate debt in
industries currently under stress including Banking, Finance,
Insurance and Real Estate.
The rating action also accounts for the application of revised and
updated key modeling parameter assumptions that Moody's uses to
rate and monitor ratings of synthetic CDOs. The revisions affect
key parameters in Moody's model for rating synthetic CDOs: default
probability, asset correlation, recovery rate of structured
finance obligations, and other credit indicators such as ratings
reviews and outlooks on corporate entities.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for corporate
synthetic CDOs and structured finance CDOs as described in Moody's
Special Reports below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (April 2009)
-- Moody's Approach to Rating SF CDOs (March 2009)
The rating actions are:
Class Description: JPY500, 000,000 Secured Credit-Linked Fixed
Rate Notes due 2014
-- Current Rating: Caa3
-- Prior Rating Date: June 4, 2008
-- Prior Rating: Baa1
MORGAN STANLEY: S&P Reinstates 'B-srp' Rating on Two Classes
------------------------------------------------------------
Standard & Poor's Ratings Services reinstated its ratings on the
notes from two Morgan Stanley Capital Services Inc. credit default
swap transactions.
Due to an administrative error, the ratings on both total return
swaps, which are directly linked to the rating on the junior
super-senior notes from Morgan Stanley Managed ACES SPC's series
2006-6, were inadvertently withdrawn on April 30, 2009. S&P is
reinstating the previous ratings on these classes.
Ratings Reinstated
Credit Default Swap
Morgan Stanley Capital Services Inc. - K2 Corp. Series NG5FG
Rating
------
Class To From
----- -- ----
Notes B-srp NR
Credit Default Swap
Morgan Stanley Capital Services Inc. - K2 Corp. Series NG5FR
Rating
------
Class To From
----- -- ----
Notes B-srp NR
NICHOLAS-APPLEGATE CBO: Moody's Downgrades Ratings on Four Classes
------------------------------------------------------------------
Moody's Investors Service downgraded these notes issued by
Nicholas-Applegate CBO I:
-- US$23,700,000 Class B-1 Floating Rate Notes, Due 2012,
Downgraded to B2; previously on August 24, 2000 Assigned A3;
-- US$2,500,000 Class B-2 Fixed Rate Notes, Due 2012, Downgraded
to B2; previously on August 24, 2000 Assigned A3;
-- US$12,830,000 Class C Participating Notes, Due 2012,
Downgraded to C; previously on January 9, 2007 Downgraded to
Ba3;
-- US$10,690,000 Class D Floating Rate Notes, Due 2012,
Downgraded to C; previously on January 9, 2007 Downgraded to
Caa3.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Credit deterioration of the collateral pool is observed in, among
others, a decline in the average credit rating (as measured
through the weighted average rating factor), an increase in the
dollar amount of defaulted securities, an increase in the
proportion of securities from issuers rated Caa1 and below, and
failure of the Class C and D Par Value Tests as well as failure of
all four Interest Coverage Tests. The weighted average rating
factor has significantly increased over the last few months and it
is currently at 4441 versus a test level of 2720 as of the last
trustee report, dated April 14, 2009. The proportion of
securities from issuers rated Caa1 and below is currently at 48.7%
based on the same trustee report. Additionally, interest payments
on the Class B, C and D Notes are presently being deferred as a
result of the failure of the Class A, B, C and D Interest Coverage
Tests. Moody's also noted that the transaction is negatively
impacted by large pay-fixed, receive-floating interest rate swaps
where payments to the hedge counterparty absorb a large portion of
the excess spread in the deal.
Nicholas-Applegate CBO I, issued in August of 2000, is a
collateralized bond obligation backed primarily by a portfolio of
senior unsecured bonds.
ORKNEY RE: S&P Downgrades Senior Debt Rating on A-2 Notes to 'CC'
-----------------------------------------------------------------
Standard & Poor's Ratings Services said it lowered its senior debt
rating on Orkney Re II plc's series A-2 notes to 'CC' from 'CCC-'.
S&P removed this rating from CreditWatch, where it had been placed
with negative implications on Jan. 31, 2008. At the same time,
Standard & Poor's lowered its subordinated debt rating on the
series B notes to 'C' from 'CC'.
"The continued decline in the mark-to-market value of assets in
the excess reserve account has decreased the likelihood that
Orkney Re II will continue to make scheduled payments on its
issuances," said Standard & Poor's credit analyst Gary Martucci.
The series B notes, which are deferrable, have already missed four
payments and are not expected to receive any subsequent payments.
The next payment date is May 11, 2009.
The class A-1 notes are rated 'AAA' based on a financial guaranty
policy from Assured Guaranty (UK) Ltd. Pursuant to this policy,
Assured will pay any shortfall in the scheduled payments on these
notes.
Standard & Poor's will continue to monitor the development of the
transaction and take rating actions as appropriate.
QUATRO-PMX FUNDING: Moody's Assigns 'Ca' Rating on Funding Notes
----------------------------------------------------------------
Moody's Investors Service assigned a long term rating on these
notes issued by Quatro-PmX Funding, Ltd.:
(1) Ca to the Funding Notes
Moody's explained that the rating assigned 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 this
transaction 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)
Moody's ratings of the Notes address the ultimate cash receipt of
all interest and principal payments required by the Notes'
governing documents, and are based on the expected loss posed to
holders of the Notes relative to the promise of receiving the
present value of such payments. The ratings on the Notes are also
based upon the transaction's legal structure and the
characteristics of the collateral pool.
Quatro-PmX Funding, Ltd. is a collateralized debt obligation
backed primarily by a portfolio of structured finance securities.
PPM AMERICA: Moody's Junks Ratings on Two Classes of Notes
----------------------------------------------------------
Moody's Investors Service downgraded the ratings of these notes
issued by PPM America High Grade CBO I, Ltd.:
-- $48,000,000 Class B-l Senior Subordinated Fixed Rate Notes
Due 2013, Downgraded to Caa3; previously on October 28, 2003
Downgraded to Ba1;
-- $10,000,000 Class B-2 Senior Subordinated Floating Rate Notes
Due 2013, Downgraded to Caa3; previously on October 28, 2003
Downgraded to Ba1.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009.
Credit deterioration of the collateral pool is observed in, among
others, a decline in the average credit rating (as measured
through the weighted average rating factor), an increase in the
proportion of non-investment-grade collateral (in particular
securities from issuers rated Caa1 and below), and failure of the
Over collateralization and Class B Interest Coverage Tests. The
Moody's weighted average rating factor has increased significantly
over the last few months and is currently 2484 versus the test
level of 585 as of the last trustee report, dated April 1, 2009.
In the same report, the Over collateralization Test ratio is
reported at 102.71% versus the test level of 103.25%, and the
Class B Interest Coverage Test is calculated at 75.81% versus the
test level of 102.5%. Furthermore, in a prior period, the breach
of a periodic loss percentage trigger in the transaction resulted
in deferral of interest for the Class B-1 and B-2 notes. Moody's
also noted that the transaction is negatively impacted by a large
pay-fixed, receive-floating, interest rate swap where payments to
the hedge counterparty absorb a large portion of the excess spread
in the deal.
PPM America High Grade CBO I, Ltd., issued in December of 2000, is
a collateralized bond obligation backed primarily by a portfolio
of senior unsecured bonds.
RAAC SP: Moody's Downgrades Ratings on 82 Tranches from 11 Deals
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of eighty two
tranches issued in 11 transactions from the RAAC SP shelf and has
downgraded the ratings of 56 tranches issued in 13 transactions
from the RAAC RP shelf. The collateral backing each tranche
consists primarily of first lien adjustable-rate and fixed-rate
"scratch and dent" mortgage loans. Scratch and dent loans in the
SP shelf consist mainly of seasoned Alt-A or Prime mortgage loans
whereas scratch and dent loan in the RP shelf consist mainly of
subprime mortgage loans. A majority of the loans represent either
one or more permitted or unintentional underwriting exceptions to
the applicable guidelines. Exceptions include delinquency history
of the borrower, combined loan-to-value ratios, missing or
incomplete documentation, borrower's debt-to-income ratios or
borrower's credit score.
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, separately for
recent and for more seasoned vintages.
For recent vintages (2005 and later), Moody's calculates estimated
losses for Scratch and Dent RMBS in a two-step process. First,
serious delinquencies are projected through late 2009, primarily
based upon recent historical performance. These projected
delinquencies are converted into projected losses using lifetime
roll rates (the probability of transition to default) averaging
60% for 60-day delinquencies, 90% for delinquencies greater than
90 days, 100% for foreclosure and 100% for REO, and severity
assumptions based on the higher of actual severities and 65%.
The second step is to determine losses beyond 2009. Depending on
a deal's performance, as well as collateral characteristics, such
as loan type, or loan-to-value ratios and geographic
concentrations of remaining current loans, Moody's assumes varying
degrees of slowing in the loss rate (which is measured by loss-to-
liquidation) for the remaining life of the deal. Typical degrees
of slowing in loss rate after late 2009 range from 15% to 35%.
For more 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.
-- 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:
RAAC Series 2004-SP1 Trust
-- Cl. A-I-3, Downgraded to Aa3; previously on 8/23/2004
Assigned Aaa
-- Cl. A-I-4, Downgraded to Aa3; previously on 8/23/2004
Assigned Aaa
-- Cl. A-II, Downgraded to Aa3; previously on 8/23/2004 Assigned
Aaa
-- Cl. M-1, Downgraded to A2; previously on 8/23/2004 Assigned
Aa2
-- Cl. M-2, Downgraded to Baa2; previously on 8/23/2004 Assigned
A2
-- Cl. M-3, Downgraded to Ba2; previously on 8/23/2004 Assigned
Baa2
RAAC Series 2004-SP2 Trust
-- Cl. A-II-1, Downgraded to Baa1; previously on 9/1/2004
Assigned Aaa
-- Cl. A-II-2, Downgraded to Baa1; previously on 9/1/2004
Assigned Aaa
-- Cl. A-II-IO, Downgraded to Baa1; previously on 9/1/2004
Assigned Aaa
-- Cl. A-II-PO, Downgraded to Baa1; previously on 9/1/2004
Assigned Aaa
-- Cl. M-1, Downgraded to Ba3; previously on 9/1/2004 Assigned
Aa2
-- Cl. M-2, Downgraded to Ca; previously on 9/1/2004 Assigned A2
-- Cl. M-3, Downgraded to C; previously on 2/7/2007 Downgraded
to Ba2
-- Cl. B-1, Downgraded to C; previously on 2/7/2007 Downgraded
to B2
-- Cl. B-2, Downgraded to C; previously on 12/8/2006 Downgraded
to Ca
RAAC Series 2005-SP2 Trust
-- Cl. A-II, Downgraded to B3; previously on 6/24/2008
Downgraded to
Baa1
-- Cl. A-II-IO-A, Downgraded to B3; previously on 6/24/2008
Downgraded to Baa1
-- Cl. A-II-IO-B, Downgraded to C; previously on 6/24/2008
Downgraded to B1 and Placed Under Review for Possible
Downgrade
-- Cl. M-I-1, Downgraded to A2; previously on 10/27/2005
Assigned Aa2
-- Cl. M-I-2, Downgraded to Caa3; previously on 6/24/2008
Downgraded to Baa2
-- Cl. M-I-3, Downgraded to C; previously on 6/24/2008
Downgraded to B3 and Placed Under Review for Possible
Downgrade
-- Cl. M-I-4, Downgraded to C; previously on 6/24/2008
Downgraded to Caa2
-- Cl. M-I-5, Downgraded to C; previously on 6/24/2008
Downgraded to Caa3
-- Cl. M-II-1, Downgraded to C; previously on 6/24/2008
Downgraded to B1 and Placed Under Review for Possible
Downgrade
-- Cl. M-II-2, Downgraded to C; previously on 6/24/2008
Downgraded to Caa2
-- Cl. M-II-3, Downgraded to C; previously on 6/24/2008
Downgraded to Ca
RAAC Series 2005-SP3 Trust
-- Cl. A-2, Downgraded to A1; previously on 1/16/2006 Assigned
Aaa
-- Cl. A-3, Downgraded to A2; previously on 1/16/2006 Assigned
Aaa
-- Cl. M-1, Downgraded to B3; previously on 6/24/2008 Downgraded
to A2
-- Cl. M-2, Downgraded to C; previously on 6/24/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa1
RAAC Series 2006-SP1 Trust
-- Cl. A-2, Downgraded to A2; previously on 3/17/2006 Assigned
Aaa
-- Cl. A-3, Downgraded to Baa1; previously on 3/17/2006 Assigned
Aaa
-- Cl. M-1, Downgraded to Caa3; previously on 3/17/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to C; previously on 6/24/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa2
-- Cl. M-4, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa3
-- Cl. M-5, Downgraded to C; previously on 6/24/2008 Downgraded
to Ca
RAAC Series 2006-SP2 Trust
-- Cl. A-2, Downgraded to Ba1; previously on 5/24/2006 Assigned
Aaa
-- Cl. A-3, Downgraded to B1; previously on 5/24/2006 Assigned
Aaa
-- Cl. M-1, Downgraded to Ca; previously on 5/24/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to C; previously on 6/24/2008 Downgraded
to B1
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa2
-- Cl. M-4, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa3
RAAC Series 2006-SP3 Trust
-- Cl. A-1, Downgraded to Aa2; previously on 9/26/2006 Assigned
Aaa
-- Cl. A-2, Downgraded to Ba1; previously on 9/26/2006 Assigned
Aaa
-- Cl. A-3, Downgraded to B1; previously on 9/26/2006 Assigned
Aaa
-- Cl. M-1, Downgraded to Ca; previously on 9/26/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to C; previously on 9/26/2006 Assigned A2
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to Ba3
-- Cl. M-4, Downgraded to C; previously on 6/24/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa1
-- Cl. M-6, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa2
RAAC Series 2006-SP4 Trust
-- Cl. A-1, Downgraded to B3; previously on 12/18/2006 Assigned
Aaa
-- Cl. A-2, Downgraded to Caa2; previously on 12/18/2006
Assigned Aaa
-- Cl. A-3, Downgraded to Caa2; previously on 12/18/2006
Assigned Aaa
-- Cl. M-1, Downgraded to C; previously on 12/18/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to C; previously on 6/24/2008 Downgraded
to B2
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa1
-- Cl. M-4, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa2
-- Cl. M-5, Downgraded to C; previously on 6/24/2008 Downgraded
to Ca
RAAC Series 2007-SP1 Trust
-- Cl. A-1, Downgraded to B3; previously on 4/18/2007 Assigned
Aaa
-- Cl. A-2, Downgraded to Caa2; previously on 4/18/2007 Assigned
Aaa
-- Cl. A-3, Downgraded to Caa2; previously on 6/24/2008
Downgraded to Aa3
-- Cl. M-1, Downgraded to C; previously on 6/24/2008 Downgraded
to Baa3
-- Cl. M-2, Downgraded to C; previously on 6/24/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa3
-- Cl. M-4, Downgraded to C; previously on 6/24/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
RAAC Series 2007-SP2 Trust
-- Cl. A-1, Downgraded to Caa3; previously on 7/19/2007 Assigned
Aaa
-- Cl. A-2, Downgraded to Ca; previously on 7/19/2007 Assigned
Aaa
-- Cl. A-3, Downgraded to Ca; previously on 7/19/2007 Assigned
Aaa
-- Cl. M-1, Downgraded to C; previously on 7/19/2007 Assigned
Aa2
-- Cl. M-2, Downgraded to C; previously on 7/19/2007 Assigned A2
-- Cl. M-3, Downgraded to C; previously on 7/19/2007 Assigned
Baa1
-- Cl. M-4, Downgraded to C; previously on 7/19/2007 Assigned
Baa2
RAAC Series 2007-SP3 Trust
-- Cl. A-1, Downgraded to Caa1; previously on 10/16/2007
Assigned Aaa
-- Cl. A-2, Downgraded to C; previously on 10/16/2007 Assigned
Aaa
-- Cl. M-1, Downgraded to C; previously on 10/16/2007 Assigned
Aa2
-- Cl. M-2, Downgraded to C; previously on 10/16/2007 Assigned
A2
-- Cl. M-3, Downgraded to C; previously on 10/16/2007 Assigned
Baa1
-- Cl. M-4, Downgraded to C; previously on 10/16/2007 Assigned
Baa2
RFSC Series 2003-RP1 Trust
-- M-2, Downgraded to Caa3; previously on 8/22/2008 Downgraded
to Baa3
RFSC Series 2004-RP1 Trust
-- M-2, Downgraded to B1; previously on 11/27/2007 Downgraded to
Ba1
-- M-3, Downgraded to C; previously on 11/27/2007 Downgraded to
Caa2
RAAC Series 2005-RP1 Trust
-- Cl. M-2, Downgraded to Ba3; previously on 3/7/2005 Assigned
A2
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to Ba2
-- Cl. M-4, Downgraded to C; previously on 6/24/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on 6/24/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
RAAC Series 2005-RP2 Trust
-- Cl. M-2, Downgraded to Baa2; previously on 8/25/2005 Assigned
A2
-- Cl. M-3, Downgraded to Ca; previously on 6/24/2008 Downgraded
to B1 and Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on 6/24/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on 6/24/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
RAAC Series 2005-RP3 Trust
-- Cl. A-2, Downgraded to Aa1; previously on 12/19/2005 Assigned
Aaa
-- Cl. M-1, Downgraded to Ba3; previously on 6/24/2008
Downgraded to Baa1
-- Cl. M-2, Downgraded to C; previously on 6/24/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa1
-- Cl. M-4, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa2
-- Cl. M-5, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa3
RAAC Series 2006-RP1 Trust
-- Cl. A-2, Downgraded to A1; previously on 3/14/2006 Assigned
Aaa
-- Cl. A-3, Downgraded to A1; previously on 3/14/2006 Assigned
Aaa
-- Cl. M-1, Downgraded to Ba2; previously on 3/14/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to C; previously on 6/24/2008 Downgraded
to Ba3
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa1
RAAC Series 2006-RP2 Trust
-- Cl. A, Downgraded to B2; previously on 6/24/2008 Aaa Placed
Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on 6/24/2008 Downgraded
to B3
-- Cl. M-2, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa2
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to Ca
RAAC Series 2006-RP3 Trust
-- Cl. A, Downgraded to Caa2; previously on 6/24/2008 Aaa Placed
Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on 6/24/2008 Downgraded
to B2
-- Cl. M-2, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa2
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa3
-- Cl. M-4, Downgraded to C; previously on 6/24/2008 Downgraded
to Ca
RAAC Series 2006-RP4 Trust
-- Cl. A, Downgraded to B3; previously on 6/24/2008 Downgraded
to A1
-- Cl. M-1, Downgraded to C; previously on 6/24/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa1
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa2
-- Cl. M-4, Downgraded to C; previously on 6/24/2008 Downgraded
to Ca
RAAC Series 2007-RP1 Trust
-- Cl. A, Downgraded to Caa3; previously on 6/24/2008 Downgraded
to A2
-- Cl. M-1, Downgraded to C; previously on 6/24/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa1
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa3
-- Cl. M-4, Downgraded to C; previously on 6/24/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
RAAC Series 2007-RP2 Trust
-- Cl. A, Downgraded to Caa2; previously on 6/24/2008 Downgraded
to A2
-- Cl. M-1, Downgraded to C; previously on 6/24/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa2
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa3
-- Cl. M-4, Downgraded to C; previously on 6/24/2008 Downgraded
to Ca
RAAC Series 2007-RP3 Trust
-- Cl. A, Downgraded to Caa3; previously on 6/24/2008 Downgraded
to Baa1
-- Cl. M-1, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa1
-- Cl. M-2, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa3
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to Ca
RAAC Series 2007-RP4 Trust
-- Cl. A, Downgraded to Caa3; previously on 6/24/2008 Downgraded
to A2
-- Cl. M-1, Downgraded to C; previously on 6/24/2008 Downgraded
to B3
-- Cl. M-2, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa3
-- Cl. M-3, Downgraded to C; previously on 6/24/2008 Downgraded
to Ca
-- Cl. M-4, Downgraded to C; previously on 6/24/2008 Downgraded
to Caa1
RESTRUCTURED ASSET: Moody's Cuts Ratings on Certs. to 'Caa3'
------------------------------------------------------------
Moody's Investors Service downgraded its rating of Restructured
Asset Certificates with Enhanced Returns, Series 2007-2-E
Certificates issued by Restructured Asset Certificates with
Enhanced Returns, Series 2007-2-E Trust.
The rating action is:
-- Restructured Asset Certificates with Enhanced Returns, Series
2007-2-E Certificates, Downgraded to Caa3; Previously on
04/08/2009 Downgraded to Caa2 and remains on Review for
Possible Downgrade.
The transaction is a repackaged security whose rating is based
primarily upon the transaction's structure and the credit quality
of the Underlying Securities. The rating action is a result of
the change in ratings for the underlying securities which are
Class A-1L Floating Rate Notes, Due 2036, issued by Mid Ocean 2000
and Class A-1 6.5563% Notes, Due 2036, issued by Mid Ocean 2001.
The Class A-1L Floating Rate Notes due 2036, issued by Mid Ocean
2000 and the Class A-1 6.5563% Notes due 2036, issued by Mid Ocean
2001 are currently rated Caa3.
SECURITY NATIONAL: Moody's Downgrades Ratings on 44 Tranches
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of forty four
tranches issued in nine transactions from the Security National
Mortgage Loan Trust shelf. The collateral backing each tranche
consists primarily of first lien adjustable-rate and fixed-rate
"scratch and dent" mortgage loans. A majority of the loans have
documentation, appraisal, credit / FICO score, loan to value ratio
or other deficiencies / exceptions and some of the mortgage loans
are currently or previously have been, delinquent.
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, separately for
recent and for more seasoned vintages.
For recent vintages (2005 and later), Moody's calculates estimated
losses for Scratch and Dent RMBS in a two-step process. First,
serious delinquencies are projected through late 2009, primarily
based upon recent historical performance. These projected
delinquencies are converted into projected losses using lifetime
roll rates (the probability of transition to default) averaging
60% for 60-day delinquencies, 90% for delinquencies greater than
90 days, 100% for foreclosure and 100% for REO, and severity
assumptions based on the higher of actual severities and 65%.
The second step is to determine losses beyond 2009. Depending on
a deal's performance, as well as collateral characteristics, such
as loan type, or loan-to-value ratios and geographic
concentrations of remaining current loans, Moody's assumes varying
degrees of slowing in the loss rate (which is measured by loss-to-
liquidation) for the remaining life of the deal. Typical degrees
of slowing in loss rate after late 2009 range from 15% to 35%.
For more 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.
-- 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:
Issuer: Security National Mortgage Loan Trust 2002-2
-- Cl. A-3, Downgraded to A1; previously on 10/8/2002 Assigned
Aaa
-- Cl. M-1, Downgraded to B3; previously on 10/8/2002 Assigned
Aa2
Issuer: Security National Mortgage Loan Trust 2004-1
-- Cl. AF-3, Downgraded to Ba1; previously on 6/21/2004 Assigned
Aaa
-- Cl. AV, Downgraded to Baa1; previously on 6/21/2004 Assigned
Aaa
-- Cl. M-1, Downgraded to Ca; previously on 6/21/2004 Assigned
Aa2
-- Cl. M-2, Downgraded to Ca; previously on 6/21/2004 Assigned
A2
Issuer: Security National Mortgage Loan Trust 2004-2
-- Cl. AF-3, Downgraded to Aa2; previously on 11/29/2004
Assigned Aaa
-- Cl. M-1, Downgraded to Baa3; previously on 11/29/2004
Assigned Aa2
Issuer: Security National Mortgage Loan Trust 2005-1
-- Cl. M-1, Downgraded to A1; previously on 2/21/2005 Assigned
Aa2
-- Cl. M-2, Downgraded to Ba1; previously on 2/21/2005 Assigned
A2
-- Cl. B-1, Downgraded to B2; previously on 2/21/2005 Assigned
Baa2
-- Cl. B-2, Downgraded to Ca; previously on 2/21/2005 Assigned
Ba2
Issuer: Security National Mortgage Loan Trust 2005-2
-- Cl. A-3, Downgraded to Ba1; previously on 11/22/2005 Assigned
Aaa
-- Cl. A-4, Downgraded to Ba3; previously on 11/22/2005 Assigned
Aaa
-- Cl. M-1, Downgraded to Caa3; previously on 11/22/2005
Assigned Aa2
-- Cl. M-2, Downgraded to C; previously on 8/8/2008 Downgraded
to Baa3
-- Cl. B-1, Downgraded to C; previously on 8/8/2008 Downgraded
to Caa2
Issuer: Security National Mortgage Loan Trust 2006-1
-- Cl. 1-A2, Downgraded to A2; previously on 9/12/2006 Assigned
Aaa
-- Cl. 1-A3, Downgraded to B3; previously on 9/12/2006 Assigned
Aaa
-- Cl. 2-A, Downgraded to B1; previously on 9/12/2006 Assigned
Aaa
-- Cl. M-1, Downgraded to Ca; previously on 9/12/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to Ca; previously on 8/8/2008 Downgraded
to Baa1
-- Cl. B-1, Downgraded to C; previously on 8/8/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C; previously on 8/8/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C; previously on 8/8/2008 Downgraded
to Caa3
Issuer: Security National Mortgage Loan Trust 2006-2
-- Cl. A-2, Downgraded to Aa2; previously on 10/9/2006 Assigned
Aaa
-- Cl. A-3, Downgraded to B1; previously on 10/9/2006 Assigned
Aaa
-- Cl. M-1, Downgraded to Caa3; previously on 10/9/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to Ca; previously on 10/9/2006 Assigned
A2
-- Cl. B, Downgraded to C; previously on 8/8/2008 Downgraded to
Ba3
Issuer: Security National Mortgage Loan Trust 2006-3
-- Cl. A-1, Downgraded to Baa3; previously on 1/8/2007 Assigned
Aaa
-- Cl. A-2, Downgraded to B2; previously on 1/8/2007 Assigned
Aaa
-- Cl. A-3, Downgraded to Caa3; previously on 8/8/2008
Downgraded to Aa1
-- Cl. M-1, Downgraded to C; previously on 8/8/2008 Downgraded
to Ba1
-- Cl. M-2, Downgraded to C; previously on 8/8/2008 Downgraded
to Caa2
-- Cl. B, Downgraded to C; previously on 8/8/2008 Downgraded to
Ca
Issuer: Security National Mortgage Loan Trust 2007-1
-- Cl. 1-A1, Downgraded to Aa1; previously on 4/17/2007 Assigned
Aaa
-- Cl. 1-A2, Downgraded to Ba3; previously on 4/17/2007 Assigned
Aaa
-- Cl. 1-A3, Downgraded to B3; previously on 4/17/2007 Assigned
Aaa
-- Cl. 2-A, Downgraded to B3; previously on 4/17/2007 Assigned
Aaa
-- Cl. M-1, Downgraded to Ca; previously on 4/17/2007 Assigned
Aa2
-- Cl. M-2, Downgraded to C; previously on 4/17/2007 Assigned A2
-- Cl. B-1, Downgraded to C; previously on 8/8/2008 Downgraded
to Caa1
-- Cl. B-2, Downgraded to C; previously on 8/8/2008 Downgraded
to Ca
SILVER MARLIN: Fitch Junks Ratings on Six Classes of Notes
----------------------------------------------------------
Fitch Ratings downgrades six classes and affirms two classes of
notes issued by Silver Marlin CDO I, Ltd.:
-- $601,131,374 class A-1 notes downgraded to 'CCC' from 'BBB';
-- $437,345,970 class A-2 notes downgraded to 'C' from 'CCC';
-- $62,477,996 class A-3 notes downgraded to 'C' from 'CC';
-- $66,976,411 class A-4 notes downgraded to 'C' from 'CC';
-- $21,492,431 class B notes downgraded to 'C' from 'CC';
-- $9,396,691 class C notes downgraded to 'C' from 'CC';
-- $7,861,489 class D notes affirmed at 'C';
-- $4,366,008 class E notes affirmed at 'C'.
