/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/090621.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 21, 2009, Vol. 13, No. 170 Headlines ALADDIN SYNTHETIC: Moody's Withdraws 'Caa3' Ratings on A-3 Notes ALADDIN SYNTHETIC: S&P Withdraws 'CCC-' Rating on Series A-3 Notes AMRESCO RES: Moody's Downgrades Ratings on 11 Securities ARES VII: Moody's Downgrades Ratings on Various Classes of Notes ARES VR: Moody's Downgrades Ratings on Various Classes of Notes ARMSTRONG LOAN: Moody's Downgrades Ratings on Various Notes ASSET BACKED: Moody's Downgrades Ratings on 38 Securities ASSET BACKED: Moody's Takes Rating Actions on Various Securities AVALON CAPITAL: Moody's Downgrades Ratings on Various Classes AVENUE CLO: Moody's Junks Ratings on Class B-1L & B-1F Notes AVENUE CLO: Moody's Junks Rating on Class C $13,000,000 Notes BABSON CLO: Moody's Downgrades Ratings on Various 2008-I Notes BANC OF AMERICA: Fitch Affirms Ratings on 2002-2 Certificates BANC OF AMERICA: S&P Corrects Rating on Class 3-A-4 Certificates BAYVIEW FINANCIAL: Moody's Confirms Ratings on 30 Tranches BEAR STEARNS: Fitch Puts Ratings on 2007-PWR18 Notes on Neg. Watch BEAR STEARNS: Moody's Cuts Ratings on Six 2007-HE7 Securities BLUE MOUNTAIN: Moody's Downgrades Ratings on Various Classes BRENTWOOD CLO: Moody's Downgrades Ratings on Various Classes BUSINESS LOAN: Fitch Takes Rating Actions on Four Transactions CABCO TRUST: Moody's Upgrades Ratings on Trust Certs. to 'Ba1' CANNINGTON FUNDING: Moody's Downgrades Ratings on Various Notes CAPMARK INVESTMENTS: Fitch Withdraws CDO Asset Manager Rating CDX.NA.HY.8 TRUST: Moody's Junks Rating on $1.3 Bil. Certs. CDX.NA.HY.8 TRUST: Moody's Junks Ratings on $350 Mil. Certs. CDX.NA.HY.8 TRUST: Moody's Junks Ratings on $500 Mil. Certs. CDX.NA.HY.9 TRUST: Moody's Cuts Rating on $700MM Certs. to 'Caa3' CDX.NA.HY.9 TRUST: Moody's Cuts Ratings on $625MM Certs. to 'Caa3' CENT CDO: Moody's Downgrades Ratings on Various Classes of Notes CHASE MORTGAGE: Moody's Downgrades Ratings on Nine 2006-S1 Notes CHATHAM LIGHT: Moody's Downgrades Ratings on Various Classes CHL MORTGAGE: Moody's Downgrades Ratings on 196 Tranches CIFG ASSURANCE: S&P Junks Ratings on Eight Medium-Term Notes CLYDESDALE CLO: Moody's Downgrades Ratings on Various Classes COMSTOCK FUNDING: Moody's Downgrades Ratings on Various Classes COSTA BELLA: Fitch Downgrades Ratings on Eight Classes of Notes CREDIT AND REPACKAGED: S&P Affirms 'B-' Rating on 2006-14 Notes CREDIT SUISSE: Moody's Affirms Ratings on Nine 2005-C1 Certs. CREDIT SUISSE: Moody's Reviews Ratings on 2005-C2 Certificates CSMC MORTGAGE-BACKED: Moody's Downgrades Ratings on 37 Tranches DENALI CAPITAL: Moody's Downgrades Ratings on Various Notes DOW JONES: Moody's Junks Ratings on $325 Mil. Certs. From 'B1' DOW JONES: Moody's Junks Rating on $400 Mil. Certs. From 'B3' DOW JONES: Moody's Junks Ratings on $550 Mil. Certs. From 'B3' DOW JONES: Moody's Cuts Ratings on $725 Mil. Certs. to 'Caa3' DOW JONES: Moody's Cuts Ratings on $1.25 Bil. Certs. to 'Ca' DOW JONES: Moody's Cuts Ratings on $2.25 Bil. Certs. to 'Caa3' DRYDEN VI: Moody's Downgrades Ratings on Various 2004 Notes FIRST HORIZON: Moody's Downgrades Ratings on 71 Tranches FIRST UNION: Moody's Reviews Ratings on 2001-C1 Certificates FIRST UNION-LEHMAN: Moody's Affirms Ratings on 10 1998-C2 Certs. FLAGSHIP CLO: Moody's Downgrades Ratings on Various Classes FRANKLIN CLO: Moody's Downgrades Ratings on Various Classes GALAXY IV: Moody's Downgrades Ratings on Various Classes of Notes GENERAL AMERICAN: Moody's Downgrades Ratings on Certificates GENESIS CLO: Moody's Downgrades Ratings on 2007-1 Notes HALCYON LOAN: Moody's Downgrades Ratings on Various Classes HEWETT ISLAND: Moody's Downgrades Ratings on Various Classes HUDSON CANYON: Moody's Downgrades Ratings on Two Classes of Notes IMC HOME: Moody's Cuts Underlying Rating on 1998-7 Notes to 'Ba1' IMC HOME: Moody's Downgrades Ratings on 1998-7 Security to 'Ba1' IMPAC SECURED: Moody's Downgrades Ratings on Class 1-A2-A Certs. INDYMAC HOME: Moody's Downgrades Ratings on 2007-2 Notes GENESIS CLO: Moody's Downgrades Ratings on Various 2007-2 Notes JFK MEDICAL: Moody's Withdraws 'Ba3' Rating on Outstanding Bonds JP MORGAN: Moody's Affirms Ratings on 14 2005-CIBC11 Notes JP MORGAN: Moody's Downgrades Ratings on 133 From Eight RMBS Deals KATONAH IX: Moody's Downgrades Ratings on Various Classes of Notes LATITUDE CLO: Moody's Downgrades Ratings on Various Classes LB-UBS COMMERCIAL: Fitch Junks Ratings on Three 2002-C4 Notes LB-UBS COMMERCIAL: Moody's Affirms Ratings on 15 Pooled Classes LB-UBS COMMERCIAL: Moody's Affirms Ratings on 2003-C3 Certs. LEHMAN BROTHERS: Moody's Reviews Ratings on Series 2004-LLF Certs. MARATHON CLO: Moody's Keeps Junk Rating on Class E Notes MARATHON CLO: Moody's Cuts Rating on Class D Notes to Ca MERRILL LYNCH: S&P Downgrades Ratings on Five 1999-C1 Certs. MUHLENBERG REGIONAL: Moody's Withdraws 'Ba3' Rating on Bonds MUZINICH CBO: Moody's Downgrades Ratings on Various Classes NEW ORLEANS: S&P Raises Underlying Rating on Tax Bonds From 'BB' NOB HILL: Moody's Downgrades Ratings on Various Classes of Notes PACIFICA CDO: Moody's Junks Ratings on Class C-1 & C-2 Notes PACIFICA CDO: Moody's Junks Ratings on Three Classes of Notes PARCS-R MASTER: S&P Downgrades Ratings on Three 2007-2 Notes PPLUS TRUST: S&P Puts 'BB' Ratings on CreditWatch Negative PRO RATA: Moody's Downgrades Ratings on Three Classes of Notes RFMSII HOME: Moody's Downgrades Ratings on 17 Tranches SKYTOP CLO: Moody's Downgrades Ratings on Two Classes of Notes SOUTHPORT CLO: Moody's Downgrades Ratings on Various Classes SPYGLASS TRUST: Moody's Cuts Ratings on Principal Units to 'Ba1' STRUCTURED ASSET: S&P Puts 'BB' Rating on CreditWatch Negative TERWIN MORTGAGE: Moody's Confirms Ratings on Class II-A-1a Tranche TEXTRON FINANCIAL: Moody's Takes Rating Actions on 2007-A Notes VERITAS CLO: Moody's Downgrades Ratings on Various Notes WACHOVIA BANK: Fitch Puts Ratings on 2005-C22 Notes on Neg. Watch WACHOVIA BANK: Moody's Reviews Ratings on Nine 2007-ESH Certs. ZOHAR CDO: Moody's Downgrades Ratings on Various 2003-1 Notes ZOHAR II: Moody's Downgrades Ratings on Various 2005-1 Notes ZOHAR III: Moody's Downgrades Ratings on Various Classes of Notes * Fitch Takes Various Rating Actions on 422 Bonds in 208 RMBS NIMs * S&P Cuts Ratings on 60 Classes of Certs. from 14 Alt-A Deals * S&P Downgrades Ratings on 17 Classes From Five RMBS Transactions * S&P Downgrades Ratings on 28 Classes of Notes to 'D' * S&P Downgrades Ratings on 81 Tranches From 31 CDO Transactions * S&P Downgrades Ratings on 103 Classes From Seven RMBS Deals * S&P Downgrades Ratings on 218 Classes From Nine Prime Jumbo RMBS * S&P Downgrades Ratings on Four Tranches From Two CDO Deals * S&P Downgrades Ratings on Littlefield, Texas' Debt to 'B' * S&P Puts Ratings on 52 Classes on CreditWatch Negative ********* ALADDIN SYNTHETIC: Moody's Withdraws 'Caa3' Ratings on A-3 Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has withdrawn its rating on the Series A-3 of notes issued by Aladdin Synthetic CDO II SPC, a collateralized debt obligation transaction referencing a managed portfolio of corporate entities. Class Description: US$250,000,000 Series A-3 Floating Rate Notes Due 2014 -- Current Rating: WR -- Prior Rating Action: downgrade to Caa3 from Ba1 under review for downgrade, on February 5, 2009. The issuer has requested the withdrawal of the rating for business reasons. ALADDIN SYNTHETIC: S&P Withdraws 'CCC-' Rating on Series A-3 Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services withdrew its rating on the notes issued by Aladdin Synthetic CDO II SPC's series A-3, a synthetic corporate investment-grade collateralized debt obligation transaction. S&P withdrew the rating at the issuer's request. Rating Withdrawn Aladdin Synthetic CDO II SPC Series A-3 Rating ------ Class To From ----- -- ---- Notes NR CCC- NR - Not rated. AMRESCO RES: Moody's Downgrades Ratings on 11 Securities -------------------------------------------------------- Moody's Investors Service has downgraded the rating of eleven securities from three transactions issued by AMRESCO. 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: AMRESCO Res. Sec. Corp. Mtg. Loan Trust 97-3 -- M-1F, Downgraded to A1; previously on 5/5/1986 Assigned Aa2 -- B-1F, Downgraded to Ca; previously on 3/16/2005 Downgraded to Caa3 AMRESCO Res. Sec. Corp. Mtge. Loan Tr. 1998-3 -- A-5, Downgraded to Ba3; previously on 9/30/1998 Assigned Aaa -- A-6, Downgraded to Ba3; previously on 9/30/1998 Assigned Aaa -- B-1F, Downgraded to C; previously on 10/5/2006 Downgraded to Caa1 AMRESCO Res. Sec. Corp. Mtge. Loan Trust 98-2 -- A-5, Downgraded to Aa3; previously on 6/11/1998 Assigned Aaa -- A-6, Downgraded to Aa3; previously on 6/11/1998 Assigned Aaa -- M-1A, Downgraded to Baa3; previously on 6/11/1998 Assigned Aa2 -- M-1F, Downgraded to Baa3; previously on 6/11/1998 Assigned Aa2 -- M-2F, Downgraded to B2; previously on 6/11/1998 Assigned A2 -- B-1F, Downgraded to B2; previously on 8/25/2004 Downgraded to Ba3 ARES VII: 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 Ares VII CLO Ltd: -- US$150,000,000 Class A-1a Senior Secured Floating Rate Notes, Due 2015, Downgraded to A2; previously on March 20, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$171,000,000 Class A-1b Senior Secured Floating Rate Notes, Due 2015, Downgraded to A2; previously on March 20, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$36,000,000 Class B Senior Secured Deferrable Floating Rate Notes, Due 2015, Downgraded to B1; previously on March 20, 2009 Ba1 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 the Class A Overcollateralization Ratio Test, the Class B Overcollateralization Ratio Test, and the Class C Overcollateralization Ratio Test. The weighted average rating factor has steadily increased over the last year and it is currently at 3414 versus a test level of 2530 as of the last trustee report, dated April 30, 2009. Based on the same report, defaulted securities total about $19.5 million, accounting for roughly 5.25% of the collateral balance, and securities rated Caa1 or lower by Moody's or CCC+ or lower by S&P make up approximately 22% of the underlying portfolio. Additionally, interest payments on the Class B Notes are presently being deferred as a result of the failure of the Class A Overcollateralization Test. Ares VII CLO Ltd., issued in May of 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. ARES VR: Moody's Downgrades Ratings on Various Classes of Notes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its ratings on these notes issued by Ares VR CLO: -- US$35,000,000 Class A-1 Revolving Floating Rate Notes Due 2018, Downgraded to A1; previously on March 23, 2006 Assigned Aaa; -- US$100,000,000 Class A-2 Delayed Drawdown Floating Rate Notes Due 2018, Downgraded to A1; previously on March 23, 2006 Assigned Aaa; -- US$333,700,000 Class A-3 Floating Rate Notes Due 2018, Downgraded to A1; previously on March 23, 2006 Assigned Aaa; -- US$22,100,000 Class B Floating Rate Notes Due 2018, Downgraded to Baa2; previously on March 4, 2009 Placed Under Review for Possible Downgrade; -- US$56,200,000 Class D Deferrable Floating Rate Notes Due 2018, Downgraded to Caa3; previously on March 17, 2009 Downgraded to B3 and Placed Under Review for Possible Downgrade; -- US$10,000,000 Combination Securities Due 2018, Downgraded to Caa3; previously on March 4, 2009 Baa2 Placed Under Review for Possible Downgrade. Moody's Investors Service also announced that it has confirmed its ratings on these notes issued by Ares VR CLO: -- US$23,400,000 Class C Deferrable Floating Rate Notes Due 2018, Confirmed at Ba1; previously on March 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 (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 C Par Value Test and the Class D Par Value Test. The weighted average rating factor has steadily increased over the last year, and it is currently 3106 versus a test level of 2779 as of the latest trustee report, dated May 15, 2009. Based on the same report, securities rated Caa1 or lower make up approximately 16% of the underlying portfolio. Ares VR CLO, issued in March of 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. ARMSTRONG LOAN: Moody's Downgrades Ratings on Various Notes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Armstrong Loan Funding Ltd.: -- US$133,320,000 Class B Floating Rate Senior Secured Notes Due 2016, Downgraded to Aa3; previously on March 4, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$30,300,000 Class C Floating Rate Senior Secured Notes Due 2016, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$18,180,000 Class F Floating Rate Senior Secured Deferrable Interest Notes Due 2016, Downgraded to Ca; previously on March 20, 2009 Downgraded to Caa3 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings on these notes: -- US$36,360,000 Class D Floating Rate Senior Secured Deferrable Interest Notes Due 2016, Confirmed at Ba3; previously on March 20, 2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade; -- US$18,180,000 Class E Floating Rate Senior Secured Deferrable Interest Notes Due 2016, Confirmed at B3; previously on March 20, 2009 Downgraded to B3 and Placed Under Review for Possible Downgrade; According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. 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 overcollateralization tests. The weighted average rating factor has steadily increased over the last year and it is currently at 3,312 versus a test level of 2,924 as of the last trustee report, dated April 21, 2009. Based on the same report, defaulted securities total about $15 million, accounting for roughly 2.6% of the collateral balance, and securities rated Caa1 or lower make up approximately 25.8% of the underlying portfolio. Additionally, interest payments on the Class D Notes, Class E Notes, and Class F Notes are presently being deferred as a result of the failure of the Class C Overcollateralization Test. 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 speculative-grade ratings and carry depressed market valuations that may herald poor recovery prospects in the event of default. Armstrong Loan Funding Ltd., issued on March 19, 2008, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. ASSET BACKED: Moody's Downgrades Ratings on 38 Securities --------------------------------------------------------- Moody's Investors Service has downgraded the rating of 38 securities from 10 transactions issued by Asset Backed Funding Corporation. 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. The complete rating actions: ABFC 2001-AQ1 Trust -- Cl. M-1, Downgraded to Baa1; previously on 3/30/2001 Assigned Aa2 -- Cl. B, Downgraded to Ca; previously on 8/4/2005 Downgraded to Caa2 ABFC 2002-NC1 Trust -- Cl. M-2, Downgraded to B2; previously on 5/1/2009 Downgraded to Ba3 -- Cl. M-3, Downgraded to C; previously on 5/1/2009 Downgraded to Ca ABFC 2002-OPT1 Trust -- Cl. M-1, Downgraded to A3; previously on 9/23/2005 Upgraded to Aaa -- Cl. M-2, Downgraded to Baa2; previously on 9/23/2005 Upgraded to Aaa -- Cl. M-3, Downgraded to B1; previously on 9/23/2005 Upgraded to Aa3 -- Cl. M-4, Downgraded to C; previously on 10/15/2002 Assigned Baa1 -- Cl. M-5, Downgraded to C; previously on 10/15/2002 Assigned Baa2 ABFC 2002-WF1 Trust -- Cl. M-1, Downgraded to A2; previously on 4/1/2002 Assigned Aa2 -- Cl. M-2, Downgraded to Baa3; previously on 4/1/2002 Assigned A2 -- Cl. M-3, Downgraded to Ba1; previously on 4/1/2002 Assigned Baa2 ABFC 2002-WF2 Trust -- Cl. M-1, Downgraded to A1; previously on 10/8/2002 Assigned Aa2 -- Cl. M-2, Downgraded to Baa3; previously on 10/8/2002 Assigned A2 -- Cl. M-3, Downgraded to Ba1; previously on 10/8/2002 Assigned Baa2 ABFC 2003-AHL1 Trust -- Cl. M-4, Downgraded to Baa3; previously on 5/28/2003 Assigned Baa2 -- Cl. M-5, Downgraded to Ba2; previously on 1/22/2008 Baa3 Placed Under Review for Possible Downgrade ABFC 2003-WMC1 Trust -- Cl. M-2, Downgraded to Aa3; previously on 11/16/2006 Upgraded to Aaa -- Cl. M-3, Downgraded to A2; previously on 2/13/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Baa1; previously on 2/13/2008 A1 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Baa2; previously on 2/13/2008 A2 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Baa3; previously on 2/13/2008 A3 Placed Under Review for Possible Downgrade ABFC 2004-AHL1 Trust -- Cl. M-1, Downgraded to Aa2; previously on 3/19/2007 Upgraded to Aaa -- Cl. M-2, Downgraded to Baa1; previously on 3/19/2007 Upgraded to Aa2 -- Cl. M-3, Downgraded to Baa2; previously on 5/20/2004 Assigned A3 -- Cl. M-4, Downgraded to Baa3; previously on 5/20/2004 Assigned Baa1 -- Cl. M-5, Downgraded to Ba2; previously on 5/20/2004 Assigned Baa2 -- Cl. M-6, Downgraded to B1; previously on 5/20/2004 Assigned Baa3 -- Cl. M-7, Downgraded to B1; previously on 5/20/2004 Assigned Ba1 ABFC 2004-HE1 -- Cl. M-2, Downgraded to Baa2; previously on 9/7/2004 Assigned A2 -- Cl. M-3, Downgraded to Baa3; previously on 9/7/2004 Assigned A3 -- Cl. M-4, Downgraded to Ba1; previously on 9/7/2004 Assigned Baa1 -- Cl. M-5, Downgraded to Ba2; previously on 9/7/2004 Assigned Baa2 -- Cl. M-6, Downgraded to B3; previously on 9/7/2004 Assigned Baa3 ABFC 2004-OPT4 Trust -- Cl. M-1, Downgraded to A1; previously on 7/15/2004 Assigned Aa2 -- Cl. M-2, Downgraded to Baa1; previously on 7/15/2004 Assigned A2 -- Cl. M-3, Downgraded to Baa2; previously on 7/15/2004 Assigned A3 -- Cl. M-4, Downgraded to Baa3; previously on 7/15/2004 Assigned Baa1 ASSET BACKED: Moody's Takes Rating Actions on Various Securities ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating of 68 securities, confirmed the rating of 5 securities, and upgraded the rating of 4 securities from 20 transactions issued by Asset Backed Securities Corporation. 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 upgrades of the ratings of four tranches are based upon non- declining credit support due to cumulative losses exceeding their triggers, requiring all future payments to be paid to the most senior outstanding bond. The complete rating actions: Asset Backed Sec Corp HEL Trust 2001-HE3 -- Cl. A-1, Downgraded to Aa2; previously on 9/27/2001 Assigned Aaa -- Cl. M1, Downgraded to Baa2; previously on 9/27/2001 Assigned Aa2 -- Cl. M2, Downgraded to Baa3; previously on 9/27/2001 Assigned A2 -- Cl. B, Downgraded to Ba3; previously on 9/27/2001 Assigned Baa2 Asset Backed Sec Corp Hm Eqty Ln Tr 1999-LB1 -- A-1F, Downgraded to A3; previously on 11/16/2008 Upgraded to A1 -- A-2F, Downgraded to A3; previously on 11/16/2008 Upgraded to A1 Asset Backed Sec Corp Home Eqty Ln Tr 2002-HE1 -- Cl. M1, Downgraded to Aa3; previously on 1/29/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Baa3; previously on 1/29/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Ca; previously on 1/29/2008 Downgraded to Caa3 Asset Bckd Sec Corp Home Eqty Ln Tr, 2001-HE1 -- Cl. M-1, Downgraded to A1; previously on 3/30/2001 Assigned Aa2 -- Cl. M-2, Downgraded to B3; previously on 3/30/2001 Assigned A2 -- Cl. B, Downgraded to C; previously on 6/19/2007 Downgraded to B3 Asset Bkd Sec Co Home Eqty Loan Tr 2004-HE10 -- Cl. M2, Downgraded to A1; previously on 1/10/2005 Assigned Aa2 -- Cl. M3, Downgraded to Baa3; previously on 1/10/2005 Assigned A2 -- Cl. M4, Downgraded to Caa1; previously on 1/10/2005 Assigned Baa1 -- Cl. M5, Downgraded to C; previously on 1/10/2005 Assigned Baa2 -- Cl. M6, Downgraded to C; previously on 6/5/2008 Downgraded to Ba3 Asset Bkd Sec Corp Home Eqty Loan Tr 2003-HE4 -- Cl. M2, Downgraded to Baa2; previously on 8/22/2003 Assigned A2 -- Cl. M3, Downgraded to Baa3; previously on 8/22/2003 Assigned A3 -- Cl. M4, Downgraded to B2; previously on 8/22/2003 Assigned Baa2 -- Cl. M5-A, Downgraded to C; previously on 8/23/2007 Downgraded to Ba3 Asset Bkd Sec Corp Home Eqty Loan Tr 2003-HE5 -- Cl. M3, Downgraded to Baa2; previously on 9/11/2003 Assigned A3 -- Cl. M4, Downgraded to Ba1; previously on 9/11/2003 Assigned Baa2 -- Cl. M5, Downgraded to C; previously on 8/23/2007 Downgraded to B3 Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE1 -- Cl. M-5, Downgraded to Baa3; previously on 4/23/2004 Assigned Baa2 Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE2 -- Cl. M2, Downgraded to Baa1; previously on 5/17/2004 Assigned A2 -- Cl. M3, Downgraded to Baa2; previously on 5/17/2004 Assigned A3 -- Cl. M4, Downgraded to Baa3; previously on 5/17/2004 Assigned Baa1 -- Cl. M5A, Downgraded to Ba3; previously on 5/17/2004 Assigned Baa2 -- Cl. M5B, Downgraded to Ba3; previously on 5/17/2004 Assigned Baa2 -- Cl. M6, Downgraded to C; previously on 9/21/2007 Downgraded to Ba2 Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE3 -- Cl. M5, Downgraded to Baa3; previously on 6/18/2004 Assigned Baa2 -- Cl. M6, Downgraded to Ba2; previously on 9/21/2007 Downgraded to Ba1 -- Cl. M7, Downgraded to C; previously on 9/21/2007 Downgraded to B2 Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE4 -- Cl. M3, Downgraded to A1; previously on 8/9/2004 Assigned Aa2 -- Cl. M4, Downgraded to Ba2; previously on 6/5/2008 Downgraded to Baa3 -- Cl. M5, Downgraded to Ca; previously on 6/5/2008 Downgraded to Ba1 -- Cl. M6, Downgraded to C; previously on 6/5/2008 Downgraded to Caa1 -- Cl. M7, Downgraded to C; previously on 6/5/2008 Downgraded to Ca Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE5 -- Cl. M2, Downgraded to Baa3; previously on 8/2/2004 Assigned A2 -- Cl. M3, Downgraded to Ba1; previously on 8/2/2004 Assigned A3 -- Cl. M4, Downgraded to Ba3; previously on 8/2/2004 Assigned Baa1 -- Cl. M5, Downgraded to B3; previously on 8/2/2004 Assigned Baa2 -- Cl. M6, Downgraded to C; previously on 8/2/2004 Assigned Baa3 -- Cl. M7, Downgraded to C; previously on 8/2/2004 Assigned Ba1 Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE6 -- Cl. M1, Downgraded to A2; previously on 9/27/2004 Assigned Aa2 -- Cl. M2, Downgraded to Ba1; previously on 6/5/2008 Downgraded to Baa2 -- Cl. M3, Downgraded to B1; previously on 6/5/2008 Downgraded to Ba2 -- Cl. M4, Downgraded to Ca; previously on 6/5/2008 Downgraded to B1 -- Cl. M5, Downgraded to C; previously on 6/5/2008 Downgraded to B3 -- Cl. M6, Downgraded to C; previously on 6/5/2008 Downgraded to Caa1 Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE7 -- Cl. M2, Downgraded to Baa2; previously on 12/14/2004 Assigned A1 -- Cl. M3, Downgraded to Baa3; previously on 12/18/2008 Downgraded to Baa1 -- Cl. M4, Downgraded to Ba1; previously on 12/18/2008 Downgraded to Baa3 -- Cl. M5, Downgraded to Ba3; previously on 12/18/2008 Downgraded to Ba2 -- Cl. M6, Downgraded to Ca; previously on 12/18/2008 Downgraded to B2 -- Cl. M7, Downgraded to C; previously on 12/18/2008 Downgraded to Caa2 Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE8 -- Cl. M2, Downgraded to Baa3; previously on 1/10/2005 Assigned A2 -- Cl. M3, Downgraded to Ba2; previously on 1/10/2005 Assigned A3 -- Cl. M4, Downgraded to Ca; previously on 3/26/2008 Downgraded to Baa3 -- Cl. M5, Downgraded to C; previously on 3/26/2008 Downgraded to Ba2 -- Cl. M6, Downgraded to C; previously on 3/26/2008 Downgraded to B2 -- Cl. M7, Downgraded to C; previously on 3/26/2008 Downgraded to Ca Long Beach Home Equity Loan Trust 2000-LB1 -- Cl. M2F, Downgraded to Ca; previously on 6/9/2006 Downgraded to Caa2 -- Cl. M2V, Downgraded to B3; previously on 6/9/2006 Downgraded to B1 -- Cl. BV, Downgraded to C; previously on 1/5/2006 Downgraded to Caa3 Asset Bkd Sec Corp Home Eqty Ln Tr 2002-HE3 -- Cl. M-2, Upgraded to Aaa; previously on 10/31/2002 Assigned A2 -- Cl. M-3, Upgraded to Baa2; previously on 6/9/2006 Downgraded to Ba1 -- Cl. M-4, Downgraded to Caa3; previously on 6/9/2006 Downgraded to Ba3 Asset Bkd Sec Corp Home Eqty Ln Tr 2003-HE1 -- Cl. M2, Upgraded to Aa1; previously on 7/12/2006 Upgraded to Aa3 -- Cl. M3, Downgraded to Caa2; previously on 8/23/2007 Downgraded to B3 Asset Bkd Sec Corp Home Eqty Loan Tr 2003-HE2 -- Cl. M1, Confirmed at Aaa; previously on 1/29/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. M2, Confirmed at Aa3; previously on 1/29/2008 Aa3 Placed Under Review for Possible Downgrade -- Cl. M3, Confirmed at A3; previously on 1/29/2008 A3 Placed Under Review for Possible Downgrade -- Cl. M4, Confirmed at Baa2; previously on 1/29/2008 Baa2 Placed Under Review for Possible Downgrade -- Cl. M5, Confirmed at Ba2; previously on 1/29/2008 Ba2 Placed Under Review for Possible Downgrade Asset Backed Sec Corp Home Eqt Ln Tr 2002-HE2 -- Cl. M2, Upgraded to Aaa; previously on 6/17/2005 Upgraded to Aa3 AVALON CAPITAL: Moody's Downgrades Ratings on Various Classes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Avalon Capital Ltd. 3: -- US$400,000,000 Class A-1 Floating Rate Notes Due 2019, Downgraded to Aa3; previously on 3/2/2005 Assigned Aaa; -- US$50,000,000 Class A-2 Senior Variable Funding Floating Rate Notes Due 2019, Downgraded to Aa3; previously on 3/2/2005 Assigned Aaa; -- US$20,200,000 Class B Floating Rate Notes Due 2019, Downgraded to A3; previously on 3/18/2009 Aa2 Placed Under Review for Possible Downgrade; -- US$39,000,000 Class C Floating Rate Deferrable Notes Due 2019, Downgraded to Ba2; previously on 3/18/2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$40,800,000 Class D Floating Rate Deferrable Notes Due 2019, Downgraded to Caa3; previously on 3/18/2009 Downgraded to B3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for 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 overcollateralization tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2634 versus a test level of 2375 as of the last trustee report, dated May 11, 2009. Based on the same report, defaulted securities total about $57 million, accounting for roughly 10% of the collateral balance, and securities rated Caa1 or lower make up approximately 14% 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 Test Avalon Capital Ltd. 3, issued in February 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. AVENUE CLO: Moody's Junks Ratings on Class B-1L & B-1F Notes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Avenue CLO Fund, Ltd: -- US$286,000,000 Class A-L Floating Rate Notes Due 2017, Downgraded to Aa3; previously on December 20, 2004 Assigned Aaa; -- US$34,000,000 Class A-2L Floating Rate Notes Due 2017, Downgraded to Baa3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$19,000,000 Class A-3L Floating Rate Notes Due 2017, Downgraded to Ba3; previously on March 18, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$9,000,000 Class B-1L Floating Rate Notes Due 2017, Downgraded to Ca; previously on March 18, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$10,000,000 Class B-1F 6.59% Notes Due 2017, Downgraded to Ca; previously on March 18, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$10,000,000 Class B-2L Floating Rate Notes Due 2017, Downgraded to C; previously on March 18, 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 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 A, Class B-1, and Class B-2L 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 2400 as of the last trustee report, dated June 4, 2009. Based on the same report, defaulted securities total about $49.86 million, accounting for roughly 12.66% of the collateral balance, and securities rated Caa1 or lower make up approximately 12.3% of the underlying portfolio. Avenue CLO Fund, Ltd., issued in December of 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. AVENUE CLO: Moody's Junks Rating on Class C $13,000,000 Notes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Avenue CLO IV, Ltd: -- US$302,000,000 Class A Senior Secured Floating Rate Notes Due 2018 Downgraded to A3; previously on October 5, 2006 Assigned Aaa; -- US$39,500,000 Class B Second Priority Deferrable Floating Rate Notes Due 2018 Downgraded to B3; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$13,000,000 Class C Third Priority Deferrable Floating Rate Notes Due 2018 Downgraded to Ca; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$15,500,000 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. 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 A, Class B, Class C, and Class D Overcollateralization Test. The weighted average rating factor has steadily increased over the last year and it is currently at 2829 versus a test level of 2500 as of the last trustee report, dated April 28, 2009. Based on the same report, defaulted securities total about $28.9 million, accounting for roughly 7.6% of the collateral balance, and securities rated Caa1 or lower make up approximately 10.9% of the underlying portfolio. Moody's also notes that a material proportion of the collateral pool includes debt obligations whose credit quality has been approximated through Moody's credit estimates. Moody's analysis reflects the application of certain stresses with respect to the default probabilities associated with any such credit estimates that have not been recently updated. Avenue CLO IV, Ltd., issued in October of 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. BABSON CLO: Moody's Downgrades Ratings on Various 2008-I Notes -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Babson CLO Ltd. 2008-I: -- US$340,000,000 Class A Senior Floating Rate Notes Due 2018, Downgraded to Aa3; previously on June 20, 2008 Assigned Aaa; -- US$18,000,000 Class B Senior Floating Rate Notes Due 2018, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$13,000,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2018, Downgraded to B2; previously on March 20, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$16,500,000 Class E Deferrable Mezzanine Floating Rate Notes Due 2018, Downgraded to Ca; previously on March 20, 2009 Downgraded to Caa3 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings on these notes: -- US$16,000,000 Class C-1 Deferrable Mezzanine Floating Rate Notes Due 2018, Confirmed at Ba1; previously on March 20, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$5,000,000 Class C-2 Deferrable Mezzanine Fixed Rate Notes Due 2018, Confirmed at Ba1; previously on March 20, 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. 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 C, Class D and Class E Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently 2921 versus a test level of 2562 as of the last trustee report, dated May 11, 2009. Based on the same report, defaulted securities total about $40 million, accounting for roughly 9% of the collateral balance, and securities rated Caa1 or lower make up approximately 11.8% 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. Moody's also assessed the collateral pool's concentration risk in debt obligations of companies in the banking, finance, real estate, and insurance industries, which Moody's views to be more strongly correlated in the current market environment. Babson CLO Ltd. 2008-I, issued on June 20, 2008, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. BANC OF AMERICA: Fitch Affirms Ratings on 2002-2 Certificates ------------------------------------------------------------- Fitch Ratings affirms Banc of America Commercial Mortgage Inc. pass-through certificates, series 2002-2, and revises Outlooks as indicated: -- $143.8 million class A-2 at 'AAA', Outlook Stable; -- $975.2 million class A-3 at 'AAA', Outlook Stable; -- Interest only class XC at 'AAA', Outlook Stable; -- Interest only class XP at 'AAA', Outlook Stable; -- $64.7 million class B at 'AAA', Outlook Stable; -- $17.2 million class C at 'AAA', Outlook Stable; -- $12.9 million class D at 'AAA', Outlook Stable; -- $17.2 million class E at 'AAA', Outlook Stable; -- $21.6 million class F at 'AAA', Outlook Stable; -- $21.6 million class G at 'AAA', Outlook Stable; -- $19.4 million class H at 'AAA', Outlook Stable; -- $21.6 million class J at 'AA', Outlook Stable; -- $36.6 million class K at 'A', Outlook Stable; -- $12.9 million class L at 'BBB+', Outlook Stable; -- $12.9 million class M at 'BB+', Outlook to Negative from Stable; -- $16.9 million class N at 'BB-', Outlook to Negative from Stable; -- $6.8 million class O at 'B', Outlook to Negative from Stable. The $23 million class P is not rated by Fitch. Class A-1 has been paid in full. The affirmations are the result of sufficient credit enhancement and relatively stable performance since Fitch's last rating actions. As of the May 2008 distribution report, the transaction has paid down 17.4% to $1.42 billion from $1.74 billion at issuance. Currently, 55 loans (48%) are defeased, including two shadow rated loans, Bank of America Plaza - Atlanta (9%) and The Center at Preston Ridge (4.5%). The Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. Currently, 19 loans are considered Fitch loans of concern (8.6%) and include four loans in special servicing (2.3%). The largest specially serviced loan is secured by a 167-unit multifamily property in Canton, Michigan. The loan transferred in December 2008 for imminent default. As of September 2008, the property was 93% occupied and had a servicer reported debt service coverage ratio of 0.76 times (x). The special servicer is moving forward with foreclosure. The second largest specially serviced loan (0.7%) is secured by a 131,702 square foot office property located in Wayne, New Jersey. The loan transferred in July 2008 after the borrower indicated they would no longer be able to pay debt service. The servicer is moving forward with foreclosure. As of March 2008, the property's servicer reported DSCR was 0.07x. As of February 2009, occupancy was 21%. The final two specially serviced loans (0.4%) are collateralized by multifamily properties located in the Gulf Coast that have the same borrower. These loans transferred to the special servicer after the borrower refused to reimburse the master servicer for the force-placed windstorm insurance policy on the properties. The conflict went through litigation and the trust has prevailed on all claims related to the force-placed insurance; however, the borrower has appealed the decision. The issue is expected to be resolved before year-end 2009 with no losses. Additionally, one of the loans, METRA - Harper's Ferry (0.2%), is fully defeased. Fitch reviewed the transaction's one non-defeased shadow rated loan, the Crabtree Valley Mall, (10.9%). The 998,486 sf mall is located in Raleigh, North Carolina. The loan maintains its investment grade shadow rating based on stable performance. Occupancy as of December 2008 remains stable at 96%. The weighted average coupon for loans that remain in the pool is 7.1%. Non-defeased loans maturing in 2009, 2010, and 2011 represent 1.7%, 0.22%, and 45.4% of the pool, respectively. BANC OF AMERICA: S&P Corrects Rating on Class 3-A-4 Certificates ---------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on the super-senior class 3-A-4 certificates from Banc of America Funding Trust 2006-6 by raising it to 'AAA' from 'BB'. In addition, S&P is affirming the 'AAA' rating on this class. On June 8, 2009, as part of a larger review of U.S. residential mortgage-backed securities backed by prime jumbo collateral, S&P incorrectly lowered the 'AAA' rating on this class due to an analytical process error. At the same time, S&P removed the rating from CreditWatch with negative implications. The affirmation incorporates S&P's assessment of actual losses to date and S&P's projected losses based on the dollar amount of loans currently in the transaction's delinquency, foreclosure, and real estate owned pipelines, as well as S&P's projection of future defaults. Class 3-A-4 benefits from senior support classes designed to absorb a certain amount of losses before any applicable losses could affect this class. Rating Corrected Banc of America Funding Trust 2006-6 Series 2006-6 Rating ------ Class CUSIP Current June 8 Pre-June 8 ----- ----- ------- ------ ---------- 3-A-4 05950RBJ7 AAA BB AAA/Watch Neg BAYVIEW FINANCIAL: Moody's Confirms Ratings on 30 Tranches ---------------------------------------------------------- Moody's Investors Service has confirmed the ratings of thirty tranches issued in ten transactions ($567 million) and downgraded the ratings of sixty nine tranches issued in eight transactions ($1.2 billion) from the Bayview Financial Mortgage Pass-Through Trust shelf. The collateral backing each transaction consists primarily of first lien adjustable-rate and fixed-rate subprime and Alt-A mortgage loans. The pools also include small percentages of small balance commercial loans (except for 2006-D, 2007-A and 2007-B), insured mortgage loans and "hard money" mortgages, where loans have low loan-to-value ratios but their borrowers have very poor payments histories. The review is triggered by higher than anticipated delinquency levels and severity of loss as well as slower than anticipated voluntary prepayments, resulting in higher updated loss expectation for the underlying collateral and lower coverage for the rated debt given available credit enhancement. The ratings on the securities are monitored by evaluating factors determined to be applicable to the credit profile of the securities, such as i) the nature, sufficiency, and quality of historical performance information regarding the asset class ii) an analysis of the collateral being securitized, iii) an analysis of the transaction's allocation of collateral cash flow and capital structure, and (iv) a comparison of these attributes against those of other similar transactions. General loss estimation methodology is outlined below, separately for residential mortgage and for small business or commercial loans. Moody's calculates estimated losses for this RMBS collateral mix: -- Current delinquencies are used to project pipeline losses. -- Annual roll rates are assumed at 0% for 30 days, 15% for 60 days, 30% for 90 days, 65% for foreclosures and 90% for REO. -- Severities are based on actual historical severity for each pool. -- Loss is calculated for the previous year. Expected annual loss is then derived from a weighted average of previous year loss and expected pipeline loss. The transaction expected loss is projected out over the deal's expected remaining