/raid1/www/Hosts/bankrupt/TCR_Public/090628.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 28, 2009, Vol. 13, No. 177
Headlines
ABACUS 2006-11: S&P Downgrades Ratings on Two Classes to 'D'
AFC MORTGAGE: Moody's Downgrades Ratings on Seven Securities
ALL STUDENT: Moody's Downgrades Ratings on 12 Classes of Bonds
ARCHON GROUP: Fitch Downgrades Special Servicer Rating to 'CSS2'
ARES X: Moody's Downgrades Ratings on Seven Classes of Notes
ATRIUM II: Moody's Downgrades Ratings on Various Classes of Notes
AVENUE CLO: Moody's Downgrades Ratings on Various Classes of Notes
BABSON CLO: Moody's Downgrades Ratings on Various 2005-II Notes
BABSON CAPITAL: Fitch Affirms Servicer Ratings
BALLYROCK CLO: Moody's Downgrades Ratings on Various 2006-1 Notes
BANK OF AMERICA: Fitch Affirms Servicer Ratings
BANK OF NEW YORK: Fitch Upgrades Primary Servicer Rating to 'CPS2'
BEAR STEARNS: Moody's Downgrades Ratings on 10 Classes of Notes
BRISTOL BAY: Moody's Downgrades Ratings on Various Classes
C-BASS CDO: Fitch Downgrades Ratings on Two Classes to 'D'
CALIFORNIA COUNTY: Fitch Affirms Ratings on Three 2006 Bonds
CALIFORNIA COUNTY: Fitch Affirms Ratings on Four Series of Bonds
CALIFORNIA COUNTY: Fitch Holds Ratings on Eight Asset-Backed Bonds
CAPMARK FINANCE: Fitch Keeps Servicer Ratings on Negative Watch
CENTERLINE SERVICING: Fitch Cuts Special Servicer Rating to CSS1-
CHILDREN'S TRUST: Fitch Affirms Ratings on 11 Asset-Backed Bonds
CLOVERIE PLC: S&P Withdraws 'CCC' Rating on 2006-10 Notes
COUNTRYWIDE HOME: Moody's Downgrades Ratings on 35 Tranches
CREDIT SUISSE: Fitch Downgrades Ratings on 10 2004-C3 Certs.
CREDIT SUISSE: Moody's Reviews Ratings on 19 2007-C1 Certificates
CREDIT SUISSE: S&P Downgrades Ratings on Class P Certs. to 'D'
CSFB MORTGAGE-BACKED: Moody's Downgrades Ratings on 31 Tranches
CT INVESTMENT: Fitch Cuts Special Servicer Ratings to 'CSS3+'
CW CAPITAL: Upgrades Primary Servicer Rating to 'CPS2+'
DB MORTGAGE: Fitch Affirms Servicer Ratings
DISTRICT OF COLUMBIA: Fitch Affirms Ratings on 10 Classes
DRYDEN V-LEVERAGED: Moody's Downgrades Ratings on 2003 Notes
DRYDEN-XI LEVERAGED: Moody's Downgrades Ratings on 2006 Notes
FIELDSTONE MORTGAGE: Moody's Downgrades Rating on 10 Securities
FINANCE AMERICA: Moody's Downgrades Ratings on 16 Securities
FINANSURE STUDENT: Fitch Affirms Ratings on 11 2007-1 Notes
FIRST FRANKLIN: Moody's Downgrades Ratings on 98 Securities
FORTRESS CREDIT: Moody's Cuts Rating on $13MM Class B Notes to Ba1
FORTRESS CREDIT: Moody's Cuts Rating on $52MM Class B Notes to Ba2
FRUITFUL HARVEST: S&P Downgrades Ratings on Class A Notes to 'D'
GALE FORCE: Moody's Downgrades Ratings on Various Classes of Notes
GE CAPITAL: Fitch Affirms Special Servicer Rating at 'CSS2+'
GE CAPITAL: Moody's Downgrades Ratings on 18 Securities
GE CAPITAL: S&P Downgrades Ratings on Two 2001-3 Certs. to 'D'
GEMSA LOAN: Fitch Affirms Servicer Ratings
GENESIS CLO: Fitch Downgrades Ratings on Various 2007-1 Notes
GREEN LOAN: Fitch Assigns 'CLLSS2-' Special Servicer Rating
GSC PARTNERS: Moody's Downgrades Ratings on Various Classes
HARBORVIEW MORTGAGE: Moody's Downgrades Ratings on 13 Tranches
HELIOS AMC: Fitch Affirms 'CSS3' Special Servicer Rating
HEWETT'S ISLAND: Moody's Downgrades Ratings on Various Classes
HUDSON ADVISORS: Fitch Cuts Special Servicer Rating to 'CSS2-'
ING CLARION: Fitch Affirms 'CSS2+' Special Servicer Rating
JE ROBERT: Fitch Downgrades Special Servicer Ratings to 'CSS1'
JP MORGAN: Moody's Affirms Ratings on 14 2005-LDP4 Certificates
JP MORGAN: Moody's Affirms Ratings on 15 2003-CIBC7 Certificates
JP MORGAN: Moody's Downgrades Ratings on 217 Tranches
JPMORGAN CHASE: S&P Downgrades Ratings on Class P Certs. to 'D'
KEYBANK REAL: Fitch Affirms 'CPS1' Primary Servicer Rating
LB-UBS COMMERCIAL: S&P Downgrades Ratings on 2006-C1 Certificates
LEHMAN XS: Moody's Confirms Ratings on 2005-1 NIM Securities
LIBERTY CLO: Moody's Downgrades Ratings on Various Classes
LIME STREET: Moody's Downgrades Ratings on Various Classes
LNR PARTNERS: Fitch Downgrades Special Servicer Ratings to 'CSS1'
MEZZ CAP: Fitch Puts Ratings on Various Bonds on Negative Watch
MICHIGAN TOBACCO: Fitch Affirms Ratings on Two Series 2008 Bonds
MIDLAND LOAN: Fitch Affirms 'CPS1' Primary Servicer Rating
MILLSTONE FUNDING: Fitch Junks Ratings on Funding Notes From 'B'
MORGAN STANLEY: S&P Downgrades Ratings on 2006-IQ12 Notes to 'D'
MOUNTAIN VIEW: Moody's Downgrades Ratings on Various Notes
NASSAU COUNTY: Fitch Affirms Ratings on Six Asset-Backed Bonds
NATIONAL COOPERATIVE: Fitch Keeps 'CPS1' Primary Servicer Rating
NCB FSB: Fitch Cuts Primary Servicer Rating to 'CPS2+'
NEXTSTUDENT MASTER: Moody's Confirms Ratings on 23 Classes
NOVASTAR MORTGAGE: Moody's Downgrades Ratings on 42 Securities
OCWEN LOAN: Fitch Downgrades Special Servicer Rating to 'CSS2-'
OLYMPIC CLO: Moody's Downgrades Ratings on Various Classes
OPTION ONE: Moody's Downgrades Ratings on 49 Securities
ORIX CAPITAL: Fitch Affirms 'CSS3+' Special Servicer Rating
OWNIT MORTGAGE: Moody's Cuts Ratings on Two 2004-1 Securities
PACIFIC LIFE: Fitch Affirms 'CPS1' Primary Servicer Rating
PEOPLE'S CHOICE: Moody's Downgrades Ratings on Seven Securities
PNC MORTGAGE: S&P Downgrades Rating on Class N Certs. to 'D'
POPULAR ABS: Moody's Downgrades Ratings on Five 2004-5 Securities
PPM AMERICA: Fitch Takes Various Rating Actions on Notes
PREFERREDPLUS TRUST: Moody's Confirms 'Caa1' Rating on Certs.
PROTECTIVE LIFE: Fitch Affirms Various Servicer Ratings
PRUDENTIAL ASSET: Fitch Affirms 'CPS2+' Primary Servicer Rating
REPACS TRUST: S&P Downgrades Ratings on Eight 2005-1 Debt Units
RESIX FINANCE: Moody's Downgrades Ratings on Two 2006-1 Notes
ROSEDALE CLO: Moody's Downgrades Ratings on Various Classes
SAGUARO ISSUER: Moody's Confirms Ratings on Principal Units
SASI FINANCE: Moody's Downgrades Ratings on Nine 2006-A Tranches
SCORPIUS CDO: S&P Downgrades Ratings on Nine Classes to 'D'
SECURITIZED ASSET: Moody's Downgrades Ratings on 22 Securities
SILVER CREEK: Moody's Downgrades Ratings on Various Classes
SINO-FOREST CORPORATION: Exchange Offer Won't Move Moody's Rating
SITUS ASSET: Fitch Affirms 'CPS3' Primary Servicer Rating
STONEY LANE: Moody's Downgrades Ratings on Various Classes
STRUCTURED INVESTMENTS: Moody's Cuts Ratings on Notes to 'B3'
STRUCTURED INVESTMENTS: Moody's Junks Ratings on $20 Mil. Notes
TARGETED RETURN: Moody's Cuts Ratings on HY-2006-1 Certs. to 'B2'
TOBACCO SETTLEMENT: Fitch Affirms Ratings on Three Classes
TORO ABS: Fitch Junks Ratings on Class A Notes From 'B'
TRIMONT REAL: Fitch Affirms 'CPS2' Primary Servicer Rating
WACHOVIA SECURITIES: Fitch Downgrades Primary Servicer Rating
WELLS FARGO: Fitch Downgrades Primary & Special Servicer Ratings
WESTWOOD CDO: Moody's Downgrades Ratings on Various Classes
* Moody's Cuts Ratings on 17 Certs. From 8 Resecuritized Deals
* S&P Downgrades Ratings on 20 Classes of Mortgage Certs. to 'D'
* S&P Downgrades Ratings on 21 Classes from Mortgage Certs. to 'D'
* S&P Downgrades Ratings on 21 Tranches From Nine Hybrid CDO Deals
* S&P Downgrades Ratings on 62 Classes From 41 NIMS RMBS Deals
* S&P Downgrades Ratings on 69 Classes From 13 RMBS Transactions
* S&P Downgrades Ratings on 71 Classes of Mortgage Certs. to 'D'
* S&P Downgrades Ratings on 90 Classes From Nine RMBS Transactions
* S&P Downgrades Ratings on 102 Classes From 33 Prime Jumbo RMBS
* S&P Downgrades Ratings on 146 Classes From 14 RMBS Transactions
* S&P Downgrades Ratings on 324 Classes of Mortgage Certs. to 'D'
* S&P Downgrades Ratings on 427 Classes of Mortgage Certs. to 'D'
* S&P Downgrades Ratings on 956 Classes From 93 RMBS Transactions
* S&P Downgrades Ratings on Nine Classes of Mortgage Certs. to 'D'
* S&P Puts Ratings on 210 Tranches on CreditWatch Negative
*********
ABACUS 2006-11: S&P Downgrades Ratings on Two Classes to 'D'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-2 series 1 and class A-2 series 2 from Abacus 2006-11 Ltd.
to 'D' from 'CCC-'.
The lowered ratings follow a number of recent write-downs to the
underlying reference entities, which have caused each class of
notes to incur a principal loss.
Ratings Lowered
Abacus 2006-11 Ltd.
Rating
------
Class To From
----- -- ----
A-2 series 1 D CCC-
A-2 series 2 D CCC-
AFC MORTGAGE: Moody's Downgrades Ratings on Seven Securities
------------------------------------------------------------
Moody's Investors Service has downgraded the rating of 7
securities from 5 transactions issued by AFC. 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 averaging 80%. The
results of these two calculations -- Recent Losses and Pipeline
Losses -- are weighted to arrive at the lifetime cumulative loss
projection.
In light of the withdrawal of FGIC's insurance financial strength
ratings on March 25, 2009, Moody's ratings on structured finance
securities that are guaranteed or "wrapped" by FGIC are based
solely on the current underlying rating (i.e., absent
consideration of the guaranty) on the security, regardless of
whether the underlying rating had been previously published or
not. The ratings of bonds wrapped by rated financial guarantors
are consistent with Moodys practice of rating to the higher of the
underlying rating or the financial guarantors rating.
Complete rating actions are:
Issuer: AFC Mortgage Loan Asset Backed Certificates, Series 1998-1
-- 1A-1, Downgraded to Ba1; previously on 6/16/2008 Upgraded to
Baa2
-- Current Underlying Rating: Downgraded to Ba1; previously on
6/16/2008 Published at Baa2
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn on 3/25/2009)
-- 1A-2, Downgraded to Ba1; previously on 6/16/2008 Upgraded to
Baa2
-- Current Underlying Rating: Downgraded to Ba1; previously on
6/16/2008 Published at Baa2
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn on 3/25/2009)
Issuer: AFC Mortgage Loan Asset Backed Certificates, Series 1998-3
-- 1A-1, Downgraded to Ba3; previously on 6/16/2008 Upgraded to
Baa2
-- Current Underlying Rating: Downgraded to Ba3; previously on
6/16/2008 Published at Baa2
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn on 3/25/2009)
-- 1A-2, Downgraded to Ba3; previously on 6/16/2008 Upgraded to
Baa2
-- Current Underlying Rating: Downgraded to Ba3; previously on
6/16/2008 Published at Baa2
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn on 3/25/2009)
Issuer: AFC Mtg Loan AB Certs 1999-01
-- 1A, Downgraded to Ba1; previously on 3/31/2008 Downgraded to
Baa3
-- Current Underlying Rating: Downgraded to Ba1; previously on
6/16/2008 Published at Baa3
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn on 3/25/2009)
Issuer: AFC Mtg Loan AB Certs 1999-02
-- 1A, Downgraded to B3; previously on 6/20/2008 Downgraded to
Ba1
-- Current Underlying Rating: Downgraded to B3; previously on
6/16/2008 Published at Ba1
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn on 3/25/2009)
Issuer: AFC Mtg Loan AB Notes 2000-1
-- Cl. 2A, Downgraded to Caa1; previously on 6/20/2008
Downgraded to Ba1
-- Current Underlying Rating: Downgraded to Caa1; previously on
6/16/2008 Published at Ba1
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn on 3/25/2009)
Issuer: AFC Mtg Loan AB Notes 2000-2
-- Cl. 1A, Current Rating: B3
-- Current Underlying Rating: Downgraded to Caa1; previously on
6/16/2008 Published at B3
-- Financial Guarantor: MBIA Insurance Corporation (Downgraded
from Baa1 to B3; Outlook Developing on 2/18/2009)
-- Cl. 2A, Current Rating: B3
-- Current Underlying Rating: Downgraded to Caa1; previously on
6/16/2008 Published at B3
-- Financial Guarantor: MBIA Insurance Corporation (Downgraded
from Baa1 to B3; Outlook Developing on 2/18/2009)
Issuer: AFC Mtg Loan AB Notes 2000-3
-- Cl. 2A, Current Rating: B3
-- Current Underlying Rating: Downgraded to Caa2; previously on
6/16/2008 Published at Caa1
-- Financial Guarantor: MBIA Insurance Corporation (Downgraded
from Baa1 to B3; Outlook Developing on 2/18/2009)
Issuer: AFC Mtg Loan AB Notes 2000-4
-- Cl. 2A, Current Rating: B3
-- Current Underlying Rating: Downgraded to Caa1; previously on
6/16/2008 Published at B3
-- Financial Guarantor: MBIA Insurance Corporation (Downgraded
from Baa1 to B3; Outlook Developing on 2/18/2009)
ALL STUDENT: Moody's Downgrades Ratings on 12 Classes of Bonds
--------------------------------------------------------------
Moody's Investors Service has downgraded twelve classes of senior
bonds and two classes of subordinate bonds issued by All Student
Loan Corporation, Series II.
As of March 31, 2009, approximately 95% of the bonds were Variable
Rate Demand Bonds, all of which have been put to the liquidity
bank pursuant to the Standby Bond Purchase Agreement (i.e., they
have become bank bonds). Although the current rate on the bank
bonds is 1 month LIBOR + 75bps, in October 2009 the interest rate
will increase to Prime for the first 90 days and to Prime + 1.5%
thereafter, which will result in approximately 2.5%-to-3% of
negative excess spread per annum. The total parity, i.e. the
ratio of total assets to total liabilities, was 100.3% as of
March 31, 2009. The senior parity, or the ratio of total assets
to the aggregate of total senior bonds outstanding balance and
accrued liabilities, was 105.8% as of the date. A large amount of
the negative excess spread is expected to rapidly erode both total
and senior parity ratios, exposing the bonds to a highly likely
eventual default.
The subordinate bonds will be further negatively affected by a
potential change in the priority of cash distributions. According
to the deal documents, a downgrade of the senior bonds below "Aaa"
would cause an event of default and the acceleration of the bonds.
In that case, the subordinate bonds would not receive any interest
or principal payments for as long as any interest or principal
payments are due on the senior bonds.
The complete rating actions are:
Issuer: All Student Loan Corporation, Series II (formerly Access
to Loans For Learning Corporation)
-- Senior Ser. II-A-1 (Tax-Exempt), Downgraded to Caa2;
previously on 3/31/2009 Aaa Placed Under Review for Possible
Downgrade
-- Senior Ser. II-A-1 (Tax-Exempt), Downgraded to S.G.;
previously on 3/31/2009 VMIG 1 Placed Under Review for
Possible Downgrade
-- Senior Ser. II-A-2 (Tax-Exempt), Downgraded to Caa2;
previously on 3/31/2009 Aaa Placed Under Review for Possible
Downgrade
-- Senior Ser. II-A-2 (Tax-Exempt), Downgraded to S.G.;
previously on 3/31/2009 VMIG 1 Placed Under Review for
Possible Downgrade
-- Senior Ser. II-A-3 (Tax-Exempt), Downgraded to Caa2;
previously on 3/31/2009 Aaa Placed Under Review for Possible
Downgrade
-- Senior Ser. II-A-3 (Tax-Exempt), Downgraded to S.G.;
previously on 3/31/2009 VMIG 1 Placed Under Review for
Possible Downgrade
-- Senior Ser. II-A-4 (Tax-Exempt), Downgraded to Caa2;
previously on 3/31/2009 Aaa Placed Under Review for Possible
Downgrade
-- Senior Ser. II-A-4 (Tax-Exempt), Downgraded to S.G.;
previously on 3/31/2009 VMIG 1 Placed Under Review for
Possible Downgrade
-- Senior Ser. II-A-5 (Taxable), Downgraded to Caa2; previously
on 3/31/2009 Aaa Placed Under Review for Possible Downgrade
-- Senior Ser. II-A-5 (Taxable), Downgraded to S.G.; previously
on 3/31/2009 VMIG 1 Placed Under Review for Possible
Downgrade
-- Senior Ser. II-A-6 (Taxable), Downgraded to Caa2; previously
on 3/31/2009 Aaa Placed Under Review for Possible Downgrade
-- Senior Ser. II-A-6 (Taxable), Downgraded to S.G.; previously
on 3/31/2009 VMIG 1 Placed Under Review for Possible
Downgrade
-- Ser. II A-7, Downgraded to Caa2; previously on 3/31/2009 Aaa
Placed Under Review for Possible Downgrade
-- Ser. II A-7, Downgraded to S.G.; previously on 3/31/2009 VMIG
1 Placed Under Review for Possible Downgrade
-- Ser. II A-8, Downgraded to Caa2; previously on 3/31/2009 Aaa
Placed Under Review for Possible Downgrade
-- Ser. II A-8, Downgraded to S.G.; previously on 3/31/2009 VMIG
1 Placed Under Review for Possible Downgrade
-- Ser. II A-9, Downgraded to Caa2; previously on 3/31/2009 Aaa
Placed Under Review for Possible Downgrade
-- Ser. II A-9, Downgraded to S.G.; previously on 3/31/2009 VMIG
1 Placed Under Review for Possible Downgrade
-- Senior Ser. II-A-10 (Taxable)-1, Downgraded to Caa2;
previously on 3/31/2009 Aaa Placed Under Review for Possible
Downgrade
-- Senior Ser. II-A-10 (Taxable)-1, Downgraded to S.G.;
previously on 3/31/2009 VMIG 1 Placed Under Review for
Possible Downgrade
-- Senior Ser. II-A-11 (Taxable), Downgraded to Caa2; previously
on 3/31/2009 Aaa Placed Under Review for Possible Downgrade
-- Senior Ser. II-A-11 (Taxable), Downgraded to S.G.; previously
on 3/31/2009 VMIG 1 Placed Under Review for Possible
Downgrade
-- Senior Ser. II-A-12 (Taxable), Downgraded to Caa2; previously
on 3/31/2009 Aaa Placed Under Review for Possible Downgrade
-- Senior Ser. II-A-12 (Taxable), Downgraded to S.G.; previously
on 3/31/2009 VMIG 1 Placed Under Review for Possible
Downgrade
-- Subordinated Ser. II-C-1 (Tax-Exempt)-2 Fixed Rate,
Downgraded to C; previously on 3/31/2009 A2 Placed Under
Review for Possible Downgrade
-- Subordinated Ser. II-C-2 (Taxable)-2 Fixed Rate, Downgraded
to C; previously on 3/31/2009 A2 Placed Under Review for
Possible Downgrade
ARCHON GROUP: Fitch Downgrades Special Servicer Rating to 'CSS2'
----------------------------------------------------------------
Fitch Ratings has downgraded Archon Group, L.P.'s special servicer
rating:
-- Special servicer to 'CSS2+' from 'CSS1'.
-- Primary servicer affirmed at 'CPS3+'.
Fitch's rating actions are based on the recent update of Fitch's
CMBS servicer rating criteria.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
Archon's special servicer rating downgrade is due to increased
emphasis on market participation. Archon's scoring in this area
was negatively impacted during the criteria update.