Fitch has also removed the class A-1 notes from Rating Watch
Negative.
These rating actions are the result of credit deterioration
experienced since Fitch's rating action in April 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 84.3% of the
portfolio to be rated below investment grade, of which 69.1% of
the portfolio is considered rated 'CCC+' or lower. As of the
March 31, 2009 trustee report, approximately 55.3% of the
portfolio is now considered defaulted per the transaction's
governing documents.
Silver Marlin I declared an Event of Default as of Feb. 22, 2008
due to the class A overcollateralization (OC) ratio declining
below 100%. The majority of the controlling class, the class A-1
notes, voted to accelerate the transaction as of Aug. 14, 2008.
On the November 2008 and February 2009 distribution dates, all
interest and principal proceeds went to redeem class A-1 principal
after the class A-1 accrued interest distribution, rather than
paying accrued interest to the class A-2, A-3, A-4, B and C notes.
Based on performance expectations for the portion of the portfolio
rated 'CCC+' or lower, the class A-1 notes are likely to
experience a principal shortfall, despite the additional interest
proceeds going toward principal redemption. The remaining classes
in the capital structure are not expected to receive any interest
or principal distributions in the future.
Silver Marlin I is a SF CDO that closed on May 29, 2007 and is
managed by Sailfish Structured Investment Management (G4) LLC.
The portfolio is comprised of residential mortgage-backed
securities (76.4%), SF CDOs (17.5%), corporate CDOs (3.9%) and
asset-backed securities (2.2%).
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.
SITHE/INDEPENDENCE FUNDING: Moody's Confirms 'Ba2' Senior Rating
----------------------------------------------------------------
Moody's Investors Service has confirmed the Ba2 rating on
Sithe/Independence Funding Corporation's senior secured debt and
revised the outlook to stable. This concludes the review for
possible downgrade that was initiated on February 27, 2009 in
conjunction with the review of Dynegy Holdings Inc., Sithe
Funding's parent.
Dynegy's corporate family rating was downgraded to B2 from B1 on
April 8. Sithe's ownership by Dynegy (as well as other aspects of
the companies' close relationship) coupled with the absence of
certain ring-fencing measures characteristic of many other project
financings are important factors in Sithe's rating. However,
Sithe is not simply secured debt of Dynegy and as such Sithe's
rating is not directly linked to Dynegy's. The confirmation
reflects the fact that Sithe is ultimately structured as a stand-
alone project financing with various fundamental credit strengths.
A default by Dynegy would not necessarily entail a default by the
project as well. The absence of an independent director at the
project could make it easier for Dynegy to file Sithe for
voluntary bankruptcy and seek its substantive consolidation should
Dynegy have to file itself. However, the costs and risks
associated with such a move could exceed any benefits it provides.
Furthermore, Moody's notes that Dynegy's ratings incorporate the
possibility of defaults other than bankruptcy, such as a
distressed exchange, which would not affect the project directly.
The project has demonstrated a strong historical operating track
record and has an average heat rate of just 7,300. While its
capacity factor declined to just 12% in 2008 due to transmission
congestion, it rebounded to approximately 47% in the first quarter
of 2009. Senior debt is manageable at $325/kw in Moody's opinion
given the competitive heat rate and the project's long-term
capacity contract with Consolidated Edison Company of New York,
Inc. (A1 sr unsec. under review for possible downgrade), which
generates the majority of Sithe's cash flows. The ConEd contract,
which extends through 2014 and covers 740 MW of Unforced Capacity,
has historically provided for a majority of Sithe's fixed
obligations. The balance of the project's cash flows are
primarily derived from a tolling arrangement and financial hedge
with Dynegy Power Marketing (another affiliate of Dynegy), also
through 2014. Together, the DPM contracts cover approximately 90%
of the project's energy output. While the contracts are both
somewhat above market, on a net basis Moody's believes the project
has very strong economics from Dynegy's perspective.
The project retains the rights to the remaining 10% of its energy
output and 30% of its reliable capacity that is not under
contract. This energy and capacity is sold into the NY ISO's
wholesale energy and capacity markets. The revenues from these
sales help to offset a discount to ConEd based upon the market
price of energy and a guarantee to Novelis reflecting its
purchased power costs, covering a total of approximately 100 MWs.
The project remains exposed to a degree of basis and gas price
risk under these arrangements. In 2008, this resulted in a drop
in its debt service coverage to approximately 1.5x from 1.8x the
previous year. In the second half of the year, coverage was just
1.4x, which is below the project's restricted payments test of
1.5x. As a result, it did not make any distributions in this
March. However, Moody's understands that this was largely due to
a one-time market distortion involving artificial transmission
congestion, which greatly exacerbated the basis differential,
coupled with last year's very high gas and power prices. This is
not expected to be a recurring event and the company projects that
coverage will rebound to 1.85x in 2009, notwithstanding a
significant increase in scheduled debt service. Financial
performance will benefit from pricing escalation clauses in the
ConEd PPA and the DPM contracts.
The stable outlook reflects Moody's expectation that financial
performance will return to historical levels in 2009 following the
one-time dip in 2008. The rating could face downward pressure if
financial performance does not improve as expected, or if Dynegy's
rating comes under further pressure. The project is unlikely to
be upgraded unless Dynegy is upgraded, which is unlikely in the
near to medium term given its recent downgrade.
The last rating action on Sithe Funding occurred on February 27,
2009 when the Project's senior secured rating was placed under
review for possible downgrade.
Sithe/Independence Funding Corporation is a wholly owned
subsidiary of Sithe/Independence Power Partners, L.P., which is a
1,040 MW natural gas fired cogeneration facility located in Oswego
County, New York. Sithe Funding's debt is guaranteed by
Sithe/Independence Power Partners (the Project) and secured by all
the assets of Sithe/Independence. The Project is owned by Dynegy
Holdings Inc. and is capitalized with approximately $344 million
of outstanding senior secured notes and approximately $419 million
of subordinated debt held by Dynegy.
SOLAR INVESTMENT: Moody's Junks Ratings on Two Classes of Notes
---------------------------------------------------------------
Moody's Investors Service downgraded its ratings of these notes
issued by Solar Investment Grade CBO II, Limited:
-- US$326,500,000 Class I Senior Secured Floating Rate Notes
Due 2013, Downgraded to Aa2; previously on July 26, 2001
Assigned Aaa;
-- US$19,000,000 Class II-A Senior Secured Floating Rate
Notes Due 2013, Downgraded to Ba2; previously on April 3,
2003 Downgraded to Aa3;
-- US$13,000,000 Class II-B Senior Secured Fixed Rate Notes
Due 2013, Downgraded to Ba2; previously on April 3, 2003
Downgraded to Aa3;
-- US$7,000,000 Class III-A Mezzanine Secured Floating Rate
Notes Due 2013, Downgraded to Ca; previously on March 8, 2006
Downgraded to B1;
-- US$20,000,000 Class III-B Mezzanine Secured Fixed Rate
Notes Due 2013, Downgraded to Ca; previously on March 8, 2006
Downgraded to B1.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Credit deterioration of the collateral pool is observed in, among
others, a decline in the average credit rating (as measured
through the weighted average rating factor), an increase in the
dollar amount of defaulted securities, and an increase in the
proportion of securities from issuers rated Caa1 and below. The
Average Portfolio Rating has significantly increased over the last
few months and it is currently at 1843 versus a test level of 610
as of the last trustee report, dated March 25, 2009. Moody's also
assessed the collateral pool's elevated concentration risk in a
small number of industries. This includes a significant
concentration in debt obligations of companies in the banking,
finance, real estate, and insurance industries, which Moody's
views to be more strongly correlated in the current market
environment. These four industries account for approximately 32%
of the transaction's underlying collateral pool. Moody's also
noted that the transaction is negatively impacted by large pay-
fixed, receive-floating interest rate swaps where payments to the
hedge counterparty absorb a large portion of the excess spread in
the deal.
Solar Investment Grade CBO II, Limited, issued in July of 2001, is
a collateralized bond obligation backed primarily by a portfolio
of senior unsecured bonds.
STARLING FINANCE: S&P Raises Ratings on Two Notes from 'CCC-'
-------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the
floating-rate Clervaux Portfolio credit-linked notes from Starling
Finance PLC's series 2006-016 and 2006-018.
The upgrades reflect the increased available credit enhancement
available to support the notes. The underlying portfolios have
been updated to reflect the most recent amendments and the
concurrent increase in subordination to 5.61% from 2.96% for
series 2006-016 and to 5.62% from 3.75% for series 2006-018.
Ratings Raised
Starling Finance PLC
Series 2006-016
Rating
------
Class To From
----- -- ----
Notes BBB CCC-
Starling Finance PLC
Series 2006-018
Rating
------
Class To From
----- -- ----
Notes BBB CCC-
STEERS CREDIT-LINKED: Moody's Junks Ratings on $50 Mil. Tranche
---------------------------------------------------------------
Moody's Investors Service downgraded its rating of notes issued by
STEERS CREDIT-LINKED TRUST, MAST TRANCHE, Series 2004-1, a
collateralized debt obligation transaction that references
synthetic tranches from 8 collateralized debt obligation
transactions referencing portfolios of corporate entities.
Moody's explained that the rating actions taken are the result of
(i) the application of revised and updated key modeling parameter
assumptions that Moody's uses to rate and monitor ratings of
Corporate Synthetic CDOs and (ii) the deterioration in the credit
quality of the transaction's reference portfolio which includes
but is not limited to exposure to Tribune Company, the Rouse
Company LP, and Idearc, Inc. which declared bankruptcy subsequent
to Moody's December 2008 rating action. The revisions affect key
parameters in Moody's model for rating Corporate Synthetic CDOs:
default probability, asset correlation, and other credit
indicators such as ratings reviews and outlooks.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for Corporate
Synthetic CDOs as described in Moody's Special Report:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (April 2009)
The rating action is:
Class Description: US$50,000,000 Senior Tranche
-- Current Rating: Caa2
-- Prior Rating Date: 12/22/2008
-- Prior Rating: Aa3, on review for possible downgrade
STONY HILL: Moody's Junks Ratings on $50 Mil. 2005-1 Notes
----------------------------------------------------------
Moody's Investors Service downgraded its ratings of notes issued
by Stony Hill CDO SPC 2005-1, a synthetic collateralized debt
obligation transaction.
Moody's explained that the rating action taken is the result due
primarily to the bankruptcy of Lehman Brothers International
(Europe), a guaranteed subsidiary of Lehman Brothers Holdings
Inc., resulting in an "Event of Default" under the ISDA Master
Agreement dated as of July 14, 2005 between Lehman Brothers
International (Europe) and Stony Hill CDO SPC for the account of
the Series 2005-1 Segregated Portfolio. The proceeds from the
issuance of notes are held by Lehman Brothers International
(Europe), and hence the noteholders have an indirect senior
unsecured claim against Lehman Brothers Holdings Inc.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for corporate
synthetic CDOs as described in Moody's Special Report:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (April 2009)
The rating action is:
Class Description: US$50,000,000 Notes of Stony Hill CDO SPC,
Series 2005-1 Due 2012
-- Current Rating: C
-- Prior Rating Action: downgrade to Caa3 from Ba1 on review for
possible downgrade
-- Prior Rating Action Date: August 20, 2008
STRATA TRUST: Moody's Junks Ratings on $79 Mil. 2006-13 Notes
-------------------------------------------------------------
Moody's Investors Service has downgraded its rating of Strata
Trust, Series 2006-13, a collateralized debt obligation
transaction referencing corporate and structured finance
obligations.
Moody's explained that the rating action reflects (i) the negative
action taken by Moody's on the Insurance Financial Strength rating
of Ambac Assurance Corporation which acts as the guarantor of
Ambac Capital Funding, Inc, the GIC provider in relation to the
tranche affected, and (ii) the deterioration in the credit quality
of the transaction's reference portfolio. On April 13, 2009,
Moody's downgraded the Insurance Financial Strength rating of
Ambac Assurance Corporation to Ba3 from Baa1.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for corporate
synthetic CDOs as described in Moody's Special Report:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (April 2009)
-- Moody's Approach to Rating SF CDOs (December 2008)
The rating action is:
Class Description: $79,000,000 Floating Rate Notes Due June 21,
2011
-- Current Rating: Ca
-- Prior Rating Action Date: 3/24/2009
-- Prior Rating Action: downgrade to B3, from Baa2 on review for
possible downgrade
STRUCTURED ASSET: Moody's Downgrades Ratings 120 Tranches
---------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 120
tranches from 13 Alt-A RMBS transactions issued by Structured
Asset Securities Corporation. The collateral backing these
transactions consists primarily of first-lien, adjustable-rate,
Alt-A residential mortgage loans.
These actions are a result of updated loss expectations on the
underlying collateral relative to available credit enhancement.
Moody's methodology for rating securities for more seasoned Alt-A
pools, takes into account the annualized loss rate from last 12
months and the projected loss rate over next 12 months, and then
translates these measures into lifetime losses based on a deal's
expected remaining life. Recent Losses are calculated by
assessing cumulative losses incurred over the past 12-months as a
percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%,
65% and 90% for loans that are delinquent 60-days, 90+ days, are
in foreclosure, and REO respectively. Moody's then applies deal-
specific severity assumptions ranging from 40% to 55%. The
results of these two calculations - Recent Losses and Pipeline
Losses - are weighted to arrive at the lifetime cumulative loss
projection.
Once expected losses have been determined, Moody's assesses
available credit enhancement from subordination, over
collateralization, excess spread and any external support
(mortgage insurance, pool policy, etc.). The available
enhancement is weighed against projected future losses to
ultimately arrive at an updated rating.
List of actions:
Structured Asset Sec Corp Trust 2003-31A
-- Cl. 1-A, Downgraded to A1; previously on 10/27/2003 Assigned
Aaa
-- Cl. 2-A1, Downgraded to A1; previously on 10/27/2003 Assigned
Aaa
-- Cl. 2-A7, Downgraded to A1; previously on 10/27/2003 Assigned
Aaa
-- Cl. 3-A, Downgraded to A1; previously on 10/27/2003 Assigned
Aaa
Structured Asset Sec Corp Trust 2003-34A
-- Cl. 1-A, Downgraded to A1; previously on 11/14/2003 Assigned
Aaa
-- Cl. 2-A1, Downgraded to A1; previously on 11/14/2003 Assigned
Aaa
-- Cl. 2-A2, Downgraded to A1; previously on 11/14/2003 Assigned
Aaa
-- Cl. 2-A3, Downgraded to A1; previously on 11/14/2003 Assigned
Aaa
-- Cl. 3-A1, Downgraded to A1; previously on 11/14/2003 Assigned
Aaa
-- Cl. 3-A2, Downgraded to A1; previously on 11/14/2003 Assigned
Aaa
-- Cl. 3-A3, Downgraded to Aa3; previously on 11/14/2003
Assigned Aaa
-- Cl. 3-A4, Downgraded to A1; previously on 11/14/2003 Assigned
Aaa
-- Cl. 3-A5, Downgraded to A1; previously on 11/14/2003 Assigned
Aaa
-- Cl. 3-A6, Downgraded to A1; previously on 11/14/2003 Assigned
Aaa
-- Cl. 4-A, Downgraded to A1; previously on 11/14/2003 Assigned
Aaa
-- Cl. 5-A5, Downgraded to A1; previously on 11/14/2003 Assigned
Aaa
-- Cl. 6-A, Downgraded to A1; previously on 11/14/2003 Assigned
Aaa
Structured Asset Sec Corp Trust 2003-37A
-- Cl. 1-A, Downgraded to Baa2; previously on 9/17/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A, Downgraded to Aa2; previously on 9/17/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A6, Downgraded to Aa2; previously on 9/17/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A7, Downgraded to Aa2; previously on 9/17/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A, Downgraded to Aa2; previously on 9/17/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 5-A, Downgraded to Aa2; previously on 9/17/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 5-AX, Downgraded to Aa2; previously on 9/17/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 5-PAX, Downgraded to Aa2; previously on 9/17/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 6-A, Downgraded to Aa2; previously on 9/17/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 7-A, Downgraded to Aa2; previously on 9/17/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 8-A1, Downgraded to Aa2; previously on 9/17/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 8-A2, Downgraded to Aa2; previously on 9/17/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. B1-I, Downgraded to Baa3; previously on 9/17/2008 Aaa
Placed Under Review for Possible Downgrade
Structured Asset Sec Corp Trust 2003-40A
-- Cl. 1-A, Downgraded to A2; previously on 1/6/2004 Assigned
Aaa
-- Cl. 2-A, Downgraded to A2; previously on 1/6/2004 Assigned
Aaa
-- Cl. 3-A1, Downgraded to A1; previously on 1/6/2004 Assigned
Aaa
-- Cl. 3-A2, Downgraded to A2; previously on 1/6/2004 Assigned
Aaa
-- Cl. 4-A, Downgraded to A2; previously on 1/6/2004 Assigned
Aaa
-- Cl. 5-A, Downgraded to A2; previously on 1/6/2004 Assigned
Aaa
Structured Asset Securities Corp Tr 2002-11A
-- Cl. 1-A1, Downgraded to Aa3; previously on 6/24/2002 Assigned
Aaa
-- Cl. 1-A2, Downgraded to Aa3; previously on 6/24/2002 Assigned
Aaa
-- Cl. 2-A1, Downgraded to Baa3; previously on 6/24/2002
Assigned Aaa
-- Cl. 2-A3, Downgraded to Baa3; previously on 6/24/2002
Assigned Aaa
-- Cl. 3-A, Downgraded to Baa3; previously on 6/24/2002 Assigned
Aaa
-- Cl. 4-A, Downgraded to Baa1; previously on 6/24/2002 Assigned
Aaa
-- Cl. 5-A, Downgraded to Aa2; previously on 6/24/2002 Assigned
Aaa
-- Cl. B1-I, Downgraded to Baa2; previously on 11/30/2005
Upgraded to Aaa
-- Cl. B1-II, Downgraded to Ba1; previously on 11/30/2005
Upgraded to Aaa
-- Cl. B1-I-X, Downgraded to Baa2; previously on 6/24/2002
Assigned Aa2
-- Cl. B2-I, Downgraded to Caa3; previously on 11/30/2005
Upgraded to Aa2
-- Cl. B2-II, Downgraded to Caa3; previously on 11/30/2005
Upgraded to Aa2
-- Cl. B2-I-X, Downgraded to Caa3; previously on 6/24/2002 \
Assigned A2
-- Cl. B3, Downgraded to Ca; previously on 11/30/2005 Upgraded
to Baa1
Structured Asset Securities Corp Tr 2002-21A
-- Cl. 1-A1, Downgraded to A2; previously on 11/6/2002 Assigned
Aaa
-- Cl. 1-A3, Downgraded to A2; previously on 11/6/2002 Assigned
Aaa
-- Cl. 2-A1, Downgraded to Aa2; previously on 11/6/2002 Assigned
Aaa
-- Cl. 4-A1, Downgraded to Aa2; previously on 11/6/2002 Assigned
Aaa
-- Cl. 4-A2, Downgraded to Aa2; previously on 11/6/2002 Assigned
Aaa
-- Cl. B1-I, Downgraded to Baa1; previously on 11/30/2005
Upgraded to Aaa
-- Cl. B1-II, Downgraded to A1; previously on 11/30/2005
Upgraded to Aaa
-- Cl. B1-I-X, Downgraded to Baa1; previously on 11/6/2002
Assigned Aa2
-- Cl. B2-I, Downgraded to Baa2; previously on 11/30/2005
Upgraded to Aa2
-- Cl. B2-II, Downgraded to Baa1; previously on 11/30/2005
Upgraded to Aa2
-- Cl. B2-I-X, Downgraded to Baa2; previously on 11/6/2002
Assigned A2
-- Cl. B3, Downgraded to Ba2; previously on 11/30/2005 Upgraded
to Baa1
Structured Asset Securities Corp Tr 2002-25A
-- Cl. 1-A1, Downgraded to A3; previously on 12/9/2002 Assigned
Aaa
-- Cl. 2-A1, Downgraded to Aa1; previously on 12/9/2002 Assigned
Aaa
-- Cl. 3-A1, Downgraded to Aa1; previously on 12/9/2002 Assigned
Aaa
-- Cl. 4-A1, Downgraded to Aa1; previously on 12/9/2002 Assigned
Aaa
-- Cl. 4-A2, Downgraded to Aa1; previously on 12/9/2002 Assigned
Aaa
-- Cl. B1-I, Downgraded to Baa1; previously on 11/30/2005
Upgraded to Aaa
-- Cl. B1-II, Downgraded to Aa3; previously on 11/30/2005
Upgraded to Aaa
-- Cl. B1-I-X, Downgraded to Baa1; previously on 12/9/2002
Assigned Aa2
-- Cl. B2-I, Downgraded to Baa2; previously on 11/30/2005
Upgraded to Aa2
-- Cl. B2-II, Downgraded to A3; previously on 11/30/2005
Upgraded to Aa2
-- Cl. B2-I-X, Downgraded to Baa2; previously on 12/9/2002
Assigned A2
-- B-3, Downgraded to Baa3; previously on 11/30/2005 Upgraded to
Baa1
Structured Asset Securities Corp Tr 2003-17A
-- Cl. 1-A, Downgraded to Baa3; previously on 6/16/2003 Assigned
Aaa
-- Cl. 2-A1, Downgraded to A1; previously on 6/16/2003 Assigned
Aaa
-- Cl. 2-A2, Downgraded to A1; previously on 6/16/2003 Assigned
Aaa
-- Cl. 2-A3, Downgraded to A1; previously on 6/16/2003 Assigned
Aaa
-- Cl. 3-A1, Downgraded to A1; previously on 6/16/2003 Assigned
Aaa
-- Cl. 3-A2, Downgraded to A1; previously on 6/16/2003 Assigned
Aaa
-- Cl. 3-A3, Downgraded to A1; previously on 6/16/2003 Assigned
Aaa
-- Cl. 4-A, Downgraded to Aa2; previously on 6/16/2003 Assigned
Aaa
-- Cl. 4-AX, Downgraded to Aa2; previously on 6/16/2003 Assigned
Aaa
-- Cl. 4-PAX, Downgraded to Aa2; previously on 6/16/2003
Assigned Aaa
Structured Asset Securities Corp Tr 2003-22A
-- Cl. 1-A, Downgraded to A1; previously on 7/30/2003 Assigned
Aaa
-- Cl. 2-A1, Downgraded to Aa3; previously on 7/30/2003 Assigned
Aaa
-- Cl. 3-A, Downgraded to A1; previously on 7/30/2003 Assigned
Aaa
-- Cl. 4-A, Downgraded to A1; previously on 7/30/2003 Assigned
Aaa
-- Cl. 4-AX, Downgraded to A1; previously on 7/30/2003 Assigned
Aaa
Structured Asset Securities Corp Tr 2003-26A
-- Cl. 1-A, Downgraded to A2; previously on 9/29/2003 Assigned
Aaa
-- Cl. 2-A, Downgraded to A1; previously on 9/29/2003 Assigned
Aaa
-- Cl. 3-A1, Downgraded to A1; previously on 9/29/2003 Assigned
Aaa
-- Cl. 3-A5, Downgraded to A1; previously on 9/29/2003 Assigned
Aaa
-- Cl. 4-A, Downgraded to A1; previously on 9/29/2003 Assigned
Aaa
-- Cl. 5-A, Downgraded to A1; previously on 9/29/2003 Assigned
Aaa
-- Cl. 6-A, Downgraded to A1; previously on 9/29/2003 Assigned
Aaa
-- Cl. 7-A, Downgraded to A1; previously on 9/29/2003 Assigned
Aaa
Structured Asset Securities Corp Tr 2003-2A
-- Cl. 1-A1, Downgraded to Baa1; previously on 2/18/2003
Assigned Aaa
-- Cl. 2-A1, Downgraded to Aa2; previously on 2/18/2003 Assigned
Aaa
-- Cl. 3-A1, Downgraded to Aa3; previously on 2/18/2003 Assigned
Aaa
-- Cl. 4-A1, Downgraded to Aa3; previously on 2/18/2003 Assigned
Aaa
-- Cl. 4-A2, Downgraded to Aa3; previously on 2/18/2003 Assigned
Aaa
-- Cl. B1-I, Downgraded to Baa2; previously on 9/21/2006
Upgraded to Aaa
-- Cl. B1-II, Downgraded to A2; previously on 9/21/2006 Upgraded
to Aaa
-- Cl. B1-I-X, Downgraded to Baa2; previously on 2/18/2003
Assigned Aa2
-- Cl. B2-I, Downgraded to Baa3; previously on 9/21/2006
Upgraded to Aa2
-- Cl. B2-II, Downgraded to Baa2; previously on 9/21/2006
Upgraded to Aa2
-- Cl. B2-I-X, Downgraded to Baa3; previously on 2/18/2003
Assigned A2
-- Cl. B3, Downgraded to Ba3; previously on 9/21/2006 Upgraded
to A2
Structured Asset Securities Corp Tr 2003-6A
-- Cl. 1-A1, Downgraded to A1; previously on 3/19/2003 Assigned
Aaa
-- Cl. 2-A1, Downgraded to A3; previously on 3/19/2003 Assigned
Aaa
-- Cl. 2-A2, Downgraded to A3; previously on 3/19/2003 Assigned
Aaa
-- Cl. 3-A1, Downgraded to A3; previously on 3/19/2003 Assigned
Aaa
-- Cl. 3-A2, Downgraded to A3; previously on 3/19/2003 Assigned
Aaa
-- Cl. 4-A1, Downgraded to A3; previously on 3/19/2003 Assigned
Aaa
-- Cl. 4-A2, Downgraded to A3; previously on 3/19/2003 Assigned
Aaa
Structured Asset Securities Corp Tr 2003-9A
-- Cl. 1-A1, Downgraded to B3; previously on 4/9/2003 Assigned
Aaa
-- Cl. 2-A1, Downgraded to Baa1; previously on 4/9/2003 Assigned
Aaa
-- Cl. 2-A2, Downgraded to Baa1; previously on 4/9/2003 Assigned
Aaa
-- Cl. 2-A3, Downgraded to Baa1; previously on 4/9/2003 Assigned
Aaa
STRUCTURED ASSET: Moody's Downgrades Ratings on Eight Tranches
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of eight
tranches issued by two Structured Asset Securities Corporation
Assistance Loan Trust 2003-AL transactions. The collateral
backing each transaction consists of loans originated by the Small
Business Administration to borrowers who have experienced property
losses in disasters recognized by the United States federal
government. The loans are primarily secured by single family
homes, with a large concentration in California. Collateral
includes first and second liens as well as unsecured loans.
