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/raid1/www/Hosts/bankrupt/TCR_Public/090607.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, June 7, 2009, Vol. 13, No. 156 Headlines 1ST FINANCIAL: Fitch Downgrades Ratings on Senior Notes ACCESS GROUP: Moody's Junks Ratings on Three Classes of Sub. Notes ALL STUDENT: Moody's Downgrades Ratings on 14 Classes of Notes ARMOR MCP: Moody's Junks Ratings on Six 2005-1 Tranches AVERY STREET: Moody's Cuts Rating on Class E Notes to 'Ca' BALLYROCK CLO: Moody's Downgrades Ratings on Various 2006-2 Notes BANC OF AMERICA: Moody's Downgrades Ratings on 331 Tranches BTC SPV: S&P Downgrades Ratings on Class A-4 Notes to 'BB+' BRODERICK CDO: Fitch Junks Ratings on Three Classes of Notes C-BASS CBO: Fitch Junks Ratings on Two Classes of Notes CARMAX BUSINESS: Moody's Downgrades Ratings on Five Tranches CITIGROUP COMMERCIAL: Moody's Keeps Ratings on Nine 2004-C1 Notes CITY OF DUNSMUIR: Moody's Cuts Ratings on 2000 Certs. to 'Ba2' CORPORATE BACKED: S&P Corrects Rating on 2004-6 Certs. From 'CCC' CORPORATE BACKED: S&P Downgrades Ratings on $33 Mil. Certs. to 'D' CORVUS INVESTMENTS: Fitch Junks Ratings on Two Classes of Notes CREDIT SUISSE: Moody's Affirms Ratings on 12 2004-C5 Certs. CSMC SERIES: Moody's Junks Ratings on 2 Classes of Certificates DEBORAH HEART: Moody's Cuts Rating on $23.7 Mil. Bonds to 'B1' DISCOVER CARD: Moody's Reviews Ratings on 36 Classes of ABS DUANE STREET: Moody's Cuts Rating on Class E Notes to 'Ca' DUANE STREET: Moody's Downgrades Ratings on $15 Mil. Notes to 'C' DUANE STREET: Moody's Downgrades Ratings on Various Notes EDUCATION LOANS: Moody's Downgrades Ratings on Four 1999 Notes FIRST INTERNATIONAL: Fitch Takes Rating Actions on Securities FIRST NATIONAL: S&P Assigns 'BB' Rating on Class D Notes GULF STREAM-COMPASS: Moody's Downgrades Ratings on 2003-I Notes GREEN TREE: Fitch Cuts Rating on Three Certificates to 'C/RR5' HARBOURVIEW CDO: Fitch Junks Ratings on Class A Notes from 'B/DR2' HELIOS FINANCE: Moody's Junks Ratings on Class B-3 & B-4 Notes JP MORGAN: Fitch Junks Ratings on Three Classes JPMORGAN RV: Moody's Cuts Rating on Class A-2 Notes to B2 LB-UBS COMMERCIAL: Moody's Affirms Ratings on Nine 2005-C2 Certs. LONGRIDGE ABS: S&P Downgrades Ratings on 10 Classes of Notes to D MAINE EDUCATIONAL: Moody's Reviews Ratings on Six Classes of Bonds MORGAN STANLEY: Moody's Affirms Ratings on Eight 2001-TOP3 Certs. MASTR ASSET: Moody's Downgrades Ratings on 29 Securities MID-STATE TRUST: Moody's Junks Rating on Class B Notes NOMURA CBO: Fitch Downgrades Rating on 1997-1 Notes to 'D' REAL ESTATE: Moody's Junks Ratings on 12 Tranches on 10 Deals RELIANT ENERGY: Moody's Affirms Ba1 Rating on Sr. Sec. Certs. RESIX FINANCE: Moody's Junks Ratings on Two 2005-A Tranches SFA COLLATERALIZED: Fitch Affirms 'CC' Rating on Class A Notes SIGNUM VERDE: Fitch Upgrades Ratings on 2034 Notes to 'BB+' VENTURE III: Moody's Downgrades Ratings on Four Classes of Notes WASHINGTON MUTUAL: Fitch Downgrades Ratings on 2005-C1 Certs. WASHINGTON MUTUAL: Fitch Puts Low-B Ratings on Notes on Pos. Watch WELLS FARGO: Moody's Downgrades Ratings on 168 Tranches * Moody's Cuts Ratings on 11 Certs. From Four Resecuritizations * Moody's Cuts Ratings on 31 Certs. in Seven Resecuritized Deals * Moody's Cuts Ratings on 52 Certs. From Five Resecuritizations * Moody's Downgrades Ratings on 133 Tranches from 18 Alt-A RMBS * Moody's Junks Ratings on Nine Mid-State Housing Transactions * S&P Junks Ratings on 17 Tranches From 32 CRE CDO Deals * S&P Cuts Ratings on 2 Classes From 10 RMBS Transactions to 'D' * S&P Cuts Ratings on 4 Classes From 32 Alt-A RMBS Deals to 'D' * S&P Cuts Ratings on Two Classes From Six RMBS Transactions * S&P Downgrades Ratings on 11 Classes of Mortgage Certs. to 'D' * S&P Downgrades Ratings on 20 Classes of Mortgage Certs. to 'D' * S&P Downgrades Ratings on 27 Classes of Mortgage Certs. to 'D' * S&P Downgrades Ratings on 66 Classes of Mortgage Certs. to 'D' * S&P Downgrades Ratings on 250 Classes From 10 RMBS Transactions * S&P Downgrades Ratings on 323 Classes of Certificates to 'D' * S&P Downgrades Ratings on 435 Classes of Mortgage Certs. to 'D' * S&P Junks Ratings on Nine Tranches From 10 Hybrid CDO Deals * S&P Puts Low-B Ratings on Six Classes on Watch Negative * S&P Puts Ratings on 274 Tranches From 162 CDO Transactions ********* 1ST FINANCIAL: Fitch Downgrades Ratings on Senior Notes ------------------------------------------------------- Fitch Ratings has downgraded the ratings on the senior notes and has also placed the subordinate notes and cash collateral accounts issued by 1st Financial Credit Card Master Note Trust, 1st Financial Credit Card Master Note Trust II and 1st Financial Credit Card Master Note Trust III on Rating Watch Negative. The rating actions are a result of weaker than expected actual charge-off and delinquency rates reported on all three trusts since the beginning of the year. Fitch expects the deterioration to continue throughout 2009 due to pressure from the current U.S. economic downturn. Given the decline in the recent 30-120 day delinquencies, which occurred for all of the trusts, Fitch expects charge-offs to peak in the May reporting period and then moderate in the second-half of the year. In addition to the performance concerns, the financial stability of 1st Financial Bank, USA as a smaller banking institution was a consideration in the decision. The credit card accounts and receivables are originated and serviced by 1st Financial Bank, USA. Fitch has taken these rating actions: 1st Financial Credit Card Master Note Trust, series 2007-1 -- Class B, rated 'BBB-', placed on Rating Watch Negative. 1st Financial Credit Card Master Note Trust II, series 2008-A -- Class A downgraded to 'AA' from 'AAA'; -- Class B, rated 'A', placed on Rating Watch Negative; -- Class C, rated 'BBB', placed on Rating Watch Negative; -- Senior Cash Collateral Account, rated 'BBB-', placed on Rating Watch Negative; -- Intermediate CCA, rated 'BB-', placed on Rating Watch Negative. 1st Financial Credit Card Master Note Trust II, series 2008-B -- Class A downgraded to 'AA' to 'AAA'; -- Class B, rated 'A', placed on Rating Watch Negative; -- Class C, rated 'BBB', placed on Rating Watch Negative; -- Senior CCA, rated 'BBB-', placed on Rating Watch Negative; -- Intermediate CCA, rated 'BB-', placed on Rating Watch Negative. 1st Financial Credit Card Master Note Trust III, series 2008-I -- Class A downgraded to 'AA' from 'AAA'; -- Class B, rated 'A', placed on Rating Watch Negative; -- Class C, rated 'BBB', placed on Rating Watch Negative; -- Senior CCA, rated 'BBB-', placed on Rating Watch Negative. 1st Financial Credit Card Master Note Trust III, series 2008-II -- Class A downgraded to 'AA' from 'AAA'; -- Class B, rated 'A', placed on Rating Watch Negative; -- Class C, rated 'BBB', placed on Rating Watch Negative; -- Senior CCA, rated 'BBB-', placed on Rating Watch Negative. 1st Financial Credit Card Master Note Trust III, series 2008-III -- Class A downgraded to 'AA' from 'AAA'; -- Class B, rated 'A', placed on Rating Watch Negative; -- Class C, rated BBB', placed on Rating Watch Negative; -- Senior CCA, rated 'BBB-', placed on Rating Watch Negative. 1st Financial Credit Card Master Note Trust III, series 2008-IV -- Class A downgraded to 'AA' from 'AAA'; -- Class B, rated 'A', placed on Rating Watch Negative; -- Class C, rated 'BBB', placed on Rating Watch Negative; -- Senior CCA, rated 'BBB-', placed on Rating Watch Negative; -- Intermediate CCA, rated 'BB-', placed on Rating Watch Negative. ACCESS GROUP: Moody's Junks Ratings on Three Classes of Sub. Notes ------------------------------------------------------------------ Moody's Investors Service has downgraded three classes of subordinate notes issued by Access Group Inc. Federal Student Loan Asset-Backed Notes, (2002 Trust Indenture). The trust's liabilities are funded by auction rate securities and LIBOR notes and the underlying collateral consists of government guaranteed student loans. The action was prompted by the increase of funding costs due to the continuing and prolonged dislocation of the auction rate securities market. Since most student loan collateral is indexed to the Financial Commercial Paper rate, trusts that are funded primarily by auction rate securities have suffered significant excess spread compression as the yield on the assets has not increased in tandem with the cost of the liabilities. As of March 31, 2009, approximately 38% of the Access Group trust's liabilities were funded by auction rate securities. The total parity at the subordinate note level (i.e. the ratio of total assets to total liabilities) was 98.00%. The senior parity or the ratio of total assets to total senior notes outstanding was 103.10%. In accordance with provisions of the transaction's documents, when the LIBOR notes fall behind their predetermined amortization schedule the administrative draw will be reduced from 1% to 45bps. As a result, the trust is expected to generate 40- 50bps of excess spread per annum. However, the subordinate notes, which are auction rate securities, are exposed to "tail-end" risk. After the retirement of the senior notes, the trust is expected to generate significant negative excess spread at the failed auction rate and the subordinate notes may not be fully repaid by the legal maturity date. The complete rating actions are: Issuer: Access Group Inc. Federal Student Loan Asset-Backed Notes, (2002 Trust Indenture) -- 2002-1 Class B, Downgraded to Caa1; previously on August 26, 2008, A2 Placed Under Review for Possible Downgrade -- 2003-1 Class B, Downgraded to Caa1; previously on August 26, 2008, A2 Placed Under Review for Possible Downgrade -- 2004-1 Class B, Downgraded to Caa1; previously on August 26, 2008, A2 Placed Under Review for Possible Downgrade ALL STUDENT: Moody's Downgrades Ratings on 14 Classes of Notes -------------------------------------------------------------- Moody's Investors Service has downgraded fourteen classes of senior bonds and confirmed the "Aaa" ratings of two classes of senior LIBOR bonds issued by All Student Loan Corporation. The underlying pool consists of government guaranteed (FFELP) loans. The ratings of the senior bonds were placed under review for possible downgrade on December 8, 2008. The action was prompted by the increase of funding costs due to the continuing and prolonged dislocation of the auction rate securities market. Since most student loan collateral is indexed to the Financial Commercial Paper rate, trusts that are funded primarily by auction rate securities have suffered significant excess spread compression as the yield on the assets has not increased in tandem with the cost of the liabilities. As of March 31, 2009, approximately 75% of the bonds issued by All Student Loan Corp. Series IV were auction rate securities. The parity at the senior subordinate bonds level (i.e. the ratio of total assets to the sum of the outstanding balance of senior bonds and senior subordinate bonds) was 99.69%. The senior parity, or the ratio of total assets to total senior bonds outstanding, was 103.94%. At the failed auction rate, the trust is expected to generate 30-40bps of negative excess spread per annum. In addition, under Moody's "Aaa" stress scenario, the trust is expected to generate 80-100bps of negative excess spread per annum. Subsequently, the current total credit enhancement available for senior bonds, including overcollateralization, reserve fund and other cash accounts, and excess spread generated under the stress scenario, is not sufficient to support the "Aaa" rating on the senior bonds. The ratings of the two classes of LIBOR bonds are confirmed due to their priority in principal allocation. According to the amortization schedule, Class IV-A-6 and Class IV-A-13 are expected to receive the last principal payments on July 25, 2012, and October 25, 2016 distribution dates, respectively. As of March 31, 2009, both classes of bonds were on their amortization schedule with $44,562,000 and $187,400,000 principal balance outstanding. These two classes are expected to receive full principal payments even under Moody's "Aaa" stress scenario. The complete rating actions are: Issuer: All Student Loan Corporation, Series IV (formerly Access to Loans for Learning Corporation, Series IV) -- IV-A-3, Downgraded to Ba2; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade -- IV-A-4, Downgraded to Ba2; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade -- IV-A-5, Downgraded to Ba2; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade -- IV-A-6, Confirmed at Aaa; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade -- IV-A-7, Downgraded to Ba2; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade -- IV-A-8, Downgraded to Ba2; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade -- IV-A-9, Downgraded to Ba2; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade -- IV-A-10, Downgraded to Ba2; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade -- IV-A-11, Downgraded to Ba2; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade -- IV-A-12, Downgraded to Ba2; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade -- IV-A-13, Confirmed at Aaa; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade -- IV-A-14, Downgraded to Ba2; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade -- IV-A-15, Downgraded to Ba2; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade -- IV-A-16, Downgraded to Ba2; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade -- IV-A-17, Downgraded to Ba2; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade -- IV-A-18, Downgraded to Ba2; previously on December 8, 2008 Aaa Placed Under Review for Possible Downgrade ARMOR MCP: Moody's Junks Ratings on Six 2005-1 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded ratings on 9 tranches from Armor MCP 2005-1 L.P. Armor MCP 2005-1 L.P. issued residential mortgage-backed Credit Linked Notes. This synthetic transaction provides the owner of a sizable pool of mortgages as the "Protection Buyer" credit protection through a credit default swap with the issuer as the "Protection Seller" of the notes. Through this agreement, the Protection Buyer pays a fee in return for the transfer of a portion of the reference portfolio credit risk. Investors in the notes have an interest in the holdings of the issuer, which include highly rated investment instruments, a forward delivery agreement and fee collections on the agreement with the Protection Buyer. Investors are exposed to losses from the reference portfolio but benefit only indirectly from cash flows from these assets. Depending on the class of notes held, investors have credit protection from subordination. The reference portfolio of this transaction includes prime conforming and nonconforming fixed-rate and adjustable-rate mortgages purchased from various originators. The actions are triggered by the quickly deteriorating performance of the reference portfolio -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions listed below reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: Armor MCP 2005-1 L.P. -- Cl. B-1, Downgraded to Ba2; previously on 12/08/08 Aa1 Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ba3; previously on 12/08/08 Aa2 Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to B3; previously on 12/08/08 Aa3 Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to Caa2; previously on 12/08/08 A1 Placed Under Review for Possible Downgrade -- Cl. B-5, Downgraded to Ca; previously on 12/08/08 A2 Placed Under Review for Possible Downgrade -- Cl. B-6, Downgraded to Ca; previously on 12/08/08 A3 Placed Under Review for Possible Downgrade -- Cl. B-7, Downgraded to Ca; previously on 12/08/08 Baa1 Placed Under Review for Possible Downgrade -- Cl. B-8, Downgraded to Ca; previously on 12/08/08 Baa2 Placed Under Review for Possible Downgrade -- Cl. B-9, Downgraded to Ca; previously on 12/08/08 Baa3 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. AVERY STREET: Moody's Cuts Rating on Class E Notes to 'Ca' ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded its ratings on these notes issued by Avery Street CLO, Ltd.: -- US$163,500,000 Class A Senior Floating Rate Notes Due 2018, Downgraded to Aa3; previously on March 17, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$50,000,000 Class A-2 Senior Delayed Draw Floating Rate Notes Due 2018, Downgraded to Aa3; previously on March 17, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$22,000,000 Class B-1 Senior Floating Rate Notes Due 2018, Downgraded to Baa2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$7,000,000 Class B-2 Senior Fixed Rate Notes Due 2018, Downgraded to Baa2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$14,000,000 Class C Deferrable Mezzanine Floating Rate Notes Due 2018, Downgraded to Ba2; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$12,500,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2018, Downgraded to B3; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$8,000,000 Class E Deferrable Junior Floating Rate Notes Due 2018, Downgraded to Ca; previously on March 17, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. 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, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for second lien loans and high yield corporate bonds will be below their historical averages, consistent with Moody's research (see Moody's Special Comment titled "Strong Loan Issuance in Recent Years Signals Low Recovery Prospects for Loans and Bonds of Defaulted U.S. Corporate Issuers" dated June 2008). 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 Junior Overcollateralization Ratio. The weighted average rating factor has increased since the transaction closed and it is currently at 2892 versus a test level of 2646 as of the last trustee report, dated April 3, 2009. Based on the same report, defaulted securities total about $12.4 million accounting for roughly 4.26% of the collateral balance and securities rated Caa1 or lower make up approximately 6.8% of the underlying portfolio. Moody's also assessed the collateral pool's elevated concentration risk 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. Avery Street CLO, Ltd., issued in March 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. BALLYROCK CLO: Moody's Downgrades Ratings on Various 2006-2 Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Ballyrock CLO 2006-2 Ltd.: -- US$446,900,000 Class A Floating Rate Notes, Due 2020, Downgraded to Aa3; previously on December 27, 2006, Assigned Aaa; -- US$25,000,000 Class B Floating Rate Notes, Due 2020, Downgraded to A3; previously on March 4, 2009, Aa2 Placed Under Review for Possible Downgrade; In addition, Moody's has confirmed the ratings on these notes: -- US$30,000,000 Class C Deferrable Floating Rate Notes, Due 2020, Confirmed at Ba1; previously on March 17, 2009, Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$33,600,000 Class D Deferrable Floating Rate Notes, Due 2020, Confirmed at B1; previously on March 17, 2009, Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$21,000,000 Class E Deferrable Floating Rate Notes, Due 2020, Confirmed at Caa3; previously on March 17, 2009, Downgraded to Caa3 and Placed Under Review for Possible Downgrade; 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." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research (see Moody's Special Comment titled "Strong Loan Issuance in Recent Years Signals Low Recovery Prospects for Loans and Bonds of Defaulted U.S. Corporate Issuers" dated June 2008). 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 weighted average rating factor has steadily increased over the last year and it is currently at 3124 versus a test level of 2803 as of the last trustee report, dated May 8, 2009. Based on the same report, defaulted securities total about $15.2 million accounting for roughly 2.5% of the collateral balance and securities rated Caa1 or lower make up approximately 16% of the underlying portfolio. Ballyrock CLO 2006-2 Ltd., issued in December 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. BANC OF AMERICA: Moody's Downgrades Ratings on 331 Tranches ----------------------------------------------------------- Moody's Investors Service has downgraded 331 tranches and confirmed 15 tranches from 19 deals from Banc of America Funding Trust and Banc of America Mortgage Trust issued in 2005. 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 listed below reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: Banc of America Funding 2005-3 Trust -- Cl. 1-A-1, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Aa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to A2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to Aa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to Aa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Downgraded to Aa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-18, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-19, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-20, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-21, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-22, Downgraded to Aa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-23, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-24, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-25, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-IO, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-PO, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Funding 2005-4 Trust -- Cl. 1-A-1, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Baa3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Baa3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A, Downgraded to Aa2 and Placed Under Review for Possible Downgrade; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Current Underlying Rating: Baa2 -- Financial Guarantor: Assured Guaranty Corp. (Aa2 Placed Under Review for Possible Downgrade on 3/20/2009) -- Cl. A-2, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-IO, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-PO, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Funding 2005-5 Trust -- Cl. 1-A-1, Downgraded to Aa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Baa3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-6, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-8, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-IO, Downgraded to Aa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-PO, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Funding 2005-6 Trust -- Cl. 1-A-1, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Ba1; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-10, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-11, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-12, Downgraded to Ba1; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-13, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-IO, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-PO, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Funding 2005-7 Trust -- Cl. 1-A-1, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Ba2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Aa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Aa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Baa2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Baa2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-6, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-8, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-9, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-10, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-11, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-12, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-13, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-14, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-15, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-16, Downgraded to Ba2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-17, Downgraded to Ba2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-2, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-3, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-4, Downgraded to Ba2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 4-A-5, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-6, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-7, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-8, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-IO, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-PO, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-B-1, Downgraded to Caa1; previously on March 19, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 2-B-2, Downgraded to Ca; previously on March 19, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. 2-B-3, Downgraded to C; previously on March 19, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-B-4, Downgraded to C; previously on March 19, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-B-5, Downgraded to C; previously on March 19, 2009 B2 Placed Under Review for Possible Downgrade Banc of America Mortgage 2005-1 Trust -- Cl. 1-A-1, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to Aa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to Aa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Downgraded to A3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-18, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-19, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-20, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-21, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-22, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-23, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-24, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-IO, Downgraded to Aa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-PO, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 15-IO, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 15-PO, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 15-B-1, Downgraded to Caa2; previously on March 19, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 15-B-2, Downgraded to Ca; previously on March 19, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. 15-B-3, Downgraded to C; previously on March 19, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 15-B-4, Downgraded to C; previously on March 19, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 15-B-5, Downgraded to C; previously on March 19, 2009 B2 Placed Under Review for Possible Downgrade Banc of America Mortgage 2005-11 Trust -- Cl. 1-A-1, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Ba1; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Ba2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. X-IO, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-PO, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 15-PO, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Mortgage 2005-12 Trust -- Cl. A-1, Downgraded to Aa2 and Placed Under Review for Possible Downgrade; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Current Underlying Rating: Ba3 -- Financial Guarantor: Assured Guaranty Corp. (Aa2 Placed Under Review for Possible Downgrade on 3/20/2009) -- Cl. A-2, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to B1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-IO, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-PO, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Mortgage 2005-3 Trust -- Cl. 1-A-1, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-18, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-19, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-20, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-21, Downgraded to Aa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-22, Downgraded to Baa1; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-23, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-24, Downgraded to Aa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-25, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-26, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-27, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-28, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-29, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-30, Downgraded to Baa2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-31, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-32, Downgraded to Baa1; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-IO, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Aa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to A3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-IO, Downgraded to Aa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-PO, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Mortgage 2005-7 Trust -- Cl. 1-A-1, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Ba1; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Aa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Aa2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Aa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-IO, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 15-IO, Downgraded to Aa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Mortgage 2005-8 Trust -- Cl. A-1, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-7, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to B2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 30-IO, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-PO, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Mortgage 2005-A Trust -- Cl. 1-A-1, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ba2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Mortgage 2005-B Trust -- Cl. 1-A-1, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Mortgage 2005-C Trust -- Cl. 1-A-1, Downgraded to B1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to B1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Mortgage 2005-D Trust -- Cl. 1-A-1, Downgraded to B2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to B3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Mortgage 2005-E Trust -- Cl. 1-A-1, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Ba3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Aa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-IO, Downgraded to Aa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Mortgage 2005-F Trust -- Cl. 1-A-1, Downgraded to B2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to B3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to B2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Mortgage Trust 2005-10 -- Cl. 1-A-1, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to Baa3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Downgraded to Baa3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-18, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-19, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-20, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Aa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to A1; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. X-IO, Downgraded to Aa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-PO, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 15-PO, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Banc of America Mortgage Trust 2005-6 -- Cl. 1-A-1, Downgraded to Aa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to Baa1; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-18, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 30-IO, Downgraded to Aa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 15-IO, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to A3; previously on March 19, 2009 Aaa 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. BTC SPV: S&P Downgrades Ratings on Class A-4 Notes to 'BB+' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on BTC SPV (Cayman) 2001-1 Ltd.'s class A-4 through A-18 zero-coupon notes series 1 to 'BB+' from 'A'. The ratings remain on CreditWatch with negative implications, where they were placed April 27, 2009. The ratings on the class A-4 through A-18 notes are dependent on the lower of the ratings on the reference obligations: Ansonia CDO 2006-1 Ltd.'s class A-FX notes (BB+/Watch Neg), DB Master Finance LLC's class A-2 notes ('A'), and NovaStar Mortgage Funding Trust Series 2007-1's class A-2A2 certificates ('AAA'); and the ratings on the collateral securities: U.S. Treasury bonds ('AAA') and Freddie Mac bonds ('AAA'). The rating actions reflect the May 27, 2009, lowering of S&P's rating on Ansonia CDO 2006-1 Ltd.'s class A-FX notes to 'BB+' from 'A'. Ratings Lowered And Remaining On Creditwatch Negative BTC SPV (Cayman) 2001-1 Ltd. Rating ------ Class To From ----- -- ---- A-4 BB+/Watch Neg A/Watch Neg A-5 BB+/Watch Neg A/Watch Neg A-6 BB+/Watch Neg A/Watch Neg A-7 BB+/Watch Neg A/Watch Neg A-8 BB+/Watch Neg A/Watch Neg A-9 BB+/Watch Neg A/Watch Neg A-10 BB+/Watch Neg A/Watch Neg A-11 BB+/Watch Neg A/Watch Neg A-12 BB+/Watch Neg A/Watch Neg A-13 BB+/Watch Neg A/Watch Neg A-14 BB+/Watch Neg A/Watch Neg A-15 BB+/Watch Neg A/Watch Neg A-16 BB+/Watch Neg A/Watch Neg A-17 BB+/Watch Neg A/Watch Neg A-18 BB+/Watch Neg A/Watch Neg BRODERICK CDO: Fitch Junks Ratings on Three Classes of Notes ------------------------------------------------------------ Fitch Ratings downgrades $784.9 million from three classes and affirms $146.3 million from three classes of notes issued by Broderick CDO I, Ltd.: -- $233,596 class A-1V notes downgraded to 'CCC' from 'B'; -- $331,472,323 class A-1NVA notes downgraded to 'CCC' from 'B'; -- $453,175,692 class A-1NVB notes downgraded to 'CCC' from 'B'; -- $81,650,000 class A-2 notes affirmed at 'CC'; -- $41,304,634 class B notes affirmed at 'CC'; -- $23,349,813 class C notes affirmed at 'C'. The class A-1V, A-1NVA, and A-1NVB notes are also removed from Rating Watch Negative. The rating actions are due to the continuing negative credit migration in the underlying portfolio. After making standard adjustments described in the Structured Finance CDO rating criteria for Rating Watch Negative and Outlook Negative status, Fitch considers portfolio assets rated below investment grade to comprise 63.7% of the portfolio, with 40.2% of the portfolio rated in the 'CCC' or lower category. Par coverage to all of the notes has continued to erode due to defaulted and distressed assets, specifically residential mortgage-backed securities. According to the April 2009 trustee report, the class A/B and C overcollateralization tests are failing, in addition to the class A sequential pay test. There is no coverage-based Event of Default trigger, or interest coverage tests in the transaction. The class A/B OC test level has dropped to 60.7% versus a trigger of 102%. As a result of the coverage test failures, interest proceeds otherwise available to pay subordinated notes are being used to pay down the senior notes sequentially until all of the OC tests are cured. The pro rata class A-1V, class A-1NVA, and class A-1NVB (together, class A-1) notes have amortized only 6.6% since closing and still represent 84.3% of the remaining rated notes. Credit enhancement to the class A-1 notes may be further eroded by losses on collateral rated below investment grade. Even though the class A- 1 notes are the only notes receiving principal payments, the continued deterioration of the portfolio decreases the likelihood of full principal repayment to class A-1. In addition, principal proceeds are currently being used to pay interest due to the class A-2 and B notes. The class A-2 and B notes are currently receiving full interest payments and are expected to continue to receive future interest payments. However, Fitch does not expect these two classes to receive any principal payments. The class C principal balance has been cut off from any distributions. Fitch does not expect any future interest or principal payments to the class C notes. Broderick is a static cash flow CDO which closed in December 2005 with a portfolio selected by SCM Advisors LLC. The portfolio is composed of 79.4% RMBS primarily from the 2005 vintage, 16.2% SF CDOs from the 2004 through 2006 vintages, 4.3% corporate CDOs from the 2004 through 2006 vintages, 0.1% commercial asset-backed securities, and 0.1% commercial mortgage-backed securities. Fitch will continue to monitor and review this transaction for future rating adjustments. C-BASS CBO: Fitch Junks Ratings on Two Classes of Notes ------------------------------------------------------- Fitch Ratings downgrades $326.8 million from two classes, revises $30 million from one class, and affirms $17.1 million from one class of notes issued by C-Bass CBO XIV, Ltd.: -- $297,846,184 class A notes downgraded to 'CCC' from 'B'; -- $29,000,000 class B notes downgraded to 'CC' from 'CCC'; -- $30,000,000 class C notes revised to 'C' from 'CC'; -- $17,060,000 class D notes affirmed at 'C'. The class A notes are also removed from Rating Watch Negative. The rating actions are due to the negative credit migration in the underlying portfolio. After making standard adjustments described in the Structured Finance CDO rating criteria for Rating Watch Negative and Outlook Negative status, Fitch considers portfolio assets rated below investment grade to comprise 70.3% of the portfolio, with 44.9% rated in the 'CCC' or lower categories. Par coverage to all of the notes has continued to erode due to defaulted and distressed assets, specifically residential mortgage-backed