life. Depending on a transaction's time of origination, a 75% weight can be applied to pipeline loss when it is considered to be more representative of future expected performance than the previous year's losses. -- Expected loss is finally compared to credit enhancement to derive a rating. With respect to small balance commercial subpools, Moody's observed a rapid increase in late stage delinquencies over the past year as well as cumulative defaults to date. Moody's has reassessed cumulative expected defaults based on the analysis of the delinquency pipeline, delinquency roll rates and assumptions about the duration of the current economic downcycle. Loss estimates are subject to variability and, as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly if necessary. Complete rating actions are: Bayview Financial Mtge Pass-Through Tr 2004-C -- Cl. M-2, Confirmed at Aa1; previously on 5/21/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-3, Confirmed at Aa3; previously on 5/21/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-4, Confirmed at A3; previously on 5/21/2009 A3 Placed Under Review for Possible Downgrade -- Cl. B, Confirmed at Baa3; previously on 5/21/2009 Baa3 Placed Under Review for Possible Downgrade Bayview Financial Mtge Pass-Through Tr 2005-B -- Cl. M-1, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-2, Confirmed at Aa1; previously on 5/21/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-3, Confirmed at Aa3; previously on 5/21/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-4, Confirmed at A3; previously on 5/21/2009 A3 Placed Under Review for Possible Downgrade -- Cl. B-1, Confirmed at Baa2; previously on 5/21/2009 Baa2 Placed Under Review for Possible Downgrade Bayview Financial Mtge Pass-Through Tr 2005-C -- Cl. M-3, Downgraded to Baa1; previously on 5/21/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Baa2; previously on 5/21/2009 A3 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Baa3; previously on 5/21/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ba1; previously on 5/21/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. B-3, Confirmed at B3; previously on 5/21/2009 B3 Placed Under Review for Possible Downgrade Bayview Financial Mtge Pass-Through Tr 2005-D -- Cl. AF-4, Downgraded to Aa2; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Aa2; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A1; previously on 5/21/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to A3; previously on 5/21/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Baa2; previously on 5/21/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Baa3; previously on 5/21/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ba1; previously on 5/21/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-6, Confirmed at Ba3; previously on 5/21/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca; previously on 5/21/2009 Caa1 Placed Under Review for Possible Downgrade Bayview Financial Mtge Pass-Thru Tr 2006-A -- Cl. 1-A2, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A3, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A4, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A5, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A3, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A4, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A2; previously on 5/21/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Baa1; previously on 5/21/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Baa3; previously on 5/21/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ba1; previously on 5/21/2009 A3 Placed Under Review for Possible Downgrade -- Cl. B-1, Confirmed at B1; previously on 5/21/2009 B1 Placed Under Review for Possible Downgrade -- Cl. B-2, Confirmed at Caa1; previously on 5/21/2009 Caa1 Placed Under Review for Possible Downgrade Bayview Financial Mtge Pass-Thru Tr 2006-B -- Cl. 1-A2, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A3, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to A3; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to A1; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to A2; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A4, Downgraded to A1; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa3; previously on 5/21/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1; previously on 5/21/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3; previously on 5/21/2009 B2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 5/21/2009 B3 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C; previously on 5/21/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C; previously on 9/18/2008 Downgraded to Ca Bayview Financial Mtge Pass-Thru Tr 2006-C -- Cl. 1-A1, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Aa2; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to Baa1; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to Ba2; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to Baa3; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A1, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to A2; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to B3; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A4, Downgraded to B2; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 9/18/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 9/18/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 9/18/2008 Downgraded to Ca -- Cl. M-4, Downgraded to C; previously on 9/18/2008 Downgraded to Ca -- Cl. B-1, Downgraded to C; previously on 9/18/2008 Downgraded to Ca Bayview Financial Mtge Pass-Thru Tr 2006-D -- Cl. 1-A2, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to A2; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to Ba1; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to Baa2; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A2, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to Baa2; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A4, Downgraded to Baa1; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B3; previously on 5/21/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 5/21/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 9/18/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 9/18/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C; previously on 9/18/2008 Downgraded to Ca -- Cl. B-2, Downgraded to C; previously on 9/18/2008 Downgraded to Ca Bayview Financial Mtge Pass-Thru Tr 2007-A -- Cl. 1-A1, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A2, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to Aa3; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to Baa2; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to A2; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Ba1; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-IO, Confirmed at Aaa; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3; previously on 5/21/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 5/21/2009 B1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 9/18/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 5/21/2009 Caa2 Placed Under Review for Possible Downgrade Bayview Financial Mtge Pass-Thru Tr 2007-B -- Cl. 1-A1, Confirmed at Aaa; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Baa3; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to Ba3; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to Ca; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to B3; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to A1; previously on 5/21/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Baa3; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to Ca; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A4, Downgraded to Caa2; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A-IO, Confirmed at Aaa; previously on 9/18/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 5/21/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 9/18/2008 Downgraded to B2 and Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 5/21/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 9/18/2008 Downgraded to Ca BEAR STEARNS: Fitch Puts Ratings on 2007-PWR18 Notes on Neg. Watch ------------------------------------------------------------------ Fitch Ratings places these 17 classes of Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 on Rating Watch Negative: -- $182.5 million class A-J 'AAA'; -- $33.6 million class A-JA 'AAA'; -- $25 million class B 'AA+'; -- $25 million class C 'AA'; ; -- $18 million class D 'AA-' -- $25 million class E 'A+'; -- $18.8 million class F 'A'; -- $25 million class G 'A-'; -- $21.9 million class H 'BBB+'; -- $18.8 million class J 'BBB'; -- $25 million class K 'BBB-'; -- $9.4 million class L 'BB+'; -- $9.4 million class M 'BB'; -- $9.4 million class N 'BB-'; -- $6.3 million class O 'B+'; -- $3.1 million class P 'B'; -- $3.1 million class Q 'B-'. The Negative Watch reflects the transfer of five loans (12.5%) to special servicing since Fitch's last rating action. This brings the total number of loans in special servicing to six, which represents 12.9% of the pool. Four of the specially serviced loans (3.8%) are delinquent. Additionally, there is one loan in the pool (1.8%) that is 60+ days delinquent which Fitch considers to have a high likelihood of transferring to the special servicer in the near future. Two of the transfers are related to the General Growth Properties bankruptcy. GGP is the sponsor of the largest specially serviced loan (6.3%), GGP Portfolio, and the third largest specially serviced loan (2.8%), Southlake Mall. Both loans transferred in April 2009 after GGP filed for bankruptcy, and both properties were included in the filing. At a minimum, CMBS trusts, which include GGP loans, will incur additional servicing fees. The second largest specially serviced loan (3.1%), RRI Portfolio, is collateralized by 79 hotels in 24 states. The loan transferred to special servicing on June 5, 2009, for monetary default. Fitch expects to resolve the Negative Watch status of these classes in the next 60 days, and will incorporate updated information on the specially serviced loans as it becomes available. BEAR STEARNS: Moody's Cuts Ratings on Six 2007-HE7 Securities ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 6 securities issued by Bear Stearns Asset Backed Securities I Trust 2007-HE7. The collateral backing this transaction consists primarily of first-lien, fixed- and adjustable-rate, subprime residential mortgage loans. The actions are triggered by a combination of factors that can include increased delinquencies, higher loss severities, slower prepayments and mounting losses in the underlying collateral. Additionally, the continued deterioration of the housing market has also contributed to the increased loss expectations for subprime pools. The actions listed below reflect Moody's updated loss projections for the subprime RMBS sector first announced in a press release on February 29, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on collateral performance and updated pool-level loss expectations relative to current levels of tranche-specific credit enhancement. Moody's took into account credit enhancement provided by subordination, cross- collateralization, excess spread, time tranching, and other structural features. Complete rating actions are: Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE7 -- Cl. I-A-1, Downgraded to B1; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to B3; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Ca; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to B3; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to Ca; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade BLUE MOUNTAIN: Moody's Downgrades Ratings on Various Classes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Blue Mountain CLO II Ltd.: -- $215,000,000 Class A Senior Floating Rate Notes Due 2018 Downgraded to Aa3; previously on August 3, 2006 Assigned Aaa -- $80,000,000 Class A-2 Senior Delayed Draw Floating Rate Notes Due 2018 Downgraded to Aa3; previously on August 3, 2006 Assigned Aaa -- $23,000,000 Class B Senior Floating Rate Notes Due 2018 Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade -- $24,000,000 Class C Deferrable Mezzanine Floating Rate Notes Due 2018 Downgraded to Ba2; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade -- $15,500,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2018 Downgraded to B3; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade -- $11,500,000 Class E Deferrable Junior 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. 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 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 2915 versus a test level of 2700 as of the last trustee report, dated May 22, 2009. Based on the same report, defaulted securities total about $20.7 million, accounting for roughly 5.3% of the collateral balance, and securities rated Caa1 or lower make up approximately 8.5% of the Portfolio Collateral Value. 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. Blue Mountain CLO II Ltd., issued in July 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. BRENTWOOD CLO: Moody's Downgrades Ratings on Various Classes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Brentwood CLO, Ltd.: -- US$388,700,000 Class A-1A Floating Rate Senior Secured Extendable Notes Due 2022, Downgraded to Aa3; previously on December 21, 2006 Assigned Aaa; -- US$75,000,000 Class A-1B Delayed Drawdown Floating Rate Senior Secured Extendable Notes Due 2022, Downgraded to Aa3; previously on December 21, 2006 Assigned Aaa; -- US$51,500,000 Class A-2 Floating Rate Senior Secured Extendable Notes Due 2022, Downgraded to A3; previously on March 4, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$68,600,000 Class B Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2022, Downgraded to Ba3; previously on March 23, 2009 Downgraded to Ba2 and Placed Under Review for Possible Downgrade; -- US$23,800,000 Class C Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2022, Downgraded to Caa3; previously on March 23, 2009 Downgraded to Caa1 and Placed Under Review for Possible Downgrade; -- US$21,000,000 Class D Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2022, Downgraded to C; previously on March 23, 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 application of certain stresses with respect to the default probabilities associated with certain Moody's credit estimates, 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, 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 3147 versus a test level of 2840 as of the last trustee report, dated April 21, 2009. Based on the same report, defaulted securities total about $58 million, accounting for roughly 8.6% of the collateral balance, and securities rated Caa1 or lower make up approximately 12.9% of the underlying portfolio. Additionally, interest payments on the Class B, C, and D Notes are presently being deferred as a result of the failure of the Class A, Class B, and Class C Overcollateralization Tests. Moody's also assessed the collateral pool's concentration risk in companies in the banking, finance, real estate, and insurance industries, which Moody's views to be more strongly correlated in the current market environment. 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. Brentwood CLO, Ltd., issued in December of 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. BUSINESS LOAN: Fitch Takes Rating Actions on Four Transactions -------------------------------------------------------------- Fitch Ratings takes these rating actions on four Business Loan Express transactions: Business Loan Express SBA loan-backed adjustable-rate notes, series 1998-1 -- Class A downgraded to 'AA' from 'AAA'; remains on Rating Watch Negative. Business Loan Express SBA loan-backed adjustable-rate notes, series 2001-2 -- Class A downgraded to 'BBB' from 'A'; remains on Rating Watch Negative; -- Class M downgraded to 'B' from 'BB'; removed from Rating Watch Negative. Business Loan Express SBA loan-backed adjustable-rate notes, series 2002-1 -- Class A downgraded to 'AA' from 'AAA'; removed from Rating Watch Negative; -- Class M downgraded to 'BBB' from 'A'; removed from Rating Watch Negative. Business Loan Express Business loan-backed adjustable-rate notes, series 2002-A -- Class A affirmed at 'AAA'; removed from Rating Watch Negative; -- Class B affirmed at 'A'; removed from Rating Watch Negative. The negative rating actions reflect a continued deterioration within the transactions. Specifically, the transactions have continued to experience high delinquencies. As of May 2009 reporting, 30+ day delinquencies represented 38.26%, 25.94%, and 21.61% of the 1998-1, 2001-2, and 2002-1 pools, respectively. Furthermore, the 2001-2 and 2002-1 series are currently undercollateralized. Based on current delinquency trends, Fitch's analysis, detailed below, anticipates available credit support to decline for the outstanding notes. Additionally, the 1998-1 and 2001-2 transactions have continued to experience consistent delinquency bucket roll-forward rates. Based on historical performance, Fitch expects this trend to continue, which may result in further deterioration within the pools, and further declines in credit support for the senior notes. As a result, the class A notes for both the 1998-1 and 2001-2 series remain on Rating Watch Negative. The affirmations for the 2002-A series reflect relatively stable performance within the transaction. Although delinquencies have increased in recent months, with 30+ day delinquencies currently representing 16.07% of the pool, the transaction has not experienced additional net losses since Fitch's last review. Based on Fitch's analysis, credit support remains sufficient for the current rating levels. The transactions were initially placed on Watch Negative on March 13, 2009, due to Fitch's concern regarding increasing delinquency trends. Additionally, the Chapter 11 bankruptcy filing by the servicer in September 2008 remains a concern for Fitch. Fitch will continue to closely monitor these transactions and may take additional rating action in the event of changes in performance and credit enhancement measures. In its analysis, Fitch reviewed the transactions on an individual loan basis. As evidenced by recent roll rates within the transactions, early stage delinquencies have a high likelihood of rolling forward to later stage buckets. Accordingly, Fitch deemed all loans over 45 days delinquent as defaulted loans. Loss and recovery expectations were applied on the loans based on collateral characteristics (i.e. real estate, machinery and equipment, and accounts receivables) and historical recovery performance. Furthermore, additional haircuts were applied on various late stage delinquency buckets due to the historical roll rates seen within these late stage delinquency buckets. After determining expected losses on each loan, these expectations were applied to outstanding balances. Fitch was then able to assess the impact on enhancement levels. CABCO TRUST: Moody's Upgrades Ratings on Trust Certs. to 'Ba1' -------------------------------------------------------------- Moody's Investors Service announced that it has upgraded its rating of Trust Certificates issued by CABCO Trust for J. C. Penney Debentures. The rating action is: Class Description: Trust Certificates -- Current Rating: Ba1 -- Prior Rating: Ba3 -- Prior Rating Date: 06/12/2002 The transaction is a structured note whose ratings are based on the rating of the Term Assets and the legal structure of the transaction. CANNINGTON FUNDING: Moody's Downgrades Ratings on Various Notes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Cannington Funding Ltd.: -- US$337,500,000 Class A-1 Floating Rate Senior Notes Due 2020, Downgraded to Aa2; previously on 12/5/2006 Assigned Aaa; -- US$26,000,000 Class A-2 Floating Rate Senior Notes Due 2020, Downgraded to A2; previously on 3/4/2009 Aa2 Placed Under Review for Possible Downgrade; -- US$20,000,000 Class C Floating Rate Deferrable Senior Subordinate Notes Due 2020, Downgraded to B2; previously on 3/17/2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$14,000,000 Class D Floating Rate Deferrable Senior Subordinate Notes Due 2020, Downgraded to Ca; previously on 3/17/2009 Downgraded to Caa1 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings on these notes: -- US$26,000,000 Class B Floating Rate Deferrable Senior Subordinate 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 Overcollateralization Ratio Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2561 versus a test level of 2410 as of the last trustee report, dated May 13, 2009. Based on the same report, defaulted securities total about $25.2 million, accounting for roughly 5.6% of the collateral balance, and securities rated Caa1 or lower make up approximately 15.4% of the underlying portfolio. Additionally, interest payments on the Class C Notes and Class D Notes are presently being deferred as a result of the failure of the Overcollateralization Ratio Tests. Finally, Moody's 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. The majority of 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. Cannington Funding Ltd,, issued on November 16, 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. CAPMARK INVESTMENTS: Fitch Withdraws CDO Asset Manager Rating ------------------------------------------------------------- Fitch Ratings has withdrawn the 'CAM2' collateralized debt obligation asset manager rating assigned to Capmark Investments L.P., as a manager of CDOs backed by commercial real estate assets. A 'CAM2' rating reflects asset manager operations demonstrating low vulnerability to operational and investment management failure. On March 2, 2009, Fitch downgraded Capmark Investment's CAM rating to 'CAM2' from 'CAM1-' and simultaneously placed it on Rating Watch Negative. The rating actions reflected the weakening financial condition of Capmark Investment's parent company, Capmark Financial Group, Inc., as evidenced by the downgrade and placement on Rating Watch Negative of Capmark Financial's Issuer Default Rating to 'B-' from 'BBB-' on February 26, 2009. Given the lack of future access to senior management of Capmark Investments, Fitch does not believe it has sufficient information in order to maintain the CAM rating at this time. Furthermore, since the financial condition of Capmark Financial and its impact on Capmark Investments, remains uncertain, Fitch does not believe it has sufficient information to resolve the Rating Watch Negative status of the CAM rating prior to withdrawal. CDX.NA.HY.8 TRUST: Moody's Junks Rating on $1.3 Bil. Certs. ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded its rating of US$1,300,000,000 CDX.NA.HY.8-1 7.625% Credit-Linked Pass Through Trust Certificates issued by CDX.NA.HY.8 Trust 1 June 2012. The rating action is: Class Description: US$1,300,000,000 CDX.NA.HY.8-1 7.625% Credit- Linked Pass Through Trust Certificates -- Current Rating: Caa3 -- Prior Rating: B3 -- Prior Rating Date: 04/03/2007 The rating of the Certificates is directly linked to the average credit quality of performing Reference Entities comprising the Issuer's current underlying portfolio as well as the legal structure of the transaction. The rating action is primarily due to the continued deterioration in the credit quality of the Reference Entities as well as the Credit Events. CDX.NA.HY.8 TRUST: Moody's Junks Ratings on $350 Mil. Certs. ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded its rating of US$350,000,000 CDX.NA.HY.8-2 6.675% Credit-Linked Pass Through Trust Certificates issued by CDX.NA.HY.8 Trust 2 June 2012. The rating action is: Class Description: US$350,000,000 CDX.NA.HY.8-2 6.675% Credit- Linked Pass Through Trust Certificates -- Current Rating: Caa2 -- Prior Rating: B2 -- Prior Rating Date: 11/07/2008 The rating of the Certificates is directly linked to the average credit quality of performing Reference Entities comprising the Issuer's current underlying portfolio as well as the legal structure of the transaction. The rating action is primarily due to the continued deterioration in the credit quality of the Reference Entities as well as the Credit Events. CDX.NA.HY.8 TRUST: Moody's Junks Ratings on $500 Mil. Certs. ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded its rating of US$500,000,000 CDX.NA.HY.8-3 7.50% Credit-Linked Pass Through Trust Certificates issued by CDX.NA.HY.8 Trust 3 June 2012. The rating action is: Class Description: US$500,000,000 CDX.NA.HY.8-3 7.50% Credit- Linked Pass Through Trust Certificates -- Current Rating: Caa2 -- Prior Rating: B2 -- Prior Rating Date: 04/03/2007 The rating of the Certificates is directly linked to the average credit quality of performing Reference Entities comprising the Issuer's current underlying portfolio as well as the legal structure of the transaction. The rating action is primarily due to the continued deterioration in the credit quality of the Reference Entities as well as the Credit Events. CDX.NA.HY.9 TRUST: Moody's Cuts Rating on $700MM Certs. to 'Caa3' ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its rating of US$700,000,000 CDX.NA.HY.9-1 8.75% Credit-Linked Pass Through Trust Certificates issued by CDX.NA.HY.9 Trust 1 December 2012. The rating action is: Class Description: US$700,000,000 CDX.NA.HY.9-1 8.75% Credit- Linked Pass Through Trust Certificates -- Current Rating: Caa3 -- Prior Rating: Caa1 -- Prior Rating Date: 11/07/2008 The rating of the Certificates is directly linked to the average credit quality of performing Reference Entities comprising the Issuer's current underlying portfolio as well as the legal structure of the transaction. The rating action is primarily due to the continued deterioration in the credit quality of the Reference Entities as well as the Credit Events. CDX.NA.HY.9 TRUST: Moody's Cuts Ratings on $625MM Certs. to 'Caa3' ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded its rating of US$625,000,000 CDX.NA.HY.9-2 7.75% Credit-Linked Pass Through Trust Certificates issued by CDX.NA.HY.9 Trust 2 December 2010. The rating action is: Class Description: US$625,000,000 CDX.NA.HY.9-2 7.75% Credit- Linked Pass Through Trust Certificates -- Current Rating: Caa3 -- Prior Rating: Caa1 -- Prior Rating Date: 11/07/2008 The rating of the Certificates is directly linked to the average credit quality of performing Reference Entities comprising the Issuer's current underlying portfolio as well as the legal structure of the transaction. The rating action is primarily due to the continued deterioration in the credit quality of the Reference Entities as well as the Credit Events. CENT CDO: 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 Cent CDO XI Limited: -- $543,000,000 Class A-1 Floating Rate Senior Notes Due 2019 Downgraded to Aa2; previously on March 31, 2006 Assigned Aaa; -- $36,000,000 Class A-2 Floating Rate Senior Notes Due 2019 Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- $39,000,000 Class C Deferrable Floating Rate Senior Subordinate Notes Due 2019 Downgraded to B2; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade In addition, Moody's has confirmed the rating on these notes: -- $30,000,000 Class B Deferrable Floating Rate Senior Notes Due 2019 Confirmed at Ba1; previously on March 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 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 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 2798 versus a test level of 2550 as of the last trustee report, dated May 18, 2009. Based on the same report, defaulted securities total about $40.5 million, accounting for roughly 6% of the collateral balance, and securities rated Caa1 or lower make up approximately 12% of the underlying portfolio. Cent CDO XI Limited, issued in March 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. CHASE MORTGAGE: Moody's Downgrades Ratings on Nine 2006-S1 Notes ---------------------------------------------------------------- Moody's Investors Service has downgraded 9 tranches from Chase Mortgage Finance Trust 2006-S1. The collateral backing these transactions consists primarily of first-lien, fixed and adjustable rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions listed below reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: Issuer: Chase Mortgage Finance Trust 2006-S1 -- Cl. A-1, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade The ratings on the notes were assigned after evaluating factors determined applicable to the credit profile of the notes, such as: i) the nature, sufficiency, and quality of historical performance information available for the asset class as well as for the transaction sponsor, ii) collateral analysis, iii) an analysis of the policies, procedures and alignment of interests of the key parties to the transaction, most notably the originator and the servicer, iv) an analysis of the transaction's allocation of collateral cashflow and capital structure, v) an analysis of the transaction's governance and legal structure, and vi) a comparison of these attributes against those of other similar transactions. CHATHAM LIGHT: Moody's Downgrades Ratings on Various Classes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded and left under review for possible downgrade the ratings of these notes issued by Chatham Light CLO, Limited: -- US$27,000,000 Class B Fixed Rate Deferrable Senior Subordinate Notes due 2017, Downgraded to B3 and Placed Under Review for Possible Downgrade; previously on April 16, 2009 Baa2 Placed Under Review for Possible Downgrade. In addition, Moody's downgraded the ratings of these notes: -- US$19,000,000 Class C-1 Floating Rate Deferrable Senior Subordinate Notes due 2017, Downgraded to C; previously on April 16, 2009 Ba2 Placed Under Review for Possible Downgrade; -- US$5,000,000 Class C-2 Fixed Rate Deferrable Senior Subordinate Notes due 2017, Downgraded to C; previously on April 16, 2009 Ba2 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 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 and Class C OC Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 3338 versus a test level of 2593 as of the last trustee report, dated May 8, 2009. Based on the same report, defaulted securities total about $47 million, accounting for roughly 9% of the collateral balance, and securities rated Caa1 or lower make up approximately 23% of the underlying portfolio. Additionally, interest payments on the Class C Notes are presently being deferred as a result of the failure of the B OC Test. Class A-2 Notes and Class B 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. Chatham Light CLO, Limted, issued on December 15, 2004, is a synthetic collateralized loan obligation referencing primarily a portfolio of senior secured loans. CHL MORTGAGE: Moody's Downgrades Ratings on 196 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded 196 tranches and confirmed 2 tranches from 10 CHL Mortgage Pass-Through Trust deals issued in 2005. The collateral backing these transactions consists primarily of first-lien, fixed and adjustable-rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions listed below reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 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: CHL Mortgage Pass-Through Trust 2005-10 -- Cl. A-1, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade CHL Mortgage Pass-Through Trust 2005-12 -- Cl. 1-A-1, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to B1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to B2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to Ba3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-10, Downgraded to B2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-11, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade CHL Mortgage Pass-Through Trust 2005-16 -- Cl. A-1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to B1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to B1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-20, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-21, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-22, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-23, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-24, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-25, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-26, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-27, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-28, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-29, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-30, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-31, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade CHL Mortgage Pass-Through Trust 2005-19 -- Cl. 1-A-1, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Ba3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade CHL Mortgage Pass-Through Trust 2005-21 -- Cl. A-1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-20, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-21, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-22, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-23, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-24, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-25, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-26, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-27, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-28, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-29, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-30, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-31, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-32, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-33, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-34, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-35, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-36, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-37, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-38, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-39, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-40, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade CHL Mortgage Pass-Through Trust 2005-25 -- Cl. A-1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade CHL Mortgage Pass-Through Trust 2005-27 -- Cl. 1-A-1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to B2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to B2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to B2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to B2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade CHL Mortgage Pass-Through Trust 2005-31 -- Cl. 1-A-1, Downgraded to Caa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Ca; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-2, Downgraded to Caa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-3, Downgraded to Caa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-4, Downgraded to Ca; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade CHL Mortgage Pass-Through Trust 2005-6 -- Cl. 1-A-1, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Aa2 and remains on Review for Possible Downgrade; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Ba1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade CHL Mortgage Pass-Through Trust 2005-J2 -- Cl. 1-A-2, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to B2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to B2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-6, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-8, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-9, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-10, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-11, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-12, Downgraded to B2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-13, Downgraded to B2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-14, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-16, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B1; 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. CIFG ASSURANCE: S&P Junks Ratings on Eight Medium-Term Notes ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on eight CIFG Assurance North America Inc. insurance-supported medium-term note issues to 'CC' from 'BB'. The lowered ratings are based solely on the full financial guarantee insurance policies provided by CIFG, which guarantee the timely payment of interest and principal according to the transactions' terms. According to S&P's criteria, the issue rating on an insured bond reflects the higher of the rating on the bond insurer (monoline) or Standard & Poor's underlying rating on the securities. Since S&P did not assign SPURs to these transactions, the lowered ratings are based solely on the insurance policies that CIFG provides. The rating actions follow the June 15, 2009, lowering of S&P's financial strength rating on CIFG to 'CC' from 'BB'. Ratings Lowered Republic Holdings Texas II L.P. Rating ------ Series CUSIP To From ------ ----- -- ---- 2008-A 760488AB2 CC BB 2008-B 760488AD8 CC BB 2008-C 760488AF3 CC BB Whitecap New York Growth Fund LLC Rating ------ Series CUSIP To From ------ ----- -- ---- 2004 96466TAA9 CC BB Whitecap New York Growth Fund II LLC Rating ------ Series CUSIP To From ------ ----- -- ---- 2005 96466QAA5 CC BB Whitecap Texas Opportunity Fund L.P. Rating ------ Series CUSIP To From ------ ----- -- ---- 2005 96466VAA4 CC BB Whitecap Texas Opportunity Fund II L.P. Rating ------ Series CUSIP To From ------ ----- -- ---- 2008A 96466YAA8 CC BB 2008B 96466YAB6 CC BB CLYDESDALE CLO: Moody's Downgrades Ratings on Various Classes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Clydesdale CLO 2003 Ltd.: -- US$234,000,000 Class A Senior Secured Floating Rate Notes Due 2015, Downgraded to A1; previously on September 25, 2003 Assigned Aaa; -- US$19,000,000 Class B Second Priority Floating Rate Notes Due 2015, Downgraded to Ba2; previously on March 20, 2009 Downgraded to Baa2 and Placed Under Review for Possible Downgrade; -- US$13,000,000 Class C Third Priority Floating Rate Notes Due 2015, Downgraded to Caa3; previously on March 20, 2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade; -- US$10,000,000 Class D Fourth Priority Deferrable Floating Rate Notes Due 2018, Downgraded to C; previously on March 20, 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." 