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.
-- 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:
Issuer: Structured Asset Securities Corporation Assistance Loan
Trust 2003-AL1
-- Cl. B4, Downgraded to B1; previously on 3/31/2003 Assigned
Ba2
Issuer: Structured Asset Securities Corporation Assistance Loan
Trust 2003-AL2
-- Cl. A, Downgraded to Aa2; previously on 7/18/2003 Assigned
Aaa
-- Cl. AIO, Downgraded to Aa2; previously on 7/18/2003 Assigned
Aaa
-- Cl. APO, Downgraded to Aa2; previously on 7/18/2003 Assigned
Aaa
-- Cl. B1, Downgraded to A1; previously on 7/18/2003 Assigned
Aa2
-- Cl. B2, Downgraded to Baa2; previously on 7/18/2003 Assigned
A2
-- Cl. B3, Downgraded to B3; previously on 7/18/2003 Assigned
Baa2
-- Cl. B4, Downgraded to Ca; previously on 8/22/2008 Ba2 Placed
Under Review for Possible Downgrade
STRUCTURED INVESTMENT: Moody's Cuts Ratings on Series 77 to 'Ca'
----------------------------------------------------------------
Moody's Investors Service downgraded its rating of SIC Series 77
Notes issued by Structured Investment Corporation Series 77 Notes.
The rating action is:
Structured Investment Corporation Series 77 Notes
-- SIC Series 77 Notes, Downgraded to Ca; Previously on 4/8/2009
Downgraded to Caa2 and Placed Under Review for Downgrade.
The transaction is a repackaged security whose rating is based
primarily upon the transaction's structure and the credit quality
of the Deposited Assets which consist of Class A-1 Notes issued by
Millstone Funding, Ltd. which are currently rated Ca, along with
Preferred Shares. Millstone Funding, Ltd. is a Structured Finance
CDO. Class A-1 Notes were downgraded to Ca on 4/24/2009. It was
previously downgraded to Caa2 on 12/22/2008 and placed under
review for possible downgrade.
TIERS BRISBANE: Moody's Pares Ratings on 2007-34 Notes to 'B2'
--------------------------------------------------------------
Moody's Investors Service has downgraded these notes issued by
TIERS Brisbane Floating Rate Credit Linked Trust, Series 2007-34,
a synthetic collateralized debt obligation transaction referencing
a portfolio of corporate loans.
Moody's explained that the rating action taken is the result of
the downgrade of the insurance financial strength rating of Ambac
Assurance Corporation, which acts as Guarantor under the
Investment Agreement in the transaction. On April 13, 2009, the
insurance financial strength rating of Ambac Assurance Corporation
was downgraded to Ba3 from Baa1.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for Corporate
Synthetic CDOs and for collateralized loan obligations as
described in Moody's Special Report:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (April 2009)
-- Moody's Approach to Rating Collateralized Loan Obligations
(December 2008)
The rating action is:
Class Description: US$75,000,000 Floating Rate Credit Linked Trust
-- Current Rating: B2
-- Prior Rating Action Date: 04/20/2009
-- Prior Rating Action: Downgrade to Baa2 on watch for possible
downgrade from A1
THORNBURG MORTGAGE: Moody's Downgrades Ratings on 86 Tranches
-------------------------------------------------------------
Moody's Investors Service has downgraded 86 tranches and confirmed
2 tranches from 13 Thornburg deals.
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.
For details regarding Moody's approach to estimating losses on
Jumbo pools originated in 2005, 2006, 2007 and 2008, please refer
to the methodology publication "Prime Jumbo RMBS Loss Projection
Update: March 2009" available on Moodys.com.
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:
Thornburg Mortgage Securities Trust 2005-2
-- Cl. A-1, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
Thornburg Mortgage Securities Trust 2005-3
-- Cl. A1, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A2, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A3, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A4, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Ba2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
Thornburg Mortgage Securities Trust 2005-4
-- Cl. A-1, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-4X, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
Thornburg Mortgage Securities Trust 2006-1
-- Cl. A-1, Downgraded to B3; previously on 3/19/2009 Aa2 Placed
Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to B3; previously on 3/19/2009 Aa2 Placed
Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B3; previously on 3/19/2009 Aa2 Placed
Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to B3; previously on 3/19/2009 Aa2 Placed
Under Review for Possible Downgrade
Thornburg Mortgage Securities Trust 2006-2
-- Cl. A-1-A, Downgraded to B3; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. A-1-B, Confirmed at Aaa; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-1-C, Downgraded to B3; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. A-2-A, Downgraded to B3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. A-2-B, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2-C, Downgraded to Caa1; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. A-X-1, Confirmed at Aaa; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-X-2, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
Thornburg Mortgage Securities Trust 2006-3
-- Cl. A-1, Downgraded to B3; previously on 3/19/2009 A1 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 B3; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to B3; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ca; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed
Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C; previously on 3/19/2009 Caa1 Placed
Under Review for Possible Downgrade
-- Cl. B-4, Downgraded to C; previously on 3/19/2009 Caa2 Placed
Under Review for Possible Downgrade
-- Cl. B-5, Downgraded to C; previously on 3/19/2009 Caa3 Placed
Under Review for Possible Downgrade
Thornburg Mortgage Securities Trust 2006-4
-- Cl. A-1, Downgraded to B3; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-2A, Downgraded to B3; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Baa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to Caa1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Baa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
Thornburg Mortgage Securities Trust 2006-5
-- Cl. A-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to B3; previously on 3/19/2009 Aa2 Placed
Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to A3; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ca; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed
Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C; previously on 3/19/2009 Caa1 Placed
Under Review for Possible Downgrade
-- Cl. B-4, Downgraded to C; previously on 3/19/2009 Caa2 Placed
Under Review for Possible Downgrade
-- Cl. B-5, Downgraded to C; previously on 3/19/2009 Caa3 Placed
Under Review for Possible Downgrade
Thornburg Mortgage Securities Trust 2006-6
-- Cl. A-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to B1; previously on 3/19/2009 Aa1 Placed
Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to A3; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
Thornburg Mortgage Securities Trust 2007-1
-- Cl. A-1, Downgraded to B3; previously on 3/19/2009 A3 Placed
Under Review for Possible Downgrade
-- Cl. A-2A, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to B1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to Caa3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-3A, Downgraded to A2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3B, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to A3; previously on 3/19/2009 Aa1 Placed
Under Review for Possible Downgrade
Thornburg Mortgage Securities Trust 2007-2
-- Cl. A-1, Downgraded to B3; previously on 3/19/2009 Aa2 Placed
Under Review for Possible Downgrade
-- Cl. A-2A, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Caa1; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-3A, Downgraded to A2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3B, Downgraded to B3; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to A3; previously on 3/19/2009 Aa1 Placed
Under Review for Possible Downgrade
Thornburg Mortgage Securities Trust 2007-3
-- Cl. 1A-1, Downgraded to Caa1; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. 1A-2, Downgraded to Ca; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. 2A-1, Downgraded to B3; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. 2A-2, Downgraded to Caa3; previously on 3/19/2009 B1
Placed Under Review for Possible Downgrade
-- Cl. 3A-1, Downgraded to B3; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. 3A-2, Downgraded to Caa3; previously on 3/19/2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 4A-1, Downgraded to A1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4A-2, Downgraded to Caa3; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 4A-3, Downgraded to Aa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4A-4, Downgraded to Caa1; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Aa2; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
Thornburg Mortgage Securities Trust 2007-4
-- Cl. 1A-1, Downgraded to B1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1A-2, Downgraded to Caa3; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. 2A-1, Downgraded to B2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2A-2, Downgraded to Caa3; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. 3A-1, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3A-2, Downgraded to Caa3; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ca; previously on 3/19/2009 A3 Placed
Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed
Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C; previously on 3/19/2009 Caa1 Placed
Under Review for Possible Downgrade
-- Cl. B-4, Downgraded to C; previously on 3/19/2009 Caa2 Placed
Under Review for Possible Downgrade
-- Cl. B-5, Downgraded to C; previously on 3/19/2009 Caa3 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.
TRIBUNE LIMITED: Moody's Cuts Ratings on $80 Mil. Notes to 'C'
--------------------------------------------------------------
Moody's Investors Service downgraded the notes issued by Tribune
Limited Series 48:
-- US$80,000,000 Floating Rate Credit Linked Secured Notes
due 2050, Downgraded to C; previously on 12/11/2008
Downgraded to Caa1 and remains on Review for Possible
Downgrade
The Tribune Limited Series 48 is a synthetic transaction
referencing the Senior Swap issued by ABCDS 2006-1, Ltd., an ABS
CDO that closed in February 2007. The Senior Swap was downgraded
to C on 05/01/2009. The swap was previously downgraded to Caa1 on
12/11/2008.
TRICADIA CDO: Moody's Downgrades Ratings on Three 2004-2 Notes
--------------------------------------------------------------
Moody's Investors Service downgraded ratings of three classes of
notes issued by Tricadia CDO 2004-2, Limited. The notes affected
by the rating action are:
-- $148,500,000 Class A Senior Secured Floating Rate Notes, Due
2019, Downgraded to Ba3, Under Review for Possible Downgrade;
previously on 3/12/2009 Downgraded to Baa2 and Placed Under
Review for Possible Downgrade.
-- $24,000,000 Class B Second Priority Deferrable Floating Rate
Notes, Due 2019, Downgraded to Ca; previously on 3/12/2009
Downgraded to B3 and Placed Under Review for Possible
Downgrade.
-- $13,000,000 Class C Third Priority Deferrable Floating Rate
Notes, Due 2019, Downgraded to Ca; previously 3/12/2009
Downgraded to Caa2 and Placed Under Review for Possible
Downgrade.
The rating downgrade actions reflect March 23, 2009, as reported
by the Trustee, of an event of default described in Section 5.1(h)
of the Indenture dated November 2, 2004.
Recent ratings downgrades on the underlying portfolio caused
ratings-based haircuts to affect the calculation of over
collateralization. Thus, the Class A Over collateralization Ratio
failed to meet the required level, as required in Section 5.1(h)
of the Indenture.
As provided in Article V of the Indenture during the occurrence
and continuance of an Event of Default, certain holders of Notes
may be entitled to direct the Trustee to take particular actions
with respect to the Collateral and the Notes.
Because of this uncertainty, the ratings assigned to the Class A
Notes remain on review for possible further action.
Tricadia CDO 2004-2 Limited is a collateralized debt obligation
backed primarily by a portfolio of collateralized debt
obligations.
The rating downgrades taken reflect the increased expected loss
associated with each tranche. Losses are attributed to diminished
credit quality on the underlying portfolio. The severity of
losses of certain tranches may be different, however, depending on
the timing and outcome of a liquidation. In addition, Moody's
explained that the rating actions listed reflect certain updates
and projections and recent rating actions on underlying assets
that consist primarily of CLOs.
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.
WACHOVIA BANK: Fitch Downgrades Ratings on 2007-ESH Certificates
----------------------------------------------------------------
Fitch Ratings has downgraded these classes of pass-through
certificates from Wachovia Bank Commercial Mortgage Trust, series
2007-ESH:
-- $124.5 million class F to 'BBB', Rating Watch Negative from
'A', Outlook Negative;
-- $131 million class G to 'BBB-', Rating Watch Negative from
'A-', Outlook Negative;
-- $130.4 million class H to 'BB-' from 'BBB-'; Rating Watch
Negative;
-- $100 million class J to 'B+' from 'BB+'; Rating Watch
Negative;
-- $214 million class K to 'B' from 'BB'; Rating Watch Negative;
-- $200 million class L to 'B-' from 'BB-'; Rating Watch
Negative;
-- $100 million class M at to 'B-' from 'B+'; Rating Watch
Negative.
In addition, Fitch has placed these tranches on Rating Watch
Negative:
-- $250 million class A-4FL at 'AAA'; Rating Watch Negative;
-- $525 million class A-4FX at 'AAA'; Rating Watch Negative;
-- $125.4 million class B at 'AA+'; Rating Watch Negative;
-- $85.9 million class C-FL at 'AA'; Rating Watch Negative;
-- $92 million class C-FX at 'AA', Rating Watch Negative;
-- $107.6 million class D at 'AA-'; Rating Watch Negative;
-- $114.2 million class E at 'A+; Rating Watch Negative;
Fitch also affirms these tranches:
-- $600 million class A-1 at 'AAA'; Outlook Stable;
-- $121 million class A-2FL at 'AAA'; Outlook Stable;
-- $279 million class A-2FX at 'AAA'; Outlook Stable;
-- $800 million class A-3 at 'AAA'; Outlook Stable;
-- Interest only class X-A at 'AAA'; Outlook Stable;
-- Interest only class X-B at 'AAA'; Outlook Stable;
The downgrades to classes F through M and the placement of classes
A-4FL through M on Rating Watch Negative reflect a decline in
performance, the uncertainty surrounding the possible transfer to
special servicing should the sponsor file bankruptcy and the
expected increase in debt service if the borrower exercises its
first extension option. Per terms specified in the loan
agreement, the transaction will not be meeting the minimum debt
yield covenant of 8.5% as a requirement for the first extension,
and therefore the borrower will need to begin making principal
payments along with interest payments on the total debt stack of
$7.4 billion.
Fitch reviewed updated trailing 12 months ended March 2009
financial performance of the portfolio. For the TTM period ended
March 2009, average occupancy, average daily rate and revenue per
available room for the portfolio decreased to approximately 62.9%,
$54.93 and $34.53, respectively, compared to approximately 70%,
$56.17 and $39.19, respectively, as of the TTM ended Dec. 31,
2007. Overall, Fitch's current estimate of stressed net cash flow
is approximately 31% lower than issuance.
The certificates are collateralized by a single $4.1 billion non-
recourse loan with fixed- and floating-rate components secured by
664 owned hotel properties, 17 leased hotels, one office building
and one vacant land parcel located in 44 states and two Canadian
provinces. In addition, there is $3.3 billion of mezzanine debt
held outside the trust. The fixed-rate components mature in June
2012, while the floating-rate components have an initial maturity
in June 2009, with three one-year extension options. As of the
March 2009 distribution date, the total trust balance has paid
down slightly to $4.09 billion due to the release of one property.
The sponsors, Lightstone Group and Arbor Realty Trust, have
completed the rebranding of the portfolio into three different
price points, including Extended Stay Deluxe, Extended Stay
America and Extended Stay Economy. However, the sponsors have
been unable to increase occupancy by short-term leisure customers,
and delayed in their implementation of new marketing initiatives,
including an increased marketing budget and developing
relationships with third party internet reservation channels. Due
to declining economic conditions, anticipated improvements in
operating performance have not materialized.
Fitch will resolve the Rating Watch Status upon the pending
maturity on June 12, 2009, as more details are known about
discussions with lenders and the status of the loan and an updated
portfolio valuation is completed.
WEIRTON MEDICAL: Moody's Cuts Underlying Bond Rating to 'Ba1'
-------------------------------------------------------------
Moody's Investors Service has downgraded Weirton Medical Center's
underlying bond rating to Ba1 from Baa3. The downgrade affects
approximately $21.9 million of outstanding Series 2001A and 2001B
revenue bonds (listed at the conclusion of this report) issued by
the Weirton Municipal Hospital Building Commission. The Series
2001B variable rate demand bonds are jointly supported by Weirton
Medical Center and secured by a letter of credit from PNC Bank.
The enhanced rating on the Series 2001B bonds has been downgraded
to Aa1/VMIG1 from Aaa/VMIG1. The downgrade is attributable to
continued operating losses in FY 2008 that has worsened through
nine-months of 2009, deterioration in liquidity primarily due to
investment losses, and increased risk of violating financial
covenants under a letter of credit agreement. The rating outlook
remains negative.
Legal Security: Bonds are secured by a lien on gross revenues of
Weirton Medical Center and Deed of Trust (mortgage pledge).
Interest Rate Derivatives: There are no swaps outstanding.
Challenges
* History of weak operating performance with continued operating
losses for the seventh consecutive year in FY 2008 and operating
losses continuing through nine-months FY 2009
* Unrestricted liquidity declined to a $30.9 million (111 days) as
of March 31, 2009, down from $38 million (142 days) at FYE 2008.
As a result, cash-to-debt declined to 115% as of March 31, 2009,
down from 135% at FYE 2008
* Credit pressures related to debt structure that includes 51%
variable rate demand bonds supported by a PNC letter of credit
which adds liquidity and renewal risk, mitigated by
WMC's cash-to-VRDO debt of 220% as of March 31, 2009
* Potential competitive pressures likely to emerge after the
opening of a new physician-owned long-term acute care hospital
approximately 12 miles southwest of WMC
* Five consecutive years of capital investment below depreciation
levels; deferred maintenance remains an ongoing concern
* Weak demographics in the primary service area characterized by
declining population growth, variable volume growth trends, and
rise in bad debt levels
Strengths
* Sole inpatient provider in Hancock and Brooke Counties, although
competition is located 13 miles west in Steubenville, Ohio, and
27 miles east with the presence of several Pittsburgh providers;
market position protected by certificate of need laws in the
state
* Operating results exceeded budget expectations in FY 2008, with
a lower operating loss of $1.3 million (-1.3% margin) from
budgeted $1.9 million (-1.9% margin) due to implementation of
several performance improvement initiatives; Management is
budgeting a lower operating loss of approximately $1.0 million
for FYE 2009
* WMC maintains favorable cash-to-VRDO debt of 220% as of March
31, 2009
Recent Developments/Results
WMC's operating performance improved for the second consecutive
year with a lower than budgeted operating loss of $1.3 million (-
1.3% operating margin) in audited FY 2008 from $1.9 million
budgeted for FY 2008 and from a larger operating loss of $2.7
million (2.9% operating margin) generated in FY 2007. Absolute
operating cash flow improved to $3.8 million (3.8% margin) in FY
2008 from $2.9 million (3.1% margin) in FY 2007. Through nine-
months FY 2009, operating performance has deteriorated slightly
with a reported operating loss of $1.5 million (-1.9% margin) from
an operating loss of $961 thousand through nine-months FY 2008.
Operating cash flow is also down to $1.8 million (2.3% margin)
from $2.9 million (3.9% margin) from the prior period. The
continued weak operating performance is attributable to flat to
declining volume trends reflecting unfavorable demographics of the
service area characterized by declining population trends. In FY
2008, inpatient admissions declined by 0.8% from a 1.8% decrease
in FY 2007. Total surgical cases declined by a sizable 4.1% in FY
2008 from a modest 1.1% increase in FY 2007, primarily due to a
general surgeon leaving the organization. Through nine-months FY
2009, inpatient admissions are down 1.4%, although, total surgical
volume is trending upward by a strong 4.7%. Total combined bad
debt and charity care increased by a sizable 19% in FY 2008 after
declining by 8% in FY 2007 and improved by 15% through nine-months
FY 2009. Management continues to evaluate and implement various
revenue growth and expense reduction strategies including revenue
cycle initiatives, charge capture review by department, evaluation
of various service lines, and development of a labor management
program. WMC engaged Premier to evaluate the organizations
processes and staffing levels and has identified and is
implementing $2 million in approved annual savings and has reduced
staffing by 38 FTEs.
Due to improved cash flow generation in FY 2008, debt coverage
levels increased slightly with debt-to-cash flow measuring a still
high 5.5 times and Moody's adjusted maximum annual debt service
coverage measuring 2.3 times. However, through nine-months FY
2009 (annualized), debt coverage levels have weakened with debt-
to-cash flow increasing to an unfavorable 8.8 times and Moody's
adjusted maximum annual debt service coverage measuring a modest
1.6 times.
WMC's liquidity balance has deteriorated since FYE 2008. As of
unaudited March 31, 2008, unrestricted liquidity declined to $30.9
million from $38.0 million at FYE 2008, primarily due to market
losses stemming from WMC's investment portfolio which is currently
54%% invested in equities and 46% invested in fixed income and
cash. As a result, liquidity measures declined to 111 days cash
on hand and 115% cash-to-debt as of March 31, 2009 from 142 days
cash on hand and 135% cash-to-debt measured at FYE 2008. Moody's
notes that deferred maintenance continues to remain a concern with
an average age of plant increasing to 20.9 years and capital
investment below one times depreciation over the past five years.
Capital spending for FY 2009 is budgeted for a higher $4 million
than $1.9 million capital spent in FY 2008. Management indicates
approximately half has been spent as of March 31, 2009 and another
$1.0 million will be spent by FYE 2009.
WMC's current debt structure poses some bank-related exposure
including renewal and liquidity risk. WMC's debt structure
includes an aggressive 51% variable rate demand debt supported by
a letter of credit agreement. Although, WMC's cash-to-puttable
debt is favorable at 220% (as of March 31, 2009) and provides
adequate cushion in the event the LOCs are not renewed or
obligations are unexpectedly accelerated by the liquidity
provider. The Series 2001B LOC is expected to expire January
2010. Under the LOC agreement, WMC is required to maintain several
financial covenants including days cash on hand (minimum 100 days
measured monthly), debt service coverage ratio (minimum 1.5 times
measured quarterly), and debt to capitalization (no more than 0.55
measured quarterly). WMC currently maintains very little headroom
under the required liquidity covenant with 113 days cash on hand
and debt service coverage ratio of 1.8 times (based on
calculations defined under the LOC) as of March 31, 2009, which
increases the possibility of a covenant violation in the near term
in the event liquidity and operating performance were to further
decline. Moody's believes the continued weak operating
performance coupled with the sizable decline in unrestricted
liquidity and limited headroom under bank covenants are
significant credit concerns and primary drivers for the rating
downgrade.
WMC is a sole community provider located in Weirton, WV in Brooke
County. The primary service area comprises of Hancock and
northern Brooke Counties in the tri-state West Virginia, Ohio, and
Pennsylvania area. Although WMC is a sole provider in its PSA,
the nearest competitor, Trinity Health System (A3-rated) is 13
miles away in Steubenville, Ohio and larger tertiary providers are
35 miles away in Pittsburgh, Pennsylvania. Moody's note that
competitive pressures will likely emerge in the near future with
the opening of new physician-owned long term acute care facility
in Winterville, Ohio approximately 12 miles southwest of WMC
scheduled to open within a six month period.
Outlook
The outlook remains negative reflecting renewal risk, continued
operating losses, deterioration in liquidity and Moody's concern
that prolonged weak operating performance and cash balance will
stress lower debt and liquidity ratios and increase the
possibility of covenant violations under the bank agreement.