securities. According to the April 2009 trustee report, the class A/B, C, and D overcollateralization and interest coverage tests are failing. There is no coverage-based Event of Default trigger. The class A/B OC test level has dropped to 90.8% versus a trigger of 109%. There are no additional OC haircuts other than the removal of assets considered defaulted due to distressed ratings. The class A notes have amortized 23.5% since closing and currently represent 75.4% of the capital structure. Even though the class A notes are the only notes receiving any principal payments, the continued deterioration of the portfolio decreases the likelihood of full principal repayment to class A. The class B notes are currently receiving full interest payments and are expected to continue to receive future interest payments. The class C and D notes have and will continue to defer interest due to the failing class A/B coverage tests. The class C and D notes have cumulative deferred interest amounts of $0.8 million and $0.9 million, respectively. Fitch does not expect any future interest or principal payments to the class C and D notes. C-Bass XIV is a static cash flow CDO which closed in September 2005 with a portfolio selected by C-Bass Investment Management, LLC. C-Bass XIV is composed of 82.1% RMBS primarily from the 2005 vintage, 7.9% commercial mortgage-backed securities, 5.9% SF CDOs from the 2005 vintage, 2.1% commercial asset-backed securities, and 2.1% consumer ABS. Fitch will continue to monitor and review this transaction for future rating adjustments. CARMAX BUSINESS: Moody's Downgrades Ratings on Five Tranches ------------------------------------------------------------ Moody's has confirmed six and downgraded five subordinate tranches from seven auto loan transactions issued between 2006 and 2008 by CarMax Business Services LLC. These rating actions were prompted by Moody's updated loss expectations relative to the current levels of credit enhancement. The rating actions conclude the review of the securities that were previously placed on review for possible downgrade on March 19, 2009. Moody's has also placed six subordinate securities from three transactions on review for possible upgrade. These securities were issued in 2005 and 2006. The actions reflect the strengthening in the credit profile of the securities, based upon the actual performance of the transactions and the build up of credit enhancement relative to expected future losses in the underlying receivables pools. During its review, Moody's will continue to refine its assessment of these transactions relative to the credit enhancement available. For the tranches that were confirmed or downgraded, Moody's currently anticipates the underlying transactions to incur cumulative lifetime net losses between 4.00% and 4.50%. Moody's had originally expected cumulative net losses to be between 1.50% and 3.00%. The transactions that were placed on review for possible upgrade are performing modestly weaker than Moody's initial expectation; however, the enhancement for these tranches has increased substantially as a result of paydowns given the sequential payment structure. The weaker than expected performance of recent Carmax transactions has occurred amid a challenging economic environment that has put pressure on prime auto loan performance across the industry in general. Issuer: CarMax Auto Owner Trust 2005-2 -- Cl. B, On review for possible Upgrade; previously on 6/16/2008 Upgraded to Aa1 -- Cl. C, On review for possible Upgrade; previously on 11/28/2006 Upgraded to Baa1 Issuer: CarMax Auto Owner Trust 2005-3 -- Cl. B, On review for possible Upgrade; previously on 12/15/2005 Assigned A2 -- Cl. C, On review for possible Upgrade; previously on 12/15/2005 Assigned Baa3 Issuer: CarMax Auto Owner Trust 2006-1 -- Cl. B, On review for possible Upgrade; previously on 6/1/2006 Assigned A2 -- Cl. C, On review for possible Upgrade; previously on 6/1/2006 Assigned Baa3 Issuer: CarMax Auto Owner Trust 2006-2 -- Cl. C, Confirm Baa2; previously on March 19, 2009 Baa2 Placed on review for possible Downgrade Issuer: CarMax Auto Owner Trust 2007-1 -- Cl. C, Confirm Baa3; previously on March 19, 2009 Baa3 Placed on review for possible Downgrade Issuer: Carmax Auto Owner Trust 2007-2 -- Cl. B, Confirm A2; previously on March 19, 2009 A2 Placed on review for possible Downgrade -- Cl. C, Downgraded to Ba1; previously on March 19, 2009 Baa3 Placed on review for possible Downgrade Issuer: Carmax Auto Owner Trust 2007-3 -- Cl. B, Confirm A2; previously on March 19, 2009 A2 Placed on review for possible Downgrade -- Cl. C, Downgrade to Ba1; previously on March 19, 2009 Baa3 Placed on review for possible Downgrade Issuer: CarMax Auto Owner Trust 2008-1 -- Cl. B, Downgraded to A1; previously on March 19, 2009 Aa3 Placed on review for possible Downgrade -- Cl. C, Downgraded to Baa3; previously on March 19, 2009 Baa2 Placed on review for possible Downgrade Issuer: Carmax Auto Owner Trust 2008-A -- Cl. B, Confirmed A2, previously on March 19, 2009 A2 Placed on review for possible Downgrade Issuer: CarMax Auto Owner Trust 2008-2 -- Cl. B, Confirmed Aa2; previously on March 19, 2009 Aa2 Placed on review for possible Downgrade -- Cl. C, Downgraded to A3; previously on March 19, 2009 A2 Placed on review for possible Downgrade CITIGROUP COMMERCIAL: Moody's Keeps Ratings on Nine 2004-C1 Notes ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of nine classes and downgraded eight classes of Citigroup Commercial Mortgage Trust 2004-C1, Commercial Mortgage Pass-Through Certificates, Series 2004-C1. The downgrades are due to higher expected losses for the pool resulting from increased leverage, increased credit quality dispersion and anticipated losses from specially serviced loans. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 15, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 18% to $969.9 million from $1.2 billion at securitization. The Certificates are collateralized by 89 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top 10 non- defeased loans representing 47% of the pool. At securitization there were two loans with investment grade underlying ratings -- Yorktown Center ($87.0 million -- 9.0%) and Pecanland Mall ($57.7 million -- 5.9%). These loans no longer have underlying ratings because of declines in performance. These loans are now analyzed as part of the conduit pool. Twelve loans, representing 17% of the pool, have defeased and are collateralized with U.S. Government securities. Fourteen loans, representing 10% 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. The pool has not experienced any losses to date. There are four loans, representing 8.5% of the pool, currently in special servicing. The largest loan in special servicing is Pecanland Mall, which is owned by General Growth Properties. The property was included in GGP's Chapter 11 bankruptcy filing and the loan was subsequently transferred to special servicing. At this point, Moody's does not anticipate a loss on this loan. For the other three loans in special servicing, Moody's estimates an aggregate $10.5 million loss (44% loss severity on average) from the specially serviced loans. Moody's was provided with partial or full-year 2008 operating results for 87% of the pool. Moody's weighted average loan to value ratio for the conduit component, excluding the specially serviced loans, is 103% compared to 94% at Moody's prior full review in February 2007. In addition to the increase in leverage, credit quality dispersion has increased. Based on Moody's analysis, 68% of the pool has an LTV greater than 100% compared to 3% at last review and 27% of the pool has an LTV greater than 120% compared to 4% at last review. The largest loan that had an underlying rating at securitization is the Yorktown Center Loan ($87.0 million -- 9.0%), which is secured by the borrower's interest in a 1.5 million square foot super-regional mall located approximately 22 miles west of Chicago in Lombard, Illinois. The collateral for this loan includes 620,000 square feet of in-line space, several outparcel buildings and an 84,000 square foot strip shopping center known as the Shops at Yorktown. The property was 82% occupied as of May 2009, essentially the same as at last review. Although occupancy has been stable, performance has declined because of increased operating expenses. Due to increased leverage, the loan no longer has an underlying rating and is now analyzed as part of the conduit component. Moody's current LTV is 78% compared to 71% at last review. The second largest loan that had an underlying rating at securitization is the Pecanland Mall Loan ($57.7 million -- 5.9%), which is secured by a 947,000 square foot enclosed regional mall located in Monroe, Louisiana. Non-collateral anchors include Dillard's, J.C. Penney, Sears and Belk. The collateral for the loan includes 349,000 square feet of in-line space and the junior anchor space. The center was 86% occupied as of March 2009 compared to 90% at last review. Performance declined due to decreased revenue and increased operating expenses. The loan was transferred to special servicing in April 2009 due to the bankruptcy filing of its sponsor, GGP. The cash flows of the property were stressed to reflect concerns about the potential impact of the bankruptcy on property operations. Due to increased leverage, the loan no longer has an underlying rating and is now analyzed as part of the conduit component. Moody's current LTV is 86% compared to 77% at last review. The top three non-defeased conduit loans, excluding the loans with prior underlying ratings, represent 12.4% of the outstanding pool balance. The largest conduit loan is the Lake Shore Place Loan ($54.4 million -- 5.6%), which is secured by a leased fee interest in a 489,066 square feet office building located in Chicago, Illinois. The largest tenants include Playboy Enterprises (24% NRA; lease expiration 2022), NW Medical Faculty Foundation (13% NRA; lease expiration 2014) and NW Medical School (6% NRA; lease expiration 2020). The property was 90% occupied as of December 2008 compared to 97% at last review. Based on Moody's Red-Yellow- Green report for the First Quarter of 2009, the Chicago CBD office market is Yellow 37. Property performance has declined due to decreased rental revenues and increased expenses. Moody's current LTV is 110% compared to 84% at last review. The second largest loan is the Nashua Mall Loan ($33.1 million -- 3.4%), which is secured by a leased fee interest in a 319,000 square foot power center located in Nashua, New Hampshire. Built in 1966 and renovated in 2003, the collateral GLA includes 257,000 square feet of anchor/major tenant space (80.6% of total GLA) and 62,000 square feet of in-line space. The center is also shadow anchored by Home Depot. The center was 99% occupied as of December 2008, essentially the same as at last review. Despite the sable occupancy, the property is operating below original projections. The loan is on the servicer's watchlist. Moody's current LTV is 130% compared to 94% at last review. The third largest loan is the Crossroads Center Portfolio Loan ($32.7 million -- 3.4%), which is secured by two retail centers totaling 325,000 square feet. Crossroads Center (238,000 square feet) is located in Rossford, Ohio, within the Toledo MSA. The property is anchored by Giant Eagle (33.6% of the GLA, lease expiration 2022). The inline space was 83% occupied as of December 2008 compared to 100% at last review, reflecting the loss of Linens 'N Things. Auburn Mile Shopping Center (87,000 square feet) is located in Auburn Hills, Michigan, within the Detroit MSA. The property is shadow anchored by Meijer. The property was 100% leased as of December 2008, the same as last review. The overall occupancy of the portfolio was 88% as of December 2008 compared to 100% at securitization. Property performance has declined due to decreased revenue and increased operating expenses. Moody's LTV is 122% compared to 102% at last review. Moody's rating action is: -- Class A-2, $18,461,867, affirmed at Aaa; previously affirmed at Aaa on February 1, 2007 -- Class A-3, $217,418,000, affirmed at Aaa; previously affirmed at Aaa on February 1, 2007 -- Class A-4, $553,662,000, affirmed at Aaa; previously affirmed at Aaa on February 1, 2007 -- Class X, Notional, affirmed at Aaa; previously affirmed at Aaa on February 1, 2007 -- Class B, $31,039,000, affirmed at Aaa; previously upgraded to Aaa from Aa2 on February 1, 2007 -- Class C, $13,302,000, affirmed at Aa1; previously upgraded to Aa1 from Aa3 on February 1, 2007 -- Class D, $26,605,000, affirmed at A1; previously upgraded to A1 from A2 on February 1, 2007 -- Class E, $13,302,000, affirmed at A3; previously affirmed at A3 on February 1, 2007 -- Class F, $14,780,000, affirmed at Baa1; previously affirmed at Baa1 on February 1, 2007 -- Class G, $11,824,000, downgraded to Baa3 from Baa2; previously affirmed at Baa2 on February 1, 2007 -- Class H, $19,214,000, downgraded to Ba2 from Baa3; previously affirmed at Baa3 on February 1, 2007 -- Class J, $5,913,000, downgraded to B1; from Ba1; previously affirmed at Ba1 on February 1, 2007 -- Class K, $5,912,000, downgraded to B2 from Ba2; previously affirmed at Ba2 on February 1, 2007 -- Class L, $5,912,000, downgraded to Caa1 from Ba3; previously affirmed at Ba3 on February 1, 2007 -- Class M, $5,912,000, downgraded to Caa1 from B1; previously affirmed at B1 on February 1, 2007 -- Class N, $2,956,000, downgraded to Caa3 from B2; previously affirmed at B2 on February 1, 2007 -- Class P, $4,434,000, downgraded to Caa3 from B3; previously affirmed at B3 on February 1, 2007 CITY OF DUNSMUIR: Moody's Cuts Ratings on 2000 Certs. to 'Ba2' -------------------------------------------------------------- Moody's Investors Service has downgraded to Ba2, from Baa3, City of Dunsmuir's Refunding Certificates of Participation (Water Enterprise Project), Series 2000. The downgrade primarily reflects the district's significantly weakened operating results and projected debt service coverage levels below the rate covenant. The rating also incorporates this very small enterprise's modest debt ratio, limited customer base with well below average wealth levels, and the availability of a fair amount unrestricted reserves relative to debt service. Additionally, the rating reflects Moody's expectation that the city will eventually implement the rate increases necessary to comply with what are standard legal covenants for a water revenue bond. The bonds are secured by the enterprise's senior pledge of net water revenues, and the legal covenants notably include the maintenance of rates sufficient to generate net revenues at least 1.25x debt service. Financial Position Weakened; City Has No Near Term Plans For Improvement Moody's expects the enterprise's weakened financial position will continue to deteriorate, since management expressed no near-term intention to increase rates. In fiscal 2006 the enterprise's debt service coverage (excluding grants) was a low 0.65 times annual debt service. In fiscal 2007 the enterprise increased coverage to 1.26 times by limiting growth in expenditures. However, in fiscal 2008, coverage again declined to a narrow 0.9 times annual debt service as a result of increased operating expenditures. In fiscal 2009, management expects to use cash reserves to meet a portion of the debt service payment. At this time, management has no near term plans to increase rates to meet the covenanted 1.25 times annual debt service coverage. Over the same period the enterprise's cash reserves have also declined over the same period from 146.8% of operating expenditures to 97.0% of operating expenditures. Since fiscal 2000 rates have been increased one time in fiscal 2002 (27% increase); despite the weakened financial position there are no near term plans to increase rates. Limited Customer Base With Below Average Wealth Levels Moody's expects the enterprise's customer base to remain limited due to little opportunity for economic expansion in the area. The enterprise serves the City of Dunsmuir (not rated) which is located in northern California, approximately fifty miles north of the City of Redding near Mt. Shasta, which is the water source for the area. The customer base is largely residential (65.1% of revenues) with some commercial (12.5% of revenues) and a significant industrial presence (22.3% of revenues). The customer base has grown from 1,278 connections in fiscal 2005 to 1,314 connections in fiscal 2008, an average annual rate of 0.93%. The enterprise's top ten customers represent 26.4% of total gallons purchased, with Union Pacific Railroad (Senior unsecured Baa2), the largest customer, representing 12.3% of total gallons purchased. The city's wealth levels are below average with per capita income and median family income at 74.0% and 54.8% of the nation, respectively. Modest Debt Ratio With No Future Debt Plans Moody's expects the district's debt ratio will remain manageable given the system's ample capacity and no expectations for growth in the medium term. The enterprise is currently using only 9%, or 0.10 MGD, on average of total capacity (1.05 MGD). The enterprise's debt ratio is modest at 25.3%. Debt amortization is average with 60.6% of debt retired in 10 years. Standard Legal Covenants The enterprise covenanted to collect revenues in each fiscal year to yield at least 1.25 times of that fiscal year's debt service. Moody's expects the enterprise will in the medium term take action to increase rates and generate net revenues sufficient to provide 1.25 times annual debt service coverage. The additional bonds test is also 1.25 times annual net revenues though there are no plans for debt issuance. The bonds are additionally secured by the debt service reserve fund which must be equal to the lesser of maximum annual debt service, 1.25 times average annual debt service, or 10% of bond proceeds. The debt service reserve is cash funded. Key Facts -- Billed water connections: 1,314 -- Average annual water connection growth (2005-2008): 0.93% -- City of Dunsmuir Median Family Income (as % of state and US): $27,420 (51.71% of CA and 54.8% of US) -- City of Dunsmuir Per Capita Income (as % of state and US): $15,982 (70.4% of CA and 74.0% of US) -- Operating ratio (2008): 61.9% -- Net take down (2008): 51.4% -- Debt ratio (2008): 25.3% -- Maximum annual debt service coverage (2012): 0.9x -- Annual debt service coverage: 0.9x The last rating action was on October 31, 2000, when the system's Baa3 senior lien revenue debt rating was assigned. CORPORATE BACKED: S&P Corrects Rating on 2004-6 Certs. From 'CCC' ----------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on Corporate Backed Trust Certificates Goldman Sachs Capital I Securities Backed Series 2004-6's $25 million trust certificates by raising it to 'BBB' from 'CCC'. At the same time, S&P corrected the rating history on the certificates. On Sept. 18, 2008, S&P incorrectly lowered the rating on the certificates to 'CCC' from 'A' after S&P lowered its rating on Lehman Bros. Holdings Inc. to 'SD' from 'A' on Sept. 15, 2008. The rating on the certificates is based on the lower of the rating on the underlying security (Goldman Sachs Capital I's 6.34% preferred stock due Feb. 15, 2034 {'BBB'}) and the rating on the swap guarantor (Lehman Bros. Holdings Inc. {NR}) during the period of time that the swap is effective and payments under the swap are needed to make payments due on the certificates. Conversely, when payments under the swap are not needed to make payments due on the certificates or the swap is terminated, the rating on the certificates is based solely on the rating of the underlying security. On Sept. 23, 2008, the swap terminated. For the period from Sept. 15, 2008, until the Sept. 23 2008, swap termination date, payments under the swap were not needed to make payments on the certificates. Therefore, beginning Sept. 15, 2008, the rating became solely dependent on the rating on the underlying security, and not on the rating on the swap guarantor. As a result, S&P is correcting the rating history on the certificates to reflect the 'A' rating on the underlying security on Sept. 18, 2008, and the subsequent lowering of the rating on the underlying security to 'BBB' from 'A' on Dec. 19, 2008. CORPORATE BACKED: S&P Downgrades Ratings on $33 Mil. Certs. to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on Corporate Backed Trust Certificates Series 2001-8 Trust's $33 million class A-1 and A-2 certificates to 'D' from 'C'. The rating on the certificates reflects the rating on the underlying asset, General Motors Corp.'s 8.1% debentures due June 15, 2024 ('D'). The rating action follows the June 1, 2009, lowering of S&P's rating on the underlying asset, General Motors Corp.'s 8.1% debentures, to 'D' from 'C'. CORVUS INVESTMENTS: Fitch Junks Ratings on Two Classes of Notes --------------------------------------------------------------- Fitch Ratings downgrades two classes of notes issued by Corvus Investments Ltd./LLC.: -- $298,586,998 class A-1 notes to 'CCC' from 'B/DR1'; -- $115,173,494 class A-2 notes to 'CCC' from 'B/DR1'. In addition, Fitch removes the Distressed Recovery ratings from the notes. These rating actions are primarily the result of continued collateral deterioration and loss of par coverage. Currently, 69.1% of the portfolio is rated below investment grade while 37.0% carries a rating of 'CCC' or lower. The $413.8 million combined balance of the class A-1 and A-2 (class A) notes is supported by a reference portfolio and a physical portfolio totaling approximately $458 million in size as of the trustee report dated April 30, 2009. There is also $16.1 million in principal proceeds from asset amortization from December 2008 to April 2009 available for the next payment on June 8, 2009. The class A notes have been receiving timely interest payments and on the most recent payment date approximately $619,200 in excess spread was diverted from subordinate tranches in the interest waterfall to pay down class A principal. In addition, all principal proceeds are being used to pay down the class A notes. Fitch expects the class A notes to continue to receive future interest payments; however, Fitch expects the reference and physical portfolios to experience additional losses and does not anticipate the notes receiving their full principal amount. Corvus is a synthetic collateralized debt obligation with cashflow features, such as overcollateralization triggers, that closed on June 30, 2000. The reference portfolio was selected by Barclays Bank, PLC, and is currently comprised of 32.6% CDOs, 30.8% commercial mortgage backed securities, 18.8% residential mortgage backed securities, 10.2% asset backed securities, and 7.6% real estate investment trusts. Fitch will continue to monitor and review this transaction for future rating adjustments. CREDIT SUISSE: Moody's Affirms Ratings on 12 2004-C5 Certs. ----------------------------------------------------------- Moody's Investors Service affirmed the ratings of 12 classes and downgraded the ratings of nine classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004-C5. 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 refinance risk associated with five-year loans approaching maturity. Sixteen loans, representing 13.7% of the pool, mature within the next 12 months. Six of these loans, representing 8% of the pool, have a Moody's stressed debt service coverage ratio of less than 1.0x. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 15, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 6% to $1.76 billion from $1.87 billion at securitization. The Certificates are collateralized by 223 mortgage loans ranging in size from less than 1% to 18% of the pool, with the top 10 non- defeased loans representing 39% of the pool. At securitization the pool included two loans with investment grade underlying ratings. One of the loans, Pleasant Hill Square pre-paid in March 2007. The performance of the second loan, Eastgate Mall ($49.6 million -- 2.8%) has declined since securitization and it no longer has an underlying rating. Eight loans, representing 3% of the pool, have defeased and are collateralized with U.S. Government securities. Thirty six loans, representing 29% 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. One loan has been liquidated from the pool since securitization, resulting in a minimal realized loss. Currently seven loans, representing 2% of the pool, are in special servicing. Moody's is estimating an aggregate $14 million loss (50% loss severity on average) for the specially serviced loans. Moody's was provided with full-year 2007 and full-year 2008 operating results for 96% and 89% of the pool, respectively. Moody's weighted average loan to value ratio is 101% compared to 99% at Moody's prior full review in March 2007. Although the overall LTV is in-line with the previous review, credit quality dispersion has increased. Based on Moody's analysis, 59% of the pool has a LTV in excess of 100% compared to 37% at last review and 16% of the pool has a LTV in excess of 120% compared to 9% at last review. The Eastgate Mall loan ($49.6 million -- 2.8%), had an underlying rating at securitization but due to a decline in performance it no longer has an underlying rating and it is analyzed as part of the conduit. The loan is secured by the borrower's interest in a 849,000 square feet (557,000 square feet of collateral) regional mall located in Cincinnati, Ohio. The center is anchored by J.C. Penney, Sears, Dillard's and Kohl's. The in-line stores were 94% occupied as of March 2009, compared to 96% at last review. Property performance has been below original projections and has declined since last review. The loan matures in December 2009. The loan sponsor is CBL & Associates Properties, Inc. Moody's current LTV is 90% compared to 74% at last review. The three largest loans represent 25% of the pool. The largest loan is the Time Warner Retail loan ($320.0 million -- 17.9%), which is secured by a 343,000 square feet retail center located at Columbus Circle between West 58th and West 60th Street in New York City. The largest tenants are Whole Foods (lease expiration January 2024), Equinox (lease expiration February 2019) and Borders Books (lease expiration February 2019). The property was 97% occupied as of March 2009 compared to 90% at last review. Although occupancy has been stable, property performance is below original expectations due to increased operating expenses. The loan was interest-only for three years. The loan is on the servicer's watchlist because the DSCR dropped below 1.2x when the loan began to amortize in January 2008. The loan sponsor is Related Companies LP and Apollo Real Estate Advisors. Moody's current LTV is 101% compared to 98% at last review. The second largest conduit loan is the 275 Madison Avenue loan ($69.9 million -- 4.0%), which is secured by the borrower's interest in a 306,000 square feet office building located in midtown Manhattan. The property was 97% occupied as of March 2009 compared to 94% at last review. Performance has been stable since last review. Moody's LTV is 100% compared to 102% at last review. The third largest conduit loan is the AT&T Consumer Services Headquarters loan ($58.0 million -- 3.3%), which is secured by a 387,000 square feet office building located in Morris Township, New Jersey. The property is 100% leased to AT&T Consumer Services (lease executed by AT&T Corp., Moody's senior unsecured rating - A2, negative outlook) through September 2014. AT&T has been in the building since it was built in 1979 and has renewed their lease multiple times. The loan is interest only until its Anticipated Repayment Date of October 2009. Although property performance has been stable, Moody's has stressed the cash flow because of concerns that AT&T's relatively short remaining lease term may impact refinancing of the loan. Moody's LTV is 134% compared to 108% at last review. Moody's rating action is: -- Class A-2, $222,774,613, affirmed at Aaa; previously affirmed at Aaa on March 9, 2007 -- Class A-3, $101,000,000, affirmed at Aaa; previously affirmed at Aaa on March 9, 2007 -- Class A-AB, $78,557,000, affirmed at Aaa; previously affirmed at Aaa on March 9, 2007 -- Class A-4, $575,728,000, affirmed at Aaa; previously affirmed at Aaa on March 9, 2007 -- Class A-1A, $406,087,116, affirmed at Aaa; previously affirmed at Aaa on March 9, 2007 -- Class A-J, $100,348,000, affirmed at Aaa; previously affirmed at Aaa on March 9, 2007 -- Class A-X, Notional, affirmed at Aaa; previously affirmed at Aaa on March 9, 2007 -- Class A-SP, Notional, affirmed at Aaa; previously affirmed at Aaa on March 9, 2007 -- Class B, $58,342,000, affirmed at Aa2; previously affirmed at Aa2 on March 9, 2007 -- Class C, $16,636,000, affirmed at Aa3; previously affirmed at Aa3 on March 9, 2007 -- Class D, $32,671,000, affirmed at A2; previously affirmed at A2 on March 9, 2007 -- Class E, $25,671,000, affirmed at A3; previously affirmed at A3 on March 9, 2007 -- Class F, $23,336,000, downgraded to Baa2 from Baa1; previously affirmed at Baa1 on March 9, 2007 -- Class G, $18,670,000, downgraded to Ba1 from Baa2; previously affirmed at Baa2 on March 9, 2007 -- Class H, $25,670,000, downgraded to B1 from Baa3; previously affirmed at Baa3 on March 9, 2007 -- Class J, $4,668,000, downgraded to B2 from Ba1; previously affirmed at Ba1 on March 9, 2007 -- Class K, $11,668,000, downgraded to B3 from Ba2; previously affirmed at Ba2 on March 9, 2007 -- Class L, $9,335,000, downgraded to Caa1 from Ba3; previously affirmed at Ba3 on March 9, 2007 -- Class M, $7,001,000, downgraded to Caa2 from B1; previously affirmed at B1 on March 9, 2007 -- Class N, $9,335,000, downgraded to Caa3 from B2; previously affirmed at B2 on March 9, 2007 -- Class O, $4,667,000, downgraded to Caa3 from B3; previously affirmed at B3 on March 9, 2007 CSMC SERIES: Moody's Junks Ratings on 2 Classes of Certificates --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 11 certificates issued in 2 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 actions are: Issuer: CSMC 2005-1R -- Cl. 1-A-1, Downgraded to B3; previously on 6/9/2008 Assigned Aaa -- Cl. 1-A-2, Downgraded to Ca; previously on 6/9/2008 Assigned Aaa -- Cl. 1-A-3, Downgraded to Caa1; previously on 6/9/2008 Assigned Aaa -- Cl. 2-A-1, Downgraded to B3; previously on 10/20/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B3; previously on 10/20/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to B3 ; previously on 10/20/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to B3; previously on 10/20/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to B3; previously on 10/20/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to B3; previously on 10/20/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to B3; previously on 10/20/2008 Aaa Placed Under Review for Possible Downgrade Issuer: CSMC Series 2008-3R -- Cl. 2-A-1, Downgraded to Aa3; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade DEBORAH HEART: Moody's Cuts Rating on $23.7 Mil. Bonds to 'B1' -------------------------------------------------------------- Moody's Investors Service has downgraded Deborah Heart and Lung Center's long-term rating to B1 from Ba1 on approximately $23.7 million outstanding of Series 1993 bonds; the outlook remains negative. The rating downgrade and negative outlook reflect the continued trend of operating deficits; decline in liquidity in fiscal year 2008 which has continued through April 30, 2009; and continued concerns with the current economy and investment markets as the organization attempts to mitigate operating losses and decline in liquidity. Legal Security: Bonds are secured by a mortgage lien and gross revenue pledge and Subsidy Agreement between the Deborah Hospital Foundation and the Center. The Subsidy Agreement with the Foundation irrevocably obligates the Foundation to provide subsidies to the Center in amounts which will be sufficient to enable the Center to pay operating expenses, capital expenditures and all other cash flow requirements including payments under the Loan and Security Agreement. Interest Rate Derivatives: None Challenges * Material decline in liquidity at the Foundation and the Center to $16.0 million (46 days cash on hand) as of April 30, 2009 from $24.3 million (63 days cash) at unaudited fiscal year end 2008, due to continued operating losses at the Center, investment market losses and lack of fundraising given the economy; unless the Center shows operating improvement, another subsidy to the Center in FY 2009 that is on par with FY 2008's subsidy of $14 million will nearly eliminate of the organization's cash although steps are being taken to mitigate operating losses and reduce its reliance on foundation subsidies. * Continued large operating losses that did not meet expectations for FY 2008 results, driven in part by the organization's philosophy of not balance billing patients and volume declines; absolute revenue declines continue for the second consecutive year; losses through the first four months of FY 2009 have declined over the prior period but still material * Continued multi-year decline in patient volumes in FY 2008, particularly in open hearts and cardiac catheterizations due to recent competitive pressures; outpatient volume growth remains favorable * Despite operational improvements at the foundation, current economic conditions have hampered fundraising efforts which is an integral strategy to grow liquidity to subsidize the Center's operations Strengths * Irrevocable Subsidy Agreement from the Deborah Hospital Foundation that has historically subsidized operating loses at the Center, although liquidity at the Foundation is declining * All fixed rate structure * Debt service reserve fund remains fully intact; all debt payments continue to be made in a full and timely basis Recent Developments/Results Unrestricted cash and investments at the Foundation was $11.6 million as of April 30, 2009, which has declined from $14.1 million at unaudited FYE 2008. When combined with unrestricted assets at the Center, total unrestricted cash and investments decreased to $16.0 million (46.0 days cash on hand) as of April 30, 2009, from a higher $24.3million (63.3 days cash on hand) at unaudited FYE 2008. The decline in liquidity from December 31, 2008, is due to losses in the investment markets and the inability to increase fundraising as planned. The material decline in liquidity has had a negative impact on cash to debt which has declined to 52.7% as of April 30, 2009 from 83.3% at unaudited FYE 2008. Investments have been reallocated to 60% fixed income/40% equities from 60% equities/40% fixed income in FY 2008 but in so doing realized losses were incurred. In addition, management has cut back capital spending in FY 2009 to $1 million from $11.9 million in FY 2008. While moving to a more conservative investment profile may mitigate losses going forward, the ongoing need for the Foundation to subsidize the Center remains a key credit concern. Despite efforts to streamline the foundation, operations at the foundation have continued to run at a deficit in unaudited FY 2008 and YTD 2009 due to current economic conditions, which hampered fundraising efforts. Management has decided to further streamline operations at the foundation and emphasized large gifts and bequests as its main source of funding, while not abandoning its chapter system. Operations at the Center continued to be stressed in FY 2008. After excluding one-time expenses related to staff reductions and severance, the Center performed below FY 2008 projected levels with an operating deficit of $16.9 million (-12.5% operating margin and -6.2% operating cash flow margin), which showed no improvement over FY 2007 (-12.3% operating margin and -6.2% operating cash flow margin). The primary driver of continued operating deficits in FY 2008 was the decline in patient volumes; admissions declined 10% to 4,638 admissions in FY 2008 from 5,155 admissions in FY 2007 and continue a multi-year trend of decline. According to management the volume declines were driven by the current recession which has led to decreased utilization of elective procedures, some competition from a local cardiology group and the migration of services from an inpatient to the outpatient setting. The operating losses at the Center were partially offset by Foundation support in the form of non- operating revenue ($14 million received in FY 2008, up from $10 million in FY 2007). Debt coverage did improve to 3.07 times from 1.75 times and debt to cash flow improved to 4.71 times from 11.95 times reflecting the increase in contributions below the line from the foundation. In prior years, a portion of the foundation subsidies to the center was recognized as net patient revenues in support of the Children of the World program and the remainder was recognized below the line as contributions. After the inpatient services for the Children of the World program was suspended in FY 2007, Foundation subsidies are all recognized "below the line" as contributions. The operational trends experienced in FY 2008 at the Center have continued through the first four months of FY 2009, but has substantially improved over the same time period last year. Revenues declined approximately 11.65% but expenses have also declined a higher 15.7% which has led to an operating deficit of $3.7 million (-9.3% operating margin) and negative