The ratings of the CMBS transactions serviced by Archon are not
expected to be negatively impacted by the servicer downgrade.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
ARES X: Moody's Downgrades Ratings on Seven Classes of Notes
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these seven classes of notes issued by Ares X CLO Ltd.:
-- US$50,000,000 Class A-1 Revolving Floating Rate Notes, Due
2017, Downgraded to Aa3; previously on March 18, 2009 Aaa
Placed Under Review for Possible Downgrade;
-- US$200,000,000 Class A-2 Delayed Drawdown Floating Rate
Notes, Due 2017, Downgraded to Aa3; previously on March 18,
2009 Aaa Placed Under Review for Possible Downgrade;
-- US$125,000,000 Class A-3 Floating Rate Notes, Due 2017,
Downgraded to Aa3; previously on March 18, 2009 Aaa Placed
Under Review for Possible Downgrade;
-- US$21,000,000 Class B Floating Rate Notes, Due 2017,
Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$30,000,000 Class D-1 Deferrable Floating Rate Notes,
Due 2017, Downgraded to Caa3; previously on March 18, 2009
Downgraded to B3 and Placed Under Review for Possible
Downgrade;
-- US$10,000,000 Class D-2 Deferrable Floating Rate Notes,
Due 2017, Downgraded to Caa3; previously on March 18, 2009
Downgraded to B3 and Placed Under Review for Possible
Downgrade;
-- US$5,000,000 Combination Securities, Due 2017, Downgraded
to Ba1; previously on March 4, 2009 A1 Placed Under Review
for Possible Downgrade.
In addition, Moody's has confirmed the ratings of these two
classes of notes:
-- US$4,000,000 Class C-1 Deferrable Floating Rate Notes, Due
2017; previously on March 18, 2009 Downgraded to Ba3 and
Placed Under Review for Possible Downgrade;
-- US$20,000,000 Class C-2 Deferrable Fixed Rate Notes, Due
2017; previously on March 18, 2009 Downgraded to Ba3 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 the
Class C and D Par Value Tests. The weighted average rating factor
has steadily increased over the last year and it is currently at
2841 versus a test level of 2660 as of the last trustee report,
dated May 20, 2009. Based on the same report, defaulted
securities total about $19.8 million, accounting for roughly 4.3%
of the collateral balance, and securities rated Caa1 or lower make
up approximately 12.8% of the underlying portfolio. Additionally,
interest payments on the Class D-2 Notes are presently being
deferred as a result of the failure of the Class C Par Value Test.
Ares X CLO Ltd., issued on September 1, 2005, 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.
ATRIUM II: 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 Atrium II:
-- Class A-1 Floating Rate Notes Due 2016, Downgraded to Aa3;
previously on March 20, 2009 Aaa, Placed Under Review for
Possible Downgrade;
-- Class A-2a Floating Rate Notes Due 2016, Downgraded to Baa2;
previously on March 20, 2009 Aa2, Placed Under Review for
Possible Downgrade;
-- Class A-2b Fixed Rate Notes Due 2016, Downgraded to Baa2;
previously on March 20, 2009 Aa2, Placed Under Review for
Possible Downgrade;
-- Class B Deferrable Floating Rate Notes Due 2016, Downgraded
to Ba2; previously on March 20, 2009 Downgraded to Ba1 and
Placed Under Review for Possible Downgrade;
-- Class C-1 Floating Rate Notes Due 2016, Downgraded to Caa3;
previously on March 20, 2009 Downgraded to B2 and Placed
Under Review for Possible Downgrade;
-- Class C-2 Fixed Rate Notes Due 2016, Downgraded to Caa3;
previously on March 20, 2009 Downgraded to B2 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 the
Class C Par Value Test. The weighted average rating factor has
steadily increased over the last year and it is currently at 2822
versus a test level of 2350 as of the last trustee report, dated
June 5, 2009. Based on the same report, defaulted securities
total about $16.3 million, accounting for roughly 6.7% of the
collateral balance, and securities rated Caa1 or lower make up
approximately 14.4% of the underlying portfolio. Additionally,
interest payments on the Class B and C Notes are presently being
deferred as a result of the failure of the Class A Par Value Test
as of the last payment date.
Atrium II, issued on December 18, 2003, 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.
AVENUE CLO: Moody's Downgrades Ratings on Various Classes of Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Avenue CLO III, Ltd.:
-- US$357,000,000 Class A-1L Floating Rate Notes Due July
2018, Downgraded to A2; previously on May 10, 2006 Assigned
Aaa;
-- US$39,000,000 Class A-2L Floating Rate Notes Due July
2018, Downgraded to Ba1; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade;
-- US$24,000,000 Class A-3L Floating Rate Notes Due July
2018, Downgraded to Caa1; previously on March 17, 2009
Downgraded to Ba1 and Placed Under Review for Possible
Downgrade;
-- US$21,500,000 Class B-1L Floating Rate Notes Due July
2018, Downgraded to Ca; previously on March 17, 2009
Downgraded to B3 and Placed Under Review for Possible
Downgrade;
-- US$22,000,000 Class B-2L Floating Rate Notes Due July
2018, Downgraded to C; previously on March 17, 2009
Downgraded to Caa3 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds and second lien loans will be below
their historical averages, consistent with Moody's research.
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 Senior Class
A Overcollateralization Test, Class A Overcollateralization Test,
Class B-1L Overcollateralization Test, Class B-2L
Overcollateralization Test and Interest Coverage Test. The
weighted average rating factor has steadily increased over the
last year and it is currently 2674 versus a test level of 2545 as
of the last trustee report, dated June 11, 2009. Based on the
same report, defaulted securities total about $52 million,
accounting for roughly 11.2% of the collateral balance, and
securities with a Moody's rating of Caa1 or below make up
approximately 7.5% of the underlying portfolio. Additionally,
interest payments on the Class A-3L, Class B-1L and Class B-2L
Notes are presently being deferred as a result of the failure of
the Senior Class A Overcollateralization Test.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Avenue CLO III, Ltd., issued in May of 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.
BABSON CLO: Moody's Downgrades Ratings on Various 2005-II Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Babson CLO Ltd. 2005-II:
-- Class A-1 Senior Notes, Downgraded to Aa2; previously on
October 12, 2005 Assigned Aaa;
-- Class A-2 Senior Notes, Downgraded to A2; previously on March
4, 2009 Aa2 Placed Under Review for Possible Downgrade;
-- Class D-1 Deferrable Mezzanine Notes, Downgraded to Ca;
previously on March 18, 2009 Downgraded to Caa3 and Placed
Under Review for Possible Downgrade;
-- Class D-2 Deferrable Mezzanine Notes, Downgraded to Ca;
previously on March 18, 2009 Downgraded to Caa3 and Placed
Under Review for Possible Downgrade;
-- Class Q-1 Combination Notes, Downgraded to Baa3; previously
on March 4, 2009 A2 Placed Under Review for Possible
Downgrade;
-- Class Q-2 Combination Notes, Downgraded to Caa1; previously
on March 4, 2009 Ba1 Placed Under Review for Possible
Downgrade;
-- Class Q-3 Combination Notes, Downgraded to B2; previously on
March 4, 2009 Baa2 Placed Under Review for Possible
Downgrade.
In addition, Moody's has confirmed the ratings on these notes:
-- Class B Deferrable Mezzanine Notes, Confirmed at Ba1;
previously on March 18, 2009 Downgraded to Ba1 and Placed
Under Review for Possible Downgrade;
-- Class C-1 Deferrable Mezzanine Notes, Confirmed at B1;
previously on March 18, 2009 Downgraded to B1 and Placed
Under Review for Possible Downgrade;
-- Class C-2 Deferrable Mezzanine Notes, Confirmed at B1;
previously on March 18, 2009 Downgraded to B1 and Placed
Under Review for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds and second lien loans will be below
their historical averages, consistent with Moody's research.
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 C
overcollateralization test and the Class D overcollateralization
test. The weighted average rating factor has steadily increased
over the last year and is currently 2942 versus a test level of
2530 as of the latest trustee report, dated May 11, 2009. Based
on the same report, defaulted securities total about
$42.7 million, accounting for roughly 8.4% of the collateral
balance, and securities rated Caa1 or lower make up approximately
13% 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.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Babson CLO Ltd. 2005-II, issued in July 2005, 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.
BABSON CAPITAL: Fitch Affirms Servicer Ratings
----------------------------------------------
In conjunction with the recent update of its U.S. CMBS servicer
rating criteria, Fitch Ratings has affirmed 33 CMBS servicer
ratings across 16 companies.
Fitch Ratings has updated its U.S. CMBS servicer rating criteria
to reflect current commercial real estate market conditions and
their effect on mortgage servicing. These changes have resulted
in moderate rating movement for certain servicers, as detailed in
several press releases also published as well as ratings
affirmations.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
The companies that had their CMBS servicer ratings affirmed are:
Babson Capital Management, LLC;
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Bank of America, N.A.;
-- Primary servicer at 'CPS1-';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2-'.
DB Mortgage Services, LLC;
-- Primary servicer at 'CPS2-';
-- Special servicer at 'CSS3'.
GE Capital Realty Group;
-- Special servicer at 'CSS2+'.
GEMSA Loan Services, L.P.;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1-'.
Helios AMC, LLC;
-- Special servicer at 'CSS3'.
ING Clarion Capital Loan Services, LLC;
-- Special servicer at 'CSS2+'.
KeyBank Real Estate Capital;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS2+'.
Midland Loan Services;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS1'.
National Cooperative Bank;
-- Special servicer at 'CSS3'.
ORIX Capital Markets, LLC;
-- Special servicer at 'CSS3+'.
Pacific Life Insurance Company;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2'.
Protective Life Insurance Company;
-- Primary servicer at 'CPS3+';
-- Master servicer at 'CMS3';
-- Special servicer at 'CSS3+';
Prudential Asset Resources;
-- Primary servicer at 'CPS2+';
-- Master servicer at 'CMS2';
-- Special servicer at 'CSS2- '.
Situs Asset Management;
-- Primary servicer at 'CPS3';
-- Special servicer at 'CSS3'.
TriMont Real Estate Advisors, Inc.
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Additionally, these ratings remain on Rating Watch Negative by
Fitch:
Capmark Finance
-- Primary servicer 'CPS2-';
-- Master servicer 'CMS3-';
-- Special servicer 'CSS2-'.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
BALLYROCK CLO: Moody's Downgrades Ratings on Various 2006-1 Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Ballyrock CLO 2006-1 Ltd.:
-- US$288,000,000 Class A Floating Rate Notes Due 2019,
Downgraded to Aa2; previously on 09/20/2006 Assigned Aaa;
-- US$24,000,000 Class B Floating Rate Notes Due 2019,
Downgraded to A2; previously on 03/17/2009 Aa2 Placed Under
Review for Possible Downgrade;
-- US$14,000,000 Class E Deferrable Floating Rate Notes Due
2019, Downgraded to Ca; previously on 03/17/2009 Downgraded
to Caa2 and Placed Under Review for Possible Downgrade;
In addition, Moody's has confirmed the ratings on these notes:
-- US$18,000,000 Class C Deferrable Floating Rate Notes Due
2019, Confirmed at Ba1; previously on 03/17/2009 Downgraded
to Ba1 and Placed Under Review for Possible Downgrade;
-- US$27,000,000 Class D Deferrable Floating Rate Notes Due
2019, Confirmed at B1; previously on 03/17/2009 Downgraded to
B1 and Placed Under Review for Possible Downgrade;
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds, 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
E overcollateralization test. The weighted average rating factor
has steadily increased over the last year and it is currently at
3278 versus a test level of 2707 as of the last trustee report,
dated May 20, 2009. Based on the same report, defaulted
securities total about $9 million, accounting for roughly 3% of
the collateral balance, and securities rated Caa1 or lower make up
approximately 17% of the underlying portfolio.
Ballyrock CLO 2006-1 Ltd., issued in August 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.
BANK OF AMERICA: Fitch Affirms Servicer Ratings
-----------------------------------------------
In conjunction with the recent update of its U.S. CMBS servicer
rating criteria, Fitch Ratings has affirmed 33 CMBS servicer
ratings across 16 companies.
Fitch Ratings has updated its U.S. CMBS servicer rating criteria
to reflect current commercial real estate market conditions and
their effect on mortgage servicing. These changes have resulted
in moderate rating movement for certain servicers, as detailed in
several press releases also published as well as ratings
affirmations.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
The companies that had their CMBS servicer ratings affirmed are:
Babson Capital Management, LLC;
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Bank of America, N.A.;
-- Primary servicer at 'CPS1-';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2-'.
DB Mortgage Services, LLC;
-- Primary servicer at 'CPS2-';
-- Special servicer at 'CSS3'.
GE Capital Realty Group;
-- Special servicer at 'CSS2+'.
GEMSA Loan Services, L.P.;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1-'.
Helios AMC, LLC;
-- Special servicer at 'CSS3'.
ING Clarion Capital Loan Services, LLC;
-- Special servicer at 'CSS2+'.
KeyBank Real Estate Capital;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS2+'.
Midland Loan Services;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS1'.
National Cooperative Bank;
-- Special servicer at 'CSS3'.
ORIX Capital Markets, LLC;
-- Special servicer at 'CSS3+'.
Pacific Life Insurance Company;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2'.
Protective Life Insurance Company;
-- Primary servicer at 'CPS3+';
-- Master servicer at 'CMS3';
-- Special servicer at 'CSS3+';
Prudential Asset Resources;
-- Primary servicer at 'CPS2+';
-- Master servicer at 'CMS2';
-- Special servicer at 'CSS2- '.
Situs Asset Management;
-- Primary servicer at 'CPS3';
-- Special servicer at 'CSS3'.
TriMont Real Estate Advisors, Inc.
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Additionally, these ratings remain on Rating Watch Negative by
Fitch:
Capmark Finance
-- Primary servicer 'CPS2-';
-- Master servicer 'CMS3-';
-- Special servicer 'CSS2-'.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
BANK OF NEW YORK: Fitch Upgrades Primary Servicer Rating to 'CPS2'
------------------------------------------------------------------
Fitch Ratings has upgraded Bank of New York Mellon, Asset
Solutions Division primary and master servicer ratings:
-- Primary servicer upgraded to 'CPS2' from 'CPS2-';
-- Master servicer upgraded to 'CMS3+' from 'CMS3';
-- Special servicer affirmed at 'CSS3'.
Fitch's rating actions are based on the recent update of Fitch's
CMBS servicer rating criteria.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
BNY Mellon's primary and master servicer upgrades are due to
increased emphasis on financial condition. BNY Mellon's scoring
in this area was positively impacted during the criteria update.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
BEAR STEARNS: Moody's Downgrades Ratings on 10 Classes of Notes
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of ten
classes of notes from three transactions issued by Bear Stearns
ARM Trust.
The ratings are based on the methodology applied to all
transactions with small pool factors. Moody's defines low pool
factor deals as those that meet one of these two criteria: (1) the
outstanding collateral balance is less than $1 million, and the
pool factor is less than 5% or (2) the pool has fewer than 50
loans remaining
Moody's uses the following methodology to estimate losses on low
pool factor deals.
First, gross defaults are determined by applying assumed lifetime
roll-rates (probabilities of transition to default) to the
transactions' current delinquency buckets (delinquency pipeline)
and a pipeline multiplier. The pipeline multiplier accounts for
further possible defaults that might arise from borrowers that are
current. The pipeline multiplier differs for each deal based on
the number of loans remaining in the pool -- greater the number of
loans remaining the higher the multiplier. The estimated defaults
are subject to a floor -- a minimum default. The minimum default
also differs based on the number loans remaining in the pool. The
fewer the number of loans remaining in the pool, the higher the
minimum default since each loan represents a higher percentage of
the pool.
The final default number is then multiplied by expected loss
severity to arrive at Moody's expected loss estimate. Loss
severity also differs by transaction and is higher for more recent
vintages.
Complete rating actions:
Issuer: Bear Stearns Asset Backed Securities, Inc., 1999-2 (Loans
Remaining: 28)
-- MV-1, Current Balance $1,022,663, Downgraded to A2;
previously on 10/19/1999 Assigned Aa2
Issuer: Bear Stearns ARM Trust, Series 2001-4 (Loans Remaining:
24)
-- Cl. B-1, Current Balance $410,335, Downgraded to Aa2;
previously on 9/1/2004 Upgraded to Aaa
-- Cl. B-2, Current Balance $330,405, Downgraded to A2;
previously on 8/15/2006 Downgraded to Aa1
-- Cl. B-3, Current Balance $253,238, Downgraded to Ba3;
previously on 8/15/2006 Downgraded to A3
Issuer: Bear Stearns ARM Trust 2002-12 (Loans Remaining: 15)
-- Cl. II-A-1, Current Balance $5,845,244, Downgraded to Aa2;
previously on 1/28/2003 Assigned Aaa
-- Cl. II-A-2, Current Balance $504,509, Downgraded to Aa2;
previously on 1/28/2003 Assigned Aaa
-- Cl. II-A-3, Current Balance $463,515, Downgraded to A2;
previously on 1/28/2003 Assigned Aaa
-- Cl. II-B-1, Current Balance $253,837, Downgraded to Ba1;
previously on 9/1/2004 Upgraded to Aaa
-- Cl. II-B-2, Current Balance $176,574, Downgraded to B2;
previously on 7/27/2005 Upgraded to Aa1
-- Cl. II-B-3, Current Balance $88,920, Downgraded to Caa1;
previously on 9/1/2004 Upgraded to A2
BRISTOL BAY: Moody's Downgrades Ratings on Various Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of these notes issued by Bristol Bay Funding Ltd.:
-- US$40,000,000 Class B Floating Rate Deferrable Senior
Subordinate Notes due 2016, Downgraded to Ba2; previously on
April 16, 2009 A2 Placed Under Review for Possible Downgrade.
In addition, Moody's has confirmed the rating on these notes:
-- US$24,000,000 Class A-2 Floating Rate Senior Notes due 2016,
Confirmed at A1; previously on April 16, 2009 Al 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 OC Test. The weighted average rating factor has steadily
increased over the last year and it is currently at 2817 versus a
test level of 2620 as of the last trustee report, dated May 31,
2009. Based on the same report, defaulted securities total about
$41.6 million, accounting for roughly 8% of the collateral
balance, and securities rated Caa1 or lower make up approximately
7% of the underlying portfolio.
Bristol Bay Funding Ltd., issued on March 4, 2004, is a synthetic
collateralized loan obligation referencing primarily 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.
C-BASS CDO: Fitch Downgrades Ratings on Two Classes to 'D'
----------------------------------------------------------
Fitch Ratings has downgraded two and affirmed two classes of notes
issued by C-BASS CDO XVI, Ltd./Corp.:
-- $297,672,269 class A notes downgraded to 'D' from 'CCC';
-- $22,500,000 class B notes downgraded to 'D' from 'CC';
-- $26,500,000 class C notes affirmed at 'C';
-- $9,125,000 class D notes affirmed at 'C'.
C-BASS XVI declared an event of default on June 11, 2009 as
interest and principal proceeds were insufficient to make full
interest payments to the class A and B notes on the June 8, 2009
distribution date. The class A notes received a partial interest
payment and the class B notes received no interest payment this
past period resulting in both classes accruing defaulted interest.
These notes have been downgraded to 'D' to reflect the lack of
timely interest payments per the transactions governing documents.
The classes C and D notes continue to defer interest payments
resulting from the failure of the class A/B overcollateralization
test. These notes have been affirmed at 'C' as they were
initially structured to allow for the deferral of interest
payments; however, Fitch does not anticipate future interest or
principal payments to these tranches.
The aggregate outstanding amount of the class A notes is
$297,672,269 and there is $217,865,253 in par value of collateral.
Approximately 68% of the remaining collateral has a Fitch derived
rating below investment grade, including 58% rated 'D'. In
addition to this undercollateralization, there is an interest rate
swap that is currently out of the money providing additional
pressure on interest available to service the collateralized debt
obligation notes. On the most recent payment date, the amount of
interest proceeds was only sufficient to pay a partial portion of
the hedge counterparty payment with the remainder paid from
principal proceeds through the principal waterfall. The remaining
principal proceeds were used to pay a portion of the class A
interest due, with the remainder of the class A interest and the
full amount of class B interest due accruing as defaulted
interest.
Fitch expects that interest proceeds on future distribution dates
will continue to be insufficient to pay the hedge counterparty and
that principal proceeds will continue to be used to complete the
payment due. Any interest payable to the class A notes is also
expected to be made from the principal proceeds as well, causing
further deterioration in par coverage of the portfolio to the
rated notes. In addition, Fitch expects the class B notes to
receive very little, if any, future interest distributions.
The majority of the class A notes as the controlling class may
vote to accelerate the maturity of the notes and declare them
immediately due and payable. Because the transaction is severely
undercollateralized and the hedge counterparty is receiving the
bulk of the interest proceeds, the class A notes is effectively
receiving all proceeds available to noteholders. The holders of
at least 66.7% of each class of notes, voting separately, may
direct the sale and liquidation of the collateral.
C-BASS XVI is a static collateralized debt obligation that closed
June 1, 2006. The static portfolio is monitored by C-BASS
Investment Management LLC. The portfolio is composed of 2003 to
2006 vintage subprime residential mortgage backed securities
(59.8%), 2005 vintage prime RMBS (27.6%), commercial mortgage
backed securities(8.9%), structured finance CDOs (2.3%), and
consumer ABS (1.4%).
CALIFORNIA COUNTY: Fitch Affirms Ratings on Three 2006 Bonds
------------------------------------------------------------
Fitch Ratings affirms three classes of tobacco settlement asset-
backed bonds capital appreciation bonds from California County
Tobacco Securitization Agency (Fresno County Tobacco Asset
Securitization Authority) series 2006:
-- 2046A at 'BBB'; Outlook Negative;
-- 2046B at 'BBB-'; Outlook Stable;
-- 2055C at 'BB'; Outlook Stable.
The affirmations are based on the level of stress each class is
able to withstand as indicated by Fitch's new breakeven cash flow
model. The model indicates, for each class of bonds, the level of
the annual Master Settlement Agreement payment percent change the
trust would be able to sustain and still pay the bond in full by
the legal final date. The base case 'B' corresponds to a 1%
increase in the MSA payment received by the trust every year. The
'BBB' category corresponds to an annual MSA payment decline of
1.25%. The cash flow model accounts for the amount of the latest
reported MSA payment that the transaction has received, the
capital structure, the reserve account, and the bonds' legal final
dates.
The bond payments are also tied to the tobacco companies making
MSA payments. Tobacco settlement bonds can be rated up to 'BBB+'
based on Fitch's view of the whole tobacco industry and the
executory nature of the MSA. In the event of a bankruptcy of a
tobacco company, Fitch believes there is an incentive for the
company to continue to make payments under the MSA.
The 2046A is being affirmed at 'BBB'; however, the model output
suggests that this bond is under pressure with a higher breakeven
level compared to other 'BBB' bonds. Therefore, Fitch has
assigned a Negative Outlook to the bond because of the possibility
of it being downgraded depending on the amount of future MSA
payments received. The 2046B and 2055C are being affirmed with a
Stable Outlook based on the model output and other qualitative
factors.