What could change the rating-UP
Growth and stability of inpatient and outpatient volume; continued
implementation of turnaround strategies resulting in notable
improvement in operating performance and ability to sustain
improved levels for multiple years, material improvement in debt
coverage and liquidity measures
What could change the rating-DOWN
Further declines in volumes and operating performance, continued
weakening of liquidity balance, significant unexpected debt
issuance without commensurate increase in cash and cash flow
generation
Key Indicators
Assumptions & Adjustments:
-- Based on financial statements for Weirton Medical Center
-- First number reflects audit year ended June 30, 2007
-- Second number reflects audit year ended June 30, 2008
-- Investment returns normalized at 6% unless otherwise noted
* Inpatient admissions: 8,109; 7,961
* Total operating revenues: $94.0 million; $100.0 million
* Moody's-adjusted net revenue available for debt service: $5.5
million; $6.4 million
* Total debt outstanding: $29.6 million; $28.0 million
* Maximum annual debt service (MADS): $2.8 million; $2.7 million
* MADS Coverage with reported investment income: 2.1 times; 2.3
times
* Moody's-adjusted MADS Coverage with normalized investment
income: 2.0 times; 2.3 times
* Debt-to-cash flow: 7.3 times; 5.5 times
* Days cash on hand: 151 days; 142 days
* Cash-to-debt: 129%; 135%
* Operating margin: -2.9%; -1.3%
* Operating cash flow margin: 3.1%; 3.8%
RATED DEBT (debt outstanding as of June 30, 2008)
-- Series 2001A (fixed rate) ($7.9 million outstanding), rated
Ba1
-- Series 2001B (variable rate) ($14.0 million outstanding),
Aa1/VMIG1 jointly supported by PNC Bank Letter of Credit
(expires January 2010) and Weirton Medical Center, Ba1
underlying rating
The last rating action was on January 8, 2008 when the Baa3 rating
of Weirton Medical Center was affirmed and outlook remained
negative.
* Fitch Downgrades Ratings on 97 Classes from 32 CDL Transactions
-----------------------------------------------------------------
Fitch Ratings has downgraded 97 classes and placed an additional
245 tranches from 32 U.S. commercial real estate loan
collateralized debt obligations transactions on Rating Watch
Negative. In addition, Fitch has assigned a Negative Rating
Outlook to 36 tranches from 33 transactions.
These actions are based on Fitch's expectation of increasing
delinquencies and declining U.S. commercial real estate values.
As noted in Fitch's monthly CREL CDO delinquency index press
releases, default rates are exceeding Fitch's expectations due
primarily to an inability to refinance, difficulty in actualizing
business plans, and depletion of interest reserves. In addition,
as the majority of the collateral assets in CREL CDOs were
originated at historical peak valuations, Fitch estimates property
values have since declined 15-20%. Fitch expects further value
declines of 15-20%.
Based on Fitch's value decline estimates, many junior classes of
the CDO transactions are considered to be severely
undercollateralized. As a result, these classes have been
downgraded to 'B' and are on Rating Watch Negative. Fitch expects
to downgrade many of these classes to 'CCC' or lower after more
thorough reviews of the portfolios are completed. In addition,
other classes within the capital structure have existing ratings
that are no longer commensurate with the risks inherent in the
current collateral composition. Fitch has placed most of these
classes on Rating Watch Negative. Fitch has also downgraded a few
senior classes, including some originally rated 'AAA' and 'AA',
one to two categories in cases where the classes junior to them
appear to be undercollateralized. Additionally, Fitch has placed
these classes on Rating Watch Negative to allow for time to
conduct its asset level analysis.
On a transaction specific basis, Fitch's rating watch analysis
considered the current credit enhancement available to each class,
the current composition of the collateral pool (whole loan/A-notes
versus B-notes/mezzanine loans), and the portfolio's current
performance. Fitch identified classes at risk for downgrade by
comparing liquidated credit enhancement (Liquidated C/E) to
expected credit enhancement (Expected C/E) based on the tenure of
a transaction. Liquidated C/E typically assumed any defaulted B-
notes or mezzanine debt have no recoveries, while defaulted whole
loans and A-notes are assumed to have a recovery of 50%. In most
cases, Fitch's loans of concern are assumed to have a 50%
probability of default with the same recoveries as discussed
applied based on asset type. Additionally, bond collateral rated
'CC' or lower was assumed to have a 100% expected loss and 'CCC'
rated assets to have a 50% loss. The Expected C/E assumed that
losses are realized over a 10 year period. Fitch recalculated the
credit enhancement based on this expectation using the initial 'B'
credit enhancement as its base case loss expectation.
Based on Fitch's heightened expectation for losses in these
transactions, the more junior rated notes are expected to be
downgraded to low speculative grade ratings upon resolution of the
Rating Watch Negative. Additionally, Fitch expects to downgrade
classes currently rated 'AAA' through 'A' one to three categories,
and affirm super senior 'AAA' bonds.
Fitch assigned Outlooks assuming all the remaining B-notes and
mezzanine debt with a Fitch stressed loan-to-value over 90% have a
50% probability of default and complete loss upon default.
CREL CDO collateral typically consists of highly leveraged
subordinate debt and/or transitional whole loans. Many of the
properties securing these loans are struggling to achieve their
business plans amidst the current economic downturn. Even stable
loans with near term maturities are having difficulty refinancing
given the constrained commercial real estate capital markets and
falling property values. Of particular concern are B-notes and
mezzanine loans, which generally comprise less than 15% of a
property's total debt stack. Upon a default, these subordinate
positions risk significant or full losses in the face of even
moderate value declines.
The ongoing recession has already led to increased delinquencies
on CREL CDOs stemming from lower net cash flows on income
producing properties, the depletion of interest reserves on
transitional and non-income producing properties, and an inability
to refinance the current debt levels. The Fitch U.S. CREL CDO
Delinquency Index rose to 6.5% for March 2009, and is expected to
exceed 7% for April 2009. At this rate, the default rate for year
end 2009 could be double Fitch's initial base default expectation
for the life of the transactions and likely exceed 15%.
Seven transactions have tripped over collateralization tests due
to haircuts on impaired assets. OC test failures result in a
redirection of cash flow, generally interest payments, away from
junior liabilities to more senior classes in the waterfall.
Additionally, five transactions are on the verge of breaching
junior OC tests. Fitch is observing a trend to modifying loans
such that OC tests stay in compliance longer. Fitch downgraded
several classes to 'CCC' where the classes have been cut off from
interest payments due to OC test failures, and where curing the
test seems unlikely.
The rating actions reflect Fitch's view on U.S. CREL CDOs. Of the
280 U.S. CREL CDO classes on Rating Watch Negative, 35 classes
were previously on Rating Watch Negative prior to this review.
Fitch will be carrying out individual analyses on the affected
transactions in the coming months.
* Fitch Downgrades Ratings on 410 Tranches from 290 CDO Deals
-------------------------------------------------------------
Fitch Ratings has downgraded 410 tranches (affecting 305 public
ratings and 105 private ratings) and affirmed 124 tranches
(affecting 100 public ratings and 24 private ratings) from 290
synthetic corporate CDO transactions. In addition, Fitch has
assigned Recovery Ratings to the notes rated 'CCC' and below.
The rating actions reflect the continued deterioration in
portfolio credit quality, particularly in relation to defaulted
assets and assets rated 'CCC' or below. Since the agency's prior
rating actions on the transactions in October 2008, a total of 24
reference entities have been subject to credit events. Recovery
expectations based on the ISDA auctions and market prices are
lower-than-anticipated for these names as they average 14.4%.
Fitch analysed the transactions using the portfolio credit model
and additionally considered the size of the lowest credit quality
buckets relative to the remaining credit enhancement available to
the notes. Downgrades of notes to the 'CC' and 'CCC' categories
reflect high percentages of 'CCC' and lower-rated names in excess
of available credit enhancement. For notes that are deemed highly
likely to experience losses due to credit events, but where actual
recovery valuations are outstanding, a rating of 'C' has been
assigned. For the 124 tranches that have been affirmed, the
action reflects low exposure to the defaulted names, lower levels
of negative portfolio credit quality migration and the notes'
relatively shorter terms to maturity.
Fitch has assigned Recovery Ratings, in most cases of 'RR6', for
notes rated 'CCC' or below to reflect the expectation that further
credit events would likely result in the tranches being completely
written down given the relative thinness of the notes.
For notes rated above 'CCC' Fitch has, in most cases, assigned
Negative Outlooks to reflect the expectation of further negative
portfolio credit quality migration and additional credit events.
* Moody's Cuts Ratings on 39 Certs. by Six Resecuritized Deals
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 39
certificates issued in 6 resecuritized transactions.
The certificates in the resecuritizations are backed by one or
more securities which in turn are backed by residential mortgage
loans. These rating actions have been triggered by changes in
Moody's ratings on the underlying residential mortgage-backed
securities (underlying securities). The rating on the certificates
in the resecuritization is based on:
(i) The updated expected loss of the pool of loans backing
the underlying securities portfolio and the updated
ratings on the underlying securities portfolio
(ii) The available credit enhancement on the underlying
securities and
(iii) The structure of the resecuritization transaction.
(1) Moody's first updated its loss assumptions on the underlying
pool of mortgage loans (backing the underlying securities) and
then arrived at updated ratings on the underlying securities.
The ratings on the underlying securities are used to derive a
weighted average portfolio rating based on a weighted average
rating factor. To determine the portfolio WARF, Moody's assigns
the ratings on the underlying securities a Rating Factor based on
Moody's published 10-yr idealized loss expectations. Weights are
assigned to each Rating Factor based on the contribution (by
current balance) of the underlying security to the resecuritized
transaction.
(2) Second, Moody's determines the weighted average credit
enhancement available to the portfolio security by evaluating
the loss coverage level consistent with the ratings of the
underlying securities and the underlying mortgage pool losses
and weighting them based on the outstanding pledged balance of
the underlying securities.
(3) Finally, the ratings on the bonds issued in the
resecuritization are arrived at after taking into
consideration additional structural aspects of the
resecuritization. For transactions where only a single
tranche is issued the weighted average portfolio rating as
determined in step 1 above is the rating assigned to the
tranche. Where multiple securities are issued the loss
allocation and cash flow priority are taken into
consideration. For instance where the certificates in the
resecuritization are tranched into a super senior tranche and
a support tranche, the support tranche is notched down to
reflect a higher severity of loss to that tranche. The rating
on the super senior tranche is determined based on the total
credit enhancement available i.e. the credit enhancement
assessed in step (2) and the additional enhancement from the
support tranche.
The probability of default for the junior-most certificate in the
resecuritization is the same as that for the lowest rated
underlying certificate. However, Moody's anticipates a higher
loss severity on the junior class due to its subordinate position
(both in terms of principal distribution and loss allocation), and
smaller size (when compared to underlying certificate).
Therefore, the ratings on junior certificates in the
resecuritization are lower than the portfolio rating of the
combined underlying bonds.
Because the ratings on the certificates in the resecuritization
are linked to the rating of the underlying certificate and its
mortgage pool performance, any rating action on the underlying
certificate may trigger a further review of the ratings on the
certificates in the resecuritization. As a result, any further
change in the ratings on the underlying securities will trigger
further analysis of the ratings on the resecuritization
certificates. The ratings on the certificates in the
resecuritization address the ultimate payment of promised interest
and principal and do not address any other amounts that may be
payable on the certificates.
Complete Rating Action are:
Countrywide Alternative Loan Tr Resecuritization 2006-22R
-- Cl. 1-A-1, Downgraded to Caa3; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to B3; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Caa2; previously on 11/13/2008 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to B3; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to Caa3; previously on 11/13/2008 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-6, Downgraded to Caa3; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to Caa3; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-8, Downgraded to Caa3; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-9, Downgraded to Caa3; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-10, Downgraded to Caa3; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Caa2; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Caa2; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa2; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
Countrywide Alternative Loan Tr Resecuritization 2006-37R
-- Cl. A-1, Downgraded to Caa1; previously on 11/10/2006
Assigned Aaa
-- Cl. A-2, Downgraded to Caa1; previously on 11/10/2006
Assigned Aaa
Countrywide Alternative Loan Tr Resecuritization 2007-26R
-- Cl. A-1, Downgraded to Caa1; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ca; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa1; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Caa1; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Caa1; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Caa1; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to Caa1; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to Caa1; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to Ca; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to Ca; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to Ca; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to Ca; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-13, Downgraded to Ca; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-14, Downgraded to Ca; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
Countrywide Alternative Loan Tr Resecuritization 2008-2R
-- Cl. 1-A-1, Downgraded to Caa2; previously on 6/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Caa1; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Caa2; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Caa1; previously on 4/24/2008
Assigned Aaa
-- Cl. 5-A-1, Downgraded to Caa2; previously on 4/24/2008
Assigned Aaa
Countrywide Alternative Loan Trust 2007-1R
-- Cl. A, Downgraded to C; previously on 11/13/2008 Baa2 Placed
Under Review for Possible Downgrade
Countrywide Alternative Loan Trust 2007-HY5R
-- Cl. 2-A-1A, Downgraded to Caa1; previously on 4/24/2007
Assigned Aaa
-- Cl. 2-A-1B, Downgraded to Caa1; previously on 4/24/2007
Assigned Aaa
-- Cl. 2-A-1C, Downgraded to Caa2; previously on 4/24/2007
Assigned Aaa
-- Cl. 2-A-1D, Downgraded to Caa2; previously on 4/24/2007
Assigned Aaa
* S&P Downgrades Ratings on Two Classes from One CFO Transaction
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on two
classes from one collateralized fund obligation transaction and
left the ratings on CreditWatch negative. At the same time, from
eight CFO transactions (included the one downgraded deal), S&P
left 10 ratings on CreditWatch with negative implications,
affirmed its ratings on 19 classes and removed 11 of them from
CreditWatch with negative implications, and withdrew four ratings
following note repayment. The affected tranches have an issuance
amount of $2.44 billion. CFO transactions are securitizations of
equity shares issued by vehicles that invest in several hedge
funds following predefined investment and diversification
guidelines. This investment vehicle type is often referred to as
a "fund of funds."
The downgrades and CreditWatch placements are based on
deteriorating asset performance and liquidity concerns. The
CreditWatch removals represent improved performance and liquidity
of the affected transactions.
Six of the CFOs below have breached a specific over
collateralization test and are expected to redeem all of their
underlying investments to repay the liabilities in sequential
order. The extent to which the rated classes of notes receive
full principal and accrued but unpaid interest will depend on the
amount of cash proceeds ultimately received from the redemption
process. Two of the CFOs below have already redeemed four classes
of notes in full.
S&P will continue to monitor its rated CFO transactions and take
rating actions when appropriate. Additionally, Standard & Poor's
will continue to review its current criteria assumptions related
to volatility and lack of liquidity should market conditions vary
from S&P's current expectations.
Rating Actions
Antarctica CFO I Ltd.
Rating
------
Class To From Original par amount (mil. EUR)
----- -- ---- ------------------------------
A AA/Watch Neg AA/Watch Neg 175.50
B A-/Watch Neg A-/Watch Neg 29.25
C BB-/Watch Neg BB-/Watch Neg 29.25
D CCC CCC 26.00
E CCC- CCC- 4.42
Coast CFO 2005-1 Ltd.
Rating
------
Class To From Original par amount (mil.$)
----- -- ---- ---------------------------
A AA AA/Watch Neg 375.00
B AA AA/Watch Neg 60.00
C A A/Watch Neg 22.50
D BBB/Watch Neg BBB/Watch Neg 67.50
Coast CFO 2006-1 Ltd.
Rating
------
Class To From Original par amount (mil.$)
----- -- ---- ---------------------------
A NR AA/Watch Neg 300.00
B NR AA/Watch Neg 46.00
C NR A/Watch Neg 20.00
D BBB BBB/Watch Neg 54.00
Coast CFO 2006-2 Ltd.
Rating
------
Class To From Original par amount (mil.$)
----- -- ---- ---------------------------
A NR AA/Watch Neg 250.00
B AA AA/Watch Neg 40.00
C A A/Watch Neg 15.00
D BBB BBB/Watch Neg 45.00
RMF Four Seasons CFO Ltd.
Rating
------
Class To From Original par amount (mil.$)
----- -- ---- ---------------------------
S AA/Watch Neg AA/Watch Neg 23.50
M1 AA/Watch Neg AA/Watch Neg 18.80
M2 BBB/Watch Neg BBB/Watch Neg 11.75
M3 B+/Watch Neg B+/Watch Neg 16.45
Zoo HF 3 PLC
Rating
------
Class To From Original par amount (mil.$)
----- -- ---- ---------------------------
A AA/Watch Neg AA/Watch Neg 94.50
B AA/Watch Neg AA/Watch Neg 8.00
C BBB+/Watch Neg A/Watch Neg 6.50
D CCC/Watch Neg B-/Watch Neg 12.50
E CCC-/Watch Neg CCC- 5.50
Man Glenwood Alternative Strategies II Ltd.
Rating
------
Class To From Original par amount (mil.$)
----- -- ---- ---------------------------
A AA AA/Watch Neg 250.00
B AA AA/Watch Neg 40.00
C A A/Watch Neg 15.00
D BBB- BBB-/Watch Neg 43.75
Amathea Funding Public Limited Co.
Rating
------
Class To From Original par amount (mil.$)
----- -- ---- ---------------------------
Oct 08-1SN AA AA 60.00
Oct 08-1LF AA AA 0.10
Oct 081VFN AA AA 157.00
Oct 083VFN AA AA 5.00
Dec 081SN AA AA 14.00
Dec 081VFN AA AA 99.00
* S&P Takes Rating Actions on Three Market Value CLO Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services took these rating actions on
three U.S. market value collateralized loan obligation
transactions:
-- S&P removed its ratings on seven tranches from CreditWatch
negative and affirmed them;
-- S&P left its ratings on two tranches on CreditWatch negative;
and
-- S&P affirmed its ratings on nine other tranches.
The tranches with ratings removed from CreditWatch negative have,
in S&P's view, benefited from several months of stable or
improving over collateralization test results due to paydowns to
the senior notes in the transactions. The two subordinated
classes with ratings remaining on CreditWatch negative, however,
continue to experience impaired O/C levels due to price
deterioration in the leveraged loan and high-yield bond markets.
S&P will continue to monitor the classes on CreditWatch and will
take negative rating actions as appropriate if S&P see further
declines in the O/C levels, or will S&P remove the ratings from
CreditWatch if the classes reestablish an appropriate cushion
above the minimum O/C requirement.
Ratings Affirmed And Removed From Creditwatch Negative
Rating
------
Transaction Class To From
----------- ----- -- ----
Highland Credit Opp CDO Ltd. A-1 2006 A A/Watch Neg
Highland Credit Opp CDO Ltd. A-2 2006 A A/Watch Neg
Highland Credit Opp CDO Ltd. B 2006 BBB BBB/Watch Neg
Kinney Hill Credit Opp Fund, Ltd. D-1 BBB BBB/Watch Neg
OHSF II Financing Ltd C-1 2006 A A/Watch Neg
OHSF II Financing Ltd C-2 2006 A A/Watch Neg
OHSF II Financing Ltd MTL 2006 A A/Watch Neg
Ratings Remaining On Creditwatch Negative
Transaction Class Rating
----------- ----- ------
Highland Credit Opp CDO Ltd. C 2006 BB/Watch Neg
OHSF II Financing Ltd D-1 2006 BBB/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Kinney Hill Credit Opp Fund, Ltd. A-1 AAA
Kinney Hill Credit Opp Fund, Ltd. B-1 AA
Kinney Hill Credit Opp Fund, Ltd. C-1 A
OHSF II Financing Ltd A-1 2006 AAA
OHSF II Financing Ltd A-2a 2006 AAA
OHSF II Financing Ltd A-2b 2006 AAA
OHSF II Financing Ltd STL 2006 AAA
OHSF II Financing Ltd B-1 2006 AA
OHSF II Financing Ltd SSTL 2006 AA
* S&P Puts Ratings on 18 ABS Transactions on Negative CreditWatch
-----------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 18
emerging market asset-backed securities transactions on
CreditWatch with negative implications. At the same time,
Standard & Poor's kept its ratings on two ABS transactions on
CreditWatch Negative, where they were placed in January 2009.
The ratings on the securities and the transactions' structures are
based, in part, on Merrill Lynch & Co. Inc.'s provision of a swap
contract, guarantee, or cash management agreement; and/or the
underlying collateral.
The rating actions follow the May 4, 2009, placement of S&P's 'A'
long-term counterparty credit rating on Merrill Lynch on
CreditWatch negative (see "Bank of America Corp. 'A/A-1' Rating
Placed On CreditWatch Negative; Hybrid Securities Ratings Lowered
To 'B' From 'BB'" on RatingsDirect, at www.ratingsdirect.com).
S&P will continue to surveil the ratings on these ABS
securitizations and revise them as necessary to reflect any
changes in the transactions' credit quality. In addition, S&P may
take further rating actions on these transactions pending the
resolution of the ongoing CreditWatch status of the ratings on
Merrill Lynch.
Ratings Placed On Creditwatch Negative
Rating
------
Transaction Series/tranche To From
----------- -------------- -- ----
AXTIIE Bonos 2009-1 mxAAA/Watch Neg mxAAA
CRPAO PEN
Trust #1 2008-100 BB+/Watch Neg BB+
Latam Trust 2007-108 A+/Watch Neg A+
2008-101 A+/Watch Neg A+
2008-102 A+/Watch Neg A+
ML MXN Notes 2007-1 mxAAA/Watch Neg mxAAA
MXTIIE Bonos 2009-1 mxAAA/Watch Neg mxAAA
Peru Enhanced
Pass Through
Finance Ltd. A-1 BB+/Watch Neg BB+
A-2 BB+/Watch Neg BB+
PXGETIIE Trust 2008-1 mxAAA/Watch Neg mxAAA
PXTIIE Trust 2008-1 mxAAA/Watch Neg mxAAA
TIIEML Bonos 2008-1 mxAAA/Watch Neg mxAAA
2008-2 mxAAA/Watch Neg mxAAA
TIIETMX Bonos 2008-1 mxAAA/Watch Neg mxAAA
2008-2 mxAAA/Watch Neg mxAAA
TVTIIE Bonos 2009-1 mxAAA/Watch Neg mxAAA
UDIMXBB Bonos 2009-1 mxAAA/Watch Neg mxAAA
UDIMXCF Bonos 2009-1 mxAAA/Watch Neg mxAAA
Ratings Remaining On Creditwatch Negative
Rating
------
Transaction Series/tranche To From
----------- -------------- -- ----
Latam Trust 2007-105 A-/Watch Neg A-/Watch Neg
UDICX Bono 2008-1 mxBB/Watch Neg mxBB/Watch Neg
* S&P Downgrades Ratings on 34 Tranches from Nine Hybrid CDO Deals
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 34
tranches from nine U.S. cash flow and hybrid collateralized debt
obligation transactions. At the same time, S&P removed 14 of the
lowered ratings from CreditWatch with negative implications.
The ratings on 19 of the downgraded tranches are on CreditWatch
with negative implications, indicating a significant likelihood of
further downgrades.
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.
In addition, Standard & Poor's reviewed the rating assigned to Ivy
Lane CDO Ltd. and based on the current credit support available to
the tranche, has left the rating at its current level.
The 34 downgraded U.S. cash flow and hybrid tranches have a total
issuance amount of $5.527 billion. All 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 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 8 Ltd A-1 BB+/Watch Neg A+/Watch Neg
Acacia CDO 8 Ltd A-2 B+/Watch Neg A/Watch Neg
Acacia CDO 8 Ltd B B-/Watch Neg BBB+/Watch Neg
Acacia CDO 8 Ltd C CCC+/Watch Neg BB+/Watch Neg
Acacia CDO 8 Ltd D CCC-/Watch Neg BB/Watch Neg
Acacia CDO 8 Ltd E CC B+/Watch Neg
Acacia CDO 9 Ltd A CC BBB/Watch Neg
Acacia CDO 9 Ltd B CC BB-/Watch Neg
Acacia CDO 9 Ltd C CC B/Watch Neg
Acacia CDO 9 Ltd D CC CCC+
C-BASS CBO XIV Ltd A BB-/Watch Neg BBB-/Watch Neg
C-BASS CBO XIV Ltd B CC BB-/Watch Neg
G-Star 2004-4 Ltd. A-1 BBB+/Watch Neg AA/Watch Neg
G-Star 2004-4 Ltd. A-2-A B+/Watch Neg A-/Watch Neg
G-Star 2004-4 Ltd. A-2-B B+/Watch Neg A-/Watch Neg
G-Star 2004-4 Ltd. B CCC/Watch Neg BBB-/Watch Neg
G-Star 2004-4 Ltd. C-1-A CC CCC+/Watch Neg
G-Star 2004-4 Ltd. C-1-B CC CCC+/Watch Neg
G-STAR 2005-5 Ltd A-1 A/Watch Neg AA
G-STAR 2005-5 Ltd A-2 BB+/Watch Neg A-
G-STAR 2005-5 Ltd A-3 B+/Watch Neg BBB/Watch Neg
G-STAR 2005-5 Ltd B CCC+/Watch Neg BB/Watch Neg
G-STAR 2005-5 Ltd C CCC-/Watch Neg CCC+
Neptune CDO II, Ltd. A-1 CCC BBB-/Watch Neg
Triaxx Prime CDO 2006-1, Ltd. A-1 B+/Watch Neg A/Watch Neg
Triaxx Prime CDO 2006-1, Ltd. A-2 CCC-/Watch Neg BBB-/Watch Neg
Triaxx Prime CDO 2006-1, Ltd. B CC BB-/Watch Neg
Triaxx Prime CDO 2006-1, Ltd. X CC B+/Watch Neg
Triaxx Prime CDO 2006-1, Ltd. C CC B/Watch Neg
Whately CDO I, Ltd. A-1A BBB+/Watch Neg AA+/Watch Neg
Whately CDO I, Ltd. A-1BF CC CCC/Watch Neg
Whately CDO I, Ltd. A-1BV CC CCC/Watch Neg
Zais Investment Grade A-1 BB/Watch Neg BBB/Watch Neg
Limited VIII
Zais Investment Grade A-2 CC CCC-/Watch Neg
Limited VIII
Other Ratings Reviewed
Transaction Class Rating
----------- ----- ------
C-BASS CBO XIV Ltd C CC
C-BASS CBO XIV Ltd D CC
G-Star 2004-4 Ltd. Pref Share CC
G-STAR 2005-5 Ltd Income Not CC
Ivy Lane CDO Ltd. S BBB+
Ivy Lane CDO Ltd. A-1 CC
Ivy Lane CDO Ltd. A-2 CC
Ivy Lane CDO Ltd. A-3 CC
Ivy Lane CDO Ltd. B CC
Ivy Lane CDO Ltd. C CC
Neptune CDO II, Ltd. A-2 CC
Neptune CDO II, Ltd. B CC
Neptune CDO II, Ltd. C CC
Neptune CDO II, Ltd. D CC
Whately CDO I, Ltd. A-2 CC
Whately CDO I, Ltd. A-3 CC
Whately CDO I, Ltd. B-F CC
Whately CDO I, Ltd. B-V CC
Whately CDO I, Ltd. Combo A CC
Zais Investment Grade B CC
Limited VIII
Zais Investment Grade C CC
Limited VIII
Zais Investment Grade D CC
Limited VIII
* S&P Downgrades Ratings on 36 Tranches from 13 Hybrid CDO Deals
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 36
tranches from 13 U.S. cash flow and hybrid collateralized debt
obligation transactions. At the same time, S&P removed 11 of the
lowered ratings from CreditWatch with negative implications.
