/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/090614.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 14, 2009, Vol. 13, No. 163 Headlines ALADDIN SYNTHETIC: S&P Withdraws 'CCC-' Ratings on Three Notes AMMC VII: Moody's Junks Ratings on Class D & $3.3MM Securities ARCAP 2005-RR5: S&P Downgrades Ratings on Class K Certs. to 'D' ARES VIII: Moody's Downgrades Ratings on Various Classes of Notes AUCTION PASS-THROUGH: Moody's Downgrades Ratings on 2007-T3 Certs. AVENUE CLO: Moody's Downgrades Ratings on Various Classes of Notes BABSON CLO: Moody's Puts 'Ba3' Rating on Class Q Combination Notes BAKER STREET: Moody's Downgrades Ratings on 2005-1 Notes BANC OF AMERICA: S&P Junks Ratings on Class K Mortgage Certs. BEAR STEARNS: Fitch Puts Low-B Ratings on 6 Notes on Neg. Watch BEAR STEARNS: Moody's Downgrades Rating on 41 Securities BRYANT PARK: Moody's Junks Rating on $21MM Class C Sr. Sub. Notes CALLIDUS DEBT: Moody's Downgrades Ratings on Various Classes CITIGROUP MORTGAGE: Moody's Downgrades Ratings on 227 Tranches COGECO CABLE: S&P Assigns Ratings on C$300 Mil. Senior Debentures COMPUCREDIT CREDIT: Moody's Downgrades Ratings on 12 Classes DUANE STREET: Moody's Junks Ratings on Class D & F Notes DUKE FUNDING: S&P Corrects Ratings on Class A-1 Tranche to 'BB' EMERSON PLACE: Moody's Junks Rating on $13 Million Class D Notes FIRST NATIONAL: Fitch Cuts Rating on Class D Notes to 'BB' G-FORCE 2005-RR2: S&P Downgrades Rating on Class N Notes to 'D' GLENEAGLES CLO: Moody's Junks Rating on Class D Sr. Secured Notes GREENBRIAR CDO: Moody's Junks Rating on $40MM Class D Notes GREYWOLF CLO: Moody's Junks Rating on $30MM Class D Notes GULF STREAM: Moody's Downgrades Ratings on Various 2005-II Notes HEWETT'S ISLAND: Moody's Downgrades Ratings on Various Classes IANUS CAPITAL: Moody's Assigns 'B2' Rating on EUR50 Mil. Notes IMPAC CMB: Moody's Downgrades Ratings on 79 Tranches ION MEDIA: S&P Withdraws 'D' Corporate Credit Rating IXION PLC: S&P Downgrades Ratings on Series 26 & 27 to 'D' JP MORGAN: Moody's Affirms Ratings on 19 2005-LDP2 Certificates JPMCC 2006-LDP7: Fitch Puts Low-B Ratings on 3 Certs. on WatchNeg. LANDMARK VI: Moody's Junks Rating on Class D of $15MM Notes LATITUDE CLO: Moody's Junks Rating on Class C $13.30MM Notes LB-UBS COMMERCIAL: Fitch Junks Rating on Class T of 2002-C7 Certs. LIMEROCK CLO: Moody's Junks Ratings on Class C & J Notes LONGSHORE CDO: S&P Corrects Ratings on Class A-1 Notes to 'CC' MAGNOLIA FINANCE: S&P Downgrades Ratings on 2006-5A Notes to 'D' MAMMOTH LAKES: S&P Downgrades Long-Term Rating on Certs. to 'BB' MANUFACTURED HOUSING: S&P Corrects Ratings on 2 Certs. to BB- MASTR ADJUSTABLE: Moody's Downgrades Ratings on 10 Classes MAYPORT CLO: Moody's Cuts Rating on Class B-2L Notes to Ca MERRILL LYNCH: Fitch Downgrades Rating on Class F Notes to 'B' ML-CFC COMMERCIAL: Fitch Puts Ratings on Certs. on Negative Watch ML-CFC COMMERCIAL: Fitch Puts Low-B Rtngs. on 7 Certs. on WatchNeg MORGAN STANLEY: Fitch Junks Ratings on Class M & N of Certificates MORGAN STANLEY: S&P Downgrades Rating on 2007-23 Notes to 'D' MUNIMAE TE: Moody's Downgrades Ratings on $34 Mil. Notes to 'Ba1' NATIONAL COLLEGIATE: Moody's Confirms Ratings on 10 Classes NEW CENTURY: Moody's Downgrades Ratings on Two 2002-1 Notes NOB HILL: Moody's Downgrades Ratings on Various Classes of Notes PRIME MORTGAGE: Moody's Downgrades Ratings on 15 Tranches PUNTO VERDE: S&P Downgrades Rating on $40 Mil. Notes to 'BB' RAMP: Moody's Downgrades Ratings on 176 Securities RED RIVER: Moody's Junks Rating on Class C of $40.50MM Notes RMF FOUR: Fitch Upgrades Ratings on Four Classes of Notes RMF FOUR: Moody's Upgrades Rating of Class M3 Notes From B1 SAGAMORE CLO: Moody's Junks Ratings on Class C-1 & C-2 Notes SAGUARO ISSUER: Moody's Downgrades Ratings on Various Classes SASCO SECURITIES: Moody's Downgrades Ratings on 10 Securities SOLAR INVESTMENT: Moody's Cuts Ratings on Two Notes to Caa1 SPGS SPC: Recent Write-downs Prompts S&P's Rating Cut to 'D' ST. LOUIS COUNTY: S&P Raises Rating on Bonds to 'AA+' From 'CC' SUMMER REGIONAL: Fitch Cuts Ratings on $150 Mil. Bonds to 'B-' TERWIN MORTGAGE: Moody's Downgrades Rating on 27 Securities VERITAS CLO: Moody's Cuts Rating on $8,000,000 Class E Notes to C WACHOVIA BANK: S&P Junks Ratings on Five 2007-ESH Certificates WAMU MORTGAGE: Moody's Downgrades Ratings on 37 Classes of Notes WASHINGTON MUTUAL: S&P Downgrades Ratings on Class N to 'D' WELLS FARGO: Moody's Downgrades Ratings on Five 2007-AR10 Tranches WELLS FARGO: Moody's Downgrades Ratings on Four 2007-17 Tranches WELLS FARGO: Moody's Downgrades Ratings on Nine 2008 Tranches WELLS FARGO: Moody's Junks Rating on Class II-A-2 of Tranches * S&P Cuts Rating on Class B-1A of Certificates to 'D' * S&P Cuts Ratings on 4 Classes From 26 RMBS Transactions to 'D' * S&P Cuts Ratings on 5 Classes From 19 RMBS Transactions to 'D' * S&P Cuts Ratings on Five Tranches From Four CLO Deals to Low-B * S&P Downgrades Ratings on 104 Classes From Eight Alt-A RMBS * S&P Downgrades Ratings on 116 Classes From 20 Alt-A RMBS Deals * S&P Downgrades Ratings on 285 Classes From 14 Prime Jumbo RMBS * S&P Junks Ratings on 26 Tranches From 30 Hybrid CDO Deals ********* ALADDIN SYNTHETIC: S&P Withdraws 'CCC-' Ratings on Three Notes -------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its 'CCC-' ratings on the series B-2, C-4, and D-1 notes issued by Aladdin Synthetic CDO II SPC, a synthetic collateralized debt obligation transaction. The ratings were previously on CreditWatch with negative implications. The withdrawals follow the receipt of zero redemption option notices, referencing the redemption of the notes as permitted by section 9.9 of the indenture dated Dec. 19, 2006. Ratings Withdrawn Aladdin Synthetic CDO II SPC Rating ------ Series To From ------ -- ---- B-2 NR CCC-/Watch Neg C-4 NR CCC-/Watch Neg D-1 NR CCC-/Watch Neg NR - Not rated. AMMC VII: Moody's Junks Ratings on Class D & $3.3MM Securities -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by AMMC VII, Limited: -- US$375,000,000 Class A Floating Rate Notes, Downgraded to A1; previously on January 4, 1997 Assigned Aaa; -- US$22,500,000 Class B Floating Rate Notes, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$17,500,000 Class C Deferrable Floating Rate Notes, Downgraded to Ba3; previously on March 17, 2009 Downgraded to Ba1 Placed Under Review for Possible Downgrade; -- US$30,000,000 Class D Deferrable Floating Rate Notes, Downgraded to Caa1; previously on March 17, 2009 Downgraded to B3 and Placed Under Review for Possible Downgrade; -- US$15,000,000 Class E Deferrable Floating Rate Notes, Downgraded to Ca; previously on March 17, 2009 Downgraded to Caa3 and Placed Under Review for Possible Downgrade; -- US$3,300,000 Combination Securities, Downgraded to Ca; previously on January 4, 2007 Assigned Baa2. 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. Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds, 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 other metrics, a decline in the average credit rating (as measured through the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class A/B, Class C, Class D, Class E Par Value Tests. As of the trustee report dated April 10, 2009, defaulted securities total about 8.63%, and securities rated Caa1 or lower comprised approximately 8.69% of the portfolio. In the same report, the Class A/B Par Value Ratio is 110.66% versus a covenant level of 111.70%, the Class C is 105.99% versus 108.90%, the Class D is 98.85% versus 103.5%, and the Class E is 95.89% versus 102.10%. Additionally, interest payments on the Class D and Class E Notes are presently being deferred due to the Par Value Test failures as of the last determination date. AMMC VII, Limited, issued in December of 2006, is a collateralized loan obligation, backed primarily by a portfolio of senior secured loans. ARCAP 2005-RR5: S&P Downgrades Ratings on Class K Certs. to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class K commercial mortgage-backed securities pass-through certificate from ARCap 2005-RR5 Resecuritization Inc. to 'D' from 'CCC-' and removed it from CreditWatch with negative implications. The downgrade reflects interest shortfalls to class K that S&P expects to continue for the foreseeable future. As of the May 26, 2009, trustee report, the most recent interest shortfall on class K totaled $44,568, which brought the cumulative four-month interest shortfall amount to $179,626. The interest shortfalls are due in part to interest shortfalls on the underlying commercial mortgage-backed securities collateral, which S&P expects to continue. The trust has incurred $99.8 million in losses to date, which has caused principal losses to the subordinate class M, N, and O certificates. ARES VIII: Moody's Downgrades Ratings on Various Classes of Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded ratings on these notes issued by Ares VIII CLO Ltd.: -- US$233,900,000 Class A-1-A Senior Secured Notes Due 2016, Downgraded to A1; previously on March 18, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$22,600,000 Class A-1-B Senior Secured Notes Due 2016, Downgraded to A1; previously on March 18, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$150,000,000 Class A-2 Senior Secured Notes Due 2016, Downgraded to Aa1; previously on March 18, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$17,000,000 Class A-3 Senior Secured Notes Due 2016, Downgraded to A2; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- US$19,200,000 Class C-1 Senior Secured Deferrable Interest Notes Due 2016, Downgraded to Caa1; previously on March 18, 2009 Downgraded to B3; -- US$13,800,000 Class C-2 Senior Secured Deferrable Interest Notes Due 2016, Downgraded to Caa1; previously on March 18, 2009 Downgraded to B3; -- US$6,750,000 Class D-1 Subordinated Secured Deferrable Interest Notes Due 2016, Downgraded to C; previously on March 18, 2009 Downgraded to Caa3; -- US$3,000,000 Class D-2 Subordinated Secured Deferrable Interest Notes Due 2016, Downgraded to C; previously on March 18, 2009 Downgraded to Caa3; -- US$1,250,000 Class D-3 Subordinated Secured Deferrable Interest Notes Due 2016, Downgraded to C; previously on March 18, 2009 Downgraded to Caa3; -- US$8,000,000 Class 1 Composite Securities Due 2016, Downgraded to B1; previously on March 29, 2004 Assigned Baa3; -- US$8,000,000 Class 3 Composite Securities Due 2016, Downgraded to Baa2; previously on March 29, 2004 Assigned A2; -- US$2,750,000 Class 5 Composite Securities Due 2016, Downgraded to Baa2; previously on March 29, 2004 Assigned A2; -- US$13,000,000 Class 7 Composite Securities Due 2016, Downgraded to Ba1; previously on March 29, 2004 Assigned A3. In addition, Moody's has confirmed the ratings on these notes: -- US$23,650,000 Class B-1 Senior Secured Deferrable Interest Notes Due 2016, Confirmed at Ba1; previously on March 18, 2009 Downgraded to Ba1; -- US$9,350,000 Class B-2 Senior Secured Deferrable Interest Notes Due 2016, Confirmed at Ba1; previously on March 18, 2009 Downgraded to Ba1. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, 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 through 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 B, Class C, and Class D Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2996 versus a test level of 2508 as of the last trustee report, dated May 18, 2009. Based on the same report, defaulted securities total about $11 million, accounting for roughly 2.2% of the collateral balance, and securities rated Caa1 or lower make up approximately 15.44% of the underlying portfolio. Additionally, interest payments on the Class C-1, Class C-2, Class D-1, Class D-2, and Class D-3 Notes are presently being deferred as a result of the failure of the Class B Overcollateralization Test. Ares VIII CLO Ltd., issued in 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. AUCTION PASS-THROUGH: Moody's Downgrades Ratings on 2007-T3 Certs. ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded its ratings of $40,500,000 Class A Certificates and $13,500,000 Class B Certificates issued by Auction Pass-Through Trust 2007-T3. The rating actions are: Class Description: $40,500,000 Class A Certificates -- Current Rating: B3 -- Prior Rating: Baa2 on review for possible downgrade -- Prior Rating Date: 04/08/2009 Class Description: $13,500,000 Class B Certificates -- Current Rating: B3 -- Prior Rating: Baa2 on review for possible downgrade -- Prior Rating Date: 04/08/2009 The transaction is a structured note whose rating changes with the rating of the underlying securities. AVENUE CLO: Moody's Downgrades Ratings on Various Classes of Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Avenue CLO VI, Ltd.: -- US$336,000,000 Class A-1 Senior Notes, Downgraded to Aa3; previously on June 28, 2007 Assigned Aaa; -- US$37,000,000 Class A-2 Senior Notes, Downgraded to A2; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- US$33,000,000 Class B Senior Notes, Downgraded to Baa2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$24,000,000 Class C Deferrable Mezzanine Notes, Downgraded to Ba2; previously on March 13, 2009 Downgraded to Ba1and Placed Under Review for Possible Downgrade; -- US$19,000,000 Class D Deferrable Mezzanine Notes, Downgraded to Caa1; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$13,000,000 Class E Deferrable Junior Notes, Downgraded to C; previously on March 13, 2009 Downgraded to Caa3 and Placed Under Review for Possible Downgrade; -- US$3,000,000 Class F Combination Notes, Downgraded to Ba2; previously on March 4, 2009 Baa2 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, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class C and Class D Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2747 versus a test level of 2445 as of the last trustee report, dated May 6, 2009. Based on the same report, defaulted securities total about $20 million accounting for roughly 4.2% of the collateral balance and securities rated Caa1 or lower make up approximately 13.57% 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 C Overcollateralization Test. Avenue CLO VI, Ltd., issued in 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. BABSON CLO: Moody's Puts 'Ba3' Rating on Class Q Combination Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Babson CLO Ltd. 2007-I: -- US$298,000,000 Class A-1 Senior Floating Rate Notes Due 2021, Downgraded to Aa1; previously on 3/23/07 Assigned Aaa; -- US$55,000,000 Class A-2b Senior Floating Rate Notes Due 2021, Downgraded to Aa2; previously on 3/4/09 Placed Under Review for Possible Downgrade; -- US$42,500,000 Class A-3 Senior Floating Rate Notes Due 2021, Downgraded to A2; previously on 3/4/09 Placed Under Review for Possible Downgrade; -- US$10,000,000 Class Q Combination Notes Due 2021, Downgraded to Ba3; previously on 3/4/09 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings on these notes: -- US$36,500,000 Class B-1 Deferrable Mezzanine Floating Rate Notes Due 2021, Confirmed at Ba1; previously on 3/13/09 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$6,000,000 Class B-2 Deferrable Mezzanine Fixed Rate Notes Due 2021, Confirmed at Ba1; previously on 3/13/09 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$25,000,000 Class C Deferrable Mezzanine Floating Rate Notes Due 2021, Confirmed at B1; previously on 3/13/09 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$21,000,000 Class D-1 Deferrable Mezzanine Floating Rate Notes Due 2021, Confirmed at Caa3; previously on 3/13/09 Downgraded to Caa3 and Placed Under Review for Possible Downgrade; -- US$4,000,000 Class D-2 Deferrable Mezzanine Fixed Rate Notes Due 2021, Confirmed at Caa3; previously on 3/13/09 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 other metrics, a decline in the average credit rating (as measured through the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class B, C and D Overcollateralization tests as well as the Class D Interest Diversion Test. The weighted average rating factor has steadily increased over the last year and it is currently at 3040 versus a test level of 2880 as of the last trustee report, dated 5/8/2009. Based on the same report, defaulted securities total about $50 million accounting for roughly 6.5% of the collateral balance and securities rated Caa1 or lower make up approximately 16% of the underlying portfolio. Additionally, interest payments on the Class C, D-1 and D-2 Notes are presently being deferred as a result of the failure of the Class B Overcollateralization Test. Babson CLO Ltd. 2007-I, issued on March 8, 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. BAKER STREET: Moody's Downgrades Ratings on 2005-1 Notes -------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Baker Street Funding 2005-1 CLO: -- US$234,000,000 Class A-1 Floating Rate Notes Due 2018, Downgraded to Aa3; previously on 1/5/2006, Assigned Aaa; -- US$35,000,000 Class A-2 Variable Funding Floating Rate Notes Due 2018, Downgraded to Aa3; previously on 1/5/2006, Assigned Aaa; -- US$20,000,000 Class B Floating Rate Notes Due 2018, Downgraded to Baa1; previously on 3/18/2009, Aa2, Placed Under Review for Possible Downgrade; -- US$18,000,000 Class C Floating Rate Deferrable Notes Due 2018, Downgraded to Ba3; previously on 3/18/2009, Downgraded to Ba1and Placed Under Review for Possible Downgrade; -- US$16,000,000 Class D Floating Rate Deferrable Notes Due 2018, Downgraded to Caa1; previously on 3/18/2009, Downgraded to B1and Placed Under Review for Possible Downgrade; -- US$9,400,000 Class E Floating Rate Deferrable Notes Due 2018, Downgraded to Ca; previously on 3/18/2009, 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 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 other metrics, a decline in the average credit rating (as measured through the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of overcollateralization tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2730 versus a test level of 2502 as of the last trustee report, dated May 4, 2009. Based on the same report, defaulted securities total about $24 million accounting for roughly 7% of the collateral balance and securities rated Caa1 or lower make up approximately 21% 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 C Overcollateralization Test. Baker Street Funding 2005-1 CLO, issued in January 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. BANC OF AMERICA: S&P Junks Ratings on Class K Mortgage Certs. ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class K commercial mortgage pass-through certificates from Banc of America Large Loan Inc.'s series 2004-BBA4 and removed it from CreditWatch with negative implications, where it was placed on April 7, 2009. Concurrently, S&P affirmed its ratings on eight other classes from this transaction and removed them from CreditWatch with negative implications. The reasons for the downgrade include: -- S&P expects special servicing fees to cause interest shortfalls to the class K certificate. -- The collateral office properties have experienced higher vacancies and higher operating expenses since S&P's last review, which, based on S&P's analysis, has resulted in decreased asset valuations. The transaction includes two delinquent loans totaling $30.3 million (50% of the pool trust balance) that are secured by office properties. These office properties are both located in the Dallas/Fort Worth market. Heritage Square I & II is the largest loan secured by an office property and is the second-largest loan in the pool. The loan has a trust and whole-loan balance of $17.3 million that comprises 28% of the pool trust balance. In addition, the borrower's equity interests secure an $8.0 million mezzanine loan. Two office buildings in Farmers Branch, Texas, totaling 354,500 sq. ft. secure this loan. The loan was transferred to the special servicer, KeyBank Real Estate Capital (Key), on March 20, 2009, due to monetary default. According to Key, the borrower and mezzanine lender have consented to a consensual receiver sale. The properties were appraised for $25.2 million as of April 15, 2009. Based on S&P's discussion with Key, S&P expects the June remittance report to note an interest shortfall for the class K certificate due to special servicing fees. There is also the possibility for a moderate loss upon the resolution of this loan. Thus, depending upon the final outcome of the workout, S&P will likely lower S&P's rating to 'D'. The smallest loan in the pool, Arapaho Business Park, has a whole- loan balance of $19.6 million that is divided into two pieces: a $13.0 million senior participation interest that makes up 21% of the trust balance and a $6.6 million junior participation interest held outside the trust. A 10-building flex (office/industrial) complex totaling 423,400 sq. ft. in Richardson, Texas, secures this loan. The loan was transferred to the special servicer, CT Investment Management Co. LLC (Capital Trust), on Oct. 22, 2008, due to imminent default. Capital Trust subsequently modified the loan to allow the borrower to market the individual building for sale. Per the terms of the modification, the property cash flow is being trapped such that the A note is being paid current interest, while the B note payments are accruing. According to Capital Trust, one of the 10 buildings is currently under contract for $1.0 million. The properties were appraised for $20.85 million as of Jan. 1, 2009. At this time, Standard & Poor's does not expect a loss upon resolution of the loan. As of the May 15, 2009, remittance report, the pool statistics were: -- There are three loans in the pool, including senior participation interests in two floating-rate interest-only mortgage loans and one floating-rate amortizing whole loan. -- There are two mortgages on office properties and one retail mall property; -- All of the loans are with the special servicers, including the two office building loans mentioned above. -- Two of the three loans, both mentioned above, are delinquent. Heritage Square I & II is 30 days delinquent and Arapaho Business Park is 90 days delinquent. However, the Arapaho Business Park loan remains current with respect to the A note that serves as collateral for the trust. -- One loan, the Westgate Mall loan, is a performing balloon maturity default and is discussed below. -- All of the loans are indexed to one-month LIBOR. The Westgate Mall loan has a whole-loan balance of $51.0 million that is divided into two pieces: a $31.0 million senior participation interest that makes up 50% of the trust balance and a $20.0 million subordinate junior participation interest that is held outside the trust. The collateral consists of 480,350 sq. ft. of a 607,200-sq.-ft. regional mall in Brockton, Massachusetts. The master servicer, Bank of America N.A., reported debt service coverage of 3.00x for the year ended Dec. 31, 2008, and 84% occupancy as of Dec. 31, 2008, compared with a DSC of 3.17x and 95% occupancy at issuance. The drop in occupancy is due mainly to the vacancy of one of the property's anchor tenants in early 2008. The loan was transferred to the special servicer, also Bank of America, on March 13, 2009, due to balloon maturity default. The loan is current, and Bank of America is evaluating the workout strategies for the loan. Standard & Poor's valuation for this loan has declined 9% since issuance. If the performance of the loans deteriorates further, S&P may revise S&P's analysis and adjust its ratings accordingly. Rating Lowered And Removed From Creditwatch Negative Banc of America Large Loan Inc. Commercial mortgage pass-through certificates series 2004-BBA4 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- K CCC- B+/Watch Neg 0.00 Ratings Affirmed And Removed From Creditwatch Negative Banc of America Large Loan Inc. Commercial mortgage pass-through certificates series 2004-BBA4 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- F AAA AAA/Watch Neg 89.62 G AAA AAA/Watch Neg 64.99 H A+ A+/Watch Neg 49.72 J BBB BBB/Watch Neg 31.42 X-1B AAA AAA/Watch Neg N/A X-2 AAA AAA/Watch Neg N/A X-3 AAA AAA/Watch Neg N/A X-4 AAA AAA/Watch Neg N/A N/A - Not applicable. BEAR STEARNS: Fitch Puts Low-B Ratings on 6 Notes on Neg. Watch --------------------------------------------------------------- Fitch Ratings places 14 classes of Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26, commercial mortgage pass- through certificates, on Rating Watch Negative: -- $160.6 million class A-J 'AAA'; -- $42.1 million class B 'AA'; -- $18.4 million class C 'AA-'; -- $29 million class D 'A'; -- $15.8 million class E 'A-'; -- $18.4 million class F 'BBB+'; -- $18.4 million class G 'BBB'; -- $18.4 million class H 'BBB-'; -- $2.6 million class J 'BB+'; -- $2.6 million class K 'BB'; -- $5.3 million class L 'BB-'; -- $2.6 million class M 'B+'; -- $5.3 million class N 'B'; -- $2.6 million class O 'B-'. The Negative Watch placements on classes A-J through O are due to the transfer of three loans to special servicing (3.7%) since Fitch's last rating action, as well as an increasing amount of Fitch Loans of Concern (8.3%). The largest specially serviced loan, Viad Corporate Center (3.1%), is secured by a 476,528 square foot office property located in Phoenix, Arizona. The loan transferred to special servicing due to imminent default and the loan is currently due for the May 2009 payment. In addition, property taxes are also delinquent. The property is currently 80.6% occupied. The two other specially serviced loans are collateralized by a mixed-use property in Omaha, Nebraska (0.3%) and an office in West Des Moines, Indiana (0.2%). Fitch expects to resolve the Watch Negative status of these classes as it completes the analysis of the 2006 through 2008 fixed rate transactions, and will incorporate updated information on the specially serviced loans as it becomes available. BEAR STEARNS: Moody's Downgrades Rating on 41 Securities -------------------------------------------------------- Moody's Investors Service has downgraded the rating of 41 securities from 16 subprime RMBS transactions issued by Bear Stearns Asset Backed Securities between 2002 and 2004. 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 55% to 80%. The results of these two calculations -- Recent Losses and Pipeline Losses -- are weighted to arrive at the lifetime cumulative loss projection. Complete rating actions are: Bear Stearns ABS I Trust 2004-FR1 -- Cl. M-5, Downgraded to Baa3; previously on 8/6/2004 Assigned Baa1 -- Cl. M-7, Downgraded to B3; previously on 12/27/2007 Downgraded to B2 -- Cl. M-8B, Downgraded to C; previously on 12/27/2007 Downgraded to Caa2 Bear Stearns Asset Backed Securities I Trust 2004-HE10 -- Cl. M-3, Downgraded to Baa1; previously on 1/6/2005 Assigned A3 -- Cl. M-4, Downgraded to Baa2; previously on 1/6/2005 Assigned Baa1 -- Cl. M-5, Downgraded to Baa3; previously on 1/6/2005 Assigned Baa2 -- Cl. M-6, Downgraded to Ba2; previously on 3/26/2008 Downgraded to Ba1 -- Cl. M-7, Downgraded to Ca; previously on 3/26/2008 Downgraded to B2 Bear Stearns Asset Backed Securities I Trust 2004-HE11 -- Cl. M-3, Downgraded to Baa2; previously on 2/16/2005 Assigned A3 -- Cl. M-4, Downgraded to Baa3; previously on 2/16/2005 Assigned Baa1 -- Cl. M-5, Downgraded to Ca; previously on 3/26/2008 Downgraded to Ba1 Bear Stearns Asset Backed Securities I Trust 2004-HE6 -- Cl. M-7B, Downgraded to C; previously on 3/26/2008 Downgraded to Caa2 Bear Stearns Asset Backed Securities I Trust 2004-HE7 -- Cl. M-3, Downgraded to Baa1; previously on 9/30/2004 Assigned A3 -- Cl. M-4, Downgraded to Baa2; previously on 9/30/2004 Assigned Baa1 -- Cl. M-5, Downgraded to Baa3; previously on 9/30/2004 Assigned Baa2 -- Cl. M-7B, Downgraded to Ca; previously on 3/26/2008 Downgraded to B3 Bear Stearns Asset Backed Securities I Trust 2004-HE8 -- Cl. M-7B, Downgraded to C; previously on 3/26/2008 Downgraded to Caa3 Bear Stearns Asset Backed Securities I Trust 2004-HE9 -- Cl. M-3, Downgraded to Baa2; previously on 12/20/2004 Assigned A3 -- Cl. M-4, Downgraded to Baa3; previously on 12/20/2004 Assigned Baa1 -- Cl. M-6, Downgraded to B1; previously on 3/26/2008 Downgraded to Ba3 -- Cl. M-7B, Downgraded to C; previously on 3/26/2008 Downgraded to Caa1 Bear Stearns Asset Backed Securities Trust 2003-2 -- Cl. B, Downgraded to Ba1; previously on 7/16/2003 Assigned Baa2 Bear Stearns Asset Backed Securities Trust 2003-3 -- Cl. M-2, Downgraded to Baa1; previously on 10/27/2003 Assigned A2 -- Cl. B, Downgraded to Baa3; previously on 10/27/2003 Assigned Baa2 Bear Stearns Asset Backed Securities I Trust 2004-FR2 -- Cl. M-8B, Downgraded to Caa1; previously on 12/27/2007 Downgraded to B3 Bear Stearns Asset Backed Securities Trust 2002-2 -- Cl. B, Downgraded to Ba1; previously on 7/30/2002 Assigned Baa2 Bear Stearns Asset Backed Securities 2003-1 -- M-1, Downgraded to A1; previously on 3/10/2003 Assigned Aa2 -- M-2, Downgraded to Baa3; previously on 3/10/2003 Assigned A2 -- Cl. B, Downgraded to Caa1; previously on 3/10/2003 Assigned Baa2 Bear Stearns Asset Backed Securities Trust 2002-1 -- Cl. M-2, Downgraded to Baa2; previously on 4/23/2002 Assigned A2 -- Cl. B, Downgraded to Ba3; previously on 4/23/2002 Assigned Baa2 Bear Stearns Asset Backed Securities Trust 2003-HE1 -- Cl. M-2, Downgraded to Baa1; previously on 11/16/2006 Upgraded to Aa2 -- Cl. M-3, Downgraded to Baa3; previously on 11/16/2006 Upgraded to Aa3 -- Cl. M-4, Downgraded to Ba1; previously on 11/16/2006 Upgraded to A1 -- Cl. M-5, Downgraded to Ba3; previously on 11/16/2006 Upgraded to Baa1 -- Cl. M-6, Downgraded to Caa2; previously on 1/6/2004 Assigned Baa3 Bear Stearns Asset Backed Securities Trust 2004-HE1 -- Cl. M-4, Downgraded to Baa2; previously on 2/14/2004 Assigned Baa1 -- Cl. M-5, Downgraded to Ba1; previously on 2/14/2004 Assigned Baa2 Bear Stearns Asset Backed Securities Trust 2004-HE3 -- Cl. M-5, Downgraded to Ba1; previously on 4/29/2004 Assigned Baa2 -- Cl. M-6, Downgraded to Caa1; previously on 3/26/2008 Downgraded to B1 -- Cl. M-7, Downgraded to C; previously on 3/26/2008 Downgraded to Ca BRYANT PARK: Moody's Junks Rating on $21MM Class C Sr. Sub. Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded these notes issued by Bryant Park CDO Ltd.: -- US$30,000,000 Class B Floating Rate Deferrable Senior Subordinate Notes due 2019, Downgraded to B3 and Placed Under Review for Possible Downgrade; previously on February 5, 2009, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$21,000,000 Class C Floating Rate Deferrable Senior Subordinate Notes due 2019, Downgraded to Ca; previously on February 5, 2009, Downgraded to B1 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). Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 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 rated Caa1 and below. The weighted average rating factor has steadily increased over the last year and it is currently at 2795 versus a test level of 2200 as of the last trustee report, dated May 10, 2009. Based on the same report, defaulted securities total about $27.3 million accounting for roughly 5% of the collateral balance and securities rated Caa1 or lower make up approximately 15% of the underlying portfolio. Moody's also observes that the transaction is exposed to a significant concentration of mezzanine and junior CLO tranches in the underlying portfolio. The majority of these CLO tranches are currently assigned low speculative-grade ratings and carry depressed market valuations that may herald poor recovery prospects in the event of default. Class A-1 and Class A-2 Notes remain on review for possible downgrade as a result of the additional risk posed to the noteholders due to the action taken by Moody's on the insurance financial strength rating of Financial Security Assurance Inc., which acts as guarantor under the Investment Agreement in the transaction. On May 20, 2009, Moody's placed the financial strength rating of Financial Security Assurance Inc. on review for possible downgrade. The Class B Notes remain on review for possible downgrade due to the high concentration of CLO tranches in the underlying portfolio. Moody's expects further negative actions on the ratings of these underlying CLO tranches during its Stage II CLO sweep. Bryant Park CDO Ltd, issued on January 25, 2005, is a synthetic collateralized loan obligation referencing primarily a portfolio of senior secured loans. CALLIDUS DEBT: Moody's Downgrades Ratings on Various Classes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Callidus Debt Partners CLO Fund VI, Ltd.: -- US$25,000,000 Class A-1D Delayed Draw Senior Secured Floating Rate Notes Due 2021, Downgraded to A3; previously on September 18, 2007 Assigned Aaa; -- US$279,000,000 Class A-1T Senior Secured Floating Rate Notes Due 2021, Downgraded to A3; previously on September 18, 2007 Assigned Aaa; -- US$23,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2021, Downgraded to Baa3; previously on March 13, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$17,500,000 Class B Senior Secured Deferrable Floating Rate Notes Due 2021, Downgraded to Ba3; previously on March 13, 2009 Downgraded to Ba2 and Placed Under Review for Possible Downgrade; -- US$20,500,000 Class C Senior Secured Deferrable Floating Rate Notes Due 2021, Downgraded to Ca; previously on March 13, 2009 Downgraded to B2 and Placed Under Review for Possible Downgrade; -- US$13,000,000 Class D Senior 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 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 (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). Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Credit deterioration of the collateral pool is observed in 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 B, Class C, and Class D Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 3039 versus a test level of 2823 as of the last trustee report, dated May 13, 2009. Based on the same report, defaulted securities total about $24 million accounting for roughly 6% of the collateral balance and securities rated Caa1 or lower make up approximately 17% of the underlying portfolio. Additionally, interest payments on the Classes B, C and D Notes are presently being deferred as a result of the failure of the Class A, Class B, and Class C Overcollateralization Tests, respectively. Moody's also observes that the transaction is exposed to a significant concentration of mezzanine and junior CLO tranches in the underlying portfolio. The majority of these CLO tranches are currently assigned low speculative-grade ratings and carry depressed market valuations that may herald poor recovery prospects in the event of default. Callidus Debt Partners CLO Fund VI, Ltd., issued in September 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. CITIGROUP MORTGAGE: Moody's Downgrades Ratings on 227 Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded 227 tranches and confirmed 4 tranches from 17 Citicorp and Citigroup deals. The collateral backing these transactions consists primarily of first-lien, fixed and adjustable-rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions listed below reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19th, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: Citicorp Mortgage Securities Trust 2007-1 -- Cl. IA-1, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-8, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-10, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-11, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-IO, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-PO, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-IO, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-PO, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities Trust 2008-1 -- Cl. IA-1, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to Ca; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-IO, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-IO, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities Trust 2008-2 -- Cl. IA-1, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to Ca; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-IO, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-PO, Downgraded to Caa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-2, Downgraded to Ca; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-IO, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-PO, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities Trust, 2007-3 -- Cl. IA-1, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to B1; previously on 10/6/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to Ba3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to A3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to A3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-8, Downgraded to B1; previously on 10/6/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-10, Downgraded to Ba1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-11, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-12, Downgraded to B1; previously on 10/6/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-IO, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-IO, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-1, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-IO, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Ba3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities Trust, 2007-4 -- Cl. IA-1, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to Ba2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-8, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-9, Downgraded to Ba1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-10, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-11, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-13, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-14, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-15, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-16, Downgraded to Ba2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-IO, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-IO, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-1, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-IO, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities, Inc. 2005-1 -- Cl. IA-1, Downgraded to Aa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-8, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-9, Downgraded to Aa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-10, Downgraded to Aa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-11, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-12, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-13, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-1, Downgraded to Aa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-2, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-3, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities, Inc. 2005-2 -- Cl. IA-1, Downgraded to Aa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Current Underlying Rating: Downgraded to A1; previously on 9/16/2008 Published at Aaa -- Financial Guarantor: Ambac Assurance Corporation (Downgraded to Ba3 from Baa1; Outlook Developing on 4/13/2009) -- Cl. IA-4, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-PO, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-2, Downgraded to A1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IIA-PO, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities, Inc. 2005-3 -- Cl. IA-1, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-5, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-8, Downgraded to Aa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-9, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-10, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-11, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-12, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-13, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-14, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-15, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-PO, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-2, Downgraded to A2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IIA-PO, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities, Inc. 2005-4 -- Cl. IA-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-8, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-2, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-3, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-4, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities, Inc. 2005-6 -- Cl. IA-1, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-8, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-9, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-10, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities, Inc. 2005-8 -- Cl. IA-1, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to Aa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-8, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-2, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-3, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities, Inc. 2006-1 -- Cl. IA-1, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-8, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-9, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-10, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-11, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-12, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IA-13, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-1, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-2, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IVA-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. VA-1, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO1, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO2, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citicorp Mortgage Securities, Inc. 2006-2 -- Cl. IA-1, Downgraded to Baa1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-2, Downgraded to Baa2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-3, Downgraded to Baa1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-4, Downgraded to Baa1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to Baa1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to Baa3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to Baa1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-8, Downgraded to Baa2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-9, Downgraded to Ba2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-10, Downgraded to Baa1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IA-11, Downgraded to Baa3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-12, Downgraded to Baa3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-13, Downgraded to Baa3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-14, Downgraded to Baa3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-15, Downgraded to Baa3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-16, Downgraded to Baa3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-17, Downgraded to Baa2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IA-PO, Downgraded to Baa3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IIA-PO, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IIIA-1, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IIIA-PO, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Citigroup Mortgage Loan Trust 2006-AR1 -- Cl. II-A1, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. II-A2, Downgraded to Ca; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. II-X, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. III-A1, Downgraded to Caa1; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. III-A2, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. III-X, Downgraded to Caa1; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. II-M, Downgraded to C; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. II-B1, Downgraded to C; previously on 3/19/2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. II-B2, Downgraded to C; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. II-B3, Downgraded to C; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. III-B1, Downgraded to C; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. III-B2, Downgraded to C; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. III-B3, Downgraded to C; previously on 3/19/2009 Ca Placed Under Review for Possible Downgrade Citigroup Mortgage Loan Trust 2006-AR2 -- Cl. I-A1, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. I-A2, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. I-AB, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. I-B1, Downgraded to C; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. I-B2, Downgraded to C; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. I-B3, Downgraded to C; previously on 3/19/2009 Ca Placed Under Review for Possible Downgrade Citigroup Mortgage Loan Trust 2007-AR8 -- Cl. 1-A1A, Downgraded to Caa2; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A1B, Downgraded to Ca; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A2A, Downgraded to Caa2; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A2B, Downgraded to Ca; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A3A, Downgraded to Caa1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A3B, Downgraded to Ca; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A1A, Downgraded to Caa2; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to Ca; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-2IO, Downgraded to Caa2; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade Citigroup Mortgage Loan Trust, Series 2005-6 -- Cl. A-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to C; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to Ba1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to B3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. B-5, Downgraded to C; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade The ratings on the notes were assigned after evaluating factors determined applicable to the credit profile of the notes, such as: i) the nature, sufficiency, and quality of historical performance information available for the asset class as well as for the transaction sponsor, ii) collateral analysis, iii) an analysis of the policies, procedures and alignment of interests of the key parties to the transaction, most notably the originator and the servicer, iv) an analysis of the transaction's allocation of collateral cashflow and capital structure, v) an analysis of the transaction's governance and legal structure, and vi) a comparison of these attributes against those of other similar transactions. COGECO CABLE: S&P Assigns Ratings on C$300 Mil. Senior Debentures ----------------------------------------------------------------- Standard & Poor's Ratings Services said it assigned its debt issue and recovery ratings to Montreal-based Cogeco Cable Inc.'s proposed C$300 million 5.95% senior secured debentures series 1 due June 9, 2014. S&P rates the notes at 'BBB-' (two notches higher than the corporate credit rating on Cogeco Cable), with a recovery rating of '1', indicating lenders can expect very high (90%-100%) recovery in the event of a payment default. The notes are being issued under the company's C$500 million short-form base shelf prospectus filed May 20. The net proceeds will be used to reduce balances outstanding under the company's revolving credit facilities. "The 'BB' long-term corporate credit rating and stable outlook on Cogeco Cable reflect what S&P view as the solid business risk profile of the company's Canadian operations, partially offset by the weak the business risk profile of its Portugal-based cable operator Cabovisao-Televisao por Cabo S.A.," said Standard & Poor's credit analyst Madhav Hari. "The ratings are also supported by the company's healthy debt leverage and good asset protection," Mr. Hari added. The ratings are tempered, in S&P's opinion, by an aggressive financial risk profile characterized by an aggressive financial policy given management's desire to pursue additional debt- financed acquisitions; high capital expenditures; and weak, albeit improving, cash flow protection measures. Ratings List Cogeco Cable Inc. Corporate credit rating BB/Stable/-- Rating Assigned C$300 million senior secured debentures BBB- COMPUCREDIT CREDIT: Moody's Downgrades Ratings on 12 Classes ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings on 12 classes of asset-backed notes issued by the CompuCredit Credit Card Master Note Business Trust, CompuCredit Credit Acquired Portfolio Voltage Master Business Trust, and the CompuCredit Acquired Portfolio Business Trust. These notes are backed by revolving pools of primarily sub-prime, unsecured, general purpose VISA credit card receivables. Rationale In February 2009, Moody's downgraded the notes from the three trusts citing marked collateral performance degradation and heightened concerns regarding CompuCredit Corporation's funding and liquidity as the firm navigates a highly challenging environment for credit card lenders. Since then, weakness in the collateral performance across each of the three trusts has intensified. In particular, the principal payment rate of the MNBT declined from 3.7% in December 2008 to its April level of 2.5%, leaving the current rate a full 300 basis points lower than year-ago levels. A lower payment rate means a slower return of principal to noteholders, thereby increasing the risk of loss to noteholders. This negative trend in the payment rate is expected to continue as economic conditions remain difficult. The APBT has similarly experienced deterioration across each of its key performance metrics (charge-offs, payment rate, and yield), while the worsening in the Voltage MBT has been evidenced by sharply rising delinquency and charge-off rates that have reduced the one month net yield of the trust (yield less charge-offs) to below 2%. Given the trends in collateral performance and credit conditions that remain constricted, CompuCredit's ability to refinance upcoming securitization maturities is increasingly uncertain. If the ongoing operation of the credit card program becomes unprofitable or unfeasible, CompuCredit could initiate a liquidation of its portfolio by accelerating the closure of the card accounts. If the card accounts are closed and liquidated, the already deteriorating collateral performance would be amplified. Furthermore, repayment of principal by the legal final may not be possible if the payment rate remains weak, even if the card accounts remain open. As discussed in the February 2009 downgrade of 20 classes of CompuCredit senior and subordinated notes, balance sheet strength and liquidity continue to be important dimensions to Moody's credit analysis, especially for those issuers with limited alternative funding resources, including CompuCredit. The most significant source of liquidity for the company is the securitization of its credit card receivables. Furthermore, CompuCredit's largest funding facility, containing $750 million in overall capacity, reaches its maturity in January 2010. Additionally, unlike nearly all other credit card companies, CompuCredit does not have its own bank subsidiary; therefore, it relies on its partner banks to originate credit card receivables. The implications of a continued focus from bank regulators and the May 22 passage of the CARD Act of 2009 may present future difficulties for CompuCredit to attract and retain partner banks. In conjunction with this ratings action, Moody's expected medium- term range of performance for the MNBT principal payment rate has been lowered to 1.5%-3.5% from 2.5%-4.5%. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities were rated. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. The MNBT Series 2004-Two notes with an expected maturity in September 2009 are excluded from this ratings action. A substantial portion of noteholder principal has already been accumulated in a Principal Funding Account under the control of the Indenture Trustee for the benefit of MNBT Series 2004-Two noteholders. The complete rating actions are: Issuer: CompuCredit Credit Card Master Note Business Trust -- $164,220,000 Class A Series 2004-Three Asset Backed Notes, Downgraded to Ba2 from Baa1; previously on February 19, 2009 downgraded to Baa1 from Aaa -- $70,840,000 Class B Series 2004-Three Asset Backed Notes, Downgraded to B3 from B1; previously on February 19, 2009 downgraded to B1 from A2 -- $28,980,000 Class C Series 2004-Three Asset Backed Notes, Downgraded to Caa1 from B3; previously on February 19, 2009 downgraded to B3 from Baa2 -- $22,540,000 Class D-1 Series 2004-Three Asset Backed Notes, Downgraded to Caa2 from Caa1; previously on February 19, 2009 downgraded to Caa1 from Ba2 Issuer: CompuCredit Credit Acquired Portfolio Voltage Master Business Trust (Amounts listed approximate issuance outstanding) -- $117,565,000 Class A-1 Series 2006-1 Asset Backed Notes, Downgraded to Ba1 from Baa2; previously on February 19, 2009 downgraded to Baa2 from Aaa -- $27,925,000 Class A-2 Series 2006-1 Asset Backed Notes, Downgraded to Ba3 from Ba2; previously on February 19, 2009 downgraded to Ba2 from Aa2 -- $25,133,000 Class A-3 Series 2006-1 Asset Backed Notes, Downgraded to B3 from B1; previously on February 19, 2009 downgraded to B1 from A2 -- $47,473,000 Class A-4 Series 2006-1 Asset Backed Notes, Downgraded to Caa2 from B3; previously on February 19, 2009 downgraded to B3 from Baa2 Issuer: CompuCredit Acquired Portfolio Business Trust (Amounts listed approximate issuance outstanding) -- $27,245,000 Class A-1 Series 2004-One Asset Backed Notes, Downgraded to Baa3 from Baa2; previously on February 19, 2009 downgraded to Baa2 from Aaa -- $12,455,000 Class A-2 Series 2004-One Asset Backed Notes, Downgraded to Ba3 from Ba2; previously on February 19, 2009 downgraded to Ba2 from Aa2 -- $7,006,000 Class A-3 Series 2004-One Asset Backed Notes, Downgraded to B2 from B1; previously on February 19, 2009 downgraded to B1 from A2 -- $6,227,000 Class A-4 Series 2004-One Asset Backed Notes, Downgraded to Caa1 from B3; previously on February 19, 2009 downgraded to B3 from Baa2 Background CompuCredit, headquartered in Atlanta, Georgia is an originator and servicer of sub-prime credit card receivables. In addition to credit cards, the company provides the under-served consumer credit market with a variety of other credit and related financial services products. As of March 31, 2009, the company had reported assets of approximately $1.3 billion. DUANE STREET: Moody's Junks Ratings on Class D & F Notes -------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Duane Street CLO IV, Ltd.: -- US$412,500,000 Class A-1T Senior Floating Rate Notes Due 2021, Downgraded to A1; previously on August 8, 2007 Assigned Aaa; -- US$150,000,000 Class A-1R Senior Revolving Floating Rate Notes Due 2021, Downgraded to A1; previously on August 8, 2007 Assigned Aaa; -- US$37,500,000 Class B Floating Rate Notes Due 2021, Downgraded to Baa2; previously on March 4, 2009, Aa2 Placed Under Review for Possible Downgrade; -- US$40,000,000 Class C Deferrable Mezzanine Floating Rate Notes Due 2021, Downgraded to Ba2; previously on March 13, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$35,000,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2021, Downgraded to Caa2; previously on March 13, 2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade; -- US$20,000,000 Class E Deferrable Mezzanine Floating Rate Notes Due 2021, Downgraded to C; previously on March 13, 2009 Downgraded to Caa3 and Placed Under Review for Possible Downgrade; -- US$10,000,000 Class F Combination Notes Due 2021, Downgraded to Caa1; previously on March 4, 2009, Baa1 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 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 D and E Overcollateralization Ratio Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2772 versus a test level of 2800 as of the last trustee report, dated May 10, 2009. Based on the same report, defaulted securities total about $44.1 million accounting for roughly 5.8% of the collateral balance and securities rated Caa1 or lower make up approximately 14.2% of the underlying portfolio. Additionally, interest payments on the Class E Notes are presently being deferred as a result of the failure of the Class D Overcollateralization Ratio Test. Duane Street CLO IV, Ltd., issued in August 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. DUKE FUNDING: S&P Corrects Ratings on Class A-1 Tranche to 'BB' --------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on the class A-1 tranche from Duke Funding IV Ltd. by raising it to 'BB' from 'B' and removing it from CreditWatch with developing implications, where it was placed in October 2008. The tranche receives credit enhancement from CIFG Guaranty, which S&P upgraded to 'BB' from 'B/Watch Dev' in January 2009. According to S&P's criteria, the rating on a tranche that has the benefit of credit enhancement is the higher of: S&P's rating on the company providing the support; and Standard & Poor's underlying rating on the tranche, which is based on S&P's analysis of the tranches' credit support. Due to an administrative error, S&P did not raise the rating in January 2009 following the CIFG upgrade. As the current rating on CIFG is higher than the SPUR, S&P has now corrected the tranche rating. Rating Corrected Duke Funding IV Ltd. Rating ------ Class To From ----- -- ---- A-1 BB B/Watch Dev EMERSON PLACE: Moody's Junks Rating on $13 Million Class D Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Emerson Place CLO, Ltd.: -- $253,750,000 CLASS A SENIOR FLOATING RATE NOTES DUE 2019, Downgraded to Aa3; previously on March 17, 2009, Aaa Placed under Review for Possible Downgrade; -- $30,000,000 CLASS B SENIOR FLOATING RATE NOTES DUE 2019, Downgraded to Baa3; previously on March 4, 2009, Aa2 Placed under Review for Possible Downgrade; -- $16,000,000 CLASS C DEFERRABLE MEZZANINE FLOATING RATE NOTES DUE 2019, Downgraded to Ba3; previously on March 17, 2009, Downgraded to Ba1 and Placed under Review for Possible Downgrade; -- $13,000,000 CLASS D DEFERRABLE MEZZANINE FLOATING RATE NOTES DUE 2019, Downgraded to Caa2; previously on March 17, 2009, Downgraded to B1 and Placed under Review for Possible Downgrade; -- $16,000,000 CLASS E DEFERRABLE MEZZANINE FLOATING RATE NOTES DUE 2019, 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 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 and high yield 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), and an increase in the dollar amount of defaulted securities. The weighted average rating factor has steadily increased over the last year and it is currently at 2944 versus a test level of 2730 as of the last trustee report, dated May 5, 2009. Based on the same report, defaulted securities total about $17 million, accounting for roughly 5.1% of the collateral balance. Moody's also assessed the collateral pool's elevated concentration risk in a small number of obligors and industries. This includes a significant concentration in debt obligations of companies in the banking, finance, real estate, and insurance industries, which Moody's views to be more strongly correlated in the current market environment. Emerson Place CLO, Ltd., issued in 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. FIRST NATIONAL: Fitch Cuts Rating on Class D Notes to 'BB' ---------------------------------------------------------- Fitch rates First National Master Note Trust Series 2009-1 asset backed notes: -- $600,000,000 1 month LIBOR+1.35% class A (2009-1) 'AAA'; Outlook Stable; -- $49,342,000 1 month LIBOR class C (2009-1) 'BBB'; Outlook Stable; -- $27,632,000 1 month LIBOR class D (2009-1) 'BB'; Outlook Stable. The ratings above are based on the quality of the underlying receivables pool, the available credit enhancement, and the legal and cash flow structure. Fitch also considers other features embedded in the transaction for the ratings, such as 'fixed allocation of finance charge collections' and other amortization triggers. G-FORCE 2005-RR2: S&P Downgrades Rating on Class N Notes to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class N commercial mortgage-backed securities pass-through certificate from G-Force 2005-RR2 Trust to 'D' from 'CCC-' and removed it from CreditWatch with negative implications. The downgrade reflects interest shortfalls to class N that S&P expects to continue for the foreseeable future. As of the May 26, 2009, trustee report, class N incurred interest shortfalls in the amount of $50,217 for one month. The interest shortfalls are due in part to interest shortfalls on the underlying commercial mortgage-backed securities collateral, which S&P expects to continue. The trust has incurred $56.8 million in losses to date, which has caused principal losses to the subordinate class O certificate. GLENEAGLES CLO: Moody's Junks Rating on Class D Sr. Secured Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded these notes issued by Gleneagles CLO Ltd.: -- US$620,000,000 Class A-1 Floating Rate Senior Secured Extendable Notes Due 2017, Downgraded to Aa3; previously on November 29, 2005 Assigned Aaa; -- US$28,500,000 Class A-2 Floating Rate Senior Secured Extendable Notes Due 2017, Downgraded to A3; previously on November 29, 2005 Assigned Aaa; -- US$60,500,000 Class B Floating Rate Senior Secured Extendable Notes Due 2017, Downgraded to Baa3; previously on March 4, 2009, Aa2 Placed Under Review for Possible Downgrade; -- US$51,000,000 Class C Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2017, Downgraded to B1; previously on March 18, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$49,500,000 Class D Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2017, Downgraded to Ca; previously on March 18, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$5,000,000 Class 1 Extendable Combination Securities Due 2017, Downgraded to Ba3; previously on March 4, 2009, A2 Placed Under Review for Possible Downgrade; -- US$20,000,000 Class 2 Combination Securities Due 2017, Downgraded to A2; previously on November 29, 2005 Assigned Aa2 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 has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release published on December 11, 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 2886 versus a test level of 2778 as of the last trustee report, dated April 21, 2009. Based on the same report, defaulted securities total about $ 72.3 million accounting for roughly 8.2% of the collateral balance and securities rated Caa1 or lower make up approximately 14.1% of the underlying portfolio. Additionally, interest payments on the Class D Notes are presently being deferred as a result of the failure of the Class C Overcollateralization Tests. Moody's also observes that the transaction is exposed to a significant concentration of mezzanine and junior CLO tranches in the underlying portfolio. The majority of these CLO tranches is currently assigned low speculative-grade ratings and carry depressed market valuations that may herald poor recovery prospects in the event of default. Gleneagles CLO Ltd. Issued in October 2005 is a collateralized loan obligation, backed primarily by a portfolio of senior secured loans. GREENBRIAR CDO: Moody's Junks Rating on $40MM Class D Notes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Greenbriar CDO, Ltd.: -- US$730,000,000 Class A Floating Rate Senior Secured Extendable Notes Due 2021, Downgraded to A1; previously on December 20, 2007 Assigned Aaa; -- US$60,000,000 Class B Floating Rate Senior Secured Extendable Notes Due 2021, Downgraded to Baa1; previously on March 4, 2009, Aa2 Placed Under Review for Possible Downgrade; -- US$50,000,000 Class C Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2021, Downgraded to Ba2; previously on March 13, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$40,000,000 Class D Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2021, Downgraded to Caa1; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$40,000,000 Class E Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2021, Downgraded to C; previously on March 13, 2009 Downgraded to Caa1 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). Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 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 Class A/B, C, D and E Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 3269 versus a test level of 2680 as of the last trustee report, dated April 21, 2009. Based on the same report, defaulted securities total about $45.6 million accounting for roughly 4.8% of the collateral balance and securities rated Caa1 or lower make up approximately 17.5% of the underlying portfolio. Additionally, interest payments on the Class C, D and E Notes are presently being deferred as a result of the failure of the Class A/B, C and D Overcollateralization Tests. Moody's also observes that the transaction is exposed to a significant concentration of mezzanine and junior CLO tranches in the underlying portfolio. The majority of these CLO tranches are currently assigned low speculative-grade ratings and carry depressed market valuations that may herald poor recovery prospects in the event of default. Greenbriar CLO, Ltd., issued on December 20, 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. GREYWOLF CLO: Moody's Junks Rating on $30MM Class D Notes --------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Greywolf CLO I, Ltd.: -- US$365,000,000 Class A Floating Rate Notes, Due 2021, Downgraded to A3; previously on 2/5/07 Assigned Aaa; -- US$22,500,000 Class B Floating Rate Notes, Due 2021, Downgraded to Baa3; previously on 3/4/09 Placed Under Review for Possible Downgrade. -- US$25,000,000 Class C Deferrable Floating Rate Notes, Due 2021, Downgraded to Ba3; previously on 3/13/09 Downgraded to Ba1 and Placed Under Review for Possible Downgrade. -- US$30,000,000 Class D Deferrable Floating Rate Notes, Due 2021, Downgraded to Caa3; previously on 3/13/09 Downgraded to B1 and Placed Under Review for Possible Downgrade. -- US$17,500,000 Class E Deferrable Floating Rate Notes, Due 2021, Downgraded to C; previously on 3/13/09 Downgraded to Caa1 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 will be below their historical averages, consistent with Moody's research. Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Credit deterioration of the collateral pool is observed in, among other metrics, a decline in the average credit rating (as measured through the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of Class A/B, C, D, E Par Value OC Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 3146 versus a test level of 2787 as of the last trustee report, dated May 7, 2009. Based on the same report, defaulted securities total about $32 million accounting for roughly 7% of the collateral balance and securities rated Caa1 or lower make up approximately 7.5% 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 C Par Value Test. Greywolf CLO I, Ltd., issued on January 18th, 2007 is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. GULF STREAM: Moody's Downgrades Ratings on Various 2005-II Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Gulf Stream-Compass CLO 2005-II, Ltd.: -- US$35,000,000 Class A-1 Senior Secured Variable Funding Floating Rate Notes due 2020, Downgraded to Aa3; previously on 1/31/2006 Assigned Aaa; -- US$350,000,000 Class A-2 Senior Secured Floating Rate Notes due 2020, Downgraded to Aa3; previously on 1/31/2006 Assigned Aaa; -- US$15,000,000 Class B Senior Secured Floating Rate Notes due 2020, Downgraded to A3; previously on 3/4/2009 Aa2 Placed Under Review for Possible Downgrade; -- US$25,000,000 Class D Secured Deferrable Floating Rate Notes due 2020, Downgraded to Caa2; previously on 3/17/2009 Downgraded to B2 and Placed Under Review for Possible Downgrade; -- US$5,000,000 Type I Composite Notes due 2020, Downgraded to A2, previously on 3/4/2009 Aa2 Placed Under Review for Possible Downgrade -- US$10,000,000 Type II Composite Notes due 2020, Downgraded to B2, previously on 3/4/2009 Baa2 Placed Under Review for Possible Downgrade Additionally, Moody's has confirmed the rating of these notes: -- US$35,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2020, Confirmed at Ba1; previously on 3/17/2009 Downgraded to Ba1 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 has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Credit deterioration of the collateral pool is observed through 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 D Par Value Ratio. The weighted average rating factor has steadily increased over the last year and it is currently at 2812 versus a test level of 2596 as of the last trustee report, dated 5/15/2009. Based on the same report, defaulted securities total about $23.9 million, accounting for roughly 5% of the collateral balance, and securities rated Caa1 or lower make up approximately 9.64% of the underlying portfolio. Moody's also noted that the portfolio includes a number of investments in securities that mature after the maturity date of the notes. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Moody's also observes that the transaction is exposed to a number of mezzanine and junior CLO tranches in the underlying portfolio. Some of these CLO tranches are currently assigned low speculative- grade ratings and carry depressed market valuations that may herald poor recovery prospects in the event of default. Gulf Stream-Compass CLO 2005-II, Ltd., issued in January 24, 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. HEWETT'S ISLAND: Moody's Downgrades Ratings on Various Classes -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Hewett's Island CLO VI, Ltd.: -- $50,000,000 Class A-R First Priority Senior Secured Floating Rate Revolving Notes Due 2019, Downgraded to A1; previously on 6/28/07 Assigned Aaa; -- US$255,500,000 Class A-T First Priority Senior Secured Floating Rate Term Notes Due 2019, Downgraded to A1; previously on 6/28/07 Assigned Aaa; -- US$27,500,000 Class B Second Priority Senior Secured Floating Rate Notes Due 2019, Downgraded to Baa3; previously on 3/4/09 Placed Under Review for Possible Downgrade; -- US$15,500,000 Class C Third Priority Senior Secured Deferrable Floating Rate Notes Due 2019, Downgraded to Ba3; previously on 3/13/09 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$15,500,000 Class D Fourth Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2019, Downgraded to Caa3; previously on 3/13/09 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$16,000,000 Class E Fifth Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2019, Downgraded to C; previously on 3/13/09 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 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, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class A/B, C, D, E Overcollateralization Tests. Based on the 5/4/09 trustee report, defaulted securities total approximately $33 million accounting for roughly 8.5% of the collateral balance and securities rated Caa1 or lower make up approximately 11.39% of the underlying portfolio. Additionally, an interest payment on the Class E Note was deferred in March as a result of the failure of the Class D Overcollateralization Test. Hewett's Island CLO VI, Ltd., issued on 5/29/07 is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. IANUS CAPITAL: Moody's Assigns 'B2' Rating on EUR50 Mil. Notes -------------------------------------------------------------- Moody's Investors Service announced that it has assigned a rating to notes issued by Ianus Capital Ltd., an Irish special purpose company incorporated with limited liability. This rating was assigned: -- B2 to the EUR50,000,000 Principal At-Risk Variable Rate Notes due June 2012 This transaction is a single issuance sponsored by Munich Re offering notes that are linked to the occurrence of catastrophic events in the covered areas during the specified risk period. The transaction is structured as a standard parametric catastrophe bond. The two perils covered by the transaction include European Windstorm and Turkey Earthquake. This transaction is the first Moody's-rated catastrophe bond to include Turkish earthquake peril as a Risk Event. Moody's rating addresses the ultimate cash receipt of all required interest and principal payments as provided by the governing documents and is based on the expected loss posed to the note holders relative to the promise of receiving the present value of such payments. The rating is based on Moody's analysis of the probability of occurrence of qualifying events, their timing and the severity of losses experienced by investors should these events occur during the risk period. The rating also addresses the effectiveness of the documentation in conveying the risks inherent in the structure as well as the credit strength of the Cat Swap Counterparty and collateral. Moody's evaluation included extensive review of the technical basis, methodology and historical data used to develop the probabilistic risk model used by EQECAT, Inc., the Modeling Agent, for the analysis of potential losses and for its sensitivity analysis of critical parameters of the model. The risk analysis developed by the Modeling Agent is expressed as an annualized exceedance curve for the defined parametric indices, which is used to define potential losses resulting from the perils covered by the transaction. In its rating analysis, Moody's used the risk analysis results developed by EQECAT and, in addition, applied stresses to capture uncertainties in the modeling and examine the robustness of the ratings. By creating a simplified model of the transaction and using the modified results provided by the Modeling Agent as an input, Moody's can simulate the occurrence of multiple scenarios throughout the life of the transaction. In addition, counterparty and collateral default risks were included in the model and evaluated. Finally, Moody's assessment of the risk of the transaction to investors also takes into account the guarantee by Munich Re, as Cat Swap Counterparty, of the first year's premium payments, regardless of any losses that may be incurred following the occurrence of one or more Risk Events. The proceeds from the sale of the Notes were used to purchase EUR50,000,000 in aggregate principal amount of Puttable Floating Rate Notes issued by the German bank, Kreditanstalt f�r Wiederaufbau under a note program (the Collateral). The Issuer may redeem the Collateral at par by delivering a put notice at any time after the second interest payment date in December 2009. A put notice will be delivered for either making payments of cash settlement amounts under the Cat Swap Agreement or for redeeming the Collateral on or before the Scheduled Redemption Date. This transaction is also the first Moody's-rated catastrophe bond to utilize this form of collateral in lieu of the more standard total return swap structure. Issuer and Munich Re, as the Cat Swap Counterparty, entered into a Cat Swap Agreement, which will provide for the payment by the Issuer to Munich Re of cash settlement amounts following certain conditions to settlement being satisfied with regard to one or more Risk Events. The Cat Swap Counterparty Payments made by Munich Re along with the payments on the Collateral are designed to meet the anticipated cash flows under the Notes. IMPAC CMB: Moody's Downgrades Ratings on 79 Tranches ---------------------------------------------------- Moody's Investors Service has downgraded the ratings of 79 tranches from 15 Alt-A RMBS transactions issued by Impac. The collateral backing these transactions consists primarily of first- lien, adjustable-rate, Alt-A residential 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. Moody's defines low pool factor deals as those that meet one of these two criteria: (1) the outstanding collateral balance is less than $1 million, and the pool factor is less than 5% or (2) the pool has fewer than 50 loans remaining. For these deals, gross defaults are determined by applying assumed lifetime roll-rates to the transactions' current delinquency buckets ("Delinquency Pipeline") and a pipeline multiplier. The pipeline multiplier accounts for further possible defaults that might arise from borrowers that are current. The pipeline multiplier differs for each deal based on the number of loans remaining in the pool -- greater the number of loans remaining, the higher the multiplier. The estimated defaults are subject to a floor -- a minimum default. The minimum default also differs based on the number loans remaining in the pool. The fewer the number of loans remaining in the pool the higher the minimum default since each loan represents a higher percentage of the pool. The final default number is then multiplied by expected loss severity to arrive at Moody's expected loss estimate. Loss severity differs by transaction and is higher for more recent vintages. 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: Impac CMB Trust Series 2003-9F -- Cl. M, Downgraded to Aa3; previously on 8/25/2003 Assigned Aa2 Impac CMB Trust Series 2004-10 -- Cl. 1-A-1, Downgraded to Ba3; previously on 7/29/2008 Upgraded to A3 -- Current Underlying Rating: Downgraded to Ba3; previously on 7/29/2008 Published at A3 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn 3/25/2009) -- Cl. 1-A-2, Downgraded to Ca; previously on 3/24/2009 Downgraded to Caa2 -- Current Underlying Rating: Downgraded to Ca; previously on 11/21/2008 Downgraded to Caa2 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn 3/25/2009) -- Cl. 3-A-1, Downgraded to Aa3; previously on 11/21/2008 Downgraded to Aa1 -- Cl. 3-A-2, Downgraded to A3; previously on 11/21/2008 Downgraded to A1 -- Cl. 3-M-1, Downgraded to Baa2; previously on 11/21/2008 Downgraded to A2 -- Cl. 3-M-2, Downgraded to Baa3; previously on 11/21/2008 Downgraded to Baa1 -- Cl. 3-M-3, Downgraded to Ba3; previously on 11/21/2008 Downgraded to Ba1 -- Cl. 3-M-4, Downgraded to B3; previously on 11/21/2008 Downgraded to B2 -- Cl. 3-M-5, Downgraded to Caa3; previously on 11/21/2008 Downgraded to Caa2 Impac CMB Trust Series 2004-11 -- Cl. 2-A-1, Downgraded to Baa2; previously on 1/14/2005 Assigned Aaa -- Cl. 2-A-2, Downgraded to Baa3; previously on 11/21/2008 Downgraded to Aa3 -- Cl. 2-M-1, Downgraded to B2; previously on 11/21/2008 Downgraded to A1 -- Cl. 2-M-2, Downgraded to Caa2; previously on 11/21/2008 Downgraded to A3 -- Cl. 2-M-3, Downgraded to Caa3; previously on 11/21/2008 Downgraded to Baa2 -- Cl. 2-M-4, Downgraded to Caa3; previously on 11/21/2008 Downgraded to Ba2 -- Cl. 2-M-5, Downgraded to Ca; previously on 11/21/2008 Downgraded to B3 -- Cl. 2-M-6, Downgraded to Ca; previously on 11/21/2008 Downgraded to Caa2 Impac CMB Trust Series 2004-4 -- Cl. 1-A-1, Downgraded to Aa2; previously on 6/7/2004 Assigned Aaa -- Cl. 1-A-2, Downgraded to Aa2; previously on 6/7/2004 Assigned Aaa -- Cl. 1-A-3, Downgraded to Aa2; previously on 6/7/2004 Assigned Aaa -- Cl. 1-M-1, Downgraded to Aa3; previously on 6/7/2004 Assigned Aa1 Impac CMB Trust Series 2004-5 -- Cl. 1-M-6, Downgraded to Baa2; previously on 7/26/2004 Assigned A3 Impac CMB Trust Series 2004-6 -- Cl. 1-A-1, Downgraded to A1; previously on 7/26/2004 Assigned Aaa -- Cl. 1-A-2, Downgraded to Aa3; previously on 7/26/2004 Assigned Aaa -- Cl. 1-A-3, Downgraded to A1; previously on 7/26/2004 Assigned Aaa -- Cl. 2-A, Downgraded to Aa1; previously on 7/26/2004 Assigned Aaa -- Current Underlying Rating: Downgraded to Aa1; previously on 7/29/2008 Published at Aaa -- Financial Guarantor: Ambac Assurance Corporation (Downgraded to Ba3, Outlook Developing on 4/13/2009) -- Cl. M-1, Downgraded to A3; previously on 7/26/2004 Assigned Aa1 -- Cl. M-2, Downgraded to Baa2; previously on 7/26/2004 Assigned Aa2 -- Cl. M-3, Downgraded to Baa3; previously on 11/21/2008 Downgraded to A1 -- Cl. M-4, Downgraded to Ba2; previously on 11/21/2008 Downgraded to A2 -- Cl. M-5, Downgraded to Caa2; previously on 11/21/2008 Downgraded to Baa1 -- Cl. M-6, Downgraded to Caa3; previously on 11/21/2008 Downgraded to Ba1 Impac CMB Trust Series 2004-7 -- Cl. 1-A-1, Downgraded to A3; previously on 11/21/2008 Downgraded to Aa1 -- Cl. 1-A-2, Downgraded to Baa2; previously on 11/21/2008 Downgraded to A1 -- Cl. 2-A, Downgraded to Ba2; previously on 11/21/2008 Downgraded to Aa3 -- Current Underlying Rating: Downgraded to Ba2; previously on 11/21/2008 Downgraded to Aa3 -- Financial Guarantor: Ambac Assurance Corporation (Downgraded to Ba3, Outlook Developing on 4/13/2009) -- Cl. M-1, Downgraded to Ba1; previously on 11/21/2008 Downgraded to A2 -- Cl. M-2, Downgraded to B2; previously on 11/21/2008 Downgraded to A3 -- Cl. M-3, Downgraded to Caa3; previously on 11/21/2008 Downgraded to Baa2 -- Cl. M-4, Downgraded to Ca; previously on 11/21/2008 Downgraded to Ba1 -- Cl. M-5, Downgraded to C; previously on 11/21/2008 Downgraded to Caa1 Impac CMB Trust Series 2004-8 -- Cl. 2-A-1, Downgraded to Baa2; previously on 7/29/2008 Upgraded to A1 -- Current Underlying Rating: Downgraded to Baa2; previously on 7/29/2008 Published at A1 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn 3/25/2009) -- Cl. 2-A-2, Downgraded to Caa3; previously on 7/29/2008 Downgraded to B1 -- Current Underlying Rating: Downgraded to Caa3; previously on 7/29/2008 Published at B1 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn 3/25/2009) Impac CMB Trust Series 2004-9 -- Cl. 1-A-1, Downgraded to A3; previously on 11/21/2008 Downgraded to Aa2 -- Cl. 1-A-2, Downgraded to Baa3; previously on 11/21/2008 Downgraded to A2 -- Cl. 2-A, Downgraded to Ba1; previously on 11/21/2008 Downgraded to A1 -- Current Underlying Rating: Downgraded to Ba1; previously on 11/21/2008 Downgraded to A1 -- Financial Guarantor: Ambac Assurance Corporation (Downgraded to Ba3, Outlook Developing on 4/13/2009) -- Cl. M-1, Downgraded to Ba2; previously on 11/21/2008 Downgraded to A3 -- Cl. M-2, Downgraded to B3; previously on 11/21/2008 Downgraded to Baa2 -- Cl. M-3, Downgraded to Caa3; previously on 11/21/2008 Downgraded to Baa3 -- Cl. M-4, Downgraded to Ca; previously on 11/21/2008 Downgraded to Ba3 -- Cl. M-5, Downgraded to C; previously on 11/21/2008 Downgraded to Caa1 -- Cl. M-6, Downgraded to C; previously on 11/21/2008 Downgraded to Ca Impac Secured Assets Corp., 2004-3 -- Cl. M-1, Downgraded to A1; previously on 10/26/2004 Assigned Aa1 -- Cl. M-2, Downgraded to Baa3; previously on 10/26/2004 Assigned Aa2 -- Cl. M-3, Downgraded to Caa1; previously on 11/21/2008 Downgraded to Baa2 -- Cl. M-4, Downgraded to Caa3; previously on 11/21/2008 Downgraded to Ba3 -- Cl. M-5, Downgraded to Ca; previously on 11/21/2008 Downgraded to Caa1 -- Cl. B, Downgraded to C; previously on 11/21/2008 Downgraded to Ca Impac Secured Assets Trust 2002-2 -- Cl. B-1, Downgraded to B3; previously on 4/23/2002 Assigned Ba2 -- Cl. B-2, Downgraded to Ca; previously on 11/21/2008 Downgraded to Caa3 Impac Secured Assets Trust 2003-1 -- Cl. M-1, Downgraded to Aa2; previously on 10/20/2006 Upgraded to Aaa -- Cl. M-2, Downgraded to A2; previously on 10/20/2006 Upgraded to Aa1 -- Cl. B, Downgraded to Baa2; previously on 10/20/2006 Upgraded to A1 Impac Secured Assets Trust 2004-1 -- Cl. A-5, Downgraded to A1; previously on 3/18/2004 Assigned Aaa -- Cl. A-6, Downgraded to Aa3; previously on 3/18/2004 Assigned Aaa -- Cl. M-1, Downgraded to A3; previously on 11/21/2008 Downgraded to Aa3 -- Cl. M-2, Downgraded to Ba1; previously on 11/21/2008 Downgraded to A3 -- Cl. M-3, Downgraded to Caa3; previously on 11/21/2008 Downgraded to Ba2 Impac Secured Assets Trust 2004-2 -- Cl. A-5, Downgraded to A1; previously on 8/9/2004 Assigned Aaa -- Cl. A-6, Downgraded to Aa3; previously on 8/9/2004 Assigned Aaa -- Cl. M-1, Downgraded to Baa2; previously on 8/9/2004 Assigned Aa2 -- Cl. M-2, Downgraded to B3; previously on 8/9/2004 Assigned A2 -- Cl. M-3, Downgraded to Caa3; previously on 11/21/2008 Downgraded to Ba2 Impac Secured Assets Trust 2004-4 -- Cl. M-1, Downgraded to A1; previously on 1/27/2005 Assigned Aa1 -- Cl. M-2, Downgraded to Baa1; previously on 1/27/2005 Assigned Aa2 -- Cl. M-3, Downgraded to Baa3; previously on 11/21/2008 Downgraded to A1 -- Cl. M-4, Downgraded to B1; previously on 11/21/2008 Downgraded to Baa1 -- Cl. M-5, Downgraded to Ca; previously on 11/21/2008 Downgraded to B2 -- Cl. B, Downgraded to C; previously on 11/21/2008 Downgraded to Ca ION MEDIA: S&P Withdraws 'D' Corporate Credit Rating ---------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on ION Media Networks Inc. due to the lack of financial information on the company. Ratings List ION Media Networks Inc. To From -- ---- Corporate Credit Rating NR D/--/-- Senior Secured NR D Recovery Rating NR 6 IXION PLC: S&P Downgrades Ratings on Series 26 & 27 to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the notes issued by Ixion PLC's series 26 and 27 to 'D' from 'CCC-'. Both deals are synthetic collateralized debt obligation of asset- backed securities transactions. The defaults follow recent write-downs of underlying reference entities, which have caused each class of notes to incur a principal loss. Rating Actions Ixion PLC Series 26 Rating ------ Class To From ----- -- ---- Notes D CCC- I Ixion PLC I Series 27 Rating ------ Class To From ----- -- ---- Notes D CCC- JP MORGAN: Moody's Affirms Ratings on 19 2005-LDP2 Certificates --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 19 classes and downgraded 8 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2005-LDP2 due to anticipated losses from specially serviced loans, increased credit quality dispersion and concerns about loans approaching maturity. Seventeen loans, representing 6% of the pool, mature within the next twelve months. Nine of these loans, representing 4% of the pool, have Moody's stressed debt service coverage ratio less than 1.0x. The action is the result of Moody's on-going surveillance of commercial mortgaged-back securities transactions. As of the May 16, 2009 distribution date, the transaction's aggregate principle balance has decreased by approximately 4% to $2.84 billion from $2.98 billion at securitization. The Certificates are collateralized by 293 loans, ranging in size from less than 1% to 4% of the pool, with the top 10 loans representing 26% of the pool. The pool includes one investment grade loan with an underlying rating, representing 4% of the pool. At securitization there were two other loans with underlying ratings -- The Russ Building ($60.0 million -- 2.1%) and Four Peaks ($17.1 million -- 0.6%). However, the performance of these loans has declined and they are now analyzed as part of the conduit pool. Ten loans, representing 2% of the pool, have defeased and are collateralized with U.S. Government securities. Forty loans, representing 10% of the pool, are on the master servicer's watch-list. The master servicer's watch-list includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watch-list to assess which loans have material issues that could impact performance. Not all loans on the watch-list are delinquent or have significant issues. One loan has been liquidated from the pool since securitization, resulting in a $7.8 million realized loss. Currently four loans, representing 1% of the pool, are in special servicing. Moody's is estimating a $14.4 million loss from these specially serviced loans (51% severity on average). Moody's was provided with year-end 2008 and partial-year 2008 operating results for 85% of the pool. Moody's weighted average loan to value ratio for the conduit component is 103%, compared to 99% at Moody's prior 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, approximately 60% of the pool has a Moody's LTV ratio in excess of 100% compared to 50% at last review and 39% at securitization. The loan with an underlying rating is the Gateway Plaza I & II Loan ($98.8 million -- 3.4%), which is secured by a 629,000 square foot retail center located in Salt Lake City, Utah. The center is anchored by Dick's Sporting Goods, Gateway Theaters and Barnes & Noble. The center was 98% occupied as of March 2009, compared to 98% at last review. Performance has been stable. Moody's current underlying rating is Baa3, the same as at securitization. The second loan which had an underlying rating at securitization is the Russ Building Loan ($60.0 million -- 2.1%), which is secured by a 509,000 square foot office building located in San Francisco, California. The property was 96% leased as of December 2008, essentially the same as at last review. Although occupancy has been stable since last review, performance has declined due to 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 73% at last review. The third loan which had an underlying rating at securitization is the Four Peaks Loan ($17.0 million -- 0.6%), which is secured by a 141, 000 square foot retail center located approximately 30 miles from Phoenix in Fountain Hills, Arizona. The largest tenants include Ross Dress for Less, Dollar Tree and Petco. The property was 85% leased as of December 2008 compared to 99% at last review. Financial performance has declined due to decreased rental revenues and the property is operating below original projections. 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 97% compared to 77% at last review. The top three conduit loans represent 10.4% of the pool. The largest conduit loan is the City Place Corporate Center Loan ($121.6 million -- 4.2%), which is secured by five office buildings totaling 789,000 square feet, a 50,000 square foot mixed use property and a 28,000 square foot retail building. All of the properties are located in Creve Coeur, Missouri. The portfolio's weighted average occupancy as of year-end 2008 was 96% compared to 94% at last review. Performance has been stable. Moody's LTV is 104%, the same as at last review. The second largest conduit loan is the Shops at Canal Place Loan ($90.0 million -- 3.1%), which is secured by a 215,000 square foot retail center located in New Orleans, Louisiana. The property was severely damaged by fire and looting immediately following Hurricane Katrina and was closed until February 2006. The property was 95% occupied as of December 2008 compared to 83% at last review. However, despite the increased occupancy, the property is operating below original projections. Moreover, the property's future prospects are uncertain given the major disruption to New Orleans' tourism and convention business. Moody's LTV is 132% compared to 131% at last review. The third largest conduit loan is the Hutchinson Metro Center Loan ($87.8 million -- 3.1%), which is secured by a 424,000 square foot office building located in the Bronx, New York. The property was 98% leased as of December 2008 compared to 89% at last review. Despite increased occupancy, performance has declined due to increased operating expenses. Moody's LTV is 115% compared to 105% at last review. Moody's rating actions is: -- Class A-1, $4,026,459, affirmed at Aaa; previously affirmed at Aaa on 5/4/2007 -- Class A-2, $257,128,000, affirmed at Aaa; previously affirmed at Aaa on 5/4/2007 -- Class A-3, $367,428,000, affirmed at Aaa; previously affirmed at Aaa on 5/4/2007 -- Class A-3A, $122,717,000, affirmed at Aaa; previously affirmed at Aaa on 5/4/2007 -- Class A-4, $561,321,000, affirmed at Aaa; previously affirmed at Aaa on 5/4/2007 -- Class A-SB, $123,438,000, affirmed at Aaa; previously affirmed at Aaa on 5/4/2007 -- Class A-1A, $543,589,378, affirmed at Aaa; previously affirmed at Aaa on 5/4/2007 -- Class A-M, $247,946,000, affirmed at Aaa; previously affirmed at Aaa on 5/4/2007 -- Class A-MFL, $50,000,000, affirmed at Aaa; previously affirmed at Aaa on 5/4/2007 -- Class A-J, $216,011,000, affirmed at Aaa; previously affirmed at Aaa on 5/4/2007 -- Class X-1, Notional, affirmed at Aaa; previously affirmed at Aaa on 5/4/2007 -- Class X-2, Notional, affirmed at Aaa; previously affirmed at Aaa on 5/4/2007 -- Class B, $18,621,000, affirmed at Aa1; previously affirmed at Aa1 on 5/4/2007 -- Class C, $40,968,000, affirmed at Aa2; previously affirmed at Aa2 on 5/4/2007 -- Class D, $26,070,000, affirmed at Aa3; previously affirmed at Aa3 on 5/4/2007 -- Class E, $26,070,000, affirmed at A1; previously affirmed at A1 on 5/4/2007 -- Class F, $29,795,000, affirmed at A2; previously affirmed at A2 on 5/4/2007 -- Class G, $26,070,000, affirmed at A3; previously affirmed at A3 on 5/4/2007 -- Class H, $44,692,000, affirmed at Baal; previously affirmed at Baa1 on 5/4/2007 -- Class J, $29,795,000, downgraded to Ba1; previously affirmed at Baa2 on 5/4/2007 -- Class K, $37,243,000, downgraded to Ba3; previously affirmed at Baa3 on 5/4/2007 -- Class L, $11,173,000, downgraded to B2; previously downgraded to Ba2 from Ba1 on 5/4/2007 -- Class M, $14,897,000, downgraded to B3; previously downgraded to Ba3 from Ba2 on 5/4/2007 -- Class N, $11,173,000, downgraded to Caa1; previously downgraded to B1 from Ba3 on 5/4/2007 -- Class O, $7,449,000, downgraded to Caa2; previously downgraded to B2 from B1 on 5/4/2007 -- Class P, $7,449,000, downgraded to Caa3; previously downgraded to B3 from B2 on 5/4/2007 -- Class Q, $11,173,000, downgraded to Caa3; previously downgraded to Caa2 from B3 on 5/4/2007 JPMCC 2006-LDP7: Fitch Puts Low-B Ratings on 3 Certs. on WatchNeg. ------------------------------------------------------------------ Fitch Ratings places these classes of JPMCC 2006-LDP7 commercial mortgage pass-through certificates on Rating Watch Negative: -- $310.3 million class A-J 'AAA'; Rating Watch Negative; -- $78.8 million class B 'AA'; Rating Watch Negative; -- $44.3 million class C 'AA-'; Rating Watch Negative; -- $14.8 million class D 'A+'; Rating Watch Negative; -- $39.4 million class E 'A'; Rating Watch Negative; -- $39.4 million class F 'A-'; Rating Watch Negative; -- $49.2 million class G 'BBB+'; Rating Watch Negative; -- $39.4 million class H 'BBB'; Rating Watch Negative; -- $44.3 million class J 'BBB-'; Rating Watch Negative; -- $14.8 million class K 'BB+'; Rating Watch Negative; -- $14.8 million class L 'BB'; Rating Watch Negative; -- $19.7 million class M 'BB-'; Rating Watch Negative. The Rating Watch Negative placements are due to the increased number of Fitch Loans of Concern (9.85%), which includes 13 specially serviced loans (3.53%). The largest loan in special servicing (1.48%) is collateralized by a California office building and transferred to the special servicer due to delinquent payment. The loan is currently 30 days delinquent. Fitch expects to resolve the Rating Watch Negative status of these classes as it completes the analysis of the 2006 through 2008 fixed rate transactions and will incorporate updated information on the specially serviced loans as it becomes available. LANDMARK VI: Moody's Junks Rating on Class D of $15MM Notes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Landmark VI CDO Ltd.: -- $222,000,000 Class A Senior Secured Floating Rate Notes due 2018 Downgraded to Aa3; previously on January 30, 2006 Assigned Aaa; -- $15,000,000 Class B Senior Secured Floating Rate Notes due 2018 Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- $19,000,000 Class C Secured Deferrable Floating Rate Notes due 2018 Downgraded to Ba2; previously on March 17, 2009 Downgraded to Ba1and Placed Under Review for Possible Downgrade; -- $15,000,000 Class D Secured Deferrable Floating Rate Notes due 2018 Downgraded to Caa2; previously on March 17, 2009 Downgraded to B3 and Placed Under Review for Possible Downgrade; -- $10,000,000 Class E Secured Deferrable Floating Rate Notes due 2018 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 (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 other metrics, a decline in the average credit rating (as measured through the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class A/B, C, D, and E Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 3103 versus a test level of 2775 as of the last trustee report, dated April 30, 2009. Based on the same report, defaulted securities total about $26.5 million accounting for roughly 8.9% of the collateral balance and securities rated Caa1 or lower make up approximately 19.2% of the underlying portfolio. Additionally, interest payments on the Class C, D, and E Notes are presently being deferred. Moody's also assessed the collateral pool's elevated concentration risk in a small number of obligors and industries. This includes a significant concentration in debt obligations of companies in the banking, finance, real estate, and insurance industries, which Moody's views to be more strongly correlated in the current market environment. Landmark VI CDO Ltd., issued in January 2006, is a collateralized loan obligation, backed primarily by a portfolio of senior secured loans. LATITUDE CLO: Moody's Junks Rating on Class C $13.30MM Notes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded its ratings on these notes issued by Latitude CLO II Ltd.: -- US$45,500,000 Class A-2 Senior Secured Floating Rate Notes Due 2018, Downgraded to A2; previously on March 4, 2008 Aaa Placed Under Review for Possible Downgrade; -- US$27,000,000 Class B Second Priority Deferrable Floating Rate Notes Due 2018, Downgraded to Ba2; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$13,300,000 Class C Third Priority Deferrable Floating Rate Notes Due 2018, Downgraded to Caa3; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$9,500,000 Class D Fourth Priority Deferrable Floating Rate Notes Due 2018, Downgraded to C; 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 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 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, Class B, Class C, and Class D Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2828 versus a test level of 2540 as of the most recent trustee report, dated May 20, 2009. Based on the same report, defaulted securities total about $28.4 million, accounting for roughly 9.8% of the collateral balance, and securities rated Caa1 or lower make up approximately 11% of the underlying portfolio. Additionally, interest payments on the Class D Notes are presently being deferred as a result of the failure of the Class A, Class B, and Class C Overcollateralization Tests. Latitude CLO II Ltd, issued in August of 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. LB-UBS COMMERCIAL: Fitch Junks Rating on Class T of 2002-C7 Certs. ------------------------------------------------------------------ Fitch Ratings affirms and assigns Rating Outlooks to LB-UBS Commercial Mortgage, series 2002-C7, commercial mortgage pass- through certificates: -- $71.4 million class A-3 at 'AAA'; Outlook Stable; -- $394.4 million class A-4 at 'AAA'; Outlook Stable; -- $80.2 million class A-1b at 'AAA'; Outlook Stable; -- Interest-Only classes X-CL and X-CP at 'AAA'; Outlook Stable; -- $20.8 million class B at 'AAA'; Outlook Stable; -- $17.8 million class C at 'AAA'; Outlook Stable; -- $17.8 million class D at 'AAA'; Outlook Stable; -- $14.8 million class E at 'AAA'; Outlook Stable; -- $14.8 million class F at 'AAA'; Outlook Stable; -- $14.8 million class G at 'AAA'; Outlook Stable; -- $19.3 million class H at 'AA+'; Outlook Stable; -- $11.9 million class J at 'AA-'; Outlook Stable; -- $11.9 million class K at 'A+'; Outlook Stable; -- $19.3 million class L at 'BBB+'; Outlook Stable; -- $7.4 million class M at 'BBB'; Outlook Stable; -- $5.9 million class N at 'BB+'; Outlook Stable; -- $8.9 million class P at 'BB-'; Outlook Stable; -- $4.5 million class Q at 'B+'; Outlook Stable; -- $3 million class S at 'B'; Outlook Negative; -- $8.9 million class T at 'CCC'. Fitch does not rate the $8.9 million class U. Classes A-1 and A-2 have paid in full. The rating affirmations reflect the stable performance of the pool and sufficient credit enhancement. The Rating Outlooks reflect the likely direction of any rating changes over the next one or two years. As of the May 2009 distribution date, the pool has paid down 36.3% to $756.6 million from $1.19 billion at issuance. Of the original 115 loans, 88 remain in the transaction and 21 (26.1%) have been defeased. Five loans, representing 37.1% of the transaction, continue to maintain their investment grade shadow ratings: Capitol at Chelsea (13.9%), Westfield Shoppingtown Independence (defeased) (8.9%), 205 East 42nd (6.2%), 655 Third Ave (5.3%), and 675 Third Ave (4.8%). Fitch has reviewed the most recent servicer provided operating statement analysis reports for the four non-defeased shadow rated loans. The largest loan in the deal and shadow rated is the Capitol at Chelsea (13.9%) which is collateralized by a 387-unit multifamily property in Manhattan, New York. As of Dec. 31, 2008, the property was 96% occupied with a servicer reported DSCR of 2.26 times (x). The three other nondefeased shadow rated loans are collateralized by office properties in Manhattan. Each property has current occupancies above 90% and low leverage with loan per square feet of $115 or less. Fitch has identified 10 Loans of Concern (4%), including two loans in special servicing (1.2%), as well as other loans with deteriorating performance. The largest specially serviced loan is collateralized by Uptown Square (0.9 %), a retail property in Fayetteville, Georgia. The loan transferred to special servicing on Nov. 11, 2008 imminent default as a result of Linens and Thing's bankruptcy filing. The leasing prospects for the vacant space are weak as the sub-market reports additional vacancies in retail centers nearby. The property is marketed for sale. Losses are expected. The second specially serviced loan is collateralized by Sandy Oak (0.2%), a multifamily property in Fort Worth, Texas. The loan transferred to special servicing in December 2007 for imminent default. The subject has 102 units and is at risk of losing its section 8 status due to severe deferred maintenance. Foreclosure process has been started. Losses are expected. LIMEROCK CLO: Moody's Junks Ratings on Class C & J Notes -------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Limerock CLO I: -- US$80,000,000 Class A-1 Floating Rate Notes Due 2023, Downgraded to A2; previously on April 11, 2007 Assigned Aaa; -- US$60,000,000 Class A-2 Floating Rate Notes Due 2023, Downgraded to A2; previously on April 11, 2007 Assigned Aaa; -- US$207,000,000 Class A-3a Floating Rate Notes Due 2023, Downgraded to Aa3; previously on April 11, 2007 Assigned Aaa; -- US$23,000,000 Class A-3b Floating Rate Notes Due 2023, Downgraded to Baa1; previously on March 4, 2009, Aa1 Placed Under Review for Possible Downgrade; -- US$29,000,000 Class A-4 Floating Rate Notes Due 2023, Downgraded to Baa3; previously on March 4, 2009, Aa2 Placed Under Review for Possible Downgrade; -- US$22,000,000 Class B Deferrable Floating Rate Notes Due 2023, Downgraded to Ba3; previously on March 13, 2009, Downgraded to Ba2 and Placed Under Review for Possible Downgrade; -- US$19,000,000 Class C Floating Rate Notes Due 2023, Downgraded to Caa2; previously on March 13, 2009, Downgraded to B2 and Placed Under Review for Possible Downgrade; -- US$20,000,000 Class D Floating Rate Notes Due 2023, Downgraded to C; previously on March 13, 2009, Downgraded to Caa3 and Placed Under Review for Possible Downgrade; -- US$14,000,000 Class J Blended Securities, Downgraded to Caa1; previously on March 4, 2009, Baa2 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). Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Credit deterioration of the collateral pool is observed in 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 Class B, C, and D Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 3069 versus a test level of 2560 as of the latest trustee report, dated May 12, 2009. Based on the same report, defaulted securities total about $46.7 million, accounting for roughly 9.5% of the collateral balance, and securities rated Caa1 or lower make up approximately 14.7% of the underlying portfolio. Additionally, interest payments on the Class D Notes are presently being deferred as a result of the failure of the Class B and C Overcollateralization Tests. Moody's also observes that the transaction is exposed to a number of mezzanine and junior CLO tranches in the underlying portfolio. The majority of these CLO tranches are currently assigned low speculative-grade ratings and carry depressed market valuations that may herald poor recovery prospects in the event of default. Limerock CLO I, issued in April 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. LONGSHORE CDO: S&P Corrects Ratings on Class A-1 Notes to 'CC' -------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on the class A-1 notes from Longshore CDO Funding 2007-3 Ltd., a hybrid high-grade structured finance collateralize debt obligation transaction, by lowering it to 'CC' from 'BBB+'. Due to an administrative error, S&P had incorrectly linked the rating to the rating on a monoline insurer. S&P corrected the rating on the class A-1 notes to reflect the credit enhancement available, which S&P believes is insufficient to support the previous rating on the notes. Rating Corrected Longshore CDO Funding 2007-3 Ltd. Rating ------ Class To From ----- -- ---- A-1 CC BBB+ MAGNOLIA FINANCE: S&P Downgrades Ratings on 2006-5A Notes to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class A notes from Magnolia Finance II PLC's series 2006-5A to 'D' from 'CCC-'. The downgrade follows a number of recent write-downs of underlying reference entities, which have caused the notes to incur a principal loss. Rating Lowered Magnolia Finance II PLC Series 2006-5A Rating ------ Class To From ----- -- ---- A D CCC- MAMMOTH LAKES: S&P Downgrades Long-Term Rating on Certs. to 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its long-term rating and underlying rating on Mammoth Lakes, California's certificates of participation five notches to 'BB' from 'A-'. The outlook is developing. "The downgrades reflect our view of the significant exposure the town of Mammoth Lakes is facing as a result of litigation between the town, and a developer, as well as town documents that discuss bankruptcy as an important strategy in case of an adverse decision by the court," said Standard & Poor's credit analyst Sussan Corson. The developing outlook reflects what S&P see as the high degree of uncertainty and credit risk associated with Mammoth Lakes' recent $30 million adverse trial court judgment, which it is appealing in a trial process officials expect to take until the summer of 2010. If the town is unsuccessful in reversing the judgment, S&P believes there will be significant fiscal strain on the municipality. Furthermore, if officials continue to consider bankruptcy as an option to its current fiscal situation, S&P may maintain the non-investment-grade rating on the town. If the town actually avails itself of protection under the bankruptcy code, S&P would likely lower the rating further. Should a favorable court ruling eliminate the town's exposure to significant future fiscal strain, S&P would consider restoring the rating to investment-grade. The COPS rating reflects S&P's assessment of Mammoth Lakes' covenant to budget and appropriate lease payments, annual appropriation risk, and the general credit characteristics of the town. The town's general credit characteristics include what S&P consider its high degree of exposure to this $30 million trial court judgment, now on appeal, related to an alleged breach of contract of an airport development agreement, including $1.6 million (7% of general fund revenues) in associated legal fees realized in fiscal 2008, $650,000 in fiscal 2009, and $750,000 projected by the town for fiscal 2010; and an economy and general fund revenue structure that S&P view as highly dependent on tourism and environmental factors. Offsetting credit strengths in Standard & Poor's opinion include historically strong unreserved fund balances and contingency reserves that S&P believes have acted as an important buffer to declines in tourism and recent litigation costs; and good income levels. The certificates outstanding have an interest in lease payments from the town to the Mammoth Lakes Municipal Services Corp., a nonprofit, public-benefit corporation. In the lease, the town covenants to budget and appropriate lease payments through the certificates' term. MANUFACTURED HOUSING: S&P Corrects Ratings on 2 Certs. to BB- ------------------------------------------------------------- Standard & Poor's Ratings Services corrected its ratings on the class IM-2 and IIM-2 certificates issued by Manufactured Housing Contract Trust Pass-Thru Cert Series 2001-1 by lowering them to 'BB-'. The ratings remain on CreditWatch with negative implications. The ratings on these certificates are dependent on the financial strength rating of Radian Insurance Inc. ('BB-/Watch Neg'). Radian provides a guarantee of timely interest and the ultimate repayment of principal on the certificates under a certificate guarantee insurance policy. The rating actions reflect the April 8, 2009, lowering of the financial strength rating on Radian to BB-/Watch Neg/-- from BB+/Watch Neg/--. The corresponding rating actions on the certificates did not occur contemporaneously with the rating actions on Radian due to a process delay. Ratings Corrected Manufactured Housing Contract Trust Pass-Thru Cert Series 2001-1 Rating ------ Class To From ----- -- ---- Class IM-2 BB-/Watch Neg BB+/Watch Neg Class IIM-2 BB-/Watch Neg BB+/Watch Neg MASTR ADJUSTABLE: Moody's Downgrades Ratings on 10 Classes ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 10 classes of notes from two transactions issued by MASTR Adjustable Rate Mortgages Trust. The ratings are based on the methodology applied to all transactions with small pool factors. Moody's defines low pool factor deals as those that meet one of these two criteria: (1) the outstanding collateral balance is less than $1 million, and the pool factor is less than 5% or (2) the pool has fewer than 50 loans remaining Moody's uses these methodology to estimate losses on low pool factor deals. First, gross defaults are determined by applying assumed lifetime roll-rates (probabilities of transition to default) to the transactions' current delinquency buckets and a pipeline multiplier. The pipeline multiplier accounts for further possible defaults that might arise from borrowers that are current. The pipeline multiplier differs for each deal based on the number of loans remaining in the pool -- greater the number of loans remaining the higher the multiplier. The estimated defaults are subject to a floor -- a minimum default. The minimum default also differs based on the number of loans remaining in the pool. The fewer the number of loans remaining in the pool the higher the minimum default since each loan represents a higher percentage of the pool. The final default number is then multiplied by expected loss severity to arrive at Moody's expected loss estimate. Loss severity also differs by transaction and is higher for more recent vintages. Complete rating action: Issuer: MASTR Adjustable Rate Mortgages Trust 2002-3 (Loans Remaining: 22) -- Cl. B-1, Current Balance: $972,718, Downgraded to A1; previously on 9/1/2004 Upgraded to Aaa -- Cl. B-2, Current Balance: $378,242, Downgraded to Baa3; previously on 7/27/2005 Upgraded to Aaa -- Cl. B-3, Current Balance: $324,239, Downgraded to Ba3; previously on 7/27/2005 Upgraded to A1 -- Cl. B-4, Current Balance: $108,116, Downgraded to B3; previously on 7/27/2005 Upgraded to A2 Issuer: MASTR Adjustable Rate Mortgages Trust 2003-1 (Loans Remaining: 21) -- Cl. 2-A-1, Current Balance: $467,703, Downgraded to Aa2; previously on 3/26/2003 Assigned Aaa -- Cl. 2-A-2, Current Balance: $619,386, Downgraded to Aa1; previously on 3/26/2003 Assigned Aaa -- Cl. 2-A-3, Current Balance: $21,678, Downgraded to Aa3; previously on 9/1/2004 Upgraded to Aaa -- Cl. 2-A-IO, Downgraded to Aa1; previously on 3/26/2003 Assigned Aaa -- Cl. 3-A-1, Current Balance: $2,198,111, Downgraded to Aa2; previously on 3/26/2003 Assigned Aaa -- Cl. 3-A-IO, Downgraded to Aa2; previously on 3/26/2003 Assigned Aaa MAYPORT CLO: Moody's Cuts Rating on Class B-2L Notes to Ca ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Mayport CLO Ltd.: -- US$250,000,000 Class A-1L Floating Rate Notes due February 2020, downgraded to Aa2; previously on December 19, 2006 Assigned Aaa; -- US$60,000,000 Class A-1LV Floating Rate Revolving Notes due February 2020, downgraded to Aa2; previously on December 19, 2006, Assigned Aaa; -- US$26,000,000 Class A-2L Floating Rate Notes due February 2020, downgraded to A3; previously on March 4, 2007 Aa2 Placed Under Review for Possible Downgrade; -- US$20,000,000 Class B-2L Floating Rate Notes due February 2020, downgraded to Ca; previously on March 17, 2007 Downgraded to Caa3 and Placed Under Review for Possible Downgrade; Moody's has also confirmed the ratings of these notes: -- US$25,000,000 Class A-3L Deferrable Floating Rate Notes due February 2020, confirmed at Ba1; previously on March 17, 2007 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$19,500,000 Class B-1L Floating Rate Notes due February 2020, confirmed at B1; previously on March 17, 2007 Downgraded to B1 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, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of Class B-2L Overcollateralization Test. The weighted average rating factor has steadily increased over the last year and it is currently at 2913 versus a test level of 2560 as of the last trustee report, dated April 8, 2009. Based on the same report, defaulted securities total about $24.7 million accounting for roughly 6% of the collateral balance and securities rated Caa1 or lower make up approximately 16.6% of the underlying portfolio. MERRILL LYNCH: Fitch Downgrades Rating on Class F Notes to 'B' -------------------------------------------------------------- Fitch Ratings downgrades and assigns a Rating Outlook to one class of Merrill Lynch Mortgage Investors, Inc.'s mortgage pass-through certificates, series 1999-C1: -- $7.4 million class F to 'B' from 'BBB'; Outlook Negative. Fitch also removes class F from Rating Watch Negative. Fitch maintains the Rating Watch Negative on these classes: -- $32.6 million class B 'AAA'; -- $26.7 million class C 'AAA'; -- $8.9 million class D 'AAA'; -- $20.7 million class E 'AA'. Additionally, Fitch affirms these classes: -- $170.1 million class A-2 at 'AAA'; Outlook Stable; -- Interest only class IO at 'AAA'; Outlook Stable; -- $23.7 million class G at 'CC/RR3; -- $20.7 million class H at 'C/RR6'; -- $2.4 million class J at 'D/RR6'. Class K has been reduced to zero due to realized losses, and class A-1 has paid in full. The downgrade is the result of an increase in specially serviced assets (16.3%) and expected losses since Fitch's last rating action, as well as anticipated future interest shortfalls. Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. The Negative Outlook for class F reflects the significant percentage of Fitch Loans of Concern (25.9%), as well as concern over the significant maturity concentration in 2009. As of the May 2009 distribution date, the pool's aggregate principal balance had decreased by 47.1% to $313 million from $592 million at issuance. Twenty-six loans are fully defeased (31.2%), including three (13.3%) of the top 10 loans. Classes B through E maintain their Rating Watch Negative placements due to future anticipated interest shortfalls on those classes. The master servicer has declared previous advances on a specially serviced loan non-recoverable. It is anticipated that these advances will be recouped from the trust over the next year and will result in interest shortfalls on classes B through F. In addition, 8.1% of the pool is either a corrected or modified loan maturing in September 2009. The special servicer is entitled to fees and future additional shortfalls are possible. The advances deemed non-recoverable were due to a specially serviced loan (2%) where the asset was disposed after the loan became real estate-owned. There was ongoing litigation between the trust and the former borrower due to the borrower's bankruptcy filing and a dispute regarding the asset's sale proceeds. A favorable settlement to the trust has been reached. The master servicer is electing to recoup the advances before the majority of loans in the trust mature in 2009, and it is anticipated that shortfalls will begin in July or August 2009. Classes B through E may incur shortfalls for three to four months, and class F could incur shortfalls for up to 12 months. It is possible that these shortfalls could be recovered; however, if shortfalls on investment grade classes are not resolved in three to four months, these classes may be downgraded. Currently, there are six other assets (14.3%) in special servicing. The largest asset is an office building (4.8%) in Dallas, Texas, that lost its sole tenant. The building is currently 20% occupied. The debt service payments are being made by reserves and the loan is current. The next largest specially serviced asset has been real-estate owned since 2005 and is listed for sale. The property is an office building (4.7%) in Irving, Texas, that is currently 69% occupied. Based on the most recent appraisal value, losses are expected upon disposition. Forty-one non-defeased loans are scheduled to mature in 2009 (67%). These loans have a servicer reported weighted average debt service coverage ratio of 1.43 times. ML-CFC COMMERCIAL: Fitch Puts Ratings on Certs. on Negative Watch ----------------------------------------------------------------- Fitch Ratings has placed these 12 classes of ML-CFC Commercial Mortgage Trust's 2006-1 commercial mortgage pass-through certificates on Rating Watch Negative: -- $21.4 million class C 'AA-'; -- $29.4 million class D 'A'; -- $16.1 million class E 'A-'; -- $24.1 million class F 'BBB'; -- $16.1 million class G 'BBB-'; -- $26.8 million class H 'BB+'; -- $5.4 million class J 'BB'; -- $5.4 million class K 'BB-'; -- $8 million class L 'B+'; -- $2.7 million class M 'B'; -- $8 million class N 'B-'; -- $5.4 million class P 'CCC/RR1'. The Rating Watch Negative reflects the transfer of three loans (8%) to special servicing in May and June 2009. The largest of these loans (6.7%) transferred as a result of the sponsor, General Growth Properties, filing for Chapter 11 bankruptcy protection. This brings the total number of loans in special servicing to eight, which represents 9.3% of the pool balance. Fitch expects to resolve the Rating Watch Negative status of these classes as it completes the analysis of the 2006 through 2008 fixed-rate transactions, and will incorporate updated information on the specially serviced loans as it becomes available. ML-CFC COMMERCIAL: Fitch Puts Low-B Rtngs. on 7 Certs. on WatchNeg ------------------------------------------------------------------ Fitch Ratings places these classes of ML-CFC commercial mortgage pass-through certificates series 2006-3 on Rating Watch Negative: -- $191 million class AJ 'AAA'; -- $48.5 million class B 'AA'; -- $18.2 million class C 'AA-'; -- $48.5 million class D 'A'; -- $21.2 million class E 'A-'; -- $36.4 million class F 'BBB+'; -- $24.3 million class G 'BBB'; -- $21.2 million class H 'BB+'. These classes remain on Watch Negative: -- $12.1 million class J 'BB'; -- $6.1 million class K 'BB-'; -- $9.1 million class L 'B+'; -- $6.1 million class M 'B'; -- $6.1 million class N 'B-'; -- $3 million class P 'B-/DR1'. The $23.5 million class Q and interest only class XR are not rated by Fitch. The Watch Negative placements are due to expected losses on seven (2.8%) of the eight (9.4%) specially serviced loans in the transaction. As of the May 2009 distribution date, the transaction has paid down approximately 2.5% to $2.37 billion from $2.43 billion at issuance. Fitch identified 33 (14.4%) loans of concern, including the eight loans in special servicing. The largest specially serviced loan is Stonestown Mall (6.6%) in San Francisco, California. This loan is sponsored by General Growth Properties, which filed for Chapter 11 bankruptcy protection on April 16, 2009 and included the property with its filing. The mall has experienced performance declines since origination. Occupancy as of September 2008 decreased to 81% from 96% at issuance. As a result, the net operating income DSCR declined to 1.69 times (x) from 2.17x at issuance. GGP continues to face difficulty leasing the vacant space. At issuance, the pooled shadow rating was 'A+', which was several notches above the stand-alone rating. Due to the challenges the property faces, the loan's stand-alone rating is no longer considered investment grade and therefore does not continue to receive pooling benefit. The second largest specially serviced loan (0.84%) is secured by a 142-unit multifamily property located in Tucson, Arizona. The loan transferred to the special servicer in December 2008 due to payment default. The property has underperformed expectations since origination due to the bankruptcy of a tenant who was expected to lease more than 10% of the units. The borrower and special servicer continue to discuss workout options. The third largest specially serviced loan (0.65%) is secured by a 486-unit multifamily property located in Phoenix, Arizona. The loan transferred in November 2008 due to monetary default. The special servicer is considering workout options and anticipates a completed inspection report shortly. The remaining five specially serviced loans (1.28%) all individually represent less than 0.5% of the pool and have recently transferred due to payment default. The special servicer is discussing workout options with each respective borrower. The largest loan in the pool (10.5%) is secured by a portfolio of six hotels located in these areas: Cary, North Carolina; Portland, OR; Tampa, Florida; Charleston, West Virginia; Seaside, California; and Topeka, Kansas. The properties are well located in their respective markets and are proximate to downtown areas, airports, universities, and convention centers. As of September 2008, occupancy for the portfolio was 76%, inline with performance at issuance. The portfolio's debt service coverage ratio improved to 1.78x from 1.30x at issuance. Fitch expects to resolve the Rating Watch Negative status of these classes as it completes the analysis of the 2006 through 2008 fixed rate transactions, and will incorporate updated information on the specially serviced loans as it becomes available. MORGAN STANLEY: Fitch Junks Ratings on Class M & N of Certificates ------------------------------------------------------------------ Fitch Ratings downgrades these classes of Morgan Stanley Capital I Trust Pass-Through Certificates, series 2005 IQ9. In addition, Fitch assigns and/or revises recovery ratings on the M, N, and O classes: -- $11.5 million class C to 'A' from 'AA-'; Outlook Negative; -- $26.8 million class D to 'BBB+' from 'A'; Outlook Negative; -- $15.3 million class E to 'BBB' from 'A-'; Outlook Negative' -- $15.3 million class F to 'BBB-' from 'BBB+'; Outlook Negative; -- $11.5 million class G to 'BB' from 'BBB-'; Outlook Negative; -- $17.2 million class H to 'BB-' from 'BB+'; Outlook Negative; -- $5.7 million class J to 'B+' from 'BB'; Outlook Negative; -- $7.7 million class K to 'B' from 'BB-'; Outlook Negative; -- $5.7 million class L to 'B-' from 'B+'; Outlook Negative; -- $5.7 million class M to 'CCC/RR1' from 'B'; -- $3.8 million class N to 'CCC/RR1' from 'B-'; -- $5.7 million class O to 'CC/RR4' from 'CCC/RR2'. In addition, Fitch affirms these classes and maintains Rating Outlooks: -- $7.3 million class A-1 at 'AAA'; Outlook Stable; -- $251.7 million class A-1A at 'AAA'; Outlook Stable; -- $112.6 million class A-2 at 'AAA'; Outlook Stable; -- $194.7 million class A-3 at 'AAA'; Outlook Stable; -- $94.4 million class A-4 at 'AAA'; Outlook Stable; -- $43.8 million class A-AB at 'AAA'; Outlook Stable; -- $446.2 million class A-5 at 'AAA'; Outlook Stable; -- $130.2 million class A-J at 'AAA'; Outlook Stable; -- Interest-only class X-1 at 'AAA'; Outlook Stable; -- Interest-only class X-2 at 'AAA'; Outlook Stable; -- Interest-only class X-Y at 'AAA'; Outlook Stable; -- $32.6 million class B at 'AA'; Outlook Negative. Fitch does not rate the $11.5 million class P. The downgrades are the result of an increase in specially serviced assets and an increase in 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 Rating Outlooks reflect the significant increase in Fitch Loans of Concern. As of the May 2009 distribution date, the pool's aggregate certificate balance has decreased 4.9% to $1.46 billion from $1.53 billion at issuance. Four loans (2.1%) have defeased. Fitch has identified 35 Loans of Concern (16%), including seven loans in special servicing (9.4%), three of which transferred since Fitch's last rating action (5.7%). The largest specially serviced loan (7.7%) is secured by the Hulen Mall, located in Fort Worth, Texas. The loan transferred to special servicing in April 2009 after the sponsor, GGP, filed for bankruptcy and included this property in the filing. At a minimum, CMBS trusts which include GGP loans will incur additional servicing fees. The servicer reported YE 2008 total occupancy of 99.5%. The loan is scheduled to mature in 2011. The second largest specially serviced loan (0.6%) is secured by a 165 unit/532 bed student housing project located in Statesboro, GA, home of Georgia Southern University. The market has become oversaturated with newer and slightly better quality properties. The servicer reported September 2008 occupancy of 75% with a debt service coverage ratio of 0.10 times (x). The third largest specially serviced loan (0.27%) is secured by a 47,861 square foot office building located in Cerritos, California. The loan transferred to special servicing in May 2009 for payment default. The servicer reported occupancy as of YE 2008 was 76%. The largest Fitch Loan of Concern not in special servicing (0.8%) is secured by a retail property located in Atlanta, Georgia. Occupancy has declined to 71% as of YE 2008 from 92% at issuance. At issuance, Fitch shadow rated the 540 Madison Avenue loan. The loan maintains its investment grade shadow rating due to stable performance. The loan is secured by the leasehold interest in a 39-story, 1,818,613 sf office property located in midtown Manhattan. Occupancy in the property remains strong at 92.9% as of year-end 2008. The loan sponsor is Boston Properties. The loan is scheduled to mature in 2013. The largest remaining loan in the transaction (10%) is secured by a 603,433 sf office building located in Manhattan. The servicer reported YE 2008 occupancy of 95% with a debt service coverage ratio of 1.74 times (x). The loan sponsor is Shorenstein Company. The loan is scheduled to mature in 2014. One loan is scheduled to mature in 2009 (0.7%). Fitch has included this as a Loan of Concern. The property's DSCR has fallen below 1.0x because of increased expenses and amortization of the loan. In addition, there are 7 loans scheduled to mature in 2010 (6.5%). These loans have a servicer reported weighted average DSCR of 1.72x with a weighted average coupon of 4.97%. MORGAN STANLEY: S&P Downgrades Rating on 2007-23 Notes to 'D' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Series 2007-23 JPY1 billion Class II secured floating-rate notes due 2012 issued by Morgan Stanley ACES SPC to 'D' from 'CCC-/Watch Neg'. The rating downgrade reflects a loss incurred by the noteholders. The portfolio in the transaction had suffered several credit events, which resulted in an aggregate loss that exceeded the available subordination and reduced the principal amount of the notes. There has been an interest payment shortfall on the most recent interest payment date. The rating action on the affected transaction is: Rating lowered: Name Rating To Rating From ---- --------- ----------- Morgan Stanley ACES SPC D CCC-/Watch Neg Series 2007-23 MUNIMAE TE: Moody's Downgrades Ratings on $34 Mil. Notes to 'Ba1' ----------------------------------------------------------------- Moody's Investors Service has downgraded these ratings on the MuniMae TE Bond Subsidiary, LLC's (TE Bond Sub) Preferred and Perpetual Preferred Shares -- to Baa1 from A3 on $154 million total Series A, A-1, A-2, A-3, A-4; to Baa2 from Baa1 on $104 million total Series B, B-1, B-2, B-3; to Baa3 from Baa2 on $49 million total Series C, C-1, C-2, C-3; to Ba1 from Baa3 on $34 million Series D. The rating downgrade on TE Bond Sub's preferred shares is based on challenges in the credit markets and real estate sector, which Moody's believe heightens systemic risks to the performance of TE Bond Sub. Despite the overall improvement in the portfolio of bonds which provide support to TE Bond Sub, the stresses that the municipal capital markets have experienced over the last year, including failed remarketings of variable rate debt obligations, could negatively impact future performance of TE Bond Sub's preferred shares by increasing the costs of the financings and thereby lowering coverage. The recent stresses in the overall real estate sector provide additional risk to TE Bond Sub as it may impact future performance of Municipal Mortgage & Equity, LLC which provides investment and asset management TE Bond Sub. The Series A shares are on parity with each other. The Series B shares, which are parity with each other, are subordinate to the Series A shares. The Series C shares, which are parity with each other, are subordinate to the Series A and B shares. The Series D shares are subordinate to all of the above mentioned shares. The differential in the senior and the different subordinate rating levels reflects the priority of payment in distribution, liquidation, winding up or dissolution of TE Bond Sub. TE Bond Sub is a Maryland Limited Liability Company formed in February 1999 and an indirect wholly owned subsidiary of MMA. TE Bond Sub and its subsidiaries invest directly in tax-exempt mortgage revenue bonds and other investments which are secured by affordable multi-family and various other types of housing properties. A portion of these bonds are securitized in various forms, primarily as credit enhanced debt with short term interest rates (the senior debt obligations). TE Bond Sub receives the residual cash flow from the payments on their bond portfolio, after all senior debt obligations have been paid. This residual is used to first pay all series of the preferred shares and then remaining funds are retained for general working capital purposes, including reinvestments and distributions to the common stock (which is not rated by Moody's). The portfolio of bonds consists of approximately $1.359 billion of outstanding mortgage revenue bonds as of March 31, 2009, comprised of 157 mortgage bonds financing 136 developments. Developments are located in 26 states and contain a total of 25,810 units. Moody's has also downgraded TE Bond Sub's Issuer Rating to A3 from A2. The ratings on the preferred shares are not affected by the Issuer Rating. The outlook on all the ratings is revised to negative reflecting the continuing capital market and real estate stresses. Despite Sophisticated And Active Investment Management, Adverse Market Conditions May Negatively Affect Performance Of The Preferred Shares Given the disruptions that Moody's have seen over the past year in the municipal credit markets, including failed remarketings of variable rate demand obligations, there are heightened risks to the future cash flow available to TE Bond Sub for payment on preferred shares in the event of higher spreads on the senior obligations or failed remarketings of the senior obligations which could, in a stress scenario, result in forced liquidations of the underlying bond collateral. TE Bond Sub does not have any senior obligations that are auction rate securities. This risk is partially mitigated by TE Bond Sub's active management of its portfolio, as demonstrated by the credit enhancement of approximately 89% of all currently outstanding variable rate senior obligations with Freddie Mac. The portfolio additionally benefits from the oversight of the parent corporation, MMA, who through its subsidiaries provide investment and real estate advice and expertise. However, the ongoing stresses in the real estate sector also pose threats to the ongoing financial strength of MMA and its ability to continue to provide services to TE Bond Sub. In the event that the management or servicing agreements were terminated or modified TE Bond Sub would need to replace MMA in this role as TE Bond Sub does not have its own staff. Sufficient Cashflow And Low Leverage Continue To Provide Adequate Coverage On The Preferred Shares The residual cashflow that has been made available to TE Bond Sub from bond payments, after all senior debt obligations have been paid, has been sufficient to pay the quarterly interest on the preferred shares. While Moody's believe that residual cashflow will remain adequate to pay future quarterly distributions to preferred shareholders, there are various risks that may limit the available residual cashflow to TE Bond Sub, and negatively affect the debt service coverage on the preferred shares. One such risk would arise from potential future increase in the variable interest rates on the senior obligations. Such increase in short term interest rates would result in diminishing spread between the bond rate and the rates on the senior obligations, thus reducing available cashflow to the TE Bond Sub for payment on the preferred shares. This risk is partially mitigated by conservative leverage ratios through overcollateralization of bonds to both senior debt obligations and preferred shares outstanding. Distributions on preferred shares are cumulative and payable each calendar quarter in arrears, upon declaration by the board of directors and only to the extent quarterly net income is available. Distributions are not payable unless declared and interest is not paid on accrued but unpaid distributions. Since issuance of the cumulative preferred shares, all quarterly distributions have been declared at each stated annualized dividend rate and all distributions have been paid. Based on the 2009 proforma, under the current interest rate environment, the residual cashflow available for distribution by the TE Bond Sub is expected to be approximately $63.8 million after payment of all senior interest payments and operating expenses but before payment of distributions to preferred shares. Such available cashflow would result in coverage for the Series A shares at 6.73 times, for the combined Series A and B shares at 3.85 times, for the combined Series A, B and C shares at 3.32 times, and for the combined Series A, B, C and D shares at 3.01 times. The 2009 proforma coverage levels demonstrate increased coverage from the 2005 proforma coverage levels, which projected coverage on the Series A shares at 5.17 times, for the combined Series A and B shares at 2.96 times, for the combined Series A, B and C shares at 2.55 times, and for the combined Series A, B, C and D at 2.31 times. The increase in coverage is due to the current low interest rate environment, which has significantly increased the available cash flow to TE Bond Sub by reducing the interest expense on the variable rate senior obligations. Conversely, since approximately 95% of the senior obligations pay floating interest rates, potential future increases in short term interest rates would be expected to decrease cashflow available to the TE Bond Sub and its shareholders. A sensitivity analysis was performed on the 2009 proforma using the current loan performance, and an interest rate increase of approximately 400 basis points on the floating senior debt obligations. The analysis demonstrates continued adequate coverage of all of the preferred shares. The projected coverage ratios result in approximately 3.51 times on Series A, 2.01 times on the combined Series A & B, 1.74 times on the combined Series A, B & C shares and 1.57 times on the combined Series A, B, C & D. The Series A and A-1 shares are due to be remarketed on June 30, 2009. The current interest rates on the Series A and A-1 shares are 6.875% and 6.300%, respectively. Upon successful remarketing, the interest rates would be reset, however, in the event of a failed remarketing, TE Bond Sub would be obligated to pay a penalty rate on the two series of shares for one year, when the shares again become eligible for remarketing. The penalty rate on the Series A and A-1 shares is set at two times the yield of a 15- year non callable Baa municipal bond which is expected to be substantially above the current rates that the shares yield. A potential failed remarketing would escalate the interest expense on the $100 million of outstanding Series A and A-1 shares, thus reducing the debt service coverage on all series of shares. TE Bond Sub covenants to limit the leverage on the asset pool of bonds thereby providing comfort that the coverage ratios remain sufficient. Senior debt obligations are limited by an incurrence test to 60% of the gross asset value of TE Bond Sub. As of the December 31, 2008 supplemental statements to the audited 2008 financial statements, this leverage ratio was 61%, which slightly exceeds the covenanted maximum leverage on the asset pool of bonds. TE Bond Sub further covenants that no additional Series A preferred shares may be issued unless, after issuance, the liquidation ratio of outstanding preferred shares to net assets (gross assets less senior debt obligations) is not greater than 25%, 42% for the Series A& B preferred shares, 50% for the Series A, B & C shares and 62.5% for the combined Series A, B, C & D shares. Based on the December 31, 2008 supplemental statements to the audited 2008 financial statements, the liquidation ratio for the Series A shares is 30.2%. The liquidation ratio for the Series B shares, which incorporate Series A & B shares, is 50.5%. The combined Series A, B & C shares have a liquidation ratio of 60.1%, and the liquidation ratio of all preferred shares (A, B, C & D) is 66.8%. Satisfactory Bond Portfolio And Performance Provides Additional Security To The Preferred Shareholders TE Bond Sub is entitled to the residual cashflow from approximately $1.359 billion of outstanding tax-exempt mortgage revenue bonds. Overall performance and composition of the portfolio has improved over the past 4 years as a result of management's asset management of the pool including their efforts to work out poorly performing assets and the decision to direct investments into Low Income Housing Tax Credit bonds. The portfolio primarily consists of affordable multifamily properties. The 136 properties supporting these underlying bonds are located throughout 26 states and total approximately 25,810 units. The tax exempt mortgage revenue bonds have a weighted average interest rate of 6.48% with an average lock out period of 10.6 years. Approximately 84% of properties receive low income housing tax credits, while the remainder is split between 80/20 and 501(c)(3) bonds. This breakdown shows substantial growth of tax credit portfolio since September 30, 2005 when only approximately 53% of the portfolio was of this property type. This is as a result of TE Bond Sub's business plan which was to direct bond purchases toward LIHTC bonds, which is considered to be the most stable of the affordable housing sector. Management reports that approximately 81% of the portfolio is stabilized with the remaining in lease up or in construction. The percentage of stabilized properties has substantially increased from approximately 61% as of September 2005 as properties have successfully completed construction and lease-up. Performance of the portfolio has been sufficient to generate ample revenues to pay quarterly distributions to preferred shareholders. Although there is a small portion of individual bonds with reported debt service coverage below 1.0 times, management has taken substantial steps to improve the quality of the loan portfolio. Management reduced defaulted bonds to approximately 3% of the total portfolio as of March 2009 from approximately 17% of the total portfolio as of September, 2005. Moody's would expect that the portfolio performance will remain satisfactory based on the effects of active management and TE Bond Sub's steps to minimize losses on some of the poorer performing bonds. Outlook Moody's outlook for the Series A, B, C, and D preferred shares and the issuer rating have been revised to negative from stable. Given the current market conditions, there are heightened risks to the ratings including potential pressure on preferred share and debt service coverage levels and equity cashflow due to a failed remarketing of the Series A and A-1 shares or a significant increase in interest rates; an increase in foreclosure levels; or a disruption or termination of the management and servicing of the portfolio. The last rating action was on November 3, 2005 when Moody's Assigned A3 rating to Series A-3, A-4; Baa1rating to Series B-3; Baa2 rating to Series C-3; Baa3 rating to Series D and affirmed A3 rating to Series A, A-1, A-2; Baa1 rating to Series B, B-1, B-2; Baa2 rating to Series C, C-1, C-2; and A2 Issuer Rating. NATIONAL COLLEGIATE: Moody's Confirms Ratings on 10 Classes ----------------------------------------------------------- Moody's Investors Service confirmed the ratings of 10 classes of notes issued by National Collegiate Master Student Loan Trust I (2001 Indenture). The underlying collateral consists of private student loans originated through both school and direct-to- consumer channel. All notes benefit from a financial guarantee insurance policy provided by Ambac Assurance Corporation. The notes were placed under review for possible downgrade due to uncertainties raised by the lack of an executed back-up arrangement for collections on loans over 60 days delinquent. Pennsylvania Higher Education Assistance Agency, the primary servicer of the trust, is responsible for performing collection functions on loans up to 60 days delinquent. First Marblehead Education Resources, a subsidiary of First Marblehead Corporation, organizes collection activities on loans that are over 60 days past due. Following the April 8, 2008 bankruptcy filing of The Education Resources Institute, the guarantor of the underlying private student loans, FMC has voluntarily covered the costs associated with the collection activities. Pursuant to the execution of a Special Servicing Agreement, U.S. Bank will be the Back-up Special Servicer with respect to pre- and post-default collection activities, which addresses Moody's concerns. In addition, the available credit enhancement for each class of notes, including overcollateralization, reserve fund, TERI pledge fund, subordination and excess spread, is consistent with the current ratings. Other qualitative factors such as structural features were also reflected in the new ratings. Significant structural features include note interest triggers, a reserve fund that will not decline below a certain "floor" level and the change of cash