California County Tobacco Securitization Agency (Fresno County
Tobacco Asset Securitization Authority) bonds are secured by the
pledged payments made under the MSA. The pledged payments consist
of California's share of perpetual annual payments and strategic
contribution payments by the original participating manufacturers
and subsequent participating manufacturers. The OPMs at the time
of the original agreement were Philip Morris USA, Inc.; R.J.
Reynolds Tobacco Company; Brown & Williamson Tobacco Corporation;
and Lorillard Tobacco Company. The amount of annual MSA payments
received by the trust are mainly affected by the tobacco
consumption level and inflation rate, as well as state specific
adjustments, as specified in the MSA.
CALIFORNIA COUNTY: Fitch Affirms Ratings on Four Series of Bonds
----------------------------------------------------------------
Fitch Ratings affirms four and downgrades one class of tobacco
settlement asset-backed bonds from California County Tobacco
Securitization Agency (Stanislaus County Tobacco Asset
Securitization Authority) series 2002 and 2006:
-- $24,490,000 current interest turbo term bonds due June 1,
2033 affirmed at 'BBB+'; Outlook Stable;
-- $34,725,000 current interest turbo term bonds due June 1,
2043 affirmed at 'BBB+'; Outlook Stable;
-- 2006A capital appreciation bonds affirmed at 'BBB'; Outlook
Negative;
-- 2006B capital appreciation bonds affirmed at 'BBB-'; Outlook
Negative;
-- 2006C capital appreciation bonds downgraded to 'BB'; Outlook
Negative.
The various actions are based on the level of stress each class is
able to withstand as indicated by Fitch's new breakeven cash flow
model. The model indicates, for each class of bonds, the level of
the annual Master Settlement Agreement payment percent change the
trust would be able to sustain and still pay the bond in full by
the legal final date. The base case 'B' corresponds to a 1%
increase in the MSA payment received by the trust every year. The
'BBB' category corresponds to an annual MSA payment decline of
1.25%. The cash flow model accounts for the amount of the latest
reported MSA payment that the transaction has received, the
capital structure, the reserve account, and the bonds' legal final
dates.
The bond payments are also tied to the tobacco companies making
MSA payments. Tobacco settlement bonds can be rated up to 'BBB+'
based on Fitch's view of the whole tobacco industry and the
executory nature of the MSA. In the event of a bankruptcy of a
tobacco company, Fitch believes there is an incentive for the
company to continue to make payments under the MSA.
Although the delinked ratings of the turbo bonds suggested by the
model are 'A-', the bonds are being affirmed at the cap rating of
'BBB+' with Outlook Stable. In the case of 2006A and 2006B bonds,
the ratings are affirmed at 'BBB' and 'BBB-', respectively. 2006C
is being downgraded from 'BB+' to 'BB'. In all three cases, the
model output suggests that the bonds are under pressure, with
breakeven levels indicative of lower ratings. Therefore, the
bonds are being assigned a Negative Outlook because of the
possibility of the bond being downgraded depending on the amount
of future MSA payments received.
California County Tobacco Securitization Agency (Stanislaus County
Tobacco Asset Securitization Authority) bonds are secured by the
pledged payments made under the MSA. The pledged payments consist
of California's share of perpetual annual payments and strategic
contribution payments by the original participating manufacturers
and subsequent participating manufacturers. The OPMs at the time
of the original agreement were Philip Morris USA, Inc.; R.J.
Reynolds Tobacco Company; Brown & Williamson Tobacco Corporation;
and Lorillard Tobacco Company. The amount of annual MSA payments
received by the trust are mainly affected by the tobacco
consumption level and inflation rate, as well as state specific
adjustments, as specified in the MSA
CALIFORNIA COUNTY: Fitch Holds Ratings on Eight Asset-Backed Bonds
------------------------------------------------------------------
Fitch Ratings affirms eight and upgrades one class from California
County Tobacco Securitization Agency (Alameda County Tobacco Asset
Securitization Authority) series 2002 and 2006:
Tobacco settlement asset-backed bonds current interest serial
bonds:
-- $3,070,000 due June 1, 2010 at 'BBB+', Outlook Stable;
-- $3,130,000 due June 1, 2011 at 'BBB+', Outlook Stable;
-- $2,905,000 due June 1, 2012 at 'BBB+', Outlook Stable.
Tobacco settlement asset-backed bonds current interest turbo term
bonds:
-- $24,290,000 due June 1, 2019 at 'BBB+', Outlook Stable;
-- $51,485,000 due June 1, 2029 at 'BBB+', Outlook Stable;
-- $45,170,000 due June 1, 2035 at 'BBB+', Outlook Stable;
-- $76,250,000 due June 1, 2042 at 'BBB+', Outlook Stable.
Tobacco settlement asset-backed bonds capital appreciation bonds:
-- 2006A at 'BBB-', Outlook Positive;
-- 2006B upgraded to 'BB+', Outlook Positive.
The various actions are based on the level of stress each class is
able to withstand as indicated by Fitch's new breakeven cash flow
model. The model indicates, for each class of bonds, the level of
the annual Master Settlement Agreement payment percent change the
trust would be able to sustain and still pay the bond in full by
the legal final date. The base case 'B' corresponds to a 1%
increase in the MSA payment received by the trust every year. The
'BBB' category corresponds to an annual MSA payment decline of
1.25%. The cash flow model accounts for the amount of the latest
reported MSA payment that the transaction has received the capital
structure, the reserve account, and the bonds' legal final dates.
The bond payments are also tied to the tobacco companies making
MSA payments. Tobacco settlement bonds can be rated up to 'BBB+'
based on Fitch's view of the whole tobacco industry and the
executory nature of the MSA. In the event of a bankruptcy of a
tobacco company, Fitch believes there is an incentive for the
company to continue to make payments under the MSA.
Although the delinked ratings of the serial and turbo bonds
suggested by the model are 'A-' or higher, the bonds are being
affirmed at the cap rating of 'BBB+' with Outlook Stable. The
2006A CAB is being affirmed at 'BBB-' and the 2006B CAB is being
upgraded to 'BB+'. Both bonds are being placed on Outlook
Positive because a relatively stable MSA cash flow in the future
is likely to lead to an upgrade of the ratings.
California County Tobacco Securitization Agency (Alameda County
Tobacco Asset Securitization Authority) bonds are secured by the
pledged payments made under the MSA. The pledged payments consist
of California's share of perpetual annual payments and strategic
contribution payments by the original participating manufacturers
and subsequent participating manufacturers. The OPMs at the time
of the original agreement were Philip Morris USA, Inc.; R.J.
Reynolds Tobacco Company; Brown & Williamson Tobacco Corporation;
and Lorillard Tobacco Company. The amount of annual MSA payments
received by the trust are mainly affected by the tobacco
consumption level and inflation rate, as well as state specific
adjustments, as specified in the MSA.
CAPMARK FINANCE: Fitch Keeps Servicer Ratings on Negative Watch
---------------------------------------------------------------
In conjunction with the recent update of its U.S. CMBS servicer
rating criteria, Fitch Ratings has affirmed 33 CMBS servicer
ratings across 16 companies.
Fitch Ratings has updated its U.S. CMBS servicer rating criteria
to reflect current commercial real estate market conditions and
their effect on mortgage servicing. These changes have resulted
in moderate rating movement for certain servicers, as detailed in
several press releases also published as well as ratings
affirmations.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
The companies that had their CMBS servicer ratings affirmed are:
Babson Capital Management, LLC;
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Bank of America, N.A.;
-- Primary servicer at 'CPS1-';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2-'.
DB Mortgage Services, LLC;
-- Primary servicer at 'CPS2-';
-- Special servicer at 'CSS3'.
GE Capital Realty Group;
-- Special servicer at 'CSS2+'.
GEMSA Loan Services, L.P.;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1-'.
Helios AMC, LLC;
-- Special servicer at 'CSS3'.
ING Clarion Capital Loan Services, LLC;
-- Special servicer at 'CSS2+'.
KeyBank Real Estate Capital;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS2+'.
Midland Loan Services;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS1'.
National Cooperative Bank;
-- Special servicer at 'CSS3'.
ORIX Capital Markets, LLC;
-- Special servicer at 'CSS3+'.
Pacific Life Insurance Company;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2'.
Protective Life Insurance Company;
-- Primary servicer at 'CPS3+';
-- Master servicer at 'CMS3';
-- Special servicer at 'CSS3+';
Prudential Asset Resources;
-- Primary servicer at 'CPS2+';
-- Master servicer at 'CMS2';
-- Special servicer at 'CSS2- '.
Situs Asset Management;
-- Primary servicer at 'CPS3';
-- Special servicer at 'CSS3'.
TriMont Real Estate Advisors, Inc.
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Additionally, these ratings remain on Rating Watch Negative by
Fitch:
Capmark Finance
-- Primary servicer 'CPS2-';
-- Master servicer 'CMS3-';
-- Special servicer 'CSS2-'.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
CENTERLINE SERVICING: Fitch Cuts Special Servicer Rating to CSS1-
-----------------------------------------------------------------
Fitch Ratings has downgraded Centerline Servicing, Inc.'s special
servicer ratings:
-- Special servicer to 'CSS1-' from 'CSS1'.
The special servicer rating also remains on Rating Watch Negative
along with Centerline's 'CPS2-' primary servicer rating.
Fitch's rating actions are based on the recent update of Fitch's
servicer rating criteria.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
Centerline's special servicer rating downgrade is due to increased
emphasis on financial condition. Centerline's scoring in this
area was negatively impacted during the criteria update.
The ratings of the CMBS transactions serviced by Centerline are
not expected to be negatively impacted by the servicer downgrade.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
CHILDREN'S TRUST: Fitch Affirms Ratings on 11 Asset-Backed Bonds
----------------------------------------------------------------
Fitch Ratings affirms 11 and downgrades two classes from
Children's Trust Fund Tobacco Settlement (Puerto Rico) asset-
backed bonds series 2002, 2005 and 2008:
Tobacco Settlement asset-backed bonds current interest serial
bonds
-- $11,315,000 due May 15, 2010 affirmed at 'BBB+'; Outlook
Stable;
-- $4,000,000 due May 15, 2011 affirmed at 'BBB+'; Outlook
Stable;
-- $8,135,000 due May 15, 2011 affirmed at 'BBB+'; Outlook
Stable;
-- $13,805,000 due May 15, 2012 affirmed at 'BBB+'; Outlook
Stable;
-- $15,505,000 due May 15, 2013 affirmed at 'BBB+'; Outlook
Stable;
-- $17,265,000 due May 15, 2014 affirmed at 'BBB+'; Outlook
Stable.
Tobacco Settlement asset-backed bonds current interest turbo term
bonds
-- $471,105,000 due May 15, 2033 affirmed at 'BBB+'; Outlook
Stable;
-- $310,380,000 due May 15, 2039 affirmed at 'BBB+'; Outlook
Stable;
-- $296,255,000 due May 15, 2043 affirmed at 'BBB+'; Outlook
Stable.
Tobacco Settlement asset-backed bonds capital appreciation bonds
-- 2005A affirmed at 'BBB'; Outlook Stable;
-- 2005B affirmed at 'BBB-'; Outlook Positive;
-- 2008A downgraded to 'BB' from 'BBB-'; Outlook Stable;
-- 2008B downgraded to 'B+' from 'BB';, Outlook Stable.
The various actions are based on the level of stress each class is
able to withstand as indicated by Fitch's new breakeven cash flow
model. The model indicates, for each class of bonds, the level of
the annual Master Settlement Agreement payment percent change the
trust would be able to sustain and still pay the bond in full by
the legal final date. The base case 'B' corresponds to a 1%
increase in the MSA payment received by the trust every year. The
'BBB' category corresponds to an annual MSA payment decline of
1.25%. The cash flow model accounts for the amount of the latest
reported MSA payment that the transaction has received, the
capital structure, the reserve account, and the bonds' legal final
dates.
The bond payments are also tied to the tobacco companies making
MSA payments. Tobacco settlement bonds can be rated up to 'BBB+'
based on Fitch's view of the whole tobacco industry and the
executory nature of the MSA. In the event of a bankruptcy of a
tobacco company, Fitch believes there is an incentive for the
company to continue to make payments under the MSA.
Although the delinked rating of the serial bonds and 2033 turbo
bond suggested by the model are 'A-' or higher, the bonds are
being affirmed at the cap rating of 'BBB+' with a Stable Outlook.
The 2039 and 2043 turbo bonds are being affirmed at a level
consistent with the model output at 'BBB+' with a Stable Outlook.
The 2005A capital appreciation bond is being affirmed at a level
consistent with the model output at 'BBB' with a Stable Outlook.
The 2005B CAB is being affirmed at 'BBB' and assigned a Positive
Outlook because a relatively stable MSA cash flow in the future is
likely to lead to an upgrade of the ratings. The 2008A CAB is
being downgraded to 'BB' from 'BBB-' and the 2008B CAB is being
downgraded to 'B+' from 'BB'. Both bonds are being assigned a
Stable Outlook based on the model output and other qualitative
factors.
Children's Trust Fund Tobacco Settlement asset-backed bonds are
secured by the pledged payments made under the MSA. The pledged
payments consist of Puerto Rico's share of perpetual annual
payments and strategic contribution payments by the original
participating manufacturers and subsequent participating
manufacturers. The OPMs at the time of the original agreement
were Philip Morris USA, Inc.; R.J. Reynolds Tobacco Company; Brown
& Williamson Tobacco Corporation; and Lorillard Tobacco Company.
The amount of annual MSA payments received by the trust are mainly
affected by the tobacco consumption level and inflation rate, as
well as state specific adjustments, as specified in the MSA.
CLOVERIE PLC: S&P Withdraws 'CCC' Rating on 2006-10 Notes
---------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'CCC' rating on
the notes issued by Cloverie PLC's series 2006-10, a synthetic
corporate investment-grade collateralized debt obligation
transaction.
The rating withdrawal follows the repurchase of the notes pursuant
to the repurchase agreement dated May 21, 2009.
Rating Withdrawn
Cloverie Plc
Series 2006-10
Rating Balance (mil. $)
------ ----------------
Class To From Current Previous
----- -- ---- ------- --------
Notes NR CCC 0.00 80.00
NR - Not rated.
COUNTRYWIDE HOME: Moody's Downgrades Ratings on 35 Tranches
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 35
tranches from 2 Alt-A RMBS transactions issued by Countrywide Home
Loans.
The collateral backing these transactions consists primarily of
first-lien, adjustable-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. General loss estimation methodology is outlined
below.
Moody's followed a similar approach for deals from the 2005
vintage with appropriate changes to certain key input parameters
such as severity and the rate of delinquency build up, which would
be generally lower relative to the 2006 and 2007 vintages. These
differences are aimed at better capturing the specific
characteristics of loans from the 2005 vintage that were
originated in an environment of relatively tighter underwriting
standards and also benefited from some initial home price
appreciation.
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: CHL Mortgage Pass-Through Trust 2005-HYB5
-- Cl. 1-A-1, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ca; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-IO, Downgraded to B3; 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 Ca; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-IO, Downgraded to B3; 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. 4-A-1, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Ca; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 4-A-IO, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M, Downgraded to C; previously on 3/19/2009 Aa2 Placed
Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C; previously on 3/19/2009 A2 Placed
Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C; previously on 3/19/2009 Baa2 Placed
Under Review for Possible Downgrade
Issuer: CHL Mortgage Pass-Through Trust 2006-HYB3
-- Cl. 1-A-1A, Downgraded to Caa3 ; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-1B, Downgraded to Caa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ca; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-IO, Downgraded to Caa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1A, Downgraded to Caa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-B-1, Downgraded to B2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-B-2, Downgraded to Caa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-B-3, Downgraded to Caa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Ca; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-IO, Downgraded to B2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1A, Downgraded to Caa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1B, Downgraded to Caa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Ca; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-IO, Downgraded to Caa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1A, Downgraded to Caa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1B, Downgraded to Caa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1C, Downgraded to Ca; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Ca; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-IO, Downgraded to Caa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M, Downgraded to C; previously on 3/19/2009 Baa2 Placed
Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C; previously on 4/29/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C; previously on 4/29/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
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.
CREDIT SUISSE: Fitch Downgrades Ratings on 10 2004-C3 Certs.
------------------------------------------------------------
Fitch Ratings downgrades and revises Rating Outlooks for ten
classes of Credit Suisse First Boston Mortgage Securities Corp.
commercial mortgage pass-through certificates, series 2004-C3:
-- $14.3 million class C to 'A' from 'AA'; Outlook Negative;
-- $28.7 million class D to 'BBB' from 'A+'; Outlook Negative;
-- $16.4 million class E to 'BBB-' from 'A-'; Outlook Negative;
-- $20.5 million class F to 'B' from 'BBB+'; Outlook Negative;
-- $16.4 million class G to 'CCC/RR1' from 'BBB-';
-- $22.5 million class H to 'CCC/RR2' from 'BB-';
-- $8.2 million class J to 'CC/RR4' from 'B';
-- $6.1 million class K to 'CC/RR5' from 'B-';
-- $8.2 million class L to 'C/RR6' from 'CCC/DR2';
-- $6.1 million class M to 'C/RR6' from 'CC/DR4';
-- $2.1 million class O to 'C/RR6' from 'C/DR6'.
In addition, Fitch has affirmed and assigned Outlooks to these
classes:
-- $136.9 million class A-3 at 'AAA'; Outlook Stable;
-- $102.9 million class A-4 at 'AAA'; Outlook Stable;
-- $694.5 million class A-5 at 'AAA'; Outlook Stable;
-- $304.3 million class A-1-A at 'AAA'; Outlook Stable;
-- Interest Only class A-X at 'AAA'; Outlook Stable;
-- Interest Only class A-SP at 'AAA'; Outlook Stable;
-- $45.1 million class B at 'AA+'; Outlook Negative.
The $6.1 million class N and the $19.3 million class P are not
rated by Fitch. Classes A-1 and A-2 have paid in full.
The rating downgrades are due to projected losses on 12 (8.8%) of
the 15 loans that are specially serviced (12.5%). Nine additional
loans became specially serviced since Fitch's last rating action.
The Rating Outlooks reflect the likely direction of any rating
changes over the next one or two years. Thirty-nine loans (22.7%)
are considered Fitch Loans of Concern, including the specially
serviced loans.
The largest specially serviced loan (3.2%) is a regional mall
located in Grand Rapids, Michigan. The mall suffered the loss of
its largest tenant, Klingman's Furniture, as well as both Linens N
Things and Steve & Barry's. As of year-end 2008 occupancy was
67%. The borrower was granted a modification of the loan in order
to reposition the asset and attempt to lease vacant space. The
modification includes two years of interest only payments and the
monthly tenant improvement/leasing cost impound requirement will
be suspended. The loan will be returned to the master servicer
after three timely debt service payments.
The second largest specially serviced loan (1.6% of the pool) is
collateralized by a multifamily property located in Duluth,
Georgia. The borrower has verbally informed the master servicer
that they will not be remitting payments. As of April 2008, the
property was 47% occupied with a servicer reported first quarter
2009 debt service coverage ratio of 0.20 times. Losses are
expected.
The third largest specially serviced loan (0.8% of the pool), is a
retail property located in Hilton Head Island, South Carolina.
The loan was transferred to the special servicer due to borrower's
written request for debt service relief. The loan had remained
current due to active cash management, although it is currently
short for the April 11, 2009 payment. Losses are expected.
There are two shadow rated loans within the transaction: The
largest, One Park Avenue (11%), has defeased. The Mizner Park
loan (3.5%) no longer maintains an investment grade shadow rating
and is considered a Fitch Loan Of Concern. The loan is scheduled
to mature on July 1, 2009, and the borrower has requested an
extension because they have been unable to obtain reasonable
financing. The loan is likely to be transferred to the special
servicer.
The Mizner Park loan is secured by six mixed-use buildings (50%
office, 50% retail) in Boca Raton, Florida. The loan contains A
and B notes, with the A note included in the trust. As of year-
end 2008, the servicer reported DSCR based on the actual interest
rate of 4.84%, was 2.67x compared to 2.09x at issuance. March
2009 occupancy was 81.8%, down from issuance occupancy of 89%.
As of the June 2009 distribution date, the pool's aggregate
certificate balance has decreased 14.8% to $1.396 billion from
$1.639 billion at issuance. In addition, twenty-five loans
(23.8%) have defeased.
The transaction has near-term maturity risk of 8.7% maturing in
2009, 0% in 2010 and 2% in 2011; the weighted average most recent
servicer reported DSCR for these loans is 1.81x. Of the non-
defeased loans outstanding, 63.8% of the pool matures in 2014.
CREDIT SUISSE: Moody's Reviews Ratings on 19 2007-C1 Certificates
-----------------------------------------------------------------
Moody's Investors Service placed 19 classes of Credit Suisse
Commercial Mortgage Trust Commercial Mortgage Pass-Through
Certificates, Series 2007-C1 on review for possible downgrade due
to higher expected losses for the pool resulting from anticipated
losses from loans in special servicing. Since Moody's prior
review in February 2009, the pool's second and third largest
loans, representing 10% of the pool, were 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 June 17, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 1% to
$3.35 billion from $3.37 billion at securitization. The
Certificates are collateralized by 257 mortgage loans ranging in
size from less than 1% to 6% of the pool, with the top 10 loans
representing 37% of the pool.
Seventy-two loans, representing 35% 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.
Eighteen loans, representing 15% of the pool, are currently in
special servicing. The largest loan in special servicing is the
CVI Multifamily Apartment Portfolio Loan ($177.6 million -- 5.3%),
which is secured by 20 multifamily complexes totaling 2,990 units.
The loan was transferred to special servicing on April 17, 2009
due to imminent default. The loan is interest-only for the full
term and matures in November 2011. The second largest loan is the
Mansions Portfolio Loan ($160.0 million -- 4.8%), which is secured
by four multifamily properties located in Austin and Round Rock,
Texas. The loan was transferred to special servicing on March 6,
2009 for imminent default. The loan is interest-only and matures
in January 2017.