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 C and Class D Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2764 versus a test level of 2230 as of the last trustee report, dated May 8, 2009. Based on the same report, defaulted securities total about $22 million accounting for roughly 7.74% of the collateral balance. Additionally, interest payments on the Class D Notes are presently being deferred as a result of the failure of the Class C Overcollateralization Test. Clydesdale CLO 2003 Ltd., issued in September of 2003, is a collateralized loan obligation, backed primarily by a portfolio of senior secured loans. COMSTOCK FUNDING: Moody's Downgrades Ratings on Various Classes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Comstock Funding Ltd.: -- US$45,000,000 Class A-1A Floating Rate Senior Revolving Notes Due 2020, Downgraded to Aa2; previously on June 7, 2006 Assigned Aaa; -- US$280,500,000 Class A-lB Floating Rate Senior Notes Due 2020, Downgraded to Aa2; previously on June 7, 2006 Assigned Aaa; -- US$22,500,000 Class A-2 Floating Rate Senior Notes Due 2020, Downgraded to A3; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- US$19,000,000 Class A-3 Floating Rate Senior Notes Due 2020, Downgraded to Baa2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$23,000,000 Class B Floating Rate Deferrable Senior Subordinate Notes Due 2020, Downgraded to Ba3; previously on March 17, 2009 Downgraded to Ba2 and Placed Under Review for Possible Downgrade; -- US$25,000,000 Class C Floating Rate Deferrable Senior Subordinate Notes Due 2020, Downgraded to Caa3; previously on March 17, 2009 Downgraded to B2 and Placed Under Review for Possible Downgrade; -- US$14,000,000 Class D Floating Rate Deferrable Subordinate Notes Due 2020, 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. 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, an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and the failure of all overcollateralization tests. The amount of defaulted securities has steadily increased over the last year and currently totals about $21.6 million, accounting for roughly 4.8% of the collateral balance as of the latest trustee report, dated May 19, 2009. Based on the same report, securities rated Caa1 or lower make up approximately 15.7% of the underlying portfolio. Additionally, interest payments on the Class B, C and D Notes are presently being deferred as a result of the failure of the Class A, B, and 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 are currently assigned low speculative-grade ratings and carry depressed market valuations that may herald poor recovery prospects in the event of default. Comstock Funding Ltd., issued in June 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of the rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. COSTA BELLA: Fitch Downgrades Ratings on Eight Classes of Notes --------------------------------------------------------------- Fitch Ratings downgrades, assigns Recovery Ratings, and withdraws the ratings of eight classes of notes issued by Costa Bella CDO Ltd./Corp.: -- $221,708,772 class A-1 notes to 'D/RR6' from 'CCC'; withdrawn; -- $40,000,000 class A-2 notes to 'D/RR6' from 'CC'; withdrawn; -- $30,000,000 class B notes to 'D/RR6' from 'CC'; withdrawn; -- $5,000,000 class C notes to 'D/RR6' from 'CC'; withdrawn; -- $23,315,661 class D notes to 'D/RR6' from 'CC'; withdrawn; -- $18,682,128 class E notes to 'D/RR6' from 'CC'; withdrawn; -- $10,945,604 class F notes to 'D/RR6' from 'C'; withdrawn; -- $8,046,788 class G notes to 'D/RR6' from 'C'; withdrawn. Costa Bella declared an event of default on April 22, 2008 when the Sequential Pay Ratio fell below 100%. This EOD was the result of extensive collateral deterioration, specifically the weak performance of residential mortgage-backed securities, as 90.9% of the portfolio is rated below investment grade, of which 85.1% is considered 'CCC+' or below. As a remedy to the EOD, the majority of the controlling class (class A-1) directed the trustee to declare the principal and accrued and unpaid interest of all of the notes to be immediately due and payable, and the majority of the controlling class and the class A-2 noteholders (together, voting as a single class) notified the trustee that they were exercising the right to direct the trustee to sell and liquidate the collateral. Subsequently, the liquidation proceeds were distributed in accordance with the liquidation priority of payments on the final distribution date, Jan. 15, 2009. Furthermore, on the final distribution date the class A-1 notes received $19.8 million, an 8.2% recovery, leaving the notes with a $221.7 million cumulative principal loss, or 88.7% ultimate principal loss. Over the life of the transaction, the class A-1 notes delevered only 11.3%. The class A-2, B, C, D, E, F, and G notes did not receive any liquidation proceeds as the proceeds were insufficient to fully redeem class A-1, resulting in 100% losses to the subordinate classes. Costa Bella is a hybrid static collateralized debt obligation which closed in December 2006 with a portfolio selected by Pacific Investment Management Company LLC. Costa Bella is composed of 96.5% RMBS primarily from the 2005 through 2007 vintages, 1.7% structured finance CDOs from the 2006 vintage, 1% corporate bonds, and 0.8% commercial mortgage-backed securities. CREDIT AND REPACKAGED: S&P Affirms 'B-' Rating on 2006-14 Notes --------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its rating on the spread-based leveraged super-senior notes issued by Credit And Repackaged Securities Ltd.'s series 2006-14 and removed it from CreditWatch with negative implications. The affirmation and CreditWatch removal follow spread tightening in the credit default swap market. S&P believes that the spread- based LSS transaction has sufficient cushions and has a low probability of breaching its portfolio spread triggers; consequently, S&P affirmed the rating and removed it from CreditWatch negative. Rating Affirmed And Removed From Creditwatch Negative Credit And Repackaged Securities Ltd. Series 2006-14 Rating ------ Class To From ----- -- ---- Notes B- B-/Watch Neg CREDIT SUISSE: Moody's Affirms Ratings on Nine 2005-C1 Certs. ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of nine classes and downgraded 12 classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates 2005-C1. The downgrades are due to higher expected losses for the pool resulting from increased leverage, increased credit quality dispersion and anticipated losses from specially serviced loans. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 15, 2009 distribution date, the transaction's aggregate certificate balance has decreased by 6% to $1.4 billion from $1.5 billion at securitization. The Certificates are collateralized by 163 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top 10 loans representing 37% of the pool. Seventeen loans, representing 9% of the pool, have defeased and are collateralized by U.S. government securities. Forty four loans, representing 24% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has experienced a minimal loss of approximately $62,000 since securitization. There are currently nine loans, representing 12% of the pool, in special servicing. The largest specially serviced loan is the GGP Retail Portfolio ($112.0 million -- 7.8%), which is secured by four malls owned by General Growth Properties. These properties were included in GGP's April 16, 2009 Chapter 11 bankruptcy filing and the loan was subsequently transferred to special servicing. At this point, Moody's does not anticipate a loss on this loan. Moody's expects an aggregate $25.9 million loss (44% loss severity on average) from the remaining eight specially serviced loans. Moody's was provided with full and partial-year 2008 operating results for 51% and 53%, respectively, of the pool. Moody's average weighted loan to value ratio for the conduit component, excluding the eight specially serviced loans with anticipated losses, is 100% compared to 94% at Moody's prior full review in May 2007. In addition to increased leverage, the pool has experienced increased credit quality dispersion. Based on Moody's analysis, 47% of the pool has a LTV ratio in excess of 100% compared to 34% at last review and 12% of the conduit pool has a LTV ratio in excess of 120% compared to 2% at last review. The three largest loans represent 15.3% of the pool. The largest loan is the GGP Retail Portfolio Loan ($112.0 million -- 7.8%), which is secured by four regional malls containing 2.2 million square feet of GLA, of which 1.8 million is collateral for the loan. The properties are located in Wyoming, Idaho, Utah and Washington. The in-line space was 83% occupied as of 12/31/2007. The loan was transferred to special servicing due to the bankruptcy filing of its sponsor, GGP. Moody's analysis of this loan reflects a stressed cash flow to reflect concerns about the current weak retail environment and the potential impact of the bankruptcy on property performance. Moody's LTV is 107% compared to 91% at last review. The second largest loan is the Phelps Dodge Tower Loan ($54.5 million -- 3.8%), which is secured by a 409,900 square foot class A office building located in Phoenix, Arizona. The property is subject to a 50-year ground lease with the City of Phoenix. The property was 97% leased as of March 2009 compared to 95% at last review. The largest tenant is Freeport McMoran Cooper & Gold Inc. (Moody's senior unsecured rating Ba2, stable outlook; 46% NRA; lease expiration December 2011). The loan matures in January 2015 and is interest only for its entire term. Although property performance has been stable, Moody's analysis reflects a stressed cash flow due to Moody's concerns regarding the significant lease expirations prior to loan maturity and the weakening Phoenix office market. Moody's LTV is 94% compared to 82% at last review. The third largest loan is the Bexley Multifamily Portfolio Loan ($53.3 million -- 3.7%), which is secured by two Class A multifamily properties containing 820 units located in Charlotte, North Carolina. Moody's was not provided with recent financial statements for this property. The loan matures in November 2009. Moody's is concerned about this loan due to the weakening Charlotte multifamily market, the lack of recent financial information and near-term loan maturity. Moody's LTV is 119% compared to 111% at last review. Moody's rating action is: -- Class A-1, $30,703,273, affirmed at Aaa; previously affirmed at Aaa on 5/2/2007 -- Class A-2, $125,500,000, affirmed at Aaa; previously affirmed at Aaa on 5/2/2007 -- Class A-AB, $113,100,000, affirmed at Aaa; previously affirmed at Aaa on 5/2/2007 -- Class A-3, $181,606,000, affirmed at Aaa; previously affirmed at Aaa on 5/2/2007 -- Class A-4, $674,347,000, affirmed at Aaa; previously affirmed at Aaa on 5/2/2007 -- Class A-J, $92,510,000, affirmed at Aaa; previously affirmed at Aaa on 5/2/2007 -- Class A-X, Notional, affirmed at Aaa; previously affirmed at Aaa on 5/2/2007 -- Class A-SP, Notional, affirmed at Aaa; previously affirmed at Aaa on 5/2/2007 -- Class B, $43,423,000, affirmed at Aa2; previously affirmed at Aa2 on 5/2/2007 -- Class C, $13,216,000, downgraded to A2 from Aa3; previously affirmed at Aa3 on 5/2/2007 -- Class D, $24,543,000, downgraded to Baa1 from A2; previously affirmed at A2 on 5/2/2007 -- Class E, $18,880,000, downgraded to Baa2 from A3; previously affirmed at A3 on 5/2/2007 -- Class F, $20,767,000, downgraded to Baa3 from Baa1; previously affirmed at Baa1 on 5/2/2007 -- Class G, $15,104,000, downgraded to Ba2 from Baa2; previously affirmed at Baa2 on 5/2/2007 -- Class H, $18,880,000, downgraded to B1 from Baa3; previously affirmed at Baa3 on 5/2/2007 -- Class J, $5,663,000, downgraded to B2 from Ba1; previously affirmed at Ba1 on 5/2/2007 -- Class K, $5,664,000, downgraded to B3 from Ba2; previously affirmed at Ba2 on 5/2/2007 -- Class L, $5,664,000, downgraded to Caa1 from Ba3; previously affirmed at Ba3 on 5/2/2007 -- Class M, $5,664,000, downgraded to Caa2 from B1; previously affirmed at B1 on 5/2/2007 -- Class N, $5,664,000, downgraded to Caa3 from B2; previously affirmed at B2 on 5/2/2007 -- Class O, $3,776,000, downgraded to Caa3 from B3; previously affirmed at B3 on 5/2/2007 CREDIT SUISSE: Moody's Reviews Ratings on 2005-C2 Certificates -------------------------------------------------------------- Moody's Investors Service placed 16 classes of Credit Suisse First Boston Mortgage Securities Corporation, Commercial Mortgage Pass- Through Certificates, Series 2005-C2 on review for possible downgrade as a result of higher expected losses for the pool associated with loans in special servicing. Most recently, on May 26, 2009, the pool's third largest loan, Washington Mutual Irvine Campus, was transferred to special servicing. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 15, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 4% to $1.55 billion from $1.61 billion at securitization. The Certificates are collateralized by 168 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top 10 loans representing 45% of the pool. Twenty-nine loans, representing 16% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Seven loans, representing 12% of the pool, are currently in special servicing. The largest loan in special servicing is Washington Mutual Irvine Campus Loan ($106.0 million -- 6.9%), which is secured by a 415,000 square foot office complex located in Irvine, California. The loan was transferred to special servicing on May 26, 2009 for imminent default. Upon acquiring Washington Mutual, JPMorgan reached an agreement with regulators to reject the lease on this property. JPMorgan vacated a portion of the space in March 2009, leaving the property 40% occupied. In February 2010, JPMorgan intends to vacate the remaining space at the property. The loan is interest-only for the full term and matures in December 2011. Moody's review will focus on the performance of the overall pool and potential losses from specially serviced loans. Moody's rating action is: -- Class A-MFL, $80,000,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 7/23/2007 -- Class A-MFX, $80,508,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 7/23/2007 -- Class A-J, $110,350,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 7/23/2007 -- Class B, $30,095,000, currently rated Aa2, on review for possible downgrade; previously affirmed at Aa2 on 7/23/2007 -- Class C, $16,051,000, currently rated Aa3, on review for possible downgrade; previously affirmed at Aa3 on 7/23/2007 -- Class D, $28,089,000, currently rated A2, on review for possible downgrade; previously affirmed at A2 on 7/23/2007 -- Class E, $18,057,000, currently rated A3, on review for possible downgrade; previously affirmed at A3 on 7/23/2007 -- Class F, $20,064,000, currently rated Baa1, on review for possible downgrade; previously affirmed at Baa1 on 7/23/2007 -- Class G, $16,050,000, currently rated Baa2, on review for possible downgrade; previously affirmed at Baa2 on 7/23/2007 -- Class H, $20,064,000, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 7/23/2007 -- Class J, $8,025,000, currently rated Ba1, on review for possible downgrade; previously affirmed at Ba1 on 7/23/2007 -- Class K, $8,026,000, currently rated Ba2, on review for possible downgrade; previously affirmed at Ba2 on 7/23/2007 -- Class L, $8,025,000, currently rated Ba3, on review for possible downgrade; previously affirmed at Ba3 on 7/23/2007 -- Class M, $2,007,000, currently rated B1, on review for possible downgrade; previously affirmed at B1 on 7/23/2007 -- Class N, $6,019,000, currently rated B2, on review for possible downgrade; previously affirmed at B2 on 7/23/2007 -- Class O, $6,019,000, currently rated B3, on review for possible downgrade; previously affirmed at B3 on 7/23/2007 CSMC MORTGAGE-BACKED: Moody's Downgrades Ratings on 37 Tranches --------------------------------------------------------------- Moody's Investors Service has downgraded 37 tranches from CSMC Mortgage-Backed Trust Series 2007-2. The collateral backing the transaction consists primarily of first-lien, fixed-rate, Alt-A mortgage loans. The actions are triggered by rapidly increasing delinquencies, higher severities, slower prepayments and mounting losses in the underlying collateral. Additionally, the continued deterioration of the housing market has also contributed to the increased loss expectations for Alt-A pools. The actions listed below reflect Moody's updated expected losses on the Alt-A sector announced in a press release on January 22, 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, excess spread, 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: CSMC Mortgage-Backed Trust Series 2007-2 -- Cl. 1-A-1, Downgraded to Ba2; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Ba2; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa1; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa1; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Ca; previously on 10/23/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Ca; previously on 10/23/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Ca; previously on 10/23/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to Caa1; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Downgraded to Caa1; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa1; previously on 10/23/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to A1; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Aa3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Aa3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-6, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-8, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-9, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-10, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-11, Downgraded to B3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-13, Downgraded to B3; previously on 10/23/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-14, Downgraded to Ca; previously on 10/23/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-15, Downgraded to Baa3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Aa3; previously on 10/23/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B3; previously on 3/26/2007 Assigned Aaa The ratings on the notes were assigned by evaluating factors determined to be applicable to the credit profile of the notes, such as i) the nature, sufficiency, and quality of historical performance information regarding the asset class as well as for the transaction sponsor, ii) an analysis of the collateral, 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. DENALI CAPITAL: Moody's Downgrades Ratings on Various Notes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Denali Capital CLO IV, Ltd.: -- US$312,000,000 Class A Senior Secured Notes Due 2016, Downgraded to Aa3; previously on August 25, 2004 Assigned Aaa; -- US$22,000,000 Class C Senior Secured Deferrable Interest Notes Due 2016, Downgraded to B2; previously on March 18, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$8,000,000 Class D Subordinated Secured Deferrable Interest Notes Due 2016, Downgraded to Ca; previously on March 18, 2009 Downgraded to Caa3 and Placed Under Review for Possible Downgrade; -- US$7,500,000 Class 1 Composite Securities Due 2016, Downgraded to B1; previously on August 25, 2004, Assigned Baa3; -- US$11,000,000 Class 2 Composite Securities Due 2016, Downgraded to Ba3; previously on August 25, 2004, Assigned Baa1; -- US$1,850,000 Class 3 Composite Securities Due 2016, Downgraded to Ca; previously on August 25, 2004, Assigned Caa2; -- US$3,250,000 Class 4 Composite Securities Due 2016, Downgraded to B1; previously on August 25, 2004, Assigned Ba2. In addition, Moody's has confirmed the rating on these notes: -- US$26,000,000 Class B Senior Secured Deferrable Interest Notes Due 2016, Confirmed at Ba1; previously on March 18, 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. 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 C and Class D Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently 2990 versus a test level of 2780 as of the latest trustee report, dated May 11, 2009. Based on the same report, defaulted securities total about $28.7 million, accounting for roughly 7.5% of the collateral balance, and securities rated Caa1 or lower make up approximately 12% of the underlying portfolio. Denali Capital CLO IV, Ltd., issued on August 25, 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. DOW JONES: Moody's Junks Ratings on $325 Mil. Certs. From 'B1' -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its rating of US$325,000,000 Dow Jones CDX.NA.HY.7-2 7.125% Credit- Linked Trust Certificates issued by Dow Jones CDX.NA.HY.7 Trust 2 December 2011. The rating action is: Class Description: US$325,000,000 Dow Jones CDX.NA.HY.7-2 7.125% Credit-Linked Trust Certificates -- Current Rating: Caa2 -- Prior Rating: B1 -- Prior Rating Date: 11/07/2008 The rating of the Certificates is directly linked to the average credit quality of performing Reference Entities comprising the Issuer's current underlying portfolio as well as the legal structure of the transaction. The rating action is primarily due to the continued deterioration in the credit quality of the Reference Entities as well as the Credit Events. DOW JONES: Moody's Junks Rating on $400 Mil. Certs. From 'B3' ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its rating of US$400,000,000 Dow Jones CDX.NA.HY.7-3 8.000% Credit- Linked Trust Certificates issued by Dow Jones CDX.NA.HY.7 Trust 3 December 2011. The rating action is: Class Description: US$400,000,000 Dow Jones CDX.NA.HY.7-3 8.000% Credit-Linked Trust Certificates -- Current Rating: Caa3 -- Prior Rating: B3 -- Prior Rating Date: 10/31/2006 The rating of the Certificates is directly linked to the average credit quality of performing Reference Entities comprising the Issuer's current underlying portfolio as well as the legal structure of the transaction. The rating action is primarily due to the continued deterioration in the credit quality of the Reference Entities as well as the Credit Events. DOW JONES: Moody's Junks Ratings on $550 Mil. Certs. From 'B3' -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its rating of US$550,000,000 Dow Jones CDX.NA.HY.6-3 8.125% Credit- Linked Trust Certificates issued by Dow Jones CDX.NA.HY.6 Trust 3 June 2011. The rating action is: Class Description: US$550,000,000 Dow Jones CDX.NA.HY.6-3 8.125% Credit-Linked Trust Certificates -- Current Rating: Caa3 -- Prior Rating: B3 -- Prior Rating Date: 6/28/2006 The rating of the Certificates is directly linked to the average credit quality of performing Reference Entities comprising the Issuer's current underlying portfolio as well as the legal structure of the transaction. The rating action is primarily due to the continued deterioration in the credit quality of the Reference Entities as well as the Credit Events. DOW JONES: Moody's Cuts Ratings on $725 Mil. Certs. to 'Caa3' ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its rating of US$725,000,000 Dow Jones CDX.NA.HY.5-3 8.25% Credit- Linked Trust Certificates issued by Dow Jones CDX.NA.HY.5 Trust 3 December 2010. The rating action is: Class Description: US$725,000,000 Dow Jones CDX.NA.HY.5-3 8.25% Credit-Linked Trust Certificates -- Current Rating: Caa3 -- Prior Rating: Caa2 -- Prior Rating Date: 11/07/2008 The rating of the Certificates is directly linked to the average credit quality of performing Reference Entities comprising the Issuer's current underlying portfolio as well as the legal structure of the transaction. The rating action is primarily due to the continued deterioration in the credit quality of the Reference Entities as well as the Credit Events. DOW JONES: Moody's Cuts Ratings on $1.25 Bil. Certs. to 'Ca' ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded its rating of US$1,250,000,000 Dow Jones CDX.NA.HY.3-3 8% Credit- Linked Trust Certificates issued by Dow Jones CDX.NA.HY.3 Trust 3 December 2009. The rating action is: Class Description: US$1,250,000,000 Dow Jones CDX.NA.HY.3-3 8% Credit-Linked Trust Certificates -- Current Rating: Ca -- Prior Rating: Caa1 -- Prior Rating Date: 11/07/2008 The rating of the Certificates is directly linked to the average credit quality of performing Reference Entities comprising the Issuer's current underlying portfolio as well as the legal structure of the transaction. The rating action is primarily due to the continued deterioration in the credit quality of the Reference Entities as well as the Credit Events. DOW JONES: Moody's Cuts Ratings on $2.25 Bil. Certs. to 'Caa3' -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its rating of US$2,250,000,000 Dow Jones CDX.NA.HY.4-1 8.25% Credit- Linked Trust Certificates issued by Dow Jones CDX.NA.HY.4 Trust 1 June 2010. The rating action is: Class Description: US$2,250,000,000 Dow Jones CDX.NA.HY.4-1 8.25% Credit-Linked Trust Certificates -- Current Rating: Caa3 -- Prior Rating: Caa1 -- Prior Rating Date: 11/07/2008 The rating of the Certificates is directly linked to the average credit quality of performing Reference Entities comprising the Issuer's current underlying portfolio as well as the legal structure of the transaction. The rating action is primarily due to the continued deterioration in the credit quality of the Reference Entities as well as the Credit Events. DRYDEN VI: Moody's Downgrades Ratings on Various 2004 Notes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded and left under review for possible downgrade the ratings of these notes issued by Dryden VI-Leveraged Loan CDO 2004 Inc.: -- US$4,000,000 Class B-1 Floating Rate Deferrable Senior Subordinate Notes Due 2016, Downgraded to B1 and Placed Under Review for Possible Downgrade; previously on April 16, 2009 Baa1 Placed Under Review for Possible Downgrade; -- US$24,000,000 Class B-2 Fixed Rate Deferrable Senior Subordinate Notes Due 2016, Downgraded to B1 and Placed Under Review for Possible Downgrade; previously on April 16, 2009 Baa1 Placed Under Review for Possible Downgrade; -- US$10,000,000 Class Q-2 Securities Due 2016, Downgraded to B3 and Placed Under Review for Possible Downgrade; previously on April 16, 2009 Ba2 Placed Under Review for Possible Downgrade. In addition, Moody's downgraded the ratings of these notes: -- US$23,000,000 Class C-1 Floating Rate Deferrable Senior Subordinate Notes Due 2016, Downgraded to Caa3; previously on April 16, 2009 Ba1 Placed Under Review for Possible Downgrade; -- US$5,000,000 Class C-2 Fixed Rate Deferrable Senior Subordinate Notes Due 2016, Downgraded to Caa3; previously on April 16, 2009 Ba1 Placed Under Review for Possible Downgrade; -- US$9,000,000 Class Q-1 Securities Due 2016, Downgraded to Ba3; previously on April 16, 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, 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 B and Class C Overcollateralization Ratio Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2653 versus a test level of 2335 as of the last trustee report, dated April 20, 2009. Based on the same report, defaulted securities total about $57.2 million accounting for roughly 10% of the collateral balance and securities rated Caa1 or lower make up approximately 9% of the underlying portfolio. In addition, interest payments on the Class C Notes are presently being deferred as a result of the failure of the Class B Overcollateralization Ratio Test. Class A-2 Notes, Class B-1 Notes, Class B2 Notes, and Class Q-2 Securities remain under 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. Dryden VI-Leveraged Loan CDO 2004 Inc, issued on May 27, 2004, is a synthetic collateralized loan obligation referencing primarily a portfolio of senior secured loans. FIRST HORIZON: Moody's Downgrades Ratings on 71 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded 71 tranches and confirmed 12 tranches from 11 First Horizon Jumbo transactions. The collateral backing these transactions consists primarily of first-lien, fixed and adjustable-rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions listed below reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. First Horizon Mortgage Pass-Through Trust 2005-5 -- Cl. I-A-4, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade First Horizon Mortgage Pass-Through Trust 2005-7 -- Cl. A-1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade First Horizon Mortgage Pass-Through Trust 2006-3 -- Cl. I-A-4, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-5, Downgraded to Baa3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to Ba1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. I-A-7, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-8, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-10, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-11, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-12, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-13, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-14, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-15, Downgraded to Ba2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. I-A-PO, Downgraded to Ba1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Baa3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. II-A-PO, Downgraded to Baa3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade First Horizon Mortgage Pass-Through Trust 2007-1 -- Cl. A-1, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ca; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Caa1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade First Horizon Mortgage Pass-Through Trust 2007-2 -- Cl. I-A-3, Downgraded to B3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to Caa1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade First Horizon Mortgage Pass-Through Trust 2007-4 -- Cl. I-A-10, Downgraded to Ba2; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. I-A-16, Downgraded to Ba2; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. I-A-17, Downgraded to Ba2; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade First Horizon Mortgage Pass-Thru Trust 2005-1 -- Cl. I-A-1, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-5, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to A3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-8, Downgraded to A2; previously on 5/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-9, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade First Horizon Mortgage Pass-Thru Trust 2005-2 -- Cl. I-A-1, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-5, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-7, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-PO, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Confirmed at Aa1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-A-PO, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-1, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-2, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade First Horizon Mortgage Pass-Thru Trust 2005-3 -- Cl. A-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Baa1; 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 First Horizon Mortgage Pass-Thru Trust 2005-4 -- Cl. I-A-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-5, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-7, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-8, Downgraded to Baa1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-9, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-PO, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Aa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-PO, Downgraded to Aa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade First Horizon Mtge Pass-Through Trust 2005-AR1 -- Cl. I-A-1, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-3, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-4, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to Aa2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to Aa2; 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. FIRST UNION: Moody's Reviews Ratings on 2001-C1 Certificates ------------------------------------------------------------ Moody's Investors Service placed 12 classes of First Union National Bank- Bank of America, N.A., Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2001-C1 on review for possible downgrade due to higher expected losses for the pool resulting from anticipated losses from loans in special servicing. Most recently, on June 2, 2009, the pool's second largest loan, EmeryTech, which represents 3.6% of the pool, was transferred to special servicing. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 15, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 22% to $1.02 billion from $1.32 billion at securitization. The Certificates are collateralized by 155 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top 10 loans representing 24% of the pool. Thirty loans, representing 17% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eight loans, representing 9% of the pool, are currently in special servicing. The largest loan in special servicing is EmeryTech ($37.0 million -- 3.6%), which is secured by a 224,000 square foot office building located in Emeryville, California. The loan was transferred to special servicing due to imminent default. The property was 67% occupied as of March 2009. Large tenants have recently vacated the building including Washington Mutual (18% NRA) and LV Sensor (6%). The Borrower has indicated that he has a potential tenant for some of Washington Mutual's former space, however, the prospective tenant would not move in until next year. The loan is amortizing on a 30 year schedule and matures in December 2010. Moody's review will focus on the performance of the overall pool and potential losses from specially serviced loans. Moody's rating action is: -- Class C, $26,166,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 8/13/2007 -- Class D, $26,165,000, currently rated Aa1, on review for possible downgrade; previously upgraded to Aa1 from Aa2 on 8/13/2007 -- Class E, $16,354,000, currently rated Aa3, on review for possible downgrade; previously upgraded to Aa3 from A1 on 8/13/2007 -- Class F, $13,082,000, currently rated A1, on review for possible downgrade; previously upgraded to A1 from A3 on 8/13/2007 -- Class G, $26,166,000, currently rated Baa1, on review for possible downgrade; previously upgraded to Baa1 from Baa2 on 8/13/2007 -- Class H, $16,354,000, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 8/13/2007 -- Class J, $19,624,000, currently rated Ba1, on review for possible downgrade; previously affirmed at Ba1 on 8/13/2007 -- Class L, $13,083,000, currently rated Ba3, on review for possible downgrade; previously affirmed at Ba3 on 8/13/2007 -- Class M, $6,541,000, currently rated B1, on review for possible downgrade; previously affirmed at B1 on 8/13/2007 -- Class N, $9,812,000, currently rated B3, on review for possible downgrade; previously affirmed at B3 on 8/13/2007 -- Class O, $13,083,000, currently rated Caa3, on review for possible downgrade; previously affirmed at Caa3 on 8/13/2007 -- Class P, $4,284,460, currently rated Ca, on review for possible downgrade; previously affirmed at Ca on 8/13/2007 FIRST UNION-LEHMAN: Moody's Affirms Ratings on 10 1998-C2 Certs. ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of ten classes and downgraded two class of First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 1998-C2. The downgrades are due to higher expected losses for the pool resulting from anticipated losses from specially serviced loans. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 18, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 78% to $745.0 million from $3.4 billion at securitization. The Certificates are collateralized by 180 loans ranging in size from less than 1% to 13% of the pool, with the top 10 loans representing 41% of the pool. The pool includes two loans with investment grade underlying ratings, representing 23% of the pool, and a credit tenant lease component, representing 18% of the pool. Twenty-three loans, representing 13% of the pool, have defeased and are collateralized with U.S. Government securities. Nineteen loans, representing 15% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirty-eight loans have been liquidated from the pool, resulting in an aggregate $43.3 million realized loss. Currently there are twelve loans, representing 5% of the pool, in special servicing. Moody's estimates an aggregate loss of $19.3 million (51% loss severity on average) for the specially serviced loans. Moody's was provided with full year 2008 operating results for 87% of the pool, excluding the CTL and defeased loans. Moody's weighted average loan to value ratio for the conduit component is 75%, essentially the same as at Moody's prior review in July 2008. The largest loan with an underlying rating is the Broadmoor Austin Loan ($96.3 million -- 12.9%), which is secured by an eight- building, 1.2 million square foot office complex located in Austin, Texas. The property is 100.0% leased to International Business Machines Corporation (Moody's senior unsecured rating A1 -- stable outlook) through March 2011. IBM has two five-year lease extensions. Although property performance has been stable, Moody's is concerned about the 100% lease expiration prior to loan maturity. The loan has an Anticipated Repayment Date in April 2011 with a final maturity in April 2023. Moody's valuation of this loan assumes that IBM will extend their lease but at a market rent. IBM's current rent is approximately 15% above market. Moody's current underlying rating is Baa1 compared to A2 at last review. The second largest loan with an underlying rating is the IBM Corporate Office Complex Loan ($71.3 million -- 9.6%), which is secured by a five-building, 1.1 million square foot office complex located in Somers, New York. The property is 100.0% leased to IBM under a triple net lease that is coterminous with the loan maturity in October 2013. The loan fully amortizes during the term and has amortized by approximately 15% since last review. Property performance has been stable. Moody's current underlying rating is Aa2 compared to Aa3 at last review. The top three non-defeased conduit loans represent 10.8% pool. The largest conduit loan is the First Union Plaza Loan ($56.6 million -- 7.6%), which is secured by a 612,000 square foot office building located in Atlanta, Georgia. As of December 2008, the property was 74% occupied, essentially the same as at last review. Major tenants include Sutherland, Asbill and Brennan, LP (41.0% NRA; lease expiration April 2015) and Heery International (13.0%; lease expiration September 2017). The loan is on the servicer's watchlist due to high vacancy. Performance has declined since last review because of decreased rental revenues. Moody's LTV is 97% compared to 86% at last review. The second largest conduit loan is the Burke Center Loan ($14.0 million -- 1.9%), which is secured by a 213,000 square foot retail center located in Burke (Fairfax County), Virginia. The center was 100% occupied as of December 2008. Major tenants include Kohl's, Safeway and CVS. Moody's LTV is 44%, essentially the same as at last review. The third largest conduit loan is the Clearwater Crossing Shopping Center Loan ($9.9 million -- 1.3%), which is secured by a 124,700 square foot retail center located in Indianapolis, Indiana. The center was 93% occupied as of December 2008. Major tenants include Babies 'R' Us, Barnes & Noble and Office Max. Performance has declined due to lower rent and higher expenses. Moody's LTV is 88% compared to 72% at last review. The CTL component includes 58 loans secured by properties leased under bondable leases. The largest exposures are Brinker International, Inc. (38% of CTL component; Moody's senior unsecured rating Ba2 -- stable outlook), Rite Aid (14%; Moody's LT senior unsecured rating Caa3 -- negative outlook) and Walgreen Co. (12%; Moody's senior unsecured rating A2 -- stable outlook). Moody's rating action is: -- Class IO, Notional, affirmed at Aaa; previously affirmed at Aaa on 7/17/2008 -- Class B, $4,437,945, affirmed at Aaa; previously affirmed at Aaa on 7/17/2008 -- Class C, $ 170,402,000, affirmed at Aaa; previously affirmed at Aaa on 7/17/2008 -- Class D, $204,483,000, affirmed at Aaa; previously affirmed at Aaa on 7/17/2008 -- Class E, $68,161,000, affirmed at Aaa; previously affirmed at Aaa on 7/17/2008 -- Class F, $51,121,000, affirmed at Aaa; previously affirmed at Aaa on 7/17/2008 -- Class G, $102,241,582, affirmed at Aa3; previously upgraded to Aa3 from Baa1 on 7/17/2008 -- Class H, $17,040,241, affirmed at Baa1; previously upgraded to Baa1 from Baa3 on 7/17/2008 -- Class J, $34,080,482, affirmed at B1; previously affirmed at B1 on 7/17/2008 -- Class K, $51,120,723, downgraded to Caa2 from Caa1; previously affirmed at Caa1 on 7/17/2008 -- Class L, $34,080,482, downgraded to Ca from Caa3; previously affirmed at Caa3 on 7/17/2008 -- Class M, $7,822,779, affirmed at C; previously affirmed at C on 7/17/2008 FLAGSHIP CLO: Moody's Downgrades Ratings on Various Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded these notes issued by Flagship CLO III: -- US$234,000,000 Class A Senior Secured Floating Rate Funded Notes due 2016, Downgraded to A1; previously on August 31, 2004 Assigned Aaa; -- US$35,400,000 Class A Senior Secured Floating Rate Revolving Notes due 2016, Downgraded to A1; previously on August 31, 2004 Assigned Aaa; -- US$29,400,000 Class B Second Priority Deferrable Floating Rate Notes due 2016, Downgraded to Ba2; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$13,000,000 Class C Third Priority Deferrable Floating Rate Notes due 2016, Downgraded to B3; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$10,600,000 Class D Fourth Priority Deferrable Floating Rate Notes due 2016, 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 second lien loans and senior unsecured 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 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 2914 versus a test level of 2746 as of the last trustee report, dated May 5, 2009. Based on the same report, defaulted securities total about $15.39 million, accounting for roughly 4.6% of the collateral balance, and securities rated Caa1 or lower make up approximately 15% of the underlying portfolio. Additionally, interest payments on the Class D Notes are presently being deferred as a result of the failure of the Class B and Class C Overcollateralization Tests. Flagship CLO III, issued in August 2004, is a collateralized loan obligations backed primarily by a portfolio of senior secured loans. FRANKLIN CLO: Moody's Downgrades Ratings on Various Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Franklin CLO VI, Ltd.: -- US$272,000,000 Class A Senior Secured Floating Rate Notes Due 2019, Downgraded to Aa3; previously on July 26, 2007 Assigned Aaa; -- US$38,000,000 Class B Senior Secured Floating Rate Notes Due 2019, Downgraded to Baa2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$18,000,000 Class C Senior Secured Deferrable Floating Rate Notes Due 2019, Downgraded to Ba3; previously on March 13, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$15,000,000 Class D Senior Secured Deferrable Floating Rate Notes Due 2019, Downgraded to Caa3; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$11,500,000 Class E Senior Secured Deferrable Floating Rate Notes Due 2019, 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. 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 C, D, E Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2780 versus a test level of 2683 as of the last trustee report, dated May 26, 2009. Based on the same report, defaulted securities total about $19.7 million accounting for roughly 5.5% 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 and Class E Notes are presently being deferred as a result of the failure of the Class C and Class D Overcollateralization Tests. Franklin CLO VI, Ltd., issued in July 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Moody's Approach to Rating Collateralized Loan Obligations (December 31, 2008). In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of the rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. GALAXY IV: 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 Galaxy IV CLO, Ltd.: -- $235,000,000 Class A-1 Senior Term Notes Due 2017, Downgraded to Aa3; previously on March 24, 2005 Assigned Aaa; -- $65,000,000 Class A-2 Senior Delayed Draw Notes Due 2017, Downgraded to Aa3; previously on March 24, 2005 Assigned Aaa; -- $21,000,000 Class B Senior Floating Rate Notes Due 2017, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- $25,000,000 Class C Deferrable Mezzanine Notes Due 2017, Downgraded to Ba2; previously on March 18, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- $14,500,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2017, Downgraded to Caa3; previously on March 18, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- $5,500,000 Class D Deferrable Mezzanine Fixed Rate Notes Due 2017, Downgraded to Caa3; previously on March 18, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- $8,000,000 Class Z Combination Notes, Downgraded to B2; previously on March 4, 2009 Baa3 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 Mezzanine Overcollateralization Test, Maximum Average Rating Factor Test, and Moody's Rating of Caa1 or Caa2 or S&P Rating of CCC+ or CCC Portfolio Profile Test. The weighted average rating factor has steadily increased over the last year and it is currently at 3134 versus a test level of 2655 as of the last trustee report, dated May 7, 2009. Based on the same report, defaulted securities total about $19.24 million, accounting for roughly 4.9% of the collateral balance, and securities rated Caa1 or lower make up approximately 9.6% of the underlying portfolio. Galaxy IV CLO, Ltd., issued on March 24, 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. GENERAL AMERICAN: Moody's Downgrades Ratings on Certificates ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded certificates issued by General American Railcar Corporation 1997- 1, 1998-1 and 1999-1 pass through trusts. The certificates are backed by cash generated from pools of leases on railcars. The complete rating actions are: Issuer: General American Railcar Corporation 1997-1 Pass Through Trust -- $69,806,186 Pass Through Certificates, Series 1997-1, downgraded to Ba3 from A3; previously on February 13, 2009, A3, Placed under Review for Possible Downgrade Issuer: General American Railcar Corporation 1998-1 Pass Through Trust -- $97,566,965 Pass Through Certificates, Series 1998-1, downgraded to Ba2 from A2; previously on February 13, 2009, A2, Placed under Review for Possible Downgrade Issuer: General American Railcar Corporation 1999-1 Pass Through Trust -- $67,125,744 Pass Through Certificates, Series 1999-1, downgraded to Ba3 from A1; previously on February 13, 2009, A1, Placed under Review for Possible Downgrade The rating actions are based on the analysis of the adequacy of cash generated from the railcar leases net of operating expenses to service the debt due to the bondholders. These deals were first downgraded in 2004 due to continuous downward pressure on the lease rates as well as increased operating expenses. Since 2004 the expenses have continued to grow even though the revenues have been relatively stable. The increased expenses have resulted in less than expected net cash flow available to pay down bonds. Specifically, the historical coverage ratio (defined as cash generated from the leases net of operating expenses for the last six months divided by lessee rent due in the last six months) is less than 1x for all three deals. As a result, GARC 1997-1 has not been able to retire principal according to its scheduled amortization schedule and there is no cash available in the cash trap account to cover the shortfalls in scheduled principal payments. The other two GARC deals, 1998-1 and 1999-1, are currently drawing amounts from their respective cash trap accounts to make scheduled principal payments. Moody's has developed a monitoring cash flow model for the transactions. Monte Carlo simulation was performed using statistical distributions for some of the key variables such as the lease rates, maintenance costs and utilization rate. Each of the variables were randomized and boundaries established to capture a range of likely outcomes by stressing GARC's historical experience. The simulated cash flows were used to make all required payments per the priority of payments, including interest and principal payments due on the certificates. A resulting loss of yield to investors, if any, was calculated. The yield reduction as well as the probability of default of the certificates was used to determine the ratings. GENESIS CLO: Moody's Downgrades Ratings on 2007-1 Notes ------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Genesis CLO 2007-1, Ltd.: -- US$1,570,000,000 Class A Senior Secured Floating Rate Notes, Due 2014, Downgraded to Aa2; previously on March 4, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$110,000,000 Class B Senior Secured Floating Rate Notes, Due 2014, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings on these notes: -- US$70,000,000 Class C Senior Secured Deferrable Floating Rate Notes, Due 2014, Confirmed at Ba1; previously on March 23, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$50,000,000 Class D Secured Deferrable Floating Rate Notes, Due 2014, Confirmed at B1; previously on March 23, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$40,000,000 Class E Secured Deferrable Floating Rate Notes, Due 2014, Confirmed at Caa3; previously on March 23, 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," the application of certain stresses with respect to the default probabilities associated with certain Moody's credit estimates, 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 Class C, D, and E Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 3,604 versus a closing date level of 2,400 as of the last trustee report, dated June 1, 2009. Based on the same report, defaulted securities total about $138.3 million, accounting for roughly 8% of the collateral balance, and securities rated Caa1 or lower make up approximately 21.7% of the underlying portfolio. Additionally, interest payments on the Class D and E Notes are presently being deferred as a result of the failure of the Class C and D Overcollateralization Tests. Genesis CLO 2007-1, Ltd., issued in October 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of the rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. HALCYON LOAN: Moody's Downgrades Ratings on Various Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Halcyon Loan Investors CLO II, Ltd.: -- US$270,500,000 Class A-1-S Senior Secured Floating Rate Notes due 2021, Downgraded to A2; previously on April 17, 2007 Assigned Aaa; -- US$30,250,000 Class A-1-J Senior Secured Floating Rate Notes due 2021, Downgraded to Baa3; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- US$23,000,000 Class A-2 Senior Secured Floating Rate Notes due 2021, Downgraded to Ba2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$18,500,000 Class B Senior Secured Deferrable Floating Rate Notes due 2021, Downgraded to B3; previously on March 17, 2009, Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$21,750,000 Class C Senior Secured Deferrable Floating Rate Notes due 2021, Downgraded to Ca; previously on March 17, 2009, Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$15,500,000 Class D Secured Deferrable Floating Rate Notes due 2021, 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. 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 Class A, B, C, and D Overcollateralization Ratio Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 3150 versus a test level of 2656 as of the last trustee report, dated May 13, 2009. Based on the same report, defaulted securities total about 24.1 million, accounting for roughly 6.0% of the collateral balance, and securities rated Caa1 or lower make up approximately 18.5% of the underlying portfolio. Additionally, interest payments on the Class B Notes, Class C Notes and Class D Notes are presently being deferred as a result of the failure of the Class A, B, and C Overcollateralization Ratio Tests. Halcyon Loan Investors CLO II, Ltd., issued in April 2007, is a collateralized loan obligation, backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of the rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. HEWETT 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 III, Ltd.: -- US$321,500,000 Class A-1 Senior Secured Notes due August 2017, Downgraded to A3; previously on August 19, 2005 Assigned Aaa; -- US$14,800,000 Class A-2 Senior Secured Notes Due August 2017, Downgraded to Ba1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$12,700,000 Class B-1 Deferrable Amortizing Senior Secured Notes Due August 2017, Downgraded to Ba3; previously on March 18, 2009, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$14,800,000 Class B-2 Deferrable Senior Secured Notes Due August 2017, Downgraded to B3; previously on March 18, 2009, Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$14,800,000 Class C Deferrable Senior Secured Notes Due August 2017, Downgraded to Ca; previously on March 18, 2009, Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$14,800,000 Class D Deferrable Subordinated Secured Notes Due August 2017, Downgraded to C; previously on March 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 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 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 overcollateralization tests. The weighted average rating factor has increased over the last year and is currently 2406 versus a test level of 2260 as of the latest trustee report, dated May 1, 2009. Based on the same report, defaulted securities total about $39.7 million, accounting for roughly 10% of the collateral balance, and securities rated Caa1 or lower make up approximately 12% of the underlying portfolio. Additionally, interest payments on the Class B-1 Notes, Class B-2 Notes, Class C Notes, and Class D Notes are presently being deferred as a result of the failure of the overcollateralization tests. Hewett's Island CLO III, Ltd., issued in August, 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. HUDSON CANYON: Moody's Downgrades Ratings on Two Classes of Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of two classes of notes issued by Hudson Canyon Funding II, Ltd.: -- US$291,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due October 27, 2020, Downgraded to Aa1; previously on May 8, 2008 Assigned Aaa; -- US$10,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due October 27, 2020, Downgraded to A1; previously on March 4, 2009 Aaa Placed Under Review for Possible Downgrade. Additionally, Moody's has confirmed the ratings of these notes: -- US$46,000,000 Class B Third Priority Mezzanine Secured Deferrable Floating Rate Notes Due October 27, 2020, Confirmed at Ba3; previously on March 20, 2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade; -- US$5,000,000 Class C Fourth Priority Mezzanine Secured Deferrable Floating Rate Notes Due October 27, 2020, Confirmed at B3; previously on March 20, 2009 Downgraded to B3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by 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 and Class C overcollateralization tests. The weighted average rating factor has steadily increased over the last year and is currently 2851 versus a test level of 2712 as of the latest trustee report, dated 5/15/09. Based on the same report, defaulted securities total about $43 million, accounting for roughly 10.5% of the collateral balance, and securities rated Caa1 or lower make up approximately 8% of the underlying portfolio. Hudson Canyon Funding II, Ltd., issued in April of 2008, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. IMC HOME: Moody's Cuts Underlying Rating on 1998-7 Notes to 'Ba1' ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one security from IMC Home Equity Loan Trust 1998-7. This action is part of an ongoing review of subprime RMBS transactions. The rating action is 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 70%. The results of these two calculations -- Recent Losses and Pipeline Losses -- are weighted to arrive at the lifetime cumulative loss projection. The complete rating actions: Issuer: IMC Home Equity Loan Trust 1998-7 -- Class A, Current Rating: Aa3, on review for possible downgrade -- Current Underlying Rating: Downgraded to Ba1; previously on 6/18/2008 Published at Baa1 -- Financial Guarantor: Financial Security Assurance Inc. (Aa3 Placed Under Review for Possible Downgrade on 5/20/2009) IMC HOME: Moody's Downgrades Ratings on 1998-7 Security to 'Ba1' ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one security from IMC Home Equity Loan Trust 1998-7. This action is part of an ongoing review of subprime RMBS transactions. The rating action is 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 70%. The results of these two calculations -- Recent Losses and Pipeline Losses -- are weighted to arrive at the lifetime cumulative loss projection. The complete rating actions follow: Issuer: IMC Home Equity Loan Trust 1998-7 -- Class A, Current Rating: Aa3, on review for possible downgrade -- Current Underlying Rating: Downgraded to Ba1; previously on 6/18/2008 Published at Baa1 -- Financial Guarantor: Financial Security Assurance Inc. (Aa3 Placed Under Review for Possible Downgrade on 5/20/2009) IMPAC SECURED: Moody's Downgrades Ratings on Class 1-A2-A Certs. ---------------------------------------------------------------- Moody's Investors Service has downgraded Class 1-A2-A from Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2006-2. The Rating action is: Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2006-2 -- Cl. 1-A2-A, Downgraded to Ca; previously on 4/24/2008 Downgraded to A2 The collateral backing the transaction consists primarily of first-lien, fixed and adjustable-rate, Alt-A mortgage loans. The downgrade is driven by the complete erosion of the overcollateralization and junior bonds, leaving the senior bonds exposed to future losses. The current tranche factor for the downgraded bond is 2.48%. The tranche was benefiting from a sequential pay structure which allowed for rapid amortization. However, principal distribution will now be paid to all the Class 1-A certificates pro rata based on the certificate principal balance, and losses will be allocated pro rata as well. The rating on the note was assigned by evaluating factors determined to be applicable to the credit profile of the notes, such as i) the nature, sufficiency, and quality of historical performance information regarding the asset class as well as for the transaction sponsor, ii) an analysis of the collateral, 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. INDYMAC HOME: Moody's Downgrades Ratings on 2007-2 Notes -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of the Notes issued in IndyMac Home Equity Loan Trust 2004-2 transaction. Underlying securities' collateral consists primarily of second lien home equity lines of credit. The ratings on the securities were monitored by evaluating factors Moody's determined to be essential in the analysis of securities backed by such loans. The salient factors include; i) the nature, sufficiency, and quality of historical loan performance information, ii) the collateral composition and pool credit performance including loan delinquency and loss data, iii) the transaction's capital structure and related allocations of collateral cash flows and losses, and iv) a comparison of current credit enhancement levels to updated Moody's pool loss projections based on present collateral credit performance. The securities are guaranteed by the financial guarantors identified below. The underlying ratings generally reflect the intrinsic credit quality of the securities in the absence of the guarantee. The current ratings on the below -- noted securities are consistent with Moody's practice of rating such insured securities at the higher of the guarantor's insurance financial strength rating and the underlying or intrinsic rating. When analyzing underlying ratings for CES and HELOC transactions, Moody's projects cumulative losses for each deal based on a collateral analysis of the deal's Constant Prepayment Rate and Constant Default Rate. CPR is based on the average of the last six months 1-month CPR. There are two approaches for determining pool CDR. The first approach calculates CDR based on pool loan losses from the previous twelve months, i.e. recent losses. A second approach is based on pipeline losses -- losses derived from days-aged delinquencies and Moody's assumptions for default based on days delinquent, in foreclosure, or liquidation, and the severity of loss given default. Moody's assumes 100% severity for second liens, including both CES and HELOCs. After the CDR is calculated using the two methods, the effective CDR for loss projection purposes is determined by using a weighted average of the CDRs as determined by the recent loss and pipeline loss approaches -- with weightings determined on a transaction by transaction basis. Moody's assumes that the CDR will not decline for the next three years and will decline subsequently for the life of the deal under a schedule, typically reducing by 50% in year 4 and remaining constant thereafter. Based on calculated CPR and CDR, Moody's calculates projected deal-specific cumulative losses and the weighted average life of the deal. The credit enhancement calculation can also include credit for excess spread, i.e the aggregate, positive difference in the weighted average loan coupon and the all-inclusive securities' interest and deal fees, including servicing. Excess spread benefit is calculated by multiplying the stressed annualized excess spread by the weighted average life of the deal. Aggregate credit enhancement which combines subordination benefit (including overcollateralization and/or reserve accounts) and excess spread benefit is compared with projected cumulative losses for the deal to derive coverage multiples and associated ratings by deal tranche. Moody's will analyze tranche coverage multiples after consideration of timing of tranche repayment and allocation of losses (if any). Complete rating actions are: Issuer: IndyMac Home Equity Loan Trust 2004-2 -- Notes, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Baa2 and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Currently Ba3) GENESIS CLO: Moody's Downgrades Ratings on Various 2007-2 Notes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Genesis CLO 2007-2 Ltd.: -- US$1,236,000,000 Class A Senior Secured Floating Rate Notes, Due 2016, Downgraded to Aa2; previously on March 23, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$65,000,000 Class B Senior Secured Floating Rate Notes, Due 2016, Downgraded to A3; previously on March 4, 2009 Aa2 Place Under Review for Possible Downgrade; -- US$48,000,000 Class F Secured Deferrable Floating Rate Notes, Due 2016, Downgraded to C; previously on March 23, 2009 Downgraded to Caa3 and Place Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings on these notes: -- US$70,000,000 Class C Senior Secured Deferrable Floating Rate Notes, Due 2016, Confirmed at Ba1; previously on March 23, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$55,000,000 Class D Secured Deferrable Floating Rate Notes, Due 2016, Confirmed at B3; previously on March 23, 2009 Downgraded to B3 and Placed Under Review for Possible Downgrade; -- US$46,000,000 Class E Secured Deferrable Floating Rate Notes, Due 2016, Confirmed at Caa3; previously on March 23, 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," the application of certain stresses with respect to the default probabilities associated with certain Moody's credit estimates, 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 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 Class C, D, E and F Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 3,726 versus a closing date level of 2,690 as of the last trustee report, dated June 1, 2009. Based on the same report, defaulted securities total about $95.8 million, accounting for roughly 6.7% of the collateral balance, and securities rated Caa1 or lower make up approximately 19.3% of the underlying portfolio. Additionally, interest payments on the Class C, D, E and F Notes are presently being deferred as a result of the failure of the Class A/B, C, D, and E Overcollateralization Tests. Genesis CLO 2007-2 Ltd., issued in December 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Moody's Approach to Rating Collateralized Loan Obligations (December 31, 2008). In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of the rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. JFK MEDICAL: Moody's Withdraws 'Ba3' Rating on Outstanding Bonds ---------------------------------------------------------------- Moody's Investors Service will withdraw the Ba3 rating assigned to JFK Medical Center/Hartwyck at Oak Tree (NJ) outstanding bonds upon the refunding and consequently, the defeasance, of the outstanding bonds by debt to be issued through the New Jersey Hospital Asset Transformation Program. The refunding is expected to occur on June 18, 2009. The bonds are payable solely from anticipated contract payments to be made by the State of New Jersey from its general fund. Moody's has assigned an A1 to the Contract Bonds, which reflects the need for annual legislative appropriation of the contract payments, as well as the state's credit quality (general obligation bond rating of Aa3). The outlook is stable. The bonds are the third issuance under the state's Hospital Asset Transformation Program, which was established to assist non-profit hospitals. The program was devised after the New Jersey Advisory Commission on Hospitals, in 1999, recommended closures to address excess hospital capacity. Enabling legislation was passed in 2000 in order to facilitate such actions. Proceeds of bonds issued by the authority under this program are used to defease the debt of non-profit hospitals in connection with mergers and closures amid a statewide consolidation of acute-care providers and to provide capital for the enhancement and transition of acute care services to the acquirer entity. Moody's analysis is based on Solaris Health System, parent organization of JFK Medical Center/Hartwyck at Oak Tree and Muhlenberg Regional Medical Center. Proceeds of the 2009A State Contract Bonds will refinance the outstanding bonds of MRMC and JFK. MRMC was closed in August 2008; the Series 2009A bonds will also provide new money debt for capital improvements at JFK to accommodate the additional patient volume at JFK that had previously been treated at MRMC. For additional information on the HAPT program, please see Moody's credit report dated June 9, 2009. Rated Debt To Be Defeased (debt outstanding as of December 31, 2008): -- $11.72 million outstanding, Series 1993, FGIC insured, JFK Obligated Group issue -- $20.615 million outstanding, Series 1995, FGIC insured, JFK Obligated Group issue -- $41.565 million outstanding, Series 1998, MBIA insured, JFK Obligated Group issue -- $17.275 million outstanding, Series 2000, Ambac insured, Muhlenberg Regional Medical Center issue, annual debt service guaranteed by Solaris Non-Rated Debt -- $15.2 million outstanding, Series 2003 COMP pooled financing, Wachovia LOC, JFK Medical Center -- $17.935 million outstanding, Series 2005 COMP pooled financing, Wachovia LOC, JFK Medical Center -- $11.861 million outstanding, Series 2001, Whispering Knoll and Hartwyck West, Commerce Bank LOC The last rating action was on October 10, 2008, when the Watchlist was extended for the Ba3 rating of JFK Medical Center/Hartwyk at Oak Tree and the Watchlist directional was changed from uncertain to downgrade. JP MORGAN: Moody's Affirms Ratings on 14 2005-CIBC11 Notes ---------------------------------------------------------- Moody's Investors Service affirmed the ratings of 14 classes and downgraded nine classes of J.P. Morgan Chase Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005- CIBC11 due to anticipated losses from specially serviced loans, increased credit quality dispersion and concerns about loans approaching maturity. Three loans, representing 10.4% of the pool, mature within the next twelve months. Two of these loans, representing 9.6% of the pool, have a Moody's stressed debt service coverage ratio less than 1.0x. The action is the result of Moody's on-going surveillance of commercial mortgaged-back securities transactions. As of the May 16, 2009 distribution date, the transaction's aggregate principle balance has decreased by approximately 4% to $1.72 billion from $1.80 billion at securitization. The Certificates are collateralized by 143 loans, ranging in size from less than 1% to 9% of the pool, with the top 10 loans representing 46% of the pool. At securitization the Memorial Office Portfolio Loan ($75.1 million -- 4.4%) had an investment grade underlying rating. The loan no longer has an underlying rating because of a decline in performance and the loan is now analyzed as part of the conduit pool. Thirty one loans, representing 8% 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 $1.1 million realized loss. Currently there are seven loans, representing 3% of the pool, in special servicing. Moody's is estimating an aggregate $15.5 million loss from these specially serviced loans (44% loss severity on average). Moody's was provided with year-end 2008 operating results for 80% of the pool. Moody's weighted average loan to value ratio for the conduit component is 98%, compared to 97% at Moody's prior review in May 2007. Although the pool's overall leverage has been relatively stable, the pool has experienced increased credit quality dispersion since last review. Based on Moody's analysis, approximately 45% of the pool has a Moody's LTV ratio in excess of 100% compared to 42% at last review and 7% of the pool has an LTV in excess of 120%. The loan that previously had an underlying rating is the Memorial Office Portfolio Loan ($75 million -- 4.4%), which is secured by four office properties totaling 1.1 million square feet located in Houston, Texas. The portfolio was 97% occupied as of March 2009 compared to 95% at last review. The largest tenant, Devon Energy, will be vacating 145,669 square feet (14% of the NRA) at the expiration of its lease on July 31, 2009. Most of this space has been released to Cabot Oil ("Cabot"; 96,772 square feet; 9% NRA), but Cabot's rent, which is at market, is 25% lower than Devon's. Due to the anticipated decrease in base revenues, the loan no longer has an underlying rating and is now analyzed as part of the conduit component. Moody's current LTV is 80% compared to 70% at last review. The top three loans represent 22% of the pool. The largest loan is the DRA Fixed Pool Loan ($147.7 million -- 8.6%), which is secured by six anchored retail centers totaling 912,000 square feet. The properties are located in California (4), Florida and New Jersey. The portfolio's weighted average occupancy as of year-end 2008 was 95% compared to 92% at last review. The loan matures in January 2010. Moody's LTV is 109%, compared to 107% at last review. The second largest loan is the Southridge Mall Loan ($124.0 million -- 7.2%), which is secured by the borrower's interest in a 1.2 million square foot (617,000 square feet is collateral) regional shopping mall located in Greendale, Wisconsin. The center was 78% occupied as of December 2008 compared to 98% at last review. The increase in vacancy is largely attributed to the closing of Steve & Barry's and Linen 'N Things. Financial performance has declined due to the center's increased vacancy. The loan is interest only for its entire term. Moody's LTV is 109% compared to 95% at last review. The third largest loan is the Airport Industrial Park Loan ($109.5 million -- 6.2%), which is secured by a 826,000 square foot multi-level warehouse and office complex located in Honolulu, Hawaii. The property was 97% occupied as of December 2008, essentially the same as last review. Moody's LTV is 87% compared to 90% at last review. Moody's rating actions is: -- Class A-1, $11,410,118, affirmed at Aaa; previously affirmed at Aaa on 5/21/2007 -- Class A-2, $171,978,000, affirmed at Aaa; previously affirmed at Aaa on 5/21/2007 -- Class A-3, $146,634,000, affirmed at Aaa; previously affirmed at Aaa on 5/21/2007 -- Class A-4, $ $727,260,000, affirmed at Aaa; previously affirmed at Aaa on 5/21/2007 -- Class A-1A, $198,209,342, affirmed at Aaa; previously affirmed at Aaa on 5/4/2007 -- Class A-SB, $108,204,000, affirmed at Aaa; previously affirmed at Aaa on 5/21/2007 -- Class A-J, $67,063,000, affirmed at Aaa; previously affirmed at Aaa on 5/21/2007 -- Class A-JFL, $50,000,000, affirmed at Aaa; previously affirmed at Aaa on 5/21/2007 -- Class X-1, Notional, affirmed at Aaa; previously affirmed at Aaa on 5/21/2007 -- Class X-2, Notional, affirmed at Aaa; previously affirmed at Aaa on 5/21/2007 -- Class B, $45,025,000, affirmed at Aa2; previously affirmed at Aa2 on 5/21/2007 -- Class C, $18,009,000, affirmed at Aa3; previously affirmed at Aa3 on 5/21/2007 -- Class D, $27,015,000, affirmed at A2; previously affirmed at A2 on 5/21/2007 -- Class E, $22,512,000, affirmed at A3; previously affirmed at A3 on 5/21/2007 -- Class F, $24,763,000, downgraded to Baa3 from Baa1; previously affirmed at Baa1 on 5/21/2007 -- Class G, $18,010,000, downgraded to Ba1 from Baa2; previously affirmed at Baa2 on 5/21/2007 -- Class H, $24,763,000, downgraded to B1 from Baa3; previously affirmed at Baa3 on 5/21/2007 -- Class J, $6,754,000, downgraded to B2 from Ba1; previously affirmed at Ba1 on 5/21/2007 -- Class K, $9,005,000, downgraded to B3 from Ba2; previously affirmed at Ba2 on 5/21/2007 -- Class L, $ $6,753,000, downgraded to Caa1 from Ba3; previously affirmed at Ba3 on 5/21/2007 -- Class M, $4,503,000, downgraded to Caa2 from B1; previously affirmed at B1 on 5/21/2007 -- Class N, $4,502,000, downgraded to Caa3 from B2; previously affirmed at B2 on 5/21/2007 -- Class P, $6,754,000, downgraded to Caa3 from B3; previously affirmed at to B3 on 5/21/2007 JP MORGAN: Moody's Downgrades Ratings on 133 From Eight RMBS Deals ------------------------------------------------------------------ Moody's Investors Service has downgraded 133 ratings and confirmed 8 ratings from 8 subprime residential mortgage-backed securities transactions issued by J.P. Morgan Mortgage Acquisition Trust. The collateral backing these transactions consists primarily of first-lien, fixed- and adjustable-rate, subprime residential mortgage loans. The actions are triggered by a combination of factors that can include increased delinquencies, higher loss severities, slower prepayments and mounting losses in the underlying collateral. Additionally, the continued deterioration of the housing market has also contributed to the increased loss expectations for subprime pools. The actions listed below reflect Moody's updated loss projections for the subprime RMBS sector first announced in a press release on February 29, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on collateral performance and updated pool-level loss expectations relative to current levels of tranche-specific credit enhancement. Moody's took into account credit enhancement provided by subordination, cross- collateralization, excess