flow allocations among the senior classes upon the occurrence of certain events. The complete rating actions are: -- Series NCT-2002AR-6, Confirmed A3; Previously on 11/17/2008 Downgraded to A3 from Aa3 Placed Under Review for Possible Downgraded -- Financial Guarantor: Ambac Assurance Corporation (Ba3) -- Series NCT-2002AR-7, Confirmed A3; Previously on 11/17/2008 Downgraded to A3 from Aa3 Placed Under Review for Possible Downgraded -- Financial Guarantor: Ambac Assurance Corporation (Ba3) -- Series NCT-2002AR-8, Confirmed A3; Previously on 11/17/2008 Downgraded to A3 from Aa3 Placed Under Review for Possible Downgraded -- Financial Guarantor: Ambac Assurance Corporation (Ba3) -- Series NCT-2002AR-9, Confirmed A3; Previously on 11/17/2008 Downgraded to A3 from Aa3 Placed Under Review for Possible Downgraded -- Financial Guarantor: Ambac Assurance Corporation (Ba3) -- Series NCT-2002AR-10, Confirmed A3; Previously on 11/17/2008 Downgraded to A3 from Aa3 Placed Under Review for Possible Downgraded -- Financial Guarantor: Ambac Assurance Corporation (Ba3) -- Series NCT-2002AR-11, Confirmed A3; Previously on 11/17/2008 Downgraded to A3 from Aa3 Placed Under Review for Possible Downgraded -- Financial Guarantor: Ambac Assurance Corporation (Ba3) -- Series NCT-2002AR-12, Confirmed A3; Previously on 11/17/2008 Downgraded to A3 from Aa3 Placed Under Review for Possible Downgraded -- Financial Guarantor: Ambac Assurance Corporation (Ba3) -- Series NCT-2002AR-13, Confirmed A3; Previously on 11/17/2008 Downgraded to A3 from Aa3 Placed Under Review for Possible Downgraded -- Financial Guarantor: Ambac Assurance Corporation (Ba3) -- Series NCT-2002AR-14, Confirmed A3; Previously on 11/17/2008 Downgraded to A3 from Aa3 Placed Under Review for Possible Downgraded -- Financial Guarantor: Ambac Assurance Corporation (Ba3) -- Series NCT-2002AR-15, Confirmed A3; Previously on 11/17/2008 Downgraded to A3 from Aa3 Placed Under Review for Possible Downgraded -- Financial Guarantor: Ambac Assurance Corporation (Ba3) NEW CENTURY: Moody's Downgrades Ratings on Two 2002-1 Notes ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two classes of notes issued by New Century Home Equity Loan Trust, Series 2002-1. The ratings are based on the methodology applied to all transactions with small pool factors. Moody's defines low pool factor deals as those that meet one of these two criteria: (1) the outstanding collateral balance is less than $1 million, and the pool factor is less than 5% or (2) the pool has fewer than 50 loans remaining Moody's uses these methodology to estimate losses on low pool factor deals. First, gross defaults are determined by applying assumed lifetime roll-rates (probabilities of transition to default) to the transactions' current delinquency buckets and a pipeline multiplier. The pipeline multiplier accounts for further possible defaults that might arise from borrowers that are current. The pipeline multiplier differs for each deal based on the number of loans remaining in the pool - greater the number of loans remaining the higher the multiplier. The estimated defaults are subject to a floor -- a minimum default. The minimum default also differs based on the number of loans remaining in the pool. The fewer the number of loans remaining in the pool the higher the minimum default since each loan represents a higher percentage of the pool. The final default number is then multiplied by expected loss severity to arrive at Moody's expected loss estimate. Loss severity also differs by transaction and is higher for more recent vintages. Complete rating action: Issuer: New Century Home Equity Loan Trust, Series 2002-1 Asset Backed Pass-Through Certificates (Loans Remaining: 11) -- Cl. M-2, Current Balance: $2,479,604, Downgraded to B1; previously on 6/17/2005 Upgraded to Aa1 -- Cl. M-3, Current Balance: $59,258, Downgraded to Ca; previously on 6/17/2005 Upgraded to A2 NOB HILL: Moody's Downgrades Ratings on Various Classes of Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Nob Hill CLO, Limited: -- US$210,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2018, Downgraded to Aa3; previously on March 17, 2009 Placed Under Review for Possible Downgrade; -- US$23,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2018, Downgraded to Baa2; previously on March 4, 2009 Placed Under Review for Possible Downgrade; -- US$11,350,000 Class B Senior Secured Floating Rate Notes Due 2018, Downgraded to Ba1; previously on March 4, 2009 Placed Under Review for Possible Downgrade; -- US$14,145,000 Class C Secured Deferrable Floating Rate Notes Due 2018, Downgraded to Ba3; previously on March 17, 2009 Downgraded to Ba1 Placed Under Review for Possible Downgrade; -- US$13,580,000 Class D Secured Deferrable Floating Rate Notes Due 2018, Downgraded to Caa3; previously on March 17, 2009 Downgraded to B3 Placed Under Review for Possible Downgrade; -- US$11,300,000 Class E Secured Deferrable Floating Rate Notes Due 2018, Downgraded to C; previously on March 17, 2009 Downgraded to Caa3 Placed Under Review for Possible Downgrade; -- US$11,760,000 Combination Notes Due 2018, Downgraded to Caa3; previously on March 4, 2009 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." Credit deterioration of the collateral pool is observed in, among other metrics, a decline in the average credit rating (as measured through the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class C, Class D, Class E Overcollateralization Test. As of the trustee report dated May 6, 2009, the weighted average rating factor is currently at 3241 versus a test level of 2645, defaulted securities total 7.10% and securities rated Caa1 or lower comprised 16.34% of the portfolio. In the same report, the Class C Overcollateralization Test level is 106.96% versus a covenant level of 108.10%, the Class D is 101.57% versus 104.30%, and the Class E is 97.42% versus 100.90%. Due to these test failures, interest payments on the Class D, and E Notes are presently being deferred. Nob Hill CLO, Limited, issued in December of 2006, is a collateralized loan obligation, backed primarily by a portfolio of senior secured loans. PRIME MORTGAGE: Moody's Downgrades Ratings on 15 Tranches --------------------------------------------------------- Moody's Investors Service has downgraded 15 tranches from Prime Mortgage Trust 2006-2 and Prime Mortgage Trust 2007-1. The collateral backing this transaction 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: Issuer: Prime Mortgage Trust 2006-2 -- Cl. I-A1-1, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A1-2, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A1-3, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A1-4, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A1-5, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A2-1, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A2-2, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. II-A1-1, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. II-A1-2, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. BX, Downgraded to Ca; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade Issuer: Prime Mortgage Trust 2007-1 -- Cl. A-3, Downgraded to Baa3; previously on 3/19/2009 Aa2 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. PUNTO VERDE: S&P Downgrades Rating on $40 Mil. Notes to 'BB' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on the Punto Verde Grantor Trust's $40 million 5.8% secured tax exempt notes series 2006-1 to 'BB' from 'BBB-'. The rating on the notes remains on CreditWatch negative, where it was placed on May 21, 2009. The rating on the notes reflects the lower of the ratings on the two underlying securities: Morgan Stanley ACES SPC's 6.92% class I secured fixed-rate notes series 2006-19 due Aug. 2, 2021 ('BB/Watch Neg'); and FNMA's $4.25 billion 6.25% global notes due May 15, 2029 ('AAA'). The rating action follows the June 1, 2009, lowering of S&P's rating on one of the underlying securities, the Morgan Stanley ACES SPC's series 2006-19 notes, to 'BB' from 'BBB-'. The rating on these notes remains on CreditWatch negative, where it was placed on May 18, 2009. RAMP: Moody's Downgrades Ratings on 176 Securities -------------------------------------------------- Moody's Investors Service has downgraded the ratings of 176 securities from 35 transactions issued by RAMP. 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. In addition, in certain RAMP deals, the over-collateralization accounts and excess spread are cross-collateralized between the different pools within a transaction. Therefore, for these deals, losses incurred on a deteriorating pool could erode the over- collateralization accounts for both pools. As a result, the better performing pool's loss may be allocated to subordinate bonds instead of being absorbed by that pool's outstanding over- collateralization amount. This feature can adversely affect the creditworthiness of certain bonds backed by better performing collateral relative to a non-related collateral group from the same transaction. Moody's approach to analyzing seasoned subprime pools (i.e. prior to 2H 2005) takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions, in this case ranging from 55% to 80%. The results of these two calculations -- Recent Losses and Pipeline Losses -- are weighted to arrive at the lifetime cumulative loss projection. The complete rating actions: RAMP Series 2001-RS2 Trust -- Cl. B-II, Downgraded to Ca; previously on 6/15/2004 Downgraded to Caa1 RAMP Series 2001-RS3 Trust -- A-I-5, Downgraded to Ba3; previously on 11/17/2008 Downgraded to Baa1 -- A-II, Downgraded to Ba2; previously on 4/13/2009 Downgraded to Baa2 RAMP Series 2002-2 Trust -- Cl. A-I-5, Downgraded to Aa3; previously on 4/3/2002 Assigned Aaa -- Cl. M-I-1, Downgraded to Baa3; previously on 5/30/2006 Downgraded to A1 -- Cl. M-I-2, Downgraded to B1; previously on 1/5/2006 Downgraded to Baa1 -- Cl. M-I-3, Downgraded to C; previously on 1/5/2006 Downgraded to Ca -- Cl. M-II-2, Downgraded to Ba1; previously on 10/4/2004 Downgraded to Baa1 -- Cl. M-II-3, Downgraded to Ca; previously on 1/5/2006 Downgraded to Caa2 RAMP Series 2002-RS3 Trust -- Cl. A-I-5, Downgraded to Aa3; previously on 6/28/2002 Assigned Aaa -- Cl. A-II-1, Downgraded to Aa2; previously on 6/28/2002 Assigned Aaa -- Cl. A-II-S, Downgraded to Aa2; previously on 6/28/2002 Assigned Aaa -- Cl. M-I-1, Downgraded to Baa2; previously on 10/4/2004 Upgraded to Aaa -- Cl. M-I-2, Downgraded to Baa3; previously on 9/29/2006 Downgraded to A2 -- Cl. M-II-1, Downgraded to Baa2; previously on 6/28/2002 Assigned Aa2 -- Cl. M-II-2, Downgraded to Ba2; previously on 5/30/2006 Downgraded to Baa2 -- Cl. M-II-3, Downgraded to Caa3; previously on 1/18/2007 Downgraded to Caa1 RAMP Series 2002-RS4 -- Cl. A-I-5, Downgraded to Baa3; previously on 11/17/2008 Downgraded to A1 -- Cl. A-I-6, Downgraded to Baa3; previously on 11/17/2008 Downgraded to A1 -- Cl. A-II, Downgraded to Baa1; previously on 9/18/2008 Aa3 Placed Under Review for Possible Downgrade RAMP Series 2002-RS5 Trust -- Cl. A-I-5, Downgraded to Baa3; previously on 3/3/2009 Downgraded to A2 -- Cl. A-I-6, Downgraded to Baa3; previously on 3/3/2009 Downgraded to A2 -- Cl. A-II, Downgraded to Baa3; previously on 11/17/2008 Downgraded to Baa1 RAMP Series 2002-RS6 Trust -- Cl. A-I-5, Downgraded to Baa2; previously on 11/17/2008 Downgraded to A3 -- Cl. A-I-6, Downgraded to Baa2; previously on 11/17/2008 Downgraded to A3 -- Cl. A-I-7, Downgraded to Baa2; previously on 11/17/2008 Downgraded to A3 RAMP Series 2002-RS7 Trust -- A-1, Downgraded to Ba2; previously on 4/13/2009 Downgraded to Baa2 RAMP Series 2002-RZ3 Trust -- Cl. M-3, Downgraded to Ba3; previously on 8/29/2002 Assigned Baa2 RAMP Series 2003-RS1 Trust -- Cl. A-I-5, Downgraded to Aa2; previously on 3/24/2003 Assigned Aaa -- Cl. A-I-6, Downgraded to Aa2; previously on 3/24/2003 Assigned Aaa -- Cl. M-I-1, Downgraded to A3; previously on 3/24/2003 Assigned Aa2 -- Cl. M-I-2, Downgraded to Ba1; previously on 3/24/2003 Assigned A2 RAMP Series 2003-RS10 Trust -- Cl. A-I-6, Downgraded to Aa3; previously on 12/10/2003 Assigned Aaa -- Cl. A-I-7, Downgraded to Aa3; previously on 12/10/2003 Assigned Aaa -- Cl. M-I-1, Downgraded to A3; previously on 3/19/2007 Upgraded to Aaa -- Cl. M-I-2, Downgraded to Ba2; previously on 3/19/2007 Upgraded to Aa2 -- Cl. M-I-3, Downgraded to Ca; previously on 3/19/2007 Upgraded to A2 -- Cl. M-II-1, Downgraded to Aa3; previously on 3/19/2007 Upgraded to Aa1 -- Cl. M-II-2, Downgraded to Baa3; previously on 12/10/2003 Assigned A2 -- Cl. M-II-3, Downgraded to Ba3; previously on 12/10/2003 Assigned A3 -- Cl. M-II-4, Downgraded to Ca; previously on 12/10/2003 Assigned Baa1 -- Cl. M-II-5, Downgraded to C; previously on 12/10/2003 Assigned Baa2 RAMP Series 2003-RS11 Trust -- M-I-1, Downgraded to A1; previously on 3/19/2007 Upgraded to Aaa -- M-I-2, Downgraded to Baa2; previously on 3/19/2007 Upgraded to Aa2 -- M-I-3, Downgraded to Caa3; previously on 3/19/2007 Upgraded to A2 -- M-II-2, Downgraded to Baa1; previously on 1/30/2004 Assigned A2 -- M-II-3, Downgraded to Baa2; previously on 1/30/2004 Assigned A3 -- M-II-4, Downgraded to Baa3; previously on 1/30/2004 Assigned Baa1 -- M-II-5, Downgraded to B2; previously on 1/30/2004 Assigned Baa2 RAMP Series 2003-RS3 Trust -- Cl. A-I-4, Downgraded to Ba2; previously on 4/13/2009 Downgraded to Baa3 -- Cl. A-I-5, Downgraded to Ba2; previously on 4/13/2009 Downgraded to Baa3 RAMP Series 2003-RS5 Trust -- A-II-A, Downgraded to A3; previously on 3/3/2009 Upgraded to Aa1 -- A-II-B, Downgraded to A3; previously on 11/17/2008 Upgraded to Aa1 RAMP Series 2003-RS6 Trust -- Cl. A-I-5, Downgraded to Baa3; previously on 4/13/2009 Downgraded to Baa2 -- Cl. A-I-6, Downgraded to Baa3; previously on 4/13/2009 Downgraded to Baa2 RAMP Series 2003-RS7 Trust -- A-I-5, Downgraded to Aa3; previously on 12/1/2003 Assigned Aaa -- A-I-6, Downgraded to Aa2; previously on 12/1/2003 Assigned Aaa -- M-I-1, Downgraded to A3; previously on 3/19/2007 Upgraded to Aaa -- M-I-2, Downgraded to Ba3; previously on 3/19/2007 Upgraded to Aa3 -- M-I-3, Downgraded to Ca; previously on 12/1/2003 Assigned Baa2 -- M-II-2, Downgraded to Baa2; previously on 12/1/2003 Assigned A2 -- M-II-3, Downgraded to Ca; previously on 8/8/2007 Downgraded to B3 RAMP Series 2003-RS8 Trust -- M-I-1, Downgraded to Aa2; previously on 3/19/2007 Upgraded to Aaa -- M-I-2, Downgraded to A3; previously on 3/19/2007 Upgraded to Aa2 -- M-I-3, Downgraded to B3; previously on 3/19/2007 Upgraded to A2 -- M-II-2, Downgraded to Baa1; previously on 12/10/2003 Assigned A2 -- M-II-3, Downgraded to Baa3; previously on 12/10/2003 Assigned A3 -- M-II-4, Downgraded to Ba1; previously on 12/10/2003 Assigned Baa1 -- M-II-5, Downgraded to B3; previously on 12/10/2003 Assigned Baa2 RAMP Series 2003-RS9 Trust -- Cl. A-I-6A, Downgraded to Aa2; previously on 11/10/2003 Assigned Aaa -- Cl. A-I-6B, Downgraded to Aa2; previously on 11/10/2003 Assigned Aaa -- Current Underlying Rating: Downgraded to Aa2; previously on 9/16/2008 Published at Aaa -- Financial Guarantor: Ambac Assurance Corporation (Downgraded to Ba3, Outlook Developing on 4/13/2009) -- Cl. A-I-7, Downgraded to Aa2; previously on 11/10/2003 Assigned Aaa -- Cl. M-I-1, Downgraded to A2; previously on 3/19/2007 Upgraded to Aaa -- Cl. M-I-2, Downgraded to Ba1; previously on 3/19/2007 Upgraded to Aa3 -- Cl. M-I-3, Downgraded to Ca; previously on 1/3/2008 Downgraded to Baa3 RAMP Series 2003-RZ2 Trust -- Cl. M-1, Downgraded to Aa2; previously on 3/19/2007 Upgraded to Aaa RAMP Series 2003-RZ4 Trust -- Cl. M-1, Downgraded to Aa2; previously on 3/19/2007 Upgraded to Aaa -- Cl. M-2, Downgraded to A3; previously on 12/18/2008 Downgraded to Aa3 -- Cl. M-3, Downgraded to Baa2; previously on 3/19/2007 Upgraded to A1 RAMP Series 2004-KR1 Trust -- Cl. M-I-1, Downgraded to A3; previously on 5/28/2004 Assigned Aa2 -- Cl. M-I-2, Downgraded to Caa3; previously on 5/28/2004 Assigned A2 -- Cl. M-I-3, Downgraded to C; previously on 1/3/2008 Downgraded to Baa3 -- Cl. M-I-4, Downgraded to C; previously on 1/3/2008 Downgraded to B1 -- Cl. M-II-1, Downgraded to A1; previously on 5/28/2004 Assigned Aa2 -- Cl. M-II-2, Downgraded to Caa3; previously on 1/3/2008 Downgraded to Baa1 -- Cl. M-II-3, Downgraded to C; previously on 1/3/2008 Downgraded to Caa1 RAMP Series 2004-KR2 Trust -- Cl. M-I-2, Downgraded to Baa1; previously on 10/27/2004 Assigned A1 -- Cl. M-I-3, Downgraded to B2; previously on 10/27/2004 Assigned A3 -- Cl. M-I-4, Downgraded to Ca; previously on 1/3/2008 Downgraded to Ba1 -- Cl. M-I-5, Downgraded to C; previously on 1/3/2008 Downgraded to B2 -- Cl. M-II-1, Downgraded to A2; previously on 10/27/2004 Assigned Aa2 -- Cl. M-II-2, Downgraded to Caa2; previously on 1/3/2008 Downgraded to Baa1 -- Cl. M-II-3, Downgraded to C; previously on 1/3/2008 Downgraded to B2 RAMP Series 2004-RS1 Trust -- A-I-6A, Downgraded to Aa3; previously on 5/18/2004 Assigned Aaa -- A-I-6B, Downgraded to Aa3; previously on 5/18/2004 Assigned Aaa -- Current Underlying Rating: Downgraded to Aa3; previously on 9/16/2008 Published at Aaa -- Financial Guarantor: Ambac Assurance Corporation (Downgraded to Ba3, Outlook Developing on 4/13/2009) -- A-I-7, Downgraded to Aa3; previously on 5/18/2004 Assigned Aaa -- M-I-1, Downgraded to A3; previously on 5/18/2004 Assigned Aa2 -- M-I-2, Downgraded to Baa3; previously on 5/18/2004 Assigned A2 -- M-I-3, Downgraded to Caa3; previously on 5/18/2004 Assigned Baa1 -- M-I-4, Downgraded to C; previously on 1/4/2008 Downgraded to Ba3 -- M-II-1, Downgraded to A1; previously on 5/18/2004 Assigned Aa2 -- M-II-3, Downgraded to B2; previously on 6/24/2008 Downgraded to B1 -- M-II-4, Downgraded to C; previously on 6/24/2008 Downgraded to Caa2 -- M-II-5, Downgraded to C; previously on 6/24/2008 Downgraded to Caa3 RAMP Series 2004-RS10 Trust -- Cl. M-I-1, Downgraded to Baa3; previously on 11/22/2004 Assigned Aa2 -- Cl. M-I-2, Downgraded to B3; previously on 11/22/2004 Assigned A2 -- Cl. M-I-3, Downgraded to Ca; previously on 6/24/2008 Downgraded to Ba2 -- Cl. M-II-4, Downgraded to Ca; previously on 6/24/2008 Downgraded to Caa1 -- Cl. M-II-5, Downgraded to C; previously on 6/24/2008 Downgraded to Ca RAMP Series 2004-RS11 Trust -- Cl. M-2, Downgraded to Baa1; previously on 12/7/2004 Assigned A1 -- Cl. M-4, Downgraded to Ba1; previously on 3/10/2008 Downgraded to Baa3 -- Cl. M-5, Downgraded to Ca; previously on 6/24/2008 Downgraded to B2 RAMP Series 2004-RS12 Trust -- Cl. M-I-1, Downgraded to A3; previously on 2/16/2005 Assigned Aa2 -- Cl. M-I-2, Downgraded to Ba1; previously on 2/16/2005 Assigned A2 -- Cl. M-I-3, Downgraded to Caa3; previously on 2/16/2005 Assigned Baa1 -- Cl. M-I-4, Downgraded to C; previously on 2/16/2005 Assigned Baa3 -- Cl. M-II-5, Downgraded to Baa3; previously on 3/10/2008 Downgraded to Baa1 -- Cl. M-II-6, Downgraded to Ba2; previously on 3/10/2008 Downgraded to Baa3 -- Cl. M-II-7, Downgraded to C; previously on 3/10/2008 Downgraded to Ba3 RAMP Series 2004-RS2 Trust -- Cl. A-I-4, Downgraded to Aa3; previously on 3/16/2004 Assigned Aaa -- Cl. A-I-5, Downgraded to Aa3; previously on 3/16/2004 Assigned Aaa -- Cl. M-I-1, Downgraded to A3; previously on 3/16/2004 Assigned Aa2 -- Cl. M-I-2, Downgraded to Ba1; previously on 3/16/2004 Assigned A2 -- Cl. M-I-3, Downgraded to Ca; previously on 3/16/2004 Assigned Baa2 -- Cl. M-I-4, Downgraded to C; previously on 6/24/2008 Downgraded to B2 and Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to Baa1; previously on 6/24/2008 Downgraded to A2 -- Cl. M-II-2, Downgraded to B3; previously on 6/24/2008 Downgraded to B1 -- Cl. M-II-3, Downgraded to Ca; previously on 6/24/2008 Downgraded to Caa1 -- Cl. M-II-4, Downgraded to C; previously on 6/24/2008 Downgraded to Caa2 -- Cl. M-II-5, Downgraded to C; previously on 6/24/2008 Downgraded to Caa3 RAMP Series 2004-RS3 Trust -- Cl. M-1, Downgraded to A1; previously on 4/23/2004 Assigned Aa2 -- Cl. M-2, Downgraded to Baa2; previously on 4/23/2004 Assigned A2 -- Cl. M-3, Downgraded to Ba1; previously on 4/23/2004 Assigned Baa1 -- Cl. M-4, Downgraded to B3; previously on 4/23/2004 Assigned Baa2 -- Cl. M-5, Downgraded to C; previously on 6/24/2008 Downgraded to B1 RAMP Series 2004-RS4 Trust -- Cl. A-I-5, Downgraded to Aa3; previously on 3/23/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to Aa3; previously on 3/23/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Baa1; previously on 3/23/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to Ba2; previously on 3/23/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C; previously on 3/23/2009 Downgraded to Caa1 and Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to A2; previously on 5/10/2004 Assigned Aa2 -- Cl. M-II-2, Downgraded to B2; previously on 1/4/2008 Downgraded to Baa3 -- Cl. M-II-3, Downgraded to Ca; previously on 6/24/2008 Downgraded to B2 -- Cl. M-II-4, Downgraded to C; previously on 6/24/2008 Downgraded to Caa3 -- Cl. M-II-5, Downgraded to C; previously on 1/4/2008 Downgraded to Ca RAMP Series 2004-RS5 Trust -- Cl. A-I-4, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Baa2 -- Cl. A-I-5, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Baa2 -- Cl. A-I-6, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Baa2 RAMP Series 2004-RS6 Trust -- Cl. M-I-2, Downgraded to Baa1; previously on 8/23/2004 Assigned A2 -- Cl. M-I-3, Downgraded to B3; previously on 8/23/2004 Assigned Baa1 -- Cl. M-I-4, Downgraded to C; previously on 6/24/2008 Downgraded to Ba2 -- Cl. M-II-5, Downgraded to C; previously on 6/24/2008 Downgraded to Ca RAMP Series 2004-RS7 Trust -- Cl. A-I-4, Downgraded to B2; previously on 8/7/2008 Published at Baa2 -- Current Underlying Rating: Downgraded to B2; previously on 8/7/2008 Published at Baa2 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-I-5, Downgraded to B3; previously on 8/7/2008 Published at Baa2 -- Current Underlying Rating: Downgraded to B3; previously on 8/7/2008 Published at Baa2 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-I-6, Downgraded to B3; previously on 8/7/2008 Published at Baa2 -- Current Underlying Rating: Downgraded to B3; previously on 8/7/2008 Published at Baa2 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-II-A, Downgraded to B3; previously on 8/7/2008 Published at Baa2 -- Current Underlying Rating: Downgraded to B3; previously on 8/7/2008 Published at Baa2 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-II-B2, Downgraded to B3; previously on 8/7/2008 Published at Baa2 -- Current Underlying Rating: Downgraded to B3; previously on 8/7/2008 Published at Baa2 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-III, Downgraded to B3; previously on 8/7/2008 Published at A3 -- Current Underlying Rating: Downgraded to B3; previously on 8/7/2008 Published at A3 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) RAMP Series 2004-RS8 Trust -- Cl. A-I-5, Downgraded to Aa3; previously on 9/29/2004 Assigned Aaa -- Cl. A-I-6, Downgraded to Aa3; previously on 9/29/2004 Assigned Aaa -- Cl. M-I-1, Downgraded to Baa2; previously on 9/29/2004 Assigned Aa2 -- Cl. M-I-2, Downgraded to B1; previously on 9/29/2004 Assigned A2 -- Cl. M-I-3, Downgraded to C; previously on 3/10/2008 Downgraded to Ba1 -- Cl. M-II-2, Downgraded to Baa2; previously on 9/29/2004 Assigned A2 -- Cl. M-II-3, Downgraded to Ba1; previously on 9/29/2004 Assigned A3 -- Cl. M-II-4, Downgraded to B2; previously on 1/4/2008 Downgraded to Ba1 -- Cl. M-II-5, Downgraded to C; previously on 6/24/2008 Downgraded to Caa2 RAMP Series 2004-RS9 Trust -- Cl. A-I-4, Downgraded to Ba3; previously on 11/17/2008 Downgraded to Baa1 -- Cl. A-I-5, Downgraded to Ba3; previously on 11/17/2008 Downgraded to Baa1 -- Cl. A-I-6, Downgraded to Ba3; previously on 11/17/2008 Downgraded to Baa1 -- Cl. M-II-2, Downgraded to Baa2; previously on 10/26/2004 Assigned A2 -- Cl. M-II-5, Downgraded to C; previously on 6/24/2008 Downgraded to Caa2 RAMP Series 2004-RZ2 Trust -- Cl. A-I-4, Downgraded to Ba3; previously on 12/18/2008 Downgraded to Baa3 -- Current Underlying Rating: Downgraded to Ba3; previously on 12/18/2008 Downgraded to Baa3 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-I-5, Downgraded to B1; previously on 12/18/2008 Downgraded to Ba1 -- Current Underlying Rating: Downgraded to B1; previously on 12/18/2008 Downgraded to Ba1 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-I-6, Downgraded to B1; previously on 12/18/2008 Downgraded to Ba1 -- Curre7nt Underlying Rating: Downgraded to B1; previously on 12/18/2008 Downgraded to Ba1 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-II, Downgraded to Ba3; previously on 8/7/2008 Published at Baa1 -- Current Underlying Rating: Downgraded to Ba3; previously on 8/7/2008 Published at Baa1 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) RED RIVER: Moody's Junks Rating on Class C of $40.50MM Notes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Red River CLO Ltd.: -- US$657,000,000 Class A Floating Rate Senior Secured Extendable Notes Due 2018, Downgraded to Baa2; previously on March 17, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$45,000,000 Class B Floating Rate Senior Secured Extendable Notes Due 2018, Downgraded to Ba3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$40,500,000 Class C Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2018, Downgraded to Caa3; previously on March 17, 2009 Downgraded to Ba2 and Placed Under Review for Possible Downgrade; -- US$45,000,000 Class D Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2018, Downgraded to C; previously on March 17, 2009 Downgraded to Caa1 and Placed Under Review for Possible Downgrade; -- US$31,500,000 Class E Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2018, Downgraded to C; 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). Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Credit deterioration of the collateral pool is observed in, among other metrics, a decline in the average credit rating (as measured through the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of Class A/B Overcollaterization Test, Class C Overcollaterization Test, Class D Overcollaterization Test, Class E Overcollaterization Test, Retention Overcollateralization Test and Moody's Weighted Average Rating Factor Test. The weighted average rating factor has steadily increased over the last year and it is currently at 3379 versus a test level of 2720 as of the last trustee report, dated April 21, 2009. Based on the same report, defaulted securities total about $91 million accounting for roughly 10.37% of the collateral balance and securities rated Caa1 or lower make up approximately 10.94% of the underlying portfolio. Additionally, interest payments on the Class C, Class D and Class E Notes are presently being deferred as a result of the failure of the Class A/B Overcollateralization Test. Moody's also observes that the transaction is exposed to a significant concentration of mezzanine and junior CLO tranches in the underlying portfolio. The majority of these CLO tranches is currently assigned low speculative-grade ratings and carries depressed market valuations that may herald poor recovery prospects in the event of default. Additionally, a significant amount of these structured finance securities mature after the maturity date of the notes. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Red River CLO Ltd. issued in August 3, 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. RMF FOUR: Fitch Upgrades Ratings on Four Classes of Notes --------------------------------------------------------- Fitch Ratings has upgraded and assigned Loss Severity ratings to four classes from RMF Four Seasons CFO Ltd. These rating actions are effective immediately: -- EUR23,500,000 class S upgraded to 'AAA' from 'A'; Outlook Stable; assigned 'LS1'; -- EUR18,800,000 class M1 upgraded to 'AAA' from BB'; Outlook Stable; assigned 'LS1'; -- EUR11,750,000 class M2 upgraded to 'AAA' from 'B', Outlook Stable; assigned 'LS1'; -- EUR16,450,000 class M3 upgraded to 'AAA' from 'CC', Outlook Stable; assigned 'LS1'. The actions taken by Fitch reflect the fact that most of the underlying fund of funds has been redeemed, and the cash proceeds have been transferred to the trustee (Bank of New York). As of May 5, 2009, EUR90 million had been transferred, with an additional amount of approximately EUR6.6 million remaining for future redemptions. Therefore, the notes are 100% cash collateralized, and are expected to redeem at full par after all fees and expenses are paid under the liquidation waterfall. The transaction is scheduled to terminate on July 2, 2009 due to a mandatory redemption event, as defined in the transaction's documents. The loss severity ratings reflect that these notes are fully cash collateralized. Additional information on LS ratings is available in Fitch's February 17 global report, 'Criteria for Structured Finance Loss Severity Ratings', available on the Fitch Ratings web site at 'www.fitchratings.com'. RMF Four Seasons CFO Ltd. is a hedge fund collateralized fund obligation that is managed by RMF Investment Management - Nassau branch, a company that provides investment management services to funds organized and sponsored by Man Investments. RMF CFO primarily invests in RMF fund shares (TM40: RMF CFO Four Seasons) through the segregated RMF platform. RMF FOUR: Moody's Upgrades Rating of Class M3 Notes From B1 ----------------------------------------------------------- Moody's Investors Service announced that it has upgraded these debt securities of RMF Four Seasons CFO Limited: EUR141,000,000 Credit Facility provided by Natixis (formerly Ixis Corporate & Investment Bank) -- Current Rating: Aaa -- Prior Rating: Aa1, on review for downgrade EUR23,500,000 Class S Floating Rate Notes due 2013 -- Current Rating: Aaa -- Prior Rating: Aa1, on review for downgrade EUR18,800,000 Class M1 Floating Rate Notes due 2013 -- Current Rating: Aaa -- Prior Rating: A1, on review for downgrade EUR11,750,000 Class M2 Floating Rate Notes due 2013 -- Current Rating: Aaa -- Prior Rating: Baa2, on review for downgrade EUR16,450,000 Class M3 Floating Rate Notes due 2013 -- Current Rating: Aaa -- Prior Rating: B1, on review for downgrade Originally rated on August 22, 2006, RMF Four Seasons CFO Limited is a collateralized fund obligation backed by equity interests in a diversified fund of hedge funds. The fund is managed by RMF Investment Management. The last rating action on the affected securities was on December 22, 2008 when all tranches of debt were downgraded and placed on review for possible further downgrade, due to the continued deterioration of the net asset values of the hedge funds within the structure and concerns over the vehicle's ability to liquidate portfolio assets within the covenanted timeframe. The rating action reflects the CFO's current position in cash: following the redemption of the underlying hedge funds, all the rated notes are now collateralized with cash, which can only be used to repay the notes in full on the next payment date. Moody's stated that the rationale for the upgrade was: (a) the amount of cash, held by a Aaa-rated bank (the Bank of New York Mellon) is sufficient to redeem all rated notes in full on the next payment date, (b) it is not contractually possible to use this cash for any purpose other than such repayment, and (c) redemption of the notes is structurally mandated on the transaction's next scheduled payment date falling on July 2, 2009. SAGAMORE CLO: Moody's Junks Ratings on Class C-1 & C-2 Notes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Sagamore CLO Ltd.: -- US$70,000,000 Class A-1 Delayed Drawdown Note Rights Due 2015, Downgraded to A3; previously on 10/15/2003 Assigned Aaa; -- US$161,000,000 Class A-2 Note Rights Due 2015, Downgraded to A3; previously on 10/15/2003 Assigned Aaa; -- US$5,000,000 Class A-3 Zero Coupon Accreting Note Rights Due 2015, Downgraded to A3; previously on 10/15/2003 Assigned Aaa; -- US$18,000,000 Class B Deferrable Note Rights Due 2015, Downgraded to B1; previously on 3/20/2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$16,000,000 Class C-1 Floating Rate Deferrable Note Rights Due 2015, Downgraded to Ca; previously on 3/20/2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$500,000 Class C-2 Fixed Rate Deferrable Note Rights Due 2015, Downgraded to Ca; previously on 3/20/2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$3,000,000 Class D Junior Mezzanine Deferrable Note Rights Due 2015, Downgraded to C; previously on 3/20/2009 Downgraded to Caa3 and Placed Under Review for Possible Downgrade; -- $5,000,000 Class 1 Participation Notes due 2015, Downgraded to A3; previously on 10/15/2003 Assigned Aaa; -- $5,000,000 Class 2 Participation Notes due 2015, Downgraded to B2; previously on 10/15/2003 Assigned A3. 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 (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). Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Credit deterioration of the collateral pool is observed through 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 all the Overcollateralization Ratio Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2893 versus a test level of 2700 as of the last trustee report, dated May 8, 2009. Based on the same report, defaulted securities total about $27.5 million, accounting for roughly 9.4% of the collateral balance; and securities rated Caa1/CCC+ or lower make up approximately 17.4% of the underlying portfolio. Additionally, interest payments on the Class B, Class C, and Class D Notes are presently being deferred as a result of the failure of all the Overcollateralization Ratio Tests. Moody's also observes that the transaction is exposed to a number of mezzanine and junior CLO tranches in the underlying portfolio. These CLO tranches are currently assigned low speculative-grade ratings and carry depressed market valuations that may herald poor recovery prospects in the event of default. Sagamore CLO Ltd., issued in October 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. SAGUARO ISSUER: Moody's Downgrades Ratings on Various Classes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its ratings of US$20,000,000 aggregate face amount of Principal Units, Series F, $20,000,000 aggregate face amount of Principal Units, Series G, US$11,000,000 aggregate face amount of Principal Units, Series K, US$34,000,000 aggregate face amount of Principal Units, Series L and $25,000,000 aggregate face amount of Principal Units, Series M issued by Saguaro Issuer Trust. The rating actions are: Class Description: US$20,000,000 aggregate face amount of Principal Units, Series F -- Current Rating: Baa1 on review for possible downgrade -- Prior Rating: A3 -- Prior Rating Date: 04/08/09 Class Description: US$20,000,000 aggregate face amount of Principal Units, Series G -- Current Rating: Baa1 on review for possible downgrade -- Prior Rating: A3 -- Prior Rating Date: 04/08/09 Class Description: US$11,000,000 aggregate face amount of Principal Units, Series K -- Current Rating: Ba1 on review for possible downgrade -- Prior Rating: Baa3 on review for possible downgrade -- Prior Rating Date: 04/08/09 Class Description: US$34,000,000 aggregate face amount of Principal Units, Series L -- Current Rating: Ba1 on review for possible downgrade -- Prior Rating: Baa3 on review for possible downgrade -- Prior Rating Date: 04/08/09 Class Description: $25,000,000 aggregate face amount of Principal Units, Series M -- Current Rating: Ba2 on review for possible downgrade -- Prior Rating: Ba1 on review for possible downgrade -- Prior Rating Date: 04/08/09 The transaction is a structured note whose ratings change with the rating of the underlying Principal Certificates. The Series F Principal Units are related to the Principal Certificates, Series F issued by IIG Funding Trust, which are, in turn, related to the US$20,000,000 face amount of Primary Capital Undated Floating Rate Notes of Lloyd Bank PLC. The US$20,000,000 face amount of Primary Capital Undated Floating Rate Notes of Lloyd Bank PLC were downgraded to Baa1 and left on review for possible further downgrade on 06/02/2009. The Series G Principal Units are related to the Principal Certificates, Series G issued by IIG Funding Trust, which are, in turn, related to the US$20,000,000 face amount of Undated Capital Floating Rate Notes, Series 2 of Lloyds Bank PLC. The US$20,000,000 face amount of Undated Capital Floating Rate Notes, Series 2 of Lloyds Bank PLC were downgraded to Baa1 and left on review for possible further downgrade on 06/02/2009.. The Series K Principal Units are related to the Principal Certificates, Series K issued by IIG Funding Trust, which are, in turn, related to the US$11,000,000 face amount of Undated Primary Capital Floating Rate Notes, Series A of National Westminster Bank PLC. The US$11,000,000 face amount of Undated Primary Capital Floating Rate Notes, Series A of National Westminster Bank PLC were downgraded to Ba1 and left on review for possible further downgrade on 06/02/2009. The Series L Principal Units are related to the Principal Certificates, Series L issued by IIG Funding Trust, which are, in turn, related to the US$34,000,000 face amount of Undated Primary Capital Floating Rate Notes, Series A of National Westminster Bank PLC. The US$34,000,000 face amount of Undated Primary Capital Floating Rate Notes, Series A of National Westminster Bank PLC were downgraded to Ba1 and left on review for possible further downgrade on 06/02/2009. The Series M Principal Units are related to the Principal Certificates, Series M issued by IIG Funding Trust, which are, in turn, related to the US$25,000,000 face amount of Undated Floating Rate Primary Capital Notes of Royal Bank of Scotland Group plc. The US$25,000,000 face amount of Undated Floating Rate Primary Capital Notes of Royal Bank of Scotland Group plc were downgraded to Ba2 and left on review for possible further downgrade on 06/02/2009. SASCO SECURITIES: Moody's Downgrades Ratings on 10 Securities ------------------------------------------------------------- Moody's Investors Service has downgraded the rating of ten securities from six transactions issued by SASCO. 