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-M, $212,148,000, currently rated Aaa, on review for
possible downgrade; previously affirmed at Aaa on 2/6/2009
-- Class A-MFL, $125,000,000, currently rated Aaa, on review for
possible downgrade; previously affirmed at Aaa on 2/6/2009
-- Class A-J, $286,576,000, currently rated A2, on review for
possible downgrade; previously downgraded to A2 from Aaa on
2/6/2009
-- Class B, $25,286,000, currently rated A3, on review for
possible downgrade; previously downgraded to A3 from Aa1 on
2/6/2009
-- Class C, $37,929,000, currently rated Baa1, on review for
possible downgrade; previously downgraded to Baa1 from Aa2 on
2/6/2009
-- Class D, $33,715,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from Aa3 on
2/6/2009
-- Class E, $21,071,000, currently rated Baa3, on review for
possible downgrade; previously downgraded to Baa3 from A1 on
2/6/2009
-- Class F, $29,501,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from A2 on
2/6/2009
-- Class G, $33,715,000, currently rated Ba3, on review for
possible downgrade; previously downgraded to Ba3 from A3 on
2/6/2009
-- Class H, $37,929,000, currently rated B2, on review for
possible downgrade; previously downgraded to B2 from Baa1 on
2/6/2009
-- Class J, $33,714,000, currently rated B3, on review for
possible downgrade; previously downgraded to B3 from Baa2 on
2/6/2009
-- Class K, $37,930,000, currently rated Caa1, on review for
possible downgrade; previously downgraded to Caa1 from Baa3
on 2/6/2009
-- Class L, $8,428,000, currently rated Caa2, on review for
possible downgrade; previously downgraded to Caa2 from Ba1 on
2/6/2009
-- Class M, $12,643,000, currently rated Caa2, on review for
possible downgrade; previously downgraded to Caa2 from Ba2 on
2/6/2009
-- Class N, $8,429,000, currently rated Caa2, on review for
possible downgrade; previously downgraded to Caa2 from Ba3 on
2/6/2009
-- Class O, $8,429,000, currently rated Caa3, on review for
possible downgrade; previously downgraded to Caa3 from B1 on
2/6/2009
-- Class P, $8,428,000, currently rated Caa3, on review for
possible downgrade; previously downgraded to Caa3 from B2 on
2/6/2009
-- Class Q, $8,429,000, currently rated Caa3, on review for
possible downgrade; previously downgraded to Caa3 from B3 on
2/6/2009
-- Class S, $12,643,000, currently rated Ca, on review for
possible downgrade; previously downgraded to Ca from Caa2 on
2/6/2009
CREDIT SUISSE: S&P Downgrades Ratings on Class P Certs. to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
P commercial mortgage pass-through certificates from Credit Suisse
First Boston Mortgage Securities Corp.'s series 2002-CP5 to 'D'
from 'CCC-'.
The downgrade to 'D' reflects recurring interest shortfalls
resulting from appraisal subordinate entitlement reductions in
effect for three of the seven loans with the special servicer
(Capmark Finance Inc.). The appraisal reduction amounts in effect
for these three loans total $2.1 million. The ASERs for the three
specially serviced loans totaled $28,131 as of the June 17, 2009,
remittance date, and S&P expects them to recur for the foreseeable
future.
Details concerning three of the seven loans with the special
servicer, which are causing the ASERs, are:
-- The Rampart Gardens Apartments loan has a total exposure of
$3.2 million and was transferred to the special servicer in
February 2009 due to payment default. The loan is secured by
a 178-unit multifamily property built in 2001 in Houston,
Texas. The property is currently 54% occupied and in fair
condition. The special servicer is in the process of
foreclosing on this property. A $798,635 ARA is in effect,
and Standard & Poor's expects a moderate loss upon the
liquidation of this loan.
-- The Holiday Inn-Paris loan has a total exposure of
$3.1 million and was transferred to the special servicer in
March 2009 due to payment default. The loan is 90-plus-days
delinquent and is secured by a 117-room full-service hotel
built in 1981 in Paris, Texas. Occupancy at the property has
declined due to a newly built competitive hotel in the area
and freeway construction that temporarily impaired access to
the property. The borrower has requested relief, and the
request is currently under review by the special servicer. A
$743,319 ARA is in effect on this loan. Standard & Poor's
expects a moderate loss upon the resolution of this loan.
-- The Aspen Meadows MHP loan has a total exposure of $943,875
and was transferred to the special servicer in December 2008
due to imminent default. The loan is 90-plus-days delinquent
and is secured by a 57-pad mobile home park built in 1973 in
Evans, Colorado. The property is in poor condition, with
deferred maintenance items. The special servicer has agreed
to a discounted payoff, and the note is in the process of
being sold to the purchaser. A $579,596 ARA is in effect on
this loan. Standard & Poor's expects a moderate loss upon
the liquidation of this loan.
Rating Lowered
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-CP5
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
P D CCC- 0.019
CSFB MORTGAGE-BACKED: Moody's Downgrades Ratings on 31 Tranches
---------------------------------------------------------------
Moody's Investors Service has downgraded 31 tranches from CSFB
Mortgage-Backed Pass-Through Certificates, Series 2005-9.
The collateral backing groups I & II of this transaction consists
primarily of first-lien, fixed-rate, Jumbo mortgage loans, and
collateral backing groups III, IV, and V consists primarily of
first-lien, fixed-rate, Alt-A 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 rising
unemployment levels. The rating actions listed below on the
securities backed by groups I and II reflect Moody's updated
expected losses on the jumbo sector announced in a press release
on March 19th, 2009. The rating actions listed below on the
securities backed by groups III, IV, and V reflect Moody's updated
expected losses on the Alt-A sector announced in a press release
on January 22, 2009. The actions are a part of Moody's on-going
review process of these sectors.
Moody's final rating actions are based on the level of credit
enhancement available relative to the updated pool-level loss
expectations and on the current ratings Moody's took into account
credit enhancement provided by seniority, cross-collateralization,
time tranching and other structural features within the priorities
of payments.
Loss estimates are subject to variability and are sensitive to
assumptions used; as a result, actual 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: CSFB Mortgage-Backed Pass-Through Certificates, Series
2005-9
-- Cl. I-A-1, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. I-A-3, Downgraded to Baa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. I-A-4, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. I-A-5, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. I-A-6, Downgraded to Ba2; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Downgraded to Baa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Downgraded to Ba2; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. III-A-1, Downgraded to Caa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. III-A-2, Downgraded to Caa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. III-A-3, Downgraded to Ca; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. IV-A-1, Downgraded to B1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IV-A-2, Downgraded to Ba2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IV-A-3, Downgraded to Ca; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. IV-A-4, Downgraded to Ba2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IV-X, Downgraded to Ba2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. V-A-1, Downgraded to Caa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. V-A-2, Downgraded to Caa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. V-A-3, Downgraded to Caa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. V-A-4, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. V-A-6, Downgraded to Caa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. V-A-7, Downgraded to B1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. V-A-8, Downgraded to Ca; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. V-A-9, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. V-A-10, Downgraded to Ca; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. V-A-12, Downgraded to Caa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Baa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to B3; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. D-X, Downgraded to B1; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. D-B-1, Downgraded to C; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. D-B-3, Downgraded to C; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
The ratings on the notes were assigned after evaluating factors
determined applicable to the credit profile of the notes, such as:
i) the nature, sufficiency, and quality of historical
performance information available for the asset class as well
as for the transaction sponsor, ii) collateral analysis,
iii) an analysis of the policies, procedures and alignment of
interests of the key parties to the transaction, most notably
the originator and the servicer,
iv) an analysis of the transaction's allocation of collateral
cashflow and capital structure,
v) an analysis of the transaction's governance and legal
structure, and
vi) a comparison of these attributes against those of other
similar transactions.
CT INVESTMENT: Fitch Cuts Special Servicer Ratings to 'CSS3+'
-------------------------------------------------------------
Fitch Ratings has downgraded CT Investment Management Co., LLC's
special servicer ratings:
-- Special servicer to 'CSS3+' from 'CSS2-'.
Fitch's rating action is based on the recent update of Fitch's
servicer rating criteria.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
CT's special servicer rating downgrade is due to increased
emphasis on financial condition. CT's scoring in this area was
negatively impacted during the criteria update.
The ratings of the CMBS transactions serviced by CT are not
expected to be negatively impacted by the servicer downgrade.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
CW CAPITAL: Upgrades Primary Servicer Rating to 'CPS2+'
-------------------------------------------------------
Fitch Ratings has upgraded CW Capital, LLC's primary and master
servicer ratings and CW Capital Asset Mgmt, LLC.'s special
servicer rating:
-- Primary servicer to 'CPS2+' from 'CPS2';
-- Master servicer to 'CMS3+' from 'CMS3';
-- Special servicer to 'CSS1-' from 'CSS2+'.
Fitch's rating actions are based on the recent update of Fitch's
servicer rating criteria.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
CW's servicer rating upgrades are due to increased emphasis on
financial condition. CW's scoring in this area was positively
impacted during the criteria update.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
DB MORTGAGE: Fitch Affirms Servicer Ratings
-------------------------------------------
In conjunction with the recent update of its U.S. CMBS servicer
rating criteria, Fitch Ratings has affirmed 33 CMBS servicer
ratings across 16 companies.
Fitch Ratings has updated its U.S. CMBS servicer rating criteria
to reflect current commercial real estate market conditions and
their effect on mortgage servicing. These changes have resulted
in moderate rating movement for certain servicers, as detailed in
several press releases also published as well as ratings
affirmations.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
The companies that had their CMBS servicer ratings affirmed are:
Babson Capital Management, LLC;
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Bank of America, N.A.;
-- Primary servicer at 'CPS1-';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2-'.
DB Mortgage Services, LLC;
-- Primary servicer at 'CPS2-';
-- Special servicer at 'CSS3'.
GE Capital Realty Group;
-- Special servicer at 'CSS2+'.
GEMSA Loan Services, L.P.;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1-'.
Helios AMC, LLC;
-- Special servicer at 'CSS3'.
ING Clarion Capital Loan Services, LLC;
-- Special servicer at 'CSS2+'.
KeyBank Real Estate Capital;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS2+'.
Midland Loan Services;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS1'.
National Cooperative Bank;
-- Special servicer at 'CSS3'.
ORIX Capital Markets, LLC;
-- Special servicer at 'CSS3+'.
Pacific Life Insurance Company;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2'.
Protective Life Insurance Company;
-- Primary servicer at 'CPS3+';
-- Master servicer at 'CMS3';
-- Special servicer at 'CSS3+';
Prudential Asset Resources;
-- Primary servicer at 'CPS2+';
-- Master servicer at 'CMS2';
-- Special servicer at 'CSS2- '.
Situs Asset Management;
-- Primary servicer at 'CPS3';
-- Special servicer at 'CSS3'.
TriMont Real Estate Advisors, Inc.
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Additionally, these ratings remain on Rating Watch Negative by
Fitch:
Capmark Finance
-- Primary servicer 'CPS2-';
-- Master servicer 'CMS3-';
-- Special servicer 'CSS2-'.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
DISTRICT OF COLUMBIA: Fitch Affirms Ratings on 10 Classes
---------------------------------------------------------
Fitch Ratings affirms 10 and downgrades one class from District of
Columbia Tobacco Settlement Financing Corporation series 2001 and
2006:
Tobacco settlement asset-backed bonds current interest serial
bonds:
-- $6,840,000 due May 15, 2010 affirmed at 'BBB+', Outlook
Stable;
-- $7,140,000 due May 15, 2011 affirmed at 'BBB+', Outlook
Stable;
-- $7,145,000 due May 15, 2012 affirmed at 'BBB+', Outlook
Stable;
-- $8,030,000 due May 15, 2013 affirmed at 'BBB+', Outlook
Stable;
-- $8,360,000 due May 15, 2014 affirmed at 'BBB+', Outlook
Stable;
Tobacco settlement asset-backed bonds current interest turbo term
bonds:
-- $114,855,000 due May 15, 2024 affirmed at 'BBB+', Outlook
Stable;
-- $169,110,000 due May 15, 2033 affirmed at 'BBB+', Outlook
Stable;
-- $187,540,000 due May 15, 2040 affirmed at 'BBB+', Outlook
Stable;
Tobacco settlement asset-backed bonds capital appreciation bonds
(CAB):
-- 2006A downgraded to 'BBB-', Outlook Negative;
-- 2006B affirmed at 'BBB-', Outlook Negative;
-- 2006C affirmed at 'BB', Outlook Negative.
The various actions are based on the level of stress each class is
able to withstand as indicated by Fitch's new breakeven cash flow
model. The model indicates, for each class of bonds, the level of
the annual Master Settlement Agreement payment percent change the
trust would be able to sustain and still pay the bond in full by
the legal final date. The base case 'B' corresponds to a 1%
increase in the MSA payment received by the trust every year. The
'BBB' category corresponds to an annual MSA payment decline of
1.25%. The cash flow model accounts for the amount of the latest
reported MSA payment that the transaction has received the capital
structure, the reserve account, and the bonds' legal final dates.
The bond payments are also tied to the tobacco companies making
MSA payments. Tobacco settlement bonds can be rated up to 'BBB+'
based on Fitch's view of the whole tobacco industry and the
executory nature of the MSA. In the event of a bankruptcy of a
tobacco company, Fitch believes there is an incentive for the
company to continue to make payments under the MSA.
Although the delinked rating of the serial bonds, 2024 turbo and
2033 turbo bond suggested by the model are 'A-' or higher, the
bonds are being affirmed at the cap rating of 'BBB+' with Outlook
Stable. The 2040 turbo bond is being affirmed at a level
consistent with the model output at 'BBB+' with Outlook Stable.
The 2006A CAB is being downgraded from 'BBB' to 'BBB-'. The 2006B
CAB is being affirmed at 'BBB-' and the 2006C CAB is being
affirmed at 'BB'. In the case of all three CABs, the model output
suggests that the bonds are under pressure, with breakeven levels
indicative of lower ratings. Therefore, the bonds are being
assigned a Negative Outlook because of the possibility of the
bonds being downgraded depending on the amount of future MSA
payments received.
District of Columbia Tobacco Settlement Financing Corporation
bonds are secured by the pledged payments made under the MSA. The
pledged payments consist of the District of Columbia's share of
perpetual annual payments and strategic contribution payments by
the original participating manufacturers and subsequent
participating manufacturers. The OPMs at the time of the original
agreement were Philip Morris USA, Inc.; R.J. Reynolds Tobacco
Company; Brown & Williamson Tobacco Corporation; and Lorillard
Tobacco Company. The amount of annual MSA payments received by
the trust are mainly affected by the tobacco consumption level and
inflation rate, as well as state specific adjustments, as
specified in the MSA.
DRYDEN V-LEVERAGED: Moody's Downgrades Ratings on 2003 Notes
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Dryden V-Leveraged Loan CDO 2003:
-- US$253,000,000 Class A Floating Rate Senior Notes due
December 22, 2015, Downgraded to Aa3; previously on
December 10, 2003 Assigned Aaa;
-- US$17,000,000 Class B-1 Floating Rate Senior Notes due
December 22, 2015, Downgraded to Baa2; previously on March 4,
2009 Aa2 Placed Under Review for Possible Downgrade;
-- US$10,000,000 Class B-2 Fixed Rate Senior Notes due
December 22, 2015, Downgraded to Baa2; previously on March 4,
2009 Aa2 Placed Under Review for Possible Downgrade;
-- US$9,000,000 Class C-1 Floating Rate Deferrable Notes due
December 22, 2015, Downgraded to Ba3; previously on March 20,
2009 Downgraded to Ba1 and Placed Under Review for Possible
Downgrade;
-- US$6,500,000 Class C-2 Fixed Rate Deferrable Notes due
December 22, 2015, Downgraded to Ba3; previously on March 20,
2009 Downgraded to Ba1 and Placed Under Review for Possible
Downgrade;
-- US$7,500,000 Class D-1 Floating Rate Deferrable Notes due
December 22, 2015, Downgraded to Caa3; previously on
March 20, 2009 Downgraded to B1 and Placed Under Review for
Possible Downgrade;
-- US$5,000,000 Class D-2 Floating Rate Deferrable Notes due
December 22, 2015, Downgraded to Caa3; previously on
March 20, 2009 Downgraded to B1 and Placed Under Review for
Possible Downgrade;
-- US$4,500,000 Class D-3 Fixed Rate Deferrable Notes due
December 22, 2015, Downgraded to Caa3; previously on
March 20, 2009 Downgraded to B1 and Placed Under Review for
Possible Downgrade;
-- US$8,500,000 Class E Floating Rate Deferrable Notes due
December 22, 2015, 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."
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 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 D and
Class E Principal Coverage Tests. The weighted average rating
factor has steadily increased over the last year and it is
currently 2832 versus a test level of 2280 as of the last trustee
report, dated May 11, 2009. Based on the same report, defaulted
securities total about $27.2 million, accounting for roughly 8.75%
of the collateral balance, and securities rated Caa1 or lower make
up approximately 10.24% of the underlying portfolio.
Additionally, interest payments on the Class E Notes are presently
being deferred as a result of the failure of the Class D Principal
Coverage Test.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Dryden V-Leveraged Loan CDO 2003, issued in December 10, 2003, 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.
DRYDEN-XI LEVERAGED: Moody's Downgrades Ratings on 2006 Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Dryden-XI Leveraged Loan CDO
2006:
-- US$325,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes due 2020 Downgraded to Aa2; previously on
May 10, 2006 Assigned Aaa;
-- US$25,000,000 Class A-2B First Priority Senior Secured
Floating Rate Notes due 2020 Downgraded to A1; previously on
March 4, 2009 Aa1, Placed Under Review for Possible
Downgrade;
-- US$25,300,000 Class A-3 Second Priority Senior Secured
Floating Rate Notes due 2020 Downgraded to A2; previously on
March 4, 2009 Aa2, Placed Under Review for Possible
Downgrade;
-- US$23,600,000 Class D Fifth Priority Mezzanine Secured
Deferrable Floating Rate Notes due 2020 Downgraded to Ca;
previously on March 17, 2009 Downgraded to Caa3 and Placed
Under Review for Possible Downgrade;
-- US$10,000,000 Class Q-1 Securities due 2020 Downgraded to Ca;
previously on March 4, 2009 Ba2, Placed Under Review for
Possible Downgrade;
-- US$20,000,000 Class Q-2 Securities due 2020 Downgraded to
Ba3; previously on March 4, 2009 Baa2, Placed Under Review
for Possible Downgrade.
Additionally, Moody's has confirmed the ratings on these notes:
-- US$47,200,000 Class B Third Priority Mezzanine Secured
Deferrable Floating Rate Notes due 2020, Confirmed at Ba1;
previously on March 17, 2009, Downgraded to Ba1 and Placed
Under Review for Possible Downgrade;
-- US$24,800,000 Class C-1 Fourth Priority Mezzanine Secured
Deferrable Floating Rate Notes due 2020 Confirmed at B1;
previously on March 17, 2009 Downgraded to B1 and Placed
Under Review for Possible Downgrade;
-- US$12,700,000 Class C-2 Fourth Priority Mezzanine Secured
Deferrable Fixed Rate Notes due 2020 Confirmed at B1;
previously on March 17, 2009 Downgraded to B1 and Placed
Under Review for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds and second lien loans will be below
their historical averages, consistent with Moody's research.
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 C and Class D Principal Coverage Tests. The weighted
average rating factor has steadily increased over the last year
and it is currently at 2680 versus a test level of 2490 as of the
last trustee report, dated May 7, 2009. Based on the same report,
defaulted securities total about $54.7 million, accounting for
roughly 7% of the collateral balance, and securities rated Caa1 or
lower make up approximately 11.38% 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 Principal
Coverage Test. Moody's also noted that the transaction is
negatively impacted by a large pay-fixed, receive-floating
interest rate swap where payments to the hedge counterparty absorb
a large portion of the excess spread in the deal.
Finally, Moody's 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.
Dryden-XI Leveraged Loan CDO 2006, issued in May 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.
FIELDSTONE MORTGAGE: Moody's Downgrades Rating on 10 Securities
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating of 10
securities from 3 transactions issued by Fieldstone Mortgage
Investment Trust. These actions are part of an ongoing review of
subprime RMBS transactions.
The rating actions are the result of an analysis of credit
enhancement relative to updated collateral loss projections. The
revised loss projections generally result from deterioration in
collateral performance in recent months. Additionally, most
affected transactions have, at some point, passed performance
triggers and released portions of credit enhancement.
Moody's approach to analyzing seasoned subprime pools (i.e. prior
to 2H 2005) takes into account the annualized loss rate from last
12 months and the projected loss rate over next 12 months, and
then translates these measures into lifetime losses based on a
deal's expected remaining life. Recent Losses are calculated by
assessing cumulative losses incurred over the past 12-months as a
percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%,
65% and 90% for loans that are delinquent 60-days, 90+ days, are
in foreclosure, and REO respectively. Moody's then applies deal-
specific severity assumptions, in this case averaging 75%. The
results of these two calculations -- Recent Losses and Pipeline
Losses -- are weighted to arrive at the lifetime cumulative loss
projection.