The ratings on 22 of the downgraded tranches are on CreditWatch
with negative implications, indicating a significant likelihood of
further downgrades.
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.
In addition, Standard & Poor's reviewed the ratings assigned to G-
Star 2002-1 Ltd. and RFC CDO I Ltd. and based on the current
credit support available to the tranches of those transactions,
has left the ratings at their current levels.
The 36 downgraded U.S. cash flow and hybrid tranches have a total
issuance amount of $3.977 billion. All 13 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 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
----------- ----- -- ----
Bluegrass ABS CDO III, Ltd. A-1 BBB/Watch Neg A+/Watch Neg
Bluegrass ABS CDO III, Ltd. A-2 CC CCC/Watch Neg
CAMBER 3 plc A-1 CCC/Watch Neg BB/Watch Neg
CAMBER 3 plc A-2 CC BB-/Watch Neg
Gemstone CDO III Ltd A-1 CCC/Watch Neg B/Watch Neg
Gemstone CDO III Ltd A-2 BB+/Watch Neg BBB-/Watch Neg
Gemstone CDO III Ltd A-3 CCC/Watch Neg B/Watch Neg
Gemstone CDO III Ltd B CC CCC-
Independence V CDO, Ltd. A-1 CCC- BBB/Watch Neg
Inman Square Funding I, Ltd. II-FL BB+/Watch Neg AA
Inman Square Funding I, Ltd. II-FX BB+/Watch Neg AA
Inman Square Funding I, Ltd. III CCC/Watch Neg BB+
Inman Square Funding I, Ltd. IV-FL CC CCC-
Inman Square Funding I, Ltd. IV-FX CC CCC-
Los Robles CDO Ltd TRS BBsrp/Watch Neg Asrp/Watch Neg
Los Robles CDO Ltd A-1a BB/Watch Neg A/Watch Neg
Los Robles CDO Ltd A-1b CCC-/Watch Neg BB-/Watch Neg
Millerton ABS CDO Ltd A-1 A+/Watch Neg AAA
Millerton ABS CDO Ltd A-2 B-/Watch Neg BBB/Watch Neg
Millerton ABS CDO Ltd B CC CCC/Watch Neg
Northwall Funding CDO I, Ltd. A-1 BBB-/Watch Neg BBB+/Watch Neg
Opus CDO I Ltd. A B-/Watch Neg BB+/Watch Neg
Opus CDO I Ltd. Combo Note CC CCC-/Watch Neg
Palisades CDO Ltd. A-1A AA/Watch Neg AAA
Palisades CDO Ltd. A-1B AA/Watch Neg AAA
Palisades CDO Ltd. A-2 BBB-/Watch Neg AA/Watch Neg
Palisades CDO Ltd. B-1 CC BB-/Watch Neg
Palisades CDO Ltd. B-2 CC BB-/Watch Neg
RFC CDO III, Ltd. A-2 B/Watch Neg BB-/Watch Neg
RFC CDO III, Ltd. B CC CCC-/Watch Neg
STAtic ResidenTial CDO 2005-A A-1 AA-/Watch Neg AAA/Watch Neg
STAtic ResidenTial CDO 2005-A A-2 BB-/Watch Neg BBB-/Watch Neg
STAtic ResidenTial CDO 2005-A B CCC/Watch Neg B-/Watch Neg
STAtic ResidenTial CDO 2005-A C CC CCC-/Watch Neg
Summer Street 2007-1, Ltd. A-1SA CCC- BBB/Watch Neg
Summer Street 2007-1, Ltd. A-1SB CC CCC-/Watch Neg
Other Ratings Reviewed
Transaction Class Rating
----------- ----- ------
Bluegrass ABS CDO III, Ltd. B CC
Bluegrass ABS CDO III, Ltd. C CC
Bluegrass ABS CDO III, Ltd. D-1 CC
Bluegrass ABS CDO III, Ltd. D-2 CC
CAMBER 3 plc S A/Watch Neg
CAMBER 3 plc B CC
CAMBER 3 plc C CC
CAMBER 3 plc D CC
Gemstone CDO III Ltd C CC
Gemstone CDO III Ltd D CC
Gemstone CDO III Ltd E CC
G-Star 2002-1 Ltd A-1MM AAA/A-1+
G-Star 2002-1 Ltd A-2 AAA
G-Star 2002-1 Ltd BFL A-
G-Star 2002-1 Ltd BFX A-
G-Star 2002-1 Ltd C BB+
Independence V CDO, Ltd. A-2A CC
Independence V CDO, Ltd. A-2B CC
Independence V CDO, Ltd. B CC
Independence V CDO, Ltd. C CC
Independence V CDO, Ltd. Ser 1 Pref CC
Independence V CDO, Ltd. Ser 2 Pref CC
Inman Square Funding I, Ltd. I AAA
Los Robles CDO Ltd A-2 CC
Los Robles CDO Ltd A-3 CC
Los Robles CDO Ltd B CC
Los Robles CDO Ltd C CC
Los Robles CDO Ltd D CC
Millerton ABS CDO Ltd C CC
Northwall Funding CDO I, Ltd. A-2 CC
Northwall Funding CDO I, Ltd. B CC
Northwall Funding CDO I, Ltd. C CC
Opus CDO I Ltd. B CCC-/Watch Neg
Opus CDO I Ltd. C CC
Opus CDO I Ltd. D CC
Opus CDO I Ltd. Sub Notes CC
Palisades CDO Ltd. C-1 CC
Palisades CDO Ltd. C-2 CC
Palisades CDO Ltd. Type II CC
RFC CDO I Ltd A AAA
RFC CDO I Ltd B-1 AAA
RFC CDO I Ltd B-2 AAA
RFC CDO I Ltd C AA-
RFC CDO I Ltd D A
RFC CDO I Ltd E BB+
RFC CDO III, Ltd. C CC
RFC CDO III, Ltd. D CC
STAtic ResidenTial CDO 2005-A D CC
Summer Street 2007-1, Ltd. A-1A CC
Summer Street 2007-1, Ltd. A-1B CC
Summer Street 2007-1, Ltd. A-2 CC
Summer Street 2007-1, Ltd. B CC
Summer Street 2007-1, Ltd. C CC
Summer Street 2007-1, Ltd. D CC
* S&P Downgrades Ratings on 43 Classes from 13 RMBS Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 43
classes from 13 U.S. residential mortgage-backed securities
transactions issued from 2002 to 2007. S&P categorize the
transactions reviewed as "scratch and dent" due to the nature of
the underlying collateral securing the RMBS. S&P removed 12 of
the lowered ratings from CreditWatch negative. S&P also affirmed
S&P's ratings on 95 classes from the same transactions and on five
additional transactions, and removed two of the affirmed ratings
from CreditWatch negative. In addition, S&P placed two ratings on
CreditWatch with negative implications.
Scratch and dent transactions generally fall into one of four
categories depending on the characteristics of the underlying loan
collateral: reperforming, outside-the-guidelines, document-
deficient, and nonperforming liquidating trusts.
The downgrades and affirmations incorporate S&P's projected
losses, which are based on factors such as the dollar amount of
losses S&P has observed within the transactions over the prior 12
months, the current pipeline inclusive of S&P's roll-rate
assumptions, or default curves that S&P utilize when S&P review
subprime and Alternative-A transactions.
Generally, for reperforming transactions, S&P utilized the
observed historic dollar loss experience of the pool to calculate
a monthly default rate, which S&P then applied to the pool under
different constant prepayment rate assumptions.
For scratch and dent transactions with low pool factors that
contained a large portion of current loans at the time of
securitization, S&P applied its roll rate and loss severity
assumptions, in order to derive future losses.
In each scenario, S&P compared its loss projections with the
amount of subordination and applicable excess interest on a class-
by-class basis to assess the amount of credit support S&P
considered sufficient based on S&P's future loss projections.
Generally, S&P's baseline loss projections represent S&P's 'B'
case rating scenario, and S&P adjust the projection based on
credit enhancement multiples that are specific to each rating
category. Typically, if the rating is commensurate with the ratio
derived from credit enhancement-to-remaining losses, S&P will
affirm the rating. 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, while affirmations reflect S&P's belief that the amount of
credit enhancement is sufficient to support the ratings at their
current levels. S&P placed several ratings on CreditWatch
negative due to interest shortfalls and S&P's uncertainty of the
repayment of these shortfalls.
The subordination of more-junior classes within each applicable
structure, as well as excess interest for some structures,
provides credit support for the affected transactions. In
addition, some of the reviewed transactions may be collateralized
by loans that are generally insured by third parties that cover a
certain amount, up to a maximum, based on the insurer's
regulations. The collateral backing the affected trusts consists
predominantly of first-lien, fixed- or adjustable-rate residential
reperforming, subprime, or Alt-A mortgage loans secured by one- to
four-family properties. In addition, some of the loans may be
insured by the FHA or U.S. VA.
S&P monitors these transactions to incorporate updated performance
information to assess whether, in S&P's view, the applicable
credit enhancement is 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
C-BASS Mortgage Loan Asset Backed Certificates, Series 2002-CB5
Series 2002-CB5
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 12489WFS8 AAA/Watch Neg AAA
M-2 12489WFT6 BBB/Watch Neg AAA
B-1 12489WFU3 CCC BBB/Watch Neg
American Home Mortgage Investment Trust 2007-SD1
Series 2007-SD1
Rating
------
Class CUSIP To From
----- ----- -- ----
IV-A 026933AA9 B AAA
IV-M-1 026933AB7 CCC AA
IV-M-2 026933AC5 CC A
Bear Stearns Asset Backed Securities Trust 2003-SD2
Series 2003-SD2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-4 07384YMH6 CCC BB
B-5 07384YMJ2 CCC B
Bear Stearns Asset Backed Securities Trust 2004-SD2
Series 2004-SD2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-4 07384YTS5 B BB
B-5 07384YTT3 CCC B
Bear Stearns Asset Backed Securities Trust 2006-SD4
Series 2006-SD4
Rating
------
Class CUSIP To From
----- ----- -- ----
1A-1 07389NAA3 AAA AAA/Watch Neg
1A-2 07389NAB1 B AAA/Watch Neg
1A-3 07389NAV7 B AAA/Watch Neg
2A-1 07389NAC9 AA AAA/Watch Neg
2A-2 07389NAD7 B AAA/Watch Neg
3A-1 07389NAE5 AA AAA/Watch Neg
3A-2 07389NAF2 B AAA/Watch Neg
X-1 07389NAG0 AA AAA/Watch Neg
X-2 07389NAH8 B AAA/Watch Neg
B-1 07389NAJ4 CCC AA/Watch Neg
B-2 07389NAK1 CC A/Watch Neg
B-3 07389NAL9 D BBB/Watch Neg
Bear Stearns Asset Backed Securities Trust 2007-2
Series 2007-2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 07400TAB3 AA AAA
A-3 07400TAC1 A AAA
M-1 07400TAD9 B AA
M-2 07400TAE7 CCC AA-
M-3 07400TAF4 CCC A
M-4 07400TAG2 CCC A-
M-5 07400TAH0 CCC BBB+
M-6 07400TAJ6 CC BBB
M-7 07400TAK3 CC BBB-
Fannie Mae REMIC Trust 2003-W4
Series 2003-W4
Rating
------
Class CUSIP To From
----- ----- -- ----
IB-4 31393AQ91 CC B
Financial Asset Securities Corp.
Series 2004-RP1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-B-4 92922FYR3 CCC BB
II-B-5 92922FYZ5 CCC B
GSMPS Mortgage Loan Trust 2004-3
Series 2004-3
Rating
------
Class CUSIP To From
----- ----- -- ----
B5 36228F3H7 CC B
GSMPS Mortgage Loan Trust 2005-RP1
Series 2005-RP1
Rating
------
Class CUSIP To From
----- ----- -- ----
B5 36242DXT5 CCC B
Morgan Stanley ABS Capital I Inc. Trust 2003-SD1
Series 2003-SD1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 61746RCG4 BB+ BB+/Watch Neg
RAAC Series 2006-SP4 Trust
Series 2006-SP4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 74919VAB2 A AAA
A-3 74919VAC0 BBB AAA
M-1 74919VAG1 B AA+
M-2 74919VAH9 CCC A+
M-3 74919VAJ5 CCC A-
M-4 74919VAK2 CCC BBB+
M-5 74919VAL0 CC BBB
Reperforming Loan REMIC Trust 2002-2
Series T-048
Rating
------
Class CUSIP To From
----- ----- -- ----
1B-2 12669UAK6 CCC BB
Reperforming Loan REMIC Trust 2002-R3
Series T-051
Rating
------
Class CUSIP To From
----- ----- -- ----
B-4 12669UAX8 CCC B
Ratings Affirmed
C-BASS Mortgage Loan Asset Backed Certificates,
Series 2002-CB5
Class CUSIP Rating
----- ----- ------
AF-3 12489WFP4 AAA
AV-2 12489WFW9 AAA
Bear Stearns Asset Backed Securities Trust 2003-SD2
Series 2003-SD2
Class CUSIP Rating
----- ----- ------
I-A 07384YLH7 AAA
II-A 07384YLJ3 AAA
III-A 07384YLK0 AAA
B-1 07384YLL8 AA+
B-2 07384YLM6 A+
B-3 07384YLN4 BBB
Bear Stearns Asset Backed Securities Trust 2004-SD2
Series 2004-SD2
Class CUSIP Rating
----- ----- ------
I-A 07384YTH9 AAA
II-A 07384YTJ5 AAA
III-A 07384YTK2 AAA
IV-A 07384YTL0 AAA
B-1 07384YTM8 AA
B-2 07384YTN6 A
B-3 07384YTP1 BBB
Bear Stearns Asset Backed Securities Trust 2007-2
Series 2007-2
Class CUSIP Rating
----- ----- ------
A-1 07400TAA5 AAA
Fannie Mae REMIC Trust 2002-W1
Series 2002-W1
Class CUSIP Rating
----- ----- ------
1A-4 31392CMJ0 AAA
1A-IO 31392CMK7 AAA
2A 31392CMS0 AAA
2A-IO 31392CMU5 AAA
3A 31392CMV3 AAA
M AA
B-1 31392CMM3 A
B-2 31392CMN1 BBB
3M 31392CMW1 AA
3B-1 31392CMX9 A
3B-2 31392CMY7 BBB
B-3 31392CMP6 BB
3B-3 31392CMZ4 BB
3B-4 31392CNA8 B
Fannie Mae REMIC Trust 2002-W6
Series 2002-W6
Class CUSIP Rating
----- ----- ------
3M 31392DG71 AA
3B-1 31392DG89 A
3B-2 31392DG97 BBB
3B-3 31392DH21 BB
3B-4 31392DH39 B
Fannie Mae REMIC Trust 2003-W10
Series 2003-W10
Class CUSIP Rating
----- ----- ------
2M 31393DUH2 AA
3M 31393DUX7 AA
2B-1 31393DUJ8 A
3B-1 31393DUY5 A
2B-2 31393DUK5 BBB
3B-2 31393DUZ2 BBB
2B-3 31393DUL3 BB
2B-4 31393DUM1 B
Fannie Mae REMIC Trust 2003-W4
Series 2003-W4
Class CUSIP Rating
----- ----- ------
IM 31393AQ59 AA
IIM 31393AR41 AA
IB-1 31393AQ67 A
IIB-1 31393AR58 A
IB-2 31393AQ75 BBB
IIB-2 31393AR66 BBB
IB-3 31393AQ83 BB
IIB-3 31393AR74 BB
IIB-4 31393AR82 B
Financial Asset Securities Corp.
Series 2004-RP1
Class CUSIP Rating
----- ----- ------
I-F 92922FYJ1 AAA
I-HJ 92922FYK8 AAA
I-S 92922FYL6 AAA
II-A AAA
I-B-1 92922FYN2 AA
II-B-1 92922FYV4 AA
I-B-2 92922FYP7 A
II-B-2 92922FYW2 A
I-B-3 92922FYQ5 BBB
II-B-3 92922FYX0 BBB
II-B-4 92922FYY8 BB
GSMPS Mortgage Loan Trust 2004-3
Series 2004-3
Class CUSIP Rating
----- ----- ------
B1 36228F3D6 AA
B2 36228F3E4 A
B3 36228F3F1 BBB
B4 36228F3G9 BB
GSMPS Mortgage Loan Trust 2005-RP1
Series 2005-RP1
Class CUSIP Rating
----- ----- ------
1AF 36242DXG3 AAA
1AS 36242DXH1 AAA
1A2 36242DXJ7 AAA
1A3 36242DXK4 AAA
1A4 36242DXL2 AAA
AX 36242DXM0 AAA
2A1 36242DXN8 AAA
B1 36242DXP3 AA
B2 36242DXQ1 A
B3 36242DXR9 BBB
B4 36242DXS7 BB
Morgan Stanley ABS Capital I Inc. Trust 2003-SD1
Series 2003-SD1
Class CUSIP Rating
----- ----- ------
A-1 61746RCE9 AAA
A-2 61746RCK5 AAA
M-1 61746RCF6 AA
RAAC Series 2006-SP4 Trust
Series 2006-SP4
Class CUSIP Rating
----- ----- ------
A-1 74919VAA4 AAA
Reperforming Loan REMIC Trust 2002-2
Series T-048
Class CUSIP Rating
----- ----- ------
1M 12669UAH3 AA
1-B-1 12669UAJ9 A
2M 12669UAP5 AA
2B-1 12669UAQ3 A
2B-2 12669UAR1 BBB
2B-3 12669UAS9 BB
2B-4 12669UAT7 B
Reperforming Loan REMIC Trust 2002-R3
Series T-051
Class CUSIP Rating
----- ----- ------
M 12669UAZ3 AA
B-1 12669UBA7 A
B-2 12669UBB5 BBB
B-3 12669UAW0 BB
* S&P Downgrades Ratings on 66 Tranches from 15 Hybrid CDO Deals
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 66
tranches from 15 hybrid collateralized debt obligation
transactions and affirmed its ratings on two tranches from one
transaction. Subsequently, S&P withdrew its ratings on the two
transactions with affirmed ratings and 59 of the downgraded
tranches from 13 of the downgraded transactions. Twenty of the
ratings were on CreditWatch negative before the actions, and 44
were on CreditWatch developing. All of the affected transactions
have exposure to Lehman Bros. Holdings Inc. as a credit support
provider or as a guarantor to other Lehman entities that act as
credit default swap counterparties in the transactions.
All 15 transactions are hybrid CDOs with CDS that reference either
corporate loans or bonds. Lehman Bros. Special Financing Inc.,
acting as the CDS counterparty, stopped making premium payments to
these transactions following the Sept. 15, 2008, bankruptcy filing
of the CDS guarantor, LBHI. Furthermore, the transactions have
not made any payments for credit events that have taken place
under the CDS following the LBHI bankruptcy filing. None of the
CDS agreements have been terminated.
In the absence of premium payments from the CDS counterparty, the
transactions were left entirely reliant on interest generated from
their eligible investment funds to satisfy their commitment fee
obligations on the unfunded notes and interest payments on the
funded notes. The eligible investment holdings for 13 of the 15
transactions are in the Lehman Bros. ABS Enhanced LIBOR Fund. The
remaining two transactions (Airlie CDO I Ltd. and Airlie LCDO II
{Pebble Creek 2007-1} Ltd.) initially invested their eligible
investments in the Lehman Bros. ABS Enhanced LIBOR Fund, but then
subsequently placed them in another fund, the Milestone Offshore
Funds-Daily Dollar Portfolio.
The downgrades reflect the increased strain on the credit
available to the transactions due to their dependence on the
spread generated by the eligible investments to satisfy payments
of interest to the notes. The diminished interest income from the
eligible investments has resulted in a shortfall in payments of
commitment fees and interest owed to 66 tranches from 15
transactions during the most recent payment period. Some of the
classes received no interest payments, which resulted in higher
accrual balances and, consequently, an increase in the notional
balance of the notes.
In March 2009, the trustee for these transactions received a
notice of termination for Lehman Bros. ABS Enhanced LIBOR Fund in
which Lehman Bros. Asset Management, the investment adviser,
declared the termination of all investment activities in the fund.
S&P subsequently withdrew S&P's rating on the fund at the
investment adviser's request (see "Lehman Brothers ABS Enhanced
LIBOR Fund 'AAAf/S2' Rating Withdrawn At Advisor's Request,"
published March 12, 2009). Thirteen of the 15 transactions rely
on this fund to make their interest and protection payments, as
well as their ultimate repayment of principal.
S&P is withdrawing its ratings on these 13 transactions following
the downgrades. In S&P's November 2008 review of these
transactions, S&P were able to form an opinion about the future
likelihood of both timely interest payments and the ultimate
repayment of principal to the noteholders, based on the 'AAAf'
rating outstanding on the eligible investments. Even though the
transactions were no longer receiving premium payments from the
CDS and appeared to be no longer required to make future
protection payments, S&P looked to the rating of the eligible
investment fund as an indication of the certainty of future cash
flows the transactions would receive from the Lehman Bros. ABS
Enhanced LIBOR Fund.
However, S&P's view of the risk profile of the transactions has
since changed as a result of factors including Standard & Poor's
withdrawal of the rating on the Lehman Brothers ABS Enhanced LIBOR
Fund, and S&P is consequently withdrawing S&P's ratings on the 13
transactions whose eligible investments are in this fund. The
rating withdrawals reflect S&P's belief that S&P is no longer able
to assess in accordance with S&P's criteria the likelihood of
continued revenue streams from the fund and the potential market
risk to the noteholders if the fund were liquidated.