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 60% to 80%. The results of these two calculations -- Recent Losses and Pipeline Losses -- are weighted to arrive at the lifetime cumulative loss projection. The complete rating actions: Amortizing Residential Collateral Tr 2001-BC1 -- Cl. A1, Downgraded to Aa3; previously on 3/15/2001 Assigned Aaa Amortizing Residential Collateral Tr 2001-BC5 -- Cl. A1, Downgraded to Baa2; previously on 12/4/2008 A3 Placed Under Review for Direction Uncertain Structured Asset Securities Corp Tr 2002-BC1 -- Cl. M3, Downgraded to Caa3; previously on 5/17/2007 Downgraded to Caa1 Structured Asset Securities Corp Tr 2002-HF1 -- Cl. M-2, Downgraded to Baa1; previously on 6/24/2002 Assigned A2 -- Cl. M-3, Downgraded to Baa3; previously on 6/24/2002 Assigned Baa2 Structured Asset Securities Corp Tr 2003-39EX -- Cl. B, Downgraded to B2; previously on 1/5/2004 Assigned Baa3 Structured Asset Securities Corp Tr 2003-BC3 -- Cl. M2, Downgraded to Baa1; previously on 9/21/2006 Upgraded to Aa3 -- Cl. M3, Downgraded to Baa3; previously on 10/30/2003 Assigned A3 -- Cl. M4, Downgraded to B1; previously on 11/7/2007 Downgraded to Ba3 -- Cl. M5, Downgraded to C; previously on 11/7/2007 Downgraded to B3 SOLAR INVESTMENT: Moody's Cuts Ratings on Two Notes to Caa1 ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Solar Investment Grade CBO I, Limited: -- Class II-A Senior Secured Floating Rate Notes due 2012, Downgraded to Ba1; previously on January 23, 2004 Downgraded to A1; -- Class II-B Senior Secured Fixed Rate Notes due 2012, Downgraded to Ba1; previously on January 23, 2004 Downgraded to A1; -- Class III-A Mezzanine Secured Floating Rate Notes due 2012, Downgraded to Ca; previously on January 23, 2004 Downgraded to Caa1; -- Class III-B Mezzanine Secured Fixed Rate Notes due 2012, Downgraded to Ca; previously on January 23, 2004 Downgraded to Caa1. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured through the average portfolio rating), an increase in the dollar amount of defaulted securities, and failure of the Senior Par Value Test, Class III Par Value Test, Senior Interest Coverage Test, and Class III Interest Coverage Test. The average portfolio rating has steadily increased over the last year and it is currently at 1003 versus a test level of 610 as of the last trustee report, dated April 30, 2009. Based on the same report, defaulted securities total about $29.15 million, accounting for roughly 15% of the collateral balance. Moody's also assessed the collateral pool's elevated concentration risk in a small number of industries. This includes a significant concentration in debt obligations of companies in the banking, finance, real estate, and insurance industries, which Moody's views to be more strongly correlated in the current market environment. These four industries account for approximately 18% of the transaction's underlying collateral pool. Moody's also noted that the transaction is negatively impacted by a large pay-fixed, receive-floating interest rate swap where payments to the hedge counterparty absorb a large portion of the excess spread in the deal. Solar Investment Grade CBO I, Limited, issued in August 31, 2000, is a collateralized bond obligation backed primarily by a portfolio of senior unsecured bonds with original investment grade ratings. SPGS SPC: Recent Write-downs Prompts S&P's Rating Cut to 'D' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on SPGS SPC's Baldwin 2006-II and 2006-III notes to 'D' from 'CCC-'. The downgrades follow a number of recent write-downs of underlying reference entities, which have caused series 2006-II to incur a partial principal loss and series 2006-III to incur a complete principal loss. Ratings Lowered SPGS SPC Baldwin 2006-II Rating ------ Class To From ----- -- ---- Notes D CCC- SPGS SPC Baldwin 2006-III Rating ------ Class To From ----- -- ---- Notes D CCC- ST. LOUIS COUNTY: S&P Raises Rating on Bonds to 'AA+' From 'CC' --------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on St. Louis County Industrial Development Authority, Missouri's health care facilities revenue bonds (Ginnie Mae collateralized -- Mary Queen and Mother Association Project) series 2001 18 notches to AA+/NM from CC/Negative. "The upgrade reflects the receipt of updated information and cash flows which support Standard & Poor's current rating," said Standard & Poor's credit analyst Renee Berson. Total assets of $11.031 million as of June 1, 2009, consisted of a $10.86 million mortgage-backed security and a revenue account of $173,141. Outstanding liabilities of $10.998 million bonds consist of $615,000 in serial bonds earning 4.75%-4.80% and $10.260 million in term bonds earning 5.0%-5.50%, resulting in an asset-to-liability ratio of 100.30%. The bond fund is invested in a 'AA+' rated FGIC Capital Market guaranteed investment contract guaranteed by General Electric Capital Corp. The mortgage-backed security has a pass-through rate of 5.45%. The transaction was originally structured with an open flow of funds when the bond fund exceeds $50,000. This has been eliminated through a supplemental indenture. SUMMER REGIONAL: Fitch Cuts Ratings on $150 Mil. Bonds to 'B-' -------------------------------------------------------------- Fitch Ratings has downgraded the rating on approximately $150 million of outstanding bonds issued by the Health, Educational and Housing Facilities Board of the County of Sumner, Tennessee, hospital revenue, refunding and improvement bonds (Sumner Regional Health Systems, Inc.), series 2007A to 'B-' from 'BB+'. In addition, Fitch places the rating on Watch Negative. The downgrade is due to Sumner Regional Health Systems' extreme deterioration in operating profitability for fiscal year 2008 and for the 10-month period ending March 31, 2009 (the interim period), which has led to a profoundly weakened financial profile. Results contained within the recently released 2008 audit verify the severity of the organization's financial distress, leading its auditors to issue a going-concern opinion. Fiscal 2008's operating loss of $24.2 million (-17.7% operating margin) and bottom line loss of $22.3 million were principally driven by management's gross overstatement of net revenue, which prevented the identification and remediation of poor expenditure control. The accounting problems that led to the error were discovered in the summer of 2008, at which time accounts were adjusted and procedures were modified to more accurately accrue revenue going forward. Recession-related stresses and the failure of the board and management to quickly recognize and respond to the accounting error have exacerbated Sumner's negative trend. Sumner continues to report operating losses through the interim period, with operating income of negative $26.4 million (-21.8% operating margin) and excess income of negative $27.1 million (- 22.5% excess margin). Weak operating performance has led to a material decline in Sumner's liquidity, as unrestricted cash declined to $25.9 million as of March 31, 2009 from $52.4 million at fiscal year-end 2007, resulting in a very weak 2.6 times (x) cushion ratio, 62.4 days cash on hand, and 15.8% cash to debt. Capital-related metrics are correspondingly poor, with coverage of maximum annual debt service by available funds at negative 1.0x for the interim period. The Rating Watch Negative contemplates the completion and outcome of various pending items, including negotiations with the leaseholder of a HealthPlex venture, the timely and successful implementation of operational improvements and asset sales, and the likelihood that Sumner will be in default of its rate covenant per its master trust indenture when tested at the end of fiscal 2010, at which time bondholders could take remedial action. Compounding its already weakened financial position is Sumner's strained relationship with a third-party leaseholder for Sumner's HealthPlex venture. Sumner was not in compliance with the required debt service coverage ratio per the lease documents at FYE 2008 and requested a waiver, which was not granted. According to the audit, the lessor has not declared Sumner to be in default of the lease, although it has reserved the right to do so. If the lessor were to declare default, remedies include an acceleration of lease payments, which if invoked, would render Sumner illiquid, as current cash reserves would not satisfy the outstanding lease obligations. A declaration of default by the lessor would constitute an event of default under the MTI governing the 2007A bonds. Fitch will continue to monitor this situation closely. Within the next 12 months, Sumner must improve its operating performance to a greater extent than projected in its current turnaround plan to meet its rate covenant requirements per the MTI. The turnaround plan prepared by outside consultants calls for improvements yielding a cash flow of negative $1.5 million in 2010, well short of the 2010 debt service requirement of $9.7 million. It is noted that a fully funded debt service reserve fund is in place and would satisfy debt service in fiscal 2010. Over the three-year aggregate period (FYE2010-FYE2012), operating improvements are anticipated to yield net cash flows totaling $17.3 million, still well short of the $31.4 million necessary to meet debt service obligations (excluding capital reinvestment and essential physician recruiting costs). In order to bridge the estimated $14 million debt service funding gap, Sumner anticipates realizing approximately $30.4 million from various asset sales over the next three years. However, the recent historical operating performance coupled with the board and management's demonstrated inability to quickly and satisfactorily remedy the situation do not portend successful realization of the plan. Furthermore, the more difficult operating environment facing the industry compounds the level of difficulty in meeting the turnaround goals. Any delay or shortfall in executing the operational turnaround plan and sale of assets could limit Sumner's ability to pay its debt service obligations in full and on time. Since the downgrade to 'BB+' on Jan. 21, 2009, Sumner has been posting monthly financial results to the NRMSIRS and has been conducting monthly update calls with bondholders, which Fitch views favorably. Fitch placed the 2007A bonds on Rating Watch Negative on Jan. 7, 2009, due to Sumner's failure to release its fiscal 2008 audit. Sumner currently consists of three inpatient hospitals located in north-central Tennessee. The system headquarters and the flagship, 155-bed Sumner Regional Medical Center are located in Gallatin, a growing suburban area approximately 25 miles northeast of Nashville. For the audited May 31, 2008 period, Sumner reported total assets of $286.7 million and system revenues of $147 million. Sumner covenants to provide bondholders with audited annual information within 150 days of fiscal year-end and unaudited quarterly statements within 60 days of quarter-end to the national recognized municipal securities information repositories. Fitch notes that Sumner has been posting monthly results and holding monthly update calls since February 2009. TERWIN MORTGAGE: Moody's Downgrades Rating on 27 Securities ----------------------------------------------------------- Moody's Investors Service has downgraded the rating of 27 securities from 6 subprime RMBS transactions issued by Terwin Mortgage Trust. 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. 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: Terwin Mortgage Trust, Series TMTS 2003-4HE -- Cl. M-2, Downgraded to Baa3; previously on 11/21/2003 Assigned A2 -- Cl. B, Downgraded to Ba3; previously on 11/21/2003 Assigned Baa2 Terwin Mortgage Trust, Series TMTS 2003-6HE -- Cl. M-2, Downgraded to Baa2; previously on 12/23/2003 Assigned A2 -- Cl. M-3, Downgraded to Ba1; previously on 9/21/2007 Downgraded to Baa2 -- Cl. M-4, Downgraded to Caa2; previously on 2/26/2008 Downgraded to B3 -- Cl. M-5, Downgraded to C; previously on 2/26/2008 Downgraded to Ca Terwin Mortgage Trust, Series TMTS 2003-8HE -- Cl. M-1, Downgraded to A1; previously on 5/28/2004 Assigned Aa2 -- Cl. M-2, Downgraded to Baa2; previously on 5/28/2004 Assigned A2 -- Cl. M-3, Downgraded to Ba1; previously on 5/28/2004 Assigned A3 -- Cl. B-1, Downgraded to B2; previously on 9/21/2007 Downgraded to Ba1 -- Cl. B-2, Downgraded to C; previously on 9/21/2007 Downgraded to B2 -- Cl. B-3, Downgraded to C; previously on 9/21/2007 Downgraded to Caa1 Terwin Mortgage Trust, Series TMTS 2004-1HE -- Cl. M-3, Downgraded to Baa2; previously on 5/10/2004 Assigned A3 -- Cl. B-1, Downgraded to Baa3; previously on 5/10/2004 Assigned Baa1 -- Cl. B-2, Downgraded to B1; previously on 5/10/2004 Assigned Baa2 -- Cl. B-3, Downgraded to C; previously on 2/26/2008 Downgraded to Caa2 Terwin Mortgage Trust, Series TMTS 2004-3HE -- Cl. M-2, Downgraded to Baa3; previously on 9/5/2007 Downgraded to A3 -- Cl. M-2-X, Downgraded to Baa3; previously on 9/5/2007 Downgraded to A3 -- Cl. M-3, Downgraded to Ba3; previously on 9/5/2007 Downgraded to Baa2 -- Cl. M-3-X, Downgraded to Ba3; previously on 9/5/2007 Downgraded to Baa2 -- Cl. B-1, Downgraded to B3; previously on 9/5/2007 Downgraded to B1 -- Cl. B-2, Downgraded to C; previously on 2/26/2008 Downgraded to Caa1 -- Cl. B-3, Downgraded to C; previously on 2/26/2008 Downgraded to Ca Terwin Mortgage Trust, Series TMTS 2004-5HE -- Cl. M-3, Downgraded to Ba3; previously on 2/26/2008 Downgraded to Ba1 -- Cl. B-1, Downgraded to Caa1; previously on 2/26/2008 Downgraded to B2 -- Cl. B-2, Downgraded to C; previously on 2/26/2008 Downgraded to Caa3 -- Cl. B-3, Downgraded to C; previously on 2/26/2008 Downgraded to Ca VERITAS CLO: Moody's Cuts Rating on $8,000,000 Class E Notes to C ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Veritas CLO I, Ltd.: -- US$229,000,000 Class A First Priority Senior Secured Floating Rate Notes Due 2016, Downgraded to A2; previously on 3/18/2009 Aaa Placed Under Review for Possible Downgrade; -- US$19,000,000 Class B Second Priority Senior Secured Floating Rate Notes Due 2016, Downgraded to Ba1; previously on 3/18/2009 Aa2 Placed Under Review for Possible Downgrade; -- US$16,000,000 Class C Third Priority Mezzanine Secured Floating Rate Deferrable Interest Notes Due 2016, Downgraded to B3; previously on 3/18/2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$10,500,000 Class D Fourth Priority Mezzanine Secured Floating Rate Deferrable Interest Notes Due 2016, Downgraded to Ca; previously on 3/18/2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$8,000,000 Class E Fifth Priority Mezzanine Secured Floating Rate Deferrable Interest Notes Due 2016, Downgraded to C; previously on 3/18/2009 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 second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through 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 Moody's Maximum Rating Distribution Test and the Class C, D, and E Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2710 versus a test level of 2430 as of the last trustee report, dated April 30, 2009. Based on the same report, defaulted securities total about $9.9 million, accounting for roughly 3.3% of the collateral balance, and securities rated Caa1 or lower make up approximately 15% of the underlying portfolio. Moody's also observes that the transaction is exposed to mezzanine and junior CLO tranches in the underlying portfolio. These CLO tranches are currently assigned speculative-grade ratings and carry depressed market valuations that may herald poor recovery prospects in the event of default. Veritas CLO I, Ltd., issued on 8/19/2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. WACHOVIA BANK: S&P Junks Ratings on Five 2007-ESH Certificates -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 15 classes of commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust's series 2007-ESH and removed them from CreditWatch with negative implications, where they were placed on April 7, 2009, and Dec. 18, 2008. At the same time, S&P affirmed its ratings on the five remaining classes. The downgrades and affirmations follow S&P's analysis of the Extended Stay Hotels portfolio securing the single loan underlying this transaction, which S&P based on a review of the borrower's operating statements for the trailing 12 months through April 2009 and statements from prior years. Statements for the TTM through April 2009 indicated a significant decline in net cash flow from the adjusted NCF S&P assessed at issuance, and revenue per available room for this period declined 8% from year-end 2008. Earnings before interest, taxes, depreciation, and amortization were down 12% for this period compared to year-end 2008. Standard & Poor's adjusted value is down 37% from issuance. S&P's analysis assumed that average RevPAR in the industry would decline 14%-16% in 2009, as S&P noted in a recent article. The transaction's certificates are collateralized by a $4.1 billion mortgage loan secured by 681 extended-stay hotels, including 664 owned hotels and 17 leased hotels, one office building that serves as the headquarters for Extended Stay Hotels, and one vacant land parcel. The properties are located in 44 states and two Canadian provinces. The loan has fixed- and floating-rate components: the fixed-rate components mature in June 2012, and the floating-rate components have an initial maturity of June 2009 with three one-year extension options. The borrower has given notice to extend the floating-rate components. In addition to the mortgage loan, $3.3 billion of floating-rate mezzanine debt is held outside of the trust. There are 10 layers of mezzanine debt. Wachovia has informed S&P that some of the mezzanine lenders have declared events of default due to nonpayment of $3.5 million of trade payables. If the performance of the lodging sector continues to deteriorate beyond S&P's expectations, S&P may revise its analysis and adjust S&P's ratings accordingly. Ratings Lowered And Removed From Creditwatch Negative Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2007-ESH Rating ------ Class To From ----- -- ---- A-3 AA+ AAA/Watch Neg A-4FL A AAA/Watch Neg A-4FX A AAA/Watch Neg B A- AA+/Watch Neg CFL BBB AA/Watch Neg CFX BBB AA/Watch Neg D BBB- AA-/Watch Neg E BB A+/Watch Neg F B+ A/Watch Neg G B- A-/Watch Neg H CCC+ BBB+/Watch Neg J CCC BBB-/Watch Neg K CCC- BB/Watch Neg L CCC- B/Watch Neg M CCC- B-/Watch Neg Ratings Affirmed Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2007-ESH Class Rating ----- ------ A-1 AAA A-2FL AAA A-2FX AAA XA AAA XB AAA WAMU MORTGAGE: Moody's Downgrades Ratings on 37 Classes of Notes ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 37 classes of notes from seven transactions issued by WAMU Mortgage Pass- Through Certificates. The ratings are based on the methodology applied to all transactions with small pool factors. Moody's defines low pool factor deals as those that meet one of these two criteria: (1) the outstanding collateral balance is less than $1 million, and the pool factor is less than 5% or (2) the pool has fewer than 50 loans remaining First, gross defaults are determined by applying assumed lifetime roll-rates (probabilities of transition to default) to the transactions' current delinquency buckets (delinquency pipeline) and a pipeline multiplier. The pipeline multiplier accounts for further possible defaults that might arise from borrowers that are current. The pipeline multiplier differs for each deal based on the number of loans remaining in the pool -- greater the number of loans remaining the higher the multiplier. The estimated defaults are subject to a floor -- a minimum default. The minimum default also differs based on the number loans remaining in the pool. The fewer the number of loans remaining in the pool the higher the minimum default since each loan represents a higher percentage of the pool. The final default number is then multiplied by expected loss severity to arrive at Moody's expected loss estimate. Loss severity also differs by transaction and is higher for more recent vintages. Complete rating action: WaMu Mortgage Pass-Through Ctfs. 2002-AR12 (Loans Remaining: 11) -- Cl. B-1, Current Balance: $463,630, Downgraded to Aa2; previously on 9/1/2004 Upgraded to Aaa -- Cl. B-2, Current Balance: $281487, Downgraded to A2; previously on 7/27/2005 Upgraded to Aaa -- Cl. B-3, Current Balance: $132,437, Downgraded to Baa2; previously on 7/27/2005 Upgraded to Aa2 -- Cl. B-4, Current Balance: $66,218, Downgraded to Ba2; previously on 7/17/2006 Upgraded to A1 -- Cl. B-5, Current Balance: $49,672, Downgraded to B2; previously on 7/27/2005 Upgraded to Ba1 WAMU Mortgage Pass-Through Ctfs. 2002-AR13 Trust (Loans Remaining: 13) -- Cl. M-1, Current Balance: $584,837, Downgraded to Aa1; previously on 10/31/2002 Assigned Aaa -- Cl. B-1, Current Balance: $286,197, Downgraded to A1; previously on 9/1/2004 Upgraded to Aaa -- Cl. B-2, Current Balance: $199,093, Downgraded to A3; previously on 7/27/2005 Upgraded to Aaa -- Cl. B-3, Current Balance: $99,546, Downgraded to Ba2; previously on 7/17/2006 Upgraded to Aaa -- Cl. B-4, Current Balance: $37,331, Downgraded to B1; previously on 7/17/2006 Upgraded to A1 -- Cl. B-5, Current Balance: $37,328, Downgraded to B3; previously on 7/27/2005 Upgraded to Ba1 WaMu Mortgage Pass-Through Ctfs. 2002-AR14 Trust (Loans Remaining: 15) -- Cl. A-1, Current Balance: $7,206,927, Downgraded to Aa1; previously on 10/31/2002 Assigned Aaa -- Cl. A-2, Current Balance: $380,219, Downgraded to Aa1; previously on 10/31/2002 Assigned Aaa -- Cl. B-1, Current Balance: $851,165, Downgraded to Baa2; previously on 9/1/2004 Upgraded to Aaa -- Cl. B-2, Current Balance: $544,713, Downgraded to B1; previously on 7/27/2005 Upgraded to Aaa -- Cl. B-3, Current Balance: $272,356, Downgraded to Caa3; previously on 7/27/2005 Upgraded to Aa1 -- Cl. B-4, Current Balance: $102,084, Downgraded to Ca; previously on 7/27/2005 Upgraded to A1 -- Cl. B-5, Current Balance: $66,441, Downgraded to C; previously on 7/27/2005 Upgraded to Ba1 WaMu Mortgage Pass-Through Ctfs. 2002-AR15 Trust (Loans Remaining: 38) -- Cl. B-1, Current Balance: $785,110, Downgraded to A1; previously on 9/1/2004 Upgraded to Aaa -- Cl. B-2, Current Balance: $598,194, Downgraded to Ba1; previously on 7/17/2006 Upgraded to Aaa -- Cl. B-3, Current Balance: $299,097, Downgraded to Ba3; previously on 7/17/2006 Upgraded to Aa3 -- Cl. B-4, Current Balance: $112,142, Downgraded to B3; previously on 7/27/2005 Upgraded to A2 -- Cl. B-5, Current Balance: $112,142, Downgraded to Ca; previously on 7/27/2005 Upgraded to Ba1 WaMu Mortgage Pass-Through Ctfs. 2002-AR16 (Loans Remaining: 37) -- Cl. B-1, Current Balance: $706,943, Downgraded to Aa1; previously on 9/1/2004 Upgraded to Aaa -- Cl. B-2, Current Balance: $538,601, Downgraded to A2; previously on 7/27/2005 Upgraded to Aaa -- Cl. B-3, Current Balance: $269,268, Downgraded to Baa2; previously on 7/27/2005 Upgraded to Aa2 -- Cl. B-4, Current Balance: $100,991, Downgraded to Ba2; previously on 7/17/2006 Upgraded to A1 -- Cl. B-5, Current Balance: $100,991, Downgraded to B2; previously on 7/27/2005 Upgraded to Ba1 WAMU Mortgage Pass-Through Ctfs. 2002-AR17 Trust (Loans Remaining: 20) -- Cl. II-B-1, Current Balance: $674,913, Downgraded to Aa1; previously on 7/27/2005 Upgraded to Aaa -- Cl. II-B-2, Current Balance: $421,823, Downgraded to A2; previously on 7/17/2006 Upgraded to Aaa -- Cl. II-B-3, Current Balance: $274,172, Downgraded to Baa2; previously on 7/17/2006 Upgraded to Aa2 -- Cl. II-B-4, Current Balance: $442,906, Downgraded to Ba3; previously on 7/27/2005 Upgraded to Baa2 -- Cl. II-B-5, Current Balance: $84,355, Downgraded to B3; previously on 7/27/2005 Upgraded to Ba3 WaMu Mortgage Pass-Through Ctfs. 2003-AR2 Trust (Loans Remaining: 17) -- Cl. M, Current Balance: $1,223,620, Downgraded to Aa2; previously on 3/19/2003 Assigned Aaa -- Cl. B-1, Current Balance: $453,931, Downgraded to A1; previously on 9/1/2004 Upgraded to Aaa -- Cl. B-2, Current Balance: $315,775, Downgraded to Baa3; previously on 7/27/2005 Upgraded to Aaa -- Cl. B-3, Current Balance: $157,879, Downgraded to Ba3; previously on 7/27/2005 Upgraded to A1 WASHINGTON MUTUAL: S&P Downgrades Ratings on Class N to 'D' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on class N from Washington Mutual Asset Securities Corp.'s series 2005-C1 to 'D' from 'CCC-'. The downgrade of the class N certificates is primarily the result of interest shortfalls to this class. The special servicing fees for the Plaza at Willow Grove Park loan prompted these shortfalls. Although the loan was returned to the master servicer on May 26, 2009, an ongoing monthly workout fee will continue to create monthly interest shortfalls to the class N certificates. In addition, upon the loan paying in full, a 1% corrected mortgage fee will be applied at maturity, incurring a principal loss. The Plaza at Willow Grove Park loan ($10.7 million, 5.3% of the pool) is secured by a 106,795-sq.-ft. anchored retail center in Willow Grove, Pennsylvania. The loan was transferred to the special servicer on April 17, 2009, due to imminent default. Since then, the situation giving rise to the imminent default has been remedied and the loan was transferred back to the master servicer. While in special servicing, application of the special servicing fee resulted in an interest shortfall of $5,278 to the class N certificates. Going forward, a monthly workout fee of $997 is due in connection with this loan. It will be funded through continued interest shortfalls to the class N certificates. Rating Lowered Washington Mutual Asset Securities Corp. Commercial mortgage pass-thru certs series 2005-C1 Rating ------ Class To From Credit Enhancement (%) ----- -- ---- ---------------------- N D CCC- 0.00 WELLS FARGO: Moody's Downgrades Ratings on Five 2007-AR10 Tranches ------------------------------------------------------------------ Moody's Investors Service has downgraded 5 tranches from Wells Fargo Mortgage Backed Securities 2007-AR10 Trust. The collateral backing this transaction consists primarily of first-lien, adjustable-rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions 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: Issuer: Wells Fargo Mortgage Backed Securities 2007-AR10 Trust -- Cl. I-A-1, Downgraded to A2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Caa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to A1; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Caa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Caa1; previously on 4/9/2009 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. WELLS FARGO: Moody's Downgrades Ratings on Four 2007-17 Tranches ---------------------------------------------------------------- Moody's Investors Service has downgraded 4 tranches from Wells Fargo Mortgage Backed Securities 2007-17 Trust. The collateral backing this transaction 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: Issuer: Wells Fargo Mortgage Backed Securities 2007-17 Trust -- Cl. A-1, Downgraded to B3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to B3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa1; previously on 4/9/2009 Aa1 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. WELLS FARGO: Moody's Downgrades Ratings on Nine 2008 Tranches ------------------------------------------------------------- Moody's Investors Service has downgraded 9 tranches from 2 Wells Fargo Mortgage Backed Securities Trust deals issued in 2008. The collateral backing these transaction consists primarily of first-lien, adjustable-rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions 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: Issuer: Wells Fargo Mortgage Backed Securities 2008-AR1 Trust -- Cl. A-1, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ca; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ca; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to C; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ca; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ca; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2008-AR2 Trust -- Cl. A-1, Downgraded to Ba1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ca; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A-IO, Downgraded to Ba1; previously on 9/17/2008 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. WELLS FARGO: Moody's Junks Rating on Class II-A-2 of Tranches ------------------------------------------------------------- Moody's Investors Service has downgraded 11 tranches from Wells Fargo Mortgage Backed Securities 2008-1 Trust. The collateral backing this transaction 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: Issuer: Wells Fargo Mortgage Backed Securities 2008-1 Trust -- Cl. I-A-1, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to B2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Caa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to B2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to B2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to B2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to B2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to Aa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. III-A-PO, Downgraded to Aa3; previously on 3/19/2009 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. * S&P Cuts Rating on Class B-1A of Certificates to 'D' ------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 18 classes of mortgage pass-through certificates from 10 U.S. residential mortgage-backed securities transactions issued between 1995 and 2002. At the same time, S&P removed three of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 59 classes from five of the downgraded transactions and 19 additional transactions. S&P also removed one of the affirmed ratings from CreditWatch negative. The downgrades reflect the deterioration of available credit support for the affected transactions, as well as S&P's loss expectations based on the dollar amount of loans currently in the delinquency pipelines of the downgraded transactions. Because the remaining pool balances for transactions with lowered ratings are becoming smaller, the potential losses from delinquent loans could have a more significant impact on the credit support available for the remaining classes. As of the May 2009 remittance period, the average pool balance for the affected transactions was 4.18% of the original pool balance. The downgrades 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 with S&P's projected lifetime losses for the transactions S&P reviewed, S&P is projecting an increase in losses due to increases in delinquencies and the current negative condition of the housing market. The affirmations reflect S&P's belief that there is sufficient credit enhancement for these classes to support the ratings at their current levels. 