Complete rating actions are:
Issuer: Fieldstone Mortgage Investment Trust 2004-3
-- Cl. M5, Downgraded to Ba1; previously on 4/16/2008 Downgraded
to Baa3
-- Cl. M6, Downgraded to B2; previously on 4/16/2008 Downgraded
to Ba2
-- Cl. M7, Downgraded to Ca; previously on 4/16/2008 Downgraded
to B1
-- Cl. M8, Downgraded to C; previously on 4/16/2008 Downgraded
to Caa2
Issuer: Fieldstone Mortgage Investment Trust 2004-4
-- Cl. M5, Downgraded to Ca; previously on 4/16/2008 Downgraded
to Caa2
-- Cl. M6, Downgraded to C; previously on 2/13/2008 Downgraded
to Caa1
Issuer: Fieldstone Mortgage Investment Trust 2004-5
-- Cl. M3, Downgraded to Ba2; previously on 4/16/2008 Downgraded
to Baa3
-- Cl. M4, Downgraded to B2; previously on 4/16/2008 Downgraded
to Ba3
-- Cl. M5, Downgraded to Ca; previously on 4/16/2008 Downgraded
to B1
-- Cl. M6, Downgraded to C; previously on 2/13/2008 Downgraded
toB3
FINANCE AMERICA: Moody's Downgrades Ratings on 16 Securities
------------------------------------------------------------
Moody's Investors Service has downgraded the rating of 16
securities from 2 transactions issued by Finance America. 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 75% 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:
Complete rating actions are:
Issuer: Finance America Mortgage Loan Trust 2004-2
-- Cl. M-2, Downgraded to Aa3; previously on 8/13/2004 Assigned
Aa2
-- Cl. M-3, Downgraded to A3; previously on 8/13/2004 Assigned
Aa3
-- Cl. M-4, Downgraded to Baa2; previously on 8/13/2004 Assigned
A1
-- Cl. M-5, Downgraded to Ba1; previously on 2/1/2008 Downgraded
to Baa1
-- Cl. M-6, Downgraded to B1; previously on 2/1/2008 Downgraded
to Baa3
-- Cl. M-7, Downgraded to Ca; previously on 2/1/2008 Downgraded
to Ba3
-- Cl. M-8, Downgraded to C; previously on 2/1/2008 Downgraded
to B3
Issuer: Finance America Mortgage Loan Trust 2004-3
-- Cl. M-2, Downgraded to A2; previously on 1/3/2005 Assigned
Aa1
-- Cl. M-3, Downgraded to Baa3; previously on 1/3/2005 Assigned
Aa2
-- Cl. M-4, Downgraded to Ba1; previously on 1/3/2005 Assigned
Aa3
-- Cl. M-5, Downgraded to B3; previously on 1/3/2005 Assigned A2
-- Cl. M-6, Downgraded to Ca; previously on 2/1/2008 Downgraded
to Baa2
-- Cl. M-7, Downgraded to C; previously on 2/1/2008 Downgraded
to Baa3
-- Cl. M-8, Downgraded to C; previously on 2/1/2008 Downgraded
to Ba2
-- Cl. M-9, Downgraded to C; previously on 2/1/2008 Downgraded
to B3
-- Cl. B-1, Downgraded to C; previously on 2/1/2008 Downgraded
to Ca
FINANSURE STUDENT: Fitch Affirms Ratings on 11 2007-1 Notes
-----------------------------------------------------------
Fitch Ratings has affirmed 11 classes of series 2007-1 student
loan asset-backed notes issued by FinanSure Student Loan Master
Trust I.
The trust finances Federal Family Education Loan Program student
loans with 98.86% taxable auction-rate notes and 1.14% LIBOR
floating-rate notes. The affirmations follow a review of the
trust collateral performance. Fitch downgraded the class C note
and placed the class B notes on Rating Watch Negative in December
2008, primarily as a result of an increasing cumulative default
rate approaching structural triggers that may have resulted in the
suspension of class C note interest payments.
The trust did not hit this structural trigger, since the
cumulative defaults did not exceed 9.5% as of Feb. 1, 2009. Trust
parity has increased for the senior class and remained relatively
stable for the subordinate and junior classes despite continuing
auction failures.
The taxable auction-rate securities are currently paying interest
at the maximum rate. The maximum rate for the taxable auction-
rate securities is defined as the lesser of one-month LIBOR plus
1.5% to 2.5% depending on the note's rating, a commercial paper
rate cap (the quarterly average auction rate is not to exceed the
quarterly average CP rate plus 0.75% provided the notes are rated
above 'A-'), and 17%. The maximum rate for the taxable auction-
rate securities is not permitted to be higher than the net loan
rate, which effectively caps the auction rate to the weighted
average student loan rate less fees. These definitions limit the
amount of interest the trust can pay on the auction-rate notes.
Credit enhancement consists of excess spread and a reserve
account. The senior class A notes also benefit from subordination
provided by the lower rated classes B and C notes.
The collateral supporting the notes consists of federally
guaranteed loans originated under the FFELP. FFELP loans are
guaranteed by an eligible guarantor to at least 97% of principal
and accrued interest.
Fitch affirms these:
-- Class A-1 at 'AAA';
-- Class A-2 at 'AAA';
-- Class A-3 at 'AAA';
-- Class A-4 at 'AAA';
-- Class A-5 at 'AAA';
-- Class A-6 at 'AAA';
-- Class A-7 at 'AAA';
-- Class B-1 'at A';
-- Class B-2 at 'A';
-- Class B-3 at 'A';
-- Class C-1 at 'BB'.
FIRST FRANKLIN: Moody's Downgrades Ratings on 98 Securities
-----------------------------------------------------------
Moody's Investors Service has downgraded the rating of 98
securities from 22 subprime RMBS transactions issued by First
Franklin. These actions are part of an ongoing review of subprime
RMBS transactions.
The rating actions are the result of an analysis of credit
enhancement relative to updated collateral loss projections. The
revised loss projections generally result from deterioration in
collateral performance in recent months. Additionally, most
effected transactions have, at some point, passed performance
triggers and released portions of credit enhancement.
Moody's approach to analyzing seasoned subprime pools (i.e. prior
to 2H 2005) takes into account the annualized loss rate from last
12 months and the projected loss rate over next 12 months, and
then translates these measures into lifetime losses based on a
deal's expected remaining life. Recent Losses are calculated by
assessing cumulative losses incurred over the past 12-months as a
percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%,
65% and 90% for loans that are delinquent 60-days, 90+ days, are
in foreclosure, and REO respectively. Moody's then applies deal-
specific severity assumptions. The results of these two
calculations -- Recent Losses and Pipeline Losses -- are weighted
to arrive at the lifetime cumulative loss projection.
Complete rating actions are:
First Franklin Mortgage Loan Trust 2001-FF2
-- Cl. A-1, Downgraded to Baa1; previously on 11/30/2001
Assigned Aaa
-- Cl. A-2, Downgraded to Baa1; previously on 11/30/2001
Assigned Aaa
-- Cl. M-1, Downgraded to Ba3; previously on 8/23/2007
Downgraded to A2
-- Cl. M-2, Downgraded to Ca; previously on 8/23/2007 Downgraded
to Caa2
First Franklin Mortgage Loan Trust 2002-FF1
-- Cl. I-A-2, Downgraded to A2; previously on 4/30/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to B1; previously on 4/30/2008 Downgraded
to Baa3
-- Cl. M-2, Downgraded to Ca; previously on 4/30/2008 Downgraded
to B2
-- Cl. M-3, Downgraded to C; previously on 4/30/2008 Downgraded
to B3
First Franklin Mortgage Loan Trust 2002-FF2
-- Cl. A-1, Downgraded to Baa3; previously on 4/30/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Baa3; previously on 4/30/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to B3; previously on 4/30/2008 Downgraded
to Ba1
-- Cl. M-2, Downgraded to C; previously on 4/30/2008 Downgraded
to Caa2
First Franklin Mortgage Loan Trust 2002-FF3
-- Cl. A1, Downgraded to A1; previously on 4/30/2008 Aaa Placed
Under Review for Possible Downgrade
-- Cl. M1, Downgraded to Ba3; previously on 4/30/2008 Downgraded
to A3
-- Cl. M2, Downgraded to C; previously on 2/13/2008 Downgraded
to B3
-- Cl. M3, Downgraded to C; previously on 2/13/2008 Downgraded
to Ca
First Franklin Mortgage Loan Trust 2002-FF4
-- Cl. I-A2, Downgraded to A1; previously on 4/30/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. II-A2, Downgraded to A1; previously on 4/30/2008 Aaa
Placed Under Review for Possible Downgrade
First Franklin Mortgage Loan Trust 2003-FF1
-- Cl. A-1, Downgraded to Aa1; previously on 4/30/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Baa3; previously on 4/30/2008
Downgraded to A3
-- Cl. M-2, Downgraded to Ca; previously on 4/30/2008 Downgraded
to Caa1
First Franklin Mortgage Loan Trust 2003-FF2
-- Cl. M-1, Downgraded to B2; previously on 4/30/2008 Downgraded
to A2
-- Cl. M-2, Downgraded to C; previously on 4/30/2008 Downgraded
to B2
-- Cl. M-3A, Downgraded to C; previously on 4/30/2008 Downgraded
to Ca
-- Cl. M-3F, Downgraded to C; previously on 4/30/2008 Downgraded
to Ca
First Franklin Mortgage Loan Trust 2003-FF4
-- Cl. M-1, Downgraded to Ba1; previously on 4/30/2008
Downgraded to A2
-- Cl. M-2, Downgraded to Ca; previously on 4/30/2008 Downgraded
to Ba3
-- Cl. M-3, Downgraded to C; previously on 4/30/2008 Downgraded
to Caa2
First Franklin Mortgage Loan Trust 2003-FF5
-- Cl. M-1, Downgraded to A2; previously on 4/30/2008 Downgraded
to Aa3
-- Cl. M-2, Downgraded to B1; previously on 2/13/2008 Downgraded
to Baa3
-- Cl. M-3, Downgraded to Ca; previously on 2/13/2008 Downgraded
to Ba3
-- Cl. M-4, Downgraded to C; previously on 2/13/2008 Downgraded
to Caa2
-- Cl. M-5, Downgraded to C; previously on 2/13/2008 Downgraded
to Ca
First Franklin Mortgage Loan Trust 2003-FFH1
-- Cl. M-1, Downgraded to Baa3; previously on 4/30/2008
Downgraded to A3
-- Cl. M-2, Downgraded to Ca; previously on 2/13/2008 Downgraded
to B3
-- Cl. M-3, Downgraded to C; previously on 2/13/2008 Downgraded
to Ca
First Franklin Mortgage Loan Trust 2003-FFH2
-- Cl. M-1A, Downgraded to Baa3; previously on 4/30/2008
Downgraded to Baa1
-- Cl. M-1B, Downgraded to Baa3; previously on 4/30/2008
Downgraded to Baa1
-- Cl. M-2, Downgraded to Ca; previously on 2/13/2008 Downgraded
to B3
-- Cl. M-3, Downgraded to C; previously on 2/13/2008 Downgraded
to Ca
First Franklin Mortgage Loan Trust 2004-FF1
-- Cl. M-2, Downgraded to Baa3; previously on 5/27/2004 Assigned
A2
-- Cl. B-1, Downgraded to B3; previously on 4/30/2008 Downgraded
to Ba2
-- Cl. B-2, Downgraded to C; previously on 4/30/2008 Downgraded
to Caa1
First Franklin Mortgage Loan Trust 2004-FF2
-- Cl. M-1, Downgraded to Aa2; previously on 4/30/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Baa3; previously on 4/30/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Ba1; previously on 4/30/2008 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to B1; previously on 4/30/2008 Downgraded
to A3
-- Cl. M-5, Downgraded to Ca; previously on 4/30/2008 Downgraded
to Baa2
-- Cl. M-6, Downgraded to C; previously on 4/30/2008 Downgraded
to Ba1
-- Cl. M-7, Downgraded to C; previously on 4/30/2008 Downgraded
to B1
-- Cl. M-8, Downgraded to C; previously on 4/30/2008 Downgraded
to Ca
First Franklin Mortgage Loan Trust 2004-FF3
-- Cl. M-2, Downgraded to Ba3; previously on 4/30/2008
Downgraded to Baa1
-- Cl. M-3, Downgraded to B3; previously on 4/30/2008 Downgraded
to Baa2
-- Cl. M-4, Downgraded to C; previously on 4/30/2008 Downgraded
to B3
First Franklin Mortgage Loan Trust 2004-FF4
-- Cl. M-1, Downgraded to A1; previously on 7/30/2004 Assigned
Aa2
-- Cl. M-2, Downgraded to Ba1; previously on 7/30/2004 Assigned
A2
-- Cl. M-3, Downgraded to B1; previously on 7/30/2004 Assigned
A3
-- Cl. B-1, Downgraded to Ca; previously on 7/30/2004 Assigned
Baa1
-- Cl. B-2, Downgraded to C; previously on 4/30/2008 Downgraded
to Ba2
First Franklin Mortgage Loan Trust 2004-FF6
-- Cl. M-2, Downgraded to Baa3; previously on 9/30/2004 Assigned
A2
-- Cl. M-3, Downgraded to Ba1; previously on 9/30/2004 Assigned
A3
-- Cl. B-1, Downgraded to Ba3; previously on 9/30/2004 Assigned
Baa1
-- Cl. B-2, Downgraded to B2; previously on 4/30/2008 Downgraded
to Baa3
-- Cl. B-3, Downgraded to C; previously on 4/30/2008 Downgraded
to B3
First Franklin Mortgage Loan Trust 2004-FF7
-- Cl. M1, Downgraded to A3; previously on 10/18/2004 Assigned
Aa2
First Franklin Mortgage Loan Trust 2004-FF8
-- Cl. M-2, Downgraded to A1; previously on 2/17/2005 Assigned
Aa2
-- Cl. M-3, Downgraded to Baa3; previously on 2/17/2005 Assigned
A2
-- Cl. M-4, Downgraded to B2; previously on 2/17/2005 Assigned
A3
-- Cl. B-1, Downgraded to Ca; previously on 2/17/2005 Assigned
Baa1
-- Cl. B-2, Downgraded to C; previously on 4/30/2008 Downgraded
to Ba1
-- Cl. B-3, Downgraded to C; previously on 4/30/2008 Downgraded
to Ba2
-- Cl. B-4, Downgraded to C; previously on 4/30/2008 Downgraded
to B3
First Franklin Mortgage Loan Trust 2004-FFH1
-- Cl. M-2, Downgraded to Baa2; previously on 4/30/2008
Downgraded to Baa1
-- Cl. M-3, Downgraded to Ba2; previously on 4/30/2008
Downgraded to Baa2
-- Cl. M-4, Downgraded to Ca; previously on 4/30/2008 Downgraded
to Ba3
-- Cl. M-5, Downgraded to C; previously on 4/30/2008 Downgraded
to Ca
First Franklin Mortgage Loan Trust 2004-FFH2
-- Cl. M-2, Downgraded to Baa2; previously on 4/30/2008
Downgraded to A1
-- Cl. M-3, Downgraded to Ba1; previously on 4/30/2008
Downgraded to A2
-- Cl. M-4, Downgraded to Caa2; previously on 2/13/2008
Downgraded to Baa1
-- Cl. M-5, Downgraded to C; previously on 2/13/2008 Downgraded
to Baa3
-- Cl. M-6, Downgraded to C; previously on 2/13/2008 Downgraded
to Ba3
-- Cl. M-7, Downgraded to C; previously on 2/13/2008 Downgraded
to B3
-- Cl. M-8, Downgraded to C; previously on 2/13/2008 Downgraded
to Ca
First Franklin Mortgage Loan Trust 2004-FFH3
-- Cl. M-1, Downgraded to A2; previously on 10/18/2004 Assigned
Aa1
-- Cl. M-2, Downgraded to Baa3; previously on 4/30/2008
Downgraded to A3
-- Cl. M-3, Downgraded to B2; previously on 4/30/2008 Downgraded
to Baa1
-- Cl. M-4, Downgraded to Ca; previously on 2/13/2008 Downgraded
to Baa2
-- Cl. M-5, Downgraded to C; previously on 2/13/2008 Downgraded
to Baa3
-- Cl. M-6, Downgraded to C; previously on 2/13/2008 Downgraded
to Ba3
-- Cl. M-7, Downgraded to C; previously on 2/13/2008 Downgraded
to B2
-- Cl. M-8, Downgraded to C; previously on 2/13/2008 Downgraded
to Caa1
First Franklin Mortgage Loan Trust 2004-FFH4
-- Cl. M-6, Downgraded to A2; previously on 2/16/2005 Assigned
A1
-- Cl. M-7, Downgraded to Baa3; previously on 2/16/2005 Assigned
A2
-- Cl. M-8, Downgraded to B3; previously on 8/23/2007 Downgraded
to Baa3
-- Cl. M-9, Downgraded to C; previously on 2/13/2008 Downgraded
to B3
-- Cl. M-10, Downgraded to C; previously on 2/13/2008 Downgraded
to Ca
FORTRESS CREDIT: Moody's Cuts Rating on $13MM Class B Notes to Ba1
------------------------------------------------------------------
Moody's Investors Service announced that it has downgraded these
notes issued by Fortress Credit Funding II LP:
-- US$14,000,000 Class A-2 Floating Rate Senior Delayed Draw
Term Notes Due 2017, Downgraded to Aa3; previously on
3/4/2009 Aa1 Placed Under Review for Possible Downgrade;
-- US$15,800,000 Class A-3 Floating Rate Senior Term Notes Due
2017, Downgraded to Baa1; previously on 3/4/2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$13,000,000 Class B Floating Rate Senior Subordinated
Deferrable Interest Term Notes Due 2017, Downgraded to Ba1;
previously on 3/4/2009 A2 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, 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 3436 versus a test level of 3500 as of the
last trustee report, dated May 15, 2009. Based on the same
report, defaulted securities total about $7 million, and
securities rated Caa1 or lower make up approximately $38.5 million
of the underlying portfolio.
Moody's also notes that a material proportion of the collateral
pool includes debt obligations whose credit quality has been
assessed through Moody's Credit Estimates. Moody's analysis
reflects the application of certain stresses with respect to the
default probabilities associated with CEs. These additional
stresses reflect the rapid pace of recent changes in credit market
conditions and the default rate expectations in the current
economic cycle that are higher than the historical averages.
Specifically, the default probability stresses include (1) a 1
½ notch-equivalent assumed downgrade for CEs updated between
12-15 months ago; and (2) assuming an equivalent of Caa3 for CEs
that were not updated within the last 15 months. Additionally, as
CEs do not carry credit indicators such as ratings reviews and
outlooks, a stress of a half; notch-equivalent assumed downgrade
for CEs is also applied to CEs provided between 6-12 months ago.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from trustee's reported numbers.
Fortress Credit Funding II LP, issued in September 1, 2005, is a
small and middle market 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.
FORTRESS CREDIT: Moody's Cuts Rating on $52MM Class B Notes to Ba2
------------------------------------------------------------------
Moody's Investors Service announced that it has downgraded these
notes issued by Fortress Credit Funding I LP:
-- US$56,000,000 Class A-2 Floating Rate Senior Delayed Draw
Term Notes Due 2017, Downgraded to A1; previously on 3/4/2009
Aa1 Placed Under Review for Possible Downgrade;
-- US$63,200,000 Class A-3 Floating Rate Senior Term Notes Due
2017, Downgraded to Baa2; previously on 3/4/2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$52,000,000 Class B Floating Rate Senior Subordinated
Deferrable Interest Term Notes Due 2017, Downgraded to Ba2;
previously on 3/4/2009 A2 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, 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 3659 versus a test level of 3500 as of the
last trustee report, dated May 15, 2009. Based on the same
report, defaulted securities total about $65 million and
securities rated Caa1 or lower make up approximately $272 million
of the underlying portfolio.
Moody's also notes that a material proportion of the collateral
pool includes debt obligations whose credit quality has been
assessed through Moody's Credit Estimates. Moody's analysis
reflects the application of certain stresses with respect to the
default probabilities associated with CEs. These additional
stresses reflect the rapid pace of recent changes in credit market
conditions and the default rate expectations in the current
economic cycle that are higher than the historical averages.
Specifically, the default probability stresses include (1) a 1-
1/2; notch-equivalent assumed downgrade for CEs updated between
12-15 months ago; and (2) assuming an equivalent of Caa3 for CEs
that were not updated within the last 15 months. Additionally, as
CEs do not carry credit indicators such as ratings reviews and
outlooks, a stress of a half; notch-equivalent assumed downgrade
for CEs is also applied to CEs provided between 6-12 months ago.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from trustee's reported numbers.
Fortress Credit Funding I LP, issued in September 1, 2005, is a
small and middle market 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.
FRUITFUL HARVEST: S&P Downgrades Ratings on Class A Notes to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D' on
the class A notes issued by Fruitful Harvest SPC's series 2007-6
and 2007-7 and subsequently withdrew the ratings. Both series are
retranchings of securities that have defaulted.
Rating Actions
Fruitful Harvest SPC, Series 2007-6 Scorpius A
Segregated Portfolio
Rating
------
Class To Interim From
----- -- ------- ----
A NR D CC
Fruitful Harvest SPC, Series 2007-7 Scorpius B
Segregated Portfolio
Rating
------
Class To Interim From
----- -- ------- ----
A NR D CC
NR -- Not rated.
GALE FORCE: 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 Gale Force 3 CLO, Ltd.:
-- US$300,000,000 Class A-1 First Priority Senior Secured
Floating Rate Delayed Draw Notes Due 2021, Downgraded to Aa3;
previously on March 23,2007 Assigned Aaa;
-- US$143,300,000 Class A-2 First Priority Senior Secured
Floating Rate Term Notes Due 2021, Downgraded to Aa3;
previously on March 23,2007 Assigned Aaa;
-- US$32,400,000 Class B-1 Second Priority Senior Secured
Floating Rate Notes Due 2021 Downgraded to Baa3; previously
on March 4, 2009 Aa2 Placed Under Review for Possible
Downgrade;
-- US$12,000,000 Class B-2 Second Priority Senior Secured Fixed
Rate Notes Due 2021, Downgraded to Baa3; previously on March
4, 2009 Aa2 Placed Under Review for Possible Downgrade;
-- US$26,100,000 Class C Third Priority Senior Secured
Deferrable Floating Rate Notes Due 2021, Downgraded to B1;
previously on March 23, 2009 Downgraded to Ba1 and Placed
Under Review for Possible Downgrade;
-- US$27,600,000 Class D Fourth Priority Mezzanine Deferrable
Floating Rate Notes Due 2021, Downgraded to Caa3; previously
on March 23, 2009 Downgraded to B1 and Placed Under Review
for Possible Downgrade;
-- US$21,600,000 Class E Fifth Priority Mezzanine Deferrable
Floating Rate Notes Due 2021, Downgraded to Ca; previously on
March 23, 2009 Downgraded to Caa2 and Placed Under Review for
Possible Downgrade;
-- US$7,500,000 Combination Notes Due 2021, Downgraded to B2;
previously on March 4, 2009 Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the application of certain stresses with
respect to the default probabilities associated with a number
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
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, 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 2827 as of the last trustee report, dated
May 2, 2009. Based on the same report, defaulted securities total
about $18 million, accounting for roughly 3% of the collateral
balance, and securities rated Caa1 or lower make up approximately
10.78% of the underlying portfolio. Moody's also observes that
the transaction is exposed to a number of mezzanine and junior CLO
tranches in the underlying portfolio, many of which carry
depressed market valuations that may herald poor recovery
prospects in the event of default. 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.
Gale Force 3 CLO, Ltd., issued in 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.
GE CAPITAL: Fitch Affirms Special Servicer Rating at 'CSS2+'
------------------------------------------------------------
Fitch Ratings affirms GE Capital Realty Group's commercial
mortgage-backed securities special servicer rating at 'CSS2+'.