operating cash flow of $943 thousand (-2.32%) compared to an operating deficit of $6.2 million (-13.3% operating margin) and negative operating cash flow of $3.3 million (-7.21% operating cash flow margin) through the same period last year. The current recession and physician competition continues to be major factor for the volume declines and revenue decline but management has reduced expenses with the implementation of various initiatives including FTE reductions, replacing the defined benefit pension plan with a 401(k) plan, and initiatives to reduce length of stay that began after the second half of FY 2008. As a result, the Center has posted an operating deficit of $3.8 million (-9.3% operating margin and -2.3% operating cash flow margin) compared to an operating deficit of $6.2 million (-13.4% operating margin and -7.2% operating cash flow margin) through the same period last year. The Center continues to practice its mission of not balance billing individual patients, which is a key factor contributing to its operating losses. The board remains committed to this mission and has pursued other strategies to stem losses and reduce dependency from the Foundation including FTE reductions via lay offs, attrition and early retirement. Given current volume trends, management plans to reduce additional FTEs including the termination of some physician contracts, suspend the 401(k) match, and continue salary freezes which combined are expected to yield $3 million in additional savings on an annualized basis. On the revenue side, management has joint ventured with a cardiology group in an effort to stem the volume decline. Management has partnered with Lourdes Medical Center (an affiliate of Catholic Health East) for an onsite emergency room to bolster volumes back to the center whereby Lourdes will run the facility and depending on the type of case, admissions will either go to Lourdes or Deborah. Management expects the new facility to be operational in early FY 2010. With the transition of Fort Dix/Maguire Air Force base to a new "Mega Base" located 2.5 miles from Deborah, the opening of the ER could have a positive impact for utilization of services by the 19,000 covered lives that currently are at the base and those additional covered lives expected to move to the area. However, at this time, the potential benefits have not been quantified. Outlook Moody's negative outlook reflects Moody's concern that negative cash flow will likely continue to require draws from the Foundation, further eroding the combined liquidity cushion at the Center and the Foundation. It also reflects Moody's expectation that operating challenges at the Center will continue in FY 2009 as the Center and the Foundation continues to implement expense reduction initiatives to stem operating losses and declines in foundation assets. What could change the rating -- UP Trend of increasing inpatient and outpatient volumes with significant contributions from the new ER; Improved and sustained operating performance at the Center; significant increase in liquidity What could change the rating -- DOWN Continued decrease of cash at the Foundation; decreasing inpatient and outpatient volumes at the Center that will result in further operating deterioration and increased draw down of Foundation assets; tapping of debt service reserve fund; payment default or bankruptcy filing Key Indicators Assumptions & Adjustments: -- Based on financial statements for Deborah Heart and Lung Center with unrestricted assets from the audited financial statements for Deborah Hospital Foundation -- First number reflects audit year ended December, 31, 2007 -- Second number reflects unaudited financials ended December 31, 2008 -- Investment returns normalized at 6% unless otherwise noted * Inpatient admissions: 5,155; 4,638 * Total operating revenues: $137.7 million; $130.4 million * Moody's-adjusted net revenue available for debt service: $4.4 million; $7.7 million * Total debt outstanding: $30.3 million; $29.2 million * Maximum annual debt service (MADS): $2.5 million; $2.5 million * Moody's-adjusted MADS Coverage with normalized investment income: 1.75 times; 3.0 times * Debt-to-cash flow: 11.95 times; 4.71 times * Days cash on hand: 96.3 days; 63.3 days * Cash-to-debt: 126.3%; 83.3% * Operating margin: -12.3%; -12.5% * Operating cash flow margin: -6.2%; -6.2% The last rating action was on August 19, 2008, when the rating of Deborah Heart & Lung Center was downgrade to Ba1 from Baa3 and the outlook remained negative DISCOVER CARD: Moody's Reviews Ratings on 36 Classes of ABS ----------------------------------------------------------- Moody's Investors Service has placed on review for possible downgrade 36 classes of asset-backed securities issued out of the Discover Card Execution Note Trust, DiscoverSeries and the Discover Card Master Trust 1. These securities are backed by a $38.8 billion revolving pool of consumer credit card receivables originated by Discover Bank, a subsidiary of Discover Financial Services. Moody's actions follow the June 1, 2009, downgrade of Discover's deposit rating to Baa3 from Baa2, bank financial strength rating to D+ from C-, and short-term rating to Prime-3 from Prime-2. The rating outlook remains negative. These rating actions reflect Moody's view that Discover's intrinsic credit quality has been diminished by reduced financial flexibility, including reduced access to the securitization market, which has been a significant funding source for the company. Rationale The review of the asset-backed ratings is driven by deterioration in some of the Trust's key collateral performance metrics as well as June 1, 2009 downgrade of Discover, the seller/servicer of the Trust. The consumer-led economic downturn has adversely affected Discover's Trust collateral performance, albeit to a lesser extent than many others in the industry. This distinction in performance is attributable to the Trust's well-seasoned portfolio comprised of mostly-prime credit card receivables. In addition, the Trust has lower- than-average exposure to California and Florida, where consumers have been particularly hard hit by home price depreciation. Even so, the Trust's performance, as measured by charge-offs, delinquencies and principal payment rate has deteriorated markedly. The annualized gross charge-off rate reached a record- high 9.11% in April 2009. Delinquencies, too, have been on the rise. In April 2009, the delinquency rate was 5.55%, much higher than 4.10% a year ago. Moody's expects charge-offs to continue to rise, for Discover's Trust and for the industry. (Moody's current base case forecast is for industry-wide charge-offs to peak in the second quarter of 2010.) Similarly, the Trust's average principal payment rate has fallen to about 16.5% from 18.8% a year ago. The principal payment rate is a measure of cardholders' willingness and ability to repay their credit card balances. It is also a measure of the speed by which securitized investors will be repaid if an amortization event is triggered; therefore, a drop in this rate may have negative consequences for securitized noteholders. Moody's ratings on the asset-backed securities issued out of the Trust are closely related to the rating of Discover in several respects. The Discover Card network, which allows merchants to accept Discover Card transactions, is a proprietary system. Therefore, its viability is inextricably linked to the credit strength of Discover. Secondly, investors in securities issued out of the Discover Trust benefit from a unique structural feature -- the fixed finance charge allocation. The efficacy of the fixed finance charge allocation feature is dependent upon the viability of the underlying card program. In a scenario in which credit lines are shut down and cardholders can no longer make purchases on the Discover card, the fixed finance charge allocation would no longer provide any incremental benefit. The downgrade of Discover's deposit rating to Baa3 from Baa2 reflects Moody's view that the likelihood of a partial or full shutdown of purchases on the Discover Card network is incrementally higher than that viewed previously (though still quite low); therefore, Moody's review of the ratings will reassess the relative benefit of this feature. Moody's review will also focus on Discover's ability to address and mitigate the risk of further deterioration in Trust performance. At the conclusion of the review, which is typically no longer than 90 days, Moody's may downgrade the notes. A downgrade, if any, is not likely to exceed one to two notches. The complete rating actions are: Under Review For Possible Downgrade Issuer: Discover Card Execution Note Trust, DiscoverSeries: -- $1,000,000,000 Class A (2007-1), Fixed Rate Asset-backed Notes, Rated Aaa -- $1,250,000,000 Class A (2007-2), Floating Rate Asset-backed Notes, Rated Aaa -- $900,000,000 Class A (2008-1), Floating Rate Asset-backed Notes, Rated Aaa -- $1,000,000,000 Class A (2008-2), Floating Rate Asset-backed Notes, Rated Aaa -- $850,000,000 Class A (2008-3), Fixed Rate Asset-backed Notes, Rated Aaa -- $750,000,000 Class A (2008-4), Fixed Rate Asset-backed Notes, Rated Aaa -- $200,000,000 Class B (2007-1), Floating Rate Asset-backed Notes, Rated A2 -- $115,000,000 Class B (2007-2), Floating Rate Asset-backed Notes, Rated A2 -- $85,000,000 Class B (2008-1), Floating Rate Asset-backed Notes, Rated A2 -- $60,000,000 Class B (2008-3), Floating Rate Asset-backed Notes, Rated A2 -- $200,000,000 Class C (2007-1), Floating Rate Asset-backed Notes, Rated Baa2 -- $200,000,000 Class C (2007-2), Floating Rate Asset-backed Notes, Rated Baa2 -- $300,000,000 Class C (2008-1), Floating Rate Asset-backed Notes, Rated Baa2 -- $105,000,000 Class C (2008-3), Floating Rate Asset-backed Notes, Rated Baa2 Issuer: Discover Card Master Trust I: -- $1,000,000,000 1996-4 Class A, Floating Rate Asset-backed Notes, Rated Aaa -- $52,632,000 1996-4 Class B, Floating Rate Asset-backed Notes, Rated A2 -- $900,000,000 2003-3 Class A, Floating Rate Asset-backed Notes, Rated Aaa -- $47,369,000 2003-3 Class B, Floating Rate Asset-backed Notes, Rated A2 -- $750,000,000 2003-4 Sub. A-2, Floating Rate Asset-backed Notes, Rated Aaa -- $39,474,000 2003-4 Sub. B-2, Floating Rate Asset-backed Notes, Rated A2 -- $700,000,000 2005-4 Subser. 1A, Floating Rate Asset-backed Notes, Rated Aaa -- $36,843,000 2005-4 Subser. 1B, Floating Rate Asset-backed Notes, Rated A2 -- $800,000,000 2005-4 Subser. 2A, Floating Rate Asset-backed Notes, Rated Aaa -- $42,106,000 2005-4 Subser. 2B, Floating Rate Asset-backed Notes, Rated A2 -- $750,000,000 2006-1 Sub. A-2, Floating Rate Asset-backed Notes, Rated Aaa -- $39,474,000 2006-1 Sub. B-2, Floating Rate Asset-backed Notes, Rated A2 -- $600,000,000 2006-2 Sub. A-2, Floating Rate Asset-backed Notes, Rated Aaa -- $320,000,000 2006-2 Sub. A-3, Floating Rate Asset-backed Notes, Rated Aaa -- $31,579,000 2006-2 Sub. B-2, Floating Rate Asset-backed Notes, Rated A2 -- $16,843,000 2006-2 Sub. B-3, Floating Rate Asset-backed Notes, Rated A2 -- $500,000,000 2006-3 Class A, Floating Rate Asset-backed Notes, Rated Aaa -- $26,316,000 2006-3 Class B, Floating Rate Asset-backed Notes, Rated A2 -- $1,500,000,000 2007-1 Class A, Floating Rate Asset-backed Notes, Rated Aaa -- $78,948,000 2007-1 Class B, Floating Rate Asset-backed Notes, Rated A2 -- $750,000,000 2007-2 Class A, Floating Rate Asset-backed Notes, Rated Aaa -- $39,474,000 2007-2 Class B, Floating Rate Asset-backed Notes, Rated A2 -- $1,100,000,000 2007-3 Class A Sub. 1, Floating Rate Asset- backed Notes, Rated Aaa -- $500,000,000 2007-3 Class A Sub. 2, Floating Rate Asset- backed Notes, Rated Aaa -- $57,895,000 2007-3 Class B Sub. 1, Floating Rate Asset-backed Notes, Rated A2 -- $26,316,000 2007-3 Class B Sub. 2, Floating Rate Asset-backed Notes, Rated A2 These outstanding series are not under review because they are expected to mature within the next six months: Issuer: Discover Card Execution Note Trust, DiscoverSeries: -- $750,000,000 Class A (2008-C), Floating Rate Asset-backed Notes, Rated Aaa Issuer: Discover Card Master Trust I: -- $39,474,000 2006-1 Class B Sub. 2, Floating Rate Asset-backed Notes, Rated A2 -- $600,000,000 2006-2 Class A Sub. A-1, Floating Rate Asset- backed Notes, Rated Aaa -- $31,579,000 2006-2 Class B Sub. B-1, Floating Rate Asset- backed Notes, Rated A2 -- $800,000,000 2005-2 Class A, Floating Rate Asset-backed Notes, Rated Aaa -- $500,000,000 2004-2 Class A Sub. A-2, Floating Rate Asset- backed Notes, Rated Aaa -- $42,106,000 2005-2 Class B , Floating Rate Asset-backed Notes, Rated A2 -- $26,316,000 2004-2 Class B Sub. B-2, Floating Rate Asset- backed Notes, Rated A2 Discover Financial Services is a leading credit card issuer and electronic payment services company. The company reported total managed receivables of $51 billion as of February 8, 2009. DUANE STREET: Moody's Cuts Rating on Class E Notes to 'Ca' ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded its ratings on these notes issued by Duane Street CLO III, Ltd: -- US$262,100,000 Class A-1 Senior Floating Rate Notes Due 2021, Downgraded to Aa2; previously on December 7, 2006 Assigned Aaa; -- US$137,500,000 Class A-2a Senior Revolving Floating Rate Notes Due 2021, Downgraded to Aa1; previously on December 7, 2006 Assigned Aaa; -- US$7,500,000 Class A-2b Senior Floating Rate Notes Due 2021, Downgraded to A1; Previously on March 4, 2009, Aa1 Placed Under Review for Possible Downgrade; -- U.S.$33,000,000 Class B Senior Floating Rate Notes Due 2021, Downgraded to Baa1; Previously on March 4, 2009, Aa2 Placed Under Review for Possible Downgrade; -- US$28,500,000 Class C Deferrable Mezzanine Floating Rate Notes Due 2021, Downgraded to Ba1; Previously on March 17, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$27,500,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2021, Downgraded to B1; Previously on March 17, 2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade; -- US$14,000,000 Class E Deferrable Junior Floating Rate Notes Due 2021, Downgraded to Ca; Previously on March 17, 2009 Downgraded to Caa3 and Placed Under Review for Possible Downgrade. 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." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research (Moody's Special Comment titled "Strong Loan Issuance in Recent Years Signals Low Recovery Prospects for Loans and Bonds of Defaulted U.S. Corporate Issuers" dated June 2008). 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 weighted average rating factor has steadily increased over the last year and it is currently at 2696 as of the last trustee report, dated April 30, 2009. Based on the same report, defaulted securities total about $39.7 million accounting for roughly 7.3% of the collateral balance and securities rated Caa1 or lower make up approximately 7.6% of the underlying portfolio. Duane Street CLO III, Ltd., issued in December 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. DUANE STREET: Moody's Downgrades Ratings on $15 Mil. Notes to 'C' ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its rating on these notes issued by Duane Street CLO V, Ltd.: -- US$15,000,000 Class B Secured Deferrable Floating Rate Notes due 2021, Downgraded to C; previously on March 13, 2009 Downgraded to Caa3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating action taken on the notes is a result of credit deterioration of the underlying portfolio. The action also reflects 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." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research (see Moody's Special Comment titled "Strong Loan Issuance in Recent Years Signals Low Recovery Prospects for Loans and Bonds of Defaulted U.S. Corporate Issuers" dated June 2008). 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 A and B Par Value Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2606 versus a test level of 2504 as of the last trustee report, dated April 25, 2009. Based on the same report, defaulted securities total about $29.2 million accounting for roughly 5.9% of the collateral balance and securities rated Caa1 or lower make up approximately 9.7% of the underlying portfolio. Additionally, interest payments on the Class B Notes are presently being deferred as a result of the failure of the Class A Par Value Test. The rating action also reflects increased concerns about the uncertainties arising from the potential for acceleration of the rated debt or liquidation of the collateral should an Event of Default occur and continue. In Moody's view, there is a potential for an Event of Default arising from the Class A Par Value Ratio falling below 100%, as described in Section 5.1 (d) of the Indenture, dated October 25, 2007. As provided in Section 5 of the Indenture, during the occurrence and continuance of an Event of Default, a majority of the Controlling Class may vote to accelerate the payments on the rated debt by declaring the principal of all the rated debt to be immediately due and payable. In addition, the supermajority of each class of rated debt may direct the trustee to proceed with the sale and liquidation of the collateral. The severity of any potential losses to the Class B notes may depend on the timing and choice of these remedies following an Event of Default. The rating action on the Class B Notes reflects all of these uncertainties. Duane Street CLO V, Ltd., issued in October 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. DUANE STREET: Moody's Downgrades Ratings on Various Notes --------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Duane Street CLO II, Ltd. -- US$238,000,000 Class A-1 Senior Floating Rate Notes Due 2018, Downgraded to A1; previously on July 20, 2006 Assigned Aaa; -- US$75,000,000 Class A-2 Senior Revolving Floating Rate Notes Due 2018, Downgraded to A1; previously on July 20, 2006, Assigned Aaa; -- US$25,500,000 Class B Senior Floating Rate Notes Due 2018, Downgraded to Baa2; previously on March 4, 2009, Aa2 Placed Under Review for Possible Downgrade; -- US$23,000,000 Class C Deferrable Mezzanine Floating Rate Notes Due 2018, Downgraded to Ba2; previously on March 17, 2009, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$ 18,500,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2018, Downgraded to Caa2; previously on March 17, 2009, Downgraded to Ba3 and Placed Under Review for Possible Downgrade; -- US$11,750,000 Class E Deferrable Junior Floating Rate Notes Due 2018, Downgraded to C; previously on March 17, 2009, Downgraded to Caa3 and Placed Under Review for Possible Downgrade; -- US$5,000,000 Class Z Combination Notes Due 2018, Downgraded to Baa1; previously on March 4, 2009, Aa2 Placed Under Review for Possible Downgrade. 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." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. 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 weighted average rating factor has steadily increased over the last year and it is currently at 2657 versus a test level of 2797 as of the last trustee report, dated May 10, 2009. Based on the same report, defaulted securities total about $ 36.7 million accounting for roughly 8.8% of the collateral balance and securities rated Caa1 or lower make up approximately 11.2%of the underlying portfolio. Additionally, interest payments on the Class E Notes are presently being deferred as a result of the failure of the Mezzanine Overcollateralization Test. Duane Street CLO II, Ltd., issued in July 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. EDUCATION LOANS: Moody's Downgrades Ratings on Four 1999 Notes -------------------------------------------------------------- Moody's Investors Service has downgraded four classes of subordinate notes and confirmed ratings of seven classes of senior notes issued by Education Loans Incorporated (1999 Indenture). The trust is funded entirely by auction rate securities. The underlying collateral consists of government guaranteed (FFELP) student loans (53% of the current pool balance) and alternative student loans (47% of the pool balance). The actions were prompted by the increase of funding costs due to the continuing and prolonged dislocation of the auction rate securities market and a deterioration in performance of alternative student loans. Since most student loan collateral is indexed to the Financial Commercial Paper rate ("CP" rate), Prime rates or LIBOR, securitizations that are funded primarily by auction rate securities have suffered significant excess spread compression as the yield on the assets has not increased in tandem with the cost of the liabilities. As of March 31, 2009, the total parity (i.e. the ratio of total assets to total liabilities) was 97.87%, a 0.15% decrease since December 31, 2008. However, the senior parity, or the ratio of total assets to total senior notes outstanding, has increased from 112.19% to 112.46% during the same period as a result of a paydown of senior notes. At the failed auction rate, the trust is expected to generate negative excess spread of approximately 20bps per annum. The projected remaining net losses on private loans is approximately 7-to-10% of the current private loan pool balance. The ratio of credit enhancement supporting subordinate notes to the projected remaining net losses is not consistent with similar private student loan transactions in the same rating category. Moody's confirmed the ratings of senior notes, as the net loss coverage ratio for the senior notes is consistent with similar student loan transactions in "Aaa" rating category. The complete rating actions are: Issuer: Education Loans Incorporated (1999 Indenture) -- 1999-1 Class 1A, Confirmed at Aaa, previously on March 17, 2009, Aaa Placed Under Review for Possible Downgrade -- 2001-1 Class 1A, Confirmed at Aaa, previously on March 17, 2009, Aaa Placed Under Review for Possible Downgrade -- 2001-1 Class 1B, Confirmed at Aaa, previously on March 17, 2009, Aaa Placed Under Review for Possible Downgrade -- 2002-1 Class 1A, Confirmed at Aaa, previously on March 17, 2009, Aaa Placed Under Review for Possible Downgrade -- 2002-1 Class 1B, Confirmed at Aaa, previously on March 17, 2009, Aaa Placed Under Review for Possible Downgrade -- 2003-1 Class 1B, Confirmed at Aaa, previously on March 17, 2009, Aaa Placed Under Review for Possible Downgrade -- 2003-1 Class 1C, Confirmed at Aaa, previously on March 17, 2009, Aaa Placed Under Review for Possible Downgrade -- 1999-1 Class 1C, Downgraded to Ca, previously on March 17, 2009, A2 Placed Under Review for Possible Downgrade -- 2001-1 Class 1C, Downgraded to Ca, previously on March 17, 2009, A2 Placed Under Review for Possible Downgrade -- 2002-1 Class 1C, Downgraded to Ca, previously on March 17, 2009, A2 Placed Under Review for Possible Downgrade -- 2003-1 Class 1D, Downgraded to Ca, previously on March 17, 2009, A2 Placed Under Review for Possible Downgrade FIRST INTERNATIONAL: Fitch Takes Rating Actions on Securities ------------------------------------------------------------- Fitch Ratings has taken these rating actions on the First International Bank small business loan asset-backed securities transactions. FIB Business Loan Notes, series 2000-A -- Class A affirmed at 'B-' ('DR2' removed); -- Class M-1 revised to 'C/RR6' from 'C/DR6'; -- Class M-2 revised to 'C/RR6' from 'C/DR6'; -- Class B revised to 'C/RR6' from 'C/DR6'. FIB SBA Loan-Backed Adjustable Rate Certificates, series 1999-1 -- Class A affirmed at 'B' ('DR1' removed); -- Class M revised to 'C/RR1' from 'C/DR4'; -- Class B revised to 'C/RR1' from 'C/DR6'. Series 2000-1 -- Class A downgraded to 'CC/RR4' from 'CCC/DR3'; -- Class M revised to 'C/RR6' from 'C/DR6'; Series 2000-2 -- Class A affirmed at 'BB+'; -- Class M affirmed at 'B-' ('DR1' removed). The downgrade reflects continued deterioration within the collateral pool for the series 2000-1. The transaction remains significantly undercollateralized, and recovery expectations for the pool are minimal. As delinquencies and losses continue to roll through the trust, Fitch anticipates available credit support to further decline for the outstanding notes. In particular, cumulative net losses equal 27.9%, as of the May 2009 reporting period. For the remaining transactions, delinquencies have continued to increase and are high delinquency bucket roll rates are still evident. Despite the deterioration in performance, based on Fitch's analysis, credit support has remained relatively consistent with levels seen in the prior review while recovery prospects for the distressed notes has changed, leading to an affirmation of all long-term ratings and the revisions to the Recovery Ratings. Fitch's analysis incorporated a review of collateral characteristics of the defaulted loans to determine recovery expectations. In its analysis, Fitch reviewed each transaction on an individual loan basis. All loans over 60 days delinquent were deemed defaulted loans. Loans were applied loss and recovery expectations based on collateral characteristics (i.e. real estate, machinery and equipment, and accounts receivables) and historical recovery performance. All loans over 180 days received a further stress by discounting the remaining loan balance. After determining expected losses on each loan, these expectations were applied to outstanding balances. Fitch was then able to assess the impact on enhancement levels. Fitch will continue to closely monitor these transactions and may take additional rating action in the event of changes in performance and credit enhancement measures. FIRST NATIONAL: S&P Assigns 'BB' Rating on Class D Notes -------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to First National Master Note Trust's $789.474 million asset-backed notes series 2009-1. The preliminary ratings are based on information as of June 1, 2009. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings are based on -- S&P's view that the credit support for each class of notes is sufficient to withstand the simultaneous stresses S&P applies, for each rating category, to S&P's 8.0%-10.0% base case loss rate assumption, 12.0%-14.0% base case payment rate assumption, and 14.0%-16.0% base case yield assumption. In addition, S&P use stressed purchase rate, excess spread, and note interest rate assumptions to determine if sufficient credit support is available for each rating category. All of the stress assumptions outlined above are based on S&P's current criteria and assumptions; -- S&P's view of the credit risk inherent in the collateral loan pool based on S&P's economic forecast, the trust portfolio historical performance, the collateral characteristics, and vintage performance data; -- S&P's credit rating on First National Bank of Omaha (FNBO; BBB-/Watch Neg/--); its servicing experience; and S&P's opinion of the quality and consistency of its account origination, underwriting, account management, collections, and general operational practices; -- S&P's expectation of the timely payment of interest and ultimate payment of principal by May 15, 2014, the legal final maturity date, based on stressed cash flow modeling scenarios using assumptions commensurate with the respective preliminary rating categories; and -- The series 2009-1 notes' underlying payment structure and cash flow mechanics, and legal structure. Preliminary Ratings Assigned First National Master Note Trust - Series 2009-1 Class Rating Amount ($) ----- ------ ---------- A AAA 600,000,000 B A 112,500,000 C BBB 49,342,000 D BB 27,632,000 GULF STREAM-COMPASS: Moody's Downgrades Ratings on 2003-I Notes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Gulf Stream-Compass CLO 2003-I, Ltd.: -- US$232,500,000 Class A Floating Rate Senior Notes Due 2015, Downgraded to A1; previously on March 20, 2009, Aaa Placed Under Review for Possible Downgrade; -- US$12,700,000 Class B Floating Rate Senior Notes Due 2015, Downgraded to Baa2; previously on March 20, 2009, Aa2 Placed Under Review for Possible Downgrade; -- US$8,000,000 Class E Floating Rate Notes Due 2015, Downgraded to C; previously on March 20, 2009, Downgraded to Caa3 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings on these notes: -- US$10,950,000 Class C Floating Rate Deferrable Senior Subordinated Notes Due 2015 Confirmed at Ba3; previously on March 20, 2009, Downgraded to Ba3 and Placed Under Review for Possible Downgrade; -- US$11,850,000 Class D Floating Rate Senior Subordinated Notes Due 2015, Confirmed at B3; previously on March 20, 2009, Downgraded to B3 and Placed Under Review for Possible Downgrade. 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." Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research (Moody's Special Comment titled "Strong Loan Issuance in Recent Years Signals Low Recovery Prospects for Loans and Bonds of Defaulted U.S. Corporate Issuers" dated June 2008). 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 has steadily increased over the last year and it is currently at 2924 versus a test level of 2300 as of the last trustee report, dated April 15, 2009. Based on the same report, defaulted securities total approximately $22 million accounting for roughly 8% of the collateral balance and securities rated Caa1 or lower make up approximately 15% of the underlying portfolio. Additionally, interest payments on the Class D and Class E Notes are presently being deferred as a result of the failure of the Class AB and Class C Overcollateralization Tests. Gulf Stream-Compass CLO 2003-I, Ltd., issued in August 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. GREEN TREE: Fitch Cuts Rating on Three Certificates to 'C/RR5' -------------------------------------------------------------- Fitch Ratings has taken these rating actions on the Green Tree Recreational, Equipment & Consumer Trust transactions: Green Tree Recreational, Equipment & Consumer Trust 1996-B -- Certificate downgraded to 'CC/RR4' from 'CCC/DR2'; Green Tree Recreational, Equipment & Consumer Trust 1996-C -- Certificate downgraded to 'CC/RR2' from 'CCC/DR2'; Green Tree Recreational, Equipment & Consumer Trust 1996-D -- Certificate downgraded to 'CC/RR2' from 'CCC/DR2'; Green Tree Recreational, Equipment & Consumer Trust 1997-A -- Certificate downgraded to 'C/RR5' from 'CC/DR3'; Green Tree Recreational, Equipment & Consumer Trust 1997-D -- Certificate downgraded to 'CC/RR2' from 'CCC/DR2'; Green Tree Recreational, Equipment & Consumer Trust 1998-B -- B-2 Certificate recovery rating revised to 'C/RR5' from 'C/DR5'; Green Tree Recreational, Equipment & Consumer Trust 1998-B -- B-2 Certificate recovery rating revised to 'C/RR6' from 'C/DR6'. The downgrades are a result of higher than expected cumulative net losses as well as under collateralization of the respective transactions. Fitch's recovery expectations are based on collateral-specific cash flow expectations. Fitch's Recovery Ratings are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money. The securities are backed by a pool of secured loans consisting primarily of marine and recreational vehicles made by Conseco Finance Corp. (originally Green Tree Financial Corporation). The loans are now serviced by Green Tree Servicing LLC, a byproduct of Conseco Inc.'s 2003 restructuring. GTS is currently rated 'RPS2' as a residential mortgage servicer by Fitch. Fitch will continue to closely monitor performance of the transactions and may raise, lower, or withdraw ratings as appropriate. HARBOURVIEW CDO: Fitch Junks Ratings on Class A Notes from 'B/DR2' ------------------------------------------------------------------ Fitch Ratings has downgraded one and affirmed one class of notes issued by HarbourView CDO III, Ltd.: -- $66,463,229 class A Notes downgraded to 'CCC' from 'B/DR2'; 'DR2' withdrawn; -- $22,500,000 class B Notes affirmed at 'C'; 'DR6' withdrawn. The rating actions to the notes are the result of the continued deterioration of the underlying portfolio. According to the April 2009 trustee report, assets deemed defaulted comprise 36.9%, or $32.2 million, of the current portfolio. In addition, after making standard adjustments for Rating Watch and Outlook Negative status as described in the Structured Finance CDO rating criteria, assets rated below investment grade comprise 51.2% of the current portfolio, including 46.7% rated in the 'CCC' and lower category. The continuous deterioration of the portfolio has caused further erosion to each of the overcollateralization ratios. The class A/B and class C OC ratios are currently at 62.3% and 44.5%, respectively, versus the respective triggers of 106% and 101%. HarbourView III entered an event of default in March 2005, due to the aggregate principal balance of the collateral debt securities falling below the combined outstanding balance of the class A and B notes. Subsequently, the majority of the class A noteholders elected to accelerate the transaction. Since June 2005, all collected interest proceeds have been used to pay transaction related fees and expenses, hedge counterparty payments, and class A current interest. The remaining interest proceeds have been used to amortize the class A notes On the last payment date in March 2009, $1.8 million, or 0.6%, of the original principal balance of class A notes has been amortized, bringing its balance to approximately $66.5 million, or 51% of the current capital structure. To date, collectively $244.8 million, 78.7%, of the class A notes' principal has amortized down. Fitch expects the notes to continue receiving their quarterly interest payments in the foreseeable future. Nevertheless, given the composition and performance of the portfolio, Fitch projects that only a portion of the class A notes principal balance will be repaid by the stated maturity date in September 2036 As a result of the acceleration, interest to the class B notes has been paid-in-kind since June 2005, whereby the principal balance of the notes has been written up by the amount of interest owed. Fitch does not expect this class of notes to receive any future payments. HarbourView III is a cash flow CDO that closed on April 24, 2001, and is managed by HarbourView Asset Management Corporation. Current portfolio is comprised of: 32% commercial and consumer asset-backed securities, 28.2% residential mortgage-backed securities, of which 13.1% are subprime RMBS; 18.9% senior unsecured REIT debt; 12.9% commercial mortgage-backed securities; 5.7% high yield corporate CDOs, and 2.2% senior unsecured corporate bond. Fitch will continue to monitor and review this transaction for future rating adjustments. HELIOS FINANCE: Moody's Junks Ratings on Class B-3 & B-4 Notes -------------------------------------------------------------- Moody's has confirmed one and downgraded the ratings of three credit-linked notes issued by HELIOS Finance Limited Partnership 2007-S1 and HELIOS Finance Corporation 2007-S1 as co-issuers. These rating actions conclude the review of the securities that were previously placed on review for possible downgrade on April 15, 2009. The Notes were issued in connection with a credit default swap tied to a reference portfolio, under which Wachovia Bank, National Association is the protected party. The reference portfolio consists of loans originated and serviced by Wachovia Dealer Services, Inc. (formerly WFS Financial Inc.). Wachovia Dealer Services, Inc. is a wholly-owned subsidiary of Wachovia Bank, which, as of December 31, 2008, is a wholly-owned subsidiary of Wells Fargo & Company. The rating actions reflect Moody's updated higher loss expectations relative to current levels of credit enhancement. Moody's outlook for the U.S. vehicle sector is negative. The economy will drive loss rates, particularly unemployment. The downgrades primarily reflect the impact of the economic downturn, heightened by an overweight in California for the loans in the reference portfolio. Moody's currently anticipates the transaction to incur lifetime cumulative net losses between 6.00% and 7.00%. Moody's had originally expected cumulative net losses to be between 3.00% and 4.50%. Complete rating actions are: Co-Issuers: HELIOS Finance Limited Partnership 2007-S1 and HELIOS Finance Corporation 2007-S1 Credit-Linked Notes, Series 2007-S1 -- Class B-1 Notes, Confirmed Baa3, previously on April 15, 2009, Baa3 Placed on Review for Possible Downgrade -- Class B-2 Notes, Downgraded to B3, previously on April 15, 2009, Ba2 Placed on Review for Possible Downgrade -- Class B-3 Notes, Downgraded to C, previously on April 15, 2009, B1 Placed on Review for Possible Downgrade -- Class B-4 Notes, Downgraded to C, previously on April 15, 2009, B3 Placed on Review for Possible Downgrade JP MORGAN: Fitch Junks Ratings on Three Classes ----------------------------------------------- Fitch Ratings has downgraded and assigned Rating Outlooks to J.P. Morgan Chase Commercial Mortgage Securities 2004-C2: -- $11.6 million class F to 'BBB' from 'BBB+'; Outlook Negative; -- $7.8 million class G to 'BBB-' from 'BBB'; Outlook Negative; -- $11.6 million class H to 'BB+' from 'BBB-'; Outlook Negative; -- $6.5 million class J to 'BB' from 'BB+'; Outlook Negative; -- $5.2 million class K to 'B+' from 'BB'; Outlook Negative; -- $2.6 million class L to 'B' from 'BB-'; Outlook Negative. In addition, Fitch has downgraded and assigned Recovery Ratings to these classes: -- $5.2 million class M to 'CCC/RR1' from 'B+'; -- $2.6 million class N to 'CCC/RR1' from 'B'; -- $3.9 million class P to 'CC/RR3' from 'B-'. Fitch has also affirmed and assigned Rating Outlooks to these classes: -- $5.7 million class A-1 at 'AAA'; Outlook Stable; -- $100 million class A-2 at 'AAA'; Outlook Stable; -- $431.4 million class A-3 at 'AAA'; Outlook Stable; -- $241.5 million class A-1A at 'AAA'; Outlook Stable; -- Interest Only class X at 'AAA'; Outlook Stable; -- $24.6 million class B at 'AA'; Outlook Stable; -- $10.4 million class C at 'AA-'; Outlook Stable; -- $24.6 million class D at 'A'; Outlook Stable; -- $9.1 million class E at 'A-'; Outlook Negative; -- $5.5 million class RP-1 at 'A'; Outlook Stable; -- $4.3 million class RP-2 at 'A-'; Outlook Stable; -- $4.5 million class RP-3 at 'BBB+'; Outlook Stable; -- $4.9 million class RP-4 at 'BBB'; Outlook Stable; -- $7.4 million class RP-5 at 'BBB-'; Outlook Stable. Fitch does not rate the $13.7 million class NR. The RP certificates represent an interest in a subordinate note secured by the Republic Plaza property. The downgrades are the result of an increase in specially serviced assets and expected losses since Fitch's last rating action. Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. The Negative Outlooks reflect the increase in Fitch Loans of Concern. As of the May 2009 distribution date, the pool's aggregate principal balance had decreased by 11.4% to $941.8 million from $1.06 billion at issuance. Eleven loans are fully defeased (6.5%) and the third largest loan in the pool is partially defeased. Fitch has identified 25 Loans of Concern (12.5%), including four loans in special servicing (3.1%). The largest specially serviced asset (1.4%) is a 134,510 square foot retail plaza located in Temecula, California. The loan transferred to special servicing in May 2009 for imminent default as vacancy increased to 43% after a large local grocery tenant filed for bankruptcy and closed its store. The second largest specially serviced asset (1.2%) is a 312 unit multifamily property located in Fort Worth, Texas. The loan transferred to special servicing in January 2009 for payment default. The borrower is seeking a loan modification. The servicer reported occupancy as of April 2009 was 91%. The largest Fitch Loan of Concern not in special servicing (1.9%) is secured by a an office property located in Chula Vista, California. Occupancy has declined to 77% as of April 2009, and approximately 30% of the remaining space has upcoming lease expirations. Fitch maintains investment-grade shadow ratings on two loans in the trust: Somerset Collection (12.3%) and Republic Plaza (10.3%). The Somerset Collection loan is secured by 755,804 square feet of a 1.4 million sf regional mall located in Troy, Michigan. The mall has experienced stable performance since issuance. The servicer reported occupancy as of year end 2008 was 97% compared to 97.6% at issuance. Significant anchor tenants include Saks, Nordstrom, Neiman Marcus and Macy's. The collateral for the Republic Plaza loan is a 1.3 million sf office building located in Denver, Colorado. The whole loan consists of two A-note pieces, one of which is the $107 million trust balance and the other is comprised of $28 million in non- pooled RP certificates, in addition to a $35 million B-note, which is not held in the trust. Occupancy at the property has improved and stabilized, reaching 97.8% as of March 2009 compared to 79.9% at issuance. A large tenant vacated in December 2008, however another tenant has leased the space through 2019. Brookfield Properties is the loan sponsor. Two loans are scheduled to mature in 2009 (1.9%). These loans have a servicer reported YE 2008 weighted average debt service coverage ratio of 1.74 times (x) with a weighted average coupon of 5.04%. There are two loans scheduled to mature in 2010 (2.3%) and they are defeased. JPMORGAN RV: Moody's Cuts Rating on Class A-2 Notes to B2 --------------------------------------------------------- Moody's downgraded the Class A-2 notes from JPMorgan RV Marine Trust 2004-A transaction. The transaction is sponsored by JPMorgan Chase Bank, N.A., and serviced by Vericrest Financial Inc. The downgrade was prompted by the deterioration in performance of the collateral pool. Moody's currently anticipates that the collateral pool will incur lifetime cumulative net losses of approximately 11.00% to 12.00%, up from approximately 5.00% at the time of closing. The deterioration in the performance of the Marine and RV transactions have coincided with the challenging economic environment that has put pressure on the performance of the pools of loans related to luxury and non-essential goods in general. In light of the withdrawal of FGIC's insurance financial strength ratings on March 25, 2009, Moody's ratings on structured finance securities that are guaranteed or "wrapped" by FGIC are based solely on the current underlying rating (i.e., absent consideration of the guaranty) on the security, regardless of whether the underlying rating had been previously published or not. Complete rating actions are: Issuer: JPMorgan RV Marine Trust 2004-A -- Class A-2, Downgraded to B2 from Baa3; previously on April 2, 2009, Baa3 Placed Under Review for Possible Downgrade LB-UBS COMMERCIAL: Moody's Affirms Ratings on Nine 2005-C2 Certs. ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of nine classes and downgraded 13 classes of LB-UBS Commercial Mortgage Trust 2005-C2, Commercial Mortgage Pass-Through Certificates, Series 2005-C2. The downgrades are due to higher expected losses for the pool resulting from increased leverage, increased credit quality dispersion, anticipated losses from specially serviced loans and concerns about loans approaching maturity. Nine loans, representing 14% of the pool, mature within the next 12 months. Four of these loans, representing 8% of the pool, have a Moody's stressed debt service coverage ratio less than 1.0x. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 15, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 10% to $1.74 billion from $1.94 billion at securitization. The Certificates are collateralized by 105 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top 10 loans representing 61% of the pool. The pool includes three loans, representing 14% of the pool, with investment grade underlying ratings. At securitization a fourth loan, the Macquarie DDR Portfolio ($157.3 million -- 9.0%) also had an underlying rating. However, the performance of this loan declined and it is now analyzed as part of the conduit pool. Thirty loans, representing 8% 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. The pool has not experienced any losses since securitization. There are currently 12 loans, representing 4% of the pool, in special servicing. Moody's estimates an aggregate $26.2 million loss (42% severity on average) from the specially serviced loans. Moody's was provided with full-year and partial-year 2008 operating results for 50% and 37%, respectively, of the pool. Moody's average weighted loan to value ratio ratio for the conduit component, excluding specially serviced loans, is 109% compared to 103% at Moody's prior full review in May 2007. In addition to increased leverage, the pool has experienced increased credit quality dispersion since last review. Based on Moody's analysis, 30% of the conduit pool has a LTV in excess of 120% compared to 2% at last review. The largest loan with an underlying rating is the 909 Third Avenue Loan ($212.9 million -- 12.2%), which is secured a 1.3 million square foot office building located in midtown Manhattan. The building was 96% occupied as of January 2009 compared to 100% at last review. The largest tenant is the U.S. Post Office, which occupies 38% of the building through October 2013. Performance has been stable. Moody's current underlying rating is Baa3, the same as at last review. The second loan with an underlying rating is the 895 Broadway Loan ($14.2 million -- 0.8%), which is secured by a 72,000 square foot office building located in the East Midtown South submarket of New York City. The property is 100% leased to three tenants, the same as at last review. The largest tenant is the Equinox Fitness Center, which occupies 81% of the property. All of the leases expire in December 2014. Performance has been stable. Moody's underlying rating is Baa2, the same as at last review. The third loan with an underlying rating is the Hartz Fee Portfolio Loan ($13.5 million -- 0.8%), which is secured by a leased fee interest in Secaucus, New Jersey. The land is improved with two limited service hotels totaling 291 guestrooms and a 45,000 square foot retail building. The retail building, which was under construction at securitization, was originally 100% occupied by Linen's N Things. Linen's N Things declared bankruptcy in 2008 and vacated the property. The property is now leased to Raymours Furniture. The credit quality of the loan has declined due to decline in the performance of both the hotel and retail sectors. The loan is interest only for its entire term. Moody's current underlying rating is Baa2 compared to Aa2 at last review. The fourth loan which had an underlying rating at securitization is the Macquarie DDR Portfolio II Loan ($157.2 million -- 9.0%), which is secured by the borrower's interest in eight retail centers (1.8 million square feet of collateral) located in five states. The loan represents an 85.6% pari-passu interest in a $183.7 million loan. The portfolio's weighted average occupancy was 94% as of December 2008 compared to 99% at last review. Part of the decline in occupancy is due to the bankruptcy of Linens' N Things, which vacated in 2008. Performance has declined due to decreased rental revenues. The loan is interest only for its entire term. Moody's current LTV is 82% compared to 66% at last review. The three largest conduit loans represent 21.5% of the pool. The largest conduit loan is the Woodbury Office Portfolio - II Loan ($161.4 million -- 9.3%), which is secured by 22 buildings totaling 1.1 million square feet. All of the properties are located in Woodbury (Nassau County), New York. The portfolio was 97% occupied as of September 2008 compared to 99% at last review and 96% at securitization. Although the occupancy has been stable, the portfolio has not achieved the rental revenues originally projected and performance has declined since last review. Moody's LTV is 138% compared to 107% at last review. The second largest conduit loan is the Civica Office Commons Loan ($113.5 million -- 6.5%), which is secured by a 305,835 square foot office building complex located in Bellevue, Washington. The complex was 95% occupied as of December 2008 compared to 100% at last review and securitization. The largest tenant is Wells Fargo Bank, which occupies 24% of the property through June 2018. Performance has been stable. The loan is interest only for its entire term. Moody's LTV is 106% compared to 107% at last review. The third largest conduit loan is the Park 80 West Loan ($100.0 million -- 5.7%), which is secured by a 490,000 square foot office complex located in Saddle Brook (Bergen County), New Jersey. The property was 85% occupied as of September 2008 compared to 91% at last review and securitization. The property's performance has declined since last review due to decreased rental revenues and increased expenses. The loan is interest only for its entire term. Moody's LTV is 127% compared to 110% at last review. Moody's rating action is: -- Class A-2, $419,022,971, affirmed at Aaa; previously affirmed at Aaa on May 10, 2007 -- Class A-3, $81,000,000, affirmed at Aaa; previously affirmed at Aaa on May 10, 2007 -- Class A-4, $304,700,000, affirmed at Aaa; previously affirmed at Aaa on May 10, 2007 -- Class A-AB, $76,000,000, affirmed at Aaa; previously affirmed at Aaa on May 10, 2007 -- Class A-5, $470,704,000, affirmed at Aaa; previously affirmed at Aaa on May 10, 2007 -- Class A-J, $121,684,000, affirmed at Aaa; previously affirmed at Aaa on May 10, 2007 -- Class B, $13,941,000, affirmed at Aa1; previously affirmed at Aa1 on May 10, 2007 -- Class C, $29,204,000, downgraded to Aa3 from Aa2; previously affirmed at Aa2 on May 10, 2007 -- Class D, $38,939,000, downgraded to A1 from Aa3; previously affirmed at Aa3 on May 10, 2007 -- Class E, $41,372,000, downgraded to Baa1 from A2; previously affirmed at A2 on May 10, 2007 -- Class F, $17,036,000, downgraded to Baa2 from A3; previously affirmed at A3 on May 10, 2007 -- Class G, $17,036,000, downgraded to Baa3 from Baa1; previously affirmed at Baa1 on May 10, 2007 -- Class H, $17,035,000, downgraded to Ba2 from Baa2; previously affirmed at Baa2 on May 10, 2007 -- Class J, $29,204,000, downgraded to B2 from Baa3; previously affirmed at Baa3 on May 10, 2007 -- Class K, $17,036,000, downgraded to B3 from Ba1; previously affirmed at Ba1 on May 10, 2007 -- Class L, $7,301,000, downgraded to Caa1 from Ba2; previously affirmed at Ba2 on May 10, 2007 -- Class M, $2,434,000, downgraded to Caa3 from Ba3; previously affirmed at Ba3 on May 10, 2007 -- Class N, $4,867,000, downgraded to Caa3 from B1; previously affirmed at B1 on May 10, 2007 -- Class P, $4,867,000, downgraded to Caa3 from B2; previously affirmed at B2 on May 10, 2007 -- Class Q, $4,868,000, downgraded to Ca from Caa1; previously downgraded to Caa1 from B3 on May 10, 2007 -- Class X-CL, Notional, affirmed at Aaa; previously affirmed at Aaa on May 10, 2007 -- Class X-CP, Notional, affirmed at Aaa; previously affirmed at Aaa on May 10, 2007 LONGRIDGE ABS: S&P Downgrades Ratings on 10 Classes of Notes to D ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D' on 10 classes of notes issued by Longridge ABS CDO II Ltd., a hybrid mezzanine structured finance collateralized debt obligation transaction, following the liquidation of the collateral in the transaction's portfolio. S&P subsequently withdrew its ratings on the transaction. S&P lowered its ratings on the tranches to 'D' because the transaction did not have proceeds to make payments in full to the noteholders after making the termination payments in the credit default swap contract. The deal triggered an event of default on Feb. 13, 2008, after which, a majority of the controlling class subsequently voted to accelerate the maturity of the notes and liquidate the collateral assets. The current rating actions follow notice from the trustee that the liquidation of the portfolio assets is complete and that the available proceeds have been distributed to the noteholders. S&P subsequently withdrew the ratings because the note balances have been reduced to zero. Rating Actions Longridge ABS CDO II Ltd. Rating ------ Class To Interim From ----- -- ------- ---- A1S notes NR D CC A1J notes NR D CC A2S notes NR D CC A2J notes NR D CC A3S notes NR D CC A3J notes NR D CC B1 notes NR D CC B2 notes NR D CC B3 notes NR D CC C notes NR D CC MAINE EDUCATIONAL: Moody's Reviews Ratings on Six Classes of Bonds ------------------------------------------------------------------ Moody's Investors Service has placed under review for possible downgrade the ratings of six classes of senior bonds and one class of subordinate bonds issued by Maine Educational Loan Marketing Corporation. The bonds include auction rate securities and fixed rate bonds; the underlying collateral includes a pool of government guaranteed (FFELP) student loans. The actions were prompted primarily by the liquidity constraint that the trust is anticipated to encounter in order to pay down $38.5 million of senior and subordinate bonds maturing on November 1, 2009. In addition, the trust has experienced a significant increase of funding costs due to the continuing and prolonged dislocation of the auction rate securities market. Since most student loan collateral is indexed to the Financial Commercial Paper rate, the trusts that are funded primarily by auction rate securities have suffered significant excess spread compression, as the yield on the assets has not increased in tandem with the cost of the liabilities. As of March 31, 2009, the total parity for the entire trust at the subordinate bond level (i.e. the ratio of total assets to total liabilities) was 103.62%. The senior parity, or the ratio of total assets to the sum of senior bonds and accrued liabilities was 107.23%. At the time the trust had approximately $13 million in cash on the balance sheet, which is not sufficient to retire the $38.5 million of senior and subordinate bonds maturing on November 1 2009. In addition, at the failed auction rate, the trust is currently expected to generate negative 20-40bps of excess spread per annum. The current total credit enhancement available for senior bonds, including overcollateralization, reserve fund and other cash accounts, and excess spread generated under the stress scenario, may not be sufficient to support the current rating. The complete rating actions are: Issuer: Maine Educational Loan Marketing Corporation, Master Trust Indenture Series 1994, Series 1996, Series 1997, Series 1999 -- Ser. 1994A-2, Aa3 and Placed Under Review for Possible Downgrade; previously on June 19, 2008, Downgraded to Aa3 from Aaa -- Ser. 1994A-3, Aa3 and Placed Under Review for Possible Downgrade; previously on June 19, 2008, Downgraded to Aa3 from Aaa -- Ser. 1996A-2, Aa3 and Placed Under Review for Possible Downgrade; previously on June 19, 2008, Downgraded to Aa3 from Aaa -- Financial Guarantor: Ambac Assurance Corporation (Ba3) -- Ser. 1997A-2, Aa3 and Placed Under Review for Possible Downgrade; previously on June 19, 2008, Downgraded to Aa3 from Aaa -- Financial Guarantor: Ambac Assurance Corporation (Ba3) -- Ser. 1999A-3, Aa3 and Placed Under Review for Possible Downgrade; previously on June 19, 2008, Downgraded to Aa3 from Aaa -- Financial Guarantor: Ambac Assurance Corporation (Ba3) -- Ser. 1999A-2, Aa3 and Placed Under Review for Possible Downgrade; previously on June 19, 2008, Downgraded to Aa3 from Aaa -- Financial Guarantor: Ambac Assurance Corporation (Ba3) -- Ser. 1994B-1, A2 and Placed Under Review for Possible Downgrade; previously on 11/17/2008 Placed on watch for Uncertain with A2 rating assigned on 2/16/1999 MORGAN STANLEY: Moody's Affirms Ratings on Eight 2001-TOP3 Certs. ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of eight classes and downgraded four classes of Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, Commercial Mortgage Pass-Through Certificates, Series 2001-TOP3 due to anticipated losses from specially serviced loans and concerns about several of the watchlisted loans. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 15, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 29% to $731.9 million from $1.0 billion at securitization. The Certificates are collateralized by 136 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top 10 non- defeased loans representing 31% of the pool. The pool contains one loan with an investment grade underlying rating, representing 5% of the pool. At securitization the 111 Pine Street Loan ($31.7 million -- 4.3%) also had an investment grade underlying rating. However, the performance of this loan has declined and it now is analyzed as part of the conduit pool. Eighteen loans, representing 15% of the pool, have defeased and are collateralized with U.S. Government securities. Seventeen loans, representing 9% 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. The largest watchlisted loan is the Detroit Center Tool Building Loan ($14.2 million -- 1.9%), which is secured by a 360,000 square foot industrial building located in Detroit, Michigan. The property is 100% leased to a single tenant through December 2009. The tenant has indicated that he does not plan to renew and the borrower does not have any prospects for the space at this time. Moody's current LTV for this loan is 127%. Four loans have been liquidated from the pool, resulting in an aggregate $1.6 million realized loss. There are three loans, representing 2% of the pool, currently in special servicing. Two of the loans are 60 days or more delinquent and the third is real estate owned. The largest specially serviced loan is Horizon Office Park ($9.6 million -- 1.3%), which is secured by a 174,755 square foot office building located in Grand Rapids, Michigan. The loan has been in special servicing since March 2007 and was 50% occupied as of January 2009. The loan is in the process of foreclosure. Moody's estimates an aggregate loss of $11.1 million (64% loss severity on average) for the specially serviced loans. Moody's was provided with partial or full-year 2008 operating results for 92% of the pool, excluding the defeased loans. Moody's weighted average loan to value ratio for the conduit component, excluding the specially serviced loans, is 73% compared to 75% at Moody's prior review in August 2007. The loan with the underlying rating is the Federal Plaza Loan ($32.9 million -- 4.5%), which is secured by a 242,000 square foot anchored retail center located approximately 20 miles north of Washington, D.C. in Rockville, Maryland. The center was 96% occupied as of February 2009 compared to 99% at last review. Major tenants include T.J.Maxx and Ross Dress for Less. Performance has been stable since last review. Moody's current underlying rating is A3, the same as at last review. The top three non-defeased conduit loans represent 14.7% of the outstanding pool balance. The largest conduit loan is the 140 Kendrick Street Loan ($51.6 million -- 7.1%), which is secured by three office buildings located in Needham, Massachusetts. The buildings total 381,000 square feet and are 100% leased to Parametric Technology Corporation as its corporate headquarters through November 2012. Although the property's performance has been stable, Moody's valuation reflects a stressed cash flow because Parametric's occupancy level and rent is significantly above current market levels. Moody's current LTV is 83% compared to 62% at last review. The second conduit loan is the 111 Pine Street Loan ($31.7 million -- 4.3%), which is secured by a 216,000 square foot office building located in the Financial District of San Francisco, California. The property was 81% occupied as of February 2009 compared to 100% at last review. The largest tenant is First Republic Bank which occupies 53% of the property's net rentable area through November 2010. Although the property's performance has been stable, Moody's valuation reflects a stressed cash flow because in-place rents are above current market levels. Moody's current LTV is 92% compared to 89% at last review. The third largest conduit loan is the York Galleria Loan ($24.0 million -- 3.3%), which is secured by the borrower's interest in a 769,300 square foot regional mall located in York, Pennsylvania. The loan represents a 50% interest in a $48 million loan. The mall is anchored by Sears, J.C. Penney, Boscov's and Bon Ton. The inline space was 99% occupied as of December 2008 compared to 96% at last review. Although occupancy has been stable, the property's 2008 net operating income was 9% lower than in 2007. The decline in performance has been partially mitigated by amortization. The loan has amortized 2% since last review. Moody's LTV is 82% compared to 78% at last review. Moody's rating action is: -- Class A-4, $579,209,617, affirmed at Aaa; previously affirmed at Aaa on August 9, 2007, -- Class X-1, Notional, affirmed at Aaa; previously affirmed at Aaa on August 9, 2007, -- Class B, $30,843,000, affirmed at Aaa; previously affirmed at Aaa on August 9, 2007, -- Class C, $28,273,000, affirmed at Aa2; previously upgraded to Aa2 from A1 on August 9, 2007, -- Class D, $12,852,000, affirmed at A1; previously upgraded to A1 from A3 on August 9, 2007, -- Class E, $17,992,000, affirmed at Baa2; previously affirmed at Baa2 on August 9, 2007, -- Class F, $11,566,000, affirmed at Baa3; previously affirmed at Baa3 on August 9, 2007, -- Class G, $11,566,000, affirmed at Ba1; previously affirmed at Ba1 on August 9, 2007, -- Class H, $10,281,000, downgraded to Ba3 from Ba2; previously affirmed at Ba2 on August 9, 2007, -- Class J, $8,996,000, downgraded to B3 from B1; previously affirmed at B1 on August 9, 2007, -- Class L, $5,140,000, downgraded to Caa3 from B3; previously affirmed at B3 on August 9, 2007, -- Class M, $2,570,000, downgraded to Ca from Caa1; previously affirmed at Caa1 on August 9, 2007 MASTR ASSET: Moody's Downgrades Ratings on 29 Securities -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 29 securities from 9 transactions issued by MASTR. 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 affected 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 50% to 75%. 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 follow: MASTR Asset Backed Securities 2002-OPT1 -- Cl. M-6, Downgraded to Ca; previously on 12/14/2007 Downgraded to Caa2 MASTR Asset Backed Securities Trust 2003-OPT1 -- Cl. MF-5, Downgraded to Caa1; previously on 3/6/2003 Assigned Baa3 -- Cl. MV-5, Downgraded to Caa1; previously on 3/6/2003 Assigned Baa3 MASTR Asset Backed Securities Trust 2003-OPT2 -- Cl. M-4, Downgraded to Ba1; previously on 6/4/2003 Assigned Baa2 -- Cl. M-5, Downgraded to Ca; previously on 6/4/2003 Assigned Baa3 MASTR Asset Backed Securities Trust 2003-WMC1 -- Cl. M-2, Downgraded to Baa2; previously on 6/4/2003 Assigned A2 -- Cl. M-3, Downgraded to Baa3; previously on 6/4/2003 Assigned A3 -- Cl. M-4, Downgraded to Ba1; previously on 6/4/2003 Assigned Baa1 -- Cl. M-5, Downgraded to Ba2; previously on 6/4/2003 Assigned Baa2 -- Cl. MF-6, Downgraded to Ba3; previously on 6/4/2003 Assigned Baa3 -- Cl. MV-6, Downgraded to Ba3; previously on 6/4/2003 Assigned Baa3 MASTR Asset Backed Securities Trust 2004-FRE1 -- Cl. M-8, Downgraded to Caa2; previously on 12/27/2007 Downgraded to Baa3 -- Cl. M-9, Downgraded to C; previously on 12/27/2007 Downgraded to Ba2 -- Cl. M-10, Downgraded to C; previously on 12/27/2007 Downgraded to Caa2 MASTR Asset Backed Securities Trust 2004-WMC2 -- Cl. M-2, Downgraded to Baa2; previously on 11/14/2007 Upgraded to A1 -- Cl. M-3, Downgraded to Baa3; previously on 9/20/2004 Assigned A3 -- Cl. M-4, Downgraded to Ba3; previously on 9/20/2004 Assigned Baa1 -- Cl. M-5, Downgraded to C; previously on 9/20/2004 Assigned Baa2 -- Cl. M-6, Downgraded to C; previously on 11/14/2007 Downgraded to B1 MASTR Asset Backed Securities Trust 2004-WMC3 -- Cl. M-3, Downgraded to Baa2; previously on 1/27/2005 Assigned Aa3 -- Cl. M-4, Downgraded to Baa3; previously on 1/27/2005 Assigned A1 -- Cl. M-5, Downgraded to Ba2; previously on 1/27/2005 Assigned A2 -- Cl. M-6, Downgraded to B2; previously on 1/27/2005 Assigned A3 -- Cl. M-7, Downgraded to C; previously on 1/27/2005 Assigned Baa1 -- Cl. M-8, Downgraded to C; previously on 1/27/2005 Assigned Baa2 -- Cl. M-9, Downgraded to C; previously on 1/27/2005 Assigned Baa3 MASTR Asset Securitization Trust 2002-NC1 -- Cl. M-4, Downgraded to Caa2; previously on 11/6/2002 Assigned Baa3 MASTR Asset Securitization Trust 2003-NC1 -- Cl. M-5, Downgraded to Baa3; previously on 8/25/2003 Assigned Baa2 -- Cl. M-6, Downgraded to Ba2; previously on 8/25/2003 Assigned Baa3 MID-STATE TRUST: Moody's Junks Rating on Class B Notes ------------------------------------------------------ Moody's has downgraded the rating on five notes issued by two Mid- State Trust transactions. The Mid-State Trust VIII note is guaranteed by Ambac Assurance Corporation (currently rated Ba3). Moody's ratings on securities that are guaranteed or "wrapped" by a financial guarantor are the higher of: a) the rating of the guarantor or b) the underlying rating. As part of evaluating the current ratings for insured securities, Moody's Investors Service also reviewed the underlying rating. The underlying rating reflects the intrinsic credit quality of the security in the absence of the guarantee. Mid-State Trust transactions are backed by manufacturing home collateral. When analyzing ratings (underlying ratings on securities that are guaranteed) for MH transactions, Moody's projects cumulative losses for each deal based on a collateral analysis of the deal's Constant Prepayment Rate and Constant Default Rate. CPR is based on the average of the last six months 1-month CPR. There are three approaches for determining pool CDR. The first approach calculates CDR based on pool loan losses from the previous twelve months, i.e. recent losses. A second approach is based on pipeline defaults -- derived from days-aged delinquencies and Moody's assumptions for default based on days delinquent or REO. The third approach calculates the default to liquidation which linearly extrapolates future losses based on the current cumulative loss given the current pool factor. For Mid-State pools, Moody's assumed a loss severity ranging from 50-60%. After CDR is calculated using the three methods, the effective CDR for loss projection purposes is determined by using a weighted average of the CDRs with weightings determined on a transaction by transaction basis. Moody's will project future CDR rates based on delinquency and loss trends. For the actions noted above, in most cases, Moody's has assumed that CDR will remain constant over the life of each deal. A sudden reversal in the existing trend of projected defaults and losses is not anticipated for these deals as they are well seasoned. Based on calculated CPR and CDR, Moody's calculates projected deal-specific cumulative losses and the weighted average life of the deal. The credit enhancement calculation may also include credit for excess spread, i.e. the aggregate, positive difference in the weighted average loan coupon and the all-inclusive securities' interest and deal fees, including servicing. Excess spread benefit is calculated by multiplying the stressed annualized excess spread by the weighted average life of the deal. Aggregate credit enhancement which combines subordination benefit (including overcollateralization and/or reserve accounts) and support from letters of credit or guarantees and excess spread benefit, is compared with projected cumulative losses for the deal to derive coverage multiples and associated ratings by tranche. Moody's will analyze tranche coverage multiples after consideration of tranche-specific loss allocation and timing of principal repayment. Complete rating action is: Issuer: Mid-State Trust VIII -- Asset-Backed Notes, Downgraded to Ba3; previously on 11/17/2008 Upgraded to Aa2. -- Financial Guarantor: Ambac Assurance Corporation (Downgraded to Ba3 from Baa1 on April 13, 2009; previously on Mar 3, 2009 Baa1 placed on review for downgrade) Issuer: Mid-State Capital Corporation 2004-1 Trust -- Cl. A, Downgraded to Aa2; previously on 8/30/2004 Assigned Aaa -- Cl. M-1, Downgraded to A3; previously on 8/30/2004 Assigned Aa2 -- Cl. M-2, Downgraded to Ba3; previously on 8/30/2004 Assigned A2 -- Cl. B, Downgraded to Caa3; previously on 8/30/2004 Assigned Baa2 NOMURA CBO: Fitch Downgrades Rating on 1997-1 Notes to 'D' ---------------------------------------------------------- Fitch Ratings has downgraded and withdrawn the rating on Nomura CBO 1997-1, Ltd.: -- $23,749,845 class B notes to 'D' from 'C/RR6'; withdrawn. Nomura 1997-1 is a collateralized bond obligation managed by Nomura Corporate Research and Asset Management Inc. that closed April 29, 1997. The transaction failed to pay the outstanding notional on class B upon reaching the final maturity date on May 15, 2009. The rating of the class B notes addresses 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. REAL ESTATE: Moody's Junks Ratings on 12 Tranches on 10 Deals ------------------------------------------------------------- Moody's Investors Service has downgraded ratings on 56 tranches on 10 deals from Real Estate Synthetic Investment Securities. All affected deals are residential mortgage-backed Credit Linked Notes. These synthetic transactions provide the owner of a sizable pool of mortgages as the "Protection Buyer" credit protection through a credit default swap with the issuer as the "Protection Seller" of the notes. Through this agreement, the Protection Buyer pays a fee in return for the transfer of a portion of the reference portfolio credit risk. Investors in the notes have an interest in the holdings of the issuer, which include highly rated investment instruments, a forward delivery agreement and fee collections on the agreement with the Protection Buyer. Investors are exposed to losses from the reference portfolio but benefit only indirectly from cash flows from these assets. Depending on the class of notes held, investors have credit protection from subordination. The reference portfolios of these transactions include prime conforming and nonconforming fixed-rate and adjustable-rate mortgages purchased from various originators. The actions are triggered by the quickly deteriorating performance of the reference portfolios -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions listed below reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: RESI Finance Limited Partnership 2005-A -- Cl. B1, Downgraded to A1; previously on 5/22/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to A2; previously on 5/22/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Baa2; previously on 5/22/2009 A2 Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to Baa3; previously on 5/22/2009 A3 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to B1; previously on 5/22/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. B6, Downgraded to B3; previously on 5/22/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. B7, Downgraded to Caa3; previously on 5/22/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. B8, Downgraded to Ca; previously on 5/22/2009 B1 Placed Under Review for Possible Downgrade RESI Finance Limited Partnership 2005-B -- Class A5 Notes, Downgraded to Aa3; previously on 5/22/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to A2; previously on 5/22/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Baa1; previously on 5/22/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Ba1; previously on 5/22/2009 A2 Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to Ba3; previously on 5/22/2009 A3 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to B3; previously on 5/22/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. B6, Downgraded to Caa1; previously on 5/22/2009 Ba2 Placed Under Review for Possible Downgrade RESI Finance Limited Partnership 2005-C -- Cl. A-5, Downgraded to A1; previously on 5/22/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Baa1; previously on 5/22/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Baa2; previously on 5/22/2009 A1 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Ba3; previously on 5/22/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to B2; previously on 5/22/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Caa2; previously on 5/22/2009 B3 Placed Under Review for Possible Downgrade RESI Finance Limited Partnership 2005-D -- Cl. A5 Notes, Downgraded to A3; previously on 5/22/2009 A1 Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Ba1; previously on 5/22/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Ba3; previously on 5/22/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to B3; previously on 5/22/2009 B1 Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to Caa3; previously on 5/22/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Ca; previously on 5/22/2009 Caa3 Placed Under Review for Possible Downgrade RESI Finance Limited Partnership 2006-A -- Cl. A4 Notes, Downgraded to Aa1; previously on 5/22/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A5 Notes, Downgraded to A3; previously on 5/22/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Ba1; previously on 5/22/2009 A1 Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Ba3; previously on 5/22/2009 A2 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Caa1; previously on 5/22/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to Ca; previously on 5/22/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Ca; previously on 5/22/2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. B6, Downgraded to Ca; previously on 5/22/2009 Caa3 Placed Under Review for Possible Downgrade RESI Finance Limited Partnership 2006-B -- Cl. A4 Notes, Downgraded to Aa3; previously on 5/22/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A5 Notes, Downgraded to A3; previously on 5/22/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Ba3; previously on 5/22/2009 A1 Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to B2; previously on 5/22/2009 A3 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Caa3; previously on 5/22/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to Ca; previously on 5/22/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Ca; previously on 5/22/2009 B3 Placed Under Review for Possible Downgrade -- Cl. B6, Downgraded to Ca; previously on 5/22/2009 Caa2 Placed Under Review for Possible Downgrade RESI Finance Limited Partnership 2006-C -- Cl. A2 Notes, Downgraded to Aa1; previously on 5/22/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A3 Notes, Downgraded to Aa3; previously on 5/22/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A4 Notes, Downgraded to A2; previously on 5/22/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A5 Notes, Downgraded to Ba1; previously on 5/22/2009 A1 Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Caa1; previously on 5/22/2009 A3 Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Ca; previously on 5/22/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Ca; previously on 5/22/2009 B3 Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to Ca; previously on 5/22/2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Ca; previously