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 Credit Suisse First Boston Mortgage Securities Corp. Series 2002-10 Rating ------ Class CUSIP To From ----- ----- -- ---- II-B-2 22540VR38 CCC A- CSFB ABS Trust Series 2002-HE4 Series 2002-HE4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-F-2 22540VXF4 BB BBB CSFB ABS Trust Series 2002-HE16 Series 2002-HE16 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 22540V2M3 BBB A+ B-1 22540V2N1 CCC BBB+ CTS Home Equity Loan Trust 1995-2 Series 1995-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A 126502E*0 BBB BBB+ Delta Funding Home Equity Loan Trust 1995-2 Series 1995-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-5 24763LAE0 BBB BBB+ Delta Funding Home Equity Loan Trust 1997-2 Series 1997-2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 24763LBQ2 BB AA M-2 24763LBR0 CCC A Delta Funding Home Equity Loan Trust 1998-1 Series 1998-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-6F 24763LDC1 AAA AAA/Watch Neg M-1F 24763LDE7 A AA+ M-2F 24763LDF4 CCC A+ B-1F 24763LDG2 CC BBB- B-1A 24763LDN7 D BBB- Delta Funding Home Equity Loan Trust 1999-1 Series 1999-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-5F 24763LFA3 A AA/Watch Neg A-6F 24763LFB1 A AA/Watch Neg A-1A 24763LFD7 A AA/Watch Neg B 24763LFF2 CC BBB- Delta Funding Home Equity Loan Trust 1999-2 Series 1999-2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 24763LFP0 CCC A Delta Funding Home Equity Loan Trust 2000-2 Series 2000-2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 24763LGX2 CCC BB Ratings Affirmed Credit Suisse First Boston Mortgage Securities Corp. Series 2001-S6 Class CUSIP Rating ----- ----- ------ II-P 22540AH35 AAA B-1 22540AH68 AAA XB-1 22540AH76 AAA Credit Suisse First Boston Mortgage Securities Corp. Series 2002-10 Class CUSIP Rating ----- ----- ------ I-A-5 22540VQ21 AAA I-M-1 22540VQ70 AA I-M-2 22540VQ88 A II-A-1 22540VQ47 AAA II-X 22540VQ54 AAA II-P 22540VQ62 AAA II-B-1 22540VR20 AA I-PP 22540VR95 AAA II-PP 22540VS29 AAA CSFB ABS Trust Series 2001-HE17 Series 2001-HE17 Class CUSIP Rating ----- ----- ------ A-1 22540A7A0 AAA A-2 22540A7B8 AAA A-IO 22540A7C6 AAA M-1 22540A7E2 B CSFB ABS Trust Series 2001-HE20 Series 2001-HE20 Class CUSIP Rating ----- ----- ------ A-1 22540VBU5 AAA A-IO 22540VBW1 AAA M-1 22540VBY7 AA CSFB ABS Trust Series 2001-HE22 Series 2001-HE22 Class CUSIP Rating ----- ----- ------ A-1 22540VCP5 AAA A-IO 22540VCR1 AAA M-1 22540VCT7 BB CSFB ABS Trust Series 2001-HE25 Series 2001-HE25 Class CUSIP Rating ----- ----- ------ A-1 22540VHA3 AAA A-IO 22540VHC9 AAA M-1 22540VHE5 A M-2 22540VHF2 CCC CSFB ABS Trust Series 2001-HE30 Series 2001-HE30 Class CUSIP Rating ----- ----- ------ A-2 22540VMB5 AAA A-3 22540VMC3 AAA A-F 22540VME9 AAA M-1 22540VMH2 BBB M-F-1 22540VMK5 AA+ M-F-2 22540VML3 B CSFB ABS Trust Series 2001-HE8 Series 2001-HE8 Class CUSIP Rating ----- ----- ------ A-1 22540AB49 AAA M-1 22540AB64 AAA CSFB ABS Trust Series 2002-HE11 Series 2002-HE11 Class CUSIP Rating ----- ----- ------ A-2 22540VM82 AAA A-3 22540VM90 AAA M-1 22540VN40 A M-2 22540VN57 CCC CSFB ABS Trust Series 2002-HE4 Series 2002-HE4 Class CUSIP Rating ----- ----- ------ A-F 22540VWZ1 AAA M-1 22540VXC1 BBB M-F-1 22540VXE7 AA+ CSFB ABS Trust Series 2002-HE16 Series 2002-HE16 Class CUSIP Rating ----- ----- ------ M-1 22540V2L5 AA+ CTS Home Equity Loan Trust 1996-1 Series 1996-1 Class CUSIP Rating ----- ----- ------ A 126502AC7 BBB+ Delta Funding Home Equity Loan Trust 1997-2 Series 1997-2 Class CUSIP Rating ----- ----- ------ A-5 24763LBM1 AAA A-6 24763LBN9 AAA A-7 24763LBP4 AAA Delta Funding Home Equity Loan Trust 1998-1 Series 1998-1 Class CUSIP Rating ----- ----- ------ A-5F 24763LDB3 AAA Delta Funding Home Equity Loan Trust 1999-2 Series 1999-2 Class CUSIP Rating ----- ----- ------ A-6F 24763LFM7 AAA A-7F 24763LFN5 AAA A-1A 24763LFS4 AAA Delta Funding Home Equity Loan Trust 1999-3 Series 1999-3 Class CUSIP Rating ----- ----- ------ A-1F 24763LFU9 AAA A-2F 24763LFV7 AAA A-1A 24763LFX3 AAA Delta Funding Home Equity Loan Trust 2000-1 Series 2000-1 Class CUSIP Rating ----- ----- ------ M-2 24763LGL8 A Delta Funding Home Equity Loan Trust 2000-3 Series 2000-3 Class CUSIP Rating ----- ----- ------ M-2 24763LHJ2 CCC Delta Funding Home Equity Loan Trust 2000-4 Series 2000-4 Class CUSIP Rating ----- ----- ------ M-1 24763LHN3 AA DLJ ABS Trust Series 2000-6 Series 2000-6 Class CUSIP Rating ----- ----- ------ M-2 23324VAC6 AA B-1 23324VAD4 BBB- * S&P Cuts Ratings on 4 Classes From 26 RMBS Transactions to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 112 classes from 26 residential mortgage-backed securities transactions backed by U.S. Alternative-A mortgage loan collateral issued between 2003 and 2007. S&P removed 67 of the lowered ratings from CreditWatch with negative implications. S&P also affirmed its ratings on 134 classes from the 26 downgraded transactions as well as three additional deals. S&P removed 44 of the affirmed ratings from CreditWatch with negative implications. S&P derived the losses for these transactions using the criteria listed in the Related Research section. The downgrades, affirmations, and CreditWatch resolutions incorporate S&P's current and projected losses based on the dollar amounts of loans currently in the transactions' delinquency, foreclosure, and real estate owned pipelines, as well as S&P's projection of future defaults. S&P also incorporated cumulative losses to date in S&P's analysis when assessing rating outcomes. The lowered ratings reflect S&P's belief that the amount of credit enhancement available for the downgraded classes is not sufficient to cover losses at the previous rating levels. Although cumulative losses were generally low in comparison to S&P's projected lifetime losses for the transactions reviewed, S&P is projecting an increase in losses due to increases in delinquencies and the current negative condition of the housing market. Certain senior classes also benefit from senior support classes that would provide support, to a certain extent, before any applicable losses could affect the super-senior certificates. To maintain a 'AAA' rating, S&P considers whether a bond is able to withstand approximately 150% of S&P's base-case loss assumptions, subject to individual caps and qualitative factors assumed on specific transactions. For a class for which we've affirmed a 'B' rating, S&P considers whether a bond is able to withstand S&P's base-case loss assumptions. Other rating categories are dispersed, approximately equally, between these two loss assumptions. For example, to maintain a 'BB' rating on one class, S&P may consider whether the class is able to withstand approximately 110% of S&P's base-case loss assumptions, while, in connection with a different class, S&P may consider whether it is able to withstand approximately 120% of S&P's base-case loss assumptions to maintain a 'BBB' rating. The affirmations reflect S&P's belief that there is sufficient credit enhancement to support the ratings at their current levels. The subordination of more junior classes within each structure provides credit support for the affected transactions. The collateral backing these deals originally consisted predominantly of Alt-A, first-lien, fixed-rate, adjustable-rate, or negative- amortization residential mortgage loans secured by one- to four- family properties. S&P monitors these transactions to incorporate updated losses and delinquency pipeline performance to assess whether, in S&P's view, the applicable credit enhancement features are sufficient to support the current ratings. S&P will continue to monitor these transactions and take additional rating actions as S&P think appropriate. Rating Actions Alternative Loan Trust 2003-5T2 Series 2003-13 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 12669EAN6 CCC BBB B-3 12669EBK1 CC CCC Alternative Loan Trust 2004-33 Series 2004-33 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12667FA21 AAA AAA/Watch Neg 2-A-1 12667FA39 AAA AAA/Watch Neg 3-A-1 12667FA47 AAA AAA/Watch Neg 3-A-2 12667FA54 AAA AAA/Watch Neg 3-A-3 12667FC52 AAA AAA/Watch Neg 3-X 12667FA62 AAA AAA/Watch Neg 4-A-1 12667FA70 AAA AAA/Watch Neg I-M-1 12667FA96 B AA/Watch Neg II-M-1 12667FB46 CCC AA/Watch Neg I-B-1 12667FB20 CCC A/Watch Neg II-B-1 12667FB53 CC A/Watch Neg I-B-2 12667FB38 CC BBB-/Watch Neg II-B-2 12667FB61 CC BBB/Watch Neg Bear Stearns ALT-A Trust 2004-11 Series 2004-11 Rating ------ Class CUSIP To From ----- ----- -- ---- I-M-2 07386HMS7 BB A I-B-1 07386HMT5 CCC BBB+ I-B-2 07386HMU2 CC BBB- II-A-1 07386HMV0 AAA AAA/Watch Neg II-A-2 07386HMW8 AAA AAA/Watch Neg II-A-3 07386HMX6 AAA AAA/Watch Neg II-A-4 07386HMY4 AAA AAA/Watch Neg II-A-5 07386HMZ1 AAA AAA/Watch Neg II-X-A-5 07386HNA5 AAA AAA/Watch Neg II-A-6a 07386HNB3 AAA AAA/Watch Neg II-A-6b 07386HNP2 AAA AAA/Watch Neg II-B-1 07386HNF4 AA+ AA+/Watch Neg II-B-2 07386HNG2 CCC A+/Watch Neg II-B-3 07386HNH0 CC BBB/Watch Neg CWABS Asset Backed Certificates Trust 2005-IM1 Series 2005-IM1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 1266733W0 AAA AAA/Watch Neg A-2M 1266733X8 AAA AAA/Watch Neg A-3 1266733Y6 AAA AAA/Watch Neg A-3M 1266733Z3 AAA AAA/Watch Neg A-4 1266734Q2 AAA AAA/Watch Neg A-4M 1266734R0 AAA AAA/Watch Neg M-1 1266734B5 BBB AA+/Watch Neg M-2 1266734C3 B AA/Watch Neg M-3 1266734D1 CCC AA-/Watch Neg M-4 1266734E9 CC A+/Watch Neg M-5 1266734F6 CC A/Watch Neg Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2003-4XS Rating ------ Class CUSIP To From ----- ----- -- ---- A-6A 251510CG6 AAA AAA/Watch Neg M-2 251510CK7 CCC A M-3 251510CL5 CC B Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2003-2XS Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 251510AZ6 CCC A M-3 251510BA0 CC BBB Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 251563DR0 BB BBB+ DSLA Mortgage Loan Trust 2005-AR6 Series 2005-AR6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1A 23332UFU3 B AAA/Watch Neg 2A-1A 23332UFV1 AA AAA/Watch Neg 2A-1B 23332UFW9 B AAA/Watch Neg 2A-1C 23332UFX7 CCC AAA/Watch Neg M-1 23332UFY5 CC AA/Watch Neg First Horizon Alternative Mortgage Pass-Through Trust 2004-AA1 Series 2004-AA1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 32051D3M2 A AA B-2 32051D3N0 CCC A B-3 32051D3P5 CCC BBB B-4 32051D3Q3 CC BB First Horizon Alternative Mortgage Securities Trust 2004-AA2 Series 2004-AA2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 32051D4U3 BB A B-3 32051D4V1 CCC BBB B-4 32051D4W9 CC BB B-5 32051D4X7 D B First Horizon Alternative Mortgage Securities Trust 2004-AA4 Series 2004-AA4 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 32051GAC9 A AA B-2 32051GAD7 CCC A B-3 32051GAE5 CCC BBB B-4 32051GAF2 CC BB First Horizon Alternative Mortgage Securities Trust 2004-AA5 Series 2004-AA5 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 32051GBW4 B A B-3 32051GBX2 CCC BBB B-4 32051GBY0 CC BB First Horizon Alternative Mortgage Securities Trust 2004-AA6 Series 2004-AA6 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 32051GCF0 BB AA B-2 32051GCG8 CCC A B-3 32051GCH6 CC BBB B-4 32051GCJ2 CC BB First Horizon Alternative Mortgage Securities Trust 2004-FA1 Series 2004-FA1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 32051D7H9 B A B-3 32051D7J5 CCC BBB B-4 32051D7K2 CC BB B-5 32051D7L0 CC B First Horizon Alternative Mortgage Securities Trust 2005-AA12 Series 2005-AA12 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 32051GQ57 B AAA/Watch Neg I-A-2 32051GQ65 CCC AAA/Watch Neg II-A-1 32051GQ81 CCC AAA/Watch Neg III-A-1 32051GQ99 B AAA/Watch Neg III-A-2 32051GR23 CCC AAA/Watch Neg B-1 32051GR31 CC AA/Watch Neg First Horizon Alternative Mortgage Securities Trust 2007-FA5 Series 2007-FA5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 32053KAA2 CCC AAA/Watch Neg A-2 32053KAB0 CCC AAA/Watch Neg A-3 32053KAC8 CCC AAA/Watch Neg A-4 32053KAD6 CCC AAA/Watch Neg A-5 32053KAE4 CCC AAA/Watch Neg A-6 32053KAF1 CCC AAA/Watch Neg A-7 32053KAG9 CCC AAA/Watch Neg A-8 32053KAH7 CCC AAA/Watch Neg A-9 32053KAJ3 CCC AAA/Watch Neg A-PO 32053KAK0 CCC AAA/Watch Neg B-1 32053KAM6 D AA/Watch Neg B-2 32053KAN4 D A/Watch Neg GreenPoint MTA Trust 2005-AR3 Series 2005-AR3 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 39538RBW8 AAA AAA/Watch Neg I-A-2 39538RBX6 B AAA/Watch Neg I-A-3 39538RBY4 B- AAA/Watch Neg II-A-1 39538RBZ1 B AAA/Watch Neg II-A-2 39538RCA5 B- AAA/Watch Neg X-1 39538RCB3 AAA AAA/Watch Neg M-X 39538RCF4 CC AA+/Watch Neg M-1 39538RCG2 CC AA+/Watch Neg M-2 39538RCH0 CC AA+/Watch Neg M-3 39538RCJ6 CC AA/Watch Neg M-4 39538RCK3 CC AA/Watch Neg M-5 39538RCL1 D A+/Watch Neg GSAA Home Equity Trust 2004-10 Series 2004-10 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 36242DNH2 B BBB- B-3 36242DNJ8 CCC BB GSAA Home Equity Trust 2004-11 Series 2004-11 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 36242DQK2 BB A B-1 36242DQL0 CCC BBB B-2 36242DQM8 CC BB GSAA Home Equity Trust 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 36228F4L7 B BBB+ GSAA Home Equity Trust 2004-6 Series 2004-6 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 36228F7G5 BB A+ M-3 36228F7H3 CCC BBB+ GSAA Home Equity Trust 2004-7 Series 2004-7 Rating ------ Class CUSIP To From ----- ----- -- ---- AF-4 36242DDD2 AA+ AA+/Watch Neg GSAA Home Equity Trust 2004-8 Series 2004-8 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 362373AE2 BBB A B-1 362373AF9 CCC BBB+ B-2 362373AG7 CCC BB+ GSAA Home Equity Trust 2005-11 Series 2005-11 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 362341NV7 AAA AAA/Watch Neg 1-A-2 362341NW5 A AAA/Watch Neg 2-A-1 362341NX3 AAA AAA/Watch Neg 2-A-2 362341NY1 A AAA/Watch Neg 3-A-1 362341QF9 AAA AAA/Watch Neg 3-A-2 362341QG7 A AAA/Watch Neg 3-A-3 362341QH5 AAA AAA/Watch Neg 3-A-4 362341QJ1 A AAA/Watch Neg 3-A-5 362341QK8 A AAA/Watch Neg M-1 362341PB9 B AA/Watch Neg M-2 362341PC7 CCC AA-/Watch Neg M-3 362341PD5 CCC A/Watch Neg M-4 362341PE3 CC A-/Watch Neg B-1 362341PF0 CC BBB+/Watch Neg B-2 362341PG8 CC BBB/Watch Neg GSAA Home Equity Trust 2005-MTR1 Series 2005-MTR1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 362341TZ2 AAA AAA/Watch Neg A-2 362341UA5 AAA AAA/Watch Neg A-3 362341UB3 BBB AAA/Watch Neg A-4 362341UC1 AAA AAA/Watch Neg A-5 362341UD9 BBB AAA/Watch Neg M-1 362341UE7 B AA+/Watch Neg M-2 362341UF4 CCC AA+/Watch Neg M-3 362341UG2 CCC AA/Watch Neg M-4 362341UH0 CC A+/Watch Neg M-5 362341UJ6 CC A/Watch Neg B-1 362341UK3 CC BBB+/Watch Neg GSAA Trust 2004-3 Series 2004-3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 36228F3U8 BB BBB- HarborView Mortgage Loan Trust 2004-10 Series 2004-10 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 41161PJH7 AAA AAA/Watch Neg 1-A-2A 41161PJJ3 AAA AAA/Watch Neg 1-A-2B 41161PJW4 AAA AAA/Watch Neg 2-A 41161PJK0 AAA AAA/Watch Neg 3-A-1A 41161PJL8 AAA AAA/Watch Neg 3-A-1B 41161PJM6 AAA AAA/Watch Neg 4-A 41161PJN4 AAA AAA/Watch Neg X-1 41161PJP9 AAA AAA/Watch Neg X-2 41161PJQ7 AAA AAA/Watch Neg X-3 41161PJR5 AAA AAA/Watch Neg B-1 41161PJT1 AA+ AA+/Watch Neg B-2 41161PJU8 BB A/Watch Neg B-3 41161PJV6 CCC BBB/Watch Neg Ratings Affirmed Alternative Loan Trust 2003-5T2 Series 2003-13 Class CUSIP Rating ----- ----- ------ A-2 12669EAB2 AAA A-3 12669EAC0 AAA A-4 12669EAD8 AAA A-6 12669EAF3 AAA A-8 12669EAH9 AAA PO 12669EAJ5 AAA M 12669EAL0 AAA B-1 12669EAM8 AA Bear Stearns ALT-A Trust 2004-11 Series 2004-11 Class CUSIP Rating ----- ----- ------ I-A-1 07386HMP3 AAA I-A-2 07386HMQ1 AAA I-M-1 07386HMR9 AA Bear Stearns Asset Backed Securities Trust 2003-AC7 Series 2003-AC7 Class CUSIP Rating ----- ----- ------ A-1 07384YPH3 AAA A-2 07384YPJ9 AAA A-3 07384YPK6 AAA A-4 07384YPL4 AAA M-1 07384YPN0 AA M-2 07384YPP5 A B 07384YPQ3 BBB Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2003-4XS Series 2003-4XS Class CUSIP Rating ----- ----- ------ A-4 251510CE1 AAA A-5 251510CF8 AAA A-6B 251510CT8 AAA M-1 251510CJ0 AA Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2003-2XS Class CUSIP Rating ----- ----- ------ A-4 251510AU7 AAA A-5 251510AV5 AAA A-6 251510AW3 AAA M-1 251510AY9 AA Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-2 Class CUSIP Rating ----- ----- ------ A-4 251563DK5 AAA A-5 251563DL3 AAA A-6 251563DM1 AAA M-1 251563DP4 AA M-2 251563DQ2 A+ DSLA Mortgage Loan Trust 2005-AR6 Series 2005-AR6 Class CUSIP Rating ----- ----- ------ 1A-1B 23332UGJ7 AAA First Horizon Alternative Mortgage Pass-Through Trust 2004-AA1 Series 2004-AA1 Class CUSIP Rating ----- ----- ------ A-1 32051D3G5 AAA A-2 32051D3H3 AAA A-3 32051D3J9 AAA First Horizon Alternative Mortgage Securities Trust 2004-AA2 Series 2004-AA2 Class CUSIP Rating ----- ----- ------ I-A-1 32051D4P4 AAA II-A-1 32051D4S8 AAA B-1 32051D4T6 AA First Horizon Alternative Mortgage Securities Trust 2004-AA4 Series 2004-AA4 Class CUSIP Rating ----- ----- ------ A-1 32051GAA3 AAA First Horizon Alternative Mortgage Securities Trust 2004-AA5 Series 2004-AA5 Class CUSIP Rating ----- ----- ------ I-A-1 32051GBR5 AAA II-A-1 32051GBT1 AAA II-A-2 32051GBU8 AAA B-1 32051GBV6 AA First Horizon Alternative Mortgage Securities Trust 2004-AA6 Series 2004-AA6 Class CUSIP Rating ----- ----- ------ A-1 32051GCB9 AAA A-2 32051GCC7 AAA A-IO 32051GCD5 AAA First Horizon Alternative Mortgage Securities Trust 2004-FA1 Series 2004-FA1 Class CUSIP Rating ----- ----- ------ I-A-1 32051D6Y3 AAA I-A-PO 32051D6Z0 AAA II-A-1 32051D7E6 AAA II-A-PO 32051D7A4 AAA III-A-1 32051D7F3 AAA III-A-PO 32051D7B2 AAA B-1 32051D7G1 AA GSAA Home Equity Trust 2004-10 Series 2004-10 Class CUSIP Rating ----- ----- ------ AF-2 36242DNA7 AAA AF-3 36242DNB5 AAA AF-4 36242DNC3 AAA AF-5 36242DND1 AAA M-1 36242DNE9 AA M-2 36242DNF6 A B-1 36242DNG4 BBB GSAA Home Equity Trust 2004-11 Series 2004-11 Class CUSIP Rating ----- ----- ------ 1A1 36242DQE6 AAA 2A1 36242DQF3 AAA 2A2 36242DQG1 AAA 2A3 36242DQH9 AAA M-1 36242DQJ5 AA GSAA Home Equity Trust 2004-4 Series 2004-4 Class CUSIP Rating ----- ----- ------ A-1 36228F4F0 AAA A-2B 36228F4H6 AAA M-1 36228F4J2 AA+ M-2 36228F4K9 A+ GSAA Home Equity Trust 2004-5 Series 2004-5 Class CUSIP Rating ----- ----- ------ AF-3 36228F5D4 AAA AF-4 36228F5E2 AAA AF-5 36228F5F9 AAA M-1 36228F5H5 AA M-2 36228F5J1 A+ B-1 36228F5K8 BBB+ B-2 36228F5L6 BBB- GSAA Home Equity Trust 2004-6 Series 2004-6 Class CUSIP Rating ----- ----- ------ A-1 36228F7D2 AAA A-2 36228F7E0 AAA M-1 36228F7F7 AA+ GSAA Home Equity Trust 2004-8 Series 2004-8 Class CUSIP Rating ----- ----- ------ A-1 362373AA0 AAA A-2 362373AB8 AAA A-3A 362373AC6 AAA A-3B 362373AL6 AAA M-1 362373AD4 AA GSAA Trust 2004-3 Series 2004-3 Class CUSIP Rating ----- ----- ------ AF-3 36228F3N4 AAA AF-4 36228F3P9 AAA AF-5 36228F3Q7 AAA M-1 36228F3R5 AA M-2 36228F3S3 A B-1 36228F3T1 BBB * S&P Cuts Ratings on 5 Classes From 19 RMBS Transactions to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 74 classes from 19 residential mortgage-backed securities transactions backed by U.S. Alternative-A mortgage loan collateral issued in 2001-2007. S&P removed 28 of the lowered ratings from CreditWatch with negative implications. S&P also affirmed its ratings on 174 classes from 20 of the deals reviewed and removed 11 of these ratings from CreditWatch with negative implications. The downgrades, affirmations, and CreditWatch resolutions incorporate S&P's current and projected losses based on the dollar amounts of loans currently in the transactions' delinquency, foreclosure, and real estate owned pipelines, as well as S&P's projection of future defaults. S&P also incorporated cumulative losses to date in S&P's analysis when assessing rating outcomes. The downgrades 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 are generally low in comparison to S&P's projected lifetime losses for the transactions reviewed, S&P is projecting an increase in losses due to increases in delinquencies and the current negative condition of the housing market. Certain senior classes also benefit from senior support classes that would provide support, to a certain extent, before any applicable losses could affect the super-senior certificates. To maintain a 'AAA' rating, S&P considers whether a bond is able to withstand approximately 150% of S&P's base-case loss assumptions, subject to individual caps and qualitative factors assumed on specific transactions. For a class for which we've affirmed a 'B' rating, S&P consider whether a bond is able to withstand S&P's base-case loss assumptions. Other rating categories are dispersed, approximately equally, between these two loss assumptions. For example, to maintain a 'BB' rating on one class, S&P may consider whether the class is able to withstand approximately 110% of S&P's base-case loss assumptions, while, in connection with a different class, S&P may consider whether it is able to withstand approximately 120% of S&P's base-case loss assumptions to maintain a 'BBB' rating. The affirmations reflect S&P's belief that there is sufficient credit enhancement to support the ratings at their current levels. The subordination of more junior classes within each structure provides credit support for the affected transactions. The collateral backing these deals originally consisted predominantly of Alt-A, first-lien, fixed-rate, adjustable-rate, or negative- amortization residential mortgage loans secured by one- to four- family properties. S&P monitors these transactions to incorporate updated losses and delinquency pipeline performance to assess whether, in S&P's view, the applicable credit enhancement features are sufficient to support the current ratings. S&P will continue to monitor these transactions and take additional rating actions as S&P think appropriate. Rating Actions HarborView Mortgage Loan Trust 2004-2 Series 2004-2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 41161PDR1 CCC BBB B-4 41161PDS9 CC BB Harborview Mortgage Loan Trust 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 41161PEB5 CCC BBB B-4 41161PEN9 CCC BB Impac Secured Assets Corp. Series 2001-8 Rating ------ Class CUSIP To From ----- ----- -- ---- A-6 45254TJZ8 AAA AAA/Watch Neg M-3 45254TKH6 CCC BBB Impac Secured Assets Corp. Series 2003-2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 45254TND2 CCC BB IndyMac INDX Mortgage Loan Trust 2004-AR11 Series 2004-11 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 45660N6Q3 AAA AAA/Watch Neg 2-A 45660N6S9 AAA AAA/Watch Neg 2-X 45660N6T7 AAA AAA/Watch Neg B-1 45660N6Z3 AA+ AA+/Watch Neg B-2 45660N7A7 CCC A/Watch Neg B-3 45660N7B5 CC BBB/Watch Neg IndyMac INDX Mortgage Loan Trust 2006-AR29 Series 2006-AR29 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 45662DAA3 CCC AAA/Watch Neg A-2 45662DAB1 BB AAA/Watch Neg A-3 45662DAC9 CCC A/Watch Neg A-4 45662DAD7 CCC A/Watch Neg A-5 45662DAE5 CC B/Watch Neg M-1 45662DAG0 CC CCC M-2 45662DAH8 CC CCC M-3 45662DAJ4 CC CCC M-4 45662DAK1 CC CCC M-5 45662DAL9 CC CCC IndyMac INDX Mortgage Loan Trust 2006-AR41 Series 2006-AR41 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 45668NAA5 B AAA/Watch Neg A-2 45668NAB3 CC A/Watch Neg A-3 45668NAC1 CC A/Watch Neg A-4 45668NAD9 CC B/Watch Neg M-1 45668NAF4 CC CCC M-2 45668NAG2 CC CCC M-4 45668NAJ6 D CC IndyMac INDX Mortgage Loan Trust 2006-AR6 Series 2006-AR6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1A 456612AA8 B AAA/Watch Neg 1-A-1B 456612AB6 CCC B 2-A-1B 456612AD2 CCC AAA/Watch Neg 2-A-1C 456612AE0 CCC B M-1 456612AF7 CC CCC M-2 456612AG5 CC CCC M-3 456612AH3 CC CCC M-4 456612AJ9 CC CCC M-5 456612AK6 CC CCC M-6 456612AL4 D CCC M-7 456612AM2 D CCC Lehman ABS Corp. Series 2003-1 Rating ------ Class CUSIP To From ----- ----- -- ---- M3 525170BP0 CC BBB Lehman XS Trust 2007-11 Series 2007-11 Rating ------ Class CUSIP To From ----- ----- -- ---- A1 525249AA6 CC B/Watch Neg A2 525249AB4 CC B/Watch Neg A3 525249AC2 CCC BBB- A4 525249AD0 CC B/Watch Neg A5 525249AE8 CC CCC M1 525249AG3 CC CCC M2 525249AH1 D CCC Manufacturers and Traders Trust Company Mortgage Trust 2002-1 Series 2002-1 Rating ------ Class CUSIP To From ----- ----- -- ---- B4 564760BE5 A AA MASTR Adjustable Rate Mortgages Trust 2003-3 Series 2003-3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 576433EK8 BBB A B-3 576433EL6 CCC BB B-4 576433EM4 CC B B-5 576433EN2 CC CCC MASTR Adjustable Rate Mortgages Trust 2004-12 Series 2004-12 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 576433TN6 AAA AAA/Watch Neg 2-A-1 576433TP1 AAA AAA/Watch Neg 3-A-1 576433TQ9 AAA AAA/Watch Neg 4-A-1 576433TR7 AAA AAA/Watch Neg 5-A-1 576433UC8 AAA AAA/Watch Neg A-C-1 576433TS5 AAA AAA/Watch Neg B-1 576433TU0 A AA/Watch Neg B-2 576433TV8 CCC A-/Watch Neg B-3 576433TW6 CC BBB/Watch Neg MASTR Alternative Loan Trust 2003-2 Series 2003-2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 576434DP6 CCC B MASTR Alternative Loan Trust 2004-1 Series 2004-1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 576434MF8 CCC BB B-5 576434MG6 CC B MASTR Alternative Loan Trust 2004-10 Series 2004-10 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 576434WP5 B A B-3 576434WQ3 CC BBB B-4 576434WR1 CC BB B-5 576434WS9 CC CCC Terwin Mortgage Trust 2004-15ALT Series 2004-15ALT Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 881561GW8 CC B Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 93936LAA5 CC BBB/Watch Neg A-2 93936LAB3 CC BBB/Watch Neg A-3 93936LAC1 CC BBB/Watch Neg A-4 93936LAD9 CC B-/Watch Neg A-5 93936LAE7 CC CCC M-1 93936LAF4 CC CCC M-2 93936LAG2 D CCC Washington Mutual Mortgage Pass-Through Certificates WMALT Series WMALT 2007-HY1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 93936AAA9 CC B+/Watch Neg A-2A 93936AAB7 CCC BB/Watch Neg A-2B 93936AAC5 CC B/Watch Neg A-3A 93936AAD3 CCC BB/Watch Neg A-3B 93936AAE1 CC B/Watch Neg M-1 93936AAF8 CC CCC M-2 93936AAG6 CC CCC Ratings Affirmed HarborView Mortgage Loan Trust 2004-2 Series 2004-2 Class CUSIP Rating ----- ----- ------ 1A-1 41161PDK6 AAA 2A-1 41161PDL4 AAA AX 41161PDM2 AAA B-1 41161PDP5 AA+ B-2 41161PDQ3 A+ Harborview Mortgage Loan Trust 2004-4 Series 2004-4 Class CUSIP Rating ----- ----- ------ 1-A 41161PDV2 AAA 2-A 41161PDW0 AAA 3-A 41161PEM1 AAA X-1 41161PDX8 AAA X-2 41161PFN8 AAA B-1 41161PDZ3 AA+ B-2 41161PEA7 A+ Impac Secured Assets Corp. Series 2001-8 Class CUSIP Rating ----- ----- ------ A-7 45254TKA1 AAA A-IO 45254TKB9 AAA A-PO 45254TKC7 AAA M-1 45254TKF0 AAA M-2 45254TKG8 AA Impac Secured Assets Corp. Series 2003-2 Class CUSIP Rating ----- ----- ------ A-1 45254TMS0 AAA A-2 45254TMT8 AAA A-3 45254TMU5 AAA A-4 45254TMV3 AAA A-IO 45254TMW1 AAA A-PO 45254TMX9 AAA M-1 45254TMZ4 AA M-2 45254TNA8 A+ M-3 45254TNB6 BBB+ IndyMac INDX Mortgage Loan Trust 2006-AR29 Series 2006-AR29 Class CUSIP Rating ----- ----- ------ P-1 45662DAR6 AAA P-2 45662DAS4 AAA IndyMac INDX Mortgage Loan Trust 2006-AR41 Series 2006-AR41 Class CUSIP Rating ----- ----- ------ P-1 45668NAN7 AAA P-2 45668NAP2 AAA IndyMac INDX Mortgage Loan Trust 2006-AR6 Series 2006-AR6 Class CUSIP Rating ----- ----- ------ 2-A-1A 456612AC4 AAA Lehman ABS Corp. Series 2003-1 Class CUSIP Rating ----- ----- ------ A1 525170BL9 AAA M1 525170BM7 AA M2 525170BN5 A Manufacturers and Traders Trust Company Mortgage Trust 2002-1 Series 2002-1 Class CUSIP Rating ----- ----- ------ A1 564760AA4 AAA A2 564760AB2 AAA A3 564760AC0 AAA A4 564760AD8 AAA A5 564760AE6 AAA A6 564760AF3 AAA A7 564760AG1 AAA A8 564760AH9 AAA A9 564760AJ5 AAA A10 564760AK2 AAA A11 564760AL0 AAA A12 564760AM8 AAA A13 564760AN6 AAA A14 564760AP1 AAA A15 564760AQ9 AAA A16 564760AR7 AAA A17 564760AS5 AAA A18 564760AT3 AAA A19 564760AU0 AAA A20 564760AV8 AAA A21 564760AW6 AAA A22 564760AX4 AAA A23 564760AY2 AAA A24 564760AZ9 AAA A25 564760BA3 AAA B1 564760BB1 AAA B2 564760BC9 AAA B3 564760BD7 AAA Manufacturers and Traders Trust Company Mortgage Trust 2003-1 Series 2003-1 Class CUSIP Rating ----- ----- ------ A1 564760BH8 AAA A2 564760BJ4 AAA A-3 564760BK1 AAA A4 564760BL9 AAA A5 564760BM7 AAA A6 564760BN5 AAA A7 564760BP0 AAA A8 564760BQ8 AAA A9 564760BR6 AAA A10 564760BS4 AAA A11 564760BT2 AAA B-1 564760BU9 AA B-2 564760BV7 A B-3 564760BW5 BBB B-4 564760BX3 BB MASTR Adjustable Rate Mortgages Trust 2003-3 Series 2003-3 Class CUSIP Rating ----- ----- ------ 1-A-1 576433DY9 AAA 2-A-1 576433DZ6 AAA 3-A-4 576433EE2 AAA 3-A-X 576433EF9 AAA 4-A-1 576433EG7 AAA B-1 576433EJ1 AA MASTR Alternative Loan Trust 2002-1 Series 2002-1 Class CUSIP Rating ----- ----- ------ A-1 576434AA2 AAA A-2 576434AB0 AAA A-5 576434AE4 AAA A-PO 576434AF1 AAA A-X 576434AH7 AAA B-1 576434AJ3 AAA B-2 576434AK0 AAA B-3 576434AL8 AAA MASTR Alternative Loan Trust 2002-2 Series 2002-2 Class CUSIP Rating ----- ----- ------ 1-A-1 576434AU8 AAA 2-A-1 576434AX2 AAA A-X-1 576434BA1 AAA PO-1 576434BB9 AAA A-X-2 576434BE3 AAA PO-2 576434BC7 AAA B-1 576434BF0 AAA B-2 576434BG8 AAA B-3 576434BH6 AA+ MASTR Alternative Loan Trust 2003-2 Series 2003-2 Class CUSIP Rating ----- ----- ------ 1-A-1 576434CU6 AAA 2-A-1 576434CW2 AAA 3-A-1 576434CX0 AAA 4-A-1 576434CY8 AAA 5-A-1 576434CZ5 AAA 6-A-1 576434DA9 AAA 6-A-3 576434DC5 AAA 6-A-4 576434DD3 AAA 6-A-IO 576434DR2 AAA 6-A-PO 576434DS0 AAA 15-AX 576434DF8 AAA 15-PO 576434DG6 AAA 30-A-X 576434DH4 AAA 30-PO 576434DJ0 AAA B-1 576434DK7 AAA B-2 576434DL5 AA B-3 576434DM3 A B-4 576434DN1 BB MASTR Alternative Loan Trust 2003-3 Series 2003-3 Class CUSIP Rating ----- ----- ------ 1-A-1 576434DT8 AAA 2-A-1 576434DV3 AAA 2-A-2 576434DW1 AAA 2-A-5 576434DZ4 AAA 2-PO 576434EA8 AAA B-1 576434EC4 AAA B-2 576434ED2 AAA B-3 576434EE0 AA B-4 576434EF7 A- B-5 576434EG5 B MASTR Alternative Loan Trust 2004-1 Series 2004-1 Class CUSIP Rating ----- ----- ------ 1-A-1 576434LR3 AAA 1-A-2 576434LS1 AAA 2-A-1 576434LT9 AAA 3-A-1 576434LU6 AAA 4-A-1 576434LV4 AAA 15-PO 576434LW2 AAA 30-PO 576434LX0 AAA 15-AX 576434LY8 AAA 30-AX 576434LZ5 AAA B-1 576434MC5 AA B-2 576434MD3 A B-3 576434ME1 BBB MASTR Alternative Loan Trust 2004-10 Series 2004-10 Class CUSIP Rating ----- ----- ------ 1-A-1 576434VU5 AAA 2-A-1 576434VV3 AAA 3-A-1 576434VW1 AAA 4-A-1 576434VX9 AAA 5-A-1 576434VY7 AAA 5-A-2 576434VZ4 AAA 5-A-3 576434WA8 AAA 5-A-4 576434WB6 AAA 5-A-5 576434WC4 AAA 5-A-6 576434WD2 AAA 5-A-7 576434WE0 AAA 15-PO 576434WF7 AAA 30-PO 576434WG5 AAA 15-AX-1 576434WH3 AAA 15-AX-2 576434WJ9 AAA 30-AX 576434WK6 AAA B-1 576434WN0 AA Terwin Mortgage Trust 2004-15ALT Series 2004-15ALT Class CUSIP Rating ----- ----- ------ A-1 881561GQ1 AAA A-X 881561GR9 AAA B-1 881561GS7 AA B-2 881561GT5 A B-3 881561GU2 BBB B-4 881561GV0 BB * S&P Cuts Ratings on Five Tranches From Four CLO Deals to Low-B ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six tranches from four U.S. cash flow collateralized loan obligation transactions. At the same time, S&P removed four of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed S&P's ratings on 11 additional classes from the same four deals. The six lowered U.S. cash flow CLO tranches have a total issuance amount $147.5 million. The CLO downgrades reflect a number of factors that include: -- An increase in defaulted assets in the transaction's collateral pools; -- Deterioration in the overall credit quality of the performing assets within respective CLO collateral pools. An increase in downgrades of speculative-grade U.S. companies has resulted in an increase in the proportion of 'CCC' and 'CC' rated assets in the underlying portfolios held within CLO collateral pools; and -- An increase in the percentage of assets in the collateral pool with ratings currently on CreditWatch negative, as a forward-looking indicator of potential corporate rating actions that will affect the assets in the CLO collateral pools. Standard & Poor's will continue to review whether the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as S&P deem necessary. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Carlyle High Yield Partners IV Ltd C-1 B+/Watch Neg BBB+/Watch Neg Carlyle High Yield Partners IV Ltd C-2 B+/Watch Neg BBB+/Watch Neg Green Lane CLO Ltd C BB+ BBB/Watch Neg Jersey Street CLO Ltd C BBB A/Watch Neg Jersey Street CLO Ltd D BB- BBB/Watch Neg LightPoint CLO III Ltd C BB BBB/Watch Neg Ratings Affirmed Transaction Class Rating ----------- ----- ------ Carlyle High Yield Partners IV Ltd A-1 AAA Carlyle High Yield Partners IV Ltd A-2 AAA Carlyle High Yield Partners IV Ltd A-3 AAA Green Lane CLO Ltd A-1 AAA Green Lane CLO Ltd A-2 AAA Green Lane CLO Ltd B A Jersey Street CLO Ltd A AAA Jersey Street CLO Ltd B AA LightPoint CLO III Ltd A-1A AAA LightPoint CLO III Ltd A-1B AAA LightPoint CLO III Ltd B A+ Other Outstanding Rating Transaction Class Rating ----------- ----- ------ Carlyle High Yield Partners IV Ltd B A-/Watch Neg & of % assets on Transaction defaulted assets Watch Neg. ----------- ---------------- ----------- Carlyle High Yield Partners IV Ltd 7.76 4.76 Green Lane CLO Ltd 5.18 2.66 Jersey Street CLO Ltd 3.91 2.10 LightPoint CLO III Ltd 7.78 6.04 * According to S&P database, as of most recent available report. * S&P Downgrades Ratings on 104 Classes From Eight Alt-A RMBS ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 104 classes from eight U.S. Alternative-A residential mortgage-backed securities transactions issued in 2005 and 2006. S&P removed 49 of the lowered ratings from CreditWatch with negative implications. Additionally, S&P affirmed its ratings on 45 classes from four of these transactions and removed one of the affirmed ratings from CreditWatch negative. The downgrades, affirmations, and CreditWatch resolutions incorporate S&P's current and projected losses based on the dollar amounts of loans currently in the transactions' delinquency, foreclosure, and real estate owned pipelines, as well as S&P's projection of future defaults. S&P also incorporated cumulative losses to date in S&P's analysis when assessing rating outcomes. S&P derived its loss assumptions using S&P's criteria found in the "Related Research" section. As part of S&P's analysis, S&P considered the characteristics of the underlying mortgage collateral as well as macroeconomic influences. For example, the risk profile of the underlying mortgage pools influences S&P's default projections, while S&P's outlook for housing price declines and the health of the housing market influence S&P's loss severity assumptions. Furthermore, S&P adjusted its loss expectations for each deal based on upward trends in delinquencies. Standard & Poor's has established loss projections for each Alternative-A transaction rated in 2005 and 2006 based on a forward-looking default curve. S&P's lifetime projected losses for the transactions in this release where the loss projections have changed are: Original Loss Transaction bal. (mil. $) proj. (%) ----------- ------------- --------- Alternative Loan Trust 2005-23CB 724.0 1.78 Alternative Loan Trust 2005-64CB 849.4 4.55 RALI Series 2005-QS12 528.9 4.63 RALI Series 2006-QO8 1300.4 36.41 To maintain a 'AAA' rating, S&P considers whether a class in an Alt-A transaction is able to withstand approximately 150% of S&P's base-case loss assumptions, subject to individual caps and qualitative factors assumed on specific transactions. For a class for which we've affirmed a 'B' rating, S&P considers whether a bond is able to withstand S&P's base-case loss assumption. Other rating categories are dispersed, approximately equally, between these two loss assumptions. For example, to maintain a 'BB' rating on one class, S&P may consider whether the class is able to withstand approximately 110% of S&P's base-case loss assumptions, while, in connection with a different class, S&P may consider whether it is able to withstand approximately 120% of S&P's base- case loss assumptions to maintain a 'BBB' rating. The 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, given out current projected losses. The affirmations reflect S&P's belief that there is sufficient credit enhancement to support the ratings at their current levels. Certain senior classes also benefit from senior-support classes that would provide support to a certain extent before any applicable losses could affect the super-senior certificates. The subordination of classes within each structure provides credit support for the affected transactions. The collateral backing these deals originally consisted predominantly of Alt-A, first-lien, fixed-rate, adjustable-rate, or negative-amortization residential mortgage loans secured by one- to four-family properties. S&P monitors these transactions to incorporate updated losses and delinquency pipeline performance to assess whether, in S&P's view, the applicable credit enhancement features are sufficient to support the current ratings. S&P will continue to monitor these transactions and take additional rating actions as S&P deem appropriate. Rating Actions Alternative Loan Trust 2005-23CB Series 2005-23CB Rating ------ Class CUSIP To From ----- ----- -- ---- M 12667GLT8 BB AA B-1 12667GLU5 CCC A/Watch Neg B-2 12667GLV3 CC BBB/Watch Neg B-3 12667GLW1 CC BB/Watch Neg B-4 12667GLX9 CC B/Watch Neg Alternative Loan Trust 2005-64CB Series 2005-64CB Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12668AZL2 B+ AA/Watch Neg 1-A-2 12668AZM0 B AA/Watch Neg 1-A-3 12668AZN8 B AA/Watch Neg 1-A-4 12668AZP3 B AA/Watch Neg 1-A-5 12668AZQ1 B AA/Watch Neg 1-A-6 12668AZR9 B AA/Watch Neg 1-A-8 12668AZT5 B AA/Watch Neg 1-A-9 12668AZU2 B AA/Watch Neg 1-A-10 12668AZV0 B AA/Watch Neg 1-A-11 12668AZW8 B AA/Watch Neg 1-A-12 12668AZX6 B AA/Watch Neg 1-A-13 12668AZY4 B AA 1-A-14 12668AZZ1 B AA/Watch Neg 1-A-16 12668AA39 B AA/Watch Neg 1-A-17 12668AA47 B AA/Watch Neg 1-A-18 12668AA54 B AA/Watch Neg 2-A-1 12668AA62 B AA/Watch Neg 2-X 12668AA96 B AA 3-A-1 12668AA70 B AA/Watch Neg 3-X 12668AF26 B AA PO 12668AB20 B AA/Watch Neg B-1 12668AB53 CC CCC Alternative Loan Trust 2006-31CB Series 2006-31CB Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 02148HAA9 CC B A-2 02148HAB7 CC B A-3 02148HAC5 CCC BB A-4 02148HAD3 CCC BB A-5 02148HAE1 CC B A-6 02148HAF8 CC B A-7 02148HAG6 CC B A-8 02148HAH4 CCC BB A-9 02148HAJ0 CCC BB A-10 02148HAK7 CCC BB A-11 02148HAL5 CC B A-12 02148HAM3 CC B A-14 02148HAP6 CC B A-15 02148HAQ4 CC B A-16 02148HAR2 CCC BB A-18 02148HAT8 CC B A-19 02148HAU5 AA AAA A-20 02148HAV3 CC B A-21 02148HAW1 CC B A-22 02148HBG5 CCC BB X 02148HBF7 AA AAA PO 02148HAX9 CC B Alternative Loan Trust 2006-36T2 Series 2006-36T2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 02146XBL1 CCC BBB/Watch Neg 1-A-2 02146XAA6 CCC BBB 1-A-3 02146XAB4 CC B+/Watch Neg 1-A-4 02146XAC2 CC B+/Watch Neg 1-A-5 02146XAD0 CC B/Watch Neg 1-A-6 02146XAE8 CC B/Watch Neg 1-A-7 02146XAF5 CCC BBB/Watch Neg 1-A-8 02146XAG3 CC B/Watch Neg 1-A-9 02146XAH1 CC B/Watch Neg 1-A-10 02146XAJ7 CC B/Watch Neg 1-A-11 02146XAK4 CC B/Watch Neg 1-A-12 02146XAL2 CC B/Watch Neg 1-A-13 02146XAM0 CC B/Watch Neg 1-A-14 02146XAN8 CC B/Watch Neg 1-A-15 02146XAP3 CC B/Watch Neg 1-A-16 02146XAQ1 CC B/Watch Neg 1-X 02146XAR9 CCC BBB 2-A-1 02146XAS7 CC B/Watch Neg 2-A-2 02146XAT5 CC B/Watch Neg 2-A-3 02146XAU2 CC B/Watch Neg 2-A-4 02146XAV0 CCC B+/Watch Neg 2-A-5 02146XAW8 CC B/Watch Neg 2-A-6 02146XAX6 CC B/Watch Neg 2-A-7 02146XAY4 CC B 2-A-8 02146XAZ1 CC B/Watch Neg 2-X 02146XBA5 CCC B+ PO 02146XBB3 CC B/Watch Neg M-1 02146XBD9 CC CCC M-2 02146XBE7 CC CCC MASTR Alternative Loan Trust 2005-3 Series 2005-3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 576434P57 AA AA/Watch Neg B-2 576434P65 B A/Watch Neg B-3 576434P73 CCC BBB/Watch Neg B-4 576434P81 CC BB/Watch Neg B-5 576434P99 CC CCC RALI Grantor Trust 1-A1A, Series 2006-QO8 Series 2006-QO8 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A1A 75115FAA8 CCC AAA/Watch Neg RALI Series 2005-QS12 Series 2005-QS12 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 761118DN5 BB AAA A-5 761118DS4 BB AAA A-7 761118DU9 A AAA A-8 761118DV7 BB AAA A-9 761118DW5 BB AAA A-10 761118DX3 BB AAA A-11 761118DY1 BB AAA A-14 761118EB0 B AAA A-P 761118EC8 B AAA A-13 761118EA2 BB AAA RALI Series 2006-QO8 Trust Series 2006-QO8 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A1AU 75115FAU4 CCC B I-A1B 75115FAB6 CC CCC I-A2AU 75115FAV2 CC CCC I-A3A 75115FAD2 CCC B I-A3B 75115FAE0 CC CCC I-A4A 75115FAQ3 CC CCC I-A4B 75115FAR1 CC CCC I-A5AU 75115FAW0 CC CCC I-AX 75115FAX8 CCC B II-A 75115FAT7 CC CCC II-AX 75115FAY6 CC CCC Ratings Affirmed Alternative Loan Trust 2005-23CB Series 2005-23CB Class CUSIP Rating ----- ----- ------ A-1 12667GLB7 AAA A-2 12667GLC5 AAA A-3 12667GLD3 AAA A-4 12667GLE1 AAA A-5 12667GLF8 AAA A-6 12667GLG6 AAA A-7 12667GLH4 AAA A-8 12667GLJ0 AAA A-9 12667GLK7 AAA A-10 12667GLL5 AAA A-11 12667GLM3 AAA A-12 12667GLN1 AAA A-13 12667GLP6 AAA A-14 12667GLQ4 AAA A-15 12667GMY6 AAA A-16 12667GMX8 AAA PO 12667GLR2 AAA Alternative Loan Trust 2005-64CB Series 2005-64CB Class CUSIP Rating ----- ----- ------ 1-A-7 12668AZS7 AAA 1-A-15 12668AA21 AAA 1-X 12668AA88 AAA M 12668AB46 CCC MASTR Alternative Loan Trust 2005-3 Series 2005-3 Class CUSIP Rating ----- ----- ------ 1-A-1 576434L93 AAA 1-A-2 576434M27 AAA 1-A-3 576434M35 AAA 1-A-4 576434M43 AAA 2-A-1 576434M50 AAA 3-A-1 576434M68 AAA 4-A-1 576434M76 AAA 5-A-1 576434M84 AAA 6-A-1 576434N26 AAA 6-A-2 576434N34 AAA 6-A-3 576434N42 AAA 6-A-4 576434N59 AAA 7-A-1 576434N67 AAA A-X-1 576434N91 AAA A-X-2 576434P24 AAA 15-PO 576434P32 AAA 30-PO 576434P40 AAA 5-A-2 576434M92 AAA RALI Series 2005-QS12 Series 2005-QS12 Class CUSIP Rating ----- ----- ------ A-2 761118DP0 AAA A-3 761118DQ8 AAA A-4 761118DR6 AAA A-12 761118DZ8 AAA A-V 761118ED6 AAA * S&P Downgrades Ratings on 116 Classes From 20 Alt-A RMBS Deals ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 116 classes from 20 U.S. Alternative-A residential mortgage-backed securities transactions issued from 2003 to 2007. S&P removed 102 of the lowered ratings from CreditWatch with negative implications. Concurrently, S&P affirmed its ratings on 117 other classes of certificates from the downgraded transactions and removed 17 of the affirmed ratings from CreditWatch with negative implications. To assess the creditworthiness of each class from the deals with outstanding subordinate bonds, 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 class, S&P may consider whether it is able to withstand approximately 120% of S&P's base-case loss assumptions to maintain a 'BBB' rating. The subordination of more-junior classes within each structure provides credit support for the affected transactions. 