The rating reflects GECRG's continued ability to workout CMBS
assets, its highly experienced senior and middle management, its
strong technology, and the financial support of parent, GE Real
Estate.
As of March 31, 2009, GECRG was named special servicer on 170
loans in three CMBS transactions totaling $977.3 million. Also as
of March 31, 2009, GECRG was actively specially servicing two CMBS
loans totaling $8.9 million. GECRG worked out two CMBS assets in
the amount of $13.0 million with zero losses in 2008. As of
March 31, 2009, GECRG was responsible for the special servicing
and asset management of 238 non-CMBS loans totaling $3.08 billion.
In 2008, the group disposed of 76 non-CMBS loans/assets valued at
$481.6 million.
GE CAPITAL: Moody's Downgrades Ratings on 18 Securities
-------------------------------------------------------
Moody's Investors Service has downgraded the rating of 18
securities from 5 transactions issued by GE Capital. 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.
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 90%. 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: GE Capital Mortgage Services, Inc. Series 1998-HE1
-- A6, Downgraded to Aa1; previously on 3/27/1998 Assigned Aaa
-- A-7, Downgraded to Aa1; previously on 3/27/1998 Assigned Aaa
-- S, Downgraded to Aa1; previously on 3/27/1998 Assigned Aaa
-- M, Downgraded to Baa3; previously on 1/3/2003 Downgraded to
A1
-- B1, Downgraded to Ca; previously on 9/29/2006 Downgraded to
Caa2
Issuer: GE Capital Mortgage Services, Series 1998-HE2
-- M, Downgraded to Baa1; previously on 9/19/2007 Downgraded to
A1
-- B1, Downgraded to Ca; previously on 9/19/2007 Downgraded to
B3
Issuer: GE Capital Mtg Services Inc 1997-HE1
-- A4, Downgraded to Aa2; previously on 3/27/1997 Assigned Aaa
-- A5, Downgraded to Aa2; previously on 3/27/1997 Assigned Aaa
-- S, Downgraded to Aa2; previously on 3/27/1997 Assigned Aaa
Issuer: GE Capital Mtg Services Inc 1997-HE4
-- A6, Downgraded to Aa2; previously on 12/30/1997 Assigned Aaa
-- A-7, Downgraded to Aa2; previously on 12/30/1997 Assigned Aaa
-- S, Downgraded to Aa2; previously on 12/30/1997 Assigned Aaa
-- M, Downgraded to Ba3; previously on 1/3/2003 Downgraded to A1
-- B1, Downgraded to C; previously on 3/17/2006 Downgraded to
Caa2
Issuer: GE Capital Mtg Services, Series 1999-HE2
-- B1, Downgraded to Baa1; previously on 6/25/1999 Assigned A2
-- B2, Downgraded to Ca; previously on 7/17/2007 Downgraded to
B2
-- B3, Downgraded to C; previously on 1/3/2003 Downgraded to Ca
GE CAPITAL: S&P Downgrades Ratings on Two 2001-3 Certs. to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class M and L commercial mortgage pass-through certificates from
GE Capital Commercial Mortgage Corp.'s series 2001-3 to 'D'. The
ratings were on CreditWatch negative before the downgrades.
The downgrades to 'D' reflect recurring interest shortfalls
resulting from appraisal subordinate entitlement reduction that
are in effect for four assets with the special servicer, LNR
Partners Inc. S&P expects the shortfalls to continue. The ASERs
for the four specially serviced loans totaled $88,422 as of the
June 10, 2009, remittance date.
Details of the four assets are:
-- The Highland Landing Apartments loan ($11.1 million, 1.5%) is
secured by a 352-unit multifamily property built in 1972 in
Decatur, Georgia, approximately five miles east of Atlanta.
The loan was transferred to the special servicer in November
2008 and is currently more than 60 days past due. A
foreclosure has been initiated, and a sale is scheduled for
July 2009 while negotiations continue with the borrower. An
appraisal reduction amount totaling $5.9 million is in effect
for this asset, based on an appraisal of $6.6 million as of
Jan. 21, 2009.
-- The Oxford Pointe Office Center loan ($9.9 million; 1.3%) is
secured by a 87,616-sq.-ft. office building in Southfield,
Michigan, approximately 15 miles northwest of Detroit, and
built in 2000. The loan was transferred to the special
servicer in March 2009 and is currently more than 90 days
past due. LNR has ordered an appraisal, and an automatic ARA
totaling $2.5 million is currently in effect for this asset.
-- The 1600 Lamar - Arlington loan ($6.5 million; 0.9%) is
secured by a 87,018-sq.-ft. office building built in 1980 in
Arlington, Texas, approximately 15 miles west of Fort Worth.
The loan was transferred to the special servicer in January
2009 and is currently more than 60 days past due. An ARA
totaling $4.2 million is in effect for this asset, based on
an appraisal of $3.0 million as of March 23, 2009.
-- The 32270 Telegraph Road Office Building loan ($5.6 million;
0.8%) is secured by a 53,481-sq.-ft. office building in
Bingham Farms, Michigan, approximately 15 miles northwest of
Detroit, and built in 1985. The loan was transferred to the
special servicer in December 2007, and the property is real
estate owned. An ARA totaling $5.1 million is in effect for
this asset, based on an appraisal of $1.1 million as of Sept.
29, 2008.
Ratings Lowered And Removed From Creditwatch Negative
GE Capital Commercial Mortgage Corp. series 2001-3
Commercial mortgage pass-through certificates series 2001-3
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
L D B+/Watch Neg 2.303
M D B-/Watch Neg 1.651
GEMSA LOAN: Fitch Affirms Servicer Ratings
------------------------------------------
In conjunction with the recent update of its U.S. CMBS servicer
rating criteria, Fitch Ratings has affirmed 33 CMBS servicer
ratings across 16 companies.
Fitch Ratings has updated its U.S. CMBS servicer rating criteria
to reflect current commercial real estate market conditions and
their effect on mortgage servicing. These changes have resulted
in moderate rating movement for certain servicers, as detailed in
several press releases also published as well as ratings
affirmations.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
The companies that had their CMBS servicer ratings affirmed are:
Babson Capital Management, LLC;
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Bank of America, N.A.;
-- Primary servicer at 'CPS1-';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2-'.
DB Mortgage Services, LLC;
-- Primary servicer at 'CPS2-';
-- Special servicer at 'CSS3'.
GE Capital Realty Group;
-- Special servicer at 'CSS2+'.
GEMSA Loan Services, L.P.;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1-'.
Helios AMC, LLC;
-- Special servicer at 'CSS3'.
ING Clarion Capital Loan Services, LLC;
-- Special servicer at 'CSS2+'.
KeyBank Real Estate Capital;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS2+'.
Midland Loan Services;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS1'.
National Cooperative Bank;
-- Special servicer at 'CSS3'.
ORIX Capital Markets, LLC;
-- Special servicer at 'CSS3+'.
Pacific Life Insurance Company;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2'.
Protective Life Insurance Company;
-- Primary servicer at 'CPS3+';
-- Master servicer at 'CMS3';
-- Special servicer at 'CSS3+';
Prudential Asset Resources;
-- Primary servicer at 'CPS2+';
-- Master servicer at 'CMS2';
-- Special servicer at 'CSS2- '.
Situs Asset Management;
-- Primary servicer at 'CPS3';
-- Special servicer at 'CSS3'.
TriMont Real Estate Advisors, Inc.
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Additionally, these ratings remain on Rating Watch Negative by
Fitch:
Capmark Finance
-- Primary servicer 'CPS2-';
-- Master servicer 'CMS3-';
-- Special servicer 'CSS2-'.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
GENESIS CLO: Fitch Downgrades Ratings on Various 2007-1 Notes
-------------------------------------------------------------
Fitch Ratings downgrades and withdraws the ratings from notes
issued by Genesis CLO 2007-1 Ltd./Corp. These rating actions are
effective immediately:
-- $1,261,573,170 class A rating withdrawn from 'AAA'/Outlook
Stable;
-- $110,000,000 class B rating downgraded to 'A' from
'AA'/Outlook Negative, rating withdrawn;
-- $70,000,000 class C rating downgraded to 'BBB' from 'A-
'/Outlook Negative, rating withdrawn;
-- $50,654,347 class D rating downgraded to 'B' from
'BB'/Outlook Negative, rating withdrawn;
-- $40,767,922 class E rating downgraded to 'CCC' from
'B'/Outlook Negative, rating withdrawn.
Fitch downgrades the class B, C, D, and E notes due to reported
credit deterioration in the portfolio. As of the May 2009 trustee
report, an additional $107 million of new defaults that have
occurred since Fitch's last rating review in October 2008. Given
the increase in defaulted assets from 1.2% of the portfolio at the
last review date to 8.4% at present, Fitch no longer believed the
credit enhancement levels are consistent with the previous rating
levels.
Additionally, Fitch has withdrawn the rating of the notes as Fitch
has not received necessary information from Ore Hill Partners, the
collateral manager, and Deutsche Bank AG to support these ratings.
Approximately 23% of the portfolio is either unrated or defaulted
and Fitch's analysis relies on information from the manager to
perform and updated credit assessments and recovery estimates of
these issuers. Fitch has determined that in the absence of that
information, it cannot continue to maintain the accurate ratings
on the notes.
Genesis is a static cash flow transaction collateralized by a
portfolio of leveraged loans. This transaction was arranged by
Deutsche Bank AG with Ore Hill Partners, LLC, monitoring the
performance of the portfolio. The transaction closed on Oct. 3,
2007.
GREEN LOAN: Fitch Assigns 'CLLSS2-' Special Servicer Rating
-----------------------------------------------------------
Fitch Ratings assigns Green Loan Services LLC a commercial
mortgage-backed securities large loan special servicer rating of
'CLLSS2-'. The rating reflects the extensive large loan
commercial real estate workout experience of the company. This is
the first assignment of this rating which was introduced in
recently published Fitch criteria. While the company's experience
with large loans is primarily in Manhattan the group has worked
out and restructured large loans in other metropolitans such as
San Francisco, Boston, Los Angeles, Chicago and Washington DC.
Green's senior managers average 20+ years of related experience.
The CLLSS rating will be used by Green to allow naming them
special servicer on loans where the company holds either mezzanine
or B-Note positions or for a third party. The rating does not
qualify an entity to special service a pool of conduit loans, only
single large loans within a securitization.
While Green has a strong commercial real estate background, the
company has very limited CMBS experience. Fitch will closely
monitor the firm during its first year as a rated CMBS servicer to
ensure that CMBS specific standards are met. Green is currently
named special servicer on four CMBS loans totaling $831 million.
Fitch deems the special servicer rating of 'CSSLL2-' sufficient to
meet the requirements stated in current transaction documents as
'CSS2'.
Green is a wholly owned subsidiary of SL Green Realty Corp., a
self-administered and self-managed REIT based in New York City.
SL Green was formed in 1997 and primarily owns, acquires, manages
and repositions office properties located in Manhattan.
Fitch rates large loan commercial special servicers on a scale of
1 to 5, with 1 being the highest rating.
GSC PARTNERS: Moody's Downgrades Ratings on Various Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by GSC Partners CDO Fund V, Limited:
-- Class A-1 Floating Rate Senior Delayed Funding Notes Due
2016, Downgraded to Aa2; previously on December 15, 2004
Assigned Aaa;
-- Class A-2 Floating Rate Senior Notes Due 2016, Downgraded to
A2; previously on March 4, 2009 Aa1 Placed Under Review for
Possible Downgrade;
-- Class B Deferrable Floating Rate Notes Due 2016, Downgraded
to Ba2; previously on March 18, 2009 Downgraded to Ba1 and
Placed Under Review for Possible Downgrade;
-- Class C-1 Deferrable Fixed Rate Notes Due 2016, Downgraded to
Caa2; previously on March 18, 2009 Downgraded to B3 and
Placed Under Review for Possible Downgrade;
-- Class C-2 Deferrable Floating Rate Notes Due 2016, Downgraded
to Caa2; 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," 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.
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, 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 3536 versus a test level of 3125 as of the last
trustee report, dated May 11th, 2009. Based on the same report,
defaulted securities total about $70.5 million, accounting for
roughly 11.8% of the collateral balance, and securities rated Caa1
or lower by Moody's or CCC+ or lower by S&P make up approximately
27.86% of the underlying portfolio. Additionally, interest
payments on the Class C-1 and Class C-2 Notes are presently being
deferred as a result of the failure of the Class A and Class B
Overcollateralization Tests. 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. These four industries account for approximately 14%
of the transaction's underlying collateral pool.
Moody's also notes that a material proportion of the collateral
pool includes debt obligations whose credit quality has been
assessed through Moody's Credit Estimates. Moody's analysis
reflects the application of certain stresses with respect to the
default probabilities associated with CEs. These additional
stresses reflect the rapid pace of changes in credit market
conditions and the default rate expectations in the current
economic cycle that are higher than the historical averages.
Specifically, the default probability stresses include (1) a 1
½ notch-equivalent assumed downgrade for CEs updated between
12-15 months ago; and (2) assuming a rating factor of 8070 for CEs
that were not updated within the last 15 months. Additionally, as
CEs do not carry credit indicators such as ratings reviews and
outlooks, a stress of a half; notch-equivalent assumed downgrade
for CEs is also applied to CEs provided between 6-12 months ago.
GSC Partners CDO Fund V, Limited, issued in December 23, 2004, 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.
HARBORVIEW MORTGAGE: Moody's Downgrades Ratings on 13 Tranches
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 13
tranches from HarborView Mortgage Loan Trust 2004-10. The
collateral backing the transaction consists primarily of first-
lien, adjustable-rate, Alt-A residential mortgage loans.
These actions are a result of updated loss expectations on the
underlying collateral relative to available credit enhancement.
Moody's methodology for rating securities for more seasoned Alt-A
pools, takes into account the annualized loss rate from last 12
months and the projected loss rate over next 12 months, and then
translates these measures into lifetime losses based on a deal's
expected remaining life. Recent Losses are calculated by
assessing cumulative losses incurred over the past 12-months as a
percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%,
65% and 90% for loans that are delinquent 60-days, 90+ days, are
in foreclosure, and REO respectively. Moody's then applies deal-
specific severity assumptions ranging from 40% to 55%. The
results of these two calculations - Recent Losses and Pipeline
Losses - are weighted to arrive at the lifetime cumulative loss
projection.
Once expected losses have been determined, Moody's assesses
available credit enhancement from subordination,
overcollateralization, excess spread and any external support
(mortgage insurance, pool policy, etc.). The available
enhancement is weighed against projected future losses to
ultimately arrive at an updated rating.
List of actions:
HarborView Mortgage Loan Trust 2004-10
-- Cl. 1-A-1, Downgraded to A2; previously on 2/14/2005 Assigned
Aaa
-- Cl. 1-A-2A, Downgraded to Aa3; previously on 2/14/2005
Assigned Aaa
-- Cl. 1-A-2B, Downgraded to A2; previously on 2/14/2005
Assigned Aaa
-- Cl. 2-A, Downgraded to A3; previously on 2/14/2005 Assigned
Aaa
-- Cl. 3-A-1A, Downgraded to A1; previously on 2/14/2005
Assigned Aaa
-- Cl. 3-A-1B, Downgraded to A3; previously on 2/14/2005
Assigned Aaa
-- Cl. 4-A, Downgraded to A3; previously on 2/14/2005 Assigned
Aaa
-- Cl. X-1, Downgraded to Aa3; previously on 2/14/2005 Assigned
Aaa
-- Cl. X-2, Downgraded to A3; previously on 2/14/2005 Assigned
Aaa
-- Cl. X-3, Downgraded to Ba2; previously on 2/14/2005 Assigned
Aaa
-- Cl. B-1, Downgraded to Ba2; previously on 2/14/2005 Assigned
Aa2
-- Cl. B-2, Downgraded to Caa3; previously on 2/14/2005 Assigned
A2
-- Cl. B-3, Downgraded to C; previously on 6/26/2008 Downgraded
to Baa3
HELIOS AMC: Fitch Affirms 'CSS3' Special Servicer Rating
--------------------------------------------------------
In conjunction with the recent update of its U.S. CMBS servicer
rating criteria, Fitch Ratings has affirmed 33 CMBS servicer
ratings across 16 companies.
Fitch Ratings has updated its U.S. CMBS servicer rating criteria
to reflect current commercial real estate market conditions and
their effect on mortgage servicing. These changes have resulted
in moderate rating movement for certain servicers, as detailed in
several press releases also published as well as ratings
affirmations.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
The companies that had their CMBS servicer ratings affirmed are:
Babson Capital Management, LLC;
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Bank of America, N.A.;
-- Primary servicer at 'CPS1-';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2-'.
DB Mortgage Services, LLC;
-- Primary servicer at 'CPS2-';
-- Special servicer at 'CSS3'.
GE Capital Realty Group;
-- Special servicer at 'CSS2+'.
GEMSA Loan Services, L.P.;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1-'.
Helios AMC, LLC;
-- Special servicer at 'CSS3'.
ING Clarion Capital Loan Services, LLC;
-- Special servicer at 'CSS2+'.
KeyBank Real Estate Capital;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS2+'.
Midland Loan Services;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS1'.
National Cooperative Bank;
-- Special servicer at 'CSS3'.
ORIX Capital Markets, LLC;
-- Special servicer at 'CSS3+'.
Pacific Life Insurance Company;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2'.
Protective Life Insurance Company;
-- Primary servicer at 'CPS3+';
-- Master servicer at 'CMS3';
-- Special servicer at 'CSS3+';
Prudential Asset Resources;
-- Primary servicer at 'CPS2+';
-- Master servicer at 'CMS2';
-- Special servicer at 'CSS2- '.
Situs Asset Management;
-- Primary servicer at 'CPS3';
-- Special servicer at 'CSS3'.
TriMont Real Estate Advisors, Inc.
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Additionally, these ratings remain on Rating Watch Negative by
Fitch:
Capmark Finance
-- Primary servicer 'CPS2-';
-- Master servicer 'CMS3-';
-- Special servicer 'CSS2-'.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
HEWETT'S ISLAND: Moody's Downgrades Ratings on Various Classes
--------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Hewett's Island CLO V, Ltd.:
-- US$50,000,000 Class A-R First Priority Senior Secured
Floating Rate Revolving Notes Due 2018, Downgraded to Aa3;
previously on December 6, 2006 Assigned Aaa;
-- US$255,500,000 Class A-T First Priority Senior Secured
Floating Rate Term Notes Due 2018, Downgraded to Aa3;
previously on December 6, 2006 Assigned Aaa;
-- US$27,500,000 Class B Second Priority Senior Secured Floating
Rate Notes Due 2018, Downgraded to Baa2; previously on March
4, 2009 Aa2 Placed Under Review for Possible Downgrade;
-- US$15,500,000 Class C Third Priority Senior Secured
Deferrable Floating Rate Notes Due 2018, Downgraded to Ba2;
previously on March 17, 2009, Downgraded to Ba1 and Placed
Under Review for Possible Downgrade;
-- US$15,500,000 Class D Fourth Priority Mezzanine Secured
Deferrable Floating Rate Notes Due 2018, Downgraded to Caa2;
previously on March 17, 2009, Downgraded to B3 and Placed
Under Review for Possible Downgrade;
-- US$16,000,000 Class E Fifth Priority Mezzanine Secured
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
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 par coverage (as measured through the Principal
Coverage Tests), 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 also increased over the last year. Based on the last trustee
report, dated June 1, 2009, defaulted securities total about
36.6 million, accounting for roughly 9.7% of the collateral
balance, and securities rated Caa1 or lower make up approximately
8.5% of the underlying portfolio. Additionally, interest payments
on the Class D Notes and the Class E Notes are presently being
deferred as a result of the failure of the Class A/B and Class C
Principal Coverage Tests. 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.
Hewett's Island CLO V, Ltd., issued in December 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.
HUDSON ADVISORS: Fitch Cuts Special Servicer Rating to 'CSS2-'
--------------------------------------------------------------
Fitch Ratings has taken these rating actions on Hudson Advisors,
LLC's servicer ratings:
-- Special servicer downgraded to 'CSS2-' from 'CSS2';
-- Primary servicer affirmed at 'CPS3'.
Fitch's rating actions are based on the recent update of Fitch's
servicer rating criteria.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
Hudson's special servicer rating downgrade is due to increased
weighting associated with financial condition factor as well as
overall CMBS market participation.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
ING CLARION: Fitch Affirms 'CSS2+' Special Servicer Rating
----------------------------------------------------------
In conjunction with the recent update of its U.S. CMBS servicer
rating criteria, Fitch Ratings has affirmed 33 CMBS servicer
ratings across 16 companies.
Fitch Ratings has updated its U.S. CMBS servicer rating criteria
to reflect current commercial real estate market conditions and
their effect on mortgage servicing. These changes have resulted
in moderate rating movement for certain servicers, as detailed in
several press releases also published as well as ratings
affirmations.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
The companies that had their CMBS servicer ratings affirmed are:
Babson Capital Management, LLC;
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Bank of America, N.A.;
-- Primary servicer at 'CPS1-';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2-'.
DB Mortgage Services, LLC;
-- Primary servicer at 'CPS2-';
-- Special servicer at 'CSS3'.
GE Capital Realty Group;
-- Special servicer at 'CSS2+'.
GEMSA Loan Services, L.P.;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1-'.
Helios AMC, LLC;
-- Special servicer at 'CSS3'.
ING Clarion Capital Loan Services, LLC;
-- Special servicer at 'CSS2+'.
KeyBank Real Estate Capital;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS2+'.
Midland Loan Services;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS1'.
National Cooperative Bank;
-- Special servicer at 'CSS3'.
ORIX Capital Markets, LLC;
-- Special servicer at 'CSS3+'.
Pacific Life Insurance Company;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2'.
Protective Life Insurance Company;
-- Primary servicer at 'CPS3+';
-- Master servicer at 'CMS3';
-- Special servicer at 'CSS3+';
Prudential Asset Resources;
-- Primary servicer at 'CPS2+';
-- Master servicer at 'CMS2';
-- Special servicer at 'CSS2- '.
Situs Asset Management;
-- Primary servicer at 'CPS3';
-- Special servicer at 'CSS3'.
TriMont Real Estate Advisors, Inc.