Ratings Lowered And Removed From Creditwatch
Rating
------
Transaction Class To From
----------- ----- -- ----
Airlie CDO I Ltd. A BBB AAA/Watch Neg
Airlie CDO I Ltd. B BB+ A/Watch Dev
Airlie CDO I Ltd. C B+ BB/Watch Dev
Airlie CDO I Ltd. D CCC B/Watch Dev
Airlie LCDO II (Pebble Creek 2007-1) Ltd. B BBB AAA/Watch Neg
Airlie LCDO II (Pebble Creek 2007-1) Ltd. C BB BBB+/Watch Dev
Airlie LCDO II (Pebble Creek 2007-1) Ltd. D CCC B/Watch Dev
Ratings Lowered, Then Withdrawn; Some Removed From Creditwatch
Rating
------
Transaction Class To From
----------- ----- -- ----
Airlie LCDO I (Aviv LCDO 2006-3) Ltd. B-1 B+ AA/Watch Dev
Airlie LCDO I (Aviv LCDO 2006-3) Ltd. B-1 NR B+
Airlie LCDO I (Aviv LCDO 2006-3) Ltd. B-2 B+ AA/Watch Dev
Airlie LCDO I (Aviv LCDO 2006-3) Ltd. B-2 NR B+
Airlie LCDO I (Aviv LCDO 2006-3) Ltd. C CCC BB/Watch Dev
Airlie LCDO I (Aviv LCDO 2006-3) Ltd. C NR CCC
Airlie LCDO I (Aviv LCDO 2006-3) Ltd. D CCC- CCC
Airlie LCDO I (Aviv LCDO 2006-3) Ltd. D NR CCC-
Aviv LCDO 2006-1 Ltd. B B A/Watch Dev
Aviv LCDO 2006-1 Ltd. B NR B
Aviv LCDO 2006-1 Ltd. C CCC B/Watch Dev
Aviv LCDO 2006-1 Ltd. C NR CCC
Aviv LCDO 2006-1 Ltd. D CCC- CCC
Aviv LCDO 2006-1 Ltd. D NR CCC-
Aviv LCDO 2006-2 Ltd. B BBB+ AAA/Watch Neg
Aviv LCDO 2006-2 Ltd. B NR BBB+
Aviv LCDO 2006-2 Ltd. C BB A/Watch Dev
Aviv LCDO 2006-2 Ltd. C NR BB
Aviv LCDO 2006-2 Ltd. D B BBB/Watch Dev
Aviv LCDO 2006-2 Ltd. D NR B
Exum Ridge CBO 2006-1 Ltd. A BB+ AAA/Watch Neg
Exum Ridge CBO 2006-1 Ltd. A NR BB+
Exum Ridge CBO 2006-1 Ltd. B BB AA/Watch Dev
Exum Ridge CBO 2006-1 Ltd. B NR BB
Exum Ridge CBO 2006-1 Ltd. C B A/Watch Dev
Exum Ridge CBO 2006-1 Ltd. C NR B
Exum Ridge CBO 2006-1 Ltd. D CCC BB/Watch Dev
Exum Ridge CBO 2006-1 Ltd. D NR CCC
Exum Ridge CBO 2006-1 Ltd. E CCC- CCC
Exum Ridge CBO 2006-1 Ltd. E NR CCC-
Exum Ridge CBO 2006-2 Ltd. A BB+ AAA/Watch Neg
Exum Ridge CBO 2006-2 Ltd. A NR BB+
Exum Ridge CBO 2006-2 Ltd. B BB A-/Watch Dev
Exum Ridge CBO 2006-2 Ltd. B NR BB
Exum Ridge CBO 2006-2 Ltd. C B+ BB/Watch Dev
Exum Ridge CBO 2006-2 Ltd. C NR B+
Exum Ridge CBO 2006-2 Ltd. D CCC B-/Watch Dev
Exum Ridge CBO 2006-2 Ltd. D NR CCC
Exum Ridge CBO 2006-4 Ltd. A BB+ AAA/Watch Neg
Exum Ridge CBO 2006-4 Ltd. A NR BB+
Exum Ridge CBO 2006-4 Ltd. B BB AA/Watch Dev
Exum Ridge CBO 2006-4 Ltd. B NR BB
Exum Ridge CBO 2006-4 Ltd. C BB- A/Watch Dev
Exum Ridge CBO 2006-4 Ltd. C NR BB-
Exum Ridge CBO 2006-4 Ltd. D CCC BBB/Watch Dev
Exum Ridge CBO 2006-4 Ltd. D NR CCC
Exum Ridge CBO 2006-4 Ltd. E CCC- BB/Watch Dev
Exum Ridge CBO 2006-4 Ltd. E NR CCC-
Exum Ridge CBO 2006-5 Ltd. A BB+ AAA/Watch Neg
Exum Ridge CBO 2006-5 Ltd. A NR BB+
Exum Ridge CBO 2006-5 Ltd. B-1 BB AA/Watch Dev
Exum Ridge CBO 2006-5 Ltd. B-1 NR BB
Exum Ridge CBO 2006-5 Ltd. B-2 BB AA/Watch Dev
Exum Ridge CBO 2006-5 Ltd. B-2 NR BB
Exum Ridge CBO 2006-5 Ltd. C-1 BB- A/Watch Dev
Exum Ridge CBO 2006-5 Ltd. C-1 NR BB-
Exum Ridge CBO 2006-5 Ltd. C-2 BB- A/Watch Dev
Exum Ridge CBO 2006-5 Ltd. C-2 NR BB-
Exum Ridge CBO 2006-5 Ltd. D B BBB/Watch Dev
Exum Ridge CBO 2006-5 Ltd. D NR B
Exum Ridge CBO 2006-5 Ltd. E CCC B/Watch Dev
Exum Ridge CBO 2006-5 Ltd. E NR CCC
Exum Ridge CBO 2007-1 Ltd. A BBB- AAA/Watch Neg
Exum Ridge CBO 2007-1 Ltd. A NR BBB-
Exum Ridge CBO 2007-1 Ltd. B BB- A/Watch Dev
Exum Ridge CBO 2007-1 Ltd. B NR BB-
Exum Ridge CBO 2007-1 Ltd. C B BBB/Watch Dev
Exum Ridge CBO 2007-1 Ltd. C NR B
Exum Ridge CBO 2007-1 Ltd. D CCC BB/Watch Dev
Exum Ridge CBO 2007-1 Ltd. D NR CCC
Exum Ridge CBO 2007-2 Ltd. A BB+ AAA/Watch Neg
Exum Ridge CBO 2007-2 Ltd. A NR BB+
Exum Ridge CBO 2007-2 Ltd. B BB- A/Watch Dev
Exum Ridge CBO 2007-2 Ltd. B NR BB-
Exum Ridge CBO 2007-2 Ltd. C B BBB/Watch Dev
Exum Ridge CBO 2007-2 Ltd. C NR B
Exum Ridge CBO 2007-2 Ltd. D CCC B/Watch Dev
Exum Ridge CBO 2007-2 Ltd. D NR CCC
Pebble Creek LCDO 2006-1 Ltd. B BBB- AAA/Watch Neg
Pebble Creek LCDO 2006-1 Ltd. B NR BBB-
Pebble Creek LCDO 2006-1 Ltd. C B+ A/Watch Dev
Pebble Creek LCDO 2006-1 Ltd. C NR B+
Pebble Creek LCDO 2006-1 Ltd. D CCC BB/Watch Dev
Pebble Creek LCDO 2006-1 Ltd. D NR CCC
Pebble Creek LCDO 2007-3 Ltd. B BB+ AAA/Watch Neg
Pebble Creek LCDO 2007-3 Ltd. B NR BB+
Pebble Creek LCDO 2007-3 Ltd. C BB- A/Watch Dev
Pebble Creek LCDO 2007-3 Ltd. C NR BB-
Pebble Creek LCDO 2007-3 Ltd. D B- BBB/Watch Dev
Pebble Creek LCDO 2007-3 Ltd. D NR B-
Pebble Creek LCDO 2007-3 Ltd. E CCC B/Watch Dev
Pebble Creek LCDO 2007-3 Ltd. E NR CCC
SGS HY CREDIT FUND I (Exum Ridge CBO 2006-3)X BB+ AAA/Watch Neg
SGS HY CREDIT FUND I (Exum Ridge CBO 2006-3)X NR BB+
SGS HY CREDIT FUND I (Exum Ridge CBO 2006-3)A BB+ AAA/Watch Neg
SGS HY CREDIT FUND I (Exum Ridge CBO 2006-3)A NR BB+
SGS HY CREDIT FUND I (Exum Ridge CBO 2006-3)B BB AA/Watch Dev
SGS HY CREDIT FUND I (Exum Ridge CBO 2006-3)B NR BB
SGS HY CREDIT FUND I (Exum Ridge CBO 2006-3)C BB- A/Watch Dev
SGS HY CREDIT FUND I (Exum Ridge CBO 2006-3)C NR BB-
SGS HY CREDIT FUND I (Exum Ridge CBO 2006-3)D B BBB/Watch Dev
SGS HY CREDIT FUND I (Exum Ridge CBO 2006-3)D NR B
SGS HY CREDIT FUND I (Exum Ridge CBO 2006-3)E-1 CCC B/Watch Dev
SGS HY CREDIT FUND I (Exum Ridge CBO 2006-3)E-1 NR CCC
SGS HY CREDIT FUND I (Exum Ridge CBO 2006-3)E-2 CCC B/Watch Dev
SGS HY CREDIT FUND I (Exum Ridge CBO 2006-3)E-2 NR CCC
White Marlin CDO 2007-1 Ltd. A BB AAA/Watch Neg
White Marlin CDO 2007-1 Ltd. A NR BB
White Marlin CDO 2007-1 Ltd. B-1 B- BB/Watch Neg
White Marlin CDO 2007-1 Ltd. B-1 NR B-
White Marlin CDO 2007-1 Ltd. B-2 B- BB/Watch Neg
White Marlin CDO 2007-1 Ltd. B-2 NR B-
White Marlin CDO 2007-1 Ltd. C-1 CCC B/Watch Neg
White Marlin CDO 2007-1 Ltd. C-1 NR CCC
White Marlin CDO 2007-1 Ltd. C-2 CCC B/Watch Neg
White Marlin CDO 2007-1 Ltd. C-2 NR CCC
White Marlin CDO 2007-1 Ltd. D CCC- CCC
White Marlin CDO 2007-1 Ltd. D NR CCC-
Ratings Affirmed And Removed From Creditwatch Negative Then
Withdrawn
Class To From
----- -- ----
Exum Ridge CBO 2006-2 Ltd. E-1 CCC- CCC-/Watch Neg
Exum Ridge CBO 2006-2 Ltd. E-1 NR CCC-
Exum Ridge CBO 2006-2 Ltd. E-2 CCC- CCC-/Watch Neg
Exum Ridge CBO 2006-2 Ltd. E-2 NR CCC-
NR - Not rated.
* S&P Downgrades Ratings on 68 Classes from Four RMBS Transactions
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 68
classes from four residential mortgage-backed securities
transactions backed by U.S. Alternative-A mortgage loan collateral
issued in 2005 and 2006. S&P removed 41 of the lowered ratings
from CreditWatch with negative implications. In addition, S&P
affirmed its ratings on 20 classes from these four transactions.
S&P removed eight of the affirmed classes from CreditWatch with
negative implications.
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.
S&P revised its loss projections for one transaction based on a
forward-looking default curve:
Orig. bal. Lifetime
Transaction (mil. $) exp. loss (%)
----------- ---------- -------------
Structured Asset Mortgage Investments II
Trust 2006-AR3 (structure 1) 1,843 24.5
Structured Asset Mortgage Investments II
Trust 2006-AR3 (structure 2) 457 9.21
Structured Asset Mortgage Investments II
Trust 2006-AR3 (structure 3) 265 9.07
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover losses associated with these rating levels.
The downgrades, affirmations, and CreditWatch resolutions
incorporate S&P's current and projected losses based on the dollar
amounts of loans currently in the transactions' delinquency,
foreclosure, and real estate owned pipelines, as well as S&P's
projection of future defaults. S&P also incorporated cumulative
losses to date in S&P's analysis when determining rating outcomes.
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.
To maintain a 'AAA' rating, S&P considers whether a bond is able
to withstand approximately 150% of S&P's base-case loss
assumptions, subject to individual caps and qualitative factors
assumed on specific transactions. For a class for which we've
affirmed a 'B' rating, S&P considers whether a bond is able to
withstand S&P's base-case loss 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 monitors these transactions over time to incorporate updated
losses and delinquency pipeline performance to determine 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 appropriate.
Rating Actions
Adjustable Rate Mortgage Trust 2005-5
Series 2005-5
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-2 007036LH7 BBB AAA/Watch Neg
2-A-1 007036LJ3 AA AAA/Watch Neg
2-A-2 007036LK0 BBB AAA/Watch Neg
3-A-1 007036LL8 AAA AAA/Watch Neg
3-A-2-1 007036LN4 BBB AAA/Watch Neg
3-A-2-2 007036LP9 BBB AAA/Watch Neg
3-A-3 007036LQ7 BBB AAA/Watch Neg
4-A-1 007036LR5 BBB AAA/Watch Neg
5-A-1 007036LS3 BBB AAA/Watch Neg
5-A-2-2 007036LU8 BBB AAA/Watch Neg
C-B-1 007036MD5 CCC BB/Watch Neg
C-B-2 007036ME3 CC B/Watch Neg
C-B-3 007036MF0 CC CCC
C-B-4 007036MG8 CC CCC
C-B-5 007036MK9 D CC
6-A-1-2 007036LW4 AAA AAA/Watch Neg
6-A-2-2 007036LY0 AAA AAA/Watch Neg
6-M-1 007036LZ7 BBB AA/Watch Neg
6-M-2 007036MA1 CC BB/Watch Neg
CHL Mortgage Pass-Through Trust 2005-1
Series 2005-1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 12669GRM5 AAA AAA/Watch Neg
1-A-2 12669GRN3 A AAA/Watch Neg
1-X 12669GRP8 AAA AAA/Watch Neg
2-A-1 12669GRQ6 AAA AAA/Watch Neg
2-A-2 12669GRR4 A AAA/Watch Neg
2-A-3 12669GSN2 A AAA/Watch Neg
2-X 12669GRS2 AAA AAA/Watch Neg
M-X 12669GRV5 CCC AAA/Watch Neg
M-1 12669GRU7 CCC AA+/Watch Neg
M-2 12669GSP7 CCC AA/Watch Neg
B-1 12669GRW3 CC A/Watch Neg
B-2 12669GRX1 CC BBB/Watch Neg
B-3 12669GRY9 CC BB/Watch Neg
GreenPoint Mortgage Funding Trust 2005-AR4
Series 2005-AR4
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-2a 39538WBR8 B+ AAA/Watch Neg
I-A-2b 39538WBS6 B+ AAA/Watch Neg
I-A-3 39538WBT4 B AAA/Watch Neg
II-A-1 39538WBU1 B+ AAA/Watch Neg
II-A-2 39538WBV9 B BBB/Watch Neg
III-A-1 39538WBW7 B+ AAA/Watch Neg
III-A-2 39538WBX5 B BBB/Watch Neg
IV-A-1b 39538WBZ0 AAA AAA/Watch Neg
IV-A-2 39538WCA4 B+ AAA/Watch Neg
IV-A-3 39538WCB2 B BBB+/Watch Neg
M-1 39538WCH9 CC B/Watch Neg
M-2 39538WCJ5 CC CCC
M-3 39538WCK2 CC CCC
M-4 39538WCL0 CC CCC
M-5 39538WCM8 D CCC
IA2b cert 39538WCX4 B+ AAA
Structured Asset Mortgage Investments II Trust 2006-AR3
Series 2006-AR3
Rating
------
Class CUSIP To From
----- ----- -- ----
I-1A-2 86360KAB4 B+ AAA/Watch Neg
I-1A-3 86360KAC2 B AAA/Watch Neg
I-1A-4 86360KAD0 CCC BB/Watch Neg
I-2A-3 86360KAG3 CCC A/Watch Neg
I-2A4 86360KAH1 CC B/Watch Neg
I-B1 86360KAK4 CC CCC
I-B-2 86360KAL2 CC CCC
I-B-3 86360KAM0 CC CCC
I-B-4 86360KAN8 CC CCC
I-B-5 86360KAP3 CC CCC
II-1A-1 86360KAW8 B AAA
II-2A-1 86360KAX6 B AA
II-2X 86360KBX5 B AA
II-3A-1 86360KAY4 B AAA
II-3X 86360KBY3 B AAA
II-4A-1 86360KAZ1 B AAA
II-4X 86360KBZ0 B AAA
II-X 86360KBA5 B AAA
III-A-1 86360KBJ6 B+ AAA/Watch Neg
III-A-2 86360KBK3 B+ AAA/Watch Neg
III-A-3 86360KBL1 B AAA/Watch Neg
III-X 86360KBM9 B+ AAA
II-B-1 86360KBB3 CC CCC
III-MX 86360KBN7 CC B
III-B-1 86360KBP2 CC B/Watch Neg
II-B-2 86360KBC1 CC CCC
III-B-3 86360KBR8 CC CCC
III-B-2 86360KBQ0 CC CCC
Ratings Affirmed
Adjustable Rate Mortgage Trust 2005-5
Series 2005-5
Class CUSIP Rating
----- ----- ------
1-A-1 007036LG9 AAA
3-A-X 007036LM6 AAA
5-A-2-1 007036LT1 AAA
6-A-1-1 007036LV6 AAA
6-A-2-1 007036LX2 AAA
GreenPoint Mortgage Funding Trust 2005-AR4
Series 2005-AR4
Class CUSIP Rating
----- ----- ------
I-A-1 39538WBQ0 AAA
IV-A-1a 39538WBY3 AAA
IVA1b cert 39538WCY2 AAA
Structured Asset Mortgage Investments II Trust 2006-AR3
Series 2006-AR3
Class CUSIP Rating
----- ----- ------
I-1A-1 86360KAA6 AAA
I-2A-1 86360KAE8 AAA
I-2A-2 86360KAF5 AAA
I-2X 86360KAJ7 AAA
* S&P Downgrades Ratings on 225 Classes from 37 RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 225
classes from 37 residential mortgage-backed securities
transactions backed by U.S. subprime and Alternative-A mortgage
loan collateral issued in 2003-2007. S&P removed 131 of the
lowered ratings from CreditWatch with negative implications. In
addition, S&P affirmed 160 ratings from these transactions and
removed 54 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.
S&P has also revised its loss projections for four subprime
transactions and one Alt-A transaction based on a forward-looking
default curve. S&P's projections for the transactions are:
Orig Bal. Loss
Transaction (mil. $) Proj (%)
----------- --------- --------
CWABS Asset Backed
Certs Trust 2006-10 Group 1 170 18.14
Structured Asset Securities Corp
Mortgage Loan Trust 2006-WF2 1,299.19 19.82
Bear Stearns Asset Backed
Sec I Trust 2006-HE4 730.29 27.18
Bear Stearns Asset Backed
Sec I Trust 2006-HE7 Group 2 414.36 29.37
American Home Mortgage
Investment Trust 2006-3 Group 3 572.79 22.10
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover losses associated with these rating levels.
The downgrades, affirmations, and CreditWatch resolutions
incorporate S&P's current and projected losses based on the dollar
amounts of loans currently in the transactions' delinquency,
foreclosure, and real estate owned pipelines, as well as S&P's
projection of future defaults. S&P also incorporated cumulative
losses to date in S&P's analysis when determining rating outcomes.
To maintain a 'AAA' rating, S&P considers whether a bond is able
to withstand approximately 150% of S&P's base-case loss
assumptions, subject to individual caps and qualitative factors
assumed on specific transactions. For a class for which we've
affirmed a 'B' rating, S&P considers whether a bond is able to
withstand S&P's base-case loss 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 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
American Home Mortgage Investment Trust 2006-3
Series 2006-3
Rating
------
Class CUSIP To From
----- ----- -- ----
I-1A-1 026929AA7 AAA AAA/Watch Neg
I-1A-2 026929AB5 B+ AAA/Watch Neg
I-1A-3 026929AC3 B AAA/Watch Neg
I-2A-1 026929AD1 AAA AAA/Watch Neg
I-2A-2 026929AE9 B+ AAA/Watch Neg
I-2A-3 026929AF6 B AAA/Watch Neg
I-M-1 026929AP4 CC AA+/Watch Neg
I-M-2 026929AQ2 CC AA/Watch Neg
I-M-3 026929AR0 CC AA-/Watch Neg
I-M-4 026929AS8 CC A+/Watch Neg
I-M-5 026929AT6 CC A/Watch Neg
I-M-6 026929AU3 CC BBB-/WatchNeg
II-1A-1 026929AG4 B AAA/Watch Neg
II-1A-2 026929AH2 B AAA/Watch Neg
II-2A-1 026929AJ8 B AAA/Watch Neg
II-2A-2 026929AK5 B AAA/Watch Neg
II-M-1 026929AV1 CC A/Watch Neg
II-M-2 026929AW9 CC BB/Watch Neg
II-M-3 026929BL2 D B/Watch Neg
III-A-1 026929AL3 B AAA/Watch Neg
III-A-2 026929AM1 B AAA/Watch Neg
III-A-3 026929BJ7 B AAA/Watch Neg
III-M-1 026929AX7 CC BB/Watch Neg
III-M-2 026929AY5 CC B/Watch Neg
III-M-3 026929AZ2 CC B/Watch Neg
Bear Stearns Asset Backed Securities I Trust 2006-HE4
Series 2006-HE4
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 07388AAA2 AAA AAA/Watch Neg
I-A-2 07388AAB0 BBB AAA/Watch Neg
I-A-3 07388AAC8 BBB AA/Watch Neg
II-A 07388AAD6 BBB AAA/Watch Neg
M-1 07388AAE4 CCC BBB/Watch Neg
M-2 07388AAF1 CC B/Watch Neg
M-3 07388AAG9 CC CCC
M-4 07388AAH7 D CCC
Bear Stearns Asset Backed Securities I Trust 2006-HE7
Series 2006-HE7
Rating
------
Class CUSIP To From
----- ----- -- ----
II-1A-1 07388HAN9 AAA AAA/Watch Neg
II-1A-2 07388HAP4 A AAA/Watch Neg
II-1A-3 07388HAQ2 A AAA/Watch Neg
II-2A 07388HAR0 A AAA/Watch Neg
II-M-1 07388HAS8 B AA+/Watch Neg
II-M-2 07388HAT6 CCC A/Watch Neg
II-M-3 07388HAU3 CCC BBB/Watch Neg
II-M-4 07388HAV1 CC BB/Watch Neg
II-M-5 07388HAW9 CC B/Watch Neg
II-M-6 07388HAX7 D CCC
CHEC Loan Trust 2004-2
Series 2004-2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-6 162765AY7 BBB BBB+/Watch Neg
M-7 162765AZ4 B BB
M-8 162765BA8 CCC B
CWABS Asset Backed Certificates Trust 2006-10
Series 2006-10
Rating
------
Class CUSIP To From
----- ----- -- ----
1-AF-1 12666PAA2 AAA AAA/Watch Neg
1-AF-2 12666PAB0 AAA AAA/Watch Neg
1-AF-3 12666PAC8 BBB AAA/Watch Neg
1-AF-4 12666PAD6 BBB AAA/Watch Neg
1-AF-5 12666PAE4 BBB AAA/Watch Neg
1-AF-6 12666PAF1 BBB AAA/Watch Neg
MF-1 12666PAG9 BB AA+/Watch Neg
MF-2 12666PAH7 CCC AA/Watch Neg
MF-3 12666PAJ3 CCC AA-/Watch Neg
MF-4 12666PAK0 CCC A/Watch Neg
MF-5 12666PAL8 CCC BB/Watch Neg
MF-6 12666PAM6 CC B/Watch Neg
MF-7 12666PAN4 CC CCC
MF-8 12666PAP9 CC CCC
BF 12666PAQ7 CC CCC
2-AV 12666PAR5 AAA AAA/Watch Neg
3-AV-2 12666PAT1 AAA AAA/Watch Neg
3-AV-3 12666PAU8 AAA AAA/Watch Neg
3-AV-4 12666PBE3 AAA AAA/Watch Neg
MV-1 12666PAV6 AA AA+/Watch Neg
MV-2 12666PAW4 BB BB/Watch Neg
MV-3 12666PAX2 B B/Watch Neg
MV-4 12666PAY0 CCC B-/Watch Neg
MV-6 12666PBA1 CC CCC
CWABS Asset-Backed Certificates Trust 2004-12
Series 2004-12
Rating
------
Class CUSIP To From
----- ----- -- ----
MF-4 126673NJ7 A A+
MF-5 126673NK4 BB A
MV-6 126673NY4 B A-
MF-6 126673NL2 CCC BBB+
MV-7 126673NZ1 CCC BBB+
MF-7 126673NM0 CCC BBB
MV-8 126673PA4 CCC BBB
BF 126673NN8 CC BBB-
B-V 126673PB2 CC BBB-
CWABS Asset-Backed Certificates Trust 2004-14
Series 2004-14
Rating
------
Class CUSIP To From
----- ----- -- ----
M-4 126673SV5 BBB AA
M-5 126673SW3 B AA-
B 126673SX1 CCC A+
CWABS Asset-Backed Certificates Trust 2004-7
Series 2004-7
Rating
------
Class CUSIP To From
----- ----- -- ----
MV-6 126673EH1 BB AA-
MV-7 126673EJ7 CCC A+
MV-8 126673EK4 CCC A
BV 126673EL2 CC BBB+
MF-4 126673DT6 A AA
MF-5 126673DU3 BB AA-
BF 126673DV1 CCC A+
First Franklin Mortgage Loan Trust Series 2007-FF2
Series 2007-FF2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 32029GAA2 CCC B/Watch Neg
A-2A 32029GAB0 AA AAA/Watch Neg
A-2B 32029GAC8 B BBB/Watch Neg
A-2C 32029GAD6 CCC B/Watch Neg
A-2D 32029GAE4 CCC B/Watch Neg
M-2 32029GAG9 CC CCC
M-3 32029GAH7 CC CCC
M-4 32029GAJ3 CC CCC
M-5 32029GAK0 D CC
Fremont Home Loan Trust 2006-B
Series 2006-B