on 5/22/2009 Caa3 Placed Under Review for Possible Downgrade RESI Finance Limited Partnership 2007-A -- Cl. B3, Downgraded to Ca; previously on 5/22/2009 Caa3 Placed Under Review for Possible Downgrade RESI Finance Limited Partnership 2007-B -- Cl. B3, Downgraded to Ca; previously on 5/22/2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to Ca; previously on 5/22/2009 Caa3 Placed Under Review for Possible Downgrade RESI Finance Limited Partnership 2007-C -- Cl. B6 Notes, Downgraded to Ca; previously on 5/22/2009 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. RELIANT ENERGY: Moody's Affirms Ba1 Rating on Sr. Sec. Certs. ------------------------------------------------------------- Moody's Investors Service downgraded the long-term ratings of RRI Energy, including the Corporate Family Rating, to B1 from Ba3 and its Probability of Default Rating to B1 from Ba3. Moody's also downgraded the company's senior secured ratings to B1 from Ba3 and RRI's senior unsecured ratings to B2 from B1. The Reliant Energy Mid-Atlantic Power Hldgs., LLC senior secured pass-through certificates are confirmed at Ba1 and the Orion Power Holdings senior unsecured ratings are confirmed at Ba3. In addition, Moody's upgraded RRI's speculative grade liquidity rating to SGL-1 from SGL-2. These rating actions conclude the review for possible downgrade that was initiated on September 29, 2008. The rating outlook is stable. "RRI's cash flow generation and key financial credit metrics are declining due to reduced production volumes and margins" said Jim Hempstead, Senior Vice President "but the company is expected to also reduce its overall debt outstanding with the proceeds from the recent divestiture of its retail electric provider operations and the maturity of the OPH notes in May 2010." The upgrade of RRI's speculative grade liquidity rating to SGL-1 from SGL-2 reflects to sizeable cash balances, availability under its secured credit facility and ample headroom under its primary financial covenant. Moody's views management's stated intention to redeem the approximately $400 million Orion Power Holdings senior unsecured notes due in May 2010 as a credit positive, in part due to the elimination of debt and in part due to the simplified capital structure. "Managing the cash balances as part of the operating risk profile provides RRI with a reasonable cushion to weather the difficult and uncertain market conditions" added Mr. Hempstead "and with the company's pure focus on merchant generation, Moody's incorporate an expectation that additional announcements regarding a reduction in the targeted debt profile will be viewed positively for the credit." While the economic conditions and low commodity price environment are contributing to lower volumes and margins for this largely un- hedged merchant generator, RRI is well positioned with a B1 CFR which places the company behind NRG (Ba3 CFR), in-line with Mirant (B1 CFR) and ahead of Dynegy and Calpine (B2 CFR's), which seems to make sense given RRI's relatively lower debt load and prospects to improve their financial profile with improving market conditions. RRI's liquidity profile is strong, with approximately $1.4 billion in cash on the balance sheet. A portion of the retail sales proceeds (approximately $250 million) is expected to reduce senior secured debt at the parent. In addition, the Orion Power Holdings senior unsecured debt ($400 million due May 2010) is expected to be redeemed with cash. This action (OPH redemption) will serve to simplify RRI's capital structure to where the majority of the company's debt (secured and unsecured) resides at the parent holding company level, with the exception of the REMA pass-through certificates. RRI's ratings are benefited by the diversity of its approximately 14 GW's merchant fleet, from both a geographic and dispatch perspective, but are somewhat constrained by the operating performance and efficiency of the assets, as evidenced by the low fleet capacity factors. The ratings are further constrained by the company's exposure to steadily increasing environmental regulations, exposure to volatile commodity prices and the potential for carbon dioxide emission regulations. The last rating action on RRI occurred on December 1, 2008, when Moody's downgraded RRI's speculative grade liquidity rating to SGL-2 from SGL-1. On September 29, 2008, the ratings were placed on review for possible downgrade. RRI's ratings were assigned by evaluating factors believed to be relevant to its credit profile, such as i) the business risk and competitive position of RRI versus others within its industry or sector, ii) the capital structure and financial risk of RRI, iii) the projected performance of RRI over the near to intermediate term, and iv) RRI's history of achieving consistent operating performance and meeting financial plan goals. These attributes were compared against other issuers both within and outside of RRI's core peer group and RRI's ratings are believed to be comparable to ratings assigned to other issuers of similar credit risk. Headquartered in Houston, Texas, RRI is an independent power producer that owns a portfolio of approximately 14,000 MW's of electric generating assets. Downgrades: Issuer: Pennsylvania Economic Dev. Fin. Auth. -- Senior Secured Revenue Bonds, Downgraded to B1 from Ba3 Issuer: RRI Energy, Inc. -- Issuer Rating, Downgraded to B1 from Ba3 -- Probability of Default Rating, Downgraded to B1 from Ba3 -- Corporate Family Rating, Downgraded to B1 from Ba3 -- Multiple Seniority Shelf, Downgraded to a range of (P)B3 to (P)B1 from a range of (P)B2 to (P)Ba3 -- Senior Secured Regular Bond/Debenture, Downgraded to B1 from Ba3 -- Senior Unsecured Regular Bond/Debenture, Downgraded to B2 from B1 Upgrades: Issuer: Orion Power Holdings, Inc. -- Senior Unsecured Regular Bond/Debenture, Upgraded to LGD3, 35% from LGD3, 42% Issuer: Pennsylvania Economic Dev. Fin. Auth. -- Senior Secured Revenue Bonds, Upgraded to LGD3, 43% from a range of 49 - LGD3 to 48 - LGD3 Issuer: RRI Energy, Inc. -- Speculative Grade Liquidity Rating, Upgraded to SGL-1 from SGL-2 -- Senior Secured Regular Bond/Debenture, Upgraded to LGD3, 43% from LGD3, 48% -- Senior Unsecured Regular Bond/Debenture, Upgraded to LGD5, 74% from LGD5, 76% Issuer: Reliant Energy Mid-Atlantic Power Hldgs., LLC -- Senior Secured Pass-Through, Upgraded to LGD2, 12% from LGD2, 20% Outlook Actions: Issuer: Orion Power Holdings, Inc. -- Outlook, Changed To Stable From Rating Under Review Issuer: RRI Energy, Inc. -- Outlook, Changed To Stable From Rating Under Review Issuer: Reliant Energy Mid-Atlantic Power Hldgs., LLC -- Outlook, Changed To Stable From Rating Under Review Confirmations: Issuer: Orion Power Holdings, Inc. -- Senior Unsecured Regular Bond/Debenture, Confirmed at Ba3 Issuer: Reliant Energy Mid-Atlantic Power Hldgs., LLC -- Senior Secured Pass-Through, Confirmed at Ba1 RESIX FINANCE: Moody's Junks Ratings on Two 2005-A Tranches ----------------------------------------------------------- Moody's Investors Service has downgraded ratings on 2 tranches from RESIX Finance Ltd Credit-Linked Notes 2005-A. RESIX Finance Ltd Credit-Linked Notes 2005-A issued mortgage-backed Credit Linked Notes. This synthetic transaction provides the owner of a sizable pool of mortgages (the Protection Buyer) credit protection through a credit default swap with the issuer (the Protection Seller) of the notes. Through this agreement, the Protection Buyer pays a fee in return for the transfer of a portion of the reference portfolio credit risk. Investors in the notes have an interest in the holdings of the issuer, which include highly rated investment instruments, a forward delivery agreement and fee collections on the agreement with the Protection Buyer. Investors are exposed to losses from the reference portfolio but benefit only indirectly from cash flows from these assets. Depending on the class of notes held, investors have credit protection from subordination. The reference portfolio of this transaction includes prime conforming and nonconforming fixed-rate and adjustable-rate mortgages purchased from various originators. The actions are triggered by the quickly deteriorating performance of the reference portfolio -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions listed below reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: RESIX Finance Limited Credit-Linked Notes, Series 2005-A -- Class B7, Downgraded to Caa3; previously on 5/22/2009 Ba2 Placed Under Review for Possible Downgrade -- Class B8, Downgraded to Ca; previously on 5/22/2009 B1 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. SFA COLLATERALIZED: Fitch Affirms 'CC' Rating on Class A Notes -------------------------------------------------------------- Fitch Ratings has affirmed rating on three classes of notes issued by SFA Collateralized Asset-Backed Securities Trust I: -- $47,622,890 class A notes affirmed at 'CC'; -- $14,000,000 class B-1 notes affirmed at 'C'; -- $8,500,000 class B-2 notes affirmed at 'C'. In addition, Fitch removes all of the distressed recovery ratings from the notes. The rating actions reflect the continuing deterioration in the performance of the underlying portfolio and the decline in the coverage of the notes. After making standard adjustments for assets on Rating Watch and with a Negative Negative, Fitch considers close to 69% of the portfolio to be non-investment grade quality, including over 50% rated in the 'CCC' and lower category. Defaulted assets, as per the governing documents, represented 18.6% of the $34.6 million of total collateral and eligible investments. The ongoing deterioration of the portfolio has caused further erosion to each of the overcollateralization ratios causing each to fall below their respective tests levels. As of the April 2, 2009 Trustee report, the class A O/C ratio decreased to 55.4%, the class B O/C ratio to 37.7%, and the class C O/C to 26.4%, versus their respective triggers of 122.0%, 109.5%, and 101.5%. SFA CABS I entered into an event of default on March 5, 2004 due to the class B OC test falling below 100%. As per the transaction's governing documents, the only remedy possible is the removal/replacement of the asset manager. To date, this option has not been exercised by the senior noteholders. The class A and B notes are currently receiving full interest payments and are expected to continue to receive future interest payments. The transaction continues to use principal amortizations to pay current interest to the class B notes, which further decreases the amount of proceeds available to pay down the class A notes. On the last payment date in March 2009, $0.6 million of principal proceeds was used to pay current interest to class A and B notes. The class C notes have been PIK- ing since the December 2002 distribution date. Although, to date over 76% of the class A notes original balance has amortized down, Fitch anticipates that the class A noteholders will experience impairment of principal over the life the transaction. The remaining outstanding balance of the class A notes exceeds the current portfolio balance of $34.6 million by close to $13 million. Taking into account the composition and the performance of the portfolio, the class B noteholders are not expected to recover any of their original principal by the stated maturity date in June 2035. SFA CABS I is a cash flow CDO that closed on June 22, 2000, and is managed by Structured Finance Advisors. The transaction has a portfolio composed of diversified structured finance assets: 69.8% commercial and consumer asset-backed securities securities, 26.5% residential mortgage-backed securities, and 3.8% of commercial mortgage-backed securities. 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' dated Dec. 16, 2008, is available on the Fitch Ratings web site at 'www.fitchratings.com'. Fitch will continue to monitor and review this transaction for future rating adjustments. SIGNUM VERDE: Fitch Upgrades Ratings on 2034 Notes to 'BB+' ----------------------------------------------------------- Fitch Ratings has upgraded Signum Verde Limited series 2006-2 (Signum Verde 2006-2): -- CLP5,300,000,000 fixed-rate notes due 2034 to 'BB+' from 'BB'; Outlook Stable. This action follows Fitch's recent upgrade of Companhia Vale do Rio Doce to 'BBB' from 'BBB-' with the Outlook revised to Stable from Positive. Signum Verde 2006-02 (the issuer) is a single name credit-linked note structure linked to the credit risk of Vale as the underlying reference entity and to the Goldman Sachs Group (rated 'A+'; Outlook Stable by Fitch) as issuer of the collateral and as guarantor to the swap counterparty, Goldman Sachs Capital Markets, L.P. At closing, the issuer entered into an interest rate and credit default swap with the swap counterparty, and used the CLP5.3 billion proceeds from the sale of the notes to purchase approximately US$10 million of collateral to fund the swaps. The collateral is senior unsecured floating-rate notes issued by the Goldman Sachs Group, Inc., and due in 2034 (ISIN: XS0276343380). The rating assigned by Fitch is based on the credit risk of Vale (rated 'BBB'; Outlook Stable by Fitch) as the underlying reference entity, and on the credit risk of Goldman Sachs Group (rated 'A+'; Outlook Stable by Fitch), as issuer of the collateral and as guarantor to the swap counterparty. The rating addresses the likelihood that investors will receive full and timely payments of interest, as per the transaction's governing documents, as well as the ultimate payment of principal by the legal final maturity date. Payments of interest are based on the UF-Linked Notional Amount of UF288,574 adjusted for inflation and converted to US$ at the then prevailing CLP/US$ spot rate, as per the transaction's governing documents. Payments of principal at redemption will be based on CLP5.3 billion adjusted for inflation and converted to US$ at the then prevailing CLP/US$ spot rate, as per the transaction's governing documents. The analysis utilized by Fitch incorporates the use of the Fitch Credit-Linked Note Matrix, which takes into account each underlying risk in a transaction and, in some cases, applies a penalty if restructuring is selected as a credit event. Fitch's analysis for this rating action relied upon the Two-Risk CLN Matrix with Restructuring. The revised Outlook status reflects the Outlook of Vale as the main risk driver (the 'weakest link') in the transaction. VENTURE III: Moody's Downgrades Ratings on Four Classes of Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Venture III CDO Limited: -- $279,000,000 Class A-1 Floating Rate Notes due 2016 Downgraded to Aa2; previously on March 20, 2009 Aaa Placed Under Review for Possible Downgrade; -- $30,000,000 Class A-2 Floating Rate Notes due 2016 Downgraded to Baa1; previously on March 20, 2009 Aa2 Placed Under Review for Possible Downgrade; -- $16,000,000 Class B Deferrable Floating Rate Notes due 2016 Downgraded to Ba2; previously on March 20, 2009 Downgraded to Ba1and Placed Under Review for Possible Downgrade; -- $12,500,000 Class C Floating Rate Notes due 2016 Downgraded to Caa1; previously on March 20, 2009 Downgraded to B1and Placed Under Review for Possible Downgrade. 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." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research (see Moody's Special Comment titled "Strong Loan Issuance in Recent Years Signals Low Recovery Prospects for Loans and Bonds of Defaulted U.S. Corporate Issuers" dated June 2008). 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 Par Value Test. The weighted average rating factor has steadily increased over the last year and it is currently at 2678 versus a test level of 2230 as of the last trustee report, dated May 7, 2009. Based on the same report, defaulted securities total about $18 million accounting for roughly 4.8% of the collateral balance and securities rated Caa1 or lower make up approximately 11.84% of the underlying portfolio. Additionally, the Class C Notes have deferred interest. Venture III CDO Limited, issued in December 19, 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. WASHINGTON MUTUAL: Fitch Downgrades Ratings on 2005-C1 Certs. ------------------------------------------------------------- Fitch Ratings has downgraded and assigned Rating Outlooks to Washington Mutual's commercial mortgage pass-through certificates, series 2005-C1: -- $800,000 class M to 'B-' from 'B'; Outlook Negative. In addition, Fitch has downgraded and assigned a Recovery Rating to this class: -- $1.6 million class N to 'CCC/RR1' from 'B-'. Fitch has also affirmed and assigned Rating Outlooks to these classes: -- $91.8 million class A-2 at 'AAA'; Outlook Stable; -- $49.6 million class A-J at 'AAA'; Outlook Stable; -- Interest-only class X at 'AAA'; Outlook Stable; -- $8.9 million class B at 'AAA'; Outlook Stable; -- $13 million class C at 'AAA'; Outlook Stable; -- $4.1 million class D at 'AA'; Outlook Stable; -- $5.7 million class E at 'A+'; Outlook Stable; -- $4.9 million class F at 'A'; Outlook Stable; -- $5.7 million class G at 'BBB+'; Outlook Negative; -- $8.1 million class H at 'BB+'; Outlook Negative; -- $3.3 million class J at 'BB'; Outlook Negative; -- $2.4 million class K at 'BB-'; Outlook Negative; -- $2.4 million class L at 'B+'; Outlook Negative. Class A-1 is paid in full. The downgrades are due to potential losses and interest shortfalls associated with the transfer of the largest loan in the transaction to special servicing. Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. The Negative Rating Outlooks reflect the increase in Fitch Loans of Concern. As of the May 2009 distribution date, the pool's collateral balance has paid down 68.8% to $202.3 million from $649.5 million at issuance. Ninety-five loans remain in the pool. The accelerated pay down demonstrated by this transaction is due to the pool's composition of well-seasoned loans. Sixty loans (77.8%) have six or more years of seasoning. Fitch has identified 17 Loans of Concern (22.4%), including one specially serviced loan (5.2%). The loan in special servicing, which is the largest loan remaining in the pool, is secured by a 106,975 square foot retail plaza located in Willow Grove, Pennsylvania. The retail property lost a major tenant, Circuit City, in early 2009. The loan is pending transfer back to the master servicer. The current reported occupancy is 72%, which is down from 100% at year-end 2007. The loan is scheduled to mature in 2014. The second largest Loan of Concern (3.4%) is collateralized by 80,000 sf of retail space located in Middletown, New York. The property is now 56% occupied as Linens 'n Things closed their store leaving Best Buy as the remaining tenant. The loan is scheduled to mature in December 2010. The second largest loan remaining in the pool (4.5%) is secured by a 62,835 sf office building located in Manhattan Beach, California. The servicer reported debt service coverage ratio as of June 2008 was 1.84 times (x). The loan is scheduled to mature in January 2011. Five loans (5.7%) are scheduled to mature in 2009 with a servicer reported weighted average DSCR of 1.66x with a weighted average coupon of 7.73%. Seventeen loans (30.8%) are scheduled to mature in 2010 with a servicer reported weighted average DSCR of 1.94x with a weighted average coupon of 7.69%. WASHINGTON MUTUAL: Fitch Puts Low-B Ratings on Notes on Pos. Watch ------------------------------------------------------------------ Fitch Ratings has placed 14 classes of notes issued out of the Washington Mutual Master Note Trust totaling $6.8 billion on Rating Watch Positive. These notes are now entirely backed by credit card receivables originated by Chase Bank USA, N.A. On May 19, Chase removed all Washington Mutual-originated credit card accounts and receivables from the Washington Mutual Master Trust. Prior to the removal, a significant number of accounts belonged to those originated by Washington Mutual Bank. Following the removal, the trust is comprised entirely of receivables originated by Chase, which have different performance metrics than the legacy Washington Mutual receivables; specifically, chargeoffs are significantly lower and the monthly payment rate is higher than the pre-removal performance. These classes of Washington Mutual Master Note Trust were placed on Rating Watch Positive: -- $750,000,000 Class 2006-A2: 'AA-'; -- $1,250,000,000 Class 2006-A3: 'AA-'; -- $500,000,000 Class 2006-A4: 'AA-'; -- $1,100,000,000 Class 2007-A1: 'AA-'; -- $875,000,000 Class 2007-A2 'AA-'; -- $425,000,000 Class 2007-A4 'AA-'; -- $200,000,000 Class 2007-A5 'AA-'; -- $300,000,000 Class 2006-M1 'A-'; -- $150,000,000 Class 2007-B1 'BBB'; -- $200,000,000 Class 2006-C1 'BB+'; -- $150,000,000 Class 2006-C2 'BB+'; -- $200,000,000 Class 2006-C3 'BB+'; -- $125,000,000 Class 2007-C1 'BB+'; -- $606,000,000 Class 2005-D2 'B-'. WELLS FARGO: Moody's Downgrades Ratings on 168 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded 168 tranches and confirmed 12 tranches from from 16 Wells Fargo Mortgage Backed Securities Trusts from 2005. The collateral backing these transactions consists primarily of first-lien, fixed-rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions listed below reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: Wells Fargo Mortgage Bkd Securities 2005-10 -- Cl. A-1, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge Bkd Securities 2005-11 Tr -- Cl. I-A-1, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Ba2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-7, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge Bkd Securities 2005-14 Tr -- Cl. I-A-1, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Ba3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-5, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-7, Downgraded to Ba3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-8, Downgraded to Ba3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-9, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-10, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-11, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-PO, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to B1; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-A-PO, Downgraded to B1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge Bkd Securities 2005-15 Tr -- Cl. A-1, Downgraded to Aa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Aa2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Aa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge Bkd Securities 2005-16 Tr -- Cl. A-1, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to B1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa1; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Caa1; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to B2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to Caa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge Bkd Securities 2005-17 Trust -- Cl. I-A-1, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to B3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to B3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge Bkd Securities 2005-18 Tr -- Cl. I-A-1, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-PO, Downgraded to B3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Ba3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Baa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-7, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-8, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-9, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-10, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-11, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-PO, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge Bkd Securities 2005-8 Tr -- Cl. A-1, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba3; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge Bkd Securities 2005-9 Tr -- Cl. I-A-1, Downgraded to Aa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-5, Downgraded to Aa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-7, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-8, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-9, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-10, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-11, Downgraded to Aa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-12, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-13, Downgraded to Aa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-14, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-15, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-16, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-PO, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to Aa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-7, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-8, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-9, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-10, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-11, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-12, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-PO, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge. Bkd Securities 2005-6 Tr -- Cl. A-1, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Aa2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Baa1; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge. Bkd Securities 2005-7 Tr -- Cl. A-1, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge. Bkd. Securities 2005-1 Tr -- Cl. I-A-1, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-1, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-WIO, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge. Bkd. Securities 2005-2 Tr -- Cl. I-A-1, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-5, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-7, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-8, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-9, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-10, Downgraded to Aa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-11, Downgraded to A2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-12, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-PO, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-PO, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge. Bkd. Securities 2005-3 Tr -- Cl. A-1, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-6, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-10, Confirmed at Aaa; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to A2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to A2; previously on March 19, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to A2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge. Bkd. Securities 2005-4 Tr -- Cl. A-1, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A3; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Baa1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge. Bkd. Securities 2005-5 Tr -- Cl. I-A-1, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-PO, Downgraded to Ba2; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Ba1; previously on March 19, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-PO, Downgraded to Ba1; previously on March 19, 2009 Aaa 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. * Moody's Cuts Ratings on 11 Certs. From Four Resecuritizations --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 11 certificates issued in 4 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, as described in more detail below. (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 actions are: Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates, Series 2006-1 -- Cl. N-1, Downgraded to Ca; previously on January 27, 2006 Assigned Aaa -- Cl. N-2, Downgraded to C; previously on January 27, 2006 Assigned Baa2 Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates, Series 2007-RS5 -- Cl. A-1, Downgraded to B2; previously on November 13, 2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C; previously on November 13, 2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to B2; previously on November 13, 2008 Aaa Placed Under Review for Possible Downgrade Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates, Series 2007-RS6 -- Cl. A-1, Downgraded to B1; previously on December 1, 2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C; previously on December 1, 2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to B1; previously on December 1, 2008 Aaa Placed Under Review for Possible Downgrade Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates, Series 2007-RS7 -- Cl. A-1, Downgraded to B2; previously on December 1, 2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C; previously on December 1, 2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to B2; previously on December 1, 2008 Aaa Placed Under Review for Possible Downgrade * Moody's Cuts Ratings on 31 Certs. in Seven Resecuritized Deals ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 31 certificates issued in 7 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 ratings on the certificates in the resecuritization are 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, as described in more detail below. (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 methodology used to update the loss assumptions on the underlying mortgage pools and ratings on the securities can be found at www.moodys.com 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; BCAP 2006-RR1 -- Cl. PB, Downgraded to Aa1; previously on 1/4/2007 Assigned Aaa -- Cl. PC, Downgraded to Aa2; previously on 1/4/2007 Assigned Aaa -- Cl. PD, Downgraded to Aa3; previously on 1/4/2007 Assigned Aaa -- Cl. PE, Downgraded to Aa3; previously on 1/4/2007 Assigned Aaa -- Cl. TA, Downgraded to Aa2; previously on 1/4/2007 Assigned Aaa -- Cl. WZ, Downgraded to Aa2; previously on 1/4/2007 Assigned Aaa -- Cl. CF, Downgraded to Aa2; previously on 1/4/2007 Assigned Aaa -- Cl. CS, Downgraded to Aa2; previously on 1/4/2007 Assigned Aaa Bear Stearns ARM Trust 2006-3 -- Cl. A-1, Downgraded to A3; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B2; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade Bear Stearns Structured Products Inc 2007-R6 -- Cl. II-A-1, Downgraded to Caa1; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Ca; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade Greenwich Capital Structured Prod Tr 2005-1 -- Cl. A, Downgraded to Aa1; previously on 3/30/2005 Assigned Aaa J.P. Morgan Alternative Loan Trust, 2008-R1 -- Cl. 2-A-1, Downgraded to Caa3; previously on 10/15/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ca; previously on 10/15/2008 Aa1 Placed Under Review for Possible Downgrade Morgan Stanley Mortgage Resec Trust 2008-1R -- Cl. A1, Downgraded to B1; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to C; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A3, Downgraded to B1; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to C; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to C; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A6, Downgraded to Caa1; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A7, Downgraded to B3; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A8, Downgraded to Ca; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A9, Downgraded to B3; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A10, Downgraded to Ca; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A11, Downgraded to Caa1; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A12, Downgraded to Ca; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A13, Downgraded to Caa1; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A14, Downgraded to Ca; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade RBSGC Structured Trust 2008-A -- Cl. A1, Downgraded to Caa1; previously on 6/13/2008 Assigned Aaa -- Cl. A2, Downgraded to Ca; previously on 6/13/2008 Assigned Aaa * Moody's Cuts Ratings on 52 Certs. From Five Resecuritizations --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 52 certificates issued in 5 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, as described in more detail below. (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 actions are: Issuer: AAA Trust 2007-2 -- Cl. A-1, Downgraded to Aa2 and Placed Under Review for further Possible Downgrade; previously on 7/21/2008 Aaa Placed Under Review for further Possible Downgrade -- Cl. A-2, Downgraded to Aa2 and Placed Under Review for further Possible Downgrade; previously on 7/21/2008 Aaa Placed Under Review for further Possible Downgrade -- Cl. A-3, Downgraded to Ca; previously on 9/5/2007 Assigned Aaa -- Cl. X, Downgraded to Ba3; previously on 9/5/2007 Assigned Aaa Issuer: CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES -- Cl. 04D-1a, Downgraded to Ba3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04D-1b, Downgraded to Ba3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04E-1a, Downgraded to Ba2; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04E-1b, Downgraded to Ba2; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04F-1a, Downgraded to B1; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04F-1b, Downgraded to B1; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04K-1a, Downgraded to Ba3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04K-1b, Downgraded to Ba3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04L-1a, Downgraded to Ba1; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04L-1b, Downgraded to Ba1; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04M-1a, Downgraded to Ba3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04M-1b, Downgraded to Ba3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04N-1a, Downgraded to Ba3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04N-1b, Downgraded to Ba3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04P-1a, Downgraded to B3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04P-1b, Downgraded to B3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04Q-1a, Downgraded to Caa3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04Q-1b, Downgraded to Caa3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04R-1a, Downgraded to Ca; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04R-1b, Downgraded to Ca; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04T-1a, Downgraded to Ba3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04T-1b, Downgraded to Ba3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04U-1a, Downgraded to Ca; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 04U-1b, Downgraded to Ca; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05A-1a, Downgraded to B3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05A-1b, Downgraded to B3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05B-1a, Downgraded to Caa3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05B-1b, Downgraded to Caa3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05C-1a, Downgraded to Aa3 and Placed Under Review for further Possible Downgrade; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05C-1b, Downgraded to Aa3 and Placed Under Review for further Possible Downgrade; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05D-1a, Downgraded to Aa3 and Placed Under Review for further Possible Downgrade; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05D-1b, Downgraded to Aa3 and Placed Under Review for further Possible Downgrade; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05E-1a, Downgraded to B3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05E-1b, Downgraded to B3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05F-1a, Downgraded to Ba3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05F-1b, Downgraded to Ba3; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05G-1a, Downgraded to Caa2; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05G-1b, Downgraded to Caa2; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05H-1a, Downgraded to Caa2; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 05H-1b, Downgraded to Caa2; previously on 11/13/2008 Aaa Placed Under Review for Possible Downgrade Issuer: First Horizon Alternative Mortgage Securities Trust 2006- RE2 -- Cl. A-1, Downgraded to Baa2; previously on 6/12/2006 Assigned Aaa Issuer: GSMSC Pass-Through Trust 2008-2R -- Cl. 1A-1, Downgraded to Aa2 and Placed Under Review for further Possible Downgrade; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-2, Downgraded to B2 and Placed Under Review for further Possible Downgrade; previously on 11/14/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2A-1, Downgraded to Aa1 and Placed Under Review for further Possible Downgrade; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-2, Downgraded to Ba1 and Placed Under Review for further Possible Downgrade; previously on 11/14/2008 Aa1 Placed Under Review for Possible Downgrade Issuer: Lehman Structured Securities Corp. Series 2005-1 -- Cl. A-1, Downgraded to Aa3; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B2; previously on 11/14/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IO, Downgraded to Aa3; previously on 7/27/2005 Assigned Aaa * Moody's Downgrades Ratings on 133 Tranches from 18 Alt-A RMBS --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 133 tranches from 18 Alt-A RMBS transactions issued by Structured Asset Mortgage Investments Trust. The collateral backing these transactions consists primarily of first-lien, adjustable-rate, Alt-A residential mortgage loans. Group II certificates from Structured Asset Mortgage Investments II Trust 2004-AR5 are backed by pools of negative amortization, Alt-A mortgage loans. 