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Additionally, these ratings remain on Rating Watch Negative by
Fitch:
Capmark Finance
-- Primary servicer 'CPS2-';
-- Master servicer 'CMS3-';
-- Special servicer 'CSS2-'.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
JE ROBERT: Fitch Downgrades Special Servicer Ratings to 'CSS1'
--------------------------------------------------------------
Fitch Ratings has downgraded J.E. Robert Companies special
servicer rating:
-- Special servicer to 'CSS1-' from 'CSS1'.
Fitch's rating action is based on the recent update of Fitch's
servicer rating criteria.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
JER's special servicer rating downgrade is due to increased
emphasis on financial condition. JER's scoring in this area was
negatively impacted during the criteria update. .
The ratings of the CMBS transactions serviced by JER are not
expected to be negatively impacted by the servicer downgrade.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
JP MORGAN: Moody's Affirms Ratings on 14 2005-LDP4 Certificates
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 14 classes and
downgraded ten classes of J.P. Morgan Chase Commercial Mortgage
Securities Corp., Commercial Mortgage Pass-Through Certificates
2005-LDP4. 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 June 15, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 5% to
$2.54 billion from $2.67 billion at securitization. The
Certificates are collateralized by 182 mortgage loans ranging in
size from less than 1% to 5% of the pool, with the top 10 loans
representing 40% of the pool. The pool includes one loan,
representing 4% of the pool, with an investment grade underlying
rating. Three loans, representing 4% of the pool, have defeased
and are collateralized with U.S. Government securities.
Forty-six 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.
The pool has not experienced any losses since securitization.
There are currently six loans, representing 2% of the pool, in
special servicing. Moody's estimates an aggregate $27.1 million
loss (47% loss severity on average) from the specially serviced
loans.
Moody's was provided with full-year 2007 and 2008 operating
results for 77% and 60%, respectively, of the pool. Moody's
average weighted loan to value ratio for the conduit component,
excluding specially serviced loans, is 106% compared to 100% at
Moody's prior full review in July 2007. In addition to increased
leverage, the pool has experienced increased LTV dispersion since
last review. Based on Moody's analysis, 27% of the conduit pool
has a LTV in excess of 120% compared to less than 1% at last
review. Moody's stressed Debt Service Coverage Ratio for the
conduit pool is 1.0X compared to 1.5X at last review. Moody's
stressed DSCR is based on Moody's net cash flow and a 9.25%
stressed rate applied to the loan balance. Moody's uses the
Herfindahl index to measure diversity of loan size. The pool has
a Herfindah Index of 33 compared to 35 at last review. The credit
neutral herf score is 40.
The loan with an underlying rating is the Plastipack Portfolio
($89.2 million -- 3.5%), which is secured by 14
industrial/warehouse buildings located in eight states. The
portfolio totals 4.5 million square feet and is 100.0% leased to
Plastipak Holdings Inc. (Moody's senior unsecured rating B3,
stable outlook) under a lease which extends 10 years beyond the
loan's maturity date. The loan was structured with a 20-year
amortization schedule and has amortized by approximately 6% since
last review. Moody's stressed DSCR is 1.5X compared to 1.6X at
last review. Moody's current underlying rating is Baa2, the same
as at last review.
The three largest conduit loans represent 21.1% of the pool. The
largest conduit loan is the Regency Portfolio ($317.4 million --
12.5%), which is secured by 20 retail properties located in six
states. The highest state concentrations are Virginia (37%),
Pennsylvania (28%) and Maryland (13%). The portfolio contains
approximately 2.3 million square feet and primarily consists of
grocery or pharmacy anchored centers. Moody's LTV is 103%,
essentially the same as at last review. Moody's stressed DSCR is
1.8X compared to 1.7X at last review.
The second largest conduit loan is the Silver City Loan
($129.3 million -- 5.1%), which is secured by the borrower's
interest in a 971,000 square foot regional mall located in
Taunton, Massachusetts. The mall is anchored by Macy's, Sears and
J.C. Penney. The in-line space was 86% occupied as of December,
2008 compared to 88% at last review. The loan sponsor is General
Growth Properties. The property is not part of GGP's bankruptcy
filing, however, the loan is on the master servicer's watchlist
due to the closing of Steve & Barry's as well as decreased rental
revenue. Moody's LTV is 142% compared to 105% at last review.
Moody's stressed DCSR is 1.0X compared to 1.4X at last review.
The third largest conduit loan is the One World Trade Center Loan
($90.0 million -- 3.5%), which is secured by a 573,000 square foot
office building located in Long Beach, California. The property
was 85% occupied as of December 2008 compared to 76% at last
review. Performance has been stable. Moody's LTV is 117%, the same
as at last review. Moody's stressed DSCR is 1.1X, the same as at
last review.
Moody's rating action is:
-- Class A-1A, $389,544,602, affirmed at Aaa; previously
affirmed at Aaa on 7/6/2007
-- Class A-2, $203,251,490 affirmed at Aaa; previously affirmed
at Aaa on 7/6/2007
-- Class A-2FL, $178,821,756 affirmed at Aaa; previously
affirmed at Aaa on 7/6/2007
-- Class A-3A1, $179,929,000, affirmed at Aaa; previously
affirmed at Aaa on 7/6/2007
-- Class A-3A2, $75,000,000, affirmed at Aaa; previously
affirmed at Aaa on 7/6/2007
-- Class A-4, $580,269,000, affirmed at Aaa; previously affirmed
at Aaa on 7/6/2007
-- Class A-SB, $130,376,000, affirmed at Aaa; previously
affirmed at Aaa on 7/6/2007
-- Class A-M, $267,707,000, affirmed at Aaa; previously affirmed
at Aaa on 7/6/2007
-- Class A-J, $204,127,000, affirmed at Aaa; previously affirmed
at Aaa on 7/6/2007
-- Class X-1, Notional, affirmed at Aaa; previously affirmed at
Aaa on 7/6/2007
-- Class X-2, Notional, affirmed at Aaa; previously affirmed at
Aaa on 7/6/2007
-- Class B, $50,196,000, affirmed at Aa2; previously affirmed at
Aa2 on 7/6/2007
-- Class C, $23,424,000, affirmed at Aa3; previously affirmed at
Aa3 on 7/6/2007
-- Class D, $48,849,000, affirmed at A2; previously affirmed at
A2 on 7/6/2007
-- Class E, $23,424,000, downgraded to Baa1 from A3; previously
affirmed at A3 on 7/6/2007
-- Class F, $40,156,000, downgraded to Ba1 from Baa1; previously
affirmed at Baa1 on 7/6/2007
-- Class G, $26,771,000, downgraded to Ba2 from Baa2; previously
affirmed at Baa2 on 7/6/2007
-- Class H, $30,117,000, downgraded to B1 from Baa3; previously
affirmed at Baa3 on 7/6/2007
-- Class J, $10,039,000, downgraded to B2 from Ba1; previously
affirmed at Ba1 on 7/6/2007
-- Class K, $13,386,000, downgraded to B3 from Ba2; previously
affirmed at Ba2 on 7/6/2007
-- Class L, $13,385,000, downgraded to Caa1 from Ba3; previously
affirmed at Ba3 on 7/6/2007
-- Class M, $6,693,000, downgraded to Caa1 from B1; previously
affirmed at B1 on 7/6/2007
-- Class N, $3,346,000, downgraded to Caa3 from B2; previously
affirmed at B2 on 7/6/2007
-- Class P, $10,039,000, downgraded to Caa3 from B3; previously
affirmed at B3 on 7/6/2007
JP MORGAN: Moody's Affirms Ratings on 15 2003-CIBC7 Certificates
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 15 classes and
downgraded eight classes of J.P. Morgan Chase Commercial Mortgage
Securities Corp., Commercial Mortgage Pass-Through Certificates,
Series 2003-CIBC7. The downgrades are due to higher expected
losses for the pool resulting from higher credit quality
dispersion and anticipated losses from loans in special servicing.
The action is the result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
As of the June 12, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 14%
to $1.3 billion from $1.5 billion at securitization. The
Certificates are collateralized by 170 mortgage loans ranging in
size from less than 1% to 12% of the pool, with the top 10 loans
representing 36% of the pool. The pool includes three loans with
investment grade underlying ratings, representing 19% of the pool.
Twenty three loans, representing 17% of the pool, have defeased
and are secured by U.S. Government securities.
Thirty-two loans, representing 32% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
One loan has been liquidated from the pool, resulting in a
realized loss of approximately $2.6 million. Eight loans,
representing 5% of the pool, are currently in special servicing.
Moody's estimates an aggregate loss of approximately $30 million
(49% loss severity on average) for the specially serviced loans.
Moody's was provided with year-end 2008 operating results for 93%
of the performing loans. Moody's loan to value ratio for the
conduit component is 84%, essentially the same as Moody's prior
full review in July 2007. Moody's stressed Debt Service Coverage
Ratio for the conduit pool is 1.38X compared to 1.30X at last
review. Moody's stressed DSCR is based on Moody's net cash flow
and a 9.25% stressed rate applied to the loan balance. Moody's
uses the Herfindahl index to measure diversity of loan size. The
pool has a Herf of 25 compared to 30 at last review. The credit
neutral herf score is 40.
The largest loan with an underlying rating is the Forum Shops Loan
($146.8 million -- 11.6%), which represents a participation
interest in a $439.7 million first mortgage loan. The loan is
secured by a 637,000 square foot retail center located in Las
Vegas, Nevada. The property is also encumbered by an
$80.5 million B Note which secures non-pooled Classes FS-1, FS-2,
FS-3 and FS-4. The center was 98% occupied as of December 2008,
the same as last review. Comparable sales for tenants less than
10,000 square feet were $1,439 per square foot for calendar year
2008, compared to $1,571 per square foot at last review. The loan
sponsor is Simon Property Group LP (Moody's unsecured debt rating
is A3 -- stable outlook). Moody's stressed DSCR for the
participation interest is 1.74X compared to 1.70X at last review.
Moody's current underlying ratings for the participation interest
and B Note are Aaa and A2, respectively, the same as last review.
The second loan with an underlying rating is the One Post Office
Square Loan ($57.1 million -- 4.5%), which represents a
participation interest in a $114.2 million first mortgage loan.
The loan is secured by a 766,000 square foot Class A office
building located in Boston, Massachusetts. The property was 87%
occupied as of December 2008, a decrease from 100% at last review.
The largest tenants include Putnam Investments (34% NRA; lease
expiration March 2019), Sullivan & Worcester (13% NRA; lease
expiration December 2011) and Jones Lang LaSalle (7% NRA; lease
expiration December 2016). Moody's stressed DSCR is 1.66X
compared to 1.70X at last review. Moody's underlying rating is A1
compared to Aa3 at last review.
The third loan with an underlying rating is the Brown Noltemeyer
Portfolio Loan ($31.9 million -- 2.5%), which consists of five
cross collateralized and cross defaulted loans secured by eight
multifamily properties. The properties total 2,087 units and are
all located in Louisville, Kentucky. The loan is structured with
a 17-year amortization schedule and has amortized by approximately
10% since last review. Moody's stressed DSCR is 1.73X compared to
1.64X at last review. Moody's current underlying rating is Aa2,
the same as last review.
The top three non-defeased conduit loans represent 11.4% of the
outstanding pool balance. The largest conduit loan is the
Hometown America Portfolio III Loan ($59.6 million -- 4.7%), which
is secured by five manufactured housing communities. The
properties are located in four states and contain a total of 1,953
pads. The portfolio was 86% occupied as of January 2009,
essentially the same as last review. Moody's LTV is 97% compared
to 94% at last review. Moody's stressed DSCR is 1.03X, the same
as at last review.
The second largest conduit loan is the Potomac Run Loan
($43.5 million -- 3.4%), which is secured by a 362,000 square foot
community shopping center located in Sterling (Loudoun County),
Virginia. The center was 95% occupied as of December 2008,
compared to 100% at last review. The largest tenants include Toys
R'Us, Michaels and Office Depot, which collectively occupy 30% of
the premises. Property performance has declined since last review
due to the loss of Circuit City. Moody's LTV is 102% compared to
93% at last review. Moody's stressed DSCR is 0.98X compared to
1.05X at last review.
The third largest conduit loan is the Colony Cove Loan
($41.1 million -- 3.3%), which is secured by a 2,210-pad mobile
home park located approximately 40 miles south of Tampa in
Ellenton, Florida. The property was 93% occupied as of December
2009, compared to 96% at last review. The loan was structured with
a 20-year amortization schedule, and has amortized by
approximately 8% since last review. Moody's LTV is 61% compared
to 63% at last review. Moody's stressed DSCR is 1.68X compared to
1.54X at last review.
Moody's rating action is:
-- Class A2, $79,230,342, affirmed at Aaa; previously affirmed
at Aaa on 7/23/2007
-- Class A3, $191,758,000, affirmed at Aaa; previously affirmed
at Aaa on 7/23/2007
-- Class A4, $390,000,000, affirmed at Aaa; previously affirmed
at Aaa on 7/23/2007
-- Class A1A, $329,406,348, affirmed at Aaa; previously affirmed
at Aaa on 7/23/2007
-- Class X-1, $1,182,285,161, affirmed at Aaa; previously
affirmed at Aaa on 7/23/2007
-- Class X-2, $840,060,000, affirmed at Aaa; previously affirmed
at Aaa on 7/23/2007
-- Class B, $34,689,000, affirmed at Aaa; previously upgraded to
Aaa from Aa2 on 7/23/2007
-- Class C, $13,875,000, affirmed at Aaa; previously upgraded to
Aaa from Aa3 on 7/23/2007
-- Class D, $27,751,000, affirmed at Aa3; previously upgraded to
Aa3 from A2 on 7/23/2007
-- Class E, $15,610,000, affirmed at A2; previously upgraded to
A2 from A3 on 7/23/2007
-- Class F, $17,345,000, affirmed at Baa; previously affirmed at
Baa1 at on 7/23/2007
-- Class G, $10,407,000, downgraded to Baa3 from Baa2;
previously affirmed at Baa2 on 7/23/2007
-- Class H, $19,078,000, downgraded to Ba3 from Baa3; previously
affirmed at Baa3 on 7/23/2007
-- Class J, $5,204,000, downgraded to B2 from Ba1; previously
affirmed at Ba1 on 7/23/2007
-- Class K, $5,203,000, downgraded to B3 from Ba2; previously
affirmed at Ba2 on 7/23/2007
-- Class L, $8,672,000, downgraded to Caa1 from Ba3; previously
affirmed at Ba3 on 7/23/2007
-- Class M, $8,673,000, downgraded to Caa2 from B1; previously
affirmed at B1 on 7/23/2007
-- Class N, $3,469,000, downgraded to Caa3 from B2; previously
affirmed at B2 on 7/23/2007
-- Class P, $3,468,000, downgraded to Caa3 from B3; previously
affirmed at B3 on 7/23/2007
-- Class FS-1, $12,669,526, affirmed at Aa1; previously upgraded
to Aa1 from Aa2 on 7/23/2007
-- Class FS-2, $12,574,977, affirmed at Aa2; previously upgraded
to Aa2 from Aa3 on 7/23/2007
-- Class FS-3, $12,480,428, affirmed at Aa3; previously upgraded
to Aa3 from A1 on 7/23/2007
-- Class FS-4, $42,641,464, affirmed at A2; previously upgraded
to A2 from A3 on 7/23/2007
JP MORGAN: Moody's Downgrades Ratings on 217 Tranches
-----------------------------------------------------
Moody's Investors Service has downgraded 217 tranches and
confirmed 3 tranches from 9 deals issued by J.P. Morgan Mortgage
Trust and CHL Mortgage Pass-Through Trust in 2006 and 2008.
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 2006-20
-- Cl. 1-A-1, Downgraded to B2; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to B2; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to B1; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to Ba3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-6, Downgraded to Caa1; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-8, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-9, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-10, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-11, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-12, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-13, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-14, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-15, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-16, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-17, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-18, Downgraded to Ba3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-19, Downgraded to Ba3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-20, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-21, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-22, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-23, Downgraded to Caa1; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-24, Downgraded to Caa1; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-25, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-26, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-27, Downgraded to B2; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-28, Downgraded to B2; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-29, Downgraded to B2; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-30, Downgraded to B2; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-31, Downgraded to B2; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-32, Downgraded to B2; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-33, Downgraded to B2; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-34, Downgraded to B2; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-35, Downgraded to B2; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-36, Downgraded to B2; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-37, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. PO, Downgraded to B3; previously on 3/19/2009 Ba2 Placed
Under Review for Possible Downgrade
-- Cl. X, Downgraded to Ba3; previously on 3/19/2009 A2 Placed
Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2006-J4
-- Cl. A-1, Downgraded to B2; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Caa1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to B2; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to Caa1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to B2; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to Caa1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. PO, Downgraded to B3; previously on 3/19/2009 Baa1 Placed
Under Review for Possible Downgrade
-- Cl. X, Downgraded to B2; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
CHL Mortgage Pass-Through Trust 2008-1
-- Cl. A-1, Downgraded to Ba3; previously on 4/9/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Baa1; previously on 4/9/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to A3; previously on 4/9/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to A3; previously on 4/9/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Baa2; previously on 4/9/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. PO, Downgraded to Ba3; previously on 4/9/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. X, Downgraded to A2; previously on 4/9/2009 Aaa Placed
Under Review for Possible Downgrade
J.P. Morgan Mortgage Trust 2006-A3
-- Cl. 1-A-1, Downgraded to Caa1; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ca; previously on 3/19/2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to B3; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Caa1; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa1; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Ca; previously on 3/19/2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Caa1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Caa1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Baa2; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Downgraded to Caa2; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-6, Downgraded to Ca; previously on 3/19/2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Ca; previously on 3/19/2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 5-A-2, Downgraded to Ba3; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 5-A-3, Downgraded to Ca; previously on 3/19/2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to Aa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 6-A-2, Downgraded to Baa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 7-A-1, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 7-A-2, Downgraded to Baa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
J.P. Morgan Mortgage Trust 2006-A5
-- Cl. 1-A-1, Downgraded to Caa1; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to B3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to B2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to B3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to B3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to Ca; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to B3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Caa1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Caa1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to B3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Downgraded to Caa1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-6, Downgraded to Caa1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-7, Downgraded to Ca; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to B3; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Ca; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Caa1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 5-A-2, Downgraded to Ca; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to B3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 6-A-2, Downgraded to Ca; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. P, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
J.P. Morgan Mortgage Trust 2006-S1
-- Cl. 1-A-1, Downgraded to Baa1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to A3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Baa1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Baa1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Baa2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Baa1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to Baa2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-6, Downgraded to Baa1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-8, Downgraded to Baa2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-9, Downgraded to Baa1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Baa2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to A1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Baa2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Downgraded to Baa1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-6, Downgraded to Baa2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-7, Downgraded to Baa1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-8, Downgraded to Baa2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-M, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to Baa1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to A3; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. P, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
J.P. Morgan Mortgage Trust 2006-S2
-- Cl. 1-A-1, Downgraded to Ba3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ca; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-6, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-8, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-9, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-10, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-11, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-12, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-13, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-14, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-15, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-16, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-17, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-18, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-19, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-20, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-21, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-22, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-23, Downgraded to Ca; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-24, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-6, Downgraded to Ca; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-7, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-8, Downgraded to B2; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-9, Downgraded to Ca; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-10, Downgraded to B2; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-11, Downgraded to B2; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-12, Downgraded to B2; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-13, Downgraded to Ca; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-14, Downgraded to B2; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to B3; previously on 3/19/2009 Ba2 Placed
Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
J.P. Morgan Mortgage Trust 2006-S3
-- Cl. 1-A-1, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ba1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Baa3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to B1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-8, Downgraded to Ba3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-9, Downgraded to B1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-10, Downgraded to B1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-11, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-12, Downgraded to Ba3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-13, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-14, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-15, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-16, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-17, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-18, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-19, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-21, Downgraded to Baa3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-22, Downgraded to Baa3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-23, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-24, Downgraded to Baa3; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-25, Downgraded to Caa1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-26, Downgraded to Ba3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-27, Downgraded to Caa1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-28, Downgraded to Ba3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-29, Downgraded to Caa1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-30, Downgraded to B1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-31, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Ba3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to Ba3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-6, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-7, Downgraded to B2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-8, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Baa3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. P, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
J.P. Morgan Mortgage Trust 2006-S4
-- Cl. A-1, Downgraded to Baa2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Baa2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ca; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Baa1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-13, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. M, Downgraded to C; previously on 3/19/2009 B3 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.
JPMORGAN CHASE: S&P Downgrades Ratings on Class P Certs. to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating to 'D' from
'CCC-' on the class P certificates from JPMorgan Chase Commercial
Mortgage Securities Corp.'s series 2004-CIBC8.
The downgrade of the class P certificates resulted primarily from
interest shortfalls to these classes. These shortfalls are the
result of appraisal subordinate entitlement reductions in effect
for two assets, as well as special servicing fees payable in
connection with the three assets currently with the special
servicer, ORIX Capital Markets LLC.
Interest shortfalls currently affect the trust and are expected to
do so for the foreseeable future. As of the June 12, 2009,
remittance report, monthly interest shortfalls were $20,523.
Given the status of the specially serviced loans, S&P does not
expect improvement in the shortfalls currently affecting the
trust.
Details of the two assets giving rise to the ASERs are:
-- The Hebron Heights loan ($9.1 million, 0.8% of the pool) is
secured by a 59,429-sq.-ft. unanchored retail center in
Carrolton, Texas. The property was foreclosed upon on May 5,
2009, and is currently real estate owned. The property is
currently 50% occupied and is being marketed for sale. An
appraisal dated Feb. 20, 2009, valued the property at
$4.1 million, resulting in a monthly ASER of $12,453.
-- The Sunrise Plaza loan ($2.5 million, 0.2% of the pool) is
secured by a 13,275-sq.-ft. unanchored retail center in Mount
Prospect, Illinois. The loan was transferred to the special
servicer on Jan. 9, 2009, and is currently the subject of
foreclosure proceedings, which were initiated on April 30,
2009. The property is expected to reach 50% vacancy, and
negotiations are in progress for a deed-in-lieu of
foreclosure. An appraisal dated Feb. 27, 2009, valued the
property at $3.2 million, resulting in a monthly ASER of
$3,332.