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 35729QAA6 B BB/Watch Neg
2-A-2 35729QAC2 AAA AAA/Watch Neg
2-A-3 35729QAD0 B A/Watch Neg
2-A-4 35729QAE8 B BB/Watch Neg
M-2 35729QAG3 CC CCC
M-3 35729QAH1 CC CCC
M-4 35729QAJ7 D CC
SL-A 35729QAS7 D CC
Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2003-A
Series SPMD2003-A
Rating
------
Class CUSIP To From
----- ----- -- ----
BF 456606DZ2 CCC BBB
MV-5 456606EG3 CCC B-
HSI Asset Securitization Corporation Trust 2006-HE1
Series 2006-HE1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A 44328AAA8 CCC B/Watch Neg
II-A-1 44328AAB6 AA AA/Watch Neg
II-A-2 44328AAC4 BB BB/Watch Neg
II-A-3 44328AAD2 CCC B/Watch Neg
II-A-4 44328AAE0 CCC B/Watch Neg
II-A-5 44328AAF7 CCC B/Watch Neg
M2 44328AAH3 CC CCC
M3 44328AAJ9 CC CCC
HSI Asset Securitization Corporation Trust 2006-WMC1
Series 2006-WMC1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 40430MAB3 BBB AAA/Watch Neg
A-2 40430MAC1 CCC BBB-/Watch Neg
A-3 40430MAD9 CCC B-/Watch Neg
A-4 40430MAE7 CCC B-/Watch Neg
A-5 40430MAF4 CCC B-/Watch Neg
IXIS Real Estate Capital Trust 2007-HE1
Series 2007-HE1
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 45073DAA6 AAA AAA/Watch Neg
A2 45073DAB4 BBB AA/Watch Neg
A3 45073DAC2 CCC B/Watch Neg
M2 45073DAF5 CC CCC
M3 45073DAG3 D CCC
MASTR Asset Backed Securities Trust 2006-HE3
Series 2006-HE3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 57645JAA7 AAA AAA/Watch Neg
A-2 57645JAB5 B AAA/Watch Neg
A-3 57645JAC3 CCC B/Watch Neg
A-4 57645JAD1 CCC B-/Watch Neg
M-1 57645JAE9 CC CCC
M-2 57645JAF6 D CCC
MASTR Asset Backed Securities Trust 2006-HE4
Series 2006-HE4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 576449AA0 AAA AAA/Watch Neg
A-2 576449AB8 AA AAA/Watch Neg
A-3 576449AC6 B BB/Watch Neg
A-4 576449AD4 B B/Watch Neg
M-1 576449AE2 CCC B-/Watch Neg
M-2 576449AF9 CC CCC
M-3 576449AG7 CC CCC
M-4 576449AH5 CC CCC
M-5 576449AJ1 D CC
MASTR Asset Backed Securities Trust 2006-NC2
Series 2006-NC2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 55275BAA5 A AA/Watch Neg
A-2 55275BAB3 AAA AAA/Watch Neg
A-3 55275BAC1 AAA AAA/Watch Neg
A-4 55275BAD9 A AAA/Watch Neg
A-5 55275BAE7 A AA/Watch Neg
M-1 55275BAF4 BB BB/Watch Neg
M-2 55275BAG2 CCC B-/Watch Neg
M-3 55275BAH0 CC CCC
M-4 55275BAJ6 CC CCC
M-5 55275BAK3 D CCC
MASTR Asset Backed Securities Trust 2006-WMC1
Series 2006-WMC1
Rating
------
Class CUSIP To From
----- ----- -- ----
A2 57643LRJ7 AAA AAA/Watch Neg
A3 57643LRK4 BB AAA/Watch Neg
A4 57643LRL2 BB A/Watch Neg
M1 57643LRM0 CCC B/Watch Neg
M2 57643LRN8 CC CCC
M3 57643LRP3 CC CCC
Merrill Lynch Mortgage Investors Trust, Series 2006-RM3
Series 2006-RM3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1A 590217AA3 B B/Watch Neg
A-1B 590217AB1 CCC B/Watch Neg
A-2B 590217AD7 A AA/Watch Neg
A-2C 590217AE5 CCC B/Watch Neg
A-2D 590217AF2 CCC B/Watch Neg
M-1 590217AG0 CC CCC
Merrill Lynch Mortgage Investors Trust, Series 2006-WMC1
Series 2006-WMC1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1A 59020U4L6 AAA AAA/Watch Neg
A-1B 59020U4M4 AA AA/Watch Neg
A-2C 59020U3X1 AAA AAA/Watch Neg
A-2D 59020U3Y9 AA AA/Watch Neg
M-1 59020U3Z6 BB BB/Watch Neg
M-2 59020U4A0 CCC B-/Watch Neg
M-4 59020U4C6 CC CCC
M-5 59020U4D4 D CC
Morgan Stanley Capital I Inc. Trust 2006-HE2
Series 2006-HE2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 617451ER6 AA AAA/Watch Neg
A-2c 617451EU9 AAA AAA/Watch Neg
A-2d 617451EV7 AA AA/Watch Neg
M-1 617451EW5 BB BBB/Watch Neg
M-2 617451EX3 CCC B/Watch Neg
M-4 617451EZ8 CC CCC
M-5 617451FA2 CC CCC
Natixis Real Estate Capital Trust 2007-HE2
Series 2007-HE2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 638728AA3 AAA AAA/Watch Neg
A-2 638728AB1 B- B-/Watch Neg
A-3 638728AC9 CCC B-/Watch Neg
A-4 638728AD7 CCC B-/Watch Neg
M-2 638728AF2 CC CCC
M-3 638728AG0 CC CCC
M-4 638728AH8 D CC
NovaStar Mortgage Funding Trust Series 2006-1
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1A 669884AA6 AA AAA/Watch Neg
A-2B 669884AC2 AAA AAA/Watch Neg
A-2C 669884AD0 AA AAA/Watch Neg
A-2D 669884AE8 AA AAA/Watch Neg
M-1 669884AF5 CCC AA/Watch Neg
M-2 669884AG3 CCC AA/Watch Neg
M-3 669884AH1 CCC AA/Watch Neg
M-4 669884AJ7 CCC BBB/Watch Neg
M-5 669884AK4 CC BB/Watch Neg
M-6 669884AL2 CC B/Watch Neg
M-7 669884AM0 CC CCC
M-8 669884AN8 CC CCC
RASC Series 2005-AHL2 Trust
Series 2005-AHL2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-6 76110W5N2 CC CCC
M-7 76110W5P7 D CCC
Securitized Asset Backed Receivables LLC Trust 2006-WM2
Series 2006-WM2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 81376GAA8 CCC B/Watch Neg
A-2A 81376GAB6 CCC B/Watch Neg
A-2B 81376GAC4 CCC AAA/Watch Neg
A-2C 81376GAD2 CCC B/Watch Neg
A-2D 81376GAE0 CCC B/Watch Neg
M-1 81376GAF7 D CCC
Securitized Asset Backed Receivables LLC Trust 2006-WM3
Series 2006-WM3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 81377EAA2 B BB/Watch Neg
Securitized Asset Backed Receivables LLC Trust 2007-BR1
Series 2007-BR1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 81378KAA7 BBB A/Watch Neg
A-2A 81378KAB5 AAA AAA/Watch Neg
A-2B 81378KAC3 BBB A/Watch Neg
A-2C 81378KAD1 BBB A-/Watch Neg
M-1 81378KAE9 B B/Watch Neg
M-3 81378KAG4 CC CCC
M-4 81378KAH2 CC CCC
M-5 81378KAJ8 CC CCC
M-6 81378KAK5 CC CCC
Soundview Home Equity Loan Trust 2005-OPT3
Series 2005-OPT3
Rating
------
Class CUSIP To From
----- ----- -- ----
M-7 83611MHA9 CC CCC
Specialty Underwriting and Residential Finance Trust,
Series 2007-BC1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 84752BAA7 BBB BBB/Watch Neg
A-2A 84752BAB5 AAA AAA/Watch Neg
A-2B 84752BAC3 AAA AAA/Watch Neg
A-2C 84752BAD1 BBB A/Watch Neg
A-2D 84752BAE9 BBB BBB/Watch Neg
M-1 84752BAH2 B B/Watch Neg
M-2 84752BAJ8 CCC B-/Watch Neg
M-3 84752BAK5 CC CCC
M-4 84752BAL3 CC CCC
M-5 84752BAM1 CC CCC
M-6 84752BAN9 D CC
Structured Asset Investment Loan Trust 2005-7
Series 2005-7
Rating
------
Class CUSIP To From
----- ----- -- ----
M3 86358EWE2 CCC B-
Structured Asset Investment Loan Trust 2005-9
Series 2005-9
Rating
------
Class CUSIP To From
----- ----- -- ----
M6 86358EYL4 D CC
Structured Asset Securities Corporation Mortgage Loan
Trust 2005-OPT1
Series 2005-OPT1
Rating
------
Class CUSIP To From
----- ----- -- ----
A4-M 86359DVE4 BB BBB
M1 86359DVF1 CCC B
M2 86359DVG9 CC CCC
M3 86359DVH7 CC CCC
Structured Asset Securities Corporation Mortgage Loan
Trust 2006-WF2
Series 2006-WF2
Rating
------
Class CUSIP To From
----- ----- -- ----
A2 86360LAB2 AAA AAA/Watch Neg
A3 86360LAC0 AAA AAA/Watch Neg
A4 86360LAD8 AAA AAA/Watch Neg
M1 86360LAE6 AA AA+/Watch Neg
M2 86360LAF3 BB AA/Watch Neg
M3 86360LAG1 B AA-/Watch Neg
M4 86360LAH9 CCC A+/Watch Neg
M5 86360LAJ5 CCC A/Watch Neg
M6 86360LAK2 CC A-/Watch Neg
M7 86360LAL0 CC BBB/Watch Neg
M8 86360LAM8 CC BB/Watch Neg
M9 86360LAN6 CC B/Watch Neg
Structured Asset Securities Corporation Mortgage Loan
Trust 2007-BC3
Series 2007-BC3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 86363WAA7 AAA AAA/Watch Neg
1-A2 86363WAB5 AA AA/Watch Neg
1-A3 86363WAC3 BB BB/Watch Neg
1-A4 86363WAD1 B B/Watch Neg
2-A1 86363WAE9 AAA AAA/Watch Neg
2-A2 86363WAF6 AA AA/Watch Neg
2-A3 86363WAG4 BB BB/Watch Neg
2-A4 86363WAH2 B B/Watch Neg
1-M1 86363WAJ8 CCC B-/Watch Neg
2-M1 86363WAK5 CCC B-/Watch Neg
1-M5 86363WAS8 CC CCC
2-M5 86363WAT6 CC CCC
M6 86363WAU3 CC CCC
B1 86363WAY5 D CC
Structured Asset Securities Corporation Trust 2005-AR1
Series 2005-AR1
Rating
------
Class CUSIP To From
----- ----- -- ----
M7 86359DWC7 CC CCC
WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust
Series 2007-HE2
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A 92926SAA4 CCC B/Watch Neg
II-A-1 92926SAB2 AAA AAA/Watch Neg
II-A-2 92926SAC0 BB AA/Watch Neg
II-A3 92926SAD8 CCC B/Watch Neg
II-A4 92926SAE6 CCC B/Watch Neg
M-1 92926SAF3 CCC B-/Watch Neg
M-2 92926SAG1 CC CCC
M-3 92926SAH9 CC CCC
M-4 92926SAJ5 CC CCC
M-5 92926SAK2 CC CCC
M-6 92926SAL0 D CC
Washington Mutual Asset Backed Certificates WMABS
Series 2007-HE2 Trust
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A 93934TAA0 B BB/Watch Neg
II-A-1 93934TAB8 AAA AAA/Watch Neg
II-A-2 93934TAC6 B BB/Watch Neg
II-A-3 93934TAD4 B BB/Watch Neg
M-1 93934TAE2 CCC B-/Watch Neg
M-3 93934TAG7 CC CCC
M-4 93934TAH5 CC CCC
M-5 93934TAJ1 D CC
Ratings Affirmed
CHEC Loan Trust 2004-2
Series 2004-2
Class CUSIP Rating
----- ----- ------
A-3 162765AS0 AAA
M-1 162765AT8 AA+
M-2 162765AU5 AA
M-3 162765AV3 AA-
M-4 162765AW1 A
M-5 162765AX9 A-
CWABS Asset Backed Certificates Trust 2006-10
Series 2006-10
Class CUSIP Rating
----- ----- ------
MV-5 12666PAZ7 CCC
CWABS Asset-Backed Certificates Trust 2004-12
Series 2004-12
Class CUSIP Rating
----- ----- ------
AF-4 126673NC2 AAA
AF-5 126673ND0 AAA
AF-6 126673NE8 AAA
MF-1 126673NF5 AA+
MV-1 126673NT5 AA+
MF-2 126673NG3 AA
MF-3 126673NH1 AA
MV-2 126673NU2 AA
MV-3 126673NV0 AA-
MV-4 126673NW8 A+
MV-5 126673NX6 A
CWABS Asset-Backed Certificates Trust 2004-14
Series 2004-14
Class CUSIP Rating
----- ----- ------
A-3 126673SR4 AAA
A-4 126673TL6 AAA
A-5 126673TM4 AAA
M-1 126673SS2 AA+
M-2 126673ST0 AA+
M-3 126673SU7 AA+
CWABS Asset-Backed Certificates Trust 2004-7
Series 2004-7
Class CUSIP Rating
----- ----- ------
MV-1 126673EC2 AA+
MV-2 126673ED0 AA+
MV-3 126673EE8 AA+
MV-4 126673EF5 AA
MV-5 126673EG3 AA
AF-4 126673DM1 AAA
AF-5 126673DN9 AAA
AF-6 126673DP4 AAA
MF-1 126673DQ2 AA+
MF-2 126673DR0 AA+
MF-3 126673DS8 AA+
First Franklin Mortgage Loan Trust Series 2007-FF2
Series 2007-FF2
Class CUSIP Rating
----- ----- ------
M-1 32029GAF1 CCC
Fremont Home Loan Trust 2006-B
Series 2006-B
Class CUSIP Rating
----- ----- ------
M-1 35729QAF5 CCC
Home Equity Mortgage Loan Asset-Backed Trust,
Series SPMD 2003-A
Class CUSIP Rating
----- ----- ------
AF-4 456606DV1 AAA
AF-5 456606DW9 AAA
MF-1 456606DX7 AA
MF-2 456606DY5 A
AV-2 456606EB4 AAA
MV-1 456606EC2 A
MV-2 456606ED0 BB-
MV-3 456606EE8 B+
MV-4 456606EF5 B
BV 456606EH1 CCC
HSI Asset Securitization Corporation Trust 2006-HE1
Series 2006-HE1
Class CUSIP Rating
----- ----- ------
M1 44328AAG5 CCC
IXIS Real Estate Capital Trust 2007-HE1
Series 2007-HE1
Class CUSIP Rating
----- ----- ------
A4 45073DAD0 CCC
M1 45073DAE8 CCC
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC1
Class CUSIP Rating
----- ----- ------
M-3 59020U4B8 CCC
Morgan Stanley Capital I Inc. Trust 2006-HE2
Series 2006-HE2
Class CUSIP Rating
----- ----- ------
M-3 617451EY1 CCC
Natixis Real Estate Capital Trust 2007-HE2
Series 2007-HE2
Class CUSIP Rating
----- ----- ------
M-1 638728AE5 CCC
RASC Series 2005-AHL2 Trust
Series 2005-AHL2
Class CUSIP Rating
----- ----- ------
A-2 76110W5F9 AAA
A-3 76110W5G7 AAA
M-1 76110W5H5 AA
M-2 76110W5J1 B
M-3 76110W5K8 B-
M-4 76110W5L6 CCC
M-5 76110W5M4 CCC
Securitized Asset Backed Receivables LLC Trust 2006-WM3
Series 2006-WM3
Class CUSIP Rating
----- ----- ------
A-2 81377EAB0 CCC
A-3 81377EAC8 CCC
Securitized Asset Backed Receivables LLC Trust 2007-BR1
Series 2007-BR1
Class CUSIP Rating
----- ----- ------
M-2 81378KAF6 CCC
Soundview Home Equity Loan Trust 2005-OPT3
Series 2005-OPT3
Class CUSIP Rating
----- ----- ------
A-1 83611MHD3 AAA
A-4 83611MGS1 AAA
A-5 83611MGT9 AAA
M-1 83611MGU6 AA+
M-2 83611MGV4 A
M-3 83611MGW2 BB
M-4 83611MGX0 CCC
M-5 83611MGY8 CCC
M-6 83611MGZ5 CCC
Structured Asset Investment Loan Trust 2005-7
Series 2005-7
Class CUSIP Rating
----- ----- ------
A1 86358EVX1 AAA
A2 86358EVY9 AAA
A4 86358EWA0 AAA
A5 86358EWB8 AAA
M1 86358EWC6 AA
M2 86358EWD4 B
M4 86358EWF9 CCC
Structured Asset Investment Loan Trust 2005-9
Series 2005-9
Class CUSIP Rating
----- ----- ------
A1 86358EYA8 AA
A2 86358EYB6 AAA
A3 86358EYC4 BBB
A5 86358EYE0 AAA
A6 86358EYS9 AAA
M1 86358EYF7 B-
M2 86358EYG5 CCC
M3 86358EYH3 CCC
Structured Asset Securities Corporation Mortgage Loan
Trust 2005-OPT1
Series 2005-OPT1
Class CUSIP Rating
----- ----- ------
A2 86359DVC8 AAA
A-3 86359DVD6 A
Structured Asset Securities Corporation Mortgage Loan
Trust 2007-BC3
Series 2007-BC3
Class CUSIP Rating
----- ----- ------
1-M2 86363WAL3 CCC
2-M2 86363WAM1 CCC
1-M3 86363WAN9 CCC
2-M3 86363WAP4 CCC
1-M4 86363WAQ2 CCC
2-M4 86363WAR0 CCC
Structured Asset Securities Corporation Trust 2005-AR1
Series 2005-AR1
Class CUSIP Rating
----- ----- ------
A1 86359DVR5 AAA
A2 86359DVS3 AAA
A4 86359DVU8 AAA
A5 86359DVV6 AAA
M1 86359DVW4 AA+
M2 86359DVX2 BBB
M3 86359DVY0 B
M4 86359DVZ7 CCC
M5 86359DWA1 CCC
M6 86359DWB9 CCC
Washington Mutual Asset Backed Certificates WMABS
Series 2007-HE2 Trust
Series 2007-HE2
Class CUSIP Rating
----- ----- ------
M-2 93934TAF9 CCC
* S&P Withdraws Ratings on 658 Classes of Notes from 23 Cash Flows
------------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 658
classes of notes from 23 cash flow and 64 hybrid collateralized
debt obligation transactions. The transactions are backed by
mezzanine residential mortgage-backed securities, high-grade RMBS
securities, and CDO of CDO securities. The deals previously
triggered events of default, after which, the controlling
noteholders subsequently voted to accelerate the maturity of the
notes and liquidate the collateral assets.
The affected tranches have a combined issuance amount of $93.46
billion. S&P previously lowered its ratings on the 23 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 also previously lowered its ratings on the 64 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.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
6th Avenue Funding 2006-1 Ltd A-1A NR D
6th Avenue Funding 2006-1 Ltd A-1B NR D
6th Avenue Funding 2006-1 Ltd A-2 NR D
6th Avenue Funding 2006-1 Ltd B NR D
6th Avenue Funding 2006-1 Ltd C NR D
6th Avenue Funding 2006-1 Ltd D NR D
6th Avenue Funding 2006-1 Ltd X NR D
ACA ABS 2007-2 Limited A1J NR D
ACA ABS 2007-2 Limited A1M NR D
ACA ABS 2007-2 Limited A1S (VFN) NR D
ACA ABS 2007-2 Limited A2 NR D
ACA ABS 2007-2 Limited A3 NR D
ACA ABS 2007-2 Limited B1 NR D
ACA ABS 2007-2 Limited B2 NR D
ACA ABS 2007-2 Limited X NR D
ACA Aquarius 2006-1 Ltd. A1-J NR D
ACA Aquarius 2006-1 Ltd. A1-S NR D
ACA Aquarius 2006-1 Ltd. A2 NR D
ACA Aquarius 2006-1 Ltd. A3 NR D
ACA Aquarius 2006-1 Ltd. B1 NR D
ACA Aquarius 2006-1 Ltd. B2 NR D
ACA Aquarius 2006-1 Ltd. B3 NR D
ACA Aquarius 2006-1 Ltd. I Sub Nts NR D
Adams Square Funding I Ltd. A NR D
Adams Square Funding I Ltd. B-1 NR D
Adams Square Funding I Ltd. B-2 NR D
Adams Square Funding I Ltd. C NR D
Adams Square Funding I Ltd. D NR D
Adams Square Funding I Ltd. E NR D
Adams Square Funding I Ltd. SeniorSwap NR D
Ansley Park ABS CDO Ltd A-1 NR D
Ansley Park ABS CDO Ltd A-2 NR D
Ansley Park ABS CDO Ltd B NR D
Ansley Park ABS CDO Ltd C NR D
Ansley Park ABS CDO Ltd D NR D
Ansley Park ABS CDO Ltd X NR D
Arca Funding 2006-II, Ltd. II NR D
Arca Funding 2006-II, Ltd. III NR D
Arca Funding 2006-II, Ltd. IV-A NR D
Arca Funding 2006-II, Ltd. IV-B NR D
Arca Funding 2006-II, Ltd. Super Sr NR D
Arca Funding 2006-II, Ltd. V NR D
Arca Funding 2006-II, Ltd. VI NR D
Arca Funding 2006-II, Ltd. VII NR D
Armitage ABS CDO Ltd A-1M NR D
Armitage ABS CDO Ltd A-1Q NR D
Armitage ABS CDO Ltd A-2 NR D
Armitage ABS CDO Ltd A-3 NR D
Armitage ABS CDO Ltd A-4 NR D
Armitage ABS CDO Ltd B NR D
Armitage ABS CDO Ltd C NR D
Auriga CDO Ltd. A1 NR Dsrs
Auriga CDO Ltd. A2A NR D
Auriga CDO Ltd. A2B NR D
Auriga CDO Ltd. B NR D
Auriga CDO Ltd. C NR D
Auriga CDO Ltd. D NR D
Auriga CDO Ltd. E NR D
Auriga CDO Ltd. F NR D
Auriga CDO Ltd. G NR D
Auriga CDO Ltd. H NR D
Auriga CDO Ltd. I NR D
Aventine Hill CDO I Ltd A1J NR D
Aventine Hill CDO I Ltd A1S NR D
Aventine Hill CDO I Ltd A2 NR D
Aventine Hill CDO I Ltd A3 NR D
Aventine Hill CDO I Ltd B1 NR D
Aventine Hill CDO I Ltd B2 NR D
Aventine Hill CDO I Ltd I Sub Nts NR D
Aventine Hill CDO I Ltd X NR D
Bayberry Funding Ltd II NR D
Bayberry Funding Ltd III NR D
Bayberry Funding Ltd IV NR D
Bayberry Funding Ltd V NR D
BFC Silverton CDO Ltd A Liq Fac NR D
BFC Silverton CDO Ltd B-1 NR D
BFC Silverton CDO Ltd B-2 NR D
BFC Silverton CDO Ltd C NR D
BFC Silverton CDO Ltd D NR D
BFC Silverton CDO Ltd E NR D
BFC Silverton CDO Ltd F NR D
Bonifacius Limited A-1J NR D
Bonifacius Limited A-1M NR D
Bonifacius Limited A-1Q NR D
Bonifacius Limited A-2 NR D
Bonifacius Limited A-3 NR D
Bonifacius Limited A-4 NR D
Bonifacius Limited B NR D
Bonifacius Limited C NR D
Bonifacius Limited D NR D
Brooklyn Structured Finance CDO Ltd A-1J NR D
Brooklyn Structured Finance CDO Ltd A-1S NR D
Brooklyn Structured Finance CDO Ltd A-2L NR D
Brooklyn Structured Finance CDO Ltd A-3L NR D
Brooklyn Structured Finance CDO Ltd B NR D
Brooklyn Structured Finance CDO Ltd C NR D
Cairn Mezz ABS CDO 1 PLC II NR D
Cairn Mezz ABS CDO 1 PLC III NR D
Cairn Mezz ABS CDO 1 PLC IV NR D
Cairn Mezz ABS CDO 1 PLC V NR D
Cairn Mezz ABS CDO 1 PLC VI NR D
Cairn Mezz ABS CDO 1 PLC VII NR D
Camber 6 plc A-1 & A-2 NR D
Camber 6 plc B NR D
Camber 6 plc C NR D
Camber 6 plc Combo Nts NR D
Camber 6 plc D NR D
Camber 6 plc E NR D
Camber 6 plc F NR D
Careel Bay CDO Limited A1J NR D
Careel Bay CDO Limited A1S NR D
Careel Bay CDO Limited A2 NR D
Careel Bay CDO Limited A3 NR D
Careel Bay CDO Limited B NR D
Careel Bay CDO Limited C NR D
Carina CDO Ltd A-1 NR D
Carina CDO Ltd A-2 NR D
Carina CDO Ltd B-1 NR D
Carina CDO Ltd B-2 NR D
Carina CDO Ltd C-1 NR D
Carina CDO Ltd C-2 NR D
Carina CDO Ltd D-1 NR D
Carina CDO Ltd D-2 NR D
Carina CDO Ltd D-3 NR D
Carina CDO Ltd X-1 NR D
Carina CDO Ltd X-2 NR D
Cherry Creek CDO I Ltd A1J NR D
Cherry Creek CDO I Ltd A1S NR D
Cherry Creek CDO I Ltd A-2 NR D
Cherry Creek CDO I Ltd A-3 NR D
Cherry Creek CDO I Ltd B NR D