spread, time tranching, and other structural features. Complete rating actions are: J.P. Morgan Mortgage Acquisition Trust 2006-CH1 -- Cl. A-1, Downgraded to Aa3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to A3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Baa1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa2; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B1; previously on 2/26/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa2; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on 2/26/2009 A3 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C; previously on 2/26/2009 B1 Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade J.P. Morgan Mortgage Acquisition Trust 2006-CH2 -- Cl. AF-1a, Downgraded to Aa1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-1b, Downgraded to Aa1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-2, Downgraded to Baa3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to B2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to B3; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to Caa2; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to B3; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. AV-1, Downgraded to B1; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. AV-2, Downgraded to A2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-3, Downgraded to B1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-4, Downgraded to B2; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. AV-5, Downgraded to B3; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to C; previously on 2/26/2009 A3 Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to C; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to C; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. MF-4, Downgraded to C; previously on 2/26/2009 B1 Placed Under Review for Possible Downgrade -- Cl. MF-5, Downgraded to C; previously on 2/26/2009 B3 Placed Under Review for Possible Downgrade -- Cl. MF-6, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to Ca; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to C; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. MV-3, Downgraded to C; previously on 2/26/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. MV-4, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade J.P. Morgan Mortgage Acquisition Trust 2006-CW2 -- Cl. AF-1, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-2, Downgraded to A2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to Caa1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to Caa2; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to Caa2; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to Caa1; previously on 2/26/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. AV-1, Downgraded to Aa3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-2, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-3, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-4, Downgraded to Baa3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-5, Downgraded to Ba1; previously on 10/30/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to C; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to C; previously on 2/26/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to Ba3; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to Caa2; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. MV-3, Downgraded to Ca; previously on 2/26/2009 B1 Placed Under Review for Possible Downgrade -- Cl. MV-4, Downgraded to C; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. MV-5, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade J.P. Morgan Mortgage Acquisition Trust 2007-CH1, Asset-Backed Pass-Through Certificates, Series 2007-CH1 -- Cl. AF-1A, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-1B, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-2, Downgraded to A1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to A3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to Baa1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to Baa3; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to Baa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-1, Downgraded to Aa3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-2, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-3, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-4, Downgraded to Aa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-5, Downgraded to A1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to Ba3; previously on 2/26/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to B3; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to Caa2; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. MF-4, Downgraded to Ca; previously on 2/26/2009 A3 Placed Under Review for Possible Downgrade -- Cl. MF-5, Downgraded to C; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. MF-6, Downgraded to C; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. MF-7, Downgraded to C; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. MF-8, Downgraded to C; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. MF-9, Downgraded to C; previously on 2/26/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to Baa1; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to Baa2; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. MV-3, Downgraded to Ba1; previously on 2/26/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. MV-4, Downgraded to Ba2; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. MV-5, Downgraded to B2; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. MV-6, Downgraded to Caa2; previously on 2/26/2009 A3 Placed Under Review for Possible Downgrade -- Cl. MV-7, Downgraded to C; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. MV-8, Downgraded to C; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. MV-9, Downgraded to C; previously on 2/26/2009 B1 Placed Under Review for Possible Downgrade -- Cl. MV-10, Downgraded to C; previously on 2/26/2009 B1 Placed Under Review for Possible Downgrade J.P. Morgan Mortgage Acquisition Trust 2007-CH2, Asset-Backed Pass-Through Certificates, Series 2007-CH2 -- Cl. AF-1A, Downgraded to Aa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-1B, Downgraded to Aa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-2, Downgraded to B1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to B2; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to B3; previously on 2/26/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to Caa1; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to B3; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. AV-1, Downgraded to A1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-2, Downgraded to A2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-3, Downgraded to Baa3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-4, Downgraded to Ba1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-5, Downgraded to Ba2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to C; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to C; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to C; previously on 2/26/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. MF-4, Downgraded to C; previously on 2/26/2009 B1 Placed Under Review for Possible Downgrade -- Cl. MF-5, Downgraded to C; previously on 2/26/2009 B3 Placed Under Review for Possible Downgrade -- Cl. MF-6, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to Ba3; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to Caa2; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. MV-3, Downgraded to Ca; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. MV-4, Downgraded to C; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. MV-5, Downgraded to C; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. MV-6, Downgraded to C; previously on 2/26/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. MV-7, Downgraded to C; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. MV-8, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade J.P. Morgan Mortgage Acquisition Trust 2007-CH3, Asset-Backed Pass-Through Certificates, Series 2007-CH3 -- Cl. A-1A, Downgraded to Baa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to Ba3; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba2; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba3; previously on 2/26/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B1; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa2; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 2/26/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade J.P. Morgan Mortgage Acquisition Trust 2007-CH4, Asset-Backed Pass-Through Certificates, Series 2007-CH4 -- Cl. A1, Downgraded to Ba1; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to Ba1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A3, Downgraded to Ba2; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Ba3; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to B1; previously on 2/26/2009 A3 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Caa1; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C; previously on 2/26/2009 Caa3 Placed Under Review for Possible Downgrade J.P. Morgan Mortgage Acquisition Trust 2007-CH5 -- Cl. A-1, Downgraded to Ba2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba2; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba3; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B3; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 2/26/2009 B1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade KATONAH IX: 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 Katonah IX CLO Ltd.: -- US$221,000,000 Class A-1L Floating Rate Notes, Due 2019, Downgraded to Aa3; previously on November 11, 2006 Assigned Aaa; -- Up to US$100,000,000 Class A-LV Revolving Floating Rate Notes, Due 2019, Downgraded to Aa3; previously on November 11, 2006 Assigned Aaa; -- US$23,000,000 Class A-2L Floating Rate Notes, Due 2019, Downgraded to Baa2; previously on March 4, 2009 Placed Under Review for Possible Downgrade; -- US$26,000,000 Class A-3L Floating Rate Notes, Due 2019, Downgraded to Ba3; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$15,000,000 Class B-1L Floating Rate Notes, Due 2019, Downgraded to Caa3; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$15,000,000 Class B-2L 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 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 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 B-2L Par Value Ratio Test and Additional Collateral Deposit Requirement Test. As of the trustee report dated as of May 15, 2009, the Moody's weighted average rating factor is 2888 versus a test level of 2550. Based on the same report, defaulted securities total about $35 million, accounting for roughly 8.2% of the collateral balance, and securities rated Caa1 or lower make up approximately 15.8% of the underlying portfolio. Katonah IX CLO Ltd., issued in November 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. LATITUDE CLO: Moody's Downgrades Ratings on Various Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Latitude CLO I Ltd.: -- US$45,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2017, Downgraded to A2; previously on March 4, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$43,000,000 Class B-1 Second Priority Deferrable Floating Rate Notes Due 2017, Downgraded to Ba2; previously on March 18, 2009 Downgraded to Ba1and Placed Under Review for Possible Downgrade; -- US$2,000,000 Class B-2 Second Priority Deferrable Fixed Rate Notes Due 2017, Downgraded to B1; previously on March 18, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$13,300,000 Class C Third Priority Deferrable Floating Rate Notes Due 2017, Downgraded to Caa3; previously on March 18, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$9,500,000 Class D Fourth Priority Deferrable Floating Rate Notes Due 2017, Downgraded to C; previously on March 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," the application of certain stresses with respect to the default probabilities associated with certain Moody's credit estimates, 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 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 2889 versus a test level of 2590 as of the last trustee report, dated May 20, 2009. Based on the same report, defaulted securities total about $31.5 million, accounting for roughly 11% of the collateral balance, and securities rated Caa1 or lower make up approximately 16.3% of the underlying portfolio. Additionally, interest payments on the Class C and Class D Notes are presently being deferred as a result of the failure of the Class B Overcollateralization Test. 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. Moody's also notes that a material proportion of the collateral pool includes debt obligations whose credit quality has been approximated through Moody's credit estimates. Moody's analysis reflects the application of certain stresses with respect to the default probabilities associated with such credit estimates that have not been recently updated. Latitude CLO I Ltd., issued in 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. LB-UBS COMMERCIAL: Fitch Junks Ratings on Three 2002-C4 Notes ------------------------------------------------------------- Fitch Ratings has downgraded and assigned Recovery Ratings to LB- UBS Commercial Mortgage Trust commercial mortgage pass-through certificates, series 2002-C4: -- $20 million class L to 'BBB-' from 'BBB'; Outlook to Negative from Stable; -- $7.3 million class M to 'BB' from 'BB+'; Outlook to Negative from Stable; -- $7.3 million class N to 'B+' from 'BB'; Outlook to Negative from Stable; -- $3.6 million class Q to 'CCC/RR1' from 'B'; -- $1.8 million class S to 'CC/RR3' from 'B-'; -- $3.6 million class T to 'C/RR5' from 'CCC'. In addition, Fitch affirms and revises Rating Outlooks to these classes: -- $12.7 million class J at 'AA-'; Outlook to Negative from Stable; -- $12.7 million class K at 'A-'; Outlook to Negative from Stable. Fitch also affirms and maintains Rating Outlooks: -- $21 million class A-2 at 'AAA'; Outlook Stable; -- $63.9 million class A-3 at 'AAA'; Outlook Stable; -- $86 million class A-4 at 'AAA'; Outlook Stable; -- $850.5 million class A-5 at 'AAA'; Outlook Stable; -- Interest-only class X-CL at 'AAA'; Outlook Stable; -- Interest-only class X-CP at 'AAA'; Outlook Stable; -- Interest-only class X-VF at 'AAA'; Outlook Stable; -- $18.2 million class B at 'AAA'; Outlook Stable; -- $20 million class C at 'AAA'; Outlook Stable; -- $20 million class D at 'AAA'; Outlook Stable; -- $12.7 million class E at 'AAA'; Outlook Stable; -- $16.4 million class F at 'AAA'; Outlook Stable; -- $10.9 million class G at 'AAA'; Outlook Stable; -- $12.7 million class H at 'AAA'; Outlook Stable. Class A-1 has paid in full. Fitch does not rate classes P or U. The downgrades reflect an increase in specially serviced loans and expected losses since Fitch's last rating action. Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. The Negative Rating Outlooks reflect the increase in Fitch Loans of Concern. As of the May 2009 distribution date, the pool's aggregate principal balance has been reduced by 15.8% to $1.23 billion from $1.45 billion at issuance. Thirty-one loans (40.5%) have defeased, including five of the 10 largest loans (23.5%). Fitch has identified 15 Loans of Concern (9.3%), including five specially serviced loans (2.6%). The largest specially serviced loan (1.7%) is a 171,103 square foot office property located in Norwalk, Connecticut. The property has suffered from significant tenant turnover and vacancies the past two years. Occupancy as of year-end 2008 was 52.8%. The special servicer is working to gain control of the asset and Fitch expects significant losses are likely upon liquidation unless occupancy is stabilized. The second largest specially serviced asset (0.4%) is a 230-unit multifamily property located in Dallas, Texas. The asset is cross-collateralized and cross-defaulted with another asset in special servicing (0.1%), a 59-unit multifamily also located in Dallas, Texas. Both assets transferred to special servicing for monetary default in 2009. The third largest asset in special servicing (0.3%) is a 46,021 sf retail center constructed in 2000 in Decatur, Illinois. The property was anchored by Circuit City which occupied 63% net rentable area and has vacated its space due to its bankruptcy and liquidation. The largest Fitch Loan of Concern (4.4%) is secured by a 365,900 sf office building located in Crystal City, Virginia. Approximately 31% of the NRA is scheduled for lease expiration in 2009. The borrower is negotiating with the current tenants on lease renewals. As of YE 2008, the servicer reported occupancy was 97.2% with a debt service coverage ratio of 1.90 times (x). The current market vacancy rate is 13%. There are five shadow rated loans in the transaction. Two of the shadow rated loans, 605 Third Avenue (12.5%) and the Horizon Portfolio (1.6%), are defeased. Fitch reviewed servicer-provided performance data for the remaining three non-defeased shadow rated loans; Westfield Shoppingtown Valley Fair Mall (21.6%), Hamilton Mall (5.9%), and 1166 Avenue of the Americas (5.1%). All these loans maintain their investment grade shadow ratings due to stable performance. Westfield Shoppingtown Valley Fair Mall, is secured by 714,603 sf within a 1.4 million sf shopping mall located in Santa Clara, California. The mall's anchors are Macy's and Nordstrom, which are not part of the collateral. As of December 2008, the collateral was 98% occupied, which is a slight improvement over the 96.1% occupancy rate at issuance. The property has approximately 9% rollover exposure in 2009 and 2010. The 1166 Avenue of the Americas loan is secured by 560,925 sf of a 1.6 million sf, 44-story office tower located in New York City. The sole tenant, Marsh & McClennan Companies Inc., occupies 100% of the collateral. The $62.3 million trust balance is pari-passu with a $72.4 million note not included in the transaction. The Hamilton Mall loan is secured by 836,236 sf of a 1 million sf mall located in Mays Landing, New Jersey that is anchored by Macy's, Sears, and JC Penney. Occupancy has been stable since issuance. As of YE 2008, the collateral was 90.2% occupied compared to 94.1% at issuance; however, the cash flow remains stable since issuance. The mall has approximately 9% rollover exposure in 2009 and 2010. The sponsor is Kravco Simon. LB-UBS COMMERCIAL: Moody's Affirms Ratings on 15 Pooled Classes --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of fifteen pooled classes and seven rake classes and downgraded seven pooled classes and one rake class of LB-UBS Commercial Mortgage Trust 2003-7. The downgrades are due to higher expected losses for the pool resulting from anticipated losses from specially serviced loans. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 15, 2009 distribution date, the transaction's aggregate principal balance has decreased by approximately 32% to $9.9 million from $1.46 billion at securitization. The Certificates are collateralized by 50 loans, ranging in size from less than 1% to 21% of the pool, with the top ten loans representing 69% of the pool. The pool includes four loans with investment grade underlying ratings, representing 42% of the pool. At securitization, a fifth loan, the Parklawn Building Loan ($100.0 million -- 10.1%) had an underlying rating. The loan no longer has an underlying rating due to a decline in performance and the loan is now analyzed as part of the conduit pool. Twelve loans, representing 17% of the pool, have defeased and are collateralized by U.S. Government securities. Five loans, representing 4.0% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Two loans have been liquidated from the pool resulting in a realized loss of approximately $603,597. Currently, there are three loans, representing 17.0%, in special servicing. Two of the specially serviced loans, representing 14.0% of the pool, are secured by malls owned by General Growth Properties. These properties were included in GGP's April 16, 2009 Chapter 11 bankruptcy filing and the loans were subsequently transferred to special servicing. At this point, Moody's does not anticipate losses from these loans. Moody's expects a $10.4 million loss (32% loss severity) for the third specially serviced loan. Moody's was provided with full-year 2007 and partial-year 2008 operating results for 97% and 78% of the pool, respectively. Moody's weighted average loan to value ratio for the conduit component is 90% compared to 95% at Moody's prior full review in December 2007. The largest loan with an underlying rating is the Bank of America Building Loan ($206.7 million -- 21.0%), which represents the pooled portion of a $212.5 million mortgage loan. The loan is secured by a 1.1 million square foot office building located in midtown Manhattan. The largest tenant is Bank of America Corporation (Moody's senior unsecured rating A2 - stable outlook), which leases 19% of the net rentable area through December 2013. The non-pooled portion of the loan ($5.8 million) is held within the trust and serves as security for non-pooled Class BA. The property was 89% occupied as of February 2009 compared to 93% at last review and 100% at securitization. Performance has declined due to reduced rental revenues. Moody's current underlying rating of the pooled and non-pooled loan is Baa3 compared Baa1 at last review. The second largest loan with an underlying rating is the Valley Plaza Loan ($95.0 million -- 9.6%), which is secured by a 1.2 million square foot super regional mall located in Bakersfield, California. The center is anchored by Sears, J.C. Penney and Macy's. A fourth anchor, Gottschalks vacated the center after its bankruptcy. The loan sponsor is GGP. Moody's analysis reflects a stressed cash flow due to concerns about the weak retail environment and potential impact of GGP's bankruptcy on property performance. Moody's current underlying rating is Baa1 compared to A3 at last review. The third largest loan with an underlying rating is the Westfield Shoppingtown Santa Anita Loan ($69.0 million -- 7.0%), which represents the senior portion of a $90.7 million mortgage loan. The loan is secured by a 1.3 million square foot regional shopping center located approximately 18 miles east of Los Angeles in Arcadia, California. The center is anchored by J.C. Penney, Macy's and Nordstrom. The $21.7 junior note is held outside the trust. The property is also encumbered by a $75.5 million B Note, which is also held outside the trust. Property performance has been stable. Moody's current underlying rating is Aaa, the same as at last review. The fourth largest loan with an underlying rating is Visalia Mall Loan ($41.4 million -- 4.2%), which is secured by a 440,000 square foot regional center located in Visalia, California. The center is anchored by J.C. Penney, which is not part of the security. The second anchor, Gottschalks vacated the center after its bankruptcy. Performance has declined due to a decline in rental revenues. The loan sponsor is GGP. Moody's analysis reflects a stressed cash flow due to concerns about the weak retail environment and potential impact of GGP's bankruptcy on performance. Moody's current underlying rating is Baa1 compared to Aa3 at last review. The loan that had an underlying rating at securitization is the Parklawn Building Loan ($100.0 million -- 10.1%), which is secured by a 1.4 million square foot office building located in Rockville, Maryland. The property is 98.0% occupied by the U.S. Department of Health and Human Services through July 2010. The loan matures in August 2010. Although property performance has been stable, Moody's is concerned about the near-term refinance risk given the lease rollover of the entire building and the current weak Rockville office market. Moody's analysis reflects a dark lit valuation, assuming that the tenant vacates at lease expiration and the entire building has to be retenanted. Moody's current LTV is 97% compared to 67% at last review. The top three conduit exposures represent 11.9% of the pool. The largest conduit loan is the Moorestown Mall Loan ($58.1 million -- 5.9%), which is secured by a 1.1 million square foot regional mall located in Moorestown, New Jersey. The mall is anchored by Sears, Boscov's, Lord & Taylor and Macy's. Moody's LTV is 85% compared to 81% at last review and 88.0% at securitization. The second largest conduit exposure is the Shops at Gainey Village Loan ($37.2 million -- 3.8%), which is secured by a 138,000 square foot unanchored shopping center located in Scottsdale, Arizona. The property was 94% leased as of January 2009 compared to 83% at last review. Property performance has declined due to increased expenses. Moody's LTV is 95% compared to 92% at last review. The third largest conduit exposure is the Gotham Plaza ($22.1 million -- 2.3%), which is secured by an office building located in New York City. The property is 100% occupied. Moody's LTV is 67% compared to 75% at last review. Moody's rating action is: -- Class A-2, $137,852,097 affirmed at Aaa; previously affirmed at Aaa on 12/12/07 -- Class A-3, $187,000,000 affirmed at Aaa; previously affirmed at Aaa on 12/12/07 -- Class A-4, $355,336,000 affirmed at Aaa; previously affirmed at Aaa on 12/12/07 -- Class A-1B, $79,517,882 affirmed at Aaa; previously affirmed at Aaa on 12/12/07 -- Class X-CL, Notional, affirmed at Aaa; previously affirmed at Aaa on 12/12/07 12/12/07 -- Class X-CP, Notional, affirmed at Aaa; previously affirmed at Aaa on 12/12/07 -- Class X-SU, Notional, affirmed at Aaa; previously upgraded to Aaa from Aa3 12/12/07 -- Class B, $18,090,000 affirmed at Aaa; previously affirmed at Aaa on 12/12/07 -- Class C, $21,707,000 affirmed at Aaa; previously affirmed at Aaa on 12/12/07 -- Class D, $16,281,000 affirmed at Aa2; previously affirmed at Aa2 on 12/12/07 -- Class E, $16,280,000 affirmed at Aa3; previously affirmed at Aa3 on 12/12/07 -- Class F, $12,663,000 affirmed at A2; previously affirmed at A2 on 12/12/07 -- Class G, $23,516,000 affirmed at A3; previously affirmed at A3 on 12/12/07 -- Class H, $21,708,000 affirmed at Baa1; previously affirmed at Baa1 on 12/12/07 -- Class J, $14,471,000 affirmed at Baa2; previously affirmed at Baa2 on 12/12/07 -- Class K, $14,472,000 downgraded to Ba1 from Baa3; previously affirmed at Baa3 on 12/12/07 -- Class L, $12,663,000 downgraded to Ba3 from Ba1; previously affirmed at Ba1 on 12/12/07 -- Class M, $7,235,000 downgraded to B1 from Ba2; previously affirmed at Ba2 on 12/12/07 -- Class N, $3,618,000 downgraded to B2 from Ba3; previously affirmed at Ba3 on 12/12/07 -- Class P, $3,618,000 downgraded to B3 from B1; previously affirmed at B1 on 12/12/07 -- Class Q, $3,618,000 downgraded to Caa2 from B2; previously affirmed at B2 on 12/12/07 -- Class S, $3,618,000 downgraded to Caa3 from B3; previously affirmed at B3 on 12/12/07 -- Class BA, $5,800,000 downgraded to Baa3 from Baa1; previously affirmed at Baa1 on 12/12/07 -- Class SU-1, $1,300,000 affirmed at Aaa; previously upgraded to Aaa from Aa3 12/12/07 -- Class SU-2, $1,470,000 affirmed at Aaa; previously upgraded to Aaa from A1 12/12/07 -- Class SU-3, $1,730,000 affirmed at Aaa; previously upgraded to Aaa from A2 12/12/07 -- Class SU-4, $1,270,000 affirmed at Aaa; previously upgraded to Aaa from A3 12/12/07 -- Class SU-5, $1,355,000 affirmed at Aaa; previously upgraded to Aaa from Baa1 12/12/07 -- Class SU-6, $1,625,000 affirmed at Aaa; previously upgraded to Aaa from Baa2 12/12/07 -- Class SU-7, $2,250,000 affirmed at Aaa; previously upgraded to Aaa from Baa3 12/12/07 LB-UBS COMMERCIAL: Moody's Affirms Ratings on 2003-C3 Certs. ------------------------------------------------------------ Moody's Investors Service affirmed the ratings of 16 pooled classes, upgraded six pooled classes and downgraded three rake classes of LB-UBS Commercial Mortgage Trust 2003-C3, Commercial Mortgage Pass-Through Certificates, Series 2003-C3. The upgrades are due to increased credit enhancement due to amortization and payoffs. The pool balance has decreased by 23% since Moody's last review. The downgrades are due to higher expected losses from the Monroeville Mall Loan resulting from increased leverage. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the June 15, 2009 distribution date, the transaction's aggregate principal balance has decreased by approximately 32% to $914 million from $1.4 billion at securitization. The Certificates are collateralized by 85 loans, ranging in size from less than 1% to 15% of the pool, with the top ten loans representing 66% of the pool. The pool includes four loans with underlying ratings, which represent 50% of the pool. Fifteen loans, representing 12% of the pool, have defeased and are collateralized by U.S. Government securities. Seventeen loans, representing 19% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Two loans have been liquidated from the pool, resulting in a realized loss of approximately $110,000. Currently there is one loan, representing less than 1% of the pool, in special servicing. Moody's is estimating a loss of approximately $2.9 million from this loan. Moody's was provided with year-end 2008 and year-end 2007 operating results for 76% and 96% of the non-defeased performing loans, respectively. Moody's weighted average loan to value (LTV) ratio for the conduit component is 91% compared to 85% at Moody's prior full review in February 2008. The largest loan with an underlying rating is the Westfield Shoppingtown West County Loan ($134 million -- 15%), which is secured by the borrower's interest in a 1.3 million square foot regional mall located in Des Peres, Missouri. The mall is anchored by Macy's, J.C. Penney and Nordstrom. The center was 99% leased as of January 2009, compared to 98% at securitization. The sponsor is CBL & Associates, who acquired the property in 2007 from Westfield America Inc. The center is also encumbered by a $19.5 million B Note that is held outside the trust. Moody's current underlying rating is A1, the same as last review. The second largest loan with an underlying rating is the Polaris Fashion Place Loan ($111 million -- 12%), which is secured by the borrower's interest in a 1.6 million square foot regional mall located in Columbus, Ohio. The mall is anchored by Sears, Macy's, J.C. Penney, Saks Fifth Avenue, Van Maur and The Great Indoors. The mall was 99% leased as of December 2008, essentially the same as at last review. The property is also encumbered by a $24.8 million B Note that is held outside the trust. Property performance has been stable. Moody's underlying rating is A2, the same as at last review. The third largest loan with an underlying rating is the Monroeville Mall Loan ($102 million -- 11%), which is secured by the borrower's interest in a 1.3 million square foot regional mall located in Monroeville, Pennsylvania. The mall is anchored by Macy's and J.C. Penney. Since Moody's last review, the former Boscov's anchor space has become vacant; the anchor space is not part of the collateral. However, vacant anchor spaces, particularly in malls with relatively low sales productivity, can have a detrimental effect on in-line occupancy over time. Inline occupancy for the property was 90% as of December 2008, compared to 95% at last review. The sponsor is CBL & Associates, who acquired the property in 2007. The property is also encumbered by a $16.7 million B Note that is held within the trust and serves as security for non-pooled Classes MM-1, MM-2, MM-3 and X-MM2. Property performance has declined due to decreased revenues and increased expenses. At securitization, Moody's assumed the owner would exercise a purchase option for the underlying land. The date to exercise this option has passed and the property must now pay ground lease payments which have a significant impact on property performance. Moody's underlying rating is Ba3 compared to A3 at last review. The fourth largest loan with an underlying rating is the Pembroke Lakes Mall Loan ($101 million -- 11%), which is secured by the borrower's interest in a 1.1 million square foot regional mall located in Pembroke Pines, Florida. The mall is anchored by Macy's, J.C. Penney, Dillard's, Sears, Dillard's Men, and Macy's Home Store. The center was 99% leased as of December 2008, essentially the same as at last review. The sponsor is General Growth Properties. The property is also encumbered by a $30.0 million B Note that is held outside the trust. This loan was not included in the Chapter 11 bankruptcy filing of General Growth Properties and affiliates on April 16, 2009. Performance for the mall has been stable since last review; however, Moody's has incorporated extra stress over concerns about the retail environment and the GGP bankruptcy filing. Moody's current underlying rating is Aa1 compared to Aaa at last review. The top three non-defeased conduit loans represent 27% of the pool. The largest conduit loan is the Broadcasting Square Loan ($46 million -- 13%), which is secured by a 467,000 square foot power center located in Reading, Pennsylvania. The largest tenants are Weis Market, Dick's Clothing & Sports, and Bed Bath & Beyond. The center was 100% leased as of December 2008; the same as last review. Moody's LTV is 83% compared to 88% at last review. The second largest conduit loan is the LIRA Apartments Loan ($29 million -- 9%), which is secured by a 152- unit apartment building located in New York City. The property has maintained near 100% occupancy since securitization. The loan benefits from the property's location in the strong NYC multifamily market and amortization. Moody's LTV is 64% compared to 79% at last review. The third largest conduit loan is the Lynnfield Office Park Loan ($16 million -- 5%), which is secured by a 282,000 square foot office building located in Memphis, Tennessee. The property was 86% leased as of March 2009 compared to 79% at last review. Despite the increased occupancy, property performance has declined due to decreased rental revenue and increased expenses. Moody's LTV is 110% compared to 95% at last review. Moody's full rating action is: -- Class A-3, $146,355,477, affirmed at Aaa; previously affirmed at Aaa on 2/07/08. -- Class A-4, $550,837,000, affirmed at Aaa; previously affirmed at Aaa on 2/07/08. -- Class X-CL, Notional, affirmed at Aaa; previously affirmed at Aaa on 2/07/08. -- Class X-CP, Notional, affirmed at Aaa; previously affirmed at Aaa on 2/07/08. -- Class X-WC, Notional, affirmed at Aaa; previously affirmed at Aaa on 2/07/08. -- Class X-MM1, Notional, affirmed at Aaa; previously affirmed at Aaa on 2/07/08. -- Class B, $20,044,000, affirmed at Aaa; previously affirmed at Aaa on 2/07/08. -- Class C, $20,044,000, affirmed at Aaa; previously affirmed at Aaa on 2/07/08. -- Class D, $13,363,000, upgraded to Aaa from Aa2; previously affirmed at Aa2 on 2/07/08. -- Class E, $13,363,000, upgraded to Aa1 from Aa3; previously affirmed at Aa3 on 2/07/08. -- Class F, $23,384,000, upgraded to Aa2 from A1; previously affirmed at A1 on 2/07/08. -- Class G, $10,023,000, upgraded to A1 from A3; previously affirmed at A3 on 2/07/08. -- Class H, $20,044,000, upgraded to A3 from Baa1; previously affirmed at Baa1 on 2/07/08. -- Class J, $10,022,000, upgraded to Baa1 from Baa2; previously affirmed at Baa2 on 2/07/08. -- Class K, $13,363,000, affirmed at Baa3; previously affirmed at Baa3 on 2/07/08. -- Class L, $11,692,000, affirmed at Ba1; previously affirmed at Ba1 on 2/07/08. -- Class M, $6,681,000, affirmed at Ba2; previously affirmed at Ba2 on 2/07/08. -- Class N, $6,682,000, affirmed at Ba3; previously affirmed at Ba3 on 2/07/08. -- Class P, $1,670,000, affirmed at B1; previously affirmed at B1 on 2/07/08. -- Class Q, $8,352,000, affirmed at B2; previously affirmed at B2 on 2/07/08. -- Class S, $3,341,000, affirmed at B3; previously affirmed at B3 on 2/07/08. -- Class MM-1, $6,800,000, downgraded to B1 from Baa1; previously affirmed at Baa1 on 2/07/08. -- Class MM-2, $5,300,000, downgraded to B2 from Baa2; previously affirmed at Baa2 on 2/07/08. -- Class MM-3, $4,567,108, downgraded to B3 from Baa3; previously affirmed at Baa3 on 2/07/08. -- Class X-MM2, Notional, affirmed at Aaa; previously affirmed at Aaa on 2/07/08. LEHMAN BROTHERS: Moody's Reviews Ratings on Series 2004-LLF Certs. ------------------------------------------------------------------ Moody's Investors Service placed one rake class of Lehman Brothers Floating Rate Commercial Mortgage Trust Commercial Mortgage Pass- Through Certificates, Series 2004-LLF C5 on review for possible downgrade due to concerns about potential non-reimbursed trust expenses and interest shortfalls associated with a loan in special servicing. On May 27, 2009, the pool's third largest loan, Westin Galleria & Westin Oaks, was transferred to special servicing. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Like non-pooled bonds, rake bonds are exposed to the first loss occurring on a single loan, or to the non-reimbursed trust expenses and interest shortfalls that may occur as a result of the loan being transferred to special servicing. There is no benefit from the pooling of cash flows from other loans. As a result, special servicing fees, legal expenses, and other trust expenses may create interest shortfalls that could negatively impact the non-rated or rated classes in reverse sequential order. In some cases, these shortfalls and expenses may not be reimbursed by the loan borrower upon the return of the loan to master servicing. As of the June 15, 2009 distribution date, the transaction's aggregate certificate balance has decreased by 75% to $334 million from $1.3 billion at securitization due to the payoff of loans. The Certificates are collateralized by four mortgage loans ranging in size from 12% to 43% of the pool. One loan, representing 16% of the pool, is currently in special servicing. The Westin Galleria & Westin Oaks Loan ($47.1 million pooled balance and $4.9 million rake balance) is secured by two hotel properties located in Houston, Texas. The loan was transferred to special servicing on May 27, 2009 for imminent default. The loan has been unable to secure take-out financing. The loan is interest-only for the full term and matures in July 2009. There is additional debt in the form of a $12 million mezzanine loan. Moody's review will focus on the performance of the overall pool and potential losses from specially serviced loans. Moody's rating action is: -- Class A-2, $45,768,934, currently rated Aaa; previously affirmed at Aaa on 3/4/2009 -- Class X-2, Notional, currently rated Aaa; previously affirmed at Aaa on 3/4/2009 -- Class X1-WO, Notional, currently rated Aaa; previously affirmed at Aaa on 3/4/2009 -- Class B, $42,600,000, currently rated Aaa; previously affirmed at Aaa on 3/4/2009 -- Class C, $44,600,000, currently rated Aaa; previously affirmed at Aaa on 3/4/2009 -- Class D, $31,500,000, currently rated Aaa; previously affirmed at Aaa on 3/4/2009 -- Class E, $28,200,000, currently rated Aaa; previously affirmed at Aaa on 3/4/2009 -- Class F, $28,900,000, currently rated Aa3; previously downgraded to Aa3 from Aaa on 3/4/2009 -- Class G, $27,800,000, currently rated A1; previously downgraded to A1 from Aa1 on 3/4/2009 -- Class H, $22,800,000, currently rated A3; previously downgraded to A3 from Aa3 on 3/4/2009 -- Class J, $25,100,000, currently rated Baa2; previously downgraded to Baa2 from A3 on 3/4/2009 -- Class K, $31,531,066, currently rated Ba3; previously downgraded to Ba3 from Baa3 on 3/4/2009 -- Class WO, $4,900,000, currently rated Baa1, on review for possible downgrade; previously downgraded to Baa1 from A2 on 3/4/2009 MARATHON CLO: Moody's Keeps Junk Rating on Class E Notes -------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Marathon CLO I Ltd.: -- US$221,000,000 Class A-1 Floating Rate Senior Secured Notes Due 2019, Downgraded to A1; previously on May 6, 2005 Assigned Aaa; -- US$30,000,000 Class A-2 Floating Rate Senior Secured Revolving Notes Due 2019, Downgraded to A1; previously on May 6, 2005 Assigned Aaa; -- US$8,100,000 Class B Floating Rate Senior Secured Notes Due 2019, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade. Additionally, Moody's has confirmed the ratings of these notes: -- US$19,200,000 Class C Floating Rate Senior Subordinate Deferrable Interest Notes Due 2019, Confirmed at Ba1; previously on March 18, 2009 Downgraded to Ba1and Placed Under Review for Possible Downgrade; -- US$19,000,000 Class D Floating Rate Subordinate Deferrable Interest Notes Due 2019, Confirmed at B1; previously on March 18, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$8,000,000 Class E Floating Rate Subordinate Deferrable Interest Notes Due 2019, Confirmed at Caa3; previously on March 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 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 C, Class D, and Class E Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 3639 versus a test level of 2770 as of the last trustee report, dated May 15, 2009. Based on the same report, defaulted securities total about $12.8 million, accounting for roughly 4% of the collateral balance, and securities rated Caa1 or lower make up approximately 22.7% 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. 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. Moody's also notes that a material proportion of the collateral pool includes debt obligations whose credit quality has been approximated through Moody's credit estimates. Moody's analysis reflects the application of certain stresses with respect to the default probabilities associated with such credit estimates that have not been recently updated. Marathon CLO I Ltd., issued in 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. MARATHON CLO: Moody's Cuts Rating on Class D Notes to Ca -------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Marathon CLO II Ltd.: -- Class A-1B Floating Rate Senior Secured Notes Due 2019, Downgraded to A2; previously on March 18, 2009 Aaa Placed Under Review for Possible Downgrade; -- Class A-2 Floating Rate Senior Secured Notes Due 2019, Downgraded to Baa2; previously on March 18, 2009 Downgraded to Aa2 and Placed Under Review for Possible Downgrade; -- Class D Floating Rate Subordinated Deferrable Interest Secured Notes Due 2019, Downgraded to Ca; previously on March 18, 2009 Downgraded to Caa3 and Placed Under Review for Possible Downgrade. Additionally, Moody's has confirmed the ratings on these notes: -- Class B Floating Rate Senior Deferrable Interest Secured Notes Due 2019, Confirmed at Ba3; previously on March 18, 2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade; -- Class C Floating Rate Deferrable Interest Secured Notes Due 2019, Confirmed at B3; previously on March 18, 2009 Downgraded to B3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for 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 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 Diversity Test and 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 3525 versus a test level of 2750 as of the last trustee report, dated May 19, 2009. Based on the same report, defaulted securities total about $21.5 million accounting for roughly 5.45% of the collateral balance and securities rated Caa1 or lower make up approximately 21.6% of the underlying portfolio. Additionally, interest payments on the Class C and Class D Notes are presently being deferred as a result of the failure of the Class B Overcollateralization Test. 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. Finally, Moody's also notes that a material proportion of the collateral pool includes debt obligations whose credit quality has been approximated through Moody's credit estimates. Moody's analysis reflects the application of certain stresses with respect to the default probabilities associated with such credit estimates that have not been recently updated. Marathon CLO II Ltd., issued in 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. MERRILL LYNCH: S&P Downgrades Ratings on Five 1999-C1 Certs. ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on five classes of commercial mortgage pass-through certificates from Merrill Lynch Mortgage Investors Inc.'s series 1999-C1. At the same time, S&P placed its ratings on seven classes on CreditWatch with negative implications. The downgrades follow S&P's preliminary analysis and reflect S&P's expectation that the master servicer, KeyBank Real Estate Capital, will likely recover significant outstanding advances totaling approximately $16 million. The advances are primarily due to litigation expenses on the Arlington Apartments asset ($6.2 million), and the timing of their recovery reflects the expected maturity of all but one of the remaining assets in the pool. The CreditWatch placements reflect S&P's concerns with the remaining six assets ($45.0 million, 14.4%) with the special servicer, ORIX Capital Markets LLC, and S&P's concerns regarding the refinancing risk of the remaining loans in the pool. The Arlington Apartments asset ($18.0 million total exposure, 3.8%) was transferred to the special servicer on March 20, 2001. The 415-unit multifamily property in Harvey, La., was previously in foreclosure, and an agreement was reached to sell the property for $6.5 million on Oct. 25, 2004. The special servicer pursued the collection of a $14.5 million judgment against the former borrowers/guarantors. While a settlement was reached in February 2009, the proceeds from the settlement, which include real estate and other assets, have not yet been liquidated and/or released from the bankruptcy court. In S&P's view, this litigation was significant. The master servicer incurred advances totaling approximately $16 million that remain outstanding and that will likely begin to be recovered from the trust in the near future. S&P expects the advance recovery rate to accelerate due to the forthcoming loan maturities in the transaction, which will cause further liquidity interruptions to the trust. The potential liquidity interruptions may prompt Standard & Poor's to lower its ratings on the outstanding senior classes by multiple rating categories. S&P may lower some of S&P's ratings on the subordinate classes to 'D' if the interest shortfalls occur for an extended period. Standard & Poor's expects to resolve the CreditWatch negative placements as more information concerning the recovery of advances becomes available and after S&P review the credit characteristics of the remaining loans in the pool. Ratings Lowered And Placed On Creditwatch Negative Merrill Lynch Mortgage Investors Inc. Commercial mortgage pass-through certificates series 1999-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- B BBB+/Watch Neg AAA 35.28 C BBB/Watch Neg AA+ 26.78 D BBB-/Watch Neg AA 23.93 E BB/Watch Neg BBB+ 17.31 F B-/Watch Neg B+ 14.95 Ratings Placed On Creditwatch Negative Merrill Lynch Mortgage Investors Inc. Commercial mortgage pass-through certificates series 1999-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A2 AAA/Watch Neg AAA 45.68 IO AAA/Watch Neg AAA N/A N/A - Not applicable. MUHLENBERG REGIONAL: Moody's Withdraws 'Ba3' Rating on Bonds ------------------------------------------------------------ Moody's Investors Service will withdraw the Ba3 rating assigned to debt outstanding for Muhlenberg Regional Medical Center (NJ) upon the refunding and defeasance of the bonds by debt to be issued through the New Jersey Health Care Facilities Financing Authority State Contract Bonds (Hospital Asset Transformation Program (HATP), Series 2009A). The refunding is expected to occur on Thursday, June 18, 2009. The bonds are payable solely from anticipated contract payments to be made by the State of New Jersey from its general fund. Moody's has assigned an A1 to the Contract Bonds, which reflects the need for annual legislative appropriation of the contract payments, as well as the state's credit quality (general obligation bond rating of Aa3). The outlook is stable. The bonds are the third issuance under the state's Hospital Asset Transformation Program, which was established to assist non-profit hospitals. The program was devised after the New Jersey Advisory Commission on Hospitals, in 1999, recommended closures to address excess hospital capacity. Enabling legislation was passed in 2000 in order to facilitate such actions. Proceeds of bonds issued by the authority under this program are used to defease the debt of non-profit hospitals in connection with mergers and closures amid a statewide consolidation of acute-care providers and to provide capital for the enhancement and transition of acute care services to the acquirer entity. Moody's analysis is based on Solaris Health System, parent organization of JFK Medical Center/Hartwyck at Oak Tree and Muhlenberg Regional Medical Center. Proceeds of the 2009A State Contract Bonds will refinance the outstanding bonds of MRMC and JFK. MRMC was closed in August 2008; the Series 2009A bonds will also provide new money debt for capital improvements at JFK to accommodate the additional patient volume at JFK that had previously been treated at MRMC. Rated Debt To Be Defeased (debt outstanding as of December 31, 2008) $17.275 million outstanding, Series 2000, Ambac insured, Muhlenberg Regional Medical Center issue, annual debt service guaranteed by Solaris The last rating action was on October 10, 2008, when the Watchlist was extended for the Ba3 rating of Muhlenberg Regional Medical Center and the Watchlist directional was changed from uncertain to downgrade. MUZINICH CBO: Moody's Downgrades Ratings on Various Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded these notes issued by Muzinich CBO II, Limited: -- US$303,000,000 Class A-1 Floating Rate Notes Due October 15, 2013, Downgraded to B1; previously on 2/1/2002 Assigned Aa1; -- US$25,000,000 Class A-2 Fixed Rate Notes Due October 15, 2013, Downgraded to B1; previously on 2/1/2002 Assigned Aa1; -- US$36,000,000 Class B-1 Floating Rate Senior Notes Due October 15, 2013, Downgraded to C; previously on 8/30/2005 Downgraded to Ba1; -- US$7,750,000 Class B-2 Fixed Rate Senior Secured Notes Due October 15, 2013, Downgraded to C; previously on previously on 8/30/2005 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 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 B Overcollateralization Test, the Interest Coverage Test, the Diversity Score Test and the Weighted Average Coupon Test. The weighted average rating factor has steadily increased over the last year and it is currently at 3607 versus a test level of 2475 as of the last trustee report, dated 5/1/2009. Based on the same report, defaulted securities total $18 million accounting for roughly 12% of the collateral balance and securities rated Caa1 or lower make up approximately 37% of the underlying portfolio. Additionally, interest payments on the Class B-1 and Class B-2 Notes are presently being deferred as a result of the failure of the Class A Interest Coverage Test. 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 Moody's also noted that the transaction is negatively impacted by 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. Muzinich CBO II, Limited, issued on 12/28/2001, is a collateralized bond obligation backed primarily by a portfolio of senior unsecured bonds. NEW ORLEANS: S&P Raises Underlying Rating on Tax Bonds From 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its underlying rating on New Orleans Exhibition Hall Authority, Louisiana's series 1996A, 1996C, 1998, and 2000 hotel-occupancy tax and special-tax bonds three notches to 'BBB+' from 'BB' based on the improved pledged revenue stream, improving revenues, and improved occupancy rates. The outlook is stable. At the same time, Standard & Poor's revised its outlook on the authority's 2004 senior-subordinated special-tax bonds to stable from positive, and raised the SPUR to 'BBB' from 'B' based on improved debt service coverage, improving revenue stream, and improved occupancy rates. On Sept. 5, 2007, the authority defeased the 2003A senior-subordinate special tax bonds, which were issued in 2003 and dedicated to the construction of an expansion project. Management performed several studies regarding market demand, national trends, and the growth and stability of the convention and exhibition business; they determined that an expansion was not in the authority's best interests. A state loan funded by Louisiana Gulf Opportunity Tax Credit bonds, issued in June 2006, provided debt service payments through January 2008. The zone proceeds were used to make three debt service payments, totaling $28.3 million, with repayment scheduled to begin in fiscal 2012. The senior series 1996A, 1996B, 1998, and 2000 bonds benefit from a closed lien and a senior pledge of certain taxes, primarily a combined 2% hotel and food and beverage taxes, received by the authority. In S&P's view, the rating reflects the authority's improved occupancy rates; improved revenue stream; recovery of hotel and restaurant industry; increasing number of convention center events; and strong 1.46x combined coverage based on fiscal 2009 projected pledged revenue collections. S&P believes these factors limit the credit strengths credit risks associated with revenues derived from taxes on discretionary and potentially cyclical items, such as hotel rooms; national economic downturn, which has led to the cancellation of convention events and a decline in visitors to the city; and the repayment of the Gulf Opportunity Zone Tax Credit bonds in fiscal 2012. "We expect the authority will be able to fund their debt service requirements for the senior-subordinate lien bonds," said Standard & Poor's credit analyst Sarah Smaardyk. "We also expect tourism and convention bookings to continue to improve due to the ease of access and competitive costs in New Orleans." New Orleans Exhibition Hall Authority was created pursuant to Act No. 305 of the 1978 regular session of the Louisiana Legislature. The act, as subsequently amended, authorizes the issuance of bonds; the levy and pledge of taxes; and the construction, operation, and maintenance of convention center facilities in New Orleans. An 11-member commission that consists of eight gubernatorial appointees and three mayoral appointees governs the authority. 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 II, Limited: -- US$263,700,000 Class A-1 Floating Rate Notes Due 2022, Downgraded to A2; previously on 3/13/2009 Aaa Placed Under Review for Possible Downgrade; -- US$29,300,000 Class A-2 Floating Rate Notes Due 2022, Downgraded to A2; previously on 3/4/2009 Aa1 Placed Under Review for Possible Downgrade; -- US$22,000,000 Class B Floating Rate Notes Due 2022, Downgraded to Ba1; previously on 3/4/2009 Aa2 Placed Under Review for Possible Downgrade; -- US$20,000,000 Class C Deferrable Floating Rate Notes Due 2022, Downgraded to B1; previously on 3/13/2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade; -- US$17,000,000 Class D Deferrable Floating Rate Notes Due 2022, Downgraded to Ca; previously on 3/13/2009 Downgraded to B3 and Placed Under Review for Possible Downgrade; -- US$17,000,000 Class E Deferrable Floating Rate Notes Due 2022, Downgraded to C; previously on 3/13/2009 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 the 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 of the Par Value Tests. The weighted average rating factor has steadily increased over the last year, and it is currently at 3264 versus a test level of 2500 as of the latest trustee report, dated May 15, 2009. Based on the same report, defaulted securities total about $26 million accounting for roughly 6.7% of the collateral balance, and securities rated Caa1 or lower make up approximately 20% of the underlying portfolio. Additionally, interest payments on the Class C Notes, Class D Notes, and Class E Notes are presently being deferred as a result of the failure of the Par Value Tests. Nob Hill CLO II, Ltd., issued on June 6, 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. PACIFICA CDO: 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 Pacifica CDO II, Ltd.: -- US$210,000,000 Class A-1 Floating Rate Notes Due 2015, Downgraded to Aa1; previously on July 15, 2003 Assigned Aaa; -- US$25,000,000 Class A-2 Floating Rate Notes Due 2015, Downgraded to A2; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- US$21,563,000 Class B-1 Floating Rate Notes Due 2015, Downgraded to Ba2; previously on March 20, 2009 Downgraded to Ba1; -- US$937,000 Class B-2 Fixed Rate Notes Due 2015, Downgraded to Ba2; previously on March 20, 2009 Downgraded to Ba1; -- US$9,000,000 Class C-1 Floating Rate Notes Due 2015, Downgraded to Caa2; previously on March 20, 2009 Downgraded to B1; -- US$3,000,000 Class C-2 Fixed Rate Notes Due 2015, Downgraded to Caa2; previously on March 20, 2009 Downgraded to B1; -- US$8,000,000 Class D Fixed Rate Notes Due 2015, Downgraded to C; previously on March 20, 2009 Downgraded to Caa3; -- US$3,000,000 Class J Blended Securities Due 2015, Downgraded to Baa1; previously on August 15, 2008 Upgraded to A2. 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 C and Class D Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2912 versus a test level of 2275 as of the last trustee report, dated June 1, 2009. Based on the same report, defaulted securities total about $14 million, accounting for roughly 5% of the collateral balance, and securities rated Caa1 or lower make up approximately 14% 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 Test. Pacifica CDO II, Ltd., issued in 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. PACIFICA CDO: Moody's Junks Ratings on Three Classes of Notes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Pacifica CDO III, Ltd.: -- US$278,000,000 Class A-1 Floating Rate Notes Due 2016, Downgraded to A2; previously on March 18, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$25,000,000 Class A-2a Floating Rate Notes Due 2016, Downgraded to Baa3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$4,000,000 Class A-2b Fixed Rate Notes Due 2016, Downgraded to Baa3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$6,000,000 Class B-1 Deferrable Floating Rate Notes Due 2016, Downgraded to Ba3; previously on March 18, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$5,000,000 Class B-2 Deferrable Fixed Rate Notes Due 2016, Downgraded to Ba3; previously on March 18, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$15,900,000 Class C-1 Floating Rate Notes Due 2016, Downgraded to Caa3; previously on March 18, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$5,100,000 Class C-2 Fixed Rate Notes Due 2016, Downgraded to Caa3; previously on March 18, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- Class J Blended Securities Due 2016, Downgraded to Caa2; previously on May 28, 2004 Assigned Baa3; -- Class K Blended Securities Due 2016, Downgraded to Baa2; previously on May 28, 2004 Assigned A3; -- Class L Blended Securities Due 2016, Downgraded to Baa1; previously on May 28, 2004 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 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 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, Class B, and Class C Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2868 versus a test level of 2280 as of the last trustee report, dated May 3, 2009. Based on the same report, defaulted securities total about $15 million accounting for roughly 4.2% of the collateral balance and securities rated Caa1 or lower make up approximately 15.6% of the underlying portfolio. Pacifica CDO III, Ltd., issued in 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. PARCS-R MASTER: S&P Downgrades Ratings on Three 2007-2 Notes ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on three leveraged super-senior notes issued by PARCS-R Master Trust's series 2007-2, Starts (Cayman) Ltd.'s series 2006-1, and Starts (Cayman) Ltd.'s series 2007-1. At the same time, S&P placed its ratings on four tranches issued by Khamsin Credit Products (Netherlands) II B.V.'s series 26, 27, 29, and 30 on CreditWatch with negative implications. The rating actions and CreditWatch placements follow an increase in loss assumptions for the underlying assets over the past few months. Loss triggers are generally based on losses that the reference portfolios incur. Standard & Poor's assesses the likelihood that a tranche will breach the attachment point (credit risk) when S&P assign a rating. The notes issued by Khamsin Credit Products are backed by high- grade structured finance assets, while the transactions issued by PARCS-R Master Trust and Starts (Cayman) Ltd. are backed by investment-grade corporate obligors. All of these transactions have step-up subordination features, which S&P factored into its analysis. Ratings Lowered PARCS-R Master Trust Series 2007-2 Rating ------ Class To From ----- -- ---- Units BB+ AAA STARTS (Cayman) Ltd. Series 2006-1 Rating ------ Class To From ----- -- ---- Lever Sup AA AAA STARTS (Cayman) Ltd. Series 2007-1 Rating ------ Class To From ----- -- ---- Super Sr BBB- AAA Ratings Placed On Creditwatch Negative Khamsin Credit Products (Netherlands) II B.V. Series 26 Rating ------ Class To From ----- -- ---- Tranche AAA/Watch Neg AAA Khamsin Credit Products (Netherlands) II B.V. Series 27 Rating ------ Class To From ----- -- ---- Tranche AAA/Watch Neg AAA Khamsin Credit Products (Netherlands) II B.V. Series 29 Rating ------ Class To From ----- -- ---- LvrdSprSr AAA/Watch Neg AAA Khamsin Credit Products (Netherlands) II B.V. Series 30 Rating ------ Class To From ----- -- ---- LvrdSprSr AAA/Watch Neg AAA PPLUS TRUST: S&P Puts 'BB' Ratings on CreditWatch Negative ---------------------------------------------------------- Standard & Poor's Ratings Services placed its 'BB' ratings on PPLUS Trust Series LTD-1's $25 million class A and B certificates on CreditWatch with negative implications. The ratings on the certificates are dependent solely on the rating on the underlying security, Limited Brands Inc.'s 6.95% debentures due March 1, 2033 ('BB/Watch Neg'). The rating actions reflect the June 15, 2009, placement of the rating on the underlying security on CreditWatch with negative implications. PRO RATA: Moody's Downgrades Ratings on Three Classes of Notes -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Pro Rata Funding Ltd.: -- US$54,000,000 Class B Floating Rate Deferrable Senior Subordinate Notes due 2013, Downgraded to Baa2; previously on April 16, 2009 A3 Placed Under Review for Possible Downgrade; -- US$13,000,000 Class C Floating Rate Deferrable Subordinate Notes due 2013, Downgraded to Baa3; previously on April 16, 2009 Baa2 Placed Under Review for Possible Downgrade. -- US$7,000,000 Class D Floating Rate Deferrable Subordinate Notes due 2013, Downgraded to Ba3; previously on April 16, 2009 Ba2 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 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, and an increase in the proportion of securities rated Caa1 and below. The weighted average rating factor has increased over the last year and it is currently at 2448 versus a test level of 2237 as of the last trustee report, dated April 30, 2009. Based on the same report, defaulted securities total about $38.9 million, accounting for roughly 11% of the collateral balance, and securities rated Caa1 or lower make up approximately 5.45% of the underlying portfolio. Pro Rata Funding Ltd., issued on September 25, 2003, is a synthetic collateralized loan obligation referencing primarily a portfolio of senior secured loans. RFMSII HOME: Moody's Downgrades Ratings on 17 Tranches ------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 17 tranches issued in three RFMSII transactions. Underlying securities' collateral consists primarily of closed-end second lien residential mortgage loans and second lien home equity lines of credit. The ratings on the securities were monitored by evaluating factors Moody's determined to be essential in the analysis of securities backed by such loans. The salient factors include; i) the nature, sufficiency, and quality of historical loan performance information, ii) the collateral composition and pool credit performance including loan delinquency and loss data, iii) the transaction's capital structure and related allocations of collateral cash flows and losses, and iv) a comparison of current credit enhancement levels to updated Moody's pool loss projections based on present collateral credit performance. Some of the securities are guaranteed by the respective financial guarantors identified below. The underlying ratings generally reflect the intrinsic credit quality of the securities in the absence of the guarantee. The current ratings on the below -- noted securities are consistent with Moody's practice of rating such insured securities at the higher of the guarantor's insurance financial strength rating and the underlying or intrinsic rating. When analyzing underlying ratings for CES and HELOC transactions, Moody's projects cumulative losses for each deal based on a collateral analysis of the deal's Constant Prepayment Rate and Constant Default Rate. CPR is based on the average of the last six months 1-month CPR. There are two approaches for determining pool CDR. The first approach calculates CDR based on pool loan losses from the previous twelve months, i.e. recent losses. A second approach is based on pipeline losses -- losses derived from days-aged delinquencies and Moody's assumptions for default based on days delinquent, in foreclosure, or liquidation, and the severity of loss given default. Moody's assumes 100% severity for second liens, including both CES and HELOCs. After the CDR is calculated using the two methods, the effective CDR for loss projection purposes is determined by using a weighted average of the CDRs as determined by the recent loss and pipeline loss approaches -- with weightings determined on a transaction by transaction basis. Moody's assumes that the CDR will not decline for the next three years and will decline subsequently for the life of the deal under a schedule, typically reducing by 50% in year 4 and remaining constant thereafter. Based on calculated CPR and CDR, Moody's calculates projected deal-specific cumulative losses and the weighted average life of the deal. The credit enhancement calculation can also include credit for excess spread, i.e the aggregate, positive difference in the weighted average loan coupon and the all-inclusive securities' interest and deal fees, including servicing. Excess spread benefit is calculated by multiplying the stressed annualized excess spread by the weighted average life of the deal. Aggregate credit enhancement which combines subordination benefit (including overcollateralization and/or reserve accounts) and excess spread benefit is compared with projected cumulative losses for the deal to derive coverage multiples and associated ratings by deal tranche. Moody's will analyze tranche coverage multiples after consideration of timing of tranche repayment and allocation of losses (if any). Complete rating actions are: Issuer: RFMSII Home Equity Loan Trust 2005-HS1 -- Cl. A-I-2, Downgraded to B2; previously on 10/30/2008 Downgraded to Baa1 -- Current Underlying Rating: Downgraded to B2; previously on 10/30/2008 Downgraded to Baa1 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-I-3, Downgraded to Caa1; previously on 10/30/2008 Downgraded to Baa1 -- Current Underlying Rating: Downgraded to Caa1; previously on 10/30/2008 Downgraded to Baa1 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-I-4, Downgraded to Caa1; previously on 10/30/2008 Downgraded to Baa1 -- Current Underlying Rating: Downgraded to Caa1; previously on 10/30/2008 Downgraded to Baa1 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-I-5, Downgraded to B3; previously on 10/30/2008 Downgraded to Baa3 -- Current Underlying Rating: Downgraded to B3; previously on 10/30/2008 Downgraded to Baa3 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-II, Downgraded to Ca; previously on 3/24/2009 Downgraded to Caa3 -- Current Underlying Rating: Downgraded to Ca; previously on 10/30/2008 Downgraded to Caa3 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) Issuer: RFMSII Home Loan Trust 2005-HI2 -- Cl. M-6, Downgraded to Baa1; previously on 7/20/2005 Assigned A3 -- Cl. M-7, Downgraded to Baa3; previously on 7/20/2005 Assigned Baa1 -- Cl. M-8, Downgraded to Ba3; previously on 10/30/2008 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to B2; previously on 10/30/2008 Baa3 Placed Under Review for Possible Downgrade Issuer: RFMSII Home Loan Trust 2006-HI1 -- Cl. M-2, Downgraded to A2; previously on 4/7/2006 Assigned Aa2 -- Cl. M-3, Downgraded to A3; previously on 4/7/2006 Assigned Aa3 -- Cl. M-4, Downgraded to Baa1; previously on 4/7/2006 Assigned A1 -- Cl. M-5, Downgraded to Baa3; previously on 4/7/2006 Assigned A2 -- Cl. M-6, Downgraded to Ba2; previously on 4/7/2006 Assigned A3 -- Cl. M-7, Downgraded to B1; previously on 4/7/2006 Assigned Baa1 -- Cl. M-8, Downgraded to Caa1; previously on 10/30/2008 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to Ca; previously on 10/30/2008 Baa3 Placed Under Review for Possible Downgrade SKYTOP CLO: Moody's Downgrades Ratings on Two Classes of Notes -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded and left under review for possible downgrade the ratings of these notes issued by Skytop CLO Ltd.: -- US$15,000,000 Class B Fixed Rate Deferrable Senior Subordinate Notes due 2018, Downgraded to Ba2 and Placed Under Review for Possible Downgrade; previously on April 16, 2009 A2 Placed Under Review for Possible Downgrade; -- US$18,000,000 Class C Floating Rate Deferrable Senior Subordinate Notes due 2018, Downgraded to Caa1 and Placed Under Review for Possible Downgrade; previously on April 16, 2009 Baa3 Placed Under Review for Possible Downgrade; In addition, Moody's downgraded the rating of these notes: -- US$2,600,000 Class Q-1 Securities due 2018, Downgraded to Caa3; previously on November 18, 2004 Assigned B3. 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, and 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 2691 versus a test level of 2240 as of the last trustee report, dated May 7, 2009. Based on the same report, defaulted securities total about $48.8 million, accounting for roughly 12.8% of the collateral balance, and securities rated Caa1 or lower make up approximately 12% of the underlying portfolio. The Class B and Class C 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. Skytop CLO Ltd., issued on November 18, 2004, is a synthetic collateralized loan obligation referencing primarily a portfolio of senior secured loans. SOUTHPORT CLO: Moody's Downgrades Ratings on Various Classes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Southport CLO, Limited: -- US$105,000,000 Class A-1 Floating Rate Notes Due 2016, Downgraded to Aa2; previously on November 30, 2004 Assigned Aaa; -- US$41,300,000 Class A-3 Floating Rate Notes Due 2016, Downgraded to Aa3; previously on March 4, 2009 Placed Under Review for Possible Downgraded; -- US$20,500,000 Class C Floating Rate Deferrable Notes Notes Due 2016, Downgraded to B3; previously on March 18, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$12,300,000 Class D Floating Rate Deferrable Notes Notes Due 2016, Downgraded to Caa3; previously on March 18, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. -- US$68,650,000 Class 2 Combination Notes Due 2016, Downgraded to B1; previously on November 30, 2004 Assigned Baa1; In addition, Moody's has confirmed the rating on these notes: -- US$30,750,000 Class B Floating Rate Deferrable Notes Due 2016, Confirmed at Ba1; previously on March 18, 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 high-yield corporate bonds, 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 Class D Overcollateralization Ratio Test. The weighted average rating factor has steadily increased over the last year and it is currently at 2848 versus a test level of 2463 as of the last trustee report, dated May 7, 2009. Based on the same report, defaulted securities total about $20 million, accounting for roughly 5.2% of the collateral balance, and securities rated Caa1 or lower make up approximately 12% of the underlying portfolio. Southport CLO, Limited, issued in November 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. SPYGLASS TRUST: Moody's Cuts Ratings on Principal Units to 'Ba1' ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its rating of Principal Units issued by Spyglass Trust-3. The rating action is: Class Description: Principal Units -- Current Rating: Ba1 -- Prior Rating: A1 on review for possible downgrade -- Prior Rating Date: 01/30/2009 The transaction is a structured note whose rating is based on the rating of the Notes and the legal structure of the transaction. STRUCTURED ASSET: S&P Puts 'BB' Rating on CreditWatch Negative -------------------------------------------------------------- Standard & Poor's Ratings Services placed its 'BB' rating on Structured Asset Trust Unit Repackagings (SATURNS) Limited Brands Inc. Debenture Backed Series 2005-3's $25 million callable units on CreditWatch with negative implications. The rating on the callable units is dependent solely on the rating on the underlying security, Limited Brands Inc.'s 6.95% debentures due March 1, 2033 ('BB/Watch Neg'). The rating action reflects the June 15, 2009, placement of the rating on the underlying security on CreditWatch with negative implications. TERWIN MORTGAGE: Moody's Confirms Ratings on Class II-A-1a Tranche ------------------------------------------------------------------ Moody's Investors Service has confirmed the rating of Class II-A- 1a tranche issued in Terwin Mortgage Trust 2006-1 transaction. Underlying securities' collateral consists primarily of closed-end second lien residential mortgage loans and second lien home equity lines of credit. The ratings on the securities were monitored by evaluating factors Moody's determined to be essential in the analysis of securities backed by such loans. The salient factors include; i) the nature, sufficiency, and quality of historical loan performance information, ii) the collateral composition and pool credit performance including loan delinquency and loss data, iii) the transaction's capital structure and related allocations of collateral cash flows and losses, and iv) a comparison of current credit enhancement levels to updated Moody's pool loss projections based on present collateral credit performance. When analyzing underlying ratings for CES and HELOC transactions, Moody's projects cumulative losses for each deal based on a collateral analysis of the deal's Constant Prepayment Rate and Constant Default Rate. CPR is based on the average of the last six months 1-month CPR. There are two approaches for determining pool CDR. The first approach calculates CDR based on pool loan losses from the previous twelve months, i.e. recent losses. A second approach is based on pipeline losses -- losses derived from days-aged delinquencies and Moody's assumptions for default based on days delinquent, in foreclosure, or liquidation, and the severity of loss given default. Moody's assumes 100% severity for second liens, including both CES and HELOCs. After the CDR is calculated using the two methods, the effective CDR for loss projection purposes is determined by using a weighted average of the CDRs as determined by the recent loss and pipeline loss approaches -- with weightings determined on a transaction by transaction basis. Moody's assumes that the CDR will not decline for the next three years and will decline subsequently for the life of the deal under a schedule, typically reducing by 50% in year 4 and remaining constant thereafter. Based on calculated CPR and CDR, Moody's calculates projected deal-specific cumulative losses and the weighted average life of the deal. The credit enhancement calculation can also include credit for excess spread, i.e the aggregate, positive