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. Additionally, Moody's further stresses the default rate assumptions for deals with extremely low pool factors to account for volatility arising from the small number of loans backing these transactions. Once expected losses have been determined, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. Complete rating actions: Structured Asset Mortgage Investments Tr 2002-AR3 -- Cl. A-1, Downgraded to Aa2; previously on 9/15/2002 Assigned Aaa -- Cl. A-2, Downgraded to Baa1; previously on 11/21/2008 Downgraded to Aa3 -- Cl. X, Downgraded to Aa2; previously on 9/15/2002 Assigned Aaa -- Cl. B-1, Downgraded to B1; previously on 11/21/2008 Downgraded to Baa1 -- Cl. B-2, Downgraded to Ca; previously on 11/21/2008 Downgraded to Caa2 Structured Asset Mtge Invest II Tr 2004-AR3 -- Cl. I-A-1, Downgraded to Aa1; previously on 6/1/2004 Assigned Aaa -- Cl. I-A-3, Downgraded to Aa1; previously on 6/1/2004 Assigned Aaa -- Cl. II-A-1, Downgraded to Aa1; previously on 6/1/2004 Assigned Aaa -- Cl. M, Downgraded to A1; previously on 11/21/2008 Downgraded to Aa1 -- Cl. B-1, Downgraded to Baa3; previously on 11/21/2008 Downgraded to A1 -- Cl. B-2, Downgraded to Caa1; previously on 11/21/2008 Downgraded to Baa3 -- Cl. B-3, Downgraded to Ca; previously on 11/21/2008 Downgraded to Caa3 -- Cl. B-4, Downgraded to C; previously on 11/21/2008 Downgraded to Ca Structured Asset Mtge Invest II Tr 2004-AR4 -- Cl. M, Downgraded to Aa3; previously on 8/16/2004 Assigned Aaa -- Cl. B-1, Downgraded to Baa1; previously on 11/21/2008 Downgraded to Aa3 -- Cl. B-2, Downgraded to Ba3; previously on 11/21/2008 Downgraded to Baa1 -- Cl. B-3, Downgraded to Ca; previously on 11/21/2008 Downgraded to B3 -- Cl. B-4, Downgraded to C; previously on 11/21/2008 Downgraded to Ca Structured Asset Mtge Invest II Tr 2004-AR5 -- Cl. I-A-1, Downgraded to Aa1; previously on 9/8/2004 Assigned Aaa -- Cl. I-A-2, Downgraded to Aa1; previously on 9/8/2004 Assigned Aaa -- Cl. I-X, Downgraded to Aa1; previously on 9/8/2004 Assigned Aaa -- Cl. II-A-1, Downgraded to B3; previously on 11/21/2008 Downgraded to A1 -- Cl. II-A-2, Downgraded to Ba2; previously on 11/21/2008 Downgraded to A1 -- Cl. II-A-3, Downgraded to Ba1; previously on 11/21/2008 Downgraded to A1 -- Cl. I-M, Downgraded to A2; previously on 9/8/2004 Assigned Aaa -- Cl. I-B-1, Downgraded to Ba1; previously on 10/6/2008 Downgraded to A1 -- Cl. I-B-2, Downgraded to Caa3; previously on 10/6/2008 Downgraded to Ba2 -- Cl. I-B-3, Downgraded to C; previously on 10/6/2008 Downgraded to Ca -- Cl. II-B-1, Downgraded to Caa1; previously on 10/6/2008 Downgraded to Baa1 -- Cl. II-B-2, Downgraded to Ca; previously on 10/6/2008 Downgraded to B3 Structured Asset Mtge Invest II Tr 2004-AR6 -- Cl. M, Downgraded to Aa3; previously on 10/8/2004 Assigned Aaa -- Cl. B-1, Downgraded to Baa1; previously on 10/8/2004 Assigned Aa2 -- Cl. B-2, Downgraded to Ba3; previously on 10/8/2004 Assigned A2 -- Cl. B-3, Downgraded to Caa3; previously on 10/8/2004 Assigned Baa2 -- Cl. B-4, Downgraded to Ca; previously on 11/21/2008 Downgraded to B2 -- Cl. B-5, Downgraded to C; previously on 11/21/2008 Downgraded to Ca Structured Asset Mtge Invest II Tr 2004-AR7 -- Cl. A-1A, Downgraded to Aa2; previously on 12/3/2004 Assigned Aaa -- Cl. Grantor Trust A-1B, Downgraded to Aa2; previously on 12/3/2004 Assigned Aaa -- Cl. X, Downgraded to Aa2; previously on 12/3/2004 Assigned Aaa -- Cl. M, Downgraded to A1; previously on 11/21/2008 Downgraded to Aa1 -- Cl. B-1, Downgraded to Baa3; previously on 11/21/2008 Downgraded to A1 -- Cl. B-2, Downgraded to Caa1; previously on 11/21/2008 Downgraded to Baa3 Structured Asset Mtge Invest II Tr 2004-AR8 -- Cl. A-1, Downgraded to Aa2; previously on 1/26/2005 Assigned Aaa -- Cl. A-2A, Downgraded to Aa2; previously on 1/26/2005 Assigned Aaa -- Cl. A-2B, Downgraded to Aa2; previously on 1/26/2005 Assigned Aaa -- Cl. X-1, Downgraded to Aa2; previously on 1/26/2005 Assigned Aaa -- Cl. X-2, Downgraded to Aa2; previously on 1/26/2005 Assigned Aaa -- Cl. M, Downgraded to A1; previously on 1/26/2005 Assigned Aaa -- Cl. B-1, Downgraded to Baa2; previously on 11/21/2008 Downgraded to Aa3 -- Cl. B-2, Downgraded to B3; previously on 11/21/2008 Downgraded to Baa1 -- Cl. B-3, Downgraded to Ca; previously on 11/21/2008 Downgraded to B3 -- Cl. B-4, Downgraded to C; previously on 11/21/2008 Downgraded to Ca Structured Asset Mtge Invest II. Tr 2004-AR2 -- Cl. II-A, Downgraded to Aa1; previously on 5/3/2004 Assigned Aaa -- Cl. III-A, Downgraded to Aa2; previously on 5/3/2004 Assigned Aaa -- Cl. M, Downgraded to Baa2; previously on 11/21/2008 Downgraded to Aa1 -- Cl. B-1, Downgraded to B3; previously on 11/21/2008 Downgraded to A1 -- Cl. B-2, Downgraded to Ca; previously on 11/21/2008 Downgraded to Baa3 -- Cl. B-3, Downgraded to C; previously on 11/21/2008 Downgraded to Ca Structured Asset Mtge Invest. II Tr 2003-AR4 -- Cl. A-1, Downgraded to Aa3; previously on 1/3/2004 Assigned Aaa -- Cl. A-2, Downgraded to A1; previously on 1/3/2004 Assigned Aaa -- Cl. X, Downgraded to Aa3; previously on 1/3/2004 Assigned Aaa -- Cl. M, Downgraded to Baa1; previously on 11/21/2008 Downgraded to Aa1 -- Cl. B-1, Downgraded to Ba3; previously on 11/21/2008 Downgraded to A1 -- Cl. B-2, Downgraded to Caa2; previously on 11/21/2008 Downgraded to Baa3 -- Cl. B-3, Downgraded to C; previously on 11/21/2008 Downgraded to Caa2 -- Cl. B-4, Downgraded to C; previously on 11/21/2008 Downgraded to Ca Structured Asset Mtge Invest. II Tr 2004-AR1 -- Cl. I-A-1, Downgraded to Aa1; previously on 3/20/2004 Assigned Aaa -- Cl. I-A-3, Downgraded to Aa1; previously on 3/20/2004 Assigned Aaa -- Cl. II-A-1, Downgraded to Aa1; previously on 3/20/2004 Assigned Aaa -- Cl. M, Downgraded to Baa1; previously on 11/21/2008 Downgraded to Aa2 -- Cl. B-1, Downgraded to Ba2; previously on 11/21/2008 Downgraded to A3 -- Cl. B-2, Downgraded to Caa2; previously on 11/21/2008 Downgraded to Ba3 -- Cl. B-3, Downgraded to C; previously on 11/21/2008 Downgraded to Ca Structured Asset Mtge Investments Tr 2002-AR2 -- Cl. A-1, Downgraded to Aa2; previously on 5/31/2002 Assigned Aaa -- Cl. A-2, Downgraded to Aa1; previously on 5/31/2002 Assigned Aaa -- Cl. A-3, Downgraded to Baa2; previously on 5/31/2002 Assigned Aaa -- Cl. X, Downgraded to Aa2; previously on 5/31/2002 Assigned Aaa -- Cl. B-1, Downgraded to B1; previously on 11/21/2008 Downgraded to A2 -- Cl. B-2, Downgraded to Caa3; previously on 11/21/2008 Downgraded to Ba3 -- Cl. B-3, Downgraded to C; previously on 11/21/2008 Downgraded to Ca Structured Asset Mtge Investments Tr 2002-AR4 -- Cl. A-1, Downgraded to A1; previously on 11/5/2002 Assigned Aaa -- Cl. A-2, Downgraded to Ba3; previously on 11/21/2008 Downgraded to A1 -- Cl. X, Downgraded to A1; previously on 11/5/2002 Assigned Aaa -- Cl. B-1, Downgraded to Caa1; previously on 11/21/2008 Downgraded to Baa2 -- Cl. B-2, Downgraded to Ca; previously on 11/21/2008 Downgraded to B3 -- Cl. B-3, Downgraded to C; previously on 11/21/2008 Downgraded to Ca Structured Asset Mtge Investments Tr 2002-AR5 -- Cl. A-1, Downgraded to Aa2; previously on 1/6/2003 Assigned Aaa -- Cl. A-2, Downgraded to Baa1; previously on 11/21/2008 Downgraded to A1 -- Cl. X, Downgraded to Aa2; previously on 1/6/2003 Assigned Aaa -- Cl. B-1, Downgraded to B1; previously on 10/6/2008 Downgraded to Baa2 -- Cl. B-2, Downgraded to Ca; previously on 10/6/2008 Downgraded to Caa1 -- Cl. B-3, Downgraded to C; previously on 10/6/2008 Downgraded to Ca Structured Asset Mtge Investments Tr 2003-AR1 -- Cl. A-1, Downgraded to Aa3; previously on 6/14/2003 Assigned Aaa -- Cl. A-2, Downgraded to A1; previously on 6/14/2003 Assigned Aaa -- Cl. A-3, Downgraded to Aa2; previously on 6/14/2003 Assigned Aaa -- Cl. A-3M, Downgraded to Aa2; previously on 6/14/2003 Assigned Aaa -- Cl. A-4, Downgraded to A1; previously on 6/14/2003 Assigned Aaa -- Cl. A-5, Downgraded to Aa2; previously on 6/14/2003 Assigned Aaa -- Cl. X-1, Downgraded to Aa2; previously on 6/14/2003 Assigned Aaa -- Cl. M, Downgraded to Baa3; previously on 11/21/2008 Downgraded to Aa2 -- Cl. B-1, Downgraded to B3; previously on 11/21/2008 Downgraded to A3 -- Cl. B-2, Downgraded to Ca; previously on 11/21/2008 Downgraded to Ba3 -- Cl. B-3, Downgraded to C; previously on 11/21/2008 Downgraded to Ca -- Cl. B-4, Downgraded to C; previously on 11/21/2008 Downgraded to Ca Structured Asset Mtge Investments Tr 2003-AR2 -- Cl. A-1, Downgraded to Aa3; previously on 8/22/2003 Assigned Aaa -- Cl. X, Downgraded to Aa3; previously on 8/22/2003 Assigned Aaa -- Cl. M, Downgraded to Baa2; previously on 11/21/2008 Downgraded to Aa3 -- Cl. B-1, Downgraded to Ba3; previously on 11/21/2008 Downgraded to A3 -- Cl. B-2, Downgraded to Caa2; previously on 11/21/2008 Downgraded to Ba2 -- Cl. B-3, Downgraded to C; previously on 11/21/2008 Downgraded to Ca -- Cl. B-4, Downgraded to C; previously on 11/21/2008 Downgraded to Ca Structured Asset Mtge Investments Tr 2003-AR3 -- Cl. A-1, Downgraded to Aa2; previously on 11/17/2003 Assigned Aaa -- Cl. A-2, Downgraded to Aa3; previously on 11/17/2003 Assigned Aaa -- Cl. X, Downgraded to Aa2; previously on 11/17/2003 Assigned Aaa -- Cl. M, Downgraded to Baa2; previously on 10/6/2008 Downgraded to Aa3 -- Cl. B-1, Downgraded to B3; previously on 10/6/2008 Downgraded to Baa1 -- Cl. B-2, Downgraded to Ca; previously on 10/6/2008 Downgraded to B3 Structured Asset Mtge Investments Tr 2003-CL1 -- Cl. I-F1, Downgraded to Aa2; previously on 7/30/2003 Assigned Aaa -- Cl. I-I2, Downgraded to A2; previously on 7/30/2003 Assigned Aaa -- Cl. I-S1, Downgraded to Aa2; previously on 7/30/2003 Assigned Aaa -- Cl. I-PO, Downgraded to Aa2; previously on 7/30/2003 Assigned Aaa -- Cl. II-A1, Downgraded to A1; previously on 7/30/2003 Assigned Aaa -- Cl. I-B1, Downgraded to A2; previously on 7/30/2003 Assigned Aa2 -- Cl. I-B2, Downgraded to Baa3; previously on 7/30/2003 Assigned A2 -- Cl. I-B3, Downgraded to Caa2; previously on 11/21/2008 Downgraded to Ba2 -- Cl. II-B1, Downgraded to Baa1; previously on 7/30/2003 Assigned Aa2 -- Cl. II-B2, Downgraded to Ba1; previously on 7/30/2003 Assigned A2 -- Cl. II-B3, Downgraded to B3; previously on 7/30/2003 Assigned Baa2 -- Cl. II-B4, Downgraded to Caa2; previously on 7/30/2003 Assigned Ba2 -- Cl. II-B5, Downgraded to Ca; previously on 7/30/2003 Assigned B2 Structured Asset Mtge. Investment Tr. 2001-4 -- Cl. A-1, Downgraded to A3; previously on 11/21/2008 Downgraded to A1 -- Currentl Underlying Rating: Downgraded to A3; previously on 11/21/2008 Downgraded to A1 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Developing on 2/18/2009) -- Cl. B-1, Downgraded to Ba1; previously on 11/21/2008 Downgraded to Baa1 -- Cl. B-2, Downgraded to Ca; previously on 11/21/2008 Downgraded to Caa3 * Moody's Junks Ratings on Nine Mid-State Housing Transactions -------------------------------------------------------------- Moody's Investors Service has taken action on certain Mid-State manufactured housing transactions. These transactions were previously downgraded as part of the rating actions taken on transactions backed by manufactured housing collateral. The loss upon liquidation (severity of loss) on all loans backed by manufactured housing was assumed to be 85%. However, Mid-State's collateral loss severities have historically been lower than those of typical manufactured housing transactions; unlike traditional manufactured housing collateral, Mid-State pools are backed by land/home manufactured housing collateral. These properties are typically completed 90% by Jim Walter Homes, with the borrower having to contribute the remaining 10% to complete the construction of the property. As a result, in addition to the land as equity, the borrower has 10% as additional "sweat equity" in the property. This has driven the lower severities observed on Mid-State pools. Another factor driving the low severities on Mid-State pools is the expertise of Walter Investment Management in servicing this type of collateral in their local markets. In light of this, Moody's has lowered the assumed loss severity for the transactions issued by Mid-State where rating actions were taken in March. The adjusted ratings reflect the updated loss severity assumptions. Our new loss severity assumptions range from 50-60% for the individual transactions and are higher than the actual historical loss severity to date. These higher assumptions reflect the likely increase in severity as a result of the current economic environment (including rising unemployment and continued home price declines) as well as the closing of Jim Walter Homes homebuilding business. Uncertainty surrounding the long-term viability of the servicing operation without the homebuilding segment of the company in the current economic environment adds to the possibility of higher severities during the life of the deal. When analyzing underlying ratings for MH transactions, Moody's projects cumulative losses for each deal based on a collateral analysis of the deal's Constant Prepayment Rate and Constant Default Rate. CPR is based on the average of the last six months 1-month CPR. There are three approaches for determining pool CDR. The first approach calculates CDR based on pool loan losses from the previous twelve months, i.e. recent losses. A second approach is based on pipeline defaults -- derived from days-aged delinquencies and Moody's assumptions for default based on days delinquent or REO. The third approach calculates the default to liquidation which linearly extrapolates future losses based on the current cumulative loss given the current pool factor. After CDR is calculated using the three methods, the effective CDR for loss projection purposes is determined by using a weighted average of the CDRs with weightings determined on a transaction by transaction basis. Moody's will project future CDR rates based on delinquency and loss trends. Based on calculated CPR and CDR, Moody's calculates projected deal-specific cumulative losses and the weighted average life of the deal. The credit enhancement calculation may also include credit for excess spread, i.e. the aggregate, positive difference in the weighted average loan coupon and the all-inclusive securities' interest and deal fees, including servicing. Excess spread benefit is calculated by multiplying the stressed annualized excess spread by the weighted average life of the deal. Aggregate credit enhancement which combines subordination benefit (including overcollateralization and/or reserve accounts) and support from letters of credit or guarantees and excess spread benefit, is compared with projected cumulative losses for the deal to derive coverage multiples and associated ratings by tranche. Moody's will analyze tranche coverage multiples after consideration of tranche-specific loss allocation and timing of principal repayment. The Class A bond issued by Mid-State IV is guaranteed by Capital Markets Assurance Corporation while the notes issued by Mid-State VII are guaranteed by Ambac Assurance Corporation. Moody's ratings on securities that are guaranteed or "wrapped" by a financial guarantor are the higher of: a) the rating of the guarantor or b) the published underlying rating. Complete rating actions are: Mid-State Capital Corp. 2005-1 -- Class A, Downgraded from Aaa to Ba1 on 3/30/2009; Upgraded to A1 on 5/29/2009 -- Class M-1, Downgraded from Aa2 to B3 on 3/30/2009; Upgraded to Baa1 on 5/29/2009 -- Class M-2, Downgraded from A2 to Ca on 3/30/2009; Upgraded to Ba3 on 5/29/2009 -- Class B, Downgraded from Baa2 to Ca on 3/30/2009; Upgraded to Caa3 on 5/29/2009 Mid-State Capital Corporation 2006-1 Trust -- Class A, Downgraded from Aaa to Ba3 on 3/30/2009; Upgraded to A2 on 5/29/2009 -- Class M-1, Downgraded from Aa2 to Ca on 3/30/2009; Upgraded to Ba3 on 5/29/2009 -- Class M-2, Downgraded from A2 to Ca on 3/30/2009; Upgraded to Caa3 on 5/29/2009 Mid-State Trust VI -- Class A-1, Downgraded from Aaa to Aa3 on 3/30/2009; Upgraded to Aa1 on 5/29/2009 -- Class A-2, Downgraded from Aa2 to Baa2 on 3/30/2009; Upgraded to Aa3 on 5/29/2009 -- Class A-3, Downgraded from A2 to Ba1 on 3/30/2009; Upgraded to A2 on 5/29/2009 -- Class A-4, Downgraded from Baa2 to Caa3 on 3/30/2009; Upgraded to Baa3 on 5/29/2009 Mid-State Trust X -- Class A-1, Downgraded from Aaa to B1 on 3/30/2009; Upgraded to A1 on 5/29/2009 -- Class A-2, Downgraded from Aaa to B1 on 3/30/2009; Upgraded to A1 on 5/29/2009 -- Class M-1, Downgraded from Aa2 to Caa1 on 3/30/2009; Upgraded to A3 on 5/29/2009 -- Class M-2, Downgraded from A2 to Caa3 on 3/30/2009; Upgraded to Baa3 on 5/29/2009 -- Class B, Downgraded from Baa2 to Ca on 3/30/2009; Upgraded to B1 on 5/29/2009 Mid-State Trust XI -- Class A, Downgraded from Aaa to Baa1 on 3/30/2009; Upgraded to A1 on 5/29/2009 -- Class M-1, Downgraded from Aa2 to B3 on 3/30/2009; Upgraded to A3 on 5/29/2009 -- Class M-2, Downgraded from A2 to Ca on 3/30/2009; Upgraded to Baa3 on 5/29/2009 -- Class B, Downgraded from Baa2 to Ca on 3/30/2009; Upgraded to B1 on 5/29/2009 Mid-State Trust IV -- Class A, Downgraded from A2 placed on review for direction uncertain to Baa1 on 1/16/2009; Upgraded to A2 on 5/29/2009 -- Underlying Rating: A2 -- Financial Guarantor: Capital Markets Assurance Corporation (Downgraded to B3 from Baa1 on February 18, 2009) Mid-State Trust VII -- Asset-Backed Notes, Previously Aa3 placed on direction uncertain on 11/17/2008; Downgraded to Baa1 on 5/29/2009 -- Underlying Rating: Baa1 -- Financial Guarantor: Ambac Assurance Corporation (Downgraded to Ba3 from Baa1 on April 13, 2009; previously on March 3, 2009, Baa1 placed on review for downgrade) * S&P Junks Ratings on 17 Tranches From 32 CRE CDO Deals -------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 233 tranches from 32 commercial real estate collateralized debt obligation transactions. All of the lowered ratings either remain on CreditWatch with negative implications or were laced on CreditWatch negative. The downgraded tranches had an initial issuance amount totaling $10.19 billion. Additionally, S&P placed its ratings on 10 other tranches on CreditWatch with negative implications. At the same time, S&P withdrew its ratings on three tranches from two transactions following their complete paydown. The transactions affected by the rating actions are cash flow and hybrid CDOs collateralized largely by rated tranches from commercial mortgage-backed securities transactions. The CRE CDO downgrades and the continuing CreditWatch negative placements are a reflection of, among other factors, the ongoing stress in the commercial real estate market. In recent months, the performance of the U.S. economy has generally left the commercial real estate sector in a fundamentally weaker credit position. Commercial mortgage delinquency rates have risen significantly, and the volume of troubled loans outstanding has increased as a result of falling property values, the struggling economy, and the general inability of borrowers to refinance maturing loans in a market with constrained liquidity. The CRE CDO downgrades also reflect S&P's application of revised criteria for assessing the probability of default for structured finance assets with ratings on CreditWatch negative held within CDO transactions. As a result of stress in the commercial real estate market, a significant proportion of the CMBS assets held within the CRE CDO transactions affected by the downgrades currently have ratings on CreditWatch negative. Ratings Lowered And Remaining Or Placed On Creditwatch Negative Rating ------ Transaction Class To From ----------- ----- -- ---- Acacia CRE CDO 1 Ltd. A AA/Watch Neg AAA/Watch Neg Acacia CRE CDO 1 Ltd. B A-/Watch Neg AA/Watch Neg Acacia CRE CDO 1 Ltd. C BBB-/Watch Neg A+/Watch Neg Acacia CRE CDO 1 Ltd. D BB+/Watch Neg A-/Watch Neg Acacia CRE CDO 1 Ltd. E BB/Watch Neg BBB+/Watch Neg Acacia CRE CDO 1 Ltd. F B+/Watch Neg BBB-/Watch Neg Ajax Two Ltd. C BBB-/Watch Neg BBB Ajax Two Ltd. Pref Shrs BB/Watch Neg BB+ Anthracite CDO I Ltd. B AA+/Watch Neg AAA/Watch Neg Anthracite CDO I Ltd. B-FL AA+/Watch Neg AAA/Watch Neg Anthracite CDO I Ltd. C AA/Watch Neg AA+/Watch Neg Anthracite CDO I Ltd. C-FL AA/Watch Neg AA+/Watch Neg Anthracite CDO I Ltd. D A-/Watch Neg AA-/Watch Neg Anthracite CDO I Ltd. D-FL A-/Watch Neg AA-/Watch Neg Anthracite CDO I Ltd. E BBB-/Watch Neg A-/Watch Neg Anthracite CDO I Ltd. E-FL BBB-/Watch Neg A-/Watch Neg Anthracite CDO I Ltd. F B-/Watch Neg BB+/Watch Neg Anthracite CDO II Ltd. B AA+/Watch Neg AAA/Watch Neg Anthracite CDO II Ltd. B-FL AA+/Watch Neg AAA/Watch Neg Anthracite CDO II Ltd. C A/Watch Neg AA-/Watch Neg Anthracite CDO II Ltd. C-FL A/Watch Neg AA-/Watch Neg Anthracite CDO II Ltd. D BBB/Watch Neg A-/Watch Neg Anthracite CDO II Ltd. E BBB-/Watch Neg BBB+/Watch Neg Anthracite CDO II Ltd. F BB+/Watch Neg BBB/Watch Neg Anthracite CDO II Ltd. G BB/Watch Neg BBB-/Watch Neg Anthracite CDO III Ltd. A AA+/Watch Neg AAA/Watch Neg Anthracite CDO III Ltd. BFL A+/Watch Neg AA/Watch Neg Anthracite CDO III Ltd. BFX A+/Watch Neg AA/Watch Neg Anthracite CDO III Ltd. CFL A-/Watch Neg A+/Watch Neg Anthracite CDO III Ltd. CFX A-/Watch Neg A+/Watch Neg Anthracite CDO III Ltd. DFL BBB/Watch Neg A-/Watch Neg Anthracite CDO III Ltd. DFX BBB/Watch Neg A-/Watch Neg Anthracite CDO III Ltd. EFL BB+/Watch Neg BBB/Watch Neg Anthracite CDO III Ltd. EFX BB+/Watch Neg BBB/Watch Neg Anthracite CDO III Ltd. F BB/Watch Neg BBB/Watch Neg Anthracite CDO III Ltd. G BB-/Watch Neg BBB-/Watch Neg Anthracite CDO III Ltd. H B+/Watch Neg BB/Watch Neg Crest 2003-2 Ltd. A-3 AA+/Watch Neg AAA/Watch Neg Crest 2003-2 Ltd. B-1 AA-/Watch Neg AA/Watch Neg Crest 2003-2 Ltd. B-2 AA-/Watch Neg AA/Watch Neg Crest 2003-2 Ltd. C-1 BBB+/Watch Neg A-/Watch Neg Crest 2003-2 Ltd. C-2 BBB+/Watch Neg A-/Watch Neg Crest 2003-2 Ltd. D-1 BBB-/Watch Neg BBB/Watch Neg Crest 2003-2 Ltd. D-2 BBB-/Watch Neg BBB/Watch Neg Crest 2003-2 Ltd. E-1 BB-/Watch Neg BB/Watch Neg Crest 2003-2 Ltd. E-2 BB-/Watch Neg BB/Watch Neg Crest 2003-2 Ltd. Pfd Shrs B+/Watch Neg BB-/Watch Neg Crest 2004-1 Ltd. A AA+/Watch Neg AAA/Watch Neg Crest 2004-1 Ltd. B-1 AA-/Watch Neg AA/Watch Neg Crest 2004-1 Ltd. B-2 AA-/Watch Neg AA/Watch Neg Crest 2004-1 Ltd. C-1 A-/Watch Neg A+/Watch Neg Crest 2004-1 Ltd. C-2 A-/Watch Neg A+/Watch Neg Crest 2004-1 Ltd. D BBB+/Watch Neg A/Watch Neg Crest 2004-1 Ltd. E-1 BBB-/Watch Neg BBB+/Watch Neg Crest 2004-1 Ltd. E-2 BBB-/Watch Neg BBB+/Watch Neg Crest 2004-1 Ltd. F BB+/Watch Neg BBB/Watch Neg Crest 2004-1 Ltd. G-1 BB-/Watch Neg BB+/Watch Neg Crest 2004-1 Ltd. G-2 BB-/Watch Neg BB+/Watch Neg Crest 2004-1 Ltd. H-1 B+/Watch Neg BB/Watch Neg Crest 2004-1 Ltd. H-2 B+/Watch Neg BB/Watch Neg Crest Clarendon Street 2002-1 B-1 A/Watch Neg A+/Watch Neg Crest Clarendon Street 2002-1 B-2 A/Watch Neg A+/Watch Neg Crest Clarendon Street 2002-1 C BBB-/Watch Neg BBB/Watch Neg Crest Clarendon Street 2002-1 D B+/Watch Neg BB/Watch Neg Crest Dartmouth Street 2003-1 C BBB/Watch Neg BBB+ Crest Dartmouth Street 2003-1 D B+/Watch Neg BB Crest Exeter St. Solar 2004-1 A-1 AA+/Watch Neg AAA/Watch Neg Crest Exeter St. Solar 2004-1 A-2 AA+/Watch Neg AAA/Watch Neg Crest Exeter St. Solar 2004-1 B-1 AA/Watch Neg AA+/Watch Neg Crest Exeter St. Solar 2004-1 B-2 AA/Watch Neg AA+/Watch Neg Crest Exeter St. Solar 2004-1 C-1 A/Watch Neg A+/Watch Neg Crest Exeter St. Solar 2004-1 C-2 A/Watch Neg A+/Watch Neg Crest Exeter St. Solar 2004-1 D-1 BB/Watch Neg BBB/Watch Neg Crest Exeter St. Solar 2004-1 D-2 BB/Watch Neg BBB/Watch Neg Crest Exeter St. Solar 2004-1 E-1 B-/Watch Neg BB+/Watch Neg Crest Exeter St. Solar 2004-1 E-2 B-/Watch Neg BB+/Watch Neg Crest G-Star 2001-1 LP B-1 A-/Watch Neg AA-/Watch Neg Crest G-Star 2001-1 LP B-2 A-/Watch Neg AA-/Watch Neg Crest G-Star 2001-1 LP C BB+/Watch Neg BBB/Watch Neg Crest G-Star 2001-1 LP D B+/Watch Neg BB+/Watch Neg Fairfield Street Solar 2004-1 A-1 AA/Watch Neg AAA/Watch Neg Fairfield Street Solar 2004-1 A-2a AA/Watch Neg AAA/Watch Neg Fairfield Street Solar 2004-1 A-2b AA/Watch Neg AAA/Watch Neg Fairfield Street Solar 2004-1 B-1 A-/Watch Neg AA/Watch Neg Fairfield Street Solar 2004-1 B-2 A-/Watch Neg AA/Watch Neg Fairfield Street Solar 2004-1 C-1 BBB-/Watch Neg A/Watch Neg Fairfield Street Solar 2004-1 C-2 BBB-/Watch Neg A/Watch Neg Fairfield Street Solar 2004-1 D-1 BB+/Watch Neg BBB+/Watch Neg Fairfield Street Solar 2004-1 D-2 BB+/Watch Neg BBB+/Watch Neg Fairfield Street Solar 2004-1 E-1 B+/Watch Neg BB+/Watch Neg Fairfield Street Solar 2004-1 E-2 B+/Watch Neg BB+/Watch Neg Fairfield Street Solar 2004-1 F CCC+/Watch Neg BB-/Watch Neg G-Star 2002-1 Ltd. BFL BBB/Watch Neg A- G-Star 2002-1 Ltd. BFX BBB/Watch Neg A- G-Star 2002-1 Ltd. C BB-/Watch Neg BB+ G-Star 2002-2 Ltd. BFL BBB+/Watch Neg A- G-Star 2002-2 Ltd. BFX BBB+/Watch Neg A- G-Star 2002-2 Ltd. C BBB-/Watch Neg BBB G-Star 2002-2 Ltd. Combo Sec BB+/Watch Neg BBB- G-Star 2002-2 Ltd. D B+/Watch Neg BB- G-Star 2003-3 Ltd. A-2 AA+/Watch Neg AAA G-Star 2003-3 Ltd. A-3 A+/Watch Neg AA G-Star 2003-3 Ltd. B-1 BBB/Watch Neg A-/Watch Neg G-Star 2003-3 Ltd. B-2 BB/Watch Neg BBB-/Watch Neg Lenox Street 2007-1 Ltd. A BBB-/Watch Neg AAA/Watch Neg Lenox Street 2007-1 Ltd. B BB+/Watch Neg AA/Watch Neg Lenox Street 2007-1 Ltd. C B+/Watch Neg A/Watch Neg Lenox Street 2007-1 Ltd. D B/Watch Neg A-/Watch Neg Lenox Street 2007-1 Ltd. E CCC+/Watch Neg BBB/Watch Neg Lenox Street 2007-1 Ltd. F CCC/Watch Neg BBB-/Watch Neg Lenox Street 2007-1 Ltd. G CCC/Watch Neg BB+/Watch Neg Lenox Street 2007-1 Ltd. H CCC-/Watch Neg BB/Watch Neg Lenox Street 2007-1 Ltd. J CCC-/Watch Neg BB-/Watch Neg LNR CDO 2002-1 Ltd. C A-/Watch Neg A/Watch Neg LNR CDO 2002-1 Ltd. D-FL BBB+/Watch Neg A-/Watch Neg LNR CDO 2002-1 Ltd. D-FX BBB+/Watch Neg A-/Watch Neg LNR CDO 2002-1 Ltd. E-FL BBB-/Watch Neg BBB/Watch Neg LNR CDO 2002-1 Ltd. E-FX BBB-/Watch Neg BBB/Watch Neg LNR CDO 2002-1 Ltd. E-FXD BBB-/Watch Neg BBB/Watch Neg LNR CDO 2002-1 Ltd. F-FL BB+/Watch Neg BBB-/Watch Neg LNR CDO 2002-1 Ltd. F-FX BB+/Watch Neg BBB-/Watch Neg LNR CDO 2002-1 Ltd. G BB-/Watch Neg BB/Watch Neg LNR CDO 2002-1 Ltd. H B-/Watch Neg B/Watch Neg Newcastle CDO IV Ltd. I AA/Watch Neg AAA/Watch Neg Newcastle CDO IV Ltd. II-FL A+/Watch Neg AA/Watch Neg Newcastle CDO IV Ltd. II-FX A+/Watch Neg AA/Watch Neg Newcastle CDO IV Ltd. III-FL BBB/Watch Neg A/Watch Neg Newcastle CDO IV Ltd. III-FX BBB/Watch Neg A/Watch Neg Newcastle CDO IV Ltd. IV-FL BB/Watch Neg BBB/Watch Neg Newcastle CDO IV Ltd. IV-FX BB/Watch Neg BBB/Watch Neg Newcastle CDO IV Ltd. V B-/Watch Neg BB/Watch Neg Newcastle CDO V Ltd. I AA-/Watch Neg AAA/Watch Neg Newcastle CDO V Ltd. II-FL BBB/Watch Neg AA/Watch Neg Newcastle CDO V Ltd. III-FL BB+/Watch Neg A/Watch Neg Newcastle CDO V Ltd. IV-FL B+/Watch Neg BBB/Watch Neg Newcastle CDO V Ltd. IV-FX B+/Watch Neg BBB/Watch Neg Newcastle CDO V Ltd. V CCC+/Watch Neg BB/Watch Neg Newcastle CDO VI Ltd. I-B AA/Watch Neg AAA/Watch Neg Newcastle CDO VI Ltd. II BBB/Watch Neg AA-/Watch Neg Newcastle CDO VI Ltd. III-FL BB+/Watch Neg BBB+/Watch Neg Newcastle CDO VI Ltd. III-FX BB+/Watch Neg BBB+/Watch Neg Newcastle CDO VI Ltd. I-MM AA+/A-1+/Neg AAA/A-1+/Neg Newcastle CDO VI Ltd. IV-FL BB-/Watch Neg BB+/Watch Neg Newcastle CDO VI Ltd. IV-FX BB-/Watch Neg BB+/Watch Neg Newcastle CDO VI Ltd. V-Def CCC-/Watch Neg B-/Watch Neg Newcastle CDO VII Ltd. I-A A+/Watch Neg AAA/Watch Neg Newcastle CDO VII Ltd. I-B A-/Watch Neg AAA/Watch Neg Newcastle CDO VII Ltd. II BBB+/Watch Neg AA/Watch Neg Newcastle CDO VII Ltd. III BB+/Watch Neg A/Watch Neg Newcastle CDO VII Ltd. IV-FL B+/Watch Neg BBB/Watch Neg Newcastle CDO VII Ltd. IV-FX B+/Watch Neg BBB/Watch Neg Newcastle CDO VII Ltd. V CCC+/Watch Neg BB/Watch Neg Newcastle CDO X Ltd. A-1 AA+/Watch Neg AAA/Watch Neg Newcastle CDO X Ltd. A-2 AA/Watch Neg AAA/Watch Neg Newcastle CDO X Ltd. A-3 A-/Watch Neg AAA/Watch Neg Newcastle CDO X Ltd. B BBB+/Watch Neg AA/Watch Neg Newcastle CDO X Ltd. C BBB-/Watch Neg A/Watch Neg Newcastle CDO X Ltd. D B+/Watch Neg BBB/Watch Neg Newcastle CDO X Ltd. E B-/Watch Neg BBB-/Watch Neg Newcastle CDO X Ltd. F CCC+/Watch Neg BB/Watch Neg N-Star Real Estate CDO I Ltd. B-1 A/Watch Neg A+/Watch Neg N-Star Real Estate CDO I Ltd. B-2 A-/Watch Neg A/Watch Neg N-Star Real Estate CDO I Ltd. C-1A BBB+/Watch Neg A-/Watch Neg N-Star Real Estate CDO I Ltd. C-1B BBB+/Watch Neg A-/Watch Neg N-Star Real Estate CDO I Ltd. C-2 BBB-/Watch Neg BBB/Watch Neg N-Star Real Estate CDO I Ltd. D-1A BB-/Watch Neg BB+/Watch Neg N-Star Real Estate CDO I Ltd. D-1B BB-/Watch Neg BB+/Watch Neg N-Star Real Estate CDO II Ltd. B-1 AA+/Watch Neg AAA N-Star Real Estate CDO II Ltd. B-2 AA/Watch Neg AA+ N-Star Real Estate CDO II Ltd. C-1 A/Watch Neg AA- N-Star Real Estate CDO II Ltd. C-2A BBB-/Watch Neg BBB+ N-Star Real Estate CDO II Ltd. C-2B BBB-/Watch Neg BBB+ N-Star Real Estate CDO II Ltd. D B+/Watch Neg BB N-Star Real Estate CDO III A-1 AA/Watch Neg AAA/Watch Neg N-Star Real Estate CDO III A-2A A+/Watch Neg AA/Watch Neg N-Star Real Estate CDO III A-2B A+/Watch Neg AA/Watch Neg N-Star Real Estate CDO III B BBB/Watch Neg A-/Watch Neg N-Star Real Estate CDO III C-1A BB+/Watch Neg BBB+/Watch Neg N-Star Real Estate CDO III C-1B BB+/Watch Neg BBB+/Watch Neg N-Star Real Estate CDO III C-2A BB/Watch Neg BBB/Watch Neg N-Star Real Estate CDO III C-2B BB/Watch Neg BBB/Watch Neg N-Star Real Estate CDO III D B-/Watch Neg BB/Watch Neg N-Star Real Estate CDO V Ltd. A-1 A+/Watch Neg AAA/Watch Neg N-Star Real Estate CDO V Ltd. A-2 A-/Watch Neg AAA/Watch Neg N-Star Real Estate CDO V Ltd. B BBB/Watch Neg AA/Watch Neg N-Star Real Estate CDO V Ltd. C BB+/Watch Neg A/Watch Neg N-Star Real Estate CDO V Ltd. D B+/Watch Neg BBB/Watch Neg N-Star Real Estate CDO V Ltd. E B/Watch Neg BBB-/Watch Neg N-Star Real Estate CDO V Ltd. F CCC+/Watch Neg BB/Watch Neg N-Star Real Estate CDO VII A-2 AA/Watch Neg AAA/Watch Neg N-Star Real Estate CDO VII A-3 A+/Watch Neg AAA/Watch Neg N-Star Real Estate CDO VII B A-/Watch Neg AA/Watch Neg N-Star Real Estate CDO VII C BBB-/Watch Neg A/Watch Neg N-Star Real Estate CDO VII D-FL BB-/Watch Neg BBB/Watch Neg N-Star Real Estate CDO VII D-FX BB-/Watch Neg BBB/Watch Neg N-Star Real Estate CDO VII E B-/Watch Neg BB/Watch Neg Sorin Real Estate CDO I Ltd. A-1 A-/Watch Neg AAA/Watch Neg Sorin Real Estate CDO I Ltd. A-2 BBB+/Watch Neg AAA/Watch Neg Sorin Real Estate CDO I Ltd. B BBB-/Watch Neg AA/Watch Neg Sorin Real Estate CDO I Ltd. C BB/Watch Neg A/Watch Neg Sorin Real Estate CDO I Ltd. D B+/Watch Neg BBB/Watch Neg Sorin Real Estate CDO I Ltd. E B/Watch Neg BBB-/Watch Neg Sorin Real Estate CDO I Ltd. F CCC+/Watch Neg BB/Watch Neg Sorin Real Estate CDO II Ltd. A A-/Watch Neg AAA/Watch Neg Sorin Real Estate CDO II Ltd. B BBB/Watch Neg AA/Watch Neg Sorin Real Estate CDO II Ltd. C BB+/Watch Neg A/Watch Neg Sorin Real Estate CDO II Ltd. D B+/Watch Neg BBB/Watch Neg Sorin Real Estate CDO II Ltd. E B+/Watch Neg BBB-/Watch Neg Sorin Real Estate CDO II Ltd. F B-/Watch Neg BB+/Watch Neg Sorin Real Estate CDO II Ltd. G CCC/Watch Neg BB/Watch Neg Sorin Real Estate CDO II Ltd. H CCC-/Watch Neg BB/Watch Neg Sorin Real Estate CDO II Ltd. J CCC-/Watch Neg BB/Watch Neg Sorin Real Estate CDO II Ltd. SS A/Watch Neg AAA/Watch Neg Sorin Real Estate CDO II Ltd. X AA+/Watch Neg AAA/Watch Neg Sorin Real Estate CDO III Ltd. A-1 A+/Watch Neg AAA/Watch Neg Sorin Real Estate CDO III Ltd. A-2 BBB+/Watch Neg AAA/Watch Neg Sorin Real Estate CDO III Ltd. B BBB-/Watch Neg AA-/Watch Neg Sorin Real Estate CDO III Ltd. C-FL BB/Watch Neg A/Watch Neg Sorin Real Estate CDO III Ltd. C-FX BB/Watch Neg A/Watch Neg Sorin Real Estate CDO III Ltd. D B+/Watch Neg BBB/Watch Neg TIAA Real Estate CDO 2003-1 C-1 A-/Watch Neg A/Watch Neg TIAA Real Estate CDO 2003-1 C-2 A-/Watch Neg A/Watch Neg TIAA Real Estate CDO 2003-1 D BBB-/Watch Neg BBB/Watch Neg TIAA Real Estate CDO 2003-1 E B-/Watch Neg BB/Watch Neg TIAA Real Estate CDO 2003-1 PrfdEq B-/Watch Neg BB-/Watch Neg Vertical CRE CDO 2006-1 Ltd. A BBB+/Watch Neg AAA/Watch Neg Vertical CRE CDO 2006-1 Ltd. B BBB-/Watch Neg AA/Watch Neg Vertical CRE CDO 2006-1 Ltd. C BB/Watch Neg A/Watch Neg Vertical CRE CDO 2006-1 Ltd. D BB-/Watch Neg A-/Watch Neg Vertical CRE CDO 2006-1 Ltd. E B/Watch Neg BBB/Watch Neg Vertical CRE CDO 2006-1 Ltd. F B-/Watch Neg BBB-/Watch Neg Vertical CRE CDO 2006-1 Ltd. G CCC/Watch Neg BB+/Watch Neg Vertical CRE CDO 2006-1 Ltd. H CCC-/Watch Neg BB/Watch Neg Ratings Placed On Creditwatch Negative Rating ------ Transaction Class To From ----------- ----- -- ---- Crest 2002-IG Ltd. C A-/Watch Neg A- Crest 2002-IG Ltd. D BB+/Watch Neg BB+ Crest 2002-IG Ltd. Pfd Shr BB/Watch Neg BB G-Star 2002-1 Ltd. A-1MM AAA/A-1+/Watch Neg AAA/A-1+ G-Star 2002-1 Ltd. A-2 AAA/Watch Neg AAA G-Star 2002-2 Ltd. A-1MM-a AAA/A-1+/Watch Neg AAA/A-1+ G-Star 2002-2 Ltd. A-1MM-b AAA/A-1+/Watch Neg AAA/A-1+ G-Star 2002-2 Ltd. A-2 AAA/Watch AAA G-Star 2002-2 Ltd. A-3 AAA/Watch Neg AAA G-Star 2003-3 Ltd. Pfd Shr CCC-/Watch Neg CCC- Ratings Withdrawn Rating ------ Transaction Class To From ----------- ----- -- ---- Crest Clarendon Street 2002-1 Pref Shr NR BB-/Watch Neg Diversified REIT Trust 2000-1 A-2 NR AAA Diversified REIT Trust 2000-1 B NR AA Other Ratings Reviewed Transaction Class Rating ----------- ----- ------ Ajax Two Ltd. A-2A AAA Ajax Two Ltd. A-2B AAA Ajax Two Ltd. B AA+ Anthracite CDO I Ltd. A AAA/Watch Neg Anthracite CDO II Ltd. A AAA Crest 2002-IG Ltd. A AAA Crest 2002-IG Ltd. B AA+ Crest 2003-2 Ltd. A-1 AAA/Watch Neg Crest 2003-2 Ltd. A-2 AAA/Watch Neg Crest Clarendon Street 2002-1 A AAA Crest Dartmouth Street 2003-1 A AAA Crest Dartmouth Street 2003-1 B-1 A+ Crest Dartmouth Street 2003-1 B-2 A+ Crest Dartmouth Street 2003-1 Pfd Shr BB- Crest G-Star 2001-1 LP A AAA Diversified REIT Trust 2000-1 X AAA G-Star 2003-3 Ltd. A-1 AAA LNR CDO 2002-1 Ltd. A AAA/Watch Neg LNR CDO 2002-1 Ltd. B AA/Watch Neg Newcastle CDO X Ltd. S AAA/Watch Neg N-Star Real Estate CDO I Ltd. A-1 AAA N-Star Real Estate CDO I Ltd. A-2A AAA/Watch Neg N-Star Real Estate CDO I Ltd. A-2B AAA/Watch Neg N-Star Real Estate CDO II Ltd. A-1 AAA N-Star Real Estate CDO II Ltd. A-2A AAA N-Star Real Estate CDO II Ltd. A-2B AAA N-Star Real Estate CDO VII Ltd. A-1 AAA/Watch Neg TIAA Real Estate CDO 2003-1 A-1MM AAA/A-1+ TIAA Real Estate CDO 2003-1 B-1 AA+/Watch Neg TIAA Real Estate CDO 2003-1 B-2 AA+/Watch Neg NR - Not rated. * S&P Cuts Ratings on 2 Classes From 10 RMBS Transactions to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 91 classes from 10 U.S. residential mortgage-backed securities transactions issued in 2006 and 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 37 of the lowered ratings from CreditWatch negative. S&P also affirmed S&P's ratings on three classes from three of the downgraded transactions. 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 including S&P's roll-rate assumptions, or default curves that S&P utilize when S&P review subprime and Alternative-A transactions. For reperforming transactions, S&P generally 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. 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 adjusts 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. For more information regarding S&P's methodology for the surveillance of scratch-and-dent transactions, see "Surveillance Methodology And Assumptions For U.S. RMBS 'Scratch And Dent' Transactions," published Feb. 23, 2009. 