Corona Borealis CDO Ltd A-1A NR D
Corona Borealis CDO Ltd A-1B NR D
Corona Borealis CDO Ltd A-1C NR D
Corona Borealis CDO Ltd A-2 NR D
Corona Borealis CDO Ltd B NR D
Corona Borealis CDO Ltd C NR D
Corona Borealis CDO Ltd D NR D
Corona Borealis CDO Ltd S NR D
Costa Bella CDO Ltd. A1A NR D
Costa Bella CDO Ltd. A2 NR D
Costa Bella CDO Ltd. B NR D
Costa Bella CDO Ltd. C NR D
Costa Bella CDO Ltd. D NR D
Costa Bella CDO Ltd. E NR D
Costa Bella CDO Ltd. F NR D
Costa Bella CDO Ltd. G NR D
Diogenes CDO III Ltd A-1a NR D
Diogenes CDO III Ltd A-1a NR D
Diogenes CDO III Ltd A-1b NR D
Diogenes CDO III Ltd A-1c NR D
Diogenes CDO III Ltd A-2 NR D
Diogenes CDO III Ltd B-1 NR D
Diogenes CDO III Ltd B-2 NR D
Diogenes CDO III Ltd C-1 NR D
Diogenes CDO III Ltd C-2 NR D
Diogenes CDO III Ltd D-1 NR D
Diogenes CDO III Ltd D-2 NR D
Diogenes CDO III Ltd E NR D
Draco 2007-1 Ltd. A1J NR D
Draco 2007-1 Ltd. A1S NR D
Draco 2007-1 Ltd. A2 NR D
Draco 2007-1 Ltd. A3 NR D
Draco 2007-1 Ltd. B1 NR D
Draco 2007-1 Ltd. B2 NR D
Draco 2007-1 Ltd. B3 NR D
Draco 2007-1 Ltd. C1 NR D
Draco 2007-1 Ltd. C2 NR D
Duke Funding XII Ltd A1 NR D
Duke Funding XII Ltd A2 NR D
Duke Funding XII Ltd A3 NR D
Duke Funding XII Ltd A-S1VFA NR D
Duke Funding XII Ltd A-S1VFB NR D
Duke Funding XII Ltd B1 NR D
Duke Funding XII Ltd B2 NR D
Duke Funding XII Ltd B3 NR D
Duke Funding XIII Ltd 2 Combo NR D
Duke Funding XIII Ltd A1J NR D
Duke Funding XIII Ltd A1S VFN NR D
Duke Funding XIII Ltd A2J NR D
Duke Funding XIII Ltd A2S NR D
Duke Funding XIII Ltd A3 NR D
Duke Funding XIII Ltd B1 NR D
Duke Funding XIII Ltd B2 NR D
Duke Funding XIII Ltd X NR D
Durant CDO 2007-1 Ltd A-1 NR D
Durant CDO 2007-1 Ltd A-2 NR D
Durant CDO 2007-1 Ltd B NR D
Durant CDO 2007-1 Ltd C NR D
Fort Denison Funding, Ltd. A-1 NR D
Fort Denison Funding, Ltd. A-2a NR D
Fort Denison Funding, Ltd. A-2b NR D
Fort Denison Funding, Ltd. B NR D
Furlong Synthetic ABS CDO 2006-1, Ltd. A1 NR D
Furlong Synthetic ABS CDO 2006-1, Ltd. A2 NR D
Furlong Synthetic ABS CDO 2006-1, Ltd. A3 NR D
Furlong Synthetic ABS CDO 2006-1, Ltd. B NR D
Furlong Synthetic ABS CDO 2006-1, Ltd. Combo Nts NR D
Furlong Synthetic ABS CDO 2006-1, Ltd. Sr Sec NR D
GSC ABS Funding 2006-3g Ltd A-1-a NR D
GSC ABS Funding 2006-3g Ltd A-1-b NR D
GSC ABS Funding 2006-3g Ltd A-1LT NR D
GSC ABS Funding 2006-3g Ltd A-2 NR D
GSC ABS Funding 2006-3g Ltd B NR D
GSC ABS Funding 2006-3g Ltd C NR D
GSC ABS Funding 2006-3g Ltd D NR D
Halcyon Sec Prod Inv ABS CDO II A-1a NR D
Halcyon Sec Prod Inv ABS CDO II A-1b NR D
Halcyon Sec Prod Inv ABS CDO II A-2 NR D
Halcyon Sec Prod Inv ABS CDO II B NR D
Halcyon Sec Prod Inv ABS CDO II C NR D
Halcyon Sec Prod Inv ABS CDO II D-1 NR D
Halcyon Sec Prod Inv ABS CDO II D-2 NR D
Halcyon Sec Prod Inv ABS CDO II E NR D
Hamilton Gardens CDO II Ltd A-1a NR D
Hamilton Gardens CDO II Ltd A-1b NR D
Hamilton Gardens CDO II Ltd A-1c NR D
Hamilton Gardens CDO II Ltd A-2 NR D
Hamilton Gardens CDO II Ltd B NR D
Hamilton Gardens CDO II Ltd C NR D
Hamilton Gardens CDO II Ltd D NR D
Hartshorne CDO I Ltd A-1J NR D
Hartshorne CDO I Ltd A-1S NR D
Hartshorne CDO I Ltd A-2 NR D
Hartshorne CDO I Ltd A-3 NR D
Hartshorne CDO I Ltd B1 NR D
Hartshorne CDO I Ltd B2 NR D
Hartshorne CDO I Ltd B3 NR D
Hartshorne CDO I Ltd X NR D
High Grade Structured Credit CDO 2007-1 A-1A NR D/D
High Grade Structured Credit CDO 2007-1 A-1B NR D
High Grade Structured Credit CDO 2007-1 A-2 NR D
High Grade Structured Credit CDO 2007-1 A-3 NR D
High Grade Structured Credit CDO 2007-1 B NR D
High Grade Structured Credit CDO 2007-1 C NR D
High Grade Structured Credit CDO 2007-1 CP NR D/D
High Grade Structured Credit CDO 2007-1 D NR D
High Grade Structured Credit CDO 2007-1 X NR D
Hudson High Grade Funding 2006-1 Ltd A-1 NR D
Hudson High Grade Funding 2006-1 Ltd A-2 NR D
Hudson High Grade Funding 2006-1 Ltd B NR D
Hudson High Grade Funding 2006-1 Ltd C NR D
Hudson High Grade Funding 2006-1 Ltd D NR D
Hudson Mezzanine Funding 2006-1 Ltd A-b NR D
Hudson Mezzanine Funding 2006-1 Ltd A-f NR D
Hudson Mezzanine Funding 2006-1 Ltd B NR D
Hudson Mezzanine Funding 2006-1 Ltd C NR D
Hudson Mezzanine Funding 2006-1 Ltd D NR D
Hudson Mezzanine Funding 2006-1 Ltd E NR D
Hudson Mezzanine Funding 2006-1 Ltd S NR D
Hudson Mezzanine Funding 2006-1 Ltd UnfdSrSwp NR Dsrb
IMAC CDO 2007-2 Ltd A-1 NR D
IMAC CDO 2007-2 Ltd A-2 NR D
IMAC CDO 2007-2 Ltd A-3 NR D
IMAC CDO 2007-2 Ltd B NR D
IMAC CDO 2007-2 Ltd C NR D
IMAC CDO 2007-2 Ltd D NR D
IMAC CDO 2007-2 Ltd E NR D
IMAC CDO 2007-2 Ltd F NR D
IMAC CDO 2007-2 Ltd G NR D
IXIS ABS CDO 2 LTD. A-1 Funded NR D
IXIS ABS CDO 2 LTD. A-1 Unfund NR D
IXIS ABS CDO 2 LTD. A-2 NR D
IXIS ABS CDO 2 LTD. A-X NR D
IXIS ABS CDO 2 LTD. B NR D
IXIS ABS CDO 2 LTD. C NR D
IXIS ABS CDO 2 LTD. D NR D
IXIS ABS CDO 2 LTD. E NR D
Jupiter High Grade CDO VII Ltd A-1 NR D
Jupiter High Grade CDO VII Ltd A-2 NR D
Jupiter High Grade CDO VII Ltd A-3 NR D
Jupiter High Grade CDO VII Ltd A-4 NR D
Jupiter High Grade CDO VII Ltd A-5 NR D
Jupiter High Grade CDO VII Ltd B NR D
Jupiter High Grade CDO VII Ltd C NR D
Kefton CDO I Ltd II NR D
Kefton CDO I Ltd III NR D
Kefton CDO I Ltd IV NR D
Kefton CDO I Ltd V NR D
Kefton CDO I Ltd VI NR D
Kefton CDO I Ltd VII NR D
Kleros Real Estate CDO III, Ltd. A-1A NR D
Kleros Real Estate CDO III, Ltd. A-1B NR D
Kleros Real Estate CDO III, Ltd. A-2 NR D
Kleros Real Estate CDO III, Ltd. A-3 NR D
Kleros Real Estate CDO III, Ltd. B NR D
Kleros Real Estate CDO III, Ltd. C NR D
Lancer Funding II Ltd A1J NR D
Lancer Funding II Ltd A1S NR D
Lancer Funding II Ltd A2 NR D
Lancer Funding II Ltd A3 NR D
Lancer Funding II Ltd B NR D
Lancer Funding II Ltd X NR D
Libertas Preferred Funding III, Ltd II NR D
Libertas Preferred Funding III, Ltd III NR D
Libertas Preferred Funding III, Ltd I-J NR D
Libertas Preferred Funding III, Ltd ISuperSeni NR D
Libertas Preferred Funding III, Ltd IV NR D
Libertas Preferred Funding III, Ltd V NR D
Libertas Preferred Funding III, Ltd VI NR D
Libertas Preferred Funding III, Ltd VII NR D
Libertas Preferred Funding III, Ltd VIII NR D
Libertas Preferred Funding IV Ltd A-1 NR D
Libertas Preferred Funding IV Ltd A-2 NR D
Libertas Preferred Funding IV Ltd A-3 NR D
Libertas Preferred Funding IV Ltd A-4 NR D
Libertas Preferred Funding IV Ltd B NR D
Libertas Preferred Funding IV Ltd C NR D
Libertas Preferred Funding IV Ltd D NR D
Libertas Preferred Funding IV Ltd E NR D
Longport Funding III Ltd A1-VFN NR D
Longport Funding III Ltd A2A NR D
Longport Funding III Ltd A2B NR D
Longport Funding III Ltd B NR D
Longport Funding III Ltd C NR D
Longport Funding III Ltd D NR D
Longport Funding III Ltd E NR D
Longport Funding III Ltd SubNotes NR D
Longridge ABS CDO I Ltd A-1 NR D
Longridge ABS CDO I Ltd A-2 NR D
Longridge ABS CDO I Ltd B NR D
Longridge ABS CDO I Ltd C NR D
Longridge ABS CDO I Ltd D NR D
Longridge ABS CDO I Ltd E NR D
Longridge ABS CDO I Ltd F NR D
Longridge ABS CDO I Ltd UnfunSupSr NR D
Markov CDO I Ltd A-0 NR D
Markov CDO I Ltd A-1 NR D
Markov CDO I Ltd A-2 NR D
Markov CDO I Ltd A-3 NR D
Markov CDO I Ltd B NR D
Markov CDO I Ltd C ComboNts NR D
Markov CDO I Ltd C-1 NR D
Markov CDO I Ltd C-2 NR D
Markov CDO I Ltd D NR D
Markov CDO I Ltd D ComboNts NR D
Markov CDO I Ltd E NR D
Markov CDO I Ltd RA Nts NR D
Markov CDO I Ltd S NR D
Mars CDO I Ltd A-1 NR D
Mars CDO I Ltd A-2 NR D
Mars CDO I Ltd A-3 NR D
Mars CDO I Ltd B NR D
Mars CDO I Ltd C NR D
Mars CDO I Ltd D NR D
Mars CDO I Ltd F NR D
Mayflower CDO I Ltd. A-1LA NR D
Mayflower CDO I Ltd. A-1lB NR D
Mayflower CDO I Ltd. A-2L NR D
Mayflower CDO I Ltd. A-3L NR D
Mayflower CDO I Ltd. B-1L NR D
Mayflower CDO I Ltd. X NR D
Midori CDO Ltd. A-1 Funded NR D
Midori CDO Ltd. A-1 Unfund NR D
Midori CDO Ltd. A-2 NR D
Midori CDO Ltd. A-X NR D
Midori CDO Ltd. B NR D
Midori CDO Ltd. C NR D
Midori CDO Ltd. D NR D
Midori CDO Ltd. E NR D
Mugello ABS CDO 2006-1 Ltd A-1 NR D
Mugello ABS CDO 2006-1 Ltd A-2 NR D
Mugello ABS CDO 2006-1 Ltd B NR D
Mugello ABS CDO 2006-1 Ltd C NR D
Mystic Point CDO Ltd A-1 NR D
Mystic Point CDO Ltd A-2 NR D
Mystic Point CDO Ltd A-X NR D
Mystic Point CDO Ltd B NR D
Mystic Point CDO Ltd C NR D
Mystic Point CDO Ltd D NR D
Mystic Point CDO Ltd E NR D
Nautilus RMBS CDO III Ltd A-1J NR D
Nautilus RMBS CDO III Ltd A-1S NR D
Nautilus RMBS CDO III Ltd A-2 NR D
Nautilus RMBS CDO III Ltd A-3F NR D
Nautilus RMBS CDO III Ltd A-3V NR D
Nautilus RMBS CDO III Ltd B NR D
Nautilus RMBS CDO III Ltd C NR D
Nautilus RMBS CDO IV, Ltd A-1J NR D
Nautilus RMBS CDO IV, Ltd A-1S NR D
Nautilus RMBS CDO IV, Ltd A-2 NR D
Nautilus RMBS CDO IV, Ltd A-3 NR D
Nautilus RMBS CDO IV, Ltd B-F NR D
Nautilus RMBS CDO IV, Ltd B-V NR D
Nautilus RMBS CDO IV, Ltd C-F NR D
Nautilus RMBS CDO IV, Ltd C-V NR D
NEO CDO 2007-1, Ltd. A-1 NR D
NEO CDO 2007-1, Ltd. A-2 NR D
NEO CDO 2007-1, Ltd. A-3 NR D
NEO CDO 2007-1, Ltd. B NR D
NEO CDO 2007-1, Ltd. C NR D
NEO CDO 2007-1, Ltd. D NR D
NEO CDO 2007-1, Ltd. E NR D
NEO CDO 2007-1, Ltd. F NR D
Neptune CDO IV Ltd A-1 NR Dsrb
Neptune CDO IV Ltd A-2 NR D
Neptune CDO IV Ltd B NR D
Neptune CDO IV Ltd C NR D
Neptune CDO IV Ltd D NR D
Neptune CDO IV Ltd E NR D
Neptune CDO IV Ltd X NR D
Nordic Valley 2007-1 CDO Ltd A-1 NR D
Nordic Valley 2007-1 CDO Ltd A-2a NR D
Nordic Valley 2007-1 CDO Ltd A-2b NR D
Nordic Valley 2007-1 CDO Ltd A-X NR D
Nordic Valley 2007-1 CDO Ltd B NR D
Nordic Valley 2007-1 CDO Ltd C NR D
Nordic Valley 2007-1 CDO Ltd D NR D
Nordic Valley 2007-1 CDO Ltd E NR D
Norma CDO I Ltd. A-1 NR D
Norma CDO I Ltd. A-2 NR D
Norma CDO I Ltd. B NR D
Norma CDO I Ltd. C NR D
Norma CDO I Ltd. D NR D
Norma CDO I Ltd. E NR D
Norma CDO I Ltd. F NR D
Norma CDO I Ltd. G NR D
Norma CDO I Ltd. H NR D
Octans CDO I Ltd. Class A-2A NR D
Octans CDO I Ltd. Class A-2B NR D
Octans CDO I Ltd. Class B NR D
Octans CDO I Ltd. Class C NR D
Octans CDO I Ltd. Class D NR D
Octans CDO I Ltd. Class E NR D
Octans CDO I Ltd. Class F NR D
Octans CDO I Ltd. Class G NR D
Octans CDO I Ltd. UnfundSupe NR D
Octans II CDO Ltd. A-1 Swap NR Dsrp
Octans II CDO Ltd. A-2 NR D
Octans II CDO Ltd. A-3A NR D
Octans II CDO Ltd. A-3B NR D
Octans II CDO Ltd. B NR D
Octans II CDO Ltd. C-1 NR D
Octans II CDO Ltd. C-2 NR D
Octans II CDO Ltd. D NR D
Octans II CDO Ltd. X-1 NR D
Octans II CDO Ltd. X-2 NR D
Octonion I CDO Ltd. A1 NR D
Octonion I CDO Ltd. A2 NR D
Octonion I CDO Ltd. A3 NR D
Octonion I CDO Ltd. B NR D
Octonion I CDO Ltd. C NR D
Octonion I CDO Ltd. D NR D
Octonion I CDO Ltd. E NR D
Octonion I CDO Ltd. S NR D
Palmer Square 3 Limited A1-M NR D
Palmer Square 3 Limited A1-Q NR D
Palmer Square 3 Limited A2 NR D
Palmer Square 3 Limited A3 NR D
Palmer Square 3 Limited A4 NR D
Palmer Square 3 Limited B NR D
Palmer Square 3 Limited C NR D
Palmer Square 3 Limited D NR D
Palmer Square 3 Limited X NR D
Pampelonne CDO I Ltd. A-1 NR D
Pampelonne CDO I Ltd. A-2 NR D
Pampelonne CDO I Ltd. B NR D
Pampelonne CDO I Ltd. C NR D
Pampelonne CDO I Ltd. D NR D
Pampelonne CDO I Ltd. E NR D
Pampelonne CDO I Ltd. S NR D
Pampelonne CDO II, Ltd. A-1 NR D
Pampelonne CDO II, Ltd. A-2 NR D
Pampelonne CDO II, Ltd. A-3 NR D
Pampelonne CDO II, Ltd. B NR D
Pampelonne CDO II, Ltd. C NR D
Pampelonne CDO II, Ltd. D NR D
Pampelonne CDO II, Ltd. E NR D
Pampelonne CDO II, Ltd. S NR D
PASA Funding 2007 Ltd A-1A NR D
PASA Funding 2007 Ltd A-1B NR D
PASA Funding 2007 Ltd A-2 NR D
PASA Funding 2007 Ltd B NR D
PASA Funding 2007 Ltd C NR D
PASA Funding 2007 Ltd CP NR D
PASA Funding 2007 Ltd D NR D
PASA Funding 2007 Ltd X NR D
Pinnacle Peak CDO I Ltd A1M NR D
Pinnacle Peak CDO I Ltd A1Q NR D
Pinnacle Peak CDO I Ltd A2 NR D
Pinnacle Peak CDO I Ltd A3 NR D
Pinnacle Peak CDO I Ltd A4 NR D
Pinnacle Peak CDO I Ltd B NR D
Pinnacle Peak CDO I Ltd C NR D
Plettenberg Bay CDO Limited A-1 NR D
Plettenberg Bay CDO Limited A-2 NR D
Plettenberg Bay CDO Limited B NR D
Plettenberg Bay CDO Limited C NR D
Plettenberg Bay CDO Limited D NR D
Plettenberg Bay CDO Limited Income Nts NR D
Plettenberg Bay CDO Limited S NR D
Preston CDO I, Ltd. A1J NR D
Preston CDO I, Ltd. A1S NR D
Preston CDO I, Ltd. A2 NR D
Preston CDO I, Ltd. A3 NR D
Preston CDO I, Ltd. B1 NR D
Preston CDO I, Ltd. B2 NR D
Preston CDO I, Ltd. X NR D
Rockbound CDO I Ltd. A-1J NR D
Rockbound CDO I Ltd. A-1S Fund NR D
Sagittarius CDO I Ltd A NR D
Sagittarius CDO I Ltd B NR D
Sagittarius CDO I Ltd C NR D
Sagittarius CDO I Ltd D-1 NR D
Sagittarius CDO I Ltd D-2 NR D
Sagittarius CDO I Ltd D-3 NR D
Sagittarius CDO I Ltd E NR D
Sagittarius CDO I Ltd S NR D
Sagittarius CDO I Ltd Super Sr NR D
Sagittarius CDO I Ltd X NR D
Singa Funding, Ltd. A-1M NR D
Singa Funding, Ltd. A-1Q NR D
Singa Funding, Ltd. A-2 NR D
Singa Funding, Ltd. A-3 NR D
Singa Funding, Ltd. A-4 NR D
Singa Funding, Ltd. B NR D
Sorin CDO V Ltd A1J NR D
Sorin CDO V Ltd A1S NR D
Sorin CDO V Ltd A2 NR D
Sorin CDO V Ltd A3 NR D
Sorin CDO V Ltd B NR D
Sorin CDO V Ltd C NR D
STACK 2005-2 Ltd A-1 & A-2 NR D
STACK 2005-2 Ltd B NR D
STACK 2005-2 Ltd C NR D
STACK 2005-2 Ltd D NR D
STACK 2005-2 Ltd E NR D
STACK 2005-2 Ltd F NR D
Stack 2007-1 Ltd A-1A NR D
Stack 2007-1 Ltd A-1B NR D
Stack 2007-1 Ltd A-2 NR D
Stack 2007-1 Ltd A-3 NR D
Stack 2007-1 Ltd A-4 NR D
Stack 2007-1 Ltd B NR D
Stack 2007-1 Ltd C NR D
Stack 2007-1 Ltd D NR D
Stack 2007-1 Ltd E NR D
STAtic ResidenTial CDO 2006-C Ltd. A-1a NR D
STAtic ResidenTial CDO 2006-C Ltd. A-1b NR D
STAtic ResidenTial CDO 2006-C Ltd. A-2 NR D
STAtic ResidenTial CDO 2006-C Ltd. B-1 NR D
STAtic ResidenTial CDO 2006-C Ltd. B-2 NR D
STAtic ResidenTial CDO 2006-C Ltd. C NR D
STAtic ResidenTial CDO 2006-C Ltd. D-1a NR D
STAtic ResidenTial CDO 2006-C Ltd. D-1b NR D
STAtic ResidenTial CDO 2006-C Ltd. D-2 NR D
TABS 2006-5 Ltd. A1J NR D
TABS 2006-5 Ltd. A1S NR D
TABS 2006-5 Ltd. A2 NR D
TABS 2006-5 Ltd. A3 NR D
TABS 2006-5 Ltd. B1 NR D
TABS 2006-5 Ltd. B2 NR D
TABS 2006-5 Ltd. B3 NR D
TABS 2006-5 Ltd. C NR D
TABS 2006-5 Ltd. I Sub Nts NR D
TABS 2006-6 Ltd A1J NR D
TABS 2006-6 Ltd A1S NR D
TABS 2006-6 Ltd A2 NR D
TABS 2006-6 Ltd A3 NR D
TABS 2006-6 Ltd B1 NR D
TABS 2006-6 Ltd B2 NR D
TABS 2006-6 Ltd B3 NR D
TABS 2006-6 Ltd C NR D
TABS 2006-6 Ltd I Sub Nts NR D
TABS 2007-7 Ltd A1J NR D
TABS 2007-7 Ltd A1S NR D
TABS 2007-7 Ltd A2 NR D
TABS 2007-7 Ltd A3 NR D
TABS 2007-7 Ltd B1 NR D
TABS 2007-7 Ltd B2 NR D
TABS 2007-7 Ltd B3 NR D
TABS 2007-7 Ltd C NR D
TABS 2007-7 Ltd ClassISubN NR D
TABS 2007-7 Ltd X NR D
Tallships Funding Ltd A-1 NR D
Tallships Funding Ltd A-2 NR D
Tallships Funding Ltd B NR D
Tallships Funding Ltd C NR D
Tallships Funding Ltd D NR D
Tallships Funding Ltd Revolver NR D
Tallships Funding Ltd UnfundedSS NR Dsrs
Tasman CDO Ltd. A1J NR D
Tasman CDO Ltd. A1S NR D
Tasman CDO Ltd. A2 NR D
Tasman CDO Ltd. A3 NR D
Tasman CDO Ltd. B NR D
Tasman CDO Ltd. C NR D
Tenorite CDO I Ltd B NR D
Tenorite CDO I Ltd C NR D
Tenorite CDO I Ltd D NR D
Tenorite CDO I Ltd E NR D
Tenorite CDO I Ltd F NR D
Tenorite CDO I Ltd F2 NR D
Tenorite CDO I Ltd Liquid Fac NR D
Timberwolf I Ltd A-1a NR D
Timberwolf I Ltd A-1b NR D
Timberwolf I Ltd A-1c NR D
Timberwolf I Ltd A-1d NR D
Timberwolf I Ltd A-2 NR D
Timberwolf I Ltd B NR D
Timberwolf I Ltd C NR D
Timberwolf I Ltd D NR D
Timberwolf I Ltd S-1 NR D
Timberwolf I Ltd S-2 NR D
Tourmaline CDO II Ltd. A NR D
Tourmaline CDO II Ltd. B NR D
Tourmaline CDO II Ltd. C NR D
Tourmaline CDO II Ltd. D NR D
Tourmaline CDO II Ltd. E NR D
Tricadia CDO 2006-7, Ltd. A-1 Funded NR D
Tricadia CDO 2006-7, Ltd. A-1 Unfd NR D
Tricadia CDO 2006-7, Ltd. A-2 NR D
Tricadia CDO 2006-7, Ltd. A-X NR D
Tricadia CDO 2006-7, Ltd. B NR D
Tricadia CDO 2006-7, Ltd. C NR D
Tricadia CDO 2006-7, Ltd. D NR D
Tricadia CDO 2006-7, Ltd. E NR D
Tricadia CDO 2006-7, Ltd. F NR D
Tricadia CDO 2007-8 Ltd. A-1VF NR D
Tricadia CDO 2007-8 Ltd. A-2 NR D
Tricadia CDO 2007-8 Ltd. A-X NR D
Tricadia CDO 2007-8 Ltd. B NR D
Tricadia CDO 2007-8 Ltd. C NR D
Tricadia CDO 2007-8 Ltd. D NR D
Tricadia CDO 2007-8 Ltd. E NR D
Tricadia CDO 2007-8 Ltd. F NR D
Vertical ABS CDO 2007-1, Ltd A1J NR D
Vertical ABS CDO 2007-1, Ltd A1S NR D
Vertical ABS CDO 2007-1, Ltd A2 NR D
Vertical ABS CDO 2007-1, Ltd A3 NR D
Vertical ABS CDO 2007-1, Ltd B1 NR D
Vertical ABS CDO 2007-1, Ltd B2 NR D
Vertical ABS CDO 2007-1, Ltd C NR D
Vertical ABS CDO 2007-1, Ltd I NR D
Vertical ABS CDO 2007-1, Ltd X NR D
Vertical ABS CDO 2007-2 Ltd A1J NR D
Vertical ABS CDO 2007-2 Ltd A1S NR D
Vertical ABS CDO 2007-2 Ltd A2 NR D
Vertical ABS CDO 2007-2 Ltd A3 NR D
Vertical ABS CDO 2007-2 Ltd B NR D
Vertical ABS CDO 2007-2 Ltd X NR D
Vertical Virgo 2006-1 Ltd. A1J NR D
Vertical Virgo 2006-1 Ltd. A-1S NR D
Vertical Virgo 2006-1 Ltd. A2 NR D
Vertical Virgo 2006-1 Ltd. A3 NR D
Vertical Virgo 2006-1 Ltd. B1 NR D
Vertical Virgo 2006-1 Ltd. B2 NR D
Vertical Virgo 2006-1 Ltd. B3 NR D
Vertical Virgo 2006-1 Ltd. I Sub Nts NR D
Vertical Virgo 2006-1 Ltd. II Sub Nts NR D
Western Springs CDO Ltd. A-1 NR D
Western Springs CDO Ltd. A-2 NR D
Western Springs CDO Ltd. A-3 NR D
Western Springs CDO Ltd. B NR D
Western Springs CDO Ltd. C NR D
Western Springs CDO Ltd. D NR D
Western Springs CDO Ltd. E NR D
Western Springs CDO Ltd. F NR D
No Actions
Transaction Class Rating
----------- ----- ------
Cairn Mezz ABS CDO 1 PLC Q Combo Nt NR
Duke Funding XIII Ltd I Combo NR
Fort Denison Funding, Ltd. S NR
GSC ABS Funding 2006-3g Ltd CP NR
High Grade Structured Credit CDO 2007-1 Pref Shrs NR
Hudson High Grade Funding 2006-1 Ltd S NR
Pampelonne CDO II, Ltd. Combo NR
Stack 2007-1 Ltd Equity NR
*********
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 ***