difference in the weighted average loan coupon and the all-inclusive securities' interest and deal fees, including servicing. Excess spread benefit is calculated by multiplying the stressed annualized excess spread by the weighted average life of the deal. Aggregate credit enhancement which combines subordination benefit (including overcollateralization and/or reserve accounts) and excess spread benefit is compared with projected cumulative losses for the deal to derive coverage multiples and associated ratings by deal tranche. Moody's will analyze tranche coverage multiples after consideration of timing of tranche repayment and allocation of losses (if any). Complete rating actions are: Issuer: Terwin Mortgage Trust 2006-1 -- Cl. II-A-1a, Confirmed at Caa3; previously on 2/26/2009 Caa3 Placed Under Review for Possible Downgrade TEXTRON FINANCIAL: Moody's Takes Rating Actions on 2007-A Notes --------------------------------------------------------------- Moody's Investors Service has taken these rating actions on dealer floorplan asset-backed notes issued by Textron Financial Floorplan Master Note Trust, Series 2007-A: -- Class A Notes, Under review for possible downgrade. Previously on 2/20/09, downgraded to Aa3 from Aaa -- Class B Notes, Under review for possible downgrade. Previously on 2/20/09, downgraded to Ba2 from A1 Rationale The review was prompted by sharply rising losses since the last rating action in February 2009. In the last three months, annualized losses have ranged from 4.5% to 6.0%, considerably higher than historical ranges of 0.25% to 1.00%. The transaction features revolving receivables payable by dealers and secured by the dealers' related inventory of mixed collateral such as boats, ATVs, lawn and garden equipment, manufactured homes, recreational vehicles, and various other asset types. The dealers' accounts are originated and serviced by Textron Financial Corporation. On December 22, 2008, TFC's parent, Textron Inc., announced that its Board of Directors approved a plan to exit a portion of TFC's commercial finance business through a combination of orderly liquidation and selected sales. At the time of the announcement, the plan applied to approximately $7.9 billion of TFC's $11.4 billion managed receivable portfolio, including the floorplan activity of Textron Financial Floorplan Master Note Trust. Moody's review will focus on assessing the strength of dealers and the level of dealer defaults attendant upon TFC's exit from a portion of its commercial finance business, the potential severity of losses realized on the trust's portfolio of loans, and TFC's servicing strategy considering these developments. At the conclusion of the review, which is typically no longer than 90 days, Moody's may downgrade the notes. Rating Methodology Moody's conducts two primary analytical methods in evaluating this transaction. The first method evaluates an expected loss estimate for the floorplan collateral and variability around the loss estimate, contemplating more stressful environments. The judgment of a rating committee is used to determine the variability around the loss estimate at a level consistent with a Aaa rating, also referred to as a Aaa Proxy, for the given trust. After determining an expected loss and Aaa Proxy, Moody's employs an expected loss framework to evaluate the related bond ratings, using a lognormal probability distribution for the asset pool's expected loss. Within that framework, the ratings on the securities are assigned based on a table that shows the relationship between the Notes' probability-weighted expected loss and a Moody's rating. This approach is comparable to the methodology for retail auto loan transactions. The second analytical method utilized, Moody's floorplan loan model, is based on a joint-default probability analysis of both the manufacturers and dealers. Loss given default is determined by analyzing the collateral at risk net of recoveries. The total collateral at risk upon a joint-default of manufacturer and dealer is the remaining unpaid floorplan loan balance. The balance is calculated based on total payments as determined by a monthly payment rate prior to dealer default. The analysis is implemented through a simulation model, which simulates losses during a two year amortization period following an event of default based on a set of key modeled assumptions such as manufacturer bankruptcy scenarios, dealer default rates, recovery rates, payment rates, the impact of macroeconomic activity on manufacturer and dealer default probability, the correlation of default between manufacturer and dealer, and the frequency of diversion of product sale proceeds by the dealership ("sold out of trust"). Manufacturer and dealer default probabilities are simulated based on committee assessment. Each simulation run simulates a total loss and corresponding internal rate of return reduction for each class of Notes. In addition to the analytical methods, Moody's also evaluates qualitative factors such as the quality of provided information and the strength of the servicer. Combining the qualitative factors and both quantitative analyses, a final rating level is determined. Servicer The receivables and associated dealers' accounts for the Textron Financial Floorplan Master Note Trust are serviced by TFC. The senior unsecured and the short term ratings of TFC and its parent Textron are Baa3 and Prime-3. The rating outlook is negative. VERITAS CLO: Moody's Downgrades Ratings on Various Notes -------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Veritas CLO II, Ltd.: -- US$196,600,000 Class A-1T First Priority Senior Secured Floating Rate Notes Due 2021, Downgraded to Aa1; previously on 6/13/2006 Assigned Aaa; -- US$30,000,000 Class A-1R First Priority Senior Secured Revolving Notes Due 2021, Downgraded to Aa1; previously on 6/13/2006 Assigned Aaa; -- US$25,200,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2021, Downgraded to A2; previously on 3/4/2009 Aaa Placed Under Review for Possible Downgrade; -- US$15,200,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2021, Downgraded to Baa1; previously on 3/4/2009 Aa2 Placed Under Review for Possible Downgrade; -- US$20,600,000 Class C Fourth Priority Mezzanine Secured Floating Rate Deferrable Interest Notes Due 2021, Downgraded to Ba2; previously on 3/17/2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$10,500,000 Class D Fifth Priority Mezzanine Secured Floating Rate Deferrable Interest Notes Due 2021, Downgraded to B3; previously on 3/17/2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$9,500,000 Class E Sixth Priority Mezzanine Secured Floating Rate Deferrable Interest Notes Due 2021, Downgraded to Ca; previously on 3/17/2009 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. 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 Class D and E Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2722 versus a test level of 2658 as of the last trustee report, dated April 30, 2009. Based on the same report, defaulted securities total about $22 million, accounting for roughly 6.9% of the collateral balance, and securities rated Caa1 or lower make up approximately 16.7% of the underlying portfolio. Additionally, interest payments on the Class D Notes and Class E Notes are presently being deferred as a result of the failure of the Class C Overcollateralization Test on the last payment date. 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 speculative-grade ratings and carry depressed market valuations that may herald poor recovery prospects in the event of default. Veritas CLO II, Ltd., issued in June 8, 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. WACHOVIA BANK: Fitch Puts Ratings on 2005-C22 Notes on Neg. Watch ----------------------------------------------------------------- Fitch Ratings places these 15 classes of Wachovia Bank Commercial Mortgage Securities Trust commercial mortgage pass-through certificates, series 2005-C22 on Rating Watch Negative: -- $152 million class A-J 'AAA'; -- $22.2 million class B 'AA+'; -- $31.7 million class C 'AA'; -- $25.3 million class D 'AA-'; -- $47.5 million class E 'A'; -- $31.7 million class F 'A-'; -- $28.5 million class G 'BBB+'; -- $28.5 million class H 'BBB'; -- $34.8 million class J 'BBB-'; -- $15.8 million class K 'BB'; -- $12.7 million class L 'BB-'; -- $12.7 million class M 'B+'; -- $6.3 million class N 'B'; -- $6.3 million class O 'B-'; -- $9.5 million class P 'CCC/RR1'. The Negative Watch reflects the transfer of four loans (6.5%) to special servicing since Fitch's last rating action in March 2009. This brings the total number of loans in special servicing to six, which represents 7.7% of the pool. Three of the loans (2.5%) are delinquent. Two of the transfers are related to the General Growth Properties bankruptcy. GGP is the sponsor of the largest specially serviced loan (1.9%), Eagle Ridge Mall, and the third largest specially serviced loan (1.6%), Knollwood Mall. Both loans transferred to special servicing in April 2009 after GGP filed for bankruptcy, and both properties were included in the filing. At a minimum, CMBS trusts, which include GGP loans, will incur additional servicing fees. Fitch expects to resolve the Negative Watch status of these classes in the next 60 days, and will incorporate updated information on the specially serviced loans as it becomes available. WACHOVIA BANK: Moody's Reviews Ratings on Nine 2007-ESH Certs. -------------------------------------------------------------- Moody's Investors Service placed nine classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-ESH on review for possible downgrade due to the recent filing for Chapter 11 protection by the borrower, and the uncertainties stemming from this action. In particular, legal fees, special servicing fees, and extraordinary trust fund expenses could result in interest shortfalls to the bonds. In addition, the potential for a "cram-down" of the mortgage exists if the "value" presented in the filing is accepted as is, which would result in losses to the trust. Moody's affirmed 12 classes and downgraded eight classes on February 25, 2009 as part of first quarter 2009 ratings sweep of large loan and single borrower transactions. At that time, Moody's loan to value ratio was 113% for the trust and 205% including mezzanine debt. Moody's stressed debt service coverage ratio was 1.1X for the trust, and Moody's actual DSCR (using Moody's stressed net cash flow) was 1.9X. The transaction is secured by first priority a floating- and fixed-rate mortgage loans secured by 664 owned hotels and 17 hotels subject to a capital lease totaling 75,976 guestrooms, one land parcel and one office building. The 681 hotels operate under five brands, and are located in 44 states and two provinces in Canada. The trust balance is $4.1 billion. The borrower has incurred additional debt in the form of mezzanine loans totaling $3.3 billion which are held outside the trust. The properties in the pool are classified as lower-tier extended stay hotels by Smith Travel Research. A typical extended stay product offers in-room kitchenette, weekly maid service, and lower rates compared to those of comparable full- and limited-service hotels. By eliminating the amenities and services typical of traditional hotels and achieving longer guest length of stay, extended stay hotels generate profit margins which are significantly higher than those of both full- and limited-service hotels. This provides greater cushion to withstand net cash flow declines in times of stress than transient hotels. Smith Travel Research reports that total U.S. Revenue per Available Room decreased by 18.2% during the first four months of 2009 over the same period in 2008. According to Smith Travel Research, the Preliminary May 2009 RevPAR Percent Change over May 2008 is expected to be between -20% and -22%. Moody's anticipates mid to high double digit RevPAR decline percent change to continue in lodging performance for the remainder of this year. The portfolio's RevPAR decreased 22.7% from $36.89 to $28.50 for the first four months of 2009 over the same period in 2008. The portfolio's EBITA decreased 36% from $193.5 million to $123.1 million for the first four months of 2009 over the same period in 2008. Moody's net cash flow at securitization was $513.9 million. Moody's capitalization rate was 11.0%, and this resulted in a Moody's value of $4.7 billion. At the time of the first quarter 2009 ratings sweep, Moody's value was $3.6 billion based on an estimated net cash flow of $416.0 million and an 11.5% capitalization rate. In the coming weeks, Moody's will continue to monitor financial performance of the pool, the latest development in the bankruptcy courts, and its impact on the ratings. Moody's rating action is: -- Class D, $107,640,000, placed under review for possible downgrade; previously on February 24, 2009 affirmed Aa3 -- Class E, $114,160,000, placed under review for possible downgrade; previously on February 24, 2009 downgraded to A2 from A1 -- Class F, $124,520,000, placed under review for possible downgrade; previously on February 24, 2009 downgraded to A3 from A2 -- Class G, $131,040,000, placed under review for possible downgrade; previously on February 24, 2009 downgraded to Baa2 from Baa1 -- Class H, $130,440,000, placed under review for possible downgrade; previously on February 24, 2009 downgraded to Ba1 from Baa2 -- Class J, $100,000,000, placed under review for possible downgrade; previously on February 24, 2009 downgraded to Ba2 from Baa3 -- Class K, $214,000,000, placed under review for possible downgrade; previously on February 24, 2009 downgraded to Ba3 from Ba2 -- Class L, $200,000,000, placed under review for possible downgrade; previously on February 24, 2009 downgraded to B2 from Ba3 -- Class M, $100,000,000, placed under review for possible downgrade; previously on February 24, 2009 downgraded to B3 from B1 ZOHAR CDO: Moody's Downgrades Ratings on Various 2003-1 Notes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Zohar CDO 2003-1 Limited: -- US$150,000,000 Class A-1 Floating Rate Senior Secured Revolving Notes due 2015, Downgraded to B1; previously on April 9, 2009 Downgraded to Aa2 and Placed Under Review for Possible Downgrade; -- US$32,000,000 Class A-2 Floating Rate Senior Secured Delayed Drawdown Notes due 2015, Downgraded to B1; previously on April 9, 2009 Downgraded to Aa2 and Placed Under Review for Possible Downgrade; -- US$297,500,000 Class A-3a Floating Rate Senior Secured Delayed Drawdown Notes due 2015, Downgraded to Ba1; previously on September 18, 2008 Aaa, Placed Under Review for Possible Downgrade; -- US$52,500,000 Class A-3b Floating Rate Senior Secured Delayed Drawdown Notes due 2015, Downgraded to Caa3; previously on April 9, 2009 Aa2, Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the application of certain stresses with respect to the default probabilities associated with certain Moody's credit estimates, 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 weighted average rating factor and calculated by Moody's), an increase in the dollar amount of defaulted securities, and an increase in the proportion of securities from issuers rated Caa1 and below. Based on the latest trustee report, dated April 30, 2009, defaulted securities total about $50.67 million, accounting for roughly 8.25% of the collateral balance. In addition, the ratings on Class A-1 and A-2 Notes are based solely on the intrinsic credit quality of the Class A-1 and A-2 Notes in the absence of the guarantee from MBIA Insurance Corporation, whose insurance financial strength rating was downgraded from Baa1 to B3 on February 18, 2009. The above actions are a result of, and are consistent with, Moody's modified approach to rating structured finance securities wrapped by financial guarantors as described in the press release dated November 10, 2008, titled "Moody's modifies approach to rating structured finance securities wrapped by financial guarantors." Zohar CDO 2003-1 Limited, issued on November 13, 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans, many of which rely on credit estimates. ZOHAR II: Moody's Downgrades Ratings on Various 2005-1 Notes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Zohar II 2005-1, Limited: -- US$250,000,000 Class A-1 Notes due 2017, Downgraded to Ba1; previously on March 4, 2009 Aa2, Placed Under Review for Possible Downgrade; -- US$550,000,000 Class A-2 Notes due 2017, Downgraded to Ba1; previously on March 4, 2009 Aa2, Placed Under Review for Possible Downgrade; -- US$200,000,000 Class A-3 Notes due 2017, Downgraded to Ba1; previously on March 4, 2009 Aa2, Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the application of certain stresses with respect to the default probabilities associated with certain Moody's credit estimates, 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 weighted average rating factor and calculated by Moody's), an increase in the dollar amount of defaulted securities, and an increase in the proportion of securities from issuers rated Caa1 and below. Based on the latest trustee report, dated April 8, 2009, defaulted securities total about $199.5 million, accounting for roughly 15.3% of the collateral balance. In addition, the ratings on the Class A-1, A-2 and A-3 Notes are based solely on the intrinsic credit quality of the notes in the absence of the guarantee from MBIA Insurance Corporation, whose insurance financial strength rating was downgraded from Baa1 to B3 on February 18, 2009. The above actions are a result of, and are consistent with, Moody's modified approach to rating structured finance securities wrapped by financial guarantors as described in the press release dated November 10, 2008, titled "Moody's modifies approach to rating structured finance securities wrapped by financial guarantors." Zohar II 2005-1, Limited, issued on January 12, 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans, many of which rely on credit estimates. ZOHAR III: 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 Zohar III, Limited: -- US$200,000,000 Class A-1R Floating Rate Senior Secured Revolving Notes Due 2019, Downgraded to A1; previously on April 6, 2007 Assigned Aaa; -- US$150,000,000 Class A-1T Floating Rate Senior Secured Term Notes Due 2019, Downgraded to A1; previously on April 6, 2007 Assigned Aaa; -- US$350,000,000 Class A-1D Floating Rate Senior Secured Delayed Drawdown Notes Due 2019, Downgraded to A1; previously on April 6, 2007 Assigned Aaa; -- US$200,000,000 Class A-2 Floating Rate Second Priority Senior Secured Term Notes Due 2019, Downgraded to Baa2; previously on March 4, 2009 Aaa, Placed Under Review for Possible Downgrade; -- US$116,000,000 Class A-3 Floating Rate Third Priority Senior Secured Term Notes Due 2019, Downgraded to Ba3; previously on March 4, 2009 Aa2, Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the application of certain stresses with respect to the default probabilities associated with certain Moody's credit estimates, 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 weighted average rating factor and calculated by Moody's), an increase in the dollar amount of defaulted securities, and an increase in the proportion of securities from issuers rated Caa1 and below. Based on the latest trustee report, dated April 30, 2009, defaulted securities total about $109.3 million, accounting for roughly 8.3% of the collateral balance. Zohar III, Limited, issued in April 6, 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans, many of which rely on credit estimates. * Fitch Takes Various Rating Actions on 422 Bonds in 208 RMBS NIMs ------------------------------------------------------------------ Fitch Ratings has taken various rating actions on 422 bonds in 208 U.S. RMBS net interest margin transactions. The rating actions reflect actual pay-down performance of the NIM securities to date and the performance of the underlying collateral. Essentially all of the actions are either affirming (70%) the bond at 'C' or downgrading (30%) the bond to 'C'. This rating indicates that Fitch projects the bonds will not receive enough cashflow from the underlying supporting transaction to pay off the outstanding balance of the NIM bond. In many instances the underlying transaction has suffered significant losses throughout the capital structure and there will be no additional excess cashflow available to the NIM. The spreadsheet also contains Fitch's Recovery Ratings for bonds rated below 'B'. The Recovery Rating scale is based upon the expected relative recovery characteristics of an obligation. For structured finance, Recovery Ratings are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money. * S&P Cuts Ratings on 60 Classes of Certs. from 14 Alt-A Deals -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 60 classes of mortgage pass-through certificates from 14 U.S. Alternative-A and prime jumbo residential mortgage-backed securities transactions issued between 2003 and 2007. At the same time, S&P removed 38 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 109 classes from six of the downgraded transactions and five additional transactions. S&P also removed 10 of the affirmed ratings from CreditWatch negative. The lowered ratings 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. S&P derived the losses for these transactions using S&P's criteria found in the "Related Research" section. 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. 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 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. For the U.S. prime jumbo deals, to assess the creditworthiness of each class, S&P reviewed the individual delinquency and loss trends of the transaction for changes, if any, in risk characteristics, servicing, and the expected ability to withstand additional credit deterioration. In order to maintain a rating higher than 'B', S&P considered whether a class absorbed losses in excess of the base-case assumptions S&P made in its analysis. For example, S&P assesses whether a class can withstand approximately 130% of S&P's base-case loss assumptions in order to maintain a 'BB' rating, while S&P consider whether a different class can withstand approximately 160% of S&P's base-case loss assumptions to maintain a 'BBB' rating. An affirmed 'AAA' rating reflects S&P's opinion that the class can withstand approximately 235% of S&P's base-case loss assumptions. The subordination of the more-junior classes provides credit support for the prime jumbo transaction. The collateral for this transaction consists of fixed and adjustable-rate prime jumbo mortgage loans secured by one- to four-family residential properties. For the Alt-A deals, to maintain an 'AAA' rating, S&P consider whether a bond is able to withstand approximately 150% of S&P's base-case loss assumptions, subject to individual caps and qualitative factors assumed on specific transactions. For a class for which we've affirmed a 'B' rating, S&P consider whether a bond is able to withstand S&P's base-case loss assumptions. Other rating categories are dispersed, approximately equally, between these two loss assumptions. For example, to maintain a 'BB' rating on one class, S&P may consider whether the class is able to withstand approximately 110% of S&P's base-case loss assumptions, while, in connection with a different class, S&P may consider whether it is able to withstand approximately 120% of S&P's base- case loss assumptions to maintain a 'BBB' rating. For the Alt-A deals, subordination of the more-junior classes within each structure provides credit support for the affected transactions. The collateral backing these deals originally consisted predominantly of Alt-A, first-lien, negative- amortization residential mortgage loans secured byone- 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 Citicorp Mortgage Securities Inc. Series 2005-8 Rating ------ Class CUSIP To From ----- ----- -- ---- IA-1 1729733Y3 BBB AAA/Watch Neg IA-2 1729733Z0 BBB AAA/Watch Neg IA-3 1729734A4 BBB AAA/Watch Neg IA-4 1729734B2 AAA AAA/Watch Neg IA-5 1729734C0 BBB AAA/Watch Neg IA-6 1729734D8 BBB AAA/Watch Neg IA-7 1729734E6 BBB AAA/Watch Neg IA-8 1729734F3 BBB AAA/Watch Neg IIA-1 1729734G1 BBB AAA/Watch Neg IIA-2 1729734H9 BBB AAA/Watch Neg IIA-3 1729734J5 BBB AAA/Watch Neg A-PO 1729734K2 BBB AAA/Watch Neg RALI Series 2003-QS19 Trust Series 2003-QS19 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 76110HKZ1 B BBB B-1 76110HLA5 CCC BB B-2 76110HLB3 CC B RALI Series 2003-QS21 Trust Series 2003-QS21 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 76110HLK3 AAA AAA/Watch Neg A-3 76110HLL1 AAA AAA/Watch Neg A-5 76110HLN7 AAA AAA/Watch Neg A-6 76110HLP2 AAA AAA/Watch Neg A-P 76110HLQ0 AAA AAA/Watch Neg A-V 76110HLR8 AAA AAA/Watch Neg M-1 76110HLU1 AA AA/Watch Neg M-2 76110HLV9 A A/Watch Neg M-3 76110HLW7 CCC BBB/Watch Neg B-1 76110HLX5 CC BB/Watch Neg RALI Series 2003-QS22 Trust Series 2003-QS22 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 76110HNS4 CCC BB B-2 76110HNT2 CC B RALI Series 2003-QS4 Trust Series 2003-QS4 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 76110HAP4 CCC BB RALI Series 2003-QS6 Trust Series 2003-QS6 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 76110G8K0 CC B RALI Series 2003-QS7 Trust Series 2003-QS7 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 76110HBW8 B BBB B-1 76110HBX6 CCC BB B-2 76110HBY4 CC B RALI Series 2003-QS8 Trust Series 2003-QS8 Rating ------ Class CUSIP To From ----- ----- -- ---- A-3 76110HAU3 AAA AAA/Watch Neg M-3 76110HBF5 CCC BBB B-1 76110HBG3 CC BB RALI Series 2006-QA8 Trust Series 2006-QA8 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 74922QAA0 CC B/Watch Neg A-2 74922QAB8 CC BBB/Watch Neg A-3 74922QAC6 CC B/Watch Neg RALI Series 2007-QA5 Trust Series 2007-QA5 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 749236AA3 CC B+/Watch Neg I-A-2 749236AB1 CC B/Watch Neg II-A-1 749236AC9 CC B+/Watch Neg II-A-2 749236AD7 CC B/Watch Neg III-A-1 749236AE5 CC B+/Watch Neg III-A-2 749236AF2 CC B/Watch Neg M-1 749236AJ4 CC CCC RALI Series 2007-QH8 Trust Series 2007-QH8 Rating ------ Class CUSIP To From ----- ----- -- ---- A 74924EAA5 CCC AAA/Watch Neg X 74924EAJ6 CCC AAA P 74924EAH0 CCC AAA M-1 74924EAB3 CC AA/Watch Neg M-2 74924EAC1 CC A/Watch Neg M-3 74924EAD9 CC BBB/Watch Neg B-1 74924EAE7 CC BB/Watch Neg RALI Series 2007-QS10 Trust Series 2007-QS10 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 74924DAA7 CC B+/Watch Neg A-2 74924DAB5 CC B/Watch Neg A-3 74924DAC3 CC B+/Watch Neg A-4 74924DAD1 CC B+/Watch Neg A-5 74924DAE9 CC B+/Watch Neg A-6 74924DAF6 CC B+/Watch Neg A-7 74924DAG4 CC B+/Watch Neg A-P 74924DAH2 CC B/Watch Neg A-V 74924DAJ8 CC B+ M-1 74924DAL3 CC CCC RALI Series 2007-QS11 Trust Series 2007-QS11 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 74925GAA9 CCC B+/Watch Neg A-2 74925GAB7 CC B/Watch Neg A-P 74925GAC5 CC B/Watch Neg A-V 74925GAD3 CCC B+ M-1 74925GAG6 CC CCC STARM Mortgage Loan Trust 2007-S1 Series 2007-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 855541AF5 CCC B B-2 855541AG3 CC CCC B-3 855541AH1 CC CCC Ratings Affirmed Greenwich Capital Acceptance Inc. Series 1994-ARM5 Class CUSIP Rating ----- ----- ------ A-1 396782CW2 B A-2 396782CX0 B B-1 396782CY8 B B-2 396782CZ5 B RALI Series 2003-QS19 Trust Series 2003-QS19 Class CUSIP Rating ----- ----- ------ A-I 76110HKJ7 AAA CB 76110HKK4 AAA NB-1 76110HKL2 AAA NB-2 76110HKM0 AAA NB-3 76110HKN8 AAA NB-4 76110HKP3 AAA NB-5 76110HKQ1 AAA NB-6 76110HKR9 AAA NB-7 76110HKS7 AAA A-P 76110HKT5 AAA A-V 76110HKU2 AAA M-1 76110HKX6 AA M-2 76110HKY4 A RALI Series 2003-QS22 Trust Series 2003-QS22 Class CUSIP Rating ----- ----- ------ A-1 76110HMV8 AAA A-2 76110HMW6 AAA A-3 76110HMX4 AAA A-4 76110HMY2 AAA A-5 76110HMZ9 AAA A-6 76110HNA3 AAA A-7 76110HNB1 AAA A-11 76110HNF2 AAA A-12 76110HNG0 AAA A-13 76110HNH8 AAA A-14 76110HNJ4 AAA A-P 76110HNK1 AAA A-V 76110HNL9 AAA M-1 76110HNP0 AA M-2 76110HNQ8 A M-3 76110HNR6 BBB RALI Series 2003-QS3 Trust Series 2003-QS3 Class CUSIP Rating ----- ----- ------ A-1 76110G6A4 AAA A-2 76110G6B2 AAA A-3 76110G6C0 AAA A-4 76110G6D8 AAA A-5 76110G6E6 AAA A-7 76110G6G1 AAA A-8 76110G6H9 AAA A-P 76110G6J5 AAA A-V 76110G6K2 AAA RALI Series 2003-QS4 Trust Series 2003-QS4 Class CUSIP Rating ----- ----- ------ A-1 76110HAA7 AAA A-2 76110HAB5 AAA A-3 76110HAC3 AAA A-4 76110HAD1 AAA A-5 76110HAE9 AAA A-6 76110HAF6 AAA A-P 76110HAG4 AAA A-V 76110HAH2 AAA M-1 76110HAL3 AA+ M-2 76110HAM1 A+ M-3 76110HAN9 BBB RALI Series 2003-QS5 Trust Series 2003-QS5 Class CUSIP Rating ----- ----- ------ A-1 76110G6U0 AAA A-2 76110G6V8 AAA A-3 76110G6W6 AAA A-4 76110G6X4 AAA A-5 76110G6Y2 AAA A-6 76110G6Z9 AAA A-P 76110G7A3 AAA A-V 76110G7B1 AAA RALI Series 2003-QS6 Trust Series 2003-QS6 Class CUSIP Rating ----- ----- ------ A-4 76110G7P0 AAA A-7 76110G7S4 AAA A-8 76110G7T2 AAA A-13 76110G7Y1 AAA A-14 76110G7Z8 AAA A-15 76110G8A2 AAA A-P 76110G8B0 AAA A-V 76110G8C8 AAA M-1 76110G8F1 AA+ M-2 76110G8G9 A+ M-3 76110G8H7 BBB+ B-1 76110G8J3 BB RALI Series 2003-QS7 Trust Series 2003-QS7 Class CUSIP Rating ----- ----- ------ A-1 76110HBK4 AAA A-2 76110HBL2 AAA A-3 76110HBM0 AAA A-4 76110HBN8 AAA A-5 76110HBP3 AAA A-P 76110HBQ1 AAA A-V 76110HBR9 AAA M-1 76110HBU2 AA M-2 76110HBV0 A RALI Series 2003-QS8 Trust Series 2003-QS8 Class CUSIP Rating ----- ----- ------ A-1 76110HAS8 AAA A-2 76110HAT6 AAA A-4 76110HAV1 AAA A-5 76110HAW9 AAA A-6 76110HAX7 AAA A-7 76110HAY5 AAA A-P 76110HAZ2 AAA A-V 76110HBA6 AAA M-1 76110HBD0 AA M-2 76110HBE8 A+ Saxon Mortgage Securities Corp. Series 1994- 2 Class CUSIP Rating ----- ----- ------ A-11 805570DT2 AAA I 805570HV3 AAA A-10 805570DS4 AAA M 805570DU9 AAA B-1 805570DV7 AA B-2 805570DW5 A- Travelers Mortgage Services Inc. Series 1989- 1 Class CUSIP Rating ----- ----- ------ 1A 89419KAY9 AA * S&P Downgrades Ratings on 17 Classes From Five RMBS Transactions ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 17 classes from five residential mortgage-backed securities transactions backed by U.S. subprime mortgage loan collateral issued between 2003 and 2007. S&P removed seven of the lowered ratings from CreditWatch negative. In addition, S&P affirmed its ratings on 59 classes from these and four additional transactions, and removed 12 of the affirmed ratings from CreditWatch negative. S&P derived losses for these transactions using the criteria found 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 determining 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. 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 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. Overcollateralization, excess spread, and the subordination of classes within each structure provide credit support for the affected transactions. Class A-I-5, A-I-6, A-II-A and A-II-B from RASC Series 2003-KS5 Trust is backed by a bond insurance policy provided by Ambac Assurance Corp. ('A' financial strength rating). In order for transactions issued after 2004 to maintain a 'AAA' rating, S&P considers whether a bond is able to withstand approximately 1.5% of S&P's base-case loss assumptions, subject to individual caps and qualitative factors assumed on specific transactions. For a class for which we've affirmed a 'B' rating, S&P consider whether a bond is able to withstand S&P's base-case loss assumptions. Other rating categories are dispersed, approximately equally, between these two loss assumptions. For example, to maintain a 'BB' rating on one class, S&P may consider whether the class is able to withstand approximately 1.1% of S&P's base-case loss assumptions, while, in connection with a different class, S&P may consider whether it is able to withstand approximately 1.2% of S&P's base-case loss assumptions to maintain a 'BBB' rating. In order for transactions issued prior to 2005 to maintain a 'AAA' rating, S&P considers whether a bond is able to withstand some multiple of S&P's base-case loss assumptions, subject to 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. S&P disperses the loss assumptions for other rating categories, approximately equally, between these two loss assumptions The collateral backing these deals originally consisted predominantly of subprime, fixed- and adjustable-rate mortgage loans secured by first and second liens on one- to four-family residential properties. S&P monitors these transactions to incorporate updated losses and delinquency pipeline performance to assess whether, in S&P's view, the applicable credit enhancement is sufficient to support the current ratings. S&P will continue to monitor these transactions and take additional rating actions as S&P think appropriate. Rating Actions RAMP Series 2005-EFC6 Trust Series 2005-EFC6 Rating ------ Class CUSIP To From ----- ----- -- ---- M-6 76112BK74 CC CCC RASC Series 2005-AHL1 Trust Series 2005-AHL1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-6 76110W4L7 CC CCC RASC Series 2006-KS2 Trust Series 2006-KS2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-3 75406BAC1 AAA AAA/Watch Neg A-4 75406BAD9 AAA AAA/Watch Neg M-1 75406BAE7 AA+ AA+/Watch Neg M-2 75406BAF4 AA+ AA+/Watch Neg M-3 75406BAG2 A A/Watch Neg M-4 75406BAH0 B BB/Watch Neg M-5 75406BAJ6 CCC B/Watch Neg M-7 75406BAL1 CC CCC RASC Series 2006-KS9 Trust Series 2006-KS9 Rating ------ Class CUSIP To From ----- ----- -- ---- A-I-1 75406YAA5 AAA AAA/Watch Neg A-I-2 75406YAB3 AA AAA/Watch Neg A-I-3 75406YAC1 CCC A/Watch Neg A-I-4 75406YAD9 CCC B/Watch Neg A-II 75406YAE7 CCC B/Watch Neg M-1S 75406YAF4 CCC B-/Watch Neg M-2S 75406YAG2 CC CCC M-3S 75406YAH0 CC CCC M-4 75406YAJ6 CC CCC M-5 75406YAK3 CC CCC RASC Series 2007-KS3 Trust Series 2007-KS3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-I-1 74924YAA1 AAA AAA/Watch Neg A-I-2 74924YAB9 AA AA/Watch Neg A-I-3 74924YAC7 BB BB/Watch Neg A-I-4 74924YAD5 B B/Watch Neg A-II 74924YAE3 B B/Watch Neg M-1S 74924YAF0 B- B-/Watch Neg M-4 74924YAJ2 CC CCC M-5 74924YAK9 CC CCC M-6 74924YAL7 CC CCC Ratings Affirmed RAMP Series 2005-EFC6 Trust Series 2005-EFC6 Class CUSIP Rating ----- ----- ------ A-I-2 76112BJ84 AAA A-I-3 76112BJ92 AAA A-II 76112BL32 AAA M-1 76112BK25 AA+ M-2 76112BK33 BB M-3 76112BK41 B M-4 76112BK58 CCC M-5 76112BK66 CCC RASC Series 2003-KS5 Trust Series 2003-KS5 Class CUSIP Rating ----- ----- ------ A-I-5 76110WSF4 A A-I-6 76110WSG2 A A-II-A 76110WSJ6 A A-II-B 76110WSK3 A RASC Series 2005-AHL1 Trust Series 2005-AHL1 Class CUSIP Rating ----- ----- ------ A-2 76110W4D5 AAA A-3 76110W4E3 AAA M-1 76110W4F0 AA+ M-2 76110W4G8 BBB M-3 76110W4H6 B M-4 76110W4J2 CCC M-5 76110W4K9 CCC RASC Series 2006-KS2 Trust Series 2006-KS2 Class CUSIP Rating ----- ----- ------ M-6 75406BAK3 CCC RASC Series 2006-KS4 Trust Series 2006-KS4 Class CUSIP Rating ----- ----- ------ A-2 75406EAB7 AAA A-3 75406EAC5 AAA A-4 75406EAD3 AAA M-1 75406EAE1 AA+ M-2 75406EAF8 A M-3 75406EAG6 BB M-4 75406EAH4 B M-5 75406EAJ0 CCC RASC Series 2007-KS1 Trust Series 2007-KS1 Class CUSIP Rating ----- ----- ------ A-1 74924SAA4 AAA A-2 74924SAB2 AAA A-3 74924SAC0 AAA A-4 74924SAD8 AAA M-1S 74924SAE6 A M-2S 74924SAF3 B M-3S 74924SAG1 CCC M-4 74924SAH9 CCC M-5 74924SAJ5 CCC RASC Series 2007-KS3 Trust Series 2007-KS3 Class CUSIP Rating ----- ----- ------ M-2S 74924YAG8 CCC M-3S 74924YAH6 CCC RASC Series 2007-KS4 Trust Series 2007-KS4 Class CUSIP Rating ----- ----- ------ A-1 74924NAA5 AAA A-2 74924NAB3 AA A-3 74924NAC1 BBB+ A-4 74924NAD9 BBB M-1S 74924NAE7 B M-2S 74924NAF4 CCC M-3S 74924NAG2 CCC M-4 74924NAH0 CCC * S&P Downgrades Ratings on 28 Classes of Notes to 'D' ------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings to 'D' on 28 classes of notes from two cash flow and two hybrid collateralized debt obligation transactions following the liquidation of the collateral in their portfolios. S&P subsequently withdrew S&P's ratings on the transactions. S&P lowered its ratings on the two cash flow CDO transactions to 'D' because the proceeds from the liquidations have not been sufficient to make par payments to the rated notes. S&P lowered S&P's ratings on the hybrid CDO transactions to 'D' because the transactions did not have proceeds to pay back par payments to the noteholders after making the termination payments on the credit default swap contracts. The two hybrid CDOs are backed predominantly by mezzanine residential mortgage-backed securities, and the two cash flow CDOs are backed predominantly by high-grade and mezzanine RMBS securities. The deals triggered events of default, after which, the controlling noteholders subsequently voted to accelerate the maturity of the notes and liquidate the collateral assets. The current rating actions follow notice from the trustees that the liquidation of the portfolio assets is complete and that the available proceeds have been distributed to the noteholders. S&P subsequently withdrew the ratings because the note balances have been reduced to zero. Rating Actions Rating ------ Deal name Class To Interim From --------- ----- -- ------- ---- Athos Funding, Ltd. Funding Nt NR D CCC-/WatchNeg Athos Funding, Ltd. A-1 NR D CC Athos Funding, Ltd. A-2 NR D CC Athos Funding, Ltd. B NR D CC Ischus Mezzanine CDO IV X NR D B-/Watch Neg Ischus Mezzanine CDO IV SprSrSwap NR D CCC-srs Ischus Mezzanine CDO IV A-1 NR D CC Ischus Mezzanine CDO IV A-2 NR D CC Ischus Mezzanine CDO IV A-3 NR D CC Ischus Mezzanine CDO IV B NR D CC Ischus Mezzanine CDO IV C NR D CC Ischus Mezzanine CDO IV D NR D CC Raffles Place II Ltd. A-1M NR D CC Raffles Place II Ltd. A-1Q NR D CC Raffles Place II Ltd. A-2 NR D CC Raffles Place II Ltd. A-3 NR D CC Raffles Place II Ltd. A-4 NR D CC Raffles Place II Ltd. B NR D CC Raffles Place II Ltd. C1 NR D CC Raffles Place II Ltd. C2 NR D CC STACK 2006-2 Ltd. I Unfunded NR D CC STACK 2006-2 Ltd. I Funded NR D CC STACK 2006-2 Ltd. II NR D CC STACK 2006-2 Ltd. III NR D CC STACK 2006-2 Ltd. IV NR D CC STACK 2006-2 Ltd. V NR D CC STACK 2006-2 Ltd. VI NR D CC STACK 2006-2 Ltd. VII NR D CC NR - Not rated. * S&P Downgrades Ratings on 81 Tranches From 31 CDO Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 81 tranches from 31 U.S. cash flow and hybrid collateralized debt obligation transactions. At the same time, S&P removed 29 of the lowered ratings from CreditWatch with negative implications. The ratings on 42 of the downgraded tranches are on CreditWatch with negative implications, indicating a significant likelihood of further downgrades. The CDO downgrades reflect a number of factors, including credit deterioration and recent negative rating actions on U.S. subprime RMBS. The CreditWatch placements primarily affect transactions for which a significant portion of the collateral assets currently have ratings on CreditWatch with negative implications or have significant exposure to assets rated in the 'CCC' category. The 81 downgraded U.S. cash flow and hybrid tranches have a total issuance amount of $16.217 billion. Eighteen of the 31 affected transactions are mezzanine structured finance CDOs of asset-backed securities, which are collateralized in large part by mezzanine tranches of residential mortgage-backed securities and other SF securities. Ten of the 31 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 three transactions are CDOs of CDOs that were collateralized at origination primarily by notes from other CDOs, as well as by tranches from RMBS and other SF transactions. In addition, Standard & Poor's reviewed the rating assigned to C- Bass CBO VI Ltd. and based on the current credit support available to the tranches, has left the ratings at their current levels. 