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 thinks appropriate. Rating Actions Bear Stearns Asset Backed Securities Trust 2007-SD1 Series 2007-SD1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 07389QAA6 B AAA I-X 07389QAG3 AA AAA I-PO 07389QAB4 B AAA I-A-2A 07389QAC2 AA AAA I-A-2B 07389QAD0 B AAA I-A-3A 07389QAE8 AA AAA I-A-3B 07389QAF5 B AAA I-B-1 07389QAH1 CCC AA I-B-2 07389QAJ7 CC A I-B-3 07389QAK4 CC BBB I-B-4 07389QAV0 CC BB I-B-5 07389QAW8 CC B II-1A-1 07389QAL2 B AAA/Watch Neg II-1A-2 07389QAM0 CCC AAA/Watch Neg II-2A-1 07389QAN8 B AAA/Watch Neg II-2A-2 07389QAP3 CCC AAA/Watch Neg II-3A-1 07389QAQ1 B AAA/Watch Neg II-3A-2 07389QAR9 CCC AAA/Watch Neg II-B-1 07389QAS7 CC AA/Watch Neg II-B-2 07389QAT5 CC A/Watch Neg II-B-3 07389QAU2 CC BBB/Watch Neg II-B-4 07389QAZ1 CC BB/Watch Neg Bear Stearns Asset Backed Securities Trust 2007-SD2 Series 2007-SD2 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1A 07386UAA0 B AAA I-A-1B 07386UAB8 CCC AAA I-PO 07386UAC6 CCC AAA I-A-2A 07386UAD4 B AAA I-A-2B 07386UAE2 CCC AAA I-A-3A 07386UAF9 B AAA I-A-3B 07386UAG7 CCC AAA I-X 07386UAH5 B AAA I-B-1 07386UAJ1 CC A I-B-2 07386UAK8 CC BB I-B-3 07386UAL6 CC B II-A-2 07386UAN2 CCC BB II-M-1 07386UAP7 CCC B II-M-2 07386UAQ5 CC CCC CWABS Asset Backed Notes Trust 2007-SEA1 Series 2007-SEA1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 23248AAA9 B AAA 1-M-1 23248AAB7 CCC AA+ 1-M-2 23248AAC5 CCC AA 1-M-3 23248AAD3 CC A+ 1-M-4 23248AAE1 CC A 1-M-5 23248AAF8 CC BBB+ 1-M-6 23248AAG6 CC BBB 1-B-1 23248AAH4 CC BBB- 2-A-1 23248AAJ0 AA AAA 2-M-1 23248AAK7 CCC AA+ 2-M-2 23248AAL5 CCC AA 2-M-3 23248AAM3 CC A+ 2-M-4 23248AAN1 CC A 2-M-5 23248AAP6 CC BBB+ 2-M-6 23248AAQ4 CC BBB 2-B-1 23248AAR2 CC BBB- CWABS Asset-Backed Notes Trust 2007-SD1 Series 2007-SD1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 12669TAA1 B AAA/Watch Neg M-1 12669TAH6 CCC AA+/Watch Neg M-2 12669TAJ2 CC AA/Watch Neg M-3 12669TAK9 CC A+/Watch Neg M-4 12669TAL7 CC A/Watch Neg GSAMP Trust Series 2007-SEA1 Series 2007-SEA1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 3622MLAB3 BB AA M-2 3622MLAC1 CCC A B-1 3622MLAD9 CC BBB+ B-2 3622MLAE7 CC BBB B-3 3622MLAF4 CC BBB- MASTR Specialized Loan Trust 2006-02 Series 2006-02 Rating ------ Class CUSIP To From ----- ----- -- ---- A 57643AAA8 B AAA/Watch Neg M-1 57643AAB6 CCC AA+/Watch Neg M-2 57643AAC4 CC AA/Watch Neg M-3 57643AAD2 CC AA-/Watch Neg M-4 57643AAE0 CC A+/Watch Neg M-5 57643AAF7 CC A/Watch Neg M-6 57643AAG5 D A-/Watch Neg MASTR Specialized Loan Trust 2007-01 Series 2007-01 Rating ------ Class CUSIP To From ----- ----- -- ---- A 57645KAA4 CCC AAA/Watch Neg M-1 57645KAB2 CC AA+/Watch Neg M-2 57645KAC0 CC AA/Watch Neg M-3 57645KAD8 CC AA-/Watch Neg M-4 57645KAE6 CC A+/Watch Neg M-5 57645KAF3 CC A/Watch Neg MASTR Specialized Loan Trust 2007-2 Series 2007-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A 55291QAA2 B AAA/Watch Neg M-1 55291QAB0 CCC AA+/Watch Neg M-2 55291QAC8 CCC AA+/Watch Neg M-3 55291QAD6 CC AA/Watch Neg M-4 55291QAE4 CC AA-/Watch Neg M-5 55291QAF1 CC A+/Watch Neg M-6 55291QAG9 CC A/Watch Neg M-7 55291QAH7 CC A-/Watch Neg M-8 55291QAJ3 D BBB+/Watch Neg RAAC Series 2007-RP3 Trust Series 2007-RP3 Rating ------ Class CUSIP To From ----- ----- -- ---- A 74978BAA6 B AAA M-1 74978BAB4 CCC AA RAAC Series 2007-SP3 Trust Series 2007-SP3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 74978FAH2 B AAA M-1 74978FAB5 CCC AA M-2 74978FAC3 CC A M-3 74978FAD1 CC BBB+ M-4 74978FAE9 CC BBB Ratings Affirmed Bear Stearns Asset Backed Securities Trust 2007-SD2 Series 2007-SD2 Class CUSIP Rating ----- ----- ------ II-A-1 07386UAM4 BB GSAMP Trust Series 2007-SEA1 Series 2007-SEA1 Class CUSIP Rating ----- ----- ------ A 3622MLAA5 AAA RAAC Series 2007-SP3 Trust Series 2007-SP3 Class CUSIP Rating ----- ----- ------ A-1 74978FAA7 AAA * S&P Cuts Ratings on 4 Classes From 32 Alt-A RMBS Deals to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 91 classes from 32 U.S. Alternative-A residential mortgage-backed securities transactions issued from 2002 to 2004. S&P removed 18 of the lowered ratings from CreditWatch with negative implications. Concurrently, S&P affirmed its ratings on 378 other classes of certificates from the downgraded transactions as well as 16 other deals and removed 62 of the affirmed ratings from CreditWatch with negative implications. For the deals with outstanding subordinate bonds, to assess the creditworthiness of each class, S&P reviewed the individual delinquency and loss trends of each transaction for changes, if any, in risk characteristics, servicing, and the expected ability to withstand additional credit deterioration. To maintain a 'AAA' rating for Alt-A transactions, 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 lass, 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. 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. Additionally, some structures may utilize overcollateralization and excess interest as credit enhancement. The collateral backing these transactions originally consisted predominantly of Alt-A, fixed-rate or adjustable-rate residential mortgage loans secured by one- to four-family properties. The affirmed ratings on these transactions reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. The downgrades, affirmations, and CreditWatch resolutions on these transactions incorporate S&P's current and projected losses based on the dollar amounts of loans currently in the transactions' delinquency, foreclosure, and real estate owned pipelines, as well as S&P's projection of future defaults. S&P also incorporated cumulative losses to date in S&P's analysis when determining rating outcomes. S&P monitors these transactions to incorporate updated losses and delinquency pipeline performance to assess whether, in S&P's view, the applicable credit enhancement features are sufficient to support the current ratings. S&P will continue to monitor these transactions and take additional rating actions as S&P thinks appropriate. Rating Actions Adjustable Rate Mortgage Trust 2004-1 Series 2004-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 007036AA4 AAA AAA/Watch Neg 1-A-1X 007036BD7 AAA AAA/Watch Neg 2-A-1 007036AB2 AAA AAA/Watch Neg 3-A-1 007036AC0 AAA AAA/Watch Neg 4-A-1 007036AD8 AAA AAA/Watch Neg 5-A-1 007036AE6 AAA AAA/Watch Neg 6-A-1 007036AF3 AAA AAA/Watch Neg 8-A-1 007036AH9 AAA AAA/Watch Neg 9-A-1-1 007036BE5 AAA AAA/Watch Neg 9-A-1-2 007036BF2 AAA AAA/Watch Neg 9-A-2 007036AK2 AAA AAA/Watch Neg 9-A-4 007036AM8 AAA AAA/Watch Neg 9-A-5 007036AN6 AAA AAA/Watch Neg 9-A-6 007036BG0 AAA AAA/Watch Neg C-B-1 007036AT3 AA AA/Watch Neg C-B-1X 007036AW6 AA AA/Watch Neg C-B-2 007036AU0 A- A-/Watch Neg C-B-3 007036AV8 CCC BBB-/Watch Neg C-B-4 007036AZ9 CC BB/Watch Neg 9-M-1 007036AP1 A AA/Watch Neg 9-M-2 007036AQ9 D A/Watch Neg 9-M-3 007036AR7 D BBB+/Watch Neg Adjustable Rate Mortgage Trust 2004-2 Series 2004-2 Rating ------ Class CUSIP To From ----- ----- -- ---- 7-A-1-1 007036BV7 AAA AAA/Watch Neg 7-A-1-2 007036BW5 AAA AAA/Watch Neg 7-A-2 007036BX3 AAA AAA/Watch Neg 7-A-3 007036BY1 AAA AAA/Watch Neg 7-A-4 007036BZ8 AAA AAA/Watch Neg 7-A-6 007036CB0 AAA AAA/Watch Neg C-B-1 007036CG9 B AA C-B-1X 007036DK9 B AA C-B-2 007036CH7 CC A- C-B-3 007036CJ3 CC BBB- C-B-4 007036CM6 D BB 7-M-1 007036CC8 AA AA/Watch Neg 7-M-2 007036CD6 BBB A/Watch Neg 7-M-3 007036CE4 CC BBB+/Watch Neg Adjustable Rate Mortgage Trust 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 007036DL7 AAA AAA/Watch Neg 2-A-1 007036DM5 AAA AAA/Watch Neg 3-A-1 007036DN3 AAA AAA/Watch Neg 4-A-1 007036DP8 AAA AAA/Watch Neg 5-A-1-1 007036DQ6 AAA AAA/Watch Neg 5-A-1-2 007036EM4 AAA AAA/Watch Neg 5-A-2 007036DR4 AAA AAA/Watch Neg 5-A-3 007036DS2 AAA AAA/Watch Neg 5-A-4 007036DT0 AAA AAA/Watch Neg 5-A-5-1 007036DU7 AAA AAA/Watch Neg 5-A-5-2 007036DV5 AAA AAA/Watch Neg C-B-1 007036EA0 AA AA/Watch Neg C-B-1X 007036ED4 AA AA/Watch Neg C-B-2 007036EB8 CCC A/Watch Neg C-B-3 007036EC6 CC BBB/Watch Neg C-B-4 007036EG7 CC BB/Watch Neg 5-M-1 007036DW3 BB AA/Watch Neg 5-M-2 007036DX1 CC A/Watch Neg Adjustable Rate Mortgage Trust 2004-5 Series 2004-5 Rating ------ Class CUSIP To From ----- ----- -- ---- 7-A-1-1 007036EU6 AAA AAA/Watch Neg 7-A-1-2 007036EV4 AAA AAA/Watch Neg 7-A-2 007036EW2 AAA AAA/Watch Neg C-B-2 007036FC5 B AA C-B-3 007036FD3 CCC A C-B-4 007036FE1 CC BBB+ C-B-5 007036FH4 D BB/Watch Neg 7-M-1 007036EX0 BBB AA/Watch Neg 7-M-2 007036EY8 CC A/Watch Neg Alternative Loan Trust 2002-15CB Series 2002-28 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 12669DDN5 CCC BBB Alternative Loan Trust 2002-17 Series 2002-33 Rating ------ Class CUSIP To From ----- ----- -- ---- A-3 12669DJM1 AAA AAA/Watch Neg A-4 12669DJN9 AAA AAA/Watch Neg Alternative Loan Trust 2003-21T1 Series 2003-55 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 12669E7R1 B A B-2 12669E7S9 CC BBB B-3 12669FAA1 CC BB Alternative Loan Trust 2003-3T1 Series 2003-9 Rating ------ Class CUSIP To From ----- ----- -- ---- A-5 12669D6W3 AAA AAA/Watch Neg B-2 12669D7G7 BBB A B-3 12669D3Z9 CCC BB B-4 12669D4A3 CC B Alternative Loan Trust 2004-25CB Series 2004-25CB Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 12667FWN1 CCC A B-2 12667FWP6 CC BBB B-3 12667FWR2 CC BB Alternative Loan Trust 2004-36CB Series 2004-36CB Rating ------ Class CUSIP To From ----- ----- -- ---- M 12667FR98 B AA B-1 12667FS22 CCC A B-2 12667FS30 CC BBB B-3 12667FS48 CC BB Alternative Loan Trust 2004-8CB Series 2004-8CB Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 12667FGM1 BB A M-3 12667FGN9 CC BBB Alternative Loan Trust 2004-J13 Series 2004-J13 Rating ------ Class CUSIP To From ----- ----- -- ---- B 12667FD51 CC BBB Alternative Loan Trust 2004-J4 Series 2004-J4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-5 12667FFK6 AAA AAA/Watch Neg 1-A-6 12667FFL4 AAA AAA/Watch Neg Alternative Loan Trust 2004-J5 Series 2004-J5 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 12667FLM5 BBB A B 12667FLN3 CC BB Alternative Loan Trust 2004-J7 Series 2004-J7 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 12667FTF2 CCC A B 12667FTG0 CC BBB Alternative Loan Trust 2004-J9 Series 2004-J9 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 12667FUL7 BBB A B 12667FUM5 CCC BBB American Home Mortgage Investment Trust 2004-2 Series 2004-2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 02660TBG7 BB A M-3 02660TBH5 CCC BBB American Home Mortgage Investment Trust 2004-3 Series 2004-3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-H2 02660TBW2 CCC A M-H3 02660TBX0 CC BBB M-F3 02660TCA9 CCC BBB American Home Mortgage Investment Trust 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 02660TCH4 CCC AA M-2 02660TCV3 CC BBB VI-M-3 02660TCN1 BBB A- VI-B-1 02660TCP6 B BBB+ VI-B-2 02660TCQ4 CCC BBB VI-B-3 02660TCR2 CC BBB- RAAC Series 2004-SP1 Trust Series 2004-SP1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 7609855Z0 B A M-3 7609855Y3 CCC BBB RAAC Series 2004-SP3 Trust Series 2004-SP3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-II-3 76112BEV8 BB BBB M-II-4 76112BEW6 B BBB- RALI Series 2004-QS12 Trust Series 2004-QS12 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 76110HYZ6 B A M-3 76110HZA0 CCC BBB B-1 76110HZB8 CC BB Residential Asset Securitization Trust 2002-A12 Series 2002-L Rating ------ Class CUSIP To From ----- ----- -- ---- A-4 45660NHW8 AAA AAA/Watch Neg Residential Asset Securitization Trust 2002-A14J Series 2002-N Rating ------ Class CUSIP To From ----- ----- -- ---- A-4 45660NKT1 AAA AAA/Watch Neg Residential Asset Securitization Trust 2003-A7 Series 2003-G Rating ------ Class CUSIP To From ----- ----- -- ---- A-8 45660NSE6 AAA AAA/Watch Neg B-3 45660NSS5 CCC BBB B-4 45660NST3 CCC BB B-5 45660NSU0 CCC B RFMSI Series 2003-S20 Trust Series 2003-S20 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-5 76111XDV2 AAA AAA/Watch Neg I-B-2 76111XEN9 CCC B Specialty Underwriting and Residential Finance Trust Series 2004-AA1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 84751PDR7 B BBB B-4 84751PDS5 CC BB Structured Adjustable Rate Mortgage Loan Trust Series 2004-7 Rating ------ Class CUSIP To From ----- ----- -- ---- M1 86359BRX1 BBB AA M2 86359BRY9 B A Structured Asset Securities Corp. Series 2002-23XS Rating ------ Class CUSIP To From ----- ----- -- ---- M2 86359ADP5 CCC A Structured Asset Securities Corp. Series 2003-12XS Rating ------ Class CUSIP To From ----- ----- -- ---- M1 86359AQM8 B BBB Structured Asset Securities Corp. Series 2003-18XS Rating ------ Class CUSIP To From ----- ----- -- ---- A5 86359AWK5 AAA AAA/Watch Neg A6 86359AWL3 AAA AAA/Watch Neg A7 86359AYB3 AAA AAA/Watch Neg M1 86359AWN9 AA AA/Watch Neg M2 86359AWP4 A A/Watch Neg Structured Asset Securities Corp. Series 2003-25XS Rating ------ Class CUSIP To From ----- ----- -- ---- A5 86359AK36 AAA AAA/Watch Neg A6 86359AK44 AAA AAA/Watch Neg M1 86359AK69 AA AA/Watch Neg Structured Asset Securities Corp. Series 2003-28XS Rating ------ Class CUSIP To From ----- ----- -- ---- A5 86359AQ55 BBB AAA/Watch Neg A-6 86359AQ63 BBB AAA/Watch Neg M1 86359AQ71 CCC AA M2 86359AQ89 CC BBB/Watch Neg Structured Asset Securities Corp. Series 2003-36XS Rating ------ Class CUSIP To From ----- ----- -- ---- A5 86359BAU5 AAA AAA/Watch Neg M1 86359BAW1 B AA M2 86359BAX9 CCC B Structured Asset Securities Corp. Series 2004-2AC Rating ------ Class CUSIP To From ----- ----- -- ---- B3 86359BFT3 B BBB B4 86359BFV8 CCC BB B5 86359BFW6 CC B Structured Asset Securities Corp. Series 2004-6XS Rating ------ Class CUSIP To From ----- ----- -- ---- A5B 86359BMB4 AAA AAA/Watch Neg M2 86359BJW2 BB BBB M3 86359BJX0 CC BB Structured Asset Securities Corp. Series 2004-9XS Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A5 86359BRC7 AAA AAA/Watch Neg 1-A6 86359BRD5 AAA AAA/Watch Neg 2-M2 86359BRQ6 A+ AA- M3 86359BRR4 CC BBB+ Structured Asset Securities Corporation Series 2004-21XS Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A4 86359BN64 AAA AAA/Watch Neg 2-M1 86359BQ46 CCC AA 1-M2 86359BQ38 B A 2-M2 86359BQ53 CCC A M3 86359BQ61 CC BBB Ratings Affirmed Adjustable Rate Mortgage Trust 2004-2 Series 2004-2 Class CUSIP Rating ----- ----- ------ 1-A-1 007036BM7 AAA 2-A-1 007036BN5 AAA 2-A-X 007036BQ8 AAA 2-A-2 007036BP0 AAA 3-A-1 007036BR6 AAA 3-A-X 007036DF0 AAA 4-A-1 007036BS4 AAA 4-A-3 007036DH6 AAA 5-A-1 007036BT2 AAA 6-A-1 007036BU9 AAA 4-A-X 007036DJ2 AAA Adjustable Rate Mortgage Trust 2004-5 Series 2004-5 Class CUSIP Rating ----- ----- ------ 1-A-1 007036EN2 AAA 2-A-1 007036EP7 AAA 3-A-1 007036EQ5 AAA 4-A-1 007036ER3 AAA 5-A-1 007036ES1 AAA 6-A-1 007036ET9 AAA C-B-1 007036FB7 AA+ Alternative Loan Trust 2002-15CB Series 2002-28 Class CUSIP Rating ----- ----- ------ A-1 12669DDG0 AAA X 12669DDH8 AAA PO 12669DDJ4 AAA M 12669DDL9 AA+ B-1 12669DDM7 AA- Alternative Loan Trust 2002-16 Series 2002-29 Class CUSIP Rating ----- ----- ------ A-1 12669DFG8 AAA A-2 12669DFH6 AAA A-3 12669DFJ2 AAA A-8 12669DFP8 AAA PO 12669DFQ6 AAA M 12669DFS2 AAA B-1 12669DFT0 AA+ B-2 12669DFU7 A Alternative Loan Trust 2002-17 Series 2002-33 Class CUSIP Rating ----- ----- ------ A-5 12669DJP4 AAA A-6 12669DJQ2 AAA A-7 12669DJR0 AAA A-8 12669DJS8 AAA A-16 12669DKA5 AAA A-17 12669DKB3 AAA PO 12669DKC1 AAA M 12669DKE7 AAA B-1 12669DKF4 AAA B-2 12669DKG2 AA- Alternative Loan Trust 2002-18 Series 2002-37 Class CUSIP Rating ----- ----- ------ A-2 12669DQQ4 AAA A-3 12669DQR2 AAA A-4 12669DQS0 AAA A-5 12669DQT8 AAA A-6 12669DQU5 AAA A-7 12669DQV3 AAA A-19 12669DRH3 AAA A-20 12669DRJ9 AAA A-21 12669DRK6 AAA A-22 12669DRL4 AAA A-31 12669DRV2 AAA A-32 12669DRW0 AAA A-33 12669DRX8 AAA PO 12669DRY6 AAA M 12669DSA7 AAA B-1 12669DSB5 AA B-2 12669DSC3 BBB+ Alternative Loan Trust 2003-21T1 Series 2003-55 Class CUSIP Rating ----- ----- ------ A-1 12669E7F7 AAA A-2 12669E7G5 AAA A-3 12669E7H3 AAA A-4 12669E7J9 AAA A-5 12669E7K6 AAA A-6 12669E7L4 AAA A-7 12669E7M2 AAA A-8 12669E7N0 AAA PO 12669E7P5 AAA M 12669E7Q3 AA Alternative Loan Trust 2003-3T1 Series 2003-9 Class CUSIP Rating ----- ----- ------ A-1 12669D6S2 AAA A-2 12669D6T0 AAA A-3 12669D6U7 AAA A-4 12669D6V5 AAA A-6 12669D6X1 AAA A-7 12669D6Y9 AAA A-8 12669D6Z6 AAA A-9 12669D7A0 AAA A-10 12669D7B8 AAA PO 12669D7C6 AAA M 12669D7E2 AAA B-1 12669D7F9 AA Alternative Loan Trust 2004-25CB Series 2004-25CB Class CUSIP Rating ----- ----- ------ A-1 12667FWJ0 AAA PO 12667FWK7 AAA M 12667FWM3 AA Alternative Loan Trust 2004-36CB Series 2004-36CB Class CUSIP Rating ----- ----- ------ 1-A-1 12667FR23 AAA 2-A-1 12667FR31 AAA 2-A-2 12667FR49 AAA 2-A-3 12667FR56 AAA 2-A-4 12667FR64 AAA PO 12667FR72 AAA Alternative Loan Trust 2004-6CB Series 2004-6CB Class CUSIP Rating ----- ----- ------ A 12667FCW3 AAA M-1 12667FCX1 A M-2 12667FCY9 BB M-3 12667FCZ6 CCC Alternative Loan Trust 2004-8CB Series 2004-8CB Class CUSIP Rating ----- ----- ------ A 12667FGK5 AAA M-1 12667FGL3 AA Alternative Loan Trust 2004-J13 Series 2004-J13 Class CUSIP Rating ----- ----- ------ 1-A-2 12667FC78 AAA 1-A-3 12667FC86 AAA 1-A-4 12667FC94 AAA 2-A-1 12667FD28 AAA 2-A-2 12667FS89 AAA M-1 12667FD36 AA M-2 12667FD44 A Alternative Loan Trust 2004-J4 Series 2004-J4 Class CUSIP Rating ----- ----- ------ 1-A-4 12667FFJ9 AAA 1-A-7 12667FFV2 AAA 2-A-1 12667FFN0 AAA M-1 12667FFQ3 AA+ M-2 12667FFR1 A+ B 12667FFS9 BBB+ Alternative Loan Trust 2004-J5 Series 2004-J5 Class CUSIP Rating ----- ----- ------ 1-A-4 12667FLE3 AAA 1-A-5 12667FLF0 AAA 1-A-6 12667FLG8 AAA 2-A-1 12667FLJ2 AAA 2-A-3 12667FNG6 AAA 2-A-4 12667FNH4 AAA M-1 12667FLL7 AA Alternative Loan Trust 2004-J7 Series 2004-J7 Class CUSIP Rating ----- ----- ------ 1-A-3 12667FSX4 AAA 1-A-4 12667FSZ9 AAA 1-A-5 12667FTA3 AAA 1-A-6 12667FSY2 AAA 2-A-1 12667FTL9 AAA 3-A-1 12667FTM7 AAA M-1 12667FTE5 AA Alternative Loan Trust 2004-J9 Series 2004-J9 Class CUSIP Rating ----- ----- ------ 1-A-2 12667FTV7 AAA 1-A-3 12667FTW5 AAA 1-A-4 12667FTX3 AAA 1-A-5 12667FTY1 AAA 1-A-IO 12667FUA1 AAA 2-A-1 12667FUB9 AAA 2-A-IO 12667FUC7 AAA 3-A-3 12667FUF0 AAA 3-A-4 12667FUG8 AAA 3-A-5 12667FUH6 AAA 3-A-IO 12667FUJ2 AAA M-1 12667FUK9 AA American Home Mortgage Investment Trust 2004-2 Series 2004-2 Class CUSIP Rating ----- ----- ------ I-A 02660TAV5 AAA II-A 02660TAW3 AAA III-A 02660TAX1 AAA IV-A-4 02660TBB8 AAA IV-A-5 02660TBC6 AAA IV-A-6 02660TBD4 AAA V-A 02660TBE2 AAA M-1 02660TBF9 AA American Home Mortgage Investment Trust 2004-3 Series 2004-3 Class CUSIP Rating ----- ----- ------ I-A 02660TBK8 AAA II-A 02660TBL6 AAA III-A 02660TBM4 AAA IV-A 02660TBN2 AAA V-A 02660TBP7 AAA M-H1 02660TBV4 AA VI-A1 02660TBQ5 AAA VI-A4 02660TBT9 AAA VI-A5 02660TBU6 AAA M-F1 02660TBY8 AA M-F2 02660TBZ5 A American Home Mortgage Investment Trust 2004-4 Series 2004-4 Class CUSIP Rating ----- ----- ------ I-A-1 02660TCC5 AAA I-A-2 02660TCD3 AAA II-A-1 02660TCE1 AAA II-A-2 02660TCF8 AAA III-A 02660TCG6 AAA IV-A 02660TCS0 AAA V-A 02660TCT8 AAA VI-A-1 02660TCJ0 AAA VI-A-2 02660TCK7 AAA VI-M-1 02660TCL5 AA VI-M-2 02660TCM3 A VII-A 02660TCU5 BBB+ Ameriquest Mortgage Securities Inc. Series 2003-IA1 Class CUSIP Rating ----- ----- ------ A-4 03072SLD5 AAA A-5 03072SLE3 AAA A-6 03072SLF0 AAA MV-1 03072SLL7 AA MF-1 03072SLG8 AA M-2 03072SLH6 A M-3 03072SLJ2 BBB RAAC Series 2004-SP1 Trust Series 2004-SP1 Class CUSIP Rating ----- ----- ------ A-I-3 7609855T4 AAA A-I-4 7609855U1 AAA A-II 7609855V9 AAA M-1 7609855X5 AA RAAC Series 2004-SP3 Trust Series 2004-SP3 Class CUSIP Rating ----- ----- ------ A-I-2 76112BEL0 AAA A-I-3 76112BEM8 AAA A-I-4 76112BEN6 AAA A-I-5 76112BFB1 AAA A-II 76112BES5 AAA M-I-1 76112BEP1 AA M-I-2 76112BEQ9 A M-I-3 76112BER7 BBB M-II-1 76112BET3 AA M-II-2 76112BEU0 A RALI Series 2001-QS17 Trust Series 2001-QS17 Class CUSIP Rating ----- ----- ------ A-11 76110GTE1 AAA A-P 76110GTF8 AAA A-V 76110GTG6 AAA RALI Series 2002-QS9 Trust Series 2002-QS9 Class CUSIP Rating ----- ----- ------ A-1 76110GE80 AAA A-2 76110GE98 AAA A-10 76110GF97 AAA A-P 76110GG21 AAA A-V 76110GG39 AAA M-1 76110GG62 AAA M-2 76110GG70 AAA M-3 76110GG88 AA B-1 76110GG96 A- RALI Series 2003-QA1 Trust Series 2003-QA1 Class CUSIP Rating ----- ----- ------ A-1 76110HPF0 AAA A-II 76110HPG8 AAA M-1 76110HPH6 AA M-2 76110HPJ2 A RALI Series 2004-QA1 Trust Series 2004-QA1 Class CUSIP Rating ----- ----- ------ A-I 76110HRL5 AAA A-II 76110HRM3 AAA M-1 76110HRN1 AA M-2 76110HRP6 BBB M-3 76110HRQ4 BB RALI Series 2004-QA2 Trust Series 2004-QA2 Class CUSIP Rating ----- ----- ------ A-I 76110HVT3 AAA A-II 76110HVU0 AAA M-1 76110HVV8 AA M-2 76110HVW6 A M-3 76110HVX4 BBB RALI Series 2004-QS12 Trust Series 2004-QS12 Class CUSIP Rating ----- ----- ------ A-1 76110HYN3 AAA A-2 76110HYP8 AAA A-3 76110HYQ6 AAA A-4 76110HYR4 AAA A-5 76110HYS2 AAA A-6 76110HYT0 AAA A-P 76110HYU7 AAA A-V 76110HYV5 AAA M-1 76110HYY9 AA Residential Asset Securitization Trust 2002-A12 Series 2002-L Class CUSIP Rating ----- ----- ------ PO 45660NHX6 AAA A-X 45660NHM0 AAA 2-A-9 45660NJD8 AAA B-1 45660NJA4 AAA B-2 45660NJB2 AAA B-3 45660NJC0 AA+ Residential Asset Securitization Trust 2002-A14J Series 2002-N Class CUSIP Rating ----- ----- ------ A-9 45660NKY0 AAA A-10 45660NKZ7 AAA PO 45660NLA1 AAA A-X 45660NLB9 AAA B-1 45660NLD5 AA+ B-2 45660NLE3 AA B-3 45660NLF0 A+ Residential Asset Securitization Trust 2003-A7 Series 2003-G Class CUSIP Rating ----- ----- ------ A-3 45660NRZ0 AAA A-4 45660NSA4 AAA A-5 45660NSB2 AAA A-7 45660NSD8 AAA A-9 45660NSF3 AAA A-10 45660NSG1 AAA A-11 45660NSH9 AAA A-12 45660NSJ5 AAA PO 45660NSM8 AAA A-X 45660NSN6 AAA B-1 45660NSQ9 AA B-2 45660NSR7 A RFMSI Series 2003-S20 Trust Series 2003-S20 Class CUSIP Rating ----- ----- ------ I-A-1 76111XDR1 AAA I-A-2 76111XDS9 AAA I-A-3 76111XDT7 AAA I-A-4 76111XDU4 AAA I-A-6 76111XDW0 AAA I-A-7 76111XDX8 AAA I-A-8 76111XDY6 AAA I-A-9 76111XDZ3 AAA II-A-1 76111XEA7 AAA I-A-P 76111XEW9 AAA I-A-V 76111XEC3 AAA II-A-P 76111XEB5 AAA II-A-V 76111XED1 AAA I-M-1 76111XEJ8 AA II-M-1 76111XET6 AA I-M-2 76111XEK5 A II-M-2 76111XEU3 A I-M-3 76111XEL3 BBB II-M-3 76111XEV1 BBB I-B-1 76111XEM1 BB II-B-1 76111XEQ2 BB II-B-2 76111XER0 B Specialty Underwriting and Residential Finance Trust Series 2004-AA1 Class CUSIP Rating ----- ----- ------ I-A-1 84751PDE6 AAA II-A-1 84751PDF3 AAA II-A-2 84751PDG1 AAA II-A3 84751PDH9 AAA I-PO 84751PDJ5 AAA II-PO 84751PDK2 AAA I-IO 84751PDL0 AAA II-IO 84751PDM8 AAA B-1 84751PDP1 AA B-2 84751PDQ9 A Structured Adjustable Rate Mortgage Loan Trust Series 2004-7 Class CUSIP Rating ----- ----- ------ A1 86359BRS2 AAA A3 86359BRV5 AAA A4 86359BRW3 AAA Structured Asset Securities Corp. Series 2002-23XS Class CUSIP Rating ----- ----- ------ A7 86359ADL4 AAA M1 86359ADN0 AA Structured Asset Securities Corp. Series 2003-3XS Class CUSIP Rating ----- ----- ------ A8 86359AKD4 AAA M1 86359AKF9 BBB M2 86359AKG7 CCC Structured Asset Securities Corp. Series 2003-12XS Class CUSIP Rating ----- ----- ------ A5 86359AQK2 AAA Structured Asset Securities Corp. Series 2003-28XS Class CUSIP Rating ----- ----- ------ A4 86359AQ48 AAA Structured Asset Securities Corp. Series 2003-36XS Class CUSIP Rating ----- ----- ------ A4 86359BAT8 AAA Structured Asset Securities Corp. Series 2004-2AC Class CUSIP Rating ----- ----- ------ A1 86359BFN6 AAA A2 86359BFP1 AAA AX 86359BFQ9 AAA B1 86359BFR7 AA B2 86359BFS5 A Structured Asset Securities Corp. Series 2004-6XS Class CUSIP Rating ----- ----- ------ A3 86359BJR3 AAA A5A 86359BJT9 AAA A6 86359BJU6 AAA M1 86359BJV4 AA+ Structured Asset Securities Corp. Series 2004-9XS Class CUSIP Rating ----- ----- ------ 1-A4A 86359BRB9 AAA 1-A4B 86359BRH6 AAA 1-A4C 86359BRJ2 AAA 1-A4D 86359BRK9 AAA 2-A1 86359BRE3 AAA 1-M1 86359BRF0 AA+ 2-M1 86359BRP8 AA+ 1-M2 86359BRG8 A+ Structured Asset Securities Corporation Series 2004-21XS Class CUSIP Rating ----- ----- ------ 1-A3 86359BN56 AAA 1-A5 86359BN72 AAA 2-A3 86359BP39 AAA 2-A4A 86359BP47 AAA 2-A4B 86359BP54 AAA 2-A5A 86359BP62 AAA 2-A5B 86359BP70 AAA 2-A6A 86359BP88 AAA 2-6B 86359BP96 AAA 1-M1 86359BQ20 AA * S&P Cuts Ratings on Two Classes From Six RMBS Transactions ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 15 classes from six U.S. residential mortgage-backed securities transactions issued from 2003 to 2007 and removed two of the lowered ratings from CreditWatch with negative implications. S&P categorizes these transactions as "scratch and dent" RMBS due to the nature of the underlying collateral. In addition, S&P affirmed its ratings on 79 classes from the same transactions and on three additional transactions, and removed two of the affirmed ratings from CreditWatch negative. Scratch-and-dent transactions generally fall into one of four categories depending on the characteristics of the underlying loan collateral: reperforming loans, outside-the-guidelines loans, document-deficient loans, and nonperforming liquidating trusts. The downgrades and affirmations incorporate S&P's projected losses, which S&P bases on factors including the dollar amount of losses S&P has observed within the transactions over the prior 12 months; the current delinquency pipeline, which factors in S&P's roll-rate assumptions; and the default curves S&P use when reviewing subprime transactions. S&P lowered its ratings to 'D' on class B5-1 from Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-RF3 and class B-4 from Fannie Mae REMIC Trust 2004-W3 because they each experienced a principal write- down. Generally, for reperforming transactions, S&P used the historical dollar losses of the pool to calculate a monthly default rate, which S&P then applied to the pool under different constant prepayment rate assumptions. In each scenario, S&P compared its loss projections with the amount of subordination and applicable excess interest available for each class 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 adjusts the projection according to credit enhancement multiples that are specific to each rating category. Typically, if the ratio of credit enhancement to remaining losses for a class is commensurate with the level associated with the current rating on the class, S&P will affirm the rating. The downgrades reflect S&P's belief that the amount of credit enhancement available for the 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. Credit support for these transactions is provided by the subordination of more-junior classes within each applicable structure, as well as excess interest for the ACE Securities Corp. Home Equity Loan Trust 2006-SD2 transaction. In addition, some of the transactions S&P reviewed may be collateralized by loans insured by third parties that cover a certain amount of losses, 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, reperforming, subprime, or Alt-A residential 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 ACE Securities Corp. Home Equity Loan Trust, Series 2006-SD2 Series 2006-SD2 Rating ------ Class CUSIP To From ----- ----- -- ---- A 00442MAA5 AAA AAA/Watch Neg M-1 00442MAB3 AA+ AA+/Watch Neg M-2 00442MAC1 CCC AA-/Watch Neg M-3 00442MAD9 CC A/Watch Neg Fannie Mae REMIC Trust 2004-W14 Series 2004-W14 Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 31394BU51 CCC B Fannie Mae REMIC Trust 2004-W3 Series 2004-W3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 31393XD95 D B Reperforming Loan REMIC Trust 2003-R3 Series 2003-T-058 Rating ------ Class CUSIP To From ----- ----- -- ---- B3 12669E2T2 B- BB Structured Asset Secs Corp. Mtg Ln Trust Ser 2006-RF3 Series 2006-RF3 Rating ------ Class CUSIP To From ----- ----- -- ---- B1-1 863592AH4 A AA+ B2-1 863592AJ0 B AA B3-1 863592AK7 CCC BBB+ B4-1 863592AL5 CC BB B5-1 863592AM3 D B Structured Asset Securities Corporation Mortgage Loan Trust, Series 2007-RF2 Rating ------ Class CUSIP To From ----- ----- -- ---- B1 86365CAD3 A AA B2 86365CAE1 B A B3 86365CAF8 CCC BBB B4 86365CAG6 CCC BB B5 86365CAH4 CC B Ratings Affirmed Fannie Mae REMIC Trust 2004-W14 Series 2004-W14 Class CUSIP Rating ----- ----- ------ M 31394BT95 AA B-1 31394BU28 A B-2 31394BU36 BBB B-3 31394BU44 BB Fannie Mae REMIC Trust 2004-W3 Series 2004-W3 Class CUSIP Rating ----- ----- ------ A-3 31393XVF1 AAA A-4 31393XWQ6 AAA A-5 31393XVG9 AAA A-6 31393XVH7 AAA A-7 31393XVJ3 AAA A-8 31393XVK0 AAA A-11 31393XWR4 AAA A-15 31393XWV5 AAA A-16 31393XVN4 AAA A-18 31393XVQ7 AAA A-20 31393XWW3 AAA A-21 31393XVS3 AAA A-28 31393XVZ7 AAA A-29 31393XWA1 AAA A-30 31393XWB9 AAA A-31 31393XWC7 AAA A-32 31393XWD5 AAA A-33 31393XWE3 AAA A-34 31393XWF0 AAA A-36 31393XWY9 AAA A-37 31393XWZ6 AAA A-38 31393XXA0 AAA A-39 31393XXB8 AAA IO-1 31393XWH6 AAA IO-2 31393XE37 AAA IO-3 31393XE45 AAA PO 31393XWJ2 AAA 2A-IO 31393XWK9 AAA 3A-1 31393XWL7 AAA M 31393U7L1 AA B-1 31393XWM5 A B-2 31393XD79 BBB B-3 31393XD87 BB Reperforming Loan REMIC Trust 2003-R3 Series 2003-T-058 Class CUSIP Rating ----- ----- ------ M 12669E2Q8 AA B1 12669E2R6 A B2 12669E2S4 BBB RePerforming Loan REMIC Trust Certificates Series 2003-R4 Class CUSIP Rating ----- ----- ------ 1A-PO 12669FFQ1 AAA 1A-IO 12669FFR9 AAA 2A-IO 12669FJB0 AAA 1A-4 12669FFP3 AAA 2A 12669FFS7 AAA M 12669FFT5 AA B-1 12669FFU2 A B-2 12669FFV0 BBB Reperforming Loan REMIC Trust Series 2005-R1 Series 2005-R1 Class CUSIP Rating ----- ----- ------ 1A-F1 12669GWN7 AAA 1A-F2 12669GXD8 AAA 1A-S 12669GWP2 AAA 2A-1 12669GXE6 AAA 2A-2 12669GXF3 AAA 2A-PO 12669GXG1 AAA 2A-IO 12669GXH9 AAA SACO I Trust 2007-VA1 Series 2007-VA1 Class CUSIP Rating ----- ----- ------ A 78386KAA3 AAA M 78386KAB1 BBB Structured Asset Secs Corp. Mtg Ln Trust Ser 2006-RF3 Series 2006-RF3 Class CUSIP Rating ----- ----- ------ 1-A1 863592AA9 AAA 1-A2 863592AB7 AAA 1-A3 863592AC5 AAA 1-A4 863592AD3 AAA 1-AP 863592AE1 AAA 1-AX 863592AF8 AAA 2-A 863592AG6 AAA 3-A1 863592AP6 AAA 3-A2 863592AQ4 AAA 3-AP 863592AR2 AAA 3-AX 863592AS0 AAA 4-A 863592AT8 AAA B1-II 863592AU5 AA B2-II 863592AV3 A+ B3-II 863592AW1 A- B4-II 863592AX9 BBB B5-II 863592AY7 BBB- Structured Asset Securities Corporation Mortgage Loan Trust, Series 2007-RF2 Class CUSIP Rating ----- ----- ------ 1A1 86365CAA9 AAA 1A2 86365CAB7 AAA 1A3 86365CAC5 AAA * S&P Downgrades Ratings on 11 Classes of Mortgage Certs. to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D' on 11 classes of mortgage pass-through certificates from 10 U.S. residential mortgage-backed securities transactions from various issuers. Four classes are from transactions backed by re-REMIC (resecuritized real estate mortgage investment conduit) collateral, three classes are from first-lien high loan-to-value transactions, two are from transactions backed by home equity line of credit collateral, one is from a seasoned loan deal, and the last is from other RMBS collateral. S&P removed two of the lowered ratings from CreditWatch with negative implications. In addition, S&P placed three ratings from Lehman Structured Securities Corp. 2004-2 on CreditWatch with negative implications. The ratings on seven additional classes from Lehman Structured Securities Corp. Pass Through Certificates Series 2007-1 will remain on CreditWatch with negative implications. The downgrades reflect S&P's assessment of principal write-downs on the affected classes during recent remittance periods. S&P lowered nine of the ratings on the defaulted classes from the 'CCC' or 'CC' rating categories, and S&P lowered 10 of the 11 ratings from a speculative-grade rating category. S&P expects to resolve the CreditWatch placements affecting these transactions after S&P completes its reviews of the underlying credit enhancement. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs and adjust the ratings as S&P think appropriate. Rating Actions Banc of America Funding Corporation 2006-R2 Trust Series 2006-R2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 05950SAD9 D CC B-2 05950SAE7 D CC Greenpoint Mortgage Funding Trust 2005-HE4 Series 2005-HE4 Rating ------ Class CUSIP To From ----- ----- -- ---- M7 39538WDP0 D CC IndyMac Home Equity Loan Trust 2004-2 Series 2004-2 Rating ------ Class CUSIP To From ----- ----- -- ---- B 45661AAE2 D CCC IndyMac Residential Mortgage Backed Trust, Series 2006-L1 Series 2006-L1 Rating ------ Class CUSIP To From ----- ----- -- ---- B 456606LQ3 D CCC Lehman Structured Securities Corp. Series 2004-2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 52518RBW5 AA/Watch Neg AA M-2 52518RBX3 A/Watch Neg A M-3 52518RBY1 BBB/Watch Neg BBB B-1 52518RBZ8 D BB/Watch Neg Lehman Structured Securities Corp. Pass Through Certificates Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-8 52521PAH8 D BBB/Watch Neg RAMP Series 2005-RZ2 Trust Series 2005-RZ2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-8 76112BWP1 D CC RAMP Series 2005-RZ4 Trust Series 2005-RZ4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-8 76112BN89 D CC RAMP Series 2005-SL2 Trust Series 2005-SL2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 76112BVJ6 D CCC RAMP Series 2006-RZ2 Trust Series 2006-RZ2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-5 75156UAH0 D CC Ratings Remaining On Creditwatch Negative Lehman Structured Securities Corp. Pass Through Certificates Series 2007-1 Class CUSIP Rating ----- ----- ------ M-1 52521PAA3 AA+/Watch Neg M-2 52521PAB1 AA/Watch Neg M-3 52521PAC9 AA-/Watch Neg M-4 52521PAD7 A+/Watch Neg M-5 52521PAE5 A/Watch Neg M-6 52521PAF2 A-/Watch Neg M-7 52521PAG0 BBB+/Watch Neg * S&P Downgrades Ratings on 20 Classes of Mortgage Certs. to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D' on 20 classes of mortgage pass-hrough certificates from 19 U.S. closed-end second-lien residential mortgage-backed securities transactions from various issuers. In addition, S&P placed 13 ratings from three of the affected transactions on CreditWatch with negative implications. The ratings on 12 additional classes from three other downgraded deals remain on CreditWatch with negative implications. The downgrades reflect S&P's assessment of principal write-downs on the affected classes during recent remittance periods. S&P lowered approximately 70% of the ratings on the 20 defaulted classes from the 'CCC' or 'CC' rating categories, and S&P lowered approximately 85% of the ratings from a speculative-grade category. S&P expects to resolve the CreditWatch placements affecting these transactions after S&P completes its reviews of the underlying credit enhancement. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs and adjust S&P's ratings as S&P deems appropriate. Rating Actions Ace Securities Corp. Home Equity Loan Trust, Series 2006-ASL1 Series 2006-ASL1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 00442AAC7 D CCC CWABS Asset-Backed Certificates Trust 2006-SPS2 Series 2006-SPS2 Rating ------ Class CUSIP To From ----- ----- -- ---- A 12667BAA2 D CC CWABS, Inc. Series 2004-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 126673TC6 AAA/Watch Neg AAA A-3 126673TD4 AAA/Watch Neg AAA A-IO 126673TE2 AAA/Watch Neg AAA M-1 126673TF9 AA/Watch Neg AA M-2 126673TG7 A/Watch Neg A M-3 126673TQ5 D A- FFMLT 2007-FFB-SS Series 2007-FFB-SS Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 30248EAD0 D CC Home Equity Mortgage Trust 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 22541SYL6 AA-/Watch Neg AA- M-4 22541SYM4 A+/Watch Neg A+ M-5 22541SYN2 A/Watch Neg A M-6 22541SYP7 A-/Watch Neg A- B-1 22541SYQ5 BBB+/Watch Neg BBB+ B-2 22541SYR3 D BBB- Home Equity Mortgage Trust 2004-6 Series 2004-6 Rating ------ Class CUSIP To From ----- ----- -- ---- M-5 22541S3F3 D BBB-/Watch Neg Home Equity Mortgage Trust 2005HF-1 Series 2005-HF1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-5 2254W0LM5 D BB/Watch Neg Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-A Series 2007-A Rating ------ Class CUSIP To From ----- ----- -- ---- M-4 59025QAG4 D CC Morgan Stanley Mortgage Loan Trust 2006-14SL Series 2006-14SL Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 61749SAD8 D CC Morgan Stanley Mortgage Loan Trust 2007-9SL Series 2007-9SL Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 61754TAC0 D CC SACO I Trust 2005-10 Series 2005-10 Rating ------ Class CUSIP To From ----- ----- -- ---- II-M-2 785778NK3 D CCC SACO I Trust 2005-5 Series 2005-5 Rating ------ Class CUSIP To From ----- ----- -- ---- I-M-3 785778GB1 D CC SACO I Trust 2005-8 Series 2005-8 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 785778LF6 D CCC SACO I Trust 2005-9 Series 2005-9 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 785778MQ1 D CC SACO I Trust 2006-5 Series 2006-5 Rating ------ Class CUSIP To From ----- ----- -- ---- II-A-1 785811AB6 D CCC II-A-3 785811AD2 D CCC SACO I Trust, 2005-WM2 Series 2005-WM2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 785778JZ5 D CC Structured Asset Securities Corporation Series 2004-S4 Rating ------ Class CUSIP To From ----- ----- -- ---- M4 86359BM40 A-/Watch Neg A- M5 86359BM57 BBB+/Watch Neg BBB+ M6 86359BM65 BBB/Watch Neg BBB M7 86359BM73 D BB+ Structured Asset Securities Corporation Mortgage Loan Trust 2006-S1 Series 2006-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- M1 86359DXE2 D BB/Watch Neg Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2 Series 2006-S2 Rating ------ Class CUSIP To From ----- ----- -- ---- M1 86359FAD4 D CCC Ratings Remaining On Creditwatch Negative Home Equity Mortgage Trust 2004-6 Series 2004-6 Class CUSIP Rating ----- ----- ------ M-2 22541S3C0 A+/Watch Neg M-3 22541S3D8 BBB+/Watch Neg M-4 22541S3E6 BBB/Watch Neg Home Equity Mortgage Trust 2005HF-1 Series 2005-HF1 Class CUSIP Rating ----- ----- ------ A-1 2254W0LE3 AAA/Watch Neg A-2B 2254W0MB8 AAA/Watch Neg A-3B 2254W0MC6 AAA/Watch Neg G 2254W0LW3 AAA/Watch Neg M-1 2254W0LH6 AA+/Watch Neg M-2 2254W0LJ2 AA/Watch Neg M-3 2254W0LK9 AA-/Watch Neg M-4 2254W0LL7 BBB/Watch Neg Structured Asset Securities Corporation Mortgage Loan Trust 2006-S1 Series 2006-S1 Class CUSIP Rating ----- ----- ------ A1 86359DXC6 AA/Watch Neg * S&P Downgrades Ratings on 27 Classes of Mortgage Certs. to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D' on 27 classes of mortgage pass-through certificates from 26 U.S. scratch-and-dent residential mortgage-backed securities transactions from various issuers. S&P removed 16 of the lowered ratings from CreditWatch with negative implications. Of the 27 affected classes, 14 are from transactions backed by reperforming collateral, 12 are from transactions backed by outside-the- guidelines collateral, and one is from a transaction backed by document-deficient collateral. Concurrently, S&P placed 62 other ratings on eight of the downgraded deals on CreditWatch with negative implications, and the ratings on 98 additional classes remain on CreditWatch negative. The downgrades reflect S&P's assessment of principal write-downs on the affected classes during recent remittance periods. S&P lowered four of the 27 ratings from the 'CC' or 'CCC' rating categories, and S&P lowered 48.14% of the ratings from speculative-grade rating categories. S&P expects to resolve the CreditWatch placements affecting these transactions after S&P completes its reviews of the underlying credit enhancement. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs and adjust the ratings as S&P deems appropriate. * S&P Downgrades Ratings on 66 Classes of Mortgage Certs. to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D' on 66 classes of mortgage pass-through certificates from 59 U.S. prime jumbo residential mortgage-backed securities transactions from various issuers. S&P removed 16 of the lowered ratings from CreditWatch with negative implications. Additionally, S&P placed 22 ratings on five of the affected transactions on CreditWatch with negative implications. The ratings on 179 additional classes from 15 of these transactions remain on CreditWatch negative. The negative rating actions reflect S&P's assessment of principal write-downs on the 66 affected classes during recent remittance periods. S&P lowered approximately 69.70% of the ratings on the 66 defaulted classes from the 'CCC' or 'CC' rating categories and lowered 95.45% of the ratings from speculative-grade rating categories. S&P expects to resolve the CreditWatch placements affecting these transactions after S&P completes its reviews of the underlying credit enhancement. S&P will continue to monitor S&P's ratings on securities that experience principal write-downs and adjust the ratings as S&P deem appropriate. * S&P Downgrades Ratings on 250 Classes From 10 RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 250 classes from 10 residential mortgage-backed securities transactions backed by U.S. Alternative-A and prime jumbo mortgage loan collateral issued in 2005, 2006, and 2007. S&P removed 230 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 18 classes from of the same transactions and removed 14 of the affirmed ratings from CreditWatch negative. The downgrades, affirmations, and CreditWatch resolutions incorporate S&P's assessment of current losses as well as projected losses based on S&P's methodology and assumptions. 