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- 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 (REO) pipelines, as well as S&P's projection of future defaults. S&P also incorporated cumulative losses to date in S&P's analysis when determining rating outcomes. S&P monitors these transactions to incorporate updated losses and delinquency pipeline performance to assess whether, in S&P's view, the applicable credit enhancement features are sufficient to support the current ratings. S&P will continue to monitor these transactions and take additional rating actions as S&P think appropriate. Rating Actions Banc of America Alternative Loan Trust 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 30-B-3 05948KQD4 B BBB 30-B-4 05948KQV4 CCC BB 30-B-5 05948KQW2 CC B+ Banc of America Alternative Loan Trust 2004-7 Series 2004-7 Rating ------ Class CUSIP To From ----- ----- -- ---- 30-B-4 05949AMU1 CCC BB 30-B-5 05949AMV9 CC B Citigroup Mortgage Loan Trust 2003-HYB1 Series 2003-HYB1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 79549AYK9 B BBB B-4 79549AYL7 CCC BB B-5 79549AYM5 CC B Citigroup Mortgage Loan Trust Series 2004-HYB2 Series 2004-HYB2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 CCC BB B-5 CC B CitiGroup Mortgage Loan Trust Series 2003-UP2 Series 2003-UP2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 79549AYE3 CCC B Credit Suisse First Boston Mortgage Securities Corp. Series 2003-21 Rating ------ Class CUSIP To From ----- ----- -- ---- III-B-4 22541QQY1 B BB III-B-5 22541QQZ8 CC B- D-B-3 22541QQS4 CCC BBB- RALI Series 2005-QA10 Trust Series 2005-QA10 Rating ------ Class CUSIP To From ----- ----- -- ---- A-I-1 761118GB8 B AAA/Watch Neg A-I-2 761118GK8 B AAA/Watch Neg A-II-1 761118GC6 B AAA/Watch Neg A-II-2 761118GL6 CCC AAA/Watch Neg A-III-1 761118GD4 B AAA/Watch Neg A-III-2 761118GM4 CCC AAA/Watch Neg A-IV-1 761118GE2 B AAA/Watch Neg A-IV-2 761118GN2 CCC AAA/Watch Neg M-1 761118GG7 CC AA/Watch Neg RALI Series 2005-QA11 Trust Series 2005-QA11 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 761118LH9 CCC AAA/Watch Neg I-A-IO 761118LJ5 CCC AAA/Watch Neg II-A-1 761118LK2 CCC AAA/Watch Neg III-A-1 761118LL0 CCC AAA/Watch Neg IV-A-1 761118LM8 B AAA/Watch Neg IV-A-2 761118LN6 CCC AAA/Watch Neg V-A-1 761118LP1 CCC AAA/Watch Neg VI-A-1 761118LQ9 CCC AAA/Watch Neg M-1 761118LU0 CC A/Watch Neg RALI Series 2005-QA9 Trust Series 2005-QA9 Rating ------ Class CUSIP To From ----- ----- -- ---- CB-I-1 761118FG8 B AAA/Watch Neg CB-I-2 761118FH6 CCC AAA/Watch Neg NB-II-1 761118FJ2 B AAA/Watch Neg NB-II-2 761118FK9 CCC AAA/Watch Neg CB-III 761118FL7 CCC AAA/Watch Neg NB-IV-1 761118FM5 B AAA/Watch Neg NB-IV-2 761118FN3 CCC AAA/Watch Neg M-1 761118FQ6 CC AA/Watch Neg RALI Series 2005-QO2 Trust Series 2005-QO2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 761118HU5 AAA AAA/Watch Neg A-2 761118HV3 B AAA/Watch Neg A-3 761118HW1 CCC AAA/Watch Neg X 761118HX9 AAA AAA/Watch Neg M-1 761118JA7 CC AA+/Watch Neg M-2 761118JB5 CC A+/Watch Neg RALI Series 2005-QO3 Trust Series 2005-QO3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 761118KU1 AAA AAA/Watch Neg A-2 761118KV9 B AAA/Watch Neg A-3 761118KW7 CCC AAA/Watch Neg X 761118KX5 AAA AAA/Watch Neg M-1 761118LA4 CC AA/Watch Neg M-2 761118LB2 CC A/Watch Neg RALI Series 2005-QO5 Trust Series 2005-QO5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 761118QM3 BB AAA/Watch Neg A-2 761118QN1 B AAA/Watch Neg A-3 761118QP6 CCC AAA/Watch Neg X 761118QQ4 BB AAA/Watch Neg P 761118RF7 AAA AAA/Watch Neg M-1 761118QT8 CC AA+/Watch Neg M-2 761118QU5 CC AA/Watch Neg M-3 761118QV3 CC AA-/Watch Neg M-4 761118QW1 CC A+/Watch Neg M-5 761118QX9 CC A/Watch Neg M-6 761118QY7 CC A-/Watch Neg RALI Series 2006-QA3 Trust Series 2006-QA3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 75114RAD7 CCC AAA/Watch Neg A-2 75114RAE5 CCC AAA/Watch Neg A-3 75114RAF2 CCC AAA/Watch Neg M-1 75114RAG0 CC A/Watch Neg RALI Series 2006-QA7 Trust Series 2006-QA7 Rating ------ Class CUSIP To From ----- ----- -- ---- II-A-1 751152AB5 CC BBB/Watch Neg Residential Asset Securitization Trust Series 2004-IndyPort1 Series 2004-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 45660NYL3 AAA AAA/Watch Neg A-1X 45660NYM1 AAA AAA/Watch Neg B-1 45660NYP4 CCC AA/Watch Neg B-1X 45660NYQ2 CCC AA/Watch Neg B-2 45660NYR0 CCC A+/Watch Neg B-3 45660NYS8 CC BBB/Watch Neg Structured Adjustable Rate Mortgage Loan Trust Series 2005-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 863579MP0 A AAA/Watch Neg 1-A2 863579MQ8 BB AAA/Watch Neg 2-A 863579MR6 BB AAA/Watch Neg 3-A1 863579MS4 AAA AAA/Watch Neg 3-A2 863579MT2 BB AAA/Watch Neg 3-AX 863579MU9 AAA AAA/Watch Neg 4-A 863579MW5 BB AAA/Watch Neg 5-A 863579MX3 BB AAA/Watch Neg 6-A1 863579MY1 AAA AAA/Watch Neg 6-A2 863579MZ8 AAA AAA/Watch Neg 6-A3 863579NA2 AAA AAA/Watch Neg 6-AX1 863579NB0 AAA AAA/Watch Neg 6-AX2 863579NC8 AAA AAA/Watch Neg B1-II 863579NH7 BBB AA+/Watch Neg B2-II 863579NJ3 CCC AA/Watch Neg B3-II 863579NK0 CCC A+/Watch Neg B2-I 863579NE4 CC A-/Watch Neg B4-II 863579NL8 CC A-/Watch Neg BX-II 863579NN4 CC A-/Watch Neg B3-I 863579NF1 CC BBB/Watch Neg B4-I 863579NG9 CC BBB-/Watch Neg 3-PAX 863579MV7 AAA AAA/Watch Neg B1-I 863579ND6 CC AA-/Watch Neg Structured Adjustable Rate Mortgage Loan Trust Series 2005-22 Series 2005-22 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 863579F45 CCC AAA/Watch Neg 1-A2 863579F52 B AAA/Watch Neg 1-A3 863579F60 CCC AAA/Watch Neg 1-A4 863579J90 B AAA/Watch Neg 1-A5 863579K23 CCC AAA/Watch Neg 1-AX 863579F78 B AAA/Watch Neg 1-PAX 863579F86 B AAA/Watch Neg 2-A1 863579F94 BB AAA/Watch Neg 2-A2 863579G28 CCC AAA/Watch Neg 3-A1 863579G36 B AAA/Watch Neg 3-A2 863579G44 CCC AAA/Watch Neg 4-A1 863579G51 B AAA/Watch Neg 4-A2 863579G69 CCC AAA/Watch Neg 5-A1 863579G77 B AAA/Watch Neg 5-A2 863579G85 CCC AAA/Watch Neg B1-I 863579G93 CC AA/Watch Neg B1-II 863579H68 CC AA/Watch Neg B2-II 863579H76 CC A/Watch Neg B3-II 863579H84 D BBB/Watch Neg Structured Adjustable Rate Mortgage Loan Trust Series 2007-10 Series 2007-10 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 86364PAA1 B AAA/Watch Neg 1-A2 86364PAB9 CCC AAA/Watch Neg 1-AX 86364PAC7 B AAA/Watch Neg 1-AP 86364PAY9 AAA AAA/Watch Neg M-1 86364PAG8 CC AA+/Watch Neg M-2 86364PAH6 CC AA/Watch Neg M-3 86364PAJ2 CC AA-/Watch Neg M-4 86364PAK9 CC A/Watch Neg M-5 86364PAL7 CC A-/Watch Neg M-6 86364PAM5 D BBB/Watch Neg 2-A1 86364PAD5 CCC AAA/Watch Neg 2-A2 86364PAE3 CCC AAA/Watch Neg 2-AX 86364PAF0 CCC AAA/Watch Neg 2-AP 86364PAZ6 AAA AAA/Watch Neg 2-B1 86364PAP8 CC AA/Watch Neg 2-B2 86364PAQ6 CC A/Watch Neg 2-B3 86364PAR4 CC BBB/Watch Neg Ratings Affirmed Banc of America Alternative Loan Trust 2004-4 Series 2004-4 Class CUSIP Rating ----- ----- ------ 1-A-1 05948KPH6 AAA 2-A-1 05948KPM5 AAA 3-A-1 05948KPN3 AAA CB-IO 05948KPP8 AAA 4-A-1 05948KPQ6 AAA 4-A-2 05948KPR4 AAA 4-A-3 05948KPS2 AAA 4-A-4 05948KPT0 AAA 4-A-5 05948KPU7 AAA 4-IO 05948KPV5 AAA 30-B-IO 05948KQA0 AAA 30-B-1 05948KQB8 AA 30-B-2 05948KQC6 A Banc of America Alternative Loan Trust 2004-7 Series 2004-7 Class CUSIP Rating ----- ----- ------ 1-A-1 05949ALX6 AAA 2-A-1 05949AMA5 AAA 2-A-2 05949AMB3 AAA CB-IO 05949AMC1 AAA 3-A-1 05949AMD9 AAA 3-A-2 05949AME7 AAA 3-A-3 05949AMF4 AAA 3-A-4 05949AMG2 AAA 3-IO 05949AMH0 AAA X-PO 05949AML1 AAA 30-B-1 05949AMN7 AA 30-B-2 05949AMP2 A 30-B-3 05949AMQ0 BBB 4-A-1 05949AMJ6 AAA 5-A-1 05949AMK3 AAA 15-PO 05949AMM9 AAA 15-IO 05949ANA4 AAA Citigroup Mortgage Loan Trust 2003-HYB1 Series 2003-HYB1 Class CUSIP Rating ----- ----- ------ A 79549AYG8 AAA B-1 79549AYH6 AA B-2 79549AYJ2 A Citigroup Mortgage Loan Trust Series 2004-HYB2 Series 2004-HYB2 Class CUSIP Rating ----- ----- ------ I-A 17307GEB0 AAA II-A 17307GEC8 AAA III-A 17307GED6 AAA IV-A 17307GEE4 AAA B-1 17307GEF1 AA B-2 17307GEG9 A B-3 17307GEH7 BBB CitiGroup Mortgage Loan Trust Series 2003-UP2 Series 2003-UP2 Class CUSIP Rating ----- ----- ------ A-1 79549AXP9 AAA S-1 79549AXQ7 AAA IO-1 79549AXR5 AAA PO-1 79549AXS3 AAA A-2 79549AXT1 AAA A-4 79549AXV6 AAA S-2 79549AXW4 AAA IO-2 79549AXX2 AAA PO-2 79549AXY0 AAA B-1 79549AXZ7 AA+ B-2 79549AYA1 A+ B-3 79549AYB9 BBB B-4 79549AYD5 BB Credit Suisse First Boston Mortgage Securities Corp. Series 2003-21 Class CUSIP Rating ----- ----- ------ I-A-3 22541QPA4 AAA I-A-4 22541QPB2 AAA I-A-5 22541QPC0 AAA I-A-6 22541QPD8 AAA I-A-7 22541QPE6 AAA I-A-8 22541QPF3 AAA I-A-9 22541QPG1 AAA I-A-10 22541QPH9 AAA I-A-11 22541QPJ5 AAA I-A-12 22541QPK2 AAA I-A-13 22541QPL0 AAA I-A-14 22541QPM8 AAA I-A-15 22541QPN6 AAA I-A-16 22541QPP1 AAA I-A-17 22541QPQ9 AAA I-A-18 22541QPR7 AAA I-A-19 22541QPS5 AAA I-A-20 22541QPT3 AAA I-A-21 22541QPU0 AAA I-A-22 22541QSB9 AAA I-X 22541QQB1 AAA II-A-1 22541QPV8 AAA II-X 22541QQC9 AAA II-P 22541QQG0 AAA III-A-1 22541QPW6 AAA III-A-2 22541QPX4 AAA III-A-3 22541QPY2 AAA III-X 22541QQD7 AAA IV-A-1 22541QPZ9 AAA V-A-1 22541QQA3 AAA V-P 22541QQH8 AAA A-X 22541QQE5 AAA A-P 22541QQF2 AAA C-B-1 22541QQJ4 AA C-B-2 22541QQK1 A C-B-3 22541QQL9 BBB- C-B-4 22541QQV7 BB C-B-5 22541QQW5 B III-B-1 22541QQM7 AA III-B-2 22541QQN5 A III-B-3 22541QQP0 BBB FNT Series 2000-2 Series 2000-2 Class CUSIP Rating ----- ----- ------ I-X 23323CAC9 AAA I-B-1 23323CAE5 AAA FNT Trust Series 2000-1 Series 2000-1 Class CUSIP Rating ----- ----- ------ II-P 23321P7G7 AAA II-X-1 23321P7E2 AAA II-B-1 23321P7J1 AAA II-B-2 23321P7K8 AA * S&P Downgrades Ratings on 285 Classes From 14 Prime Jumbo RMBS ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 285 classes from 14 U.S. prime jumbo residential mortgage-backed securities transactions issued in 2005, 2006, and 2007. S&P removed 196 of the lowered ratings from CreditWatch with negative implications. Additionally, S&P affirmed its ratings on 39 classes from four of these transactions and from CHL Mortgage Pass-Through Trust 2003-35 and removed 17 ratings from CreditWatch negative. The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given S&P's current projected losses. Additionally, S&P's rating actions acknowledge current and projected losses that are based on the dollar value of the loans that S&P expects to become delinquent, go into foreclosure, and become real estate owned. The rating actions also reflect projected future defaults. S&P is currently assuming a 35% loss severity on prime jumbo collateral originated in 2005 and a 40% loss severity on prime jumbo collateral originated in 2006 and 2007. S&P's rating assumptions for prime jumbo RMBS deals issued prior to 2005 are discussed in "Methodology And Assumptions For U.S. RMBS Issued Before 2005," published March 12, 2009. For a list of S&P's published research pertaining to S&P's loss assumptions and the default curves S&P used in its analysis, please see the "Related Research" section at the end of this article. As part of S&P's analysis, S&P considered the characteristics of the underlying mortgage collateral as well as macroeconomic influences. For example, S&P's assessment of the risk profile of the underlying mortgage pools influences S&P's default projections, while S&P's outlook for housing price declines and the health of the housing market influence S&P's loss severity assumptions. Standard & Poor's has established loss projections for each prime jumbo transaction rated in 2005, 2006, and 2007 based on a forward-looking default curve. S&P's lifetime projected losses for the transactions in this release where the loss projections have changed are: Original Loss Transaction bal. (mil. $) proj. (%) ----------- ------------- --------- Banc of America Mortgage 2006-3 Trust 282.8 4.84 Banc of America Mortgage 2006-6 Trust 718.3 3.06 CHL Mortgage Pass-Through Trust 2006-17 520.9 5.81 CHL Mortgage Pass-Through Trust 2006-20 1,041.0 6.35 CHL Mortgage Pass-Through Trust 2007-15 1,037.9 8.77 Chase Mortgage Financial Trust Series 2006-S2 1,024.2 5.43 JPMorgan Mortgage Trust 2007-A1 3,849.0 1.46 Merrill Lynch Mortgage Investors Trust Series 2006-AF1 366.4 10.69 Merrill Lynch Mortgage Investors Trust Series 2006-AF1 301.7 8.07 RFMSI Series 2005-S8 312.3 2.60 RFMSI Series 2006-S5 678.0 4.32 RFMSI Series 2006-S9 442.3 5.16 Wells Fargo Mortgage Backed Securities 2007-1 Trust 600.0 5.13 To assess the creditworthiness of each class, S&P reviewed the individual delinquency and loss trends of each transaction for changes, if any, in risk characteristics, servicing, and the expected ability to withstand additional credit deterioration. In order to maintain a rating higher than 'B', S&P considered whether a class was able to absorb losses in excess of the base-case assumptions S&P made in its analysis, subject to individual caps and qualitative factors assumed on specific transactions. For example, a class may have to withstand approximately 127% of S&P's base-case loss assumptions in order to maintain a 'BB' rating, while a different class may have to withstand approximately 154% of S&P's base-case loss assumptions to maintain a 'BBB' rating. An affirmed 'AAA' rating reflects S&P's opinion that the class can withstand approximately 235% of S&P's base-case loss assumptions. The affirmations reflect S&P's belief that there is sufficient credit enhancement to support the ratings at their current levels. Certain senior classes also benefit from senior-support classes that would provide support to a certain extent before any applicable losses could affect the super-senior certificates. The subordination of classes within each structure provides credit support for the affected transactions. The collateral for these deals consists of prime jumbo fixed- and adjustable-rate mortgage loans secured by one- to four-family residential properties. S&P monitors these transactions to incorporate updated losses and delinquency pipeline performance to assess whether S&P believes the applicable credit enhancement features are sufficient to support the current ratings. S&P will continue to monitor these transactions and take additional rating actions as S&P deems appropriate. Rating Actions Banc of America Funding Trust 2006-6 Series 2006-6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05950RAA7 B AAA/Watch Neg 1-A-2 05950RAB5 B AAA/Watch Neg 1-A-3 05950RAC3 B AAA/Watch Neg 1-A-4 05950RAD1 B AAA/Watch Neg 1-A-5 05950RAE9 B AAA/Watch Neg 1-A-6 05950RAF6 B AAA/Watch Neg 1-A-7 05950RAG4 B AAA/Watch Neg 1-A-8 05950RAH2 B AAA/Watch Neg 1-A-9 05950RAJ8 B AAA/Watch Neg 1-A-10 05950RAK5 AAA AAA/Watch Neg 1-A-11 05950RAL3 AAA AAA/Watch Neg 1-A-12 05950RAM1 BB AAA/Watch Neg 1-A-13 05950RAN9 B AAA/Watch Neg 1-A-14 05950RAP4 B AAA/Watch Neg 1-A-15 05950RAQ2 B AAA/Watch Neg 1-A-16 05950RAR0 B AAA/Watch Neg 1-A-17 05950RAS8 BB AAA/Watch Neg 1-A-18 05950RAT6 BB AAA/Watch Neg 1-A-19 05950RAU3 B AAA/Watch Neg 1-A-20 05950RAV1 B AAA/Watch Neg 1-A-21 05950RAW9 B AAA/Watch Neg 1-A-22 05950RAX7 BB AAA/Watch Neg 1-A-23 05950RAY5 B AAA/Watch Neg 1-A-24 05950RAZ2 B AAA/Watch Neg 2-A-1 05950RBB4 B AAA/Watch Neg 2-A-2 05950RBC2 B AAA/Watch Neg 2-A-3 05950RBD0 B AAA/Watch Neg 2-A-4 05950RBE8 B AAA/Watch Neg 3-A-1 05950RBF5 B AAA/Watch Neg 3-A-2 05950RBG3 B AAA/Watch Neg 3-A-3 05950RBH1 B AAA/Watch Neg 3-A-4 05950RBJ7 BB AAA/Watch Neg 3O-IO 05950RBK4 AAA AAA/Watch Neg 3O-PO 05950RBL2 B AAA/Watch Neg M 05950RBM0 CCC BBB/Watch Neg Banc of America Mortgage 2006-3 Trust Series 2006-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05950LAA0 CCC AA/Watch Neg 1-A-2 05950LAB8 CCC AA/Watch Neg 1-A-3 05950LAC6 CCC AA/Watch Neg 1-A-4 05950LAD4 CCC AA/Watch Neg 1-A-5 05950LAE2 CCC AA/Watch Neg 1-A-6 05950LAF9 CCC AA/Watch Neg 1-A-7 05950LAG7 B AA/Watch Neg 1-A-8 05950LAH5 B AA/Watch Neg 1-A-9 05950LAJ1 CCC AA/Watch Neg 1-A-10 05950LAK8 CCC AA/Watch Neg 1-A-11 05950LAL6 CCC AA/Watch Neg 1-A-12 05950LAM4 CCC AA/Watch Neg 1-A-13 05950LAN2 AA AAA/Watch Neg 1-A-14 05950LAP7 CCC AA/Watch Neg 1-A-15 05950LAQ5 AA AAA/Watch Neg 1-A-16 05950LAR3 CCC AA/Watch Neg 30-IO 05950LAT9 AA AAA/Watch Neg 30-PO 05950LAU6 CCC AA/Watch Neg Chase Mortgage Finance Trust Series 2006-S2 Series 2006-S2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 16163BAA2 B AAA/Watch Neg 1-A2 16163BAB0 CCC A/Watch Neg 1-A3 16163BAC8 CCC A/Watch Neg 1-A4 16163BAD6 CCC A/Watch Neg 1-A5 16163BAE4 CCC A/Watch Neg 1-A6 16163BAF1 CCC A/Watch Neg 1-A7 16163BAG9 CCC A/Watch Neg 1-A8 16163BAH7 CCC A/Watch Neg 1-A9 16163BAJ3 CCC A/Watch Neg 1-A10 16163BAK0 CCC A/Watch Neg 1-A11 16163BAL8 CCC A/Watch Neg 1-A12 16163BAM6 CCC A/Watch Neg 1-A13 16163BAN4 CCC A/Watch Neg 1-A14 16163BAP9 B AAA/Watch Neg 1-A15 16163BAQ7 CCC A/Watch Neg 1-A16 16163BAR5 CCC A/Watch Neg 1-A17 16163BAS3 CCC A/Watch Neg 1-A18 16163BAT1 CCC A/Watch Neg 1-A19 16163BAU8 CCC A/Watch Neg 1-AX 16163BAV6 B AAA/Watch Neg 2-A1 16163BAW4 CCC A/Watch Neg 2-A2 16163BAX2 CCC A/Watch Neg 2-A3 16163BAY0 CCC A/Watch Neg 2-A4 16163BAZ7 CCC A/Watch Neg 2-A5 16163BBA1 CCC A/Watch Neg 2-A6 16163BBB9 CCC A/Watch Neg 2-A7 16163BBC7 CCC A/Watch Neg 2-AX 16163BBF0 CCC A/Watch Neg A-P 16163BBG8 B A/Watch Neg A-M 16163BBN3 CCC BBB/Watch Neg CHL Mortgage Pass-Through Trust 2006-10 Series 2006-10 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 126694Z76 B B+ 1-A-2 126694Z84 B B+ 1-A-3 126694Z92 B B+ 1-A-4 1266942A5 B B+ 1-A-5 1266942B3 B B+ 1-A-6 1266942C1 B B+ 1-A-7 1266942D9 B B+ 1-A-8 1266942E7 B BBB 1-A-9 1266942F4 B B+ 1-A-11 1266942H0 B B+ 1-A-12 1266942J6 B B+ 1-A-13 1266942K3 B B+ 1-A-14 1266942L1 B B+ 1-A-15 1266942M9 B B+ 1-A-16 1266942N7 B B+ 1-X 1266942P2 BB BBB 2-A-1 1266942Q0 B B+ 2-A-2 1266943A4 B B+ 2-X 1266942R8 B B+ PO 1266942S6 B B+ CHL Mortgage Pass-Through Trust 2006-17 Series 2006-17 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 17025AAA0 B AAA/Watch Neg A-2 17025AAB8 BB AAA/Watch Neg A-3 17025AAC6 B AAA/Watch Neg A-4 17025AAD4 A AAA/Watch Neg A-5 17025AAE2 B+ AAA/Watch Neg A-6 17025AAF9 B AAA/Watch Neg A-7 17025AAG7 B AAA/Watch Neg A-8 17025AAH5 BB AAA/Watch Neg A-10 17025AAK8 B AAA/Watch Neg A-11 17025AAL6 B+ AAA/Watch Neg X 17025AAN2 BB AAA/Watch Neg PO 17025AAP7 B AAA/Watch Neg CHL Mortgage Pass-Through Trust 2006-20 Series 2006-20 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12544AAA3 CCC AA/Watch Neg 1-A-2 12544AAB1 CCC AA/Watch Neg 1-A-3 12544AAC9 B AAA/Watch Neg 1-A-4 12544AAD7 CCC AA/Watch Neg 1-A-5 12544AAE5 B AAA/Watch Neg 1-A-6 12544AAF2 CCC AA/Watch Neg 1-A-7 12544AAG0 CCC AA/Watch Neg 1-A-8 12544AAH8 CCC AA/Watch Neg 1-A-9 12544AAJ4 CCC AA/Watch Neg 1-A-10 12544AAK1 CCC AA/Watch Neg 1-A-11 12544AAL9 CCC AA/Watch Neg 1-A-12 12544AAM7 CCC AA/Watch Neg 1-A-13 12544AAN5 CCC AA/Watch Neg 1-A-14 12544AAP0 CCC AA/Watch Neg 1-A-15 12544AAQ8 CCC AA/Watch Neg 1-A-16 12544AAR6 CCC AA/Watch Neg 1-A-17 12544AAS4 CCC AA/Watch Neg 1-A-18 12544AAT2 B AAA/Watch Neg 1-A-19 12544AAU9 B AAA/Watch Neg 1-A-20 12544AAV7 CCC AA/Watch Neg 1-A-21 12544AAW5 CCC AA/Watch Neg 1-A-22 12544AAX3 CCC AA/Watch Neg 1-A-23 12544AAY1 CCC AA/Watch Neg 1-A-24 12544AAZ8 CCC AA/Watch Neg 1-A-25 12544ABA2 CCC AA/Watch Neg 1-A-26 12544ABB0 CCC AA/Watch Neg 1-A-27 12544ABC8 CCC AA/Watch Neg 1-A-28 12544ABD6 CCC AA/Watch Neg 1-A-29 12544ABE4 CCC AA/Watch Neg 1-A-30 12544ABF1 CCC AA/Watch Neg 1-A-31 12544ABG9 CCC AA/Watch Neg 1-A-32 12544ABH7 CCC AA/Watch Neg 1-A-33 12544ABJ3 CCC AA/Watch Neg 1-A-34 12544ABK0 CCC AA/Watch Neg 1-A-35 12544ABL8 CCC AA/Watch Neg 1-A-36 12544ABM6 CCC AA/Watch Neg 1-A-37 12544ABN4 CCC AA/Watch Neg X 12544ABP9 B AAA/Watch Neg PO 12544ABQ7 CCC AA/Watch Neg CHL Mortgage Pass-Through Trust 2007-15 Series 2007-15 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 17025TAA9 CC B 1-A-2 17025TAB7 CCC BB 1-A-3 17025TAC5 CCC BB 1-A-4 17025TAD3 CCC BB 1-A-5 17025TAE1 CCC BB 1-A-6 17025TAF8 CCC BB 1-A-7 17025TAG6 CCC BB 1-A-8 17025TAH4 CCC BB 1-A-9 17025TAJ0 CCC BB 1-A-10 17025TAK7 CCC BB 1-A-11 17025TAL5 CCC BB 1-A-12 17025TAM3 CCC BB 1-A-13 17025TAN1 CCC BB 1-A-14 17025TAP6 CCC BB 1-A-15 17025TAQ4 CCC BB 1-A-16 17025TAR2 CCC BB 1-A-17 17025TAS0 CC B 1-A-18 17025TAT8 CC B 1-A-19 17025TAU5 CCC BB 1-A-20 17025TAV3 CCC BB 1-A-21 17025TAW1 CCC BB 1-A-22 17025TAX9 CCC BB 1-A-23 17025TAY7 CCC BB 1-A-24 17025TAZ4 CCC BB 1-A-25 17025TBA8 CCC BB 1-A-26 17025TBB6 CCC BB 1-A-27 17025TBC4 CC B 1-A-28 17025TBD2 CC B 1-A-29 17025TBE0 CCC BB 1-A-30 17025TBF7 CCC BB 1-X 17025TBG5 CCC BB 2-A-1 17025TBH3 CC B 2-A-2 17025TBJ9 CCC B+ 2-A-3 17025TBK6 CC B 2-A-4 17025TBL4 CCC B+ 2-A-5 17025TBM2 CCC B+ 2-A-6 17025TBN0 CCC B 2-A-7 17025TBZ3 CCC B+ 2-A-8 17025TCA7 CCC B+ 2-A-9 17025TCB5 CCC B+ 2-A-10 17025TCC3 CC B 2-X 17025TBP5 CCC B+ PO 17025TBQ3 CC B JPMorgan Mortgage Trust 2007-A1 Series 2007-A1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-2 46630GAB1 BB AAA 2-A-3 46630GAE5 BB AAA 2-A-4 46630GAF2 BB AAA 3-A-1 46630GAG0 BB AAA 3-A-4 46630GAK1 BB AAA 3-A-5 46630GAL9 BB AAA 4-A-3 46630GAP0 BB AAA 4-A-4 46630GAQ8 BB AAA 5-A-3 46630GAT2 BB AAA 5-A-4 46630GAU9 BB AAA 5-A-6 46630GAW5 BB AAA 6-A-1 46630GAX3 AA AAA 6-A-2 46630GAY1 BB AAA 7-A-1 46630GBB0 AA AAA 7-A-2 46630GBC8 AA AAA 7-A-3 46630GBD6 AA AAA 7-A-3S 46630GBF1 AA AAA 7-A-4 46630GBG9 BB AAA B-1 46630GBH7 CCC AA B-2 46630GBJ3 CC A B-3 46630GBK0 CC BBB B-4 46630GBN4 CC BB Merrill Lynch Mortgage Investors Trust Series 2006-AF1 Series 2006-AF1 Rating ------ Class CUSIP To From ----- ----- -- ---- AF-1 59023RAA7 CCC B/Watch Neg AF-2A 59023RAB5 CCC B/Watch Neg AF-2B 59023RAC3 CCC B/Watch Neg AF-2C 59023RAD1 CCC B/Watch Neg AF-3A 59023RAE9 CCC B/Watch Neg AF-3B 59023RAF6 CCC B/Watch Neg PO 59023RAL3 CCC B/Watch Neg IO 59023RAM1 CCC B/Watch Neg MF-1 59023RAN9 CC CCC MF-2 59023RAP4 CC CCC AV-1A 59023RAG4 B AAA/Watch Neg AV-1B 59023RAH2 CCC AA/Watch Neg AV-2A 59023RAJ8 B AAA/Watch Neg AV-2B 59023RAK5 CCC AA/Watch Neg MV-1 59023RAR0 CC BBB/Watch Neg MV-2 59023RAS8 CC B/Watch Neg MV-3 59023RAT6 CC CCC RFMSI Series 2005-S8 Trust Series 2005-S8 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 76111XC50 BBB AAA/Watch Neg A-2 76111XC68 BBB AAA/Watch Neg A-3 76111XC76 BBB AAA/Watch Neg A-P 76111XC84 BBB AAA/Watch Neg A-V 76111XC92 BBB AAA M-1 76111XD34 CCC AA/Watch Neg M-2 76111XD42 CC A/Watch Neg M-3 76111XD59 CC BBB/Watch Neg B-1 76111XD67 CC BB/Watch Neg RFMSI Series 2006-S5 Trust Series 2006-S5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 74957EAA5 BBB AAA/Watch Neg A-2 74957EAB3 BBB AAA/Watch Neg A-3 74957EAC1 CCC AA/Watch Neg A-4 74957EAD9 CCC AA/Watch Neg A-5 74957EAE7 BBB AAA/Watch Neg A-6 74957EAF4 BBB AAA/Watch Neg A-7 74957EAG2 CCC AA/Watch Neg A-9 74957EAJ6 CCC AA/Watch Neg A-10 74957EAK3 BBB AAA/Watch Neg A-11 74957EAL1 BBB AA/Watch Neg A-12 74957EAM9 CCC AA/Watch Neg A-13 74957EAN7 CCC AA/Watch Neg A-14 74957EAP2 CCC AA/Watch Neg A-15 74957EAQ0 CCC AA/Watch Neg A-16 74957EAR8 BBB AAA/Watch Neg A-17 74957EAS6 CCC AA/Watch Neg A-18 74957EAT4 CCC AA/Watch Neg A-P 74957EAW7 CCC AA/Watch Neg A-V 74957EAX5 BBB AAA/Watch Neg RFMSI Series 2006-S9 Trust Series 2006-S9 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 749577AA0 B AAA/Watch Neg A-2 749577AB8 CCC A/Watch Neg A-3 749577AC6 CCC A/Watch Neg A-4 749577AD4 CCC A/Watch Neg A-5 749577AE2 BB A/Watch Neg A-7 749577AG7 CCC A/Watch Neg A-8 749577AH5 CCC A/Watch Neg A-9 749577AJ1 CCC A/Watch Neg A-10 749577AK8 CCC A/Watch Neg A-11 749577AL6 CCC A/Watch Neg A-12 749577AM4 CCC A/Watch Neg A-P 749577AN2 CCC A/Watch Neg A-V 749577AP7 BB AAA/Watch Neg Wells Fargo Mortgage Backed Securities 2006-4 Trust Series 2006-4 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 94983BAA7 AAA AAA/Watch Neg I-A-2 94983BAB5 AAA AAA/Watch Neg I-A-3 94983BAC3 AAA AAA/Watch Neg I-A-4 94983BAD1 AAA AAA/Watch Neg I-A-5 94983BAE9 AAA AAA/Watch Neg I-A-6 94983BAF6 AAA AAA/Watch Neg I-A-8 94983BAH2 AAA AAA/Watch Neg I-A-9 94983BAJ8 AAA AAA/Watch Neg I-A-10 94983BAK5 AAA AAA/Watch Neg I-A-11 94983BAL3 AAA AAA/Watch Neg I-A-12 94983BAM1 AAA AAA/Watch Neg I-A-13 94983BAN9 AAA AAA/Watch Neg I-A-14 94983BAP4 AAA AAA/Watch Neg I-A-PO 94983BAR0 AAA AAA/Watch Neg Wells Fargo Mortgage Backed Securities 2007-1 Trust Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 94984WAA0 BBB AAA/Watch Neg A-2 94984WAB8 BBB AAA/Watch Neg A-3 94984WAC6 B AAA/Watch Neg A-4 94984WAD4 BBB AAA/Watch Neg A-5 94984WAE2 B AAA/Watch Neg A-6 94984WAF9 B AAA/Watch Neg A-7 94984WAG7 B AAA/Watch Neg A-8 94984WAH5 BBB AAA/Watch Neg A-9 94984WAJ1 B AAA/Watch Neg A-10 94984WAK8 B AAA/Watch Neg A-PO 94984WAL6 B AAA/Watch Neg Ratings Affirmed CHL Mortgage Pass-Through Trust 2003-35 Series 2003-35 Class CUSIP Rating ----- ----- ------ 1-A-1 12669EYF7 AAA 1-A-2 12669EYG5 AAA 1-A-3 12669EYH3 AAA 2-A-1 12669EYJ9 AAA PO 12669EYK6 AAA M 12669EYP5 AA B-1 12669EYM2 A B-2 12669EYN0 BBB B-3 12669EYY6 BB B-4 12669EYZ3 B CHL Mortgage Pass-Through Trust 2006-10 Series 2006-10 Class CUSIP Rating ----- ----- ------ 1-A-10 1266942G2 BB M-1 1266942U1 CCC JPMorgan Mortgage Trust 2007-A1 Series 2007-A1 Class CUSIP Rating ----- ----- ------ 1-A-1 46630GAA3 AAA 2-A-1 46630GAC9 AAA 2-A-2 46630GAD7 AAA 3-A-2 46630GAH8 AAA 3-A-3 46630GAJ4 AAA 4-A-1 46630GAM7 AAA 4-A-2 46630GAN5 AAA 5-A-1 46630GAR6 AAA 5-A-2 46630GAS4 AAA 5-A-5 46630GAV7 AAA * S&P Junks Ratings on 26 Tranches From 30 Hybrid CDO Deals ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 81 tranches from 30 U.S. cash flow and hybrid collateralized debt obligation transactions. At the same time, S&P removed 30 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed one rating from Cheyne High Grade ABS CDO I Ltd. and removed it from CreditWatch with negative implications. S&P also withdrew S&P's rating on one tranche from Cimarron CDO Ltd. The ratings on 41 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 residential mortgage-backed securities. 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 30 downgraded U.S. cash flow and hybrid tranches have a total issuance amount of $11.546 billion. Twenty-one of the 30 affected transactions are mezzanine structured finance CDOs of asset-backed securities, which are collateralized in large part by mezzanine tranches of RMBS and other SF securities. Eight of the 30 are high-grade SF CDOs of ABS that were collateralized at origination primarily by 'AAA' through 'A' rated tranches of RMBS and other SF securities. The other transaction is a CDO of CDOs that was collateralized at origination primarily by notes from other CDOs, as well as by tranches from RMBS and other SF transactions. 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 2005-1 Ltd. A-2 BBB-/Watch Neg AA/Watch Neg ACA ABS 2005-1 Ltd. B CC BB-/Watch Neg Acacia CDO 10 Ltd. A-1 CC BBB-/Watch Neg Acacia CDO 10 Ltd. A-2 CC B+/Watch Neg Acacia CDO 10 Ltd. B CC CCC+ C-BASS CBO IX Ltd. B AA+ AAA C-BASS CBO IX Ltd. C AA AA+ C-BASS CBO IX Ltd. D A- A+ C-Bass CBO X Ltd. C BBB+ A C-Bass CBO X Ltd. D BB/Watch Neg BBB C-BASS CBO XIII Ltd. A AA/Watch Neg AAA C-BASS CBO XIII Ltd. B BB+/Watch Neg AA-/Watch Neg C-BASS CBO XIII Ltd. C B-/Watch Neg A-/Watch Neg C-BASS CBO XIII Ltd. D CC BB/Watch Neg Cheyne High Grade ABS CDO I Ltd. A-1MT-e AA+ AA+/Watch Neg Cheyne High Grade ABS CDO I Ltd. A-1LT B/Watch Neg A/Watch Neg Cheyne High Grade ABS CDO I Ltd. A-2 CCC/Watch Neg BB+/Watch Neg Cheyne High Grade ABS CDO I Ltd. B CC B-/Watch Neg Cimarron CDO Ltd. A-1 (CP) NR/NR AA+/A-1+/WatchNeg Cimarron CDO Ltd. B CC CCC+/Watch Neg Cimarron CDO Ltd. A-2 CCC- AA-/Watch Neg Cimarron CDO Ltd. A-3 CC BBB-/Watch Neg Commodore CDO I Ltd. A AA AAA Commodore CDO I Ltd. B B-/Watch Neg BBB-/Watch Neg Coronado CDO Ltd. A-1 AA-/Watch Neg AAA Coronado CDO Ltd. A-2 AA-/Watch Neg AAA Coronado CDO Ltd. B-1 CCC/Watch Neg BBB-/Watch Neg Coronado CDO Ltd. B-2 CCC/Watch Neg BBB-/Watch Neg Coronado CDO Ltd. C-1 CC B-/Watch Neg Coronado CDO Ltd. C-2 CC B-/Watch Neg Coronado CDO Ltd. TypeII CCC/Watch Neg BBB-/Watch Neg Davis Square Funding IV Ltd. A-1LT-a CCC/Watch Neg A/Watch Neg Davis Square Funding IV Ltd. A-1LT-b-1 CCC/Watch Neg A/Watch Neg Davis Square Funding IV Ltd. A-2 CC BB+/Watch Neg Davis Square Funding IV Ltd. B CC CCC-/Watch Neg E*Trade ABS CDO I Ltd. B CC CCC+ Fulton Street CDO Ltd. A-1B CCC- BBB-/Watch Neg Glacier Funding CDO I Ltd. A-2 AA AAA Glacier Funding CDO I Ltd. B BB A+/Watch Neg Glacier Funding CDO I Ltd. C CCC- B/Watch Neg Hereford Street ABS CDO I Ltd. A-1 B-/Watch Neg A-/Watch Neg Hereford Street ABS CDO I Ltd. A-2 CC BB/Watch Neg Hereford Street ABS CDO I Ltd. B CC CCC+/Watch Neg Independence I CDO Ltd. A BBB/Watch Neg A- Jupiter High-Grade CDO II Ltd. A-1 B-/Watch Neg AA-/Watch Neg Jupiter High-Grade CDO II Ltd. A-2 CC BBB+/Watch Neg Jupiter High-Grade CDO II Ltd. B CC BB/Watch Neg Jupiter High-Grade CDO II Ltd. C-1A CC CCC-/Watch Neg Jupiter High-Grade CDO II Ltd. C-1B CC CCC-/Watch Neg Kleros Preferred Funding Ltd. A-1 A+/Watch Neg AA/Watch Neg Kleros Preferred Funding Ltd. A-2 BB/Watch Neg BBB/Watch Neg Kleros Preferred Funding Ltd. B CC CCC-/Watch Neg Knollwood CDO Ltd. A-1 BB/Watch Neg BBB+/Watch Neg MKP CBO II Ltd. A-1 AA-/Watch Neg AAA MKP CBO II Ltd. A-2 B-/Watch Neg A/Watch Neg MWAM CBO 2001-1 Ltd. A AA AAA/Watch Neg Orchard Park Ltd. A-1 Ser1 BB+/Watch Neg A+/Watch Neg Orchard Park Ltd. A-1 Ser2 BB+/Watch Neg A+/Watch Neg Saturn Ventures I Ltd. A-2 AA AAA Saturn Ventures I Ltd. A-3 BB+ A+/Watch Neg Saturn Ventures I Ltd. B CC CCC+/Watch Neg Saturn Ventures II Ltd. A-1 AA/A-1+/Watch Neg AAA/A-1+ Saturn Ventures II Ltd. A-2 BBB/Watch Neg AA- Saturn Ventures II Ltd. A-3 BB/Watch Neg BBB+/Watch Neg Saturn Ventures II Ltd. B CCC/Watch Neg B/Watch Neg Sierra Madre Funding Ltd. A-1LT-a BB+/Watch Neg AA+/Watch Neg Sierra Madre Funding Ltd. A-1LT-b BB+/Watch Neg AA+/Watch Neg Sierra Madre Funding Ltd. A-2 B-/Watch Neg AA-/Watch Neg Sierra Madre Funding Ltd. B CCC-/Watch Neg A/Watch Neg Sierra Madre Funding Ltd. C CC BBB-/Watch Neg Sierra Madre Funding Ltd. D CC BB/Watch Neg Solstice ABS CBO Ltd. A B/Watch Neg A+ Stack 2004-1 Ltd. C BBB/Watch Neg A Stack 2004-1 Ltd. D B-/Watch Neg BB+/Watch Neg Summer Street 2005-HG1 Ltd. A-1 BB/Watch Neg A/Watch Neg Summer Street 2005-HG1 Ltd. A-2 CC BB/Watch Neg Summer Street 2005-HG1 Ltd. B CC CCC TIAA Structured Finance CDO II Ltd. A-2 BB-/Watch Neg A+/Watch Neg Trainer Wortham First Republic CBO III Ltd. A-1 A-/Watch Neg AAA/Watch Neg Trinity CDO Ltd. A-1 BBB-/Watch Neg AA/Watch Neg Trinity CDO Ltd. A-2 CCC/Watch Neg BBB+/Watch Neg Trinity CDO Ltd. A-3 CC B+/Watch Neg Trinity CDO Ltd. B CC CCC-/Watch Neg Other Ratings Reviewed Transaction Class To ----------- ----- -- ACA ABS 2005-1 Ltd. A-1 AAA ACA ABS 2005-1 Ltd. C CC Acacia CDO 10 Ltd. C CC Acacia CDO 10 Ltd. D CC Capital Guardian ABS CDO I Ltd. A-1A AAA Capital Guardian ABS CDO I Ltd. A-1B AAA Capital Guardian ABS CDO I Ltd. A-1C AAA Capital Guardian ABS CDO I Ltd. B CC Capital Guardian ABS CDO I Ltd. C CC Capital Guardian ABS CDO I Ltd. Pfd Shares CC C-BASS CBO IX Ltd. A-1 AAA C-BASS CBO IX Ltd. A-2 AAA C-Bass CBO X Ltd. A AAA C-Bass CBO X Ltd. B AA Cheyne High Grade ABS CDO I Ltd. C CC Commodore CDO I Ltd. C CC Davis Square Funding IV Ltd. C CC Davis Square Funding IV Ltd. D CC Davis Square Funding IV Ltd. E BBB-/Watch Neg E*Trade ABS CDO I Ltd. A-2 AAA E*Trade ABS CDO I Ltd. C-1 CC E*Trade ABS CDO I Ltd. C-2 CC E*Trade ABS CDO I Ltd. Compo Secs CC E*Trade ABS CDO I Ltd. Pref Shrs CC Fulton Street CDO Ltd. A-1A BBB Fulton Street CDO Ltd. A-2 CC Fulton Street CDO Ltd. B-1 CC Fulton Street CDO Ltd. B-2 CC Fulton Street CDO Ltd. C CC Glacier Funding CDO I Ltd. A-1 AAA Glacier Funding CDO I Ltd. Pref Shrs CC Hereford Street ABS CDO I Ltd. C CC Hereford Street ABS CDO I Ltd. D CC Jupiter High-Grade CDO II Ltd. C-1C CC Kleros Preferred Funding Ltd. C CC Kleros Preferred Funding Ltd. D CC Knollwood CDO Ltd. A-2 CC Knollwood CDO Ltd. B CC Knollwood CDO Ltd. C CC MKP CBO II Ltd. B CC MKP CBO II Ltd. C-1 CC MKP CBO II Ltd. C-2 CC Saturn Ventures I Ltd. A-1 AAA Stack 2004-1 Ltd. A AAA Stack 2004-1 Ltd. B AA Summer Street 2005-HG1 Ltd. C CC Summer Street 2005-HG1 Ltd. D CC TIAA Structured Finance CDO II Ltd. A-1 AAA TIAA Structured Finance CDO II Ltd. B CC TIAA Structured Finance CDO II Ltd. C-1 CC TIAA Structured Finance CDO II Ltd. C-2 CC Trainer Wortham First Republic CBO III Ltd. A-2 CC Trainer Wortham First Republic CBO III Ltd. B CC Trainer Wortham First Republic CBO III Ltd. C CC Trainer Wortham First Republic CBO III Ltd. D CC Trainer Wortham First Republic CBO III Ltd. Pre.Shares CC Trinity CDO Ltd. C-1 CC Trinity CDO Ltd. C-2 CC ********* 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 ***