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 2002-1, Limited A AA AAA ACA ABS 2002-1, Limited B CCC BB+/Watch Neg ACA ABS 2003-2, Limited A-1SD CCC/Watch Neg BBB-/WatchNeg ACA ABS 2003-2, Limited A-1SU CCC/Watch Neg BBB-/WatchNeg ACA ABS 2003-2, Limited A-1SW BB BBB-/WatchNeg Adirondack 2005-1, Ltd. A-1LT-a BB+/Watch Neg AA/Watch Neg Adirondack 2005-1, Ltd. A-1LT-b BB+/Watch Neg AA/Watch Neg Adirondack 2005-1, Ltd. A-2 B/Watch Neg A+/Watch Neg Adirondack 2005-1, Ltd. B CCC+/Watch Neg BBB-/WatchNeg Adirondack 2005-1, Ltd. C CCC-/Watch Neg CCC+/WatchNeg Blue Heron Funding V Ltd B CC CCC-/WatchNeg Bristol CDO I, Ltd. B CCC+ B+ Davis Square Funding III Ltd A-1LT-a B-/Watch Neg AA-/Watch Neg Davis Square Funding III Ltd A-1LT-b-1 B-/Watch Neg AA-/Watch Neg Davis Square Funding III Ltd A-2 CC B/Watch Neg Davis Square Funding III Ltd B CC CCC/Watch Neg Diversified Asset A-1L A/Watch Neg AA Securitization Holdings III Diversified Asset A-2 A/Watch Neg AA Securitization Holdings III Diversified Asset A-3L CC BB+/Watch Neg Securitization Holdings III Fort Point CDO I Ltd. A-1 BB+/Watch Neg AA/Watch Neg Fort Point CDO I Ltd. A-2a CC CCC Fort Point CDO I Ltd. A-2b CC CCC Fort Point CDO II Ltd. A-1 CC BBB/Watch Neg Helios Series I Multi Asset CBO A BBB+ AA+/Watch Neg Helios Series I Multi Asset CBO B B- BB+/Watch Neg Independence II CDO Ltd. A A-/Watch Neg A+ Independence IV CDO, Ltd. A-1Series1 CCC/Watch Neg BBB/Watch Neg Independence IV CDO, Ltd. A-1Series2 CCC/Watch Neg BBB/Watch Neg Independence IV CDO, Ltd. A-2 CC CCC/Watch Neg Klio Funding Ltd A-1 B-/Watch Neg AA+/Watch Neg Klio Funding Ltd A-2 CC A+/Watch Neg Klio Funding Ltd B CC BB/Watch Neg Klio Funding Ltd Fund Notes B-/Watch Neg AA+/Watch Neg Longport Funding Ltd A-1B BBB+/Watch Neg A+/Watch Neg Longport Funding Ltd A-2-P** BBB+/Watch Neg A+/Watch Neg Longport Funding Ltd A-3 CC CCC-/WatchNeg Longport Funding Ltd Part. Note BB/Watch Neg BBB/Watch Neg Margate Funding I Ltd A1J BB/Watch Neg A+/Watch Neg Margate Funding I Ltd A1S A/Watch Neg AAA/Watch Neg Margate Funding I Ltd A2 CCC-/Watch Neg BB-/Watch Neg Margate Funding I Ltd A3 CC CCC-/WatchNeg Oceanview CBO I, Ltd. A-1B CCC- B-/Watch Neg Oceanview CBO I, Ltd. Comb Sec CCC- B-/Watch Neg Orchid Structured Finance CDO A-2 B+ BBB/Watch Neg Pacific Bay CDO. Ltd. A-2 BB+/Watch Neg AAA/Watch Neg Pacific Bay CDO. Ltd. B B/Watch Neg BBB/Watch Neg Pacific Bay CDO. Ltd. C CCC/Watch Neg B/Watch Neg Pacific Coast CDO Ltd. A BBB-/Watch Neg AAA/Watch Neg Paragon CDO Limited A CCC-/Watch Neg BBB-/WatchNeg Paragon CDO Limited B CC B/Watch Neg Paragon CDO Limited C CC CCC-/WatchNeg Paragon CDO Limited Super Sr BB+/Watch Neg AA/Watch Neg Pasadena CDO Ltd A AA AAA Pasadena CDO Ltd B B- A- Pasadena CDO Ltd C CC B Porter Square CDO II, Ltd. A-2 BB/Watch Neg AAA/Watch Neg Porter Square CDO II, Ltd. B CCC-/Watch Neg A-/Watch Neg Porter Square CDO II, Ltd. C CC BB/Watch Neg Porter Square CDO II, Ltd. D CC CCC/Watch Neg Silver Marlin CDO I Ltd A-1 CC BBB+/WatchNeg Solstice ABS CBO II, Ltd. A-1 BB-/Watch Neg AA/Watch Neg Solstice ABS CBO II, Ltd. A-2 BB-/Watch Neg AA/Watch Neg Solstice ABS CBO III Ltd A-2 BBB/Watch Neg AAA/Watch Neg Solstice ABS CBO III Ltd B CC BB+/Watch Neg South Coast Funding V Ltd. A-2 A AAA South Coast Funding V Ltd. A-3 A AAA South Coast Funding V Ltd. B BB+ A+/Watch Neg South Coast Funding V Ltd. C-1 CC CCC+/WatchNeg South Coast Funding V Ltd. C-2 CC CCC+/WatchNeg Stone Tower CDO Ltd A-1LA AA/Watch Neg AAA Stone Tower CDO Ltd A-1LB A+/Watch Neg AAA Stone Tower CDO Ltd A-2L BBB+/Watch Neg AA Stone Tower CDO Ltd A-3L BB+/Watch Neg A Stone Tower CDO Ltd B-1L B/Watch Neg BBB/Watch Neg TABS 2004-1 Ltd A-1 B/Watch Neg AA/Watch Neg TABS 2004-1 Ltd A-2 CC CCC-/WatchNeg Tremonia CDO 2005-1 PLC A-1 B/Watch Neg BBB/Watch Neg Tremonia CDO 2005-1 PLC A-2 CCC-/Watch Neg BB/Watch Neg Tremonia CDO 2005-1 PLC B CC CCC West Trade Funding CDO III Ltd A-1 CC B-/Watch Neg West Trade Funding II CDO Ltd A-1 CC CCC+/WatchNeg Other Ratings Reviewed Transaction Class Rating ----------- ----- ------ ACA ABS 2002-1, Limited C CC ACA ABS 2003-2, Limited A-1J CC ACA ABS 2003-2, Limited A-2 CC ACA ABS 2003-2, Limited A-3 CC ACA ABS 2003-2, Limited B-F CC ACA ABS 2003-2, Limited B-V CC ACA ABS 2003-2, Limited C CC Adirondack 2005-1, Ltd. D CC Adirondack 2005-1, Ltd. E CC Blue Heron Funding V Ltd CertificateAAA Bristol CDO I, Ltd. A-1 AAA Bristol CDO I, Ltd. A-2 AAA Bristol CDO I, Ltd. C CC C-Bass CBO VI Ltd. A AAA C-Bass CBO VI Ltd. B AAA C-Bass CBO VI Ltd. C AAA C-Bass CBO VI Ltd. D AA C-Bass CBO VI Ltd. E A+ Diversified Asset B-1L CC Securitization Holdings III Fort Point CDO I Ltd. A-3a CC Fort Point CDO I Ltd. A-3b CC Fort Point CDO I Ltd. B CC Fort Point CDO I Ltd. C CC Fort Point CDO II Ltd. A-2 CC Fort Point CDO II Ltd. A-3 CC Fort Point CDO II Ltd. B CC Fort Point CDO II Ltd. C CC Independence IV CDO, Ltd. A-3 CC Independence IV CDO, Ltd. B CC Independence IV CDO, Ltd. C CC Longport Funding Ltd A-1* AAA Longport Funding Ltd A-1A AAA/Watch Neg Longport Funding Ltd A-2-I* AAA Longport Funding Ltd B CC Longport Funding Ltd C CC Longport Funding Ltd D-1 CC Longport Funding Ltd D-2 CC Margate Funding I Ltd Combo Nts AAA Margate Funding I Ltd Income Nts CC Oceanview CBO I, Ltd. A-1A BBB Oceanview CBO I, Ltd. A-2 CC Oceanview CBO I, Ltd. B-F CC Oceanview CBO I, Ltd. B-V CC Oceanview CBO I, Ltd. C CC Orchid Structured Finance CDO A-1MM AAA/A-1+ Orchid Structured Finance CDO B CC Orchid Structured Finance CDO C-1 CC Orchid Structured Finance CDO C-2 CC Pacific Bay CDO. Ltd. A-1 AAA Pacific Bay CDO. Ltd. Pre Shares CC Pacific Coast CDO Ltd. B CC Pacific Coast CDO Ltd. C-1 CC Pacific Coast CDO Ltd. C-2 CC Porter Square CDO II, Ltd. A-1 AAA Silver Marlin CDO I Ltd A-2 CC Silver Marlin CDO I Ltd A-3 CC Silver Marlin CDO I Ltd A-4 CC Silver Marlin CDO I Ltd B CC Silver Marlin CDO I Ltd C CC Silver Marlin CDO I Ltd D CC Silver Marlin CDO I Ltd E CC Silver Marlin CDO I Ltd F CC Solstice ABS CBO II, Ltd. B CC Solstice ABS CBO II, Ltd. C CC Solstice ABS CBO III Ltd A-1 AAA Solstice ABS CBO III Ltd C-1 CC Solstice ABS CBO III Ltd C-2 CC South Coast Funding V Ltd. A-1 AAA TABS 2004-1 Ltd B CC TABS 2004-1 Ltd C CC TABS 2004-1 Ltd D CC West Trade Funding CDO III Ltd A-2 CC West Trade Funding CDO III Ltd A-3 CC West Trade Funding CDO III Ltd A-4 CC West Trade Funding CDO III Ltd B CC West Trade Funding CDO III Ltd C CC West Trade Funding CDO III Ltd D CC West Trade Funding CDO III Ltd E CC West Trade Funding II CDO Ltd A-2 CC West Trade Funding II CDO Ltd A-3 CC West Trade Funding II CDO Ltd A-4 CC West Trade Funding II CDO Ltd B CC West Trade Funding II CDO Ltd C CC West Trade Funding II CDO Ltd D CC West Trade Funding II CDO Ltd E CC West Trade Funding II CDO Ltd F CC * S&P Downgrades Ratings on 103 Classes From Seven RMBS Deals ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 103 classes from seven residential mortgage-backed securities transactions backed by U.S. Alternative-A and prime jumbo mortgage loan collateral issued in 2005, 2006, and 2007. S&P removed 71 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 22 classes from four of the same transactions and removed 19 of the affirmed ratings from CreditWatch negative. The downgrades, affirmations, and CreditWatch resolutions incorporate S&P's assessment of current losses as well as projected losses based on S&P's methodology and assumptions. The lowered ratings reflect S&P's belief that the amount of credit enhancement available for the downgraded classes is not sufficient to cover losses at the previous rating levels. Although cumulative losses were generally low in comparison to S&P's projected lifetime losses for the transactions reviewed, S&P is projecting an increase in losses due to increases in delinquencies and the current negative condition of the housing market. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for the classes is sufficient to cover losses associated with the existing rating levels. For a list of publications detailing S&P's derivation of lifetime losses for the transactions S&P reviewed, refer to the "Related Research" section below. S&P revised its loss projections for four transactions based on a forward-looking default curve: Orig. bal. Lifetime Transaction (mil. $) exp. Loss (%) ----------- -------- ------------- RFMSI Series 2007-S4 Series 2007-S4 341.5 6.27 TBW Mortgage-Backed Trust 2007-1 Series 2007-1 739.1 22.98 Morgan Stanley Mortgage Loan Trust 2006-17XS Series 2006-17XS 529.5 21.65 Morgan Stanley Mortgage Loan Trust 2007-8XS Series 2007-8XS 580.3 29.81 To maintain an 'AAA' rating for classes in 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. To maintain a rating higher than 'B' for prime jumbo transactions, S&P assessed whether, in S&P's view, a class could absorb losses in excess of the base-case loss assumptions S&P assumed in its analysis. For example, S&P assessed whether one class could, in S&P's view, withstand approximately 130% of S&P's base-case loss assumptions in order to maintain a 'BB' rating, while S&P assessed whether a different class could withstand 155% of S&P's base-case loss assumption to maintain a 'BBB' rating. Each class that has an affirmed 'AAA' rating can, in S&P's view, withstand approximately 235% of S&P's base-case loss assumptions under S&P's analysis. The subordination of more-junior classes within each structure provides credit support for the affected transactions. Certain senior classes also benefit from senior support classes that would provide support, to a certain extent, before any applicable losses could affect the super-senior certificates. Additionally, some structures may utilize overcollateralization and excess interest as credit enhancement. The collateral backing these transactions originally consisted predominantly of fixed- or adjustable-rate, Alt-A or prime jumbo residential mortgage loans secured by one- to four-family properties. S&P monitors these transactions to incorporate updated losses and delinquency pipeline performance to assess whether the applicable credit enhancement features, in S&P's view, are sufficient to support the current ratings. S&P will continue to monitor these transactions and take additional rating actions as S&P think appropriate. Rating Actions GSR Mortgage Loan Trust 2005-1F Series 2005-1F Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1 36242DUV3 AAA AAA/Watch Neg 1A-2 36242DUW1 AAA AAA/Watch Neg 1A-3 36242DUX9 AAA AAA/Watch Neg 1A-4 36242DUY7 AAA AAA/Watch Neg 1A-5 36242DUZ4 AAA AAA/Watch Neg 1A-6 36242DVA8 AAA AAA/Watch Neg 1A-7 36242DVB6 AAA AAA/Watch Neg 1A-8 36242DVC4 AAA AAA/Watch Neg 1A-9 36242DWL3 AAA AAA/Watch Neg 2A-1 36242DVD2 AAA AAA/Watch Neg 2A-2 36242DVE0 AAA AAA/Watch Neg 2A-3 36242DVF7 AAA AAA/Watch Neg 3A-1 36242DVG5 AAA AAA/Watch Neg 3A-3 36242DVJ9 AAA AAA/Watch Neg 4A-1 36242DVK6 AAA AAA/Watch Neg A-P 36242DVN0 AAA AAA/Watch Neg B1 36242DVP5 BBB AA/Watch Neg B2 36242DVQ3 B A/Watch Neg B3 36242DVR1 CCC BBB/Watch Neg B4 36242DVS9 CC BB/Watch Neg B5 36242DVT7 CC B/Watch Neg GSR Mortgage Loan Trust 2006-AR1 Series 2006-AR1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A1 3623413Y3 BBB AAA/Watch Neg 1A2 3623413Z0 CCC AA/Watch Neg 2A1 3623414A4 BBB AAA/Watch Neg 2A2 3623414B2 BBB AAA/Watch Neg 2A3 3623414C0 BBB AAA/Watch Neg 2A4 3623414D8 BBB AAA/Watch Neg 2A5 3623414E6 CCC AA/Watch Neg 3A1 3623414F3 BBB AAA/Watch Neg 3A2 3623414G1 CCC AA/Watch Neg B1 3623414H9 CC B/Watch Neg B2 3623414J5 CC CCC B3 3623414K2 CC CCC Morgan Stanley Mortgage Loan Trust 2006-17XS Series 2006-17XS Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 61751DAA2 CC A/Watch Neg A-2-A 61751DAB0 CCC AAA/Watch Neg A-2-B 61751DAC8 CC B/Watch Neg A-2-W 61751DAD6 BBB BBB+ A-3-A 61751DAE4 CCC AAA/Watch Neg A-3-B 61751DAF1 CC B/Watch Neg A-4 61751DAG9 CC B/Watch Neg A-5-W 61751DAH7 BBB BBB+ A-6 61751DAJ3 CC B/Watch Neg M-1 61751DAK0 CC CCC M-2 61751DAL8 CC CCC M-3 61751DAM6 CC CCC M-4 61751DAN4 CC CCC M-5 61751DAP9 CC CCC M-6 61751DAQ7 CC CCC B-1 61751DAR5 CC CCC B-2 61751DAS3 CC CCC Morgan Stanley Mortgage Loan Trust 2007-8XS Series 2007-8XS Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 61754PAA2 CCC AA/Watch Neg A-1-M 61754PBK9 CCC BB/Watch Neg A-1-W 61754PAB0 BBB BBB+ A-2 61754PAC8 CCC BB/Watch Neg A-3-W 61754PAD6 BBB BBB+ A-4 61754PAE4 CCC BB/Watch Neg A-5 61754PAF1 CCC BB/Watch Neg A-6 61754PAG9 CCC BB A-7 61754PAH7 CCC BB/Watch Neg A-8 61754PAJ3 CCC BB A-9 61754PAX2 CCC BB/Watch Neg A-10 61754PAY0 CCC BB A-11 61754PAZ7 CCC BB/Watch Neg A-12 61754PBA1 CCC BB/Watch Neg A-13 61754PBB9 CCC AA/Watch Neg A-14 61754PBC7 CCC AA A-15 61754PBD5 CCC BB/Watch Neg A-16 61754PBE3 CCC BB A-17 61754PBF0 CCC BB/Watch Neg A-18 61754PBG8 CCC BB A-19 61754PBH6 CCC BB/Watch Neg A-20 61754PBJ2 CCC BB/Watch Neg M-1 61754PAK0 CC CCC M-2 61754PAL8 CC CCC M-3 61754PAM6 CC CCC M-4 61754PAN4 CC CCC M-5 61754PAP9 CC CCC M-6 61754PAQ7 CC CCC B-1 61754PAR5 CC CCC B-3 61754PAT1 D CC RFMSI Series 2006-S2 Trust Series 2006-S2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 76111XL76 A AAA/Watch Neg A-2 76111XL84 B AA/Watch Neg A-3 76111XL92 B AA/Watch Neg A-4 76111XM26 AAA AAA/Watch Neg A-5 76111XM34 B AA/Watch Neg A-6 76111XM42 A AAA/Watch Neg A-7 76111XM59 B AA/Watch Neg A-P 76111XM67 B AA/Watch Neg A-V 76111XM75 AAA AAA/Watch Neg RFMSI Series 2007-S4 Trust Series 2007-S4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 74958YAA0 B AA/Watch Neg A-2 74958YAB8 CCC BB/Watch Neg A-3 74958YAC6 B AA/Watch Neg A-4 74958YAD4 CCC BB/Watch Neg A-5 74958YAE2 B AA/Watch Neg A-6 74958YAF9 CCC BB/Watch Neg A-8 74958YAH5 CCC BB/Watch Neg A-9 74958YAJ1 B AA/Watch Neg A-10 74958YAK8 CCC BB/Watch Neg A-11 74958YAL6 CCC BB/Watch Neg A-12 74958YAM4 B AA/Watch Neg A-13 74958YBA9 B AA/Watch Neg A-14 74958YAN2 B AA/Watch Neg A-15 74958YAP7 CCC AA/Watch Neg A-P 74958YAQ5 CCC BB/Watch Neg A-V 74958YAR3 B AA/Watch Neg TBW Mortgage-Backed Trust 2007-1 Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 87222EAA6 AAA AAA/Watch Neg A-2 87222EAB4 CCC AAA/Watch Neg A-3 87222EAC2 CCC AA-/Watch Neg A-4 87222EAD0 CC A/Watch Neg A-5 87222EAE8 CCC BBB/Watch Neg A-6 87222EAF5 CC BBB/Watch Neg A-7A 87222EAG3 BBB BBB+ A-7B 87222EAW8 CC BBB/Watch Neg A-8 87222EAH1 CC BBB/Watch Neg M-1 87222EAJ7 CC BB+/Watch Neg M-2 87222EAK4 CC BB/Watch Neg M-3 87222EAL2 CC B+/Watch Neg M-4 87222EAM0 CC B/Watch Neg M-5 87222EAN8 CC B-/Watch Neg M-6 87222EAP3 CC CCC M-7 87222EAQ1 CC CCC M-8 87222EAR9 CC CCC Ratings Affirmed GSR Mortgage Loan Trust 2005-1F Series 2005-1F Class CUSIP Rating ----- ----- ------ 3A-2 36242DVH3 AAA 4A-2 36242DVL4 AAA A-X 36242DVM2 AAA * S&P Downgrades Ratings on 218 Classes From Nine Prime Jumbo RMBS ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 218 classes from nine U.S. prime jumbo and Alternative-A residential mortgage-backed securities transactions issued from 2004 to 2007. S&P removed 138 of the lowered ratings from CreditWatch with negative implications. Additionally, S&P affirmed its ratings on 71 classes from four of the transactions and removed 15 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. For information on how S&P derives its loss assumptions, S&P's use of loss curve forecasting methodology, and how S&P incorporate each transaction's current delinquency (including 60- and 90-day delinquencies), default, and loss trends into S&P's analysis, please see the articles list in the Related Research section below. 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. Furthermore, for each deal, S&P adjusted its loss expectations based on upward trends in delinquencies. Standard & Poor's has established loss projections for each prime jumbo and Alt-A transaction rated in 2005, 2006, and 2007 based on a forward-looking default curve. S&P's lifetime projected losses for transactions in this release for which the loss projections have changed are: Original Loss Transaction bal. (mil. $) proj. (%) ----------- ------------- --------- Citigroup Mortgage Loan Trust 2006-WF2 1,115.6 20.70% Credit Suisse First Boston Mortgage Securities Corp 2005-7 315.4 1.70% Credit Suisse First Boston Mortgage Securities Corp 2005-7 190.6 3.57% Credit Suisse First Boston Mortgage Securities Corp 2005-7 301.5 0.47% To maintain an 'AAA' rating, S&P consider 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. For prime jumbo transactions, 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 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 S&P's 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 either Alt-A, first-lien, fixed-rate, adjustable- rate, or negative-amortization residential mortgage loans or prime jumbo fixed- and adjustable-rate 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 Banc of America Funding 2005-5 Trust Series 2005-5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05946XD34 AAA AAA/Watch Neg 1-A-2 05946XD42 BBB AAA/Watch Neg 1-A-3 05946XD59 BBB AAA 1-A-4 05946XD67 BBB AAA/Watch Neg 1-A-5 05946XD75 BBB AAA/Watch Neg 1-A-6 05946XD83 BBB AAA 1-A-7 05946XD91 BBB AAA/Watch Neg 1-A-8 05946XE25 BBB AAA/Watch Neg 1-A-9 05946XE33 BBB AAA/Watch Neg 1-A-10 05946XE41 BBB AAA/Watch Neg 1-A-11 05946XE58 BBB AAA/Watch Neg 2-A-1 05946XE74 AAA AAA/Watch Neg 2-A-2 05946XE82 BBB AAA/Watch Neg 3-A-1 05946XE90 BBB AAA/Watch Neg 3-A-2 05946XF24 BBB AAA/Watch Neg 3-A-3 05946XF32 BBB AAA/Watch Neg 3-A-4 05946XF40 BBB AAA/Watch Neg 3-A-5 05946XF57 BBB AAA/Watch Neg 3-A-6 05946XF65 BBB AAA/Watch Neg 3-A-7 05946XF73 BBB AAA 3-A-8 05946XF81 BBB AAA/Watch Neg 30-PO 05946XG23 BBB AAA/Watch Neg B-1 05946XG31 CCC AA/Watch Neg B-2 05946XG49 CC A/Watch Neg B-3 05946XG56 CC BBB/Watch Neg B-4 05946XG64 CC BB/Watch Neg B-5 05946XG72 CC B/Watch Neg Banc of America Funding 2006-3 Trust Series 2006-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 058931AB2 AAA AAA/Watch Neg 1-A-2 058931AC0 BB AAA/Watch Neg 2-A-1 058931AD8 AAA AAA/Watch Neg 2-A-2 058931AE6 BB AAA/Watch Neg 3-A-1 058931AF3 AAA AAA/Watch Neg 3-A-2 058931AG1 BB AAA/Watch Neg 4-A-1 058931AH9 BB AAA/Watch Neg 4-A-2 058931AJ5 BB AAA/Watch Neg 4-A-3 058931AK2 BB AAA/Watch Neg 4-A-4 058931AL0 BB AAA/Watch Neg 4-A-5 058931AM8 BB AAA/Watch Neg 4-A-6 058931AN6 BB AAA/Watch Neg 4-A-7 058931AP1 BB AAA/Watch Neg 4-A-8 058931AQ9 BB AAA/Watch Neg 4-A-9 058931AR7 BB AAA/Watch Neg 4-A-10 058931AS5 BB AAA/Watch Neg 4-A-11 058931AT3 BB AAA/Watch Neg 4-A-12 058931AU0 BB AAA/Watch Neg 4-A-13 058931AV8 BB AAA/Watch Neg 4-A-14 058931AW6 BB AAA/Watch Neg 4-A-15 058931AX4 AAA AAA/Watch Neg 4-A-16 058931AY2 BB AAA/Watch Neg 4-A-17 058931AZ9 AAA AAA/Watch Neg 4-A-18 058931BA3 BB AAA/Watch Neg 4-A-19 058931BB1 BB AAA/Watch Neg 4-A-20 058931BC9 BB AAA/Watch Neg 5-A-1 058931BD7 AAA AAA/Watch Neg 5-A-2 058931BE5 BB AAA/Watch Neg 5-A-3 058931BF2 BB AAA/Watch Neg 5-A-4 058931BG0 BB AAA/Watch Neg 5-A-5 058931BH8 BB AAA/Watch Neg 5-A-6 058931BJ4 BB AAA/Watch Neg 5-A-7 058931BK1 BBB AAA/Watch Neg 5-A-8 058931BL9 BB AAA/Watch Neg 5-A-9 058931BM7 BB AAA/Watch Neg X-IO 058931BP0 AAA AAA/Watch Neg X-PO 058931BQ8 BB AAA/Watch Neg 6-A-1 058931BN5 BB AAA/Watch Neg M 058931BR6 CCC AA/Watch Neg Banc of America Mortgage Trust 2004-7 Series 2004-7 Rating ------ Class CUSIP To From ----- ----- -- ---- 3-A-1 05949AQD5 AA AAA 6-A-1 05949APN4 AA AAA 6-A-2 05949APP9 AA AAA 6-A-3 05949APQ7 AA AAA 7-A-1 05949APR5 AA AAA X-B-1 05949APS3 BB AA 15-B-1 05949AQP8 B AA X-B-2 05949APT1 CCC A 15-B-2 05949AQQ6 CCC A X-B-3 05949APU8 CCC BBB 15-B-3 05949AQR4 CC BBB X-B-4 05949APV6 CC B 15-B-4 05949AQV5 CC BB X-B-5 05949APW4 CC CCC 15-B-5 05949AQW3 CC B CHL Mortgage Pass-Through Trust 2005-24 Series 2005-24 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 126694JR0 B AAA/Watch Neg A-2 126694JS8 B AAA/Watch Neg A-3 126694JT6 AA AAA/Watch Neg A-4 126694JU3 B AAA/Watch Neg A-5 126694JV1 B AAA/Watch Neg A-7 126694JX7 B AAA/Watch Neg A-8 126694JY5 B AAA/Watch Neg A-9 126694JZ2 B AAA/Watch Neg A-10 126694KA5 B AAA/Watch Neg A-11 126694KB3 B AAA/Watch Neg A-12 126694KC1 B AAA/Watch Neg A-13 126694KD9 B AAA/Watch Neg A-14 126694KE7 B AAA/Watch Neg A-15 126694KF4 B AAA/Watch Neg A-16 126694KG2 B AAA/Watch Neg A-17 126694KH0 B AAA/Watch Neg A-18 126694KJ6 B AAA/Watch Neg A-19 126694KK3 B AAA/Watch Neg A-20 126694KL1 B AAA/Watch Neg A-21 126694KM9 B AAA/Watch Neg A-22 126694KN7 B AAA/Watch Neg A-23 126694KP2 B AAA/Watch Neg A-24 126694KQ0 B AAA/Watch Neg A-25 126694KR8 B AAA/Watch Neg A-26 126694KS6 B AAA/Watch Neg A-27 126694KT4 B AAA/Watch Neg A-28 126694KU1 B AAA/Watch Neg A-29 126694KV9 B AAA/Watch Neg A-30 126694KW7 B AAA/Watch Neg A-31 126694KX5 B AAA A-32 126694KY3 B AAA/Watch Neg A-33 126694KZ0 B AAA/Watch Neg A-34 126694LA4 B AAA/Watch Neg A-35 126694LB2 B AAA/Watch Neg A-36 126694LC0 B AAA/Watch Neg A-37 126694LD8 B AAA/Watch Neg A-38 126694LE6 AA AAA/Watch Neg A-39 126694LF3 B AAA/Watch Neg A-40 126694LG1 B AAA A-41 126694LH9 B AAA/Watch Neg PO 126694LJ5 B AAA/Watch Neg CHL Mortgage Pass-Through Trust 2005-J3 Series 2005-J3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12669G4J7 BBB AAA/Watch Neg 1-A-2 12669G4K4 BBB AAA/Watch Neg 1-A-3 12669G4L2 BBB AAA/Watch Neg 1-A-4 12669G4M0 BBB AAA/Watch Neg 1-A-5 12669G4N8 BBB AAA/Watch Neg 1-A-6 12669G4P3 AA AAA/Watch Neg 1-A-7 12669G4Q1 BBB AAA/Watch Neg 2-A-1 12669G4S7 BBB AAA/Watch Neg 2-A-2 12669G4T5 BBB AAA 2-A-3 12669G4U2 BBB AAA/Watch Neg 2-A-4 12669G4V0 BBB AAA/Watch Neg 2-A-5 12669G4W8 BBB AAA/Watch Neg 2-A-6 12669G4X6 AA AAA/Watch Neg 2-A-7 12669G4Y4 BBB AAA/Watch Neg X 12669G4Z1 AA AAA PO 12669G5A5 BBB AAA/Watch Neg CHL Mortgage Pass-Through Trust 2007-14 Series 2007-14 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 12544DAA7 BBB AAA A-2 12544DAB5 BBB AAA A-3 12544DAC3 CCC BBB A-4 12544DAD1 AA AAA A-5 12544DAE9 BBB AAA A-6 12544DAF6 BBB AAA A-7 12544DAG4 BBB AAA A-8 12544DAH2 BBB AAA A-9 12544DAJ8 CCC BBB A-10 12544DAK5 BBB AAA A-11 12544DAL3 CCC BBB A-12 12544DAM1 BBB A A-14 12544DAP4 CCC BBB A-15 12544DAQ2 BBB AAA A-16 12544DAR0 BBB AAA A-17 12544DAS8 BBB AAA A-18 12544DAT6 BBB AAA A-19 12544DAU3 CCC BBB A-20 12544DAV1 BBB AAA A-21 12544DAW9 CCC BBB A-22 12544DAX7 CCC BBB A-23 12544DAY5 BBB AAA PO 12544DAZ2 CCC BBB Citigroup Mortgage Loan Trust 2006-WF2 Series 2006-WF2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 17309BAL1 CCC B/Watch Neg A-2B 17309BAA5 AAA AAA/Watch Neg A-2C 17309BAB3 CCC B/Watch Neg A-2D 17309BAC1 CCC B/Watch Neg A-2E 17309BAD9 CCC B/Watch Neg A-2F 17309BAE7 CCC B/Watch Neg M-1 17309BAF4 CC CCC M-2 17309BAG2 CC CCC Credit Suisse First Boston Mortgage Securities Corp. Series 2005-7 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 225458E46 BB AAA/Watch Neg I-A-2 225458E53 BB AAA/Watch Neg I-A-3 225458E61 BB AAA/Watch Neg I-A-4 225458E79 BB AAA/Watch Neg I-A-5 225458E87 AAA AAA/Watch Neg I-A-6 225458E95 BB AAA/Watch Neg I-A-7 225458F29 BB AAA/Watch Neg I-A-8 225458F37 AAA AAA/Watch Neg I-A-9 225458L48 BB AAA/Watch Neg I-A-10 225458L55 BB AAA/Watch Neg I-A-11 225458L63 BB AAA/Watch Neg I-A-12 225458L71 BB AAA A-P 225458H35 BB AAA V-A-1 225458G69 AAA AAA/Watch Neg VI-A-1 225458G77 AAA AAA/Watch Neg C-P 225458H43 B AAA/Watch Neg II-A-1 225458F45 B AAA/Watch Neg II-A-2 225458F52 B AAA/Watch Neg II-A-3 225458F60 B AAA II-A-4 225458F78 AAA AAA/Watch Neg II-A-5 225458F86 B AAA/Watch Neg II-A-6 225458F94 B AAA/Watch Neg III-A-1 225458G28 B AAA/Watch Neg I-B-1 225458J33 CCC AA/Watch Neg D-B-1 225458H84 CCC A/Watch Neg I-B-2 225458J41 CC A/Watch Neg C-B-2 225458H68 CCC A/Watch Neg D-B-2 225458H92 CC BB/Watch Neg I-B-3 225458J58 CC BB/Watch Neg C-B-3 225458H76 CC BBB/Watch Neg D-B-3 225458J25 CC B/Watch Neg I-B-4 225458K31 CC B/Watch Neg C-B-4 225458K98 CC BB/Watch Neg C-B-5 225458L22 CC B/Watch Neg JPMorgan Mortgage Trust 2007-S2 Series 2007-S2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 46630WAA8 CC B 1-A-3 46630WAC4 CC B 1-A-4 46630WAD2 BBB AAA 1-A-5 46630WAE0 BBB AAA 1-A-7 46630WAG5 CC B 1-A-8 46630WAH3 B AAA 1-A-2 46630WAB6 B BBB 1-A-9 46630WAJ9 BB AAA 1-A-10 46630WAK6 CC B 1-A-11 46630WAL4 BB AAA 1-A-12 46630WAM2 CC B 1-A-13 46630WAN0 CC B 1-A-14 46630WAP5 CC B 1-A-15 46630WAQ3 CC B 1-A-16 46630WAR1 CC B 1-A-17 46630WAS9 CC B 1-A-18 46630WBP4 CC B 2-A-1 46630WAT7 CC B 2-A-2 46630WAU4 CC B 2-A-3 46630WAV2 CC B 2-A-4 46630WAW0 CC B 2-A-5 46630WAX8 CC B 2-A-6 46630WAY6 CC B 2-A-7 46630WAZ3 CC B 3-A-1 46630WBA7 CC B 3-A-2 46630WBB5 CC B 3-A-3 46630WBC3 CC B A-P 46630WBD1 CC B A-X 46630WBE9 BBB AAA P 46630WBN9 CC AAA Ratings Affirmed Banc of America Funding 2005-5 Trust Series 2005-5 Class CUSIP Rating ----- ----- ------ 30-IO 05946XF99 AAA Banc of America Mortgage Trust 2004-7 Series 2004-7 Class CUSIP Rating ----- ----- ------ 1-A-5 05949ANE6 AAA 1-A-6 05949ANF3 AAA 1-A-12 05949ANM8 AAA 1-A-14 05949ANP1 AAA 1-A-15 05949ANQ9 AAA 1-A-16 05949ANR7 AAA 1-A-17 05949ANS5 AAA 1-A-18 05949ANT3 AAA 1-A-19 05949ANU0 AAA 5-A-1 05949AQF0 AAA 5-A-2 05949ANX4 AAA 5-A-3 05949ANY2 AAA 5-A-4 05949ANZ9 AAA 5-A-5 05949APA2 AAA 5-A-6 05949APB0 AAA 5-A-7 05949APC8 AAA 5-A-8 05949APD6 AAA 5-A-9 05949APE4 AAA 5-A-10 05949APF1 AAA 5-A-11 05949APG9 AAA 5-A-12 05949APH7 AAA 5-A-13 05949APJ3 AAA 5-A-14 05949APK0 AAA 5-A-15 05949APL8 AAA 5-A-16 05949APM6 AAA 1-30-IO AAA 5-30-IO AAA 1-X-PO AAA 5-X-PO AAA 2-A-1 05949AQB9 AAA 2-A-2 05949AQC7 AAA 2-A-3 05949ANV8 AAA 2-A-4 05949ANW6 AAA 4-A-1 05949AQE3 AAA 2-30-IO AAA 4-30-IO AAA 2-X-PO AAA 4-X-PO AAA 4-15-PO AAA 3-15-IO AAA 6-15-IO AAA 7-15-IO AAA 3-X-PO AAA 6-X-PO AAA 7-X-PO AAA 3-15-PO AAA 6-15-PO AAA 7-15-PO AAA CHL Mortgage Pass-Through Trust 2007-14 Series 2007-14 Class CUSIP Rating ----- ----- ------ A-13 12544DAN9 BBB Credit Suisse First Boston Mortgage Securities Corp. Series 2005-7 Class CUSIP Rating ----- ----- ------ I-X 225458G85 AAA IV-A-1 225458G36 AAA IV-A-2 225458G44 AAA IV-A-3 225458G51 AAA C-X 225458H27 AAA II-X 225458G93 AAA * S&P Downgrades Ratings on Four Tranches From Two CDO Deals ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on four tranches from two U.S. market value collateralized debt obligation transactions. S&P placed one of these ratings on CreditWatch negative and three remain on CreditWatch negative. At the same time, S&P placed its ratings on five tranches from two transactions on CreditWatch negative. S&P also removed nine ratings on two transactions from CreditWatch negative. At the same time, S&P affirmed its ratings on 43 tranches from eight deals. S&P also withdrew seven ratings from two deals due to class paydowns. The CreditWatch removals reflect several months of stable or improving overcollateralization test results for these classes due to paydowns to the senior notes. S&P affirmed the corresponding senior class ratings in these transactions. The CreditWatch placements primarily affected deals that were coming close to breaching their O/C test levels due to price deterioration in the leveraged loan and high-yield bond markets. S&P withdrew seven ratings on tranches that had paid down in full. S&P will continue to monitor these transactions. S&P will take negative rating actions as appropriate if S&P see further declines in the O/C levels, and S&P will remove the ratings from CreditWatch if the tranches reestablish an appropriate cushion above the minimum O/C requirement. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- BlackRock Senior Income Series III B BB/Watch Neg BBB+/Watch Neg BlackRock Senior Income Series III C CCC-/Watch Neg CCC- Geer Mountain Financing Ltd. B-1 AA AA/Watch Neg McDonnell Loan Opportunity Ltd. MzTmLn06-1 A/Watch Neg A McDonnell Loan Opportunity Ltd. C-1 2006-1 A/Watch Neg A McDonnell Loan Opportunity Ltd. C-2 2006-2 A/Watch Neg A McDonnell Loan Opportunity Ltd. MzTmLN06-2 A/Watch Neg A OHSF Financing Ltd. D-1 2006 BBB BBB/Watch Neg OHSF Financing Ltd. D-2 2006 BBB BBB/Watch Neg OHSF II Financing Ltd. D-1 2006 BBB BBB/Watch Neg P.A.R.A.D.I.S.O. Trust II S.A. Notes B B/Watch Neg Prospect Funding I LLC B-2 CCC/Watch Neg B/Watch Neg Prospect Funding I LLC C-1 CCC-/Watch Neg CCC Prospect Funding I LLC SecCredAgr CCC/Watch Neg B/Watch Neg Sankaty High Yield Partners II L.P. A-1 Fixed NR AAA Sankaty High Yield Partners II L.P. Cr Fac NR AAA Sankaty High Yield Partners II L.P. A-1 Float NR AAA Sankaty High Yield Partners II L.P. A-2 Fixed AA AA/Watch Neg Sankaty High Yield Partners II L.P. A-2 Float AA AA/Watch Neg Sankaty High Yield Partners III A-1 NR AAA Sankaty High Yield Partners III A-2 A A/Watch Neg Sankaty High Yield Partners III A-1A NR AAA Sankaty High Yield Partners III A-1B NR AAA Sankaty High Yield Partners III A-1C NR AAA Sankaty High Yield Partners III Sr Sec Ln A A/Watch Neg Other Ratings Reviewed Transaction Class Rating ----------- ----- ------ BlackRock Senior Income Series III Sr Sec Fac AAA BlackRock Senior Income Series III D CC BlackRock Senior Income Series III E CC Geer Mountain Financing Ltd. A-1 AAA Geer Mountain Financing Ltd. A-2 AAA Highland Credit Opportunities CDO Ltd. A-1 2006 A Highland Credit Opportunities CDO Ltd. A-2 2006 A Highland Credit Opportunities CDO Ltd. B 2006 BBB Highland Credit Opportunities CDO Ltd. C 2006 BB/Watch Neg McDonnell Loan Opportunity Ltd. A-1 2006-1 AAA McDonnell Loan Opportunity Ltd. A-2 2006-1 AAA McDonnell Loan Opportunity Ltd. A-3 2006-1 AAA McDonnell Loan Opportunity Ltd. 2SrTmL06-1 AA McDonnell Loan Opportunity Ltd. A-5 2006-2 AAA McDonnell Loan Opportunity Ltd. A-6 2006-2 AAA McDonnell Loan Opportunity Ltd. A-7 2006-2 AAA McDonnell Loan Opportunity Ltd. B-1 2006-2 AA McDonnell Loan Opportunity Ltd. 2dSrLn06-2 AA OHSF Financing Ltd. A-1 2006 AAA OHSF Financing Ltd. Sr Rev Ln AA OHSF Financing Ltd. B-1 2006 AA OHSF Financing Ltd. C-1 2006 A OHSF Financing Ltd. C-2 2006 A OHSF II Financing Ltd. A-1 2006 AAA OHSF II Financing Ltd. A-2a 2006 AAA OHSF II Financing Ltd. A-2b 2006 AAA OHSF II Financing Ltd. STL 2006 AAA OHSF II Financing Ltd. B-1 2006 AA OHSF II Financing Ltd. SSTL 2006 AA OHSF II Financing Ltd. C-1 2006 A OHSF II Financing Ltd. C-2 2006 A OHSF II Financing Ltd. MTL 2006 A Prospect Funding I LLC A-2 BB/Watch Neg Prospect Funding I LLC A-3 BB/Watch Neg Prospect Funding I LLC A-5A BB/Watch Neg Prospect Funding I LLC A-5B BB/Watch Neg Prospect Funding I LLC A-6 BB/Watch Neg Prospect Funding I LLC A-7 BB/Watch Neg Prospect Funding I LLC D-1 CC Prospect Funding I LLC D-2 CC Sankaty High Yield Partners II L.P. B Fixed BB/Watch Neg Sankaty High Yield Partners II L.P. B Float BB/Watch Neg Sankaty High Yield Partners II L.P. C Fixed CCC- Sankaty High Yield Partners II L.P. C Float CCC- Sankaty High Yield Partners II L.P. D Fixed CCC- Sankaty High Yield Partners II L.P. D Float CCC- Sankaty High Yield Partners II L.P. E Float CC Sankaty High Yield Partners III B B/Watch Neg Sankaty High Yield Partners III B B/Watch Neg Sankaty High Yield Partners III C CCC Sankaty High Yield Partners III C CCC Sankaty High Yield Partners III D CCC- Sankaty High Yield Partners III D CCC- Sankaty High Yield Partners III E CC * S&P Downgrades Ratings on Littlefield, Texas' Debt to 'B' ----------------------------------------------------------- Standard & Poor's Ratings Services has lowered its long-term rating and Standard & Poor's underlying rating on Littlefield, Texas' general obligation debt to 'B' from 'BB', reflecting the city's increased vulnerability to nonpayment of the obligation. The outlook is negative. "The downgrade reflects our assessment of the city's fiscal stress associated with the operation of the detention center; and limited, though stable, local economy and property tax base," said Standard & Poor's credit analyst James Breeding. Also reflected in the ratings are the city's historically weak financial performance with low general fund reserves; and high debt levels that are historically offset by contract revenues, which, in the past, have provided significant debt service support. The outlook reflects S&P's concerns regarding the viability of the Bill Clayton Detention Center. The former operator, GEO Corp., and former tenant, Idaho Department of Corrections, vacated the facility in January 2009. The city is trying to either sell the facility, or contract with another private operator that can use it. With the high degree of uncertainty regarding the facility's use, there is the potential for further rating deterioration as the city's general fund and tax base would not likely be able to support the debt service requirement without causing severe financial distress to the city. The negative outlook reflects the lack of a contract for operating and occupying the detention center. The city's ability to cover the debt service without revenue from the facility is unlikely over the long term. Short-term support may be possible, but not sustainable. S&P could lower the rating if the facility remains vacant for a prolonged period of time and management draws upon the debt service reserve fund. * S&P Puts Ratings on 52 Classes on CreditWatch Negative -------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on 52 classes from various small business securitizations originated in 2005, 2006, and 2007 on CreditWatch with negative implications. The CreditWatch placements, which affect 12% of S&P's rated outstanding small business loan securitization debt, follow S&P's review of all outstanding 48 small business securitizations. The reviewed transactions were issued between 2002 and 2007. Credit performance for several Lehman Bros. Small Balance Commercial Loan Trusts, Business Loan Express Business Loan Trusts, and Business Loan Express SBA Loan Trusts has been deteriorating, as evidenced by rising delinquencies, increased default frequencies, and longer recovery periods. The current economic stresses seem to be having the greatest impact on delinquency rates, but they are also affecting the timing in which the transactions recognize recoveries. The negative CreditWatch placements reflect S&P's lower-than-expected recovery assumptions for these transactions. As part of the analysis, Standard & Poor's ran updated loan tapes (loan details on the obligor level) through S&P's Small Business Portfolio Evaluator using updated 2009 Small Business Administration industry default data. Since the 2009 data captures more of the recent stressful environment, the expected default rates have subsequently increased as well. Standard & Poor's expects to resolve the CreditWatch placements within the next three months, after S&P conduct a more detailed review, and may take further ratings actions as appropriate. Rating Actions Business Loan Express Business Loan Trust 2006-A Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B A/Watch Neg A C BBB/Watch Neg BBB Business Loan Express Business Loan Trust 2007-A Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B AA/Watch Neg AA C A/Watch Neg A D BBB/Watch Neg BBB Business Loan Express SBA Loan Trust 2005-1 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA M A/Watch Neg A Business Loan Express SBA Loan Trust 2006-1 Rating ------ Class To From ----- -- ---- A BBB/Watch Neg BBB LBSBC NIM Co. 2006-1 Rating ------ Class To From ----- -- ---- N1 BBB/Watch Neg BBB N2 BB/Watch Neg BB N3 B/Watch Neg B LBSBC NIM Co. 2006-2 Rating ------ Class To From ----- -- ---- N1 BBB/Watch Neg BBB N2 BB/Watch Neg BB N3 B/Watch Neg B LBSBC NIM Co. 2007-3 Rating ------ Class To From ----- -- ---- N1 BBB/Watch Neg BBB N2 BB/Watch Neg BB N3 B/Watch Neg B Lehman Bros. Small Balance Commercial 2005-2 Rating ------ Class To From ----- -- ---- B BBB+/Watch Neg BBB+ M2 A+/Watch Neg A+ M3 A/Watch Neg A Lehman Bros. Small Balance Commercial 2006-1 Rating ------ Class To From ----- -- ---- B BBB+/Watch Neg BBB+ M1 AA/Watch Neg AA M2 A+/Watch Neg A+ M3 A/Watch Neg A Lehman Bros. Small Balance Commercial Loan Trust 2006-SBA 2006-SBA Rating ------ Class To From ----- -- ---- A BBB-/Watch Neg BBB- Lehman Bros. Small Balance Commercial Mortgage Trust 2006-2 Rating ------ Class To From ----- -- ---- B BBB+/Watch Neg BBB+ M1 AA/Watch Neg AA M2 A+/Watch Neg A+ M3 A/Watch Neg A Lehman Bros. Small Balance Commercial Mortgage Trust 2006-3 Rating ------ Class To From ----- -- ---- B BBB+/Watch Neg BBB+ M1 AA/Watch Neg AA M2 A+/Watch Neg A+ M3 A/Watch Neg A Lehman Bros. Small Balance Commercial Mortgage Trust 2007-1 Rating ------ Class To From ----- -- ---- B BBB+/Watch Neg BBB+ M1 AA/Watch Neg AA M2 A+/Watch Neg A+ M3 A/Watch Neg A M4 BBB+/Watch Neg BBB+ Lehman Bros. Small Balance Commercial Mortgage Trust 2007-2 Rating ------ Class To From ----- -- ---- B BBB/Watch Neg BBB M1 AA/Watch Neg AA M2 AA-/Watch Neg AA- M3 A/Watch Neg A M4 A-/Watch Neg A- M5 BBB+/Watch Neg BBB+ Lehman Bros. Small Balance Commercial Mortgage Trust 2007-3 Rating ------ Class To From ----- -- ---- B BBB/Watch Neg BBB M1 AA/Watch Neg AA M2 AA-/Watch Neg AA- M3 A/Watch Neg A M4 A-/Watch Neg A- M5 BBB+/Watch Neg BBB+ ********* 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 ***