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. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for the classes is sufficient to cover losses associated with the existing rating levels S&P revised its loss projections for five transactions based on a forward-looking default curve: Orig. bal. Lifetime Transaction (mil. $) exp. loss (%) ----------- ---------- ------------- Banc of America Funding 2006-5 Trust Series 2006-5 708.4 4.34 Chase Mortgage Finance Trust Series 2007-S1 Series 2007-S1 430.3 7.12 CHL Mortgage Pass Through Trust 2007-5 Series 2007-5 850.0 5.31 RFMSI Series 2006-S10 Trust Series 2006-S10 780.4 4.65 Wells Fargo Mortgage Backed Securities 2006-9 Trust Series 2006-9 1,293.0 2.58 To maintain an 'AAA' rating for classes in Alt-A transactions, S&P consider whether a bond is able to withstand approximately 150% of S&P's base-case loss assumptions, subject to individual caps and qualitative factors assumed on specific transactions. For a class for which we've affirmed a 'B' rating, S&P consider whether a bond is able to withstand S&P's base-case loss assumptions. Other rating categories are dispersed, approximately equally, between these two loss assumptions. For example, to maintain a 'BB' rating on one class, S&P may consider whether the class is able to withstand approximately 110% of S&P's base-case loss assumptions, while, in connection with a different class, S&P may consider whether it is able to withstand approximately 120% of S&P's base- case loss assumptions to maintain a 'BBB' rating. To maintain a rating higher than 'B' for prime jumbo transactions, S&P assessed whether, in S&P's view, a class could absorb losses in excess of the base-case loss assumptions S&P assumed in its analysis. For example, S&P assessed whether one class could, in S&P's view, withstand approximately 130% of S&P's base-case loss assumptions in order to maintain a 'BB' rating, while S&P assessed whether a different class could withstand 155% of S&P's base-case loss assumption to maintain a 'BBB' rating. Each class that has an affirmed 'AAA' rating can, in S&P's view, withstand approximately 235% of S&P's base-case loss assumptions under its analysis. The subordination of more-junior classes within each structure provides credit support for the affected transactions. 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. Additionally, some structures may utilize overcollateralization and excess interest as credit enhancement. The collateral backing these transactions originally consisted predominantly of fixed- or adjustable-rate, Alt-A or prime jumbo residential mortgage loans secured by one- to four-family properties. S&P monitors these transactions to incorporate updated losses and delinquency pipeline performance to assess whether the applicable credit enhancement features, in S&P's view, are sufficient to support the current ratings. S&P will continue to monitor these transactions and take additional rating actions as S&P think appropriate. Rating Actions Alternative Loan Trust 2007-12T1 Series 2007-12T1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 02150LAA5 CC B/Watch Neg A-2 02150LAB3 CCC BB/Watch Neg A-3 02150LAC1 CCC AA/Watch Neg A-4 02150LAD9 CCC BB/Watch Neg A-5 02150LAE7 CCC BB/Watch Neg A-6 02150LAF4 CCC BB/Watch Neg A-7 02150LAG2 CC B/Watch Neg A-8 02150LAH0 CC B A-9 02150LAJ6 CC B/Watch Neg A-10 02150LAK3 CC B/Watch Neg A-11 02150LAL1 CCC BB/Watch Neg A-12 02150LAM9 CC B/Watch Neg A-13 02150LAN7 CC B/Watch Neg A-14 02150LAP2 CC B/Watch Neg A-15 02150LAQ0 CCC BB/Watch Neg A-16 02150LAR8 CCC BB/Watch Neg A-17 02150LAS6 CCC BB A-18 02150LBC0 CCC BB/Watch Neg A-19 02150LBD8 CCC BB/Watch Neg A-20 02150LBE6 CCC BB A-21 02150LBF3 CCC BB/Watch Neg A-22 02150LBG1 CCC BB/Watch Neg A-45 02150LCF2 CC B/Watch Neg A-46 02150LCG0 CC B/Watch Neg A-47 02150LCH8 CC B/Watch Neg X 02150LAT4 CCC AA PO 02150LAU1 CC B/Watch Neg M-1 02150LAW7 CC CCC M-2 02150LCJ4 CC CCC M-3 02150LCK1 CC CCC M-4 02150LCL9 CC CCC M-5 02150LCM7 CC CCC A-23 02150LBH9 CCC BB A-24 02150LBJ5 CCC BB/Watch Neg A-25 02150LBK2 CCC BB/Watch Neg A-26 02150LBL0 CCC BB A-27 02150LBM8 CCC BB/Watch Neg A-28 02150LBN6 CCC BB/Watch Neg A-29 02150LBP1 CCC BB A-30 02150LBQ9 CCC BB/Watch Neg A-31 02150LBR7 CCC BB/Watch Neg A-32 02150LBS5 CCC BB/Watch Neg A-33 02150LBT3 CCC BB/Watch Neg A-34 02150LBU0 CCC BB/Watch Neg A-35 02150LBV8 CCC BB/Watch Neg A-36 02150LBW6 CCC BB/Watch Neg A-37 02150LBX4 CCC BB/Watch Neg A-38 02150LBY2 CCC BB/Watch Neg A-39 02150LBZ9 CCC BB/Watch Neg A-40 02150LCA3 CCC BB/Watch Neg A-41 02150LCB1 CCC BB/Watch Neg A-42 02150LCC9 CCC BB/Watch Neg A-43 02150LCD7 CC B/Watch Neg A-44 02150LCE5 CCC B/Watch Neg Alternative Loan Trust 2007-8CB Series 2007-8CB Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 02150FAA8 CCC AAA/Watch Neg A-2 02150FAB6 CCC AAA/Watch Neg A-3 02150FAC4 CCC AAA/Watch Neg A-4 02150FAD2 CCC AAA/Watch Neg A-5 02150FAE0 CCC AAA/Watch Neg A-6 02150FAF7 CCC AAA/Watch Neg A-7 02150FAG5 CCC AAA/Watch Neg A-8 02150FAH3 CCC AAA/Watch Neg A-9 02150FAJ9 CCC AAA/Watch Neg A-10 02150FAK6 CCC AAA/Watch Neg A-11 02150FAL4 CCC AAA/Watch Neg A-12 02150FAM2 CCC AAA/Watch Neg A-13 02150FAX8 CCC AAA/Watch Neg A-14 02150FAY6 CCC AAA/Watch Neg A-15 02150FAZ3 CCC AAA/Watch Neg A-16 02150FBA7 CCC AAA/Watch Neg A-17 02150FBB5 CCC AAA/Watch Neg PO 02150FAP5 CCC AAA/Watch Neg X 02150FAN0 CCC AAA M 02150FAR1 CC BB/Watch Neg B-1 02150FAS9 CC B/Watch Neg B-2 02150FAT7 CC CCC American Home Mortgage Assets Trust 2006-2 Series 2006-2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A2 02660XAB0 CCC AAA/Watch Neg 1A3 02660XAC8 CCC BBB/Watch Neg 2A2 02660XAE4 CCC AAA/Watch Neg 2A3 02660XAF1 CCC BBB/Watch Neg M-1 02660XAJ3 CC B/Watch Neg M-2 02660XAK0 CC CCC M-3 02660XAL8 CC CCC M-4 02660XAM6 CC CCC M-5 02660XAN4 D CC Banc of America Funding 2006-5 Trust Series 2006-5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05950NAA6 BB AAA/Watch Neg 1-A-2 05950NAB4 BB AAA/Watch Neg 1-A-3 05950NAC2 B AAA/Watch Neg 1-A-4 05950NAD0 AAA AAA/Watch Neg 1-A-5 05950NAE8 B AAA/Watch Neg 1-A-6 05950NAF5 B AAA/Watch Neg 1-A-7 05950NAG3 B AAA/Watch Neg 1-A-8 05950NAH1 B AAA/Watch Neg 1-A-9 05950NAJ7 B AAA/Watch Neg 1-A-10 05950NAK4 B AAA/Watch Neg 1-A-11 05950NAL2 B AAA/Watch Neg 1-A-12 05950NAM0 B AAA/Watch Neg 1-A-13 05950NAN8 B AAA/Watch Neg 1-A-14 05950NAP3 B AAA/Watch Neg 2-A-1 05950NAR9 B AAA/Watch Neg 2-A-2 05950NAS7 B AAA/Watch Neg 2-A-3 05950NAT5 B AAA/Watch Neg 2-A-4 05950NAU2 B AAA/Watch Neg 2-A-5 05950NAV0 B AAA/Watch Neg 2-A-6 05950NAW8 A AAA/Watch Neg 2-A-7 05950NAX6 BB AAA/Watch Neg 2-A-8 05950NAY4 B AAA/Watch Neg 2-A-9 05950NAZ1 B AAA/Watch Neg 2-A-10 05950NBA5 B AAA/Watch Neg 2-A-11 05950NBB3 B AAA/Watch Neg 2-A-12 05950NBC1 B AAA/Watch Neg 2-A-13 05950NBD9 B AAA/Watch Neg 3-A-1 05950NBE7 B AAA/Watch Neg 3-A-2 05950NBF4 B AAA/Watch Neg 3-A-3 05950NBG2 B AAA/Watch Neg 3-A-4 05950NBH0 AAA AAA/Watch Neg 4-A-1 05950NBJ6 B AAA/Watch Neg 4-A-2 05950NBK3 AAA AAA/Watch Neg 4-A-3 05950NBL1 B AAA/Watch Neg 4-A-4 05950NBM9 BBB AAA/Watch Neg 4-A-5 05950NBN7 B AAA/Watch Neg 4-A-6 05950NBP2 AA AAA/Watch Neg 4-A-7 05950NBQ0 B AAA/Watch Neg 4-A-8 05950NBR8 B AAA/Watch Neg 30-IO 05950NBS6 AAA AAA/Watch Neg 30-PO 05950NBT4 B AAA/Watch Neg B-5 05950NCE6 CC CCC Chase Mortgage Finance Trust Series 2007-S1 Series 2007-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 16163FAA3 BB AAA/Watch Neg A-2 16163FAB1 BB BBB/Watch Neg A-3 16163FAC9 CCC BBB/Watch Neg A-4 16163FAD7 BB AAA/Watch Neg A-5 16163FAE5 CCC BBB/Watch Neg A-6 16163FAF2 CCC BBB/Watch Neg A-7 16163FAG0 CCC BBB/Watch Neg A-8 16163FAH8 AAA AAA/Watch Neg A-9 16163FAJ4 BBB BBB/Watch Neg A-10 16163FAK1 CCC BBB/Watch Neg A-11 16163FAL9 CCC BBB/Watch Neg A-12 16163FAM7 CCC BBB/Watch Neg A-13 16163FAN5 CCC BBB/Watch Neg A-X 16163FAP0 AAA AAA/Watch Neg A-P 16163FAQ8 CCC AAA/Watch Neg A-M 16163FAS4 CC B/Watch Neg CHL Mortgage Pass Through Trust 2007-5 Series 2007-5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 12544VAA7 BB AAA/Watch Neg A-2 12544VAB5 CCC AAA/Watch Neg A-3 12544VAC3 CCC AAA/Watch Neg A-4 12544VAD1 CCC AAA/Watch Neg A-5 12544VAE9 CCC AAA/Watch Neg A-6 12544VAF6 CCC AAA/Watch Neg A-7 12544VAG4 CCC AAA/Watch Neg A-8 12544VAH2 CCC AAA/Watch Neg A-9 12544VAJ8 CCC AAA/Watch Neg A-10 12544VAK5 CCC AAA/Watch Neg A-11 12544VAL3 CCC AAA/Watch Neg A-12 12544VAM1 CCC AAA/Watch Neg A-13 12544VAN9 CCC AAA/Watch Neg A-14 12544VAP4 CCC AAA/Watch Neg A-15 12544VAQ2 CCC AAA/Watch Neg A-16 12544VAR0 CCC AAA/Watch Neg A-17 12544VAS8 CCC AAA/Watch Neg A-18 12544VAT6 CCC AAA/Watch Neg A-19 12544VAU3 CCC AAA/Watch Neg A-20 12544VAV1 CCC AAA/Watch Neg A-21 12544VAW9 CCC AAA/Watch Neg A-22 12544VAX7 CCC AAA/Watch Neg A-45 12544VBW8 CCC AAA/Watch Neg A-46 12544VBX6 CCC AAA/Watch Neg A-47 12544VBY4 CCC AAA/Watch Neg A-48 12544VBZ1 CCC AAA/Watch Neg A-49 12544VCL1 CCC AAA/Watch Neg A-50 12544VCM9 CCC AAA/Watch Neg X 12544VCA5 BB AAA/Watch Neg PO 12544VCB3 CCC AAA/Watch Neg M-A 12544VCD9 CCC AA+/Watch Neg A-23 12544VAY5 CCC AAA/Watch Neg A-24 12544VAZ2 CCC AAA/Watch Neg A-25 12544VBA6 CCC AAA/Watch Neg A-26 12544VBB4 CCC AAA/Watch Neg A-27 12544VBC2 CCC AAA/Watch Neg A-28 12544VBD0 CCC AAA/Watch Neg A-29 12544VBE8 CCC AAA/Watch Neg A-30 12544VBF5 CCC AAA/Watch Neg A-31 12544VBG3 CCC AAA/Watch Neg A-32 12544VBH1 CCC AAA/Watch Neg A-33 12544VBJ7 CCC AAA/Watch Neg A-34 12544VBK4 CCC AAA/Watch Neg A-35 12544VBL2 CCC AAA/Watch Neg A-36 12544VBM0 CCC AAA/Watch Neg A-37 12544VBN8 CCC AAA/Watch Neg A-38 12544VBP3 CCC AAA/Watch Neg A-39 12544VBQ1 CCC AAA/Watch Neg A-40 12544VBR9 CCC AAA/Watch Neg A-41 12544VBS7 CCC AAA/Watch Neg A-42 12544VBT5 CCC AAA/Watch Neg A-43 12544VBU2 CCC AAA/Watch Neg A-44 12544VBV0 CCC AAA/Watch Neg A-51 12544VCN7 CCC AAA/Watch Neg CHL Mortgage Pass-Through Trust 2005-15 Series 2005-15 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 12669GQ53 BB AAA/Watch Neg A-2 12669GQ61 BB AAA/Watch Neg A-3 12669GQ79 BB AAA/Watch Neg A-4 12669GQ87 BBB+ AAA/Watch Neg A-5 12669GQ95 BB AAA/Watch Neg A-6 12669GR29 BB AAA A-7 12669GR37 BB AAA/Watch Neg A-8 12669GR45 BB AAA/Watch Neg PO 12669GR52 BB AAA/Watch Neg CHL Mortgage Pass-Through Trust 2005-18 Series 2005-18 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 126694EH7 B AAA/Watch Neg A-2 126694EJ3 B AAA/Watch Neg A-3 126694EK0 AA AAA/Watch Neg A-5 126694EM6 B AAA/Watch Neg A-6 126694EN4 B AAA/Watch Neg A-7 126694EP9 B AAA/Watch Neg A-8 126694FV5 B AAA/Watch Neg PO 126694EQ7 B AAA/Watch Neg RFMSI Series 2006-S10 Trust Series 2006-S10 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 74958DAA6 CCC AAA/Watch Neg l-A-2 74958DAB4 CCC AAA/Watch Neg i-A-3 74958DAC2 CCC AAA/Watch Neg l-A-4 74958DAD0 CCC AAA/Watch Neg l-A-5 74958DAE8 CCC AAA/Watch Neg l-A-6 74958DAF5 CCC AAA/Watch Neg l-A-7 74958DAG3 CCC AAA/Watch Neg l-A-P 74958DAJ7 CCC AAA/Watch Neg l-A-V 74958DAK4 CCC AAA/Watch Neg ll-A-1 74958DAH1 BB AAA/Watch Neg ll-A-P 74958DAL2 BB AAA/Watch Neg ll-A-V 74958DAM0 BB AAA/Watch Neg Wells Fargo Mortgage Backed Securities 2006-9 Trust Series 2006-9 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 94980SAA3 A AAA/Watch Neg I-A-2 94980SAB1 A AAA/Watch Neg I-A-3 94980SAC9 A AAA/Watch Neg I-A-4 94980SAD7 AAA AAA/Watch Neg I-A-5 94980SAE5 A AAA/Watch Neg I-A-6 94980SAF2 A AAA/Watch Neg I-A-7 94980SAG0 A AAA/Watch Neg I-A-8 94980SAH8 A AAA/Watch Neg I-A-9 94980SAJ4 AAA AAA/Watch Neg I-A-10 94980SAK1 A AAA/Watch Neg I-A-11 94980SAL9 A AAA/Watch Neg I-A-12 94980SAM7 AAA AAA/Watch Neg I-A-13 94980SAN5 AAA AAA/Watch Neg I-A-14 94980SAP0 A AAA/Watch Neg I-A-15 94980SAQ8 A AAA/Watch Neg I-A-16 94980SAR6 A AAA/Watch Neg I-A-17 94980SAS4 AAA AAA/Watch Neg I-A-18 94980SAT2 A AAA/Watch Neg I-A-19 94980SAU9 A AAA/Watch Neg I-A-20 94980SAV7 A AAA/Watch Neg I-A-21 94980SAW5 A AAA/Watch Neg I-A-22 94980SAX3 A AAA/Watch Neg I-A-24 94980SAZ8 A AAA/Watch Neg I-A-25 94980SBA2 A AAA/Watch Neg I-A-26 94980SBB0 A AAA/Watch Neg I-A-27 94980SBC8 A AAA/Watch Neg I-A-28 94980SBD6 A AAA/Watch Neg I-A-29 94980SBE4 A AAA/Watch Neg I-A-30 94980SBF1 A AAA/Watch Neg I-A-31 94980SBG9 AAA AAA/Watch Neg I-A-32 94980SBH7 A AAA/Watch Neg I-A-33 94980SBJ3 AAA AAA/Watch Neg I-A-34 94980SBK0 A AAA/Watch Neg I-A-35 94980SBL8 A AAA/Watch Neg II-A-1 94980SBN4 A AAA/Watch Neg II-A-2 94980SBP9 A AAA/Watch Neg A-PO 94980SBQ7 A AAA/Watch Neg B-1 94980SBR5 CCC AA/Watch Neg Ratings Affirmed American Home Mortgage Assets Trust 2006-2 Series 2006-2 Class CUSIP Rating ----- ----- ------ 1A1 02660XAA2 AAA 2A1 02660XAD6 AAA XBI 02660XAG9 AAA XBJ 02660XAH7 AAA * S&P Downgrades Ratings on 323 Classes of Certificates to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D' on 323 classes of mortgage pass-through certificates from 318 U.S. subprime residential mortgage-backed securities transactions from various issuers. S&P removed six of the lowered ratings from CreditWatch with negative implications. Additionally, 58 other ratings from the same transactions remain on CreditWatch with negative implications, and S&P placed another 27 ratings on CreditWatch negative. The downgrades reflect S&P's assessment of principal write-downs on the affected classes during recent remittance periods. S&P lowered approximately 96.28% of the ratings on the 323 defaulted classes from the 'CCC' or 'CC' rating categories, and S&P lowered 99.38% of the ratings from a speculative-grade category. S&P expects to resolve the CreditWatch placements affecting these transactions after S&P complete its reviews of the underlying credit enhancement. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs and adjust the ratings as S&P deem appropriate. * S&P Downgrades Ratings on 435 Classes of Mortgage Certs. to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D' on 435 classes of mortgage pass-through certificates from 389 U.S. Alternative-A residential mortgage-backed securities transactions from various issuers. S&P removed 80 of the lowered ratings from 74 of the downgraded transactions from CreditWatch with negative implications. In addition, S&P placed 39 ratings from seven of the affected transactions on CreditWatch with negative implications. The ratings on 668 additional classes from 74 of these transactions remain on CreditWatch with negative implications. The downgrades reflect S&P's assessment of principal write-downs on the affected classes during recent remittance periods. S&P lowered approximately 80.23% of the ratings on the 435 defaulted classes from the 'CCC' or 'CC' rating categories, and S&P lowered approximately 94.02% of the ratings from a speculative-grade category. S&P expects to resolve the CreditWatch placements affecting these transactions after S&P completes its reviews of the underlying credit enhancement. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs and adjust the ratings as S&P think appropriate. * S&P Junks Ratings on Nine Tranches From 10 Hybrid CDO Deals ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 33 tranches from 10 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. In addition, S&P placed its rating on one tranche on CreditWatch with negative implications. The ratings on 18 of the downgraded tranches are on CreditWatch with negative implications, indicating a significant likelihood of further downgrades. The CDO downgrades reflect a number of factors, including credit deterioration and recent negative rating actions on U.S. subprime RMBS. The CreditWatch placements primarily affect transactions for which a significant portion of the collateral assets currently have ratings on CreditWatch with negative implications or have significant exposure to assets rated in the 'CCC' category. The 10 downgraded U.S. cash flow and hybrid tranches have a total issuance amount of $3.993 billion. Six of the 11 affected transactions are mezzanine structured finance CDOs of asset-backed securities, which are collateralized in large part by mezzanine tranches of residential mortgage-backed securities and other SF securities. The other four are high-grade SF CDOs of ABS that were collateralized at origination primarily by 'AAA' through 'A' rated tranches of RMBS and other SF securities. 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 ----------- ----- -- ---- ACA ABS 2004-1 Limited B AA/Watch Neg AA ACA ABS 2004-1 Limited C-1 BB-/Watch Neg BBB/Watch Neg ACA ABS 2004-1 Limited C-2 BB-/Watch Neg BBB/Watch Neg Cascade Funding CDO I, Ltd A-1 BBB/Watch Neg AA/Watch Neg Duke Funding High Grade VI X BB-/Watch Neg BBB-/Watch Neg Duke Funding High Grade VI A-1LA CC CCC+/Watch Neg Gemstone CDO Ltd C BBB- A Gemstone CDO Ltd D-1 CCC B+/Watch Neg Gemstone CDO Ltd E CC CCC-/Watch Neg Gemstone CDO Ltd D-2 CCC B+/Watch Neg Kleros Real Estate CDO IV A-1 CCC- AA-/Watch Neg Kleros Real Estate CDO IV A-2 CC CCC- Laguna ABS CDO Ltd A1ST A/Watch Neg AAA/Watch Neg Laguna ABS CDO Ltd A1SB-1 A/Watch Neg AAA/Watch Neg Laguna ABS CDO Ltd A1SB-2 A/Watch Neg AAA/Watch Neg Laguna ABS CDO Ltd A1J BBB-/Watch Neg AAA/Watch Neg Laguna ABS CDO Ltd A2 B-/Watch Neg AA/Watch Neg Laguna ABS CDO Ltd A3 CCC-/Watch Neg BBB-/Watch Neg Laguna ABS CDO Ltd Pref Shr CC CCC/Watch Neg Laguna ABS CDO Ltd Class 1 Co CC BBB-/Watch Neg Longport Funding II, Ltd. A1S BBB/Watch Neg AA-/Watch Neg Longport Funding II, Ltd. A1J B/Watch Neg BBB-/Watch Neg Longport Funding II, Ltd. A2 CCC-/Watch Neg B-/Watch Neg Sandstone CDO Ltd. D BB- BBB/Watch Neg South Coast Funding IV, Ltd. A-2 AA/Watch Neg AAA South Coast Funding IV, Ltd. B BB+/Watch Neg A+/Watch Neg South Coast Funding IV, Ltd. C CCC-/Watch Neg B-/Watch Neg South Coast Funding IV, Ltd. Pre Shares CC CCC-/Watch Neg Streeterville ABS CDO Ltd A-1 AA-/Watch Neg AAA Streeterville ABS CDO Ltd A-2 BBB/Watch Neg AA+/Watch Neg Streeterville ABS CDO Ltd B-1 CC B/Watch Neg Streeterville ABS CDO Ltd B-2 CC B/Watch Neg Streeterville ABS CDO Ltd C-1 CC CCC Streeterville ABS CDO Ltd C-2 CC CCC Other Ratings Reviewed Transaction Class Rating ----------- ----- ------ ACA ABS 2004-1 Limited A-1 AAA ACA ABS 2004-1 Limited A-2 AAA Cascade Funding CDO I, Ltd A-2 CC Duke Funding High Grade VI A-1LB CC Duke Funding High Grade VI A-2L CC Duke Funding High Grade VI A-3L CC Duke Funding High Grade VI B-1L CC Gemstone CDO Ltd A-1 AAA Gemstone CDO Ltd A-2 AAA Gemstone CDO Ltd A-3 AAA Gemstone CDO Ltd B AA Kleros Real Estate CDO IV A-3 CC Kleros Real Estate CDO IV A-4 CC Kleros Real Estate CDO IV B CC Kleros Real Estate CDO IV C CC Kleros Real Estate CDO IV D CC Kleros Real Estate CDO IV E CC Laguna ABS CDO Ltd Class II C AAA Longport Funding II, Ltd. A3 CC Longport Funding II, Ltd. B CC Longport Funding II, Ltd. Income Nts CC Longport Funding II, Ltd. Combo Sec CC Sandstone CDO Ltd. B AAA Sandstone CDO Ltd. C AA+ South Coast Funding IV, Ltd. A-1 AAA * S&P Puts Low-B Ratings on Six Classes on Watch Negative --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on five tranches from two U.S. hybrid collateralized debt obligation transactions and left them on CreditWatch with negative implications, where they were placed on Feb. 28, 2009. The rating actions follow the completion of S&P's review of MBIA Inc.'s role as super-senior counterparty in the affected hybrid CDO transactions. Standard & Poor's had lowered its rating on MBIA on Feb. 18, 2009, to 'BBB+' from 'AA'. The transaction documents for both hybrid CDOs do not contain provisions that could mitigate the impact of an MBIA downgrade, such as requirements to post collateral or find a replacement counterparty. As a result, S&P placed those ratings that were higher than the current rating on MBIA on CreditWatch negative for further review and to monitor steps taken to address the issue. Following S&P's review, S&P has concluded that as a result of the transactions' structural linkage to MBIA, as well as the absence of provisions that could offset the impact of an MBIA downgrade, none of the tranche ratings can be higher than the rating on MBIA. Because there has been no change in the structural features of either transaction since the CreditWatch placements and MBIA continues to be the super-senior counterparty for both transactions, S&P has lowered the ratings on all tranches that were previously higher than the current rating on MBIA. S&P is leaving these ratings on CreditWatch negative due to a decline in the credit quality of the underlying collateral. Ratings Lowered CTX CDO I Ltd. Rating ------ Class To From ----- -- ---- SS BBB+/Watch Neg AAA/Watch Neg A BBB+/Watch Neg AA+/Watch Neg B BBB+/Watch Neg AA-/Watch Neg CWCapital COBALT III Synthetic CDO Ltd. Rating ------ Class To From ----- -- ---- A BBB+/Watch Neg AA/Watch Neg B BBB+/Watch Neg A+/Watch Neg Other Outstanding Ratings CTX CDO I Ltd. Class Rating ----- ------ C BBB+/Watch Neg D BBB/Watch Neg E BBB-/Watch Neg F BBB-/Watch Neg G BB+/Watch Neg H BB/Watch Neg J BB/Watch Neg K B+/Watch Neg CWCapital COBALT III Synthetic CDO Ltd. Class Rating ----- ------ C BBB+/Watch Neg D BBB/Watch Neg E BBB-/Watch Neg F BB+/Watch Neg G B/Watch Neg * S&P Puts Ratings on 274 Tranches From 162 CDO Transactions ------------------------------------------------------------ Standard & Poor's Ratings Services placed its ratings on 274 tranches from 162 U.S cash flow collateralized debt obligation transactions on CreditWatch with negative implications. At the same time, S&P placed its rating on one tranche on CreditWatch with positive implications. The CreditWatch placements follow S&P's monthly review of U.S. cash flow CDO transaction performance. Most of the transactions with ratings placed on CreditWatch negative are CDOs backed by corporate loans, which accounted for 89.5% (146 of the 162) of the affected transactions. The remaining actions were taken on collateralized bond obligation transactions (four), CDO of CDO transactions (three), and mezzanine structured finance CDO of asset-backed securities transactions (nine). The affected CDO tranches with ratings placed on CreditWatch negative had a total issuance amount of $7.839 billion. S&P initiated the one CreditWatch positive placement on a 1999 vintage high-yield corporate bond-backed CDO deal. Credit support for the tranche increased because more than 75% of its initial balance has been paid down. The rating actions follow S&P's most recent monthly review of U.S. cash flow and hybrid CDO performance. The rationale for the rating actions are based on both quantitative and qualitative performance parameters, including transaction structural features, manager purchase patterns, and a broad view of the underlying collateral within each transaction, including these: -- A change in Standard & Poor's rated overcollateralization metric. This ratio, reviewed monthly based on current collateral ratings, provides an estimate of the stability of the current rating on a given cash flow CDO tranche (for more information, see "An Overview Of ROC For Cash Flow CDO Transactions," published Dec. 29, 2008); -- A change in the credit quality of the performing assets within the collateral pools, including negative rating migration of the underlying securities to ratings in the 'CCC' range; -- An increase or decrease in the proportion of securities in the collateral pool that currently have ratings on CreditWatch negative, which serves as a forward-looking indicator of rating actions that will affect the assets in the pools; -- A change in the level of overcollateralization available to support each tranche since origination, or since S&P's last rating action. The O/C ratios in many of the CLO transactions included in the release have declined as a result of defaults or rating-based "haircuts" for the calculation of par coverage tests. This may cause some transactions to begin breaching mezzanine O/C ratio tests that would cut off subordinate classes from receiving current interest; -- An increase in the level of defaulted assets held in the CDO transactions' portfolios; and -- The percentage of tranche paydown since S&P last reviewed it. S&P will resolve the CreditWatch placements after S&P complete a comprehensive cash flow analysis for each of the affected transactions, and after S&P evaluate additional information S&P may receive during discussions with the relevant collateral managers. S&P expects to resolve these CreditWatch placements within 90 days. Standard & Poor's will continue to monitor the CDO transactions it rates and take rating actions, including CreditWatch placements, as S&P deem appropriate. Ratings Placed On Creditwatch Negative Rating ------ Transaction Class To From ----------- ----- -- ---- 1776 CLO I Ltd D BBB/Watch Neg BBB 1776 CLO I Ltd E BB/Watch Neg BB 1888 Fund Ltd C BBB/Watch Neg BBB ACA ABS 2002-1, Limited B BB+/Watch Neg BB+ ACA CLO 2006-2, Limited C BBB/Watch Neg BBB ACA CLO 2006-2, Limited D BB/Watch Neg BB ACA CLO 2007-1 Limited E BB/Watch Neg BB AIMCO CLO Series 2006-A D BB/Watch Neg BB AMMC CLO III, Limited D BBB/Watch Neg BBB AMMC CLO V Ltd D BB+/Watch Neg BB+ AMMC CLO VI Ltd C A/Watch Neg A AMMC VII Limited B AA/Watch Neg AA AMMC VII Limited C A/Watch Neg A AMMC VII Limited D BB/Watch Neg BB AMMC VII Limited E B/Watch Neg B Apidos CDO I D BB/Watch Neg BB Apidos CDO II D BB/Watch Neg BB Apidos CDO III Ltd D BB/Watch Neg BB Apidos CDO V D BB/Watch Neg BB Ares VIII CLO Ltd B-1 A/Watch Neg A Ares VIII CLO Ltd B-2 A/Watch Neg A Atrium II A-2a AA/Watch Neg AA Atrium II A-2b AA/Watch Neg AA Avenue CLO III, Ltd. A2L AA/Watch Neg AA Avenue CLO III, Ltd. A3L A/Watch Neg A Avenue CLO III, Ltd. B1L BB/Watch Neg BB Avenue CLO III, Ltd. B2L B-/Watch Neg B- Avenue CLO IV Ltd B A/Watch Neg A Avenue CLO IV Ltd C BBB/Watch Neg BBB Avenue CLO IV Ltd D BB/Watch Neg BB Avenue CLO V, Ltd. B A/Watch Neg A Avenue CLO VI, Ltd. C A/Watch Neg A Avenue CLO VI, Ltd. D BBB/Watch Neg BBB Avenue CLO VI, Ltd. E BB/Watch Neg BB Babson CLO Ltd 2003-I E B+/Watch Neg B+ Babson CLO Ltd 2003-I SPref Shrs B+/Watch Neg B+ Babson CLO Ltd 2005-III C A/Watch Neg A Babson CLO Ltd 2006-II C A/Watch Neg A Babson CLO Ltd. 2004-II D-1 BBB/Watch Neg BBB Babson CLO Ltd. 2004-II D-2 BBB/Watch Neg BBB Babson CLO Ltd. 2005-I B-1 Def A/Watch Neg A Babson CLO Ltd. 2005-I B-2 Def A/Watch Neg A Babson CLO Ltd. 2005-I C-1 Def BBB-/Watch Neg BBB- Babson CLO Ltd. 2005-I C-2 Def BBB-/Watch Neg BBB- Babson CLO Ltd. 2008-I C-1 A/Watch Neg A Babson CLO Ltd. 2008-I C-2 A/Watch Neg A Babson Loan Opportunity CLO Ltd D BBB/Watch Neg BBB Babson Loan Opportunity CLO Ltd E BB/Watch Neg BB Baker Street CLO II Ltd C A/Watch Neg A Baker Street CLO II Ltd D BB+/Watch Neg BB+ Baker Street CLO II Ltd E B+/Watch Neg B+ Battalion CLO 2007-1, Ltd. D BBB/Watch Neg BBB Belhurst CLO Ltd C(dfrble) A/Watch Neg A Belhurst CLO Ltd D(dfrble) BBB/Watch Neg BBB Belhurst CLO Ltd E(dfrble) BB/Watch Neg BB Bernard Global Loan Investors, Ltd. A-2 AAA/Watch Neg AAA Bernard Global Loan Investors, Ltd. A-3c AAA/Watch Neg AAA Bernard National Loan Investors Ltd A-1 AAA/Watch Neg AAA Bernard National Loan Investors Ltd A-2 AAA/Watch Neg AAA Bernard National Loan Investors Ltd A-3a AAA/Watch Neg AAA Bernard National Loan Investors Ltd A-3b AAA/Watch Neg AAA Bernard National Loan Investors Ltd A-3c AAA/Watch Neg AAA BlackRock Senior Income Series C BBB/Watch Neg BBB BlackRock Senior Income Series D-1 BB/Watch Neg BB BlackRock Senior Income Series D-2 BB/Watch Neg BB BlueMountain CLO Ltd. D BBB-/Watch Neg BBB- Bridgeport CLO II Ltd D BB/Watch Neg BB Bridgeport CLO Ltd C BBB/Watch Neg BBB Bridgeport CLO Ltd D BB/Watch Neg BB Bristol Bay Funding Ltd. B A/Watch Neg A Burr Ridge CLO Plus Ltd E BB/Watch Neg BB Bushnell Loan Fund II Ltd B A/Watch Neg A Callidus Debt Partners CLO Fund IV, Ltd. D BB/Watch Neg BB Callidus Debt Partners CLO Fund VII Ltd D BBB/Watch Neg BBB Callidus Debt Partners CLO Fund VII Ltd E BB/Watch Neg BB Canyon Capital CLO 2006-1 Ltd D BBB/Watch Neg BBB Cavalry CLO I Ltd D BB/Watch Neg BB Chatham Light CLO, Limited Def B A/Watch Neg A CIFC Funding 2006-II, Ltd. B-2L BB/Watch Neg BB ColumbusNova CLO IV Ltd 2007-II D BBB/Watch Neg BBB ColumbusNova CLO IV Ltd 2007-II E BB/Watch Neg BB ColumbusNova CLO Ltd. 2006-I D BBB/Watch Neg BBB ColumbusNova CLO Ltd. 2006-I E BB/Watch Neg BB ColumbusNova CLO Ltd. 2006-II E BB/Watch Neg BB Comstock Funding Ltd. A-3 AA/Watch Neg AA Cumberland II CLO, Ltd. C BBB/Watch Neg BBB Diamond Lake CLO, Ltd. B-2L BB-/Watch Neg BB- Dryden VI-Leveraged Loan CDO 2004 B-1 A/Watch Neg A Dryden VI-Leveraged Loan CDO 2004 B-2 A/Watch Neg A Dryden XVI Leveraged Loan CDO 2006 B A/Watch Neg A Dryden XVI Leveraged Loan CDO 2006 C BBB/Watch Neg BBB Dryden XVIII Leveraged Loan 2007 Limited B BB/Watch Neg BB E*Trade ABS CDO III Ltd B CCC/Watch Neg CCC FIRST 2004-I CLO, Ltd. A-3 AAA/Watch Neg AAA Flagship CLO VI C A/Watch Neg A FM Leveraged Capital Fund I B AA/Watch Neg AA Foothill CLO I Ltd D BBB/Watch Neg BBB Foothill CLO I Ltd E BB/Watch Neg BB Foothill CLO I Ltd Type I Q BBB-/Watch Neg BBB- Four Corners CLO II Ltd E BB/Watch Neg BB Foxe Basin CLO 2003, Ltd. C BBB/Watch Neg BBB Foxe Basin CLO 2003, Ltd. D BB/Watch Neg BB Franklin CLO VI Ltd C A/Watch Neg A Fraser Sullivan CLO II Ltd D BBB/Watch Neg BBB FriedbergMilstein Private Capital Fund I B-1 AA/Watch Neg AA FriedbergMilstein Private Capital Fund I B-2 AA/Watch Neg AA Galaxy CLO 2003-1, Ltd. B A/Watch Neg A Galaxy III CLO Ltd. C AA/Watch Neg AA Galaxy III CLO Ltd. D A/Watch Neg A Galaxy III CLO Ltd. E-1 BBB/Watch Neg BBB Galaxy III CLO Ltd. E-2 BBB/Watch Neg BBB Galaxy III CLO Ltd. E-3 BBB/Watch Neg BBB Galaxy VI CLO, Ltd. D BBB/Watch Neg BBB Galaxy VIII CLO Ltd C A/Watch Neg A Genesis CLO 2007-1 Ltd C A/Watch Neg A Genesis CLO 2007-2 Ltd B AA/Watch Neg AA Gillespie CLO PLC D BBB-/Watch Neg BBB- Gleneagles CLO Ltd. C A/Watch Neg A Golden Knight II CLO Ltd B AA/Watch Neg AA GoldenTree Capital Opportunities LP E BB/Watch Neg BB Grand Horn CLO Ltd E BB/Watch Neg BB Grayson CDO Ltd A-2 AA/Watch Neg AA Grayson CDO Ltd B A/Watch Neg A GSC Group CDO Fund VIII Limited B A/Watch Neg A GSC Partners CDO Fund V, Limited A-2 AAA/Watch Neg AAA GSC Partners CDO Fund V, Limited B A/Watch Neg A GSC Partners CDO Fund VII Ltd C A/Watch Neg A Gulf Stream-Compass CLO 2007 Ltd D BBB/Watch Neg BBB Gulf Stream-Compass CLO 2007 Ltd E BB/Watch Neg BB Halcyon Loan Investors CLO II Ltd A-2 AA/Watch Neg AA Halcyon Loan Investors CLO II Ltd B A/Watch Neg A Halcyon Structured Asset Management CLO I C A/Watch Neg A Halcyon Structured Asset Management Long D BBB/Watch Neg BBB Secured/Short Unsecured 2007-1 Ltd. Halcyon Structured Asset Management Long A-2 AA/Watch Neg AA Secured/Short Unsecured 2007-2 Ltd. Halcyon Structured Asset Management Long B A/Watch Neg A Secured/Short Unsecured 2007-2 Ltd. Halcyon Structured Asset Management Long B A/Watch Neg A Secured/Short Unsecured 2007-3 Ltd Hewett's Island CLO III, Ltd. A-1 AAA/Watch Neg AAA Hewett's Island CLO III, Ltd. A-2 AA/Watch Neg AA Hewett's Island CLO III, Ltd. B-1 A+/Watch Neg A+ Hewett's Island CLO III, Ltd. B-2 A/Watch Neg A Hewett's Island CLO III, Ltd. C BBB-/Watch Neg BBB- Hewett's Island CLO III, Ltd. D B/Watch Neg B Hewett's Island CLO I-R, Ltd. C A/Watch Neg A Hewett's Island CLO I-R, Ltd. D BB+/Watch Neg BB+ Hewett's Island CLO I-R, Ltd. E B/Watch Neg B Hewett's Island CLO V Ltd B AA/Watch Neg AA Hewett's Island CLO VI Ltd. B AA/Watch Neg AA Hewett's Island CLO VI Ltd. C A/Watch Neg A Hillmark Funding Ltd. C BBB-/Watch Neg BBB- Hillmark Funding Ltd. D BB/Watch Neg BB Hudson Canyon Funding II Ltd. A-2 AAA/Watch Neg AAA Jasper CLO Ltd C A/Watch Neg A Jersey Street CLO Ltd C A/Watch Neg A JWS CBO 2000-1 Ltd. C-1 BBB-/Watch Neg BBB- JWS CBO 2000-1 Ltd. C-2 BBB-/Watch Neg BBB- Kingsland II Ltd C BBB-/Watch Neg BBB- Kingsland II Ltd D BB/Watch Neg BB Kingsland III Ltd. B A/Watch Neg A Kingsland III Ltd. C-1 BBB-/Watch Neg BBB- Kingsland III Ltd. C-2 BBB-/Watch Neg BBB- Kingsland III Ltd. D-1 BB/Watch Neg BB Kingsland III Ltd. D-2 BB/Watch Neg BB Landmark VI CDO Ltd. B AA/Watch Neg AA Latitude CLO II Ltd B A/Watch Neg A Latitude CLO II Ltd C BBB/Watch Neg BBB Latitude CLO II Ltd D BB/Watch Neg BB Liberty CLO Ltd B A/Watch Neg A LightPoint CLO V Ltd D BB/Watch Neg BB Limerock CLO I B A/Watch Neg A Long Grove CLO Ltd. B A/Watch Neg A Long Grove CLO Ltd. C BBB/Watch Neg BBB Long Grove CLO Ltd. D BB/Watch Neg BB Loomis Sayles CLO I Ltd. D BBB/Watch Neg BBB MAC Capital Ltd B-1F BBB/Watch Neg BBB MAC Capital Ltd B-1L BBB/Watch Neg BBB Madison Park Funding VI, Ltd. E BB/Watch Neg BB Marathon CLO II Ltd B A/Watch Neg A Marathon CLO II Ltd C BBB-/Watch Neg BBB- Marathon CLO II Ltd D B+/Watch Neg B+ Market Square CLO Ltd B A-/Watch Neg A- Market Square CLO Ltd C BBB/Watch Neg BBB Market Square CLO Ltd D BB-/Watch Neg BB- Marquette Park CLO Ltd B A/Watch Neg A Marquette Park CLO Ltd C BBB/Watch Neg BBB Moselle CLO S.A. A2E AA/Watch Neg AA Moselle CLO S.A. A2L AA/Watch Neg AA Moselle CLO S.A. A3E A/Watch Neg A Moselle CLO S.A. A3L A/Watch Neg A Mountain Capital CLO IV Ltd B-2L BB-/Watch Neg BB- MWAM CBO 2001-1 Ltd. A AAA/Watch Neg AAA Nautique Funding Ltd B-1 A/Watch Neg A Nautique Funding Ltd B-2 A/Watch Neg A Nautique Funding Ltd C BBB-/Watch Neg BBB- Nautique Funding Ltd D BB-/Watch Neg BB- Navigator CDO 2004 Ltd D-1 BB/Watch Neg BB Navigator CDO 2004 Ltd D-2 BB/Watch Neg BB Nob Hill CLO II Limited B AA/Watch Neg AA Nob Hill CLO II Limited C A/Watch Neg A Nob Hill CLO II Limited D BBB-/Watch Neg BBB- Nob Hill CLO II Limited E B+/Watch Neg B+ Northwoods Capital VIII, Ltd. D BBB/Watch Neg BBB Northwoods Capital VIII, Ltd. E BB/Watch Neg BB Oak Hill Credit Partners III Limited C-1 BBB/Watch Neg BBB Oak Hill Credit Partners III Limited C-2 BBB/Watch Neg BBB Oak Hill Credit Partners III Limited D BB/Watch Neg BB Ocean Trails CLO I D BB/Watch Neg BB Octagon Investment Partners V, Ltd. D BB/Watch Neg BB Octagon Investment Partners VI, Ltd. B-2L BB/Watch Neg BB Octagon Investment Partners VII, Ltd. B-2L BB/Watch Neg BB Octagon Investment Partners VIII Ltd E BB/Watch Neg BB Octagon Investment Partners X Ltd E BB/Watch Neg BB Octagon Investment Partners XI Ltd D BB/Watch Neg BB One Wall Street CLO II Ltd. D BBB/Watch Neg BBB One Wall Street CLO II Ltd. E BB/Watch Neg BB Pacifica CDO V, Ltd. B-1 A/Watch Neg A Pacifica CDO V, Ltd. B-2 A/Watch Neg A Peritus I CDO Ltd B A-/Watch Neg A- PPM Grayhawk CLO Ltd. C BBB/Watch Neg BBB Prado CDO Ltd. B AA/Watch Neg AA Primus CLO I Ltd C A/Watch Neg A Primus CLO II Ltd C A/Watch Neg A Primus CLO II Ltd D BBB/Watch Neg BBB Primus CLO II Ltd E BB-/Watch Neg BB- Pro Rata Funding Ltd. C BBB/Watch Neg BBB Pro Rata Funding Ltd. Ct Coup Cb BB+/Watch Neg BB+ Putnam Structured Product CDO 2001-1 Ltd B A/Watch Neg A Putnam Structured Product CDO 2001-1 Ltd C-1 CCC/Watch Neg CCC Putnam Structured Product CDO 2001-1 Ltd C-2 CCC/Watch Neg CCC Race Point II CLO, Limited C-1 BBB/Watch Neg BBB Race Point II CLO, Limited C-2 BBB/Watch Neg BBB Red River CLO Ltd B AA/Watch Neg AA Red River CLO Ltd C A/Watch Neg A Red River CLO Ltd D BBB-/Watch Neg BBB- Red River CLO Ltd E B+/Watch Neg B+ Robeco CDO II Ltd. B-1L BBB/Watch Neg BBB Robeco CDO II Ltd. B-1LB BBB/Watch Neg BBB Rockwall CDO II Ltd. A-3L A/Watch Neg A Rosedale CLO II Ltd C A/Watch Neg A Rosedale CLO Ltd B AA/Watch Neg AA Sapphire Valley CDO I Ltd B AA/Watch Neg AA Sapphire Valley CDO I Ltd C A/Watch Neg A Saturn CLO Ltd B A/Watch Neg A Saturn Ventures I, Ltd A-3 A+/Watch Neg A+ Saturn Ventures I, Ltd B CCC+/Watch Neg CCC+ Saturn Ventures II, Ltd. A-3 BBB+/Watch Neg BBB+ Saturn Ventures II, Ltd. B B/Watch Neg B Shinnecock CLO 2006-1 Ltd. B AA/Watch Neg AA South Coast Funding V Ltd. B A+/Watch Neg A+ South Coast Funding V Ltd. C-1 CCC+/Watch Neg CCC+ South Coast Funding V Ltd. C-2 CCC+/Watch Neg CCC+ Southfork CLO Ltd. B A/Watch Neg A Stack 2004-1 Ltd D BB+/Watch Neg BB+ Stedman Loan Fund II Ltd. B A/Watch Neg A Stratford CLO Ltd. B AA/Watch Neg AA Stratford CLO Ltd. C A/Watch Neg A Symphony CLO II Ltd D BB/Watch Neg BB Tower Hill CDO II Ltd C Type1Fun A/Watch Neg A Tower Hill CDO II Ltd C Type2Fun A/Watch Neg A Tower Hill CDO II Ltd C Type2Unf A/Watch Neg A Trainer Wortham First Republic CBO III A-1 AAA/Watch Neg AAA Tralee CDO I Ltd C BBB/Watch Neg BBB Tricadia CDO 2005-3 Ltd A-1L AAA/Watch Neg AAA Valhalla CLO Ltd B A/Watch Neg A Velocity CLO, Ltd. B A/Watch Neg A Venture III CDO Ltd. Def B A/Watch Neg A Venture V CDO Ltd C BBB/Watch Neg BBB Venture VII CDO Limited D BBB/Watch Neg BBB Venture VII CDO Limited E BB/Watch Neg BB Veritas CLO I, Ltd. C A/Watch Neg A Veritas CLO II Ltd C A/Watch Neg A Westwood CDO II, Ltd. C A/Watch Neg A Westwood CDO II, Ltd. D BB/Watch Neg BB Westwood CDO II, Ltd. E B-/Watch Neg B- Zais Investment Grade Limited X A-2 AA+/Watch Neg AA+ Rating Placed On Creditwatch Positive Rating ------ Transaction Class To From ----------- ----- -- ---- Goldman Sachs Asset Management CBO Ltd. B BB/WatchPos BB ********* 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, 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 ***