Rating Lowered
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2004-CIBC8
Rating
------
Class To From Credit Enhancement (%)
----- -- ---- ----------------------
P D CCC- 0.16
KEYBANK REAL: Fitch Affirms 'CPS1' Primary Servicer Rating
----------------------------------------------------------
In conjunction with the recent update of its U.S. CMBS servicer
rating criteria, Fitch Ratings has affirmed 33 CMBS servicer
ratings across 16 companies.
Fitch Ratings has updated its U.S. CMBS servicer rating criteria
to reflect current commercial real estate market conditions and
their effect on mortgage servicing. These changes have resulted
in moderate rating movement for certain servicers, as detailed in
several press releases also published as well as ratings
affirmations.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
The companies that had their CMBS servicer ratings affirmed are:
Babson Capital Management, LLC;
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Bank of America, N.A.;
-- Primary servicer at 'CPS1-';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2-'.
DB Mortgage Services, LLC;
-- Primary servicer at 'CPS2-';
-- Special servicer at 'CSS3'.
GE Capital Realty Group;
-- Special servicer at 'CSS2+'.
GEMSA Loan Services, L.P.;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1-'.
Helios AMC, LLC;
-- Special servicer at 'CSS3'.
ING Clarion Capital Loan Services, LLC;
-- Special servicer at 'CSS2+'.
KeyBank Real Estate Capital;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS2+'.
Midland Loan Services;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS1'.
National Cooperative Bank;
-- Special servicer at 'CSS3'.
ORIX Capital Markets, LLC;
-- Special servicer at 'CSS3+'.
Pacific Life Insurance Company;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2'.
Protective Life Insurance Company;
-- Primary servicer at 'CPS3+';
-- Master servicer at 'CMS3';
-- Special servicer at 'CSS3+';
Prudential Asset Resources;
-- Primary servicer at 'CPS2+';
-- Master servicer at 'CMS2';
-- Special servicer at 'CSS2- '.
Situs Asset Management;
-- Primary servicer at 'CPS3';
-- Special servicer at 'CSS3'.
TriMont Real Estate Advisors, Inc.
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Additionally, these ratings remain on Rating Watch Negative by
Fitch:
Capmark Finance
-- Primary servicer 'CPS2-';
-- Master servicer 'CMS3-';
-- Special servicer 'CSS2-'.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
LB-UBS COMMERCIAL: S&P Downgrades Ratings on 2006-C1 Certificates
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class Q and S commercial mortgage pass-through certificates from
LB-UBS Commercial Mortgage Trust 2006-C1 to 'D'.
S&P downgraded classes Q and S to 'D' because S&P believes these
classes are likely to have outstanding interest shortfalls for
more than a year. S&P attribute the shortfalls in part to the
reimbursement of advances that the master servicer, Wachovia Bank
N.A., had made for the Palmiers Apartments loan ($4.2 million;
0.2%), which is with the special servicer, LNR Partners Inc.
Reimbursements to Wachovia as of the June 17, 2009, remittance
report totaled $211,294.
The lowered ratings also reflect interest shortfalls resulting
from appraisal subordinate entitlement reductions that are in
effect for two of the eight assets ($146.0 million; 6.1%) that are
with the special servicer. S&P expects these shortfalls to
continue. The ASERs for the two specially serviced loans totaled
$7,867 as of the June 17, 2009, remittance date.
Details of the two assets with the special servicer that are
causing the ASERs are:
-- Park Terrace Apartments ($3.8 million; 0.2%) is secured by a
115-unit multifamily property built in 1965 in Colorado
Springs, Colorado. The loan was transferred to the special
servicer in April 2009 and is currently more than 90 days
past due. The special servicer is moving to foreclose on the
property. According to the June 17, 2009, remittance report,
an appraisal reduction amount totaling $950,726 is in effect
for this asset. The related ASER amount was $4,651.
-- Northern Pine ($2.7 million, 0.1%) is secured by a 15,750-
sq.-ft. office building built in 2003 in Warrendale,
Pennsylvania, as well as a 6,000-sq.-ft. retail property
built in 1976 in Wexford, Pennsylvania. Both properties are
approximately 10 miles north of Pittsburgh. The loan was
transferred to the special servicer in January 2009 and is
currently more than 90 days past due. The special servicer
is moving to foreclose on the property. According to the
June 17, 2009, remittance report, an ARA totaling $668,172 is
in effect for this asset. The related ASER amount was
$3,217.
Lastly, S&P expects ongoing interest shortfalls resulting from
special servicing fees, which totaled $62,749 according to the
June 17, 2009, remittance report, of which approximately $49,000
was attributed to the Chapel Hills Mall loan ($115.5 million;
4.7%). General Growth Properties, which is in bankruptcy, owns
this property, which it built in 1982 in Colorado Springs,
Colo.
Ratings Lowered
LB-UBS Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-C1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
Q D CCC+ 0.754
S D CCC 0.498
LEHMAN XS: Moody's Confirms Ratings on 2005-1 NIM Securities
------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of Lehman XS
NIM 2005-1 net interest margin securities backed by a residential
mortgage-backed securitization. This NIM transaction relies on
residual cash flows and prepayment penalties generated by the
underlying mortgage-backed securitization as well as interest
payments made to an interest only bond which has been pledged to
the NIM.
The cash flows are sensitive to a number of factors:
i) Prepayment speeds on the collateral backing the RMBS
ii) Magnitude and timing of losses incurred on the collateral
backing the underlying RMBS
iii) Impact of trigger breaches (which in turn affects step-down
and release of cash to residual bondholders) and
iv) Volume and magnitude of interest rate modifications (which
affects excess spread).
These securities have been downgraded due to poor performance on
the underlying transactions that has negatively impacted residual
payments to the NIM holders.
Moody's analysis of NIM transactions primarily focuses on each
transaction's recent average monthly principal paydown rate as
well as the projected residual cashflows on the underlying
transaction. The potential sources of cash to the NIM include i)
excess spread net of projected future losses, ii) excess
overcollateralization in the event of a step-down, iii)
collections of prepayment penalties and iv) interest payments to
the IO bond. To the extent the NIM has accrued unpaid interest
obligations that must be paid prior to retiring the outstanding
principal, such amounts have also been taken into account when
evaluating the expected severity of loss to the NIM bondholders.
As delinquency and losses have accumulated in the transactions
underlying the NIMs, residual cash flows have severely declined
and, in most cases, disappeared. As a result, the large majority
of these transactions have not received principal payments in
recent months and many have accrued unpaid interest. Projected
future loss levels on the large majority of underlying
transactions are now higher than previously estimated. These
elevated loss levels further reduce the likelihood that the net
interest margin securities will ultimately be paid in full.
Conplete list of actions is:
Issuer: Lehman XS Net Interest Margin Notes Series 2005-1
-- Cl. A, Confirmed at B2; previously on 4/15/2009 B2 Placed
Under Review for Possible Downgrade
-- Cl. B, Confirmed at Ca; previously on 4/15/2009 Ca Placed
Under Review for Possible Downgrade
LIBERTY CLO: Moody's Downgrades Ratings on Various Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Liberty CLO, Ltd.:
-- US$68,500,000 Class A-2 Floating Rate Senior Secured
Extendable Notes due 2017, Downgraded to A1; previously on
3/4/2009 Aaa Placed Under Review for Possible Downgrade;
-- US$68,500,000 Class A-3 Floating Rate Senior Secured
Extendable Notes due 2017; Downgraded to Baa1; previously on
3/4/2009 Aa1 Placed Under Review for Possible Downgrade;
-- US$43,000,000 Class A-4 Floating Rate Senior Secured
Extendable Notes due 2017; Downgraded to Baa3; previously on
3/4/2009 Aa2 Placed Under Review for Possible Downgrade;
-- US$49,000,000 Class B Floating Rate Deferrable Senior Secured
Extendable Notes due 2017; Downgraded to B1; previously on
3/18/2009 Downgraded to Ba1 and Placed Under Review for
Possible Downgrade;
-- US$52,000,000 Class C Floating Rate Deferrable Senior Secured
Extendable Notes due 2017; Downgraded to Ca; previously on
3/18/2009 Downgraded to B1 and Placed Under Review for
Possible Downgrade;
-- US$20,000,000 Class Q-1 Combination Extendable Securities due
2017; Downgraded to Caa3; previously on 3/4/2009 Baa2 Placed
Under Review for Possible Downgrade;
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
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
B Overcollateralization Test, Class C Overcollateralization Test
and Reinvestment Overcollateralization Test. The weighted average
rating factor has steadily increased over the last year and it is
currently at 2715 versus a test level of 2700 as of the last
trustee report, dated 4/21/2009. Based on the same report,
defaulted securities total about $63 million, accounting for
roughly 6.9% of the collateral balance, and securities rated Caa1
or lower make up approximately 16.64% of the underlying portfolio.
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.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from trustee's reported numbers.
Liberty CLO, Ltd., issued in 12/8/2005, 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.
LIME STREET: Moody's Downgrades Ratings on Various Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Lime Street CLO, Ltd.:
-- US$290,000,000 Class A Senior Floating Rate Notes Due 2021,
Downgraded to Aa3; previously on August 8, 2007 Assigned Aaa;
-- US$30,000,000 Class B Senior Floating Rate Notes Due 2021,
Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$12,600,000 Class E Deferrable Floating Rate Notes Due
2021, Downgraded to Ca; previously on March 13, 2009
Downgraded to Caa2 and Placed Under Review for Possible
Downgrade.
In addition, Moody's has confirmed the ratings on these notes:
-- US$22,000,000 Class C Deferrable Floating Rate Notes Due
2021, Confirmed at Ba1; previously on March 13, 2009
Downgraded to Ba1 and Placed Under Review for Possible
Downgrade;
-- US$15,000,000 Class D Deferrable Floating Rate Notes Due
2021, Confirmed at B1; previously on March 13, 2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
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 2832 as of the last trustee report, dated
May 5, 2009. Based on the same report, defaulted securities total
about $22 million, accounting for roughly 5.8% of the collateral
balance, and securities rated Caa1 or lower by Moody's or CCC+ or
lower by S&P make up approximately 5.9% of the underlying
portfolio. 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. These four industries account for approximately
13.5% of the transaction's underlying collateral pool.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from trustee's reported numbers.
Lime Street CLO, Ltd., issued in August 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.
LNR PARTNERS: Fitch Downgrades Special Servicer Ratings to 'CSS1'
-----------------------------------------------------------------
Fitch Ratings has downgraded LNR Partners, Inc.'s special servicer
rating:
-- Special servicer to 'CSS1-' from 'CSS1'.
Fitch's rating action is based on the recent update of Fitch's
servicer rating criteria.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
LNR's special servicer rating downgrade is due to increased
emphasis on financial condition. LNR's scoring in this area was
negatively impacted during the criteria update.
The ratings of the CMBS transactions serviced by LNR are not
expected to be negatively impacted by the servicer downgrade.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
MEZZ CAP: Fitch Puts Ratings on Various Bonds on Negative Watch
---------------------------------------------------------------
Following a review of the Mezz Cap Commercial Mortgage Trust,
series 2004-C1, 2004-C2, 2005-C3, 2006-C4, and 2007-C5 U.S. CMBS
transactions, Fitch Ratings places these bonds on Rating Watch
Negative:
Mezz Cap Series 2004-C1
-- $23.7 million class A 'AAA'; Rating Watch Negative;
-- $2.8 million class B 'AA+'; Rating Watch Negative;
-- $2.3 million class C 'AA-'; Rating Watch Negative;
-- $2.8 million class D 'BBB'; Rating Watch Negative;
-- $1.5 million class E 'BBB-'; Rating Watch Negative;
-- $1.6 million class F 'BB'; Rating Watch Negative;
-- $1.1 million class G 'B'; Rating Watch Negative.
Mezz Cap Series 2004-C2
-- $34.1 million class A 'AAA'; Rating Watch Negative;
-- $2.1 million class B 'AA'; Rating Watch Negative;
-- $1.6 million class C 'A'; Rating Watch Negative;
-- $2.6 million class D 'BBB-'; Rating Watch Negative;
-- $1.0 million class E 'BB'; Rating Watch Negative;
-- $1.8 million class F 'BB-'; Rating Watch Negative;
-- $1.2 million class G 'B'; Rating Watch Negative;
-- $3.9 million class H 'CCC/RR1'; Rating Watch Negative.
Mezz Cap Series 2005-C3
-- $40.9 million class A 'A'; Rating Watch Negative;
-- $1.8 million class B 'BBB+'; Rating Watch Negative;
-- $1.9 million class C 'BBB'; Rating Watch Negative;
-- $3.2 million class D 'BB-'; Rating Watch Negative;
-- $1.8 million class E 'B'; Rating Watch Negative;
-- $1.6 million class F 'B-'; Rating Watch Negative;
-- $1.7 million class G 'CCC/RR1'; Rating Watch Negative.
Mezz Cap Series 2006-C4
-- $59.8 million class A 'A'; Rating Watch Negative;
-- $2.2 million class B 'BBB'; Rating Watch Negative;
-- $2.2 million class C 'BB'; Rating Watch Negative;
-- $3.6 million class D 'BB-'; Rating Watch Negative;
-- $1.2 million class E 'B+'; Rating Watch Negative;
-- $2.6 million class F 'B-'; Rating Watch Negative;
-- $6.9 million class G 'CC/RR3'; Rating Watch Negative.
Mezz Cap Series 2007-C5
-- $39.6 million class A 'A'; Rating Watch Negative;
-- $1.2 million class B 'BBB'; Rating Watch Negative;
-- $1.6 million class C 'BB'; Rating Watch Negative;
-- $2.3 million class D 'BB-'; Rating Watch Negative;
-- $1.1 million class E 'B+'; Rating Watch Negative;
-- $1.8 million class F 'B-'; Rating Watch Negative;
-- $4.4 million class G 'CC/RR4'; Rating Watch Negative.
The Rating Watches are the result of additional specially serviced
loans and increased loss expectations since Fitch's last rating
action on each respective transaction. While in most cases losses
have not yet been realized, the higher leverage on the loans,
coupled with a sharp decline in macroeconomic conditions, makes
substantial losses to the trusts likely. In addition, interest
shortfalls have or are expected to affect senior classes. As a
result, significant rating downgrades of several categories, in
some cases, are expected.
The transactions' delinquencies generally far exceed the average
delinquencies of typical CMBS deals. Total delinquencies of 30
days or more for each transaction are: Mezz Cap 2004-C1, 16.5%;
Mezz Cap 2004-C2, 10%; Mezz Cap 2005-C3, 13.2%; Mezz Cap 2006-C4,
20.1%; and Mezz Cap 2007-C5, 20.6%. Fitch Loans of Concern make up
between 28.4% and 47.3% of each transaction.
Fitch expects to resolve the Rating Watches after reviewing
updated rent rolls, operating statements, and reports obtained
from both the B note and the corresponding A note servicers. In
determining which loans are expected to incur losses, Fitch will
review evaluations provided by the servicer and evaluated expected
workout strategies. After expected losses are applied, new credit
enhancement levels will be calculated.
Across the transactions, each mortgage loan consists of two notes:
the A note, or senior component, which is not included in each
respective trust's mortgage assets, and the B note. The B notes
in each pool consist of subordinate interests in the first
mortgage loans. All loans are secured by traditional commercial
real estate property types and are subject to standard
intercreditor agreements that limit the rights and remedies of the
B note holder in the event of default and upon refinancing. Due
to their subordinate positions, B notes which default and incur a
loss are typically 100% non-recoverable. Advancing typically
ceases once a loan becomes 30 days past due.
MICHIGAN TOBACCO: Fitch Affirms Ratings on Two Series 2008 Bonds
----------------------------------------------------------------
Fitch Ratings affirms two and downgrades one class from Michigan
Tobacco Settlement Financing Authority, tobacco settlement asset-
backed bonds, series 2008:
-- $114,860,000 series 2008A turbo current interest bonds due
June 1, 2042 affirmed at 'BBB+'; Outlook Stable;
-- $29,874,650 series 2008B taxable capital appreciation turbo
term bonds due June 1, 2046 affirmed at 'BBB'; Outlook
Negative;
-- $57,673,814 series 2008C capital appreciation turbo term
bonds due June 1, 2058 downgraded to 'BB' from 'BBB-';
Outlook Negative.
The various actions are based on the level of stress each class is
able to withstand as indicated by Fitch's new breakeven cash flow
model. The model indicates, for each class of bonds, the level of
the annual Master Settlement Agreement payment percent change the
trust would be able to sustain and still pay the bond in full by
the legal final date. The base case 'B' corresponds to a 1%
increase in the MSA payment received by the trust every year. The
'BBB' category corresponds to an annual MSA payment decline of up
to 1.25%. The cash flow model accounts for the amount of the
latest reported MSA payment that the transaction has received, the
capital structure, the reserve account, and the bonds' legal final
dates.
The bond payments are also tied to the tobacco companies making
MSA payments. Tobacco settlement bonds can be rated up to 'BBB+'
based on Fitch's view of the whole tobacco industry and the
executory nature of the MSA. In the event of a bankruptcy of a
tobacco company, Fitch believes there is an incentive for the
company to continue to make payments under the MSA.
The 2008A bond is affirmed at 'BBB+' as supported by the model
output with a Stable Rating Outlook. The 2008B bond is affirmed
at 'BBB', and the 2008C bond is downgraded to 'BB'. Both bonds
are placed on Outlook Negative as the breakeven levels are
indicative of lower ratings and the bonds may be downgraded
depending on the amount of the future MSA payments received by the
trust.
Michigan Tobacco Settlement Financing Authority, tobacco
settlement asset-backed bonds, series 2008 bonds are secured by
the pledged payments made under the MSA. The pledged payments
consist of Michigan's share of perpetual annual payments and
strategic contribution payments by the original participating
manufacturers and subsequent participating manufacturers. The
OPMs at the time of the original agreement were Philip Morris USA,
Inc.; R.J. Reynolds Tobacco Company; Brown & Williamson Tobacco
Corporation; and Lorillard Tobacco Company. The amount of annual
MSA payments received by the trust are mainly affected by the
tobacco consumption level and inflation rate, as well as state
specific adjustments, as specified in the MSA.
MIDLAND LOAN: Fitch Affirms 'CPS1' Primary Servicer Rating
----------------------------------------------------------
In conjunction with the recent update of its U.S. CMBS servicer
rating criteria, Fitch Ratings has affirmed 33 CMBS servicer
ratings across 16 companies.
Fitch Ratings has updated its U.S. CMBS servicer rating criteria
to reflect current commercial real estate market conditions and
their effect on mortgage servicing. These changes have resulted
in moderate rating movement for certain servicers, as detailed in
several press releases also published as well as ratings
affirmations.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
The companies that had their CMBS servicer ratings affirmed are:
Babson Capital Management, LLC;
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Bank of America, N.A.;
-- Primary servicer at 'CPS1-';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2-'.
DB Mortgage Services, LLC;
-- Primary servicer at 'CPS2-';
-- Special servicer at 'CSS3'.
GE Capital Realty Group;
-- Special servicer at 'CSS2+'.
GEMSA Loan Services, L.P.;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1-'.
Helios AMC, LLC;
-- Special servicer at 'CSS3'.
ING Clarion Capital Loan Services, LLC;
-- Special servicer at 'CSS2+'.
KeyBank Real Estate Capital;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS2+'.
Midland Loan Services;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS1'.
National Cooperative Bank;
-- Special servicer at 'CSS3'.
ORIX Capital Markets, LLC;
-- Special servicer at 'CSS3+'.
Pacific Life Insurance Company;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2'.
Protective Life Insurance Company;
-- Primary servicer at 'CPS3+';
-- Master servicer at 'CMS3';
-- Special servicer at 'CSS3+';
Prudential Asset Resources;
-- Primary servicer at 'CPS2+';
-- Master servicer at 'CMS2';
-- Special servicer at 'CSS2- '.
Situs Asset Management;
-- Primary servicer at 'CPS3';
-- Special servicer at 'CSS3'.
TriMont Real Estate Advisors, Inc.
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Additionally, these ratings remain on Rating Watch Negative by
Fitch:
Capmark Finance
-- Primary servicer 'CPS2-';
-- Master servicer 'CMS3-';
-- Special servicer 'CSS2-'.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
MILLSTONE FUNDING: Fitch Junks Ratings on Funding Notes From 'B'
----------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed three classes of
notes issued by Millstone Funding, Ltd.:
-- $839,412,784 funding notes downgraded to 'CCC' from 'B';
-- $38,155,127 class A-1 notes affirmed at 'CCC';
-- $10,000,000 class A-2 notes affirmed at 'CC';
-- $65,000,000 class B notes affirmed at 'C'.
Additionally, the funding notes have been removed from Rating
Watch Negative. The notes were not assigned Rating Outlooks as
Fitch does not assign Rating Outlooks to classes rated 'CCC' or
below.
These rating actions are a result of the significant collateral
deterioration within the portfolio, specifically subprime and
alternative-A U.S. residential mortgage-backed securities bonds
and structured finance collateralized debt obligations with
underlying exposure to RMBS, which has continued since the last
rating action.
There has been significant negative credit migration within the
portfolio with 73.9% of the total portfolio downgraded a weighted
average of 8.95 notches since Fitch took its last rating action.
Presently 59.7% of the portfolio is rated below investment grade,
of which 45.1% is rated 'CCC' or lower. Additionally, as of the
April 2009 trustee report, 32.6%, or $303.4 million, of the
current portfolio is now considered defaulted per the
transaction's governing documents.
The extensive collateral deterioration within the portfolio has
caused the each of the overcollateralization ratios to further
decline and fall below 100%, breaching their respective covenants.
The class A OC test has been failing since February 2008. The
April 2009 trustee report shows the class A OC ratio is 58.5%,
versus its covenant of 104.8%. Similarly, the class B OC ratio
has dropped to 54.4% compared to its trigger of 98.7%.
The failure of the class A OC test has caused all interest
proceeds otherwise available to pay interest to the class B notes,
to be used to amortize down the funding notes and the class A-1
notes, pro-rata. Since closing, approximately 4.6% of the
original balance of the funding notes and the class A-1 notes has
paid down. Fitch expects both classes of notes to continue to
receive their timely interest payments for the foreseeable future.
Given the composition and performance of the portfolio, Fitch
projects that the funding notes and the class A-1 notes will
likely experience some impairment of principal over the remaining
life of the transaction.
The class A-2 notes continue to receive their accrued monthly
interest payments and are expected to do so unless there are
insufficient proceeds available for distribution. The notes are
not expected to receive any repayments of principal in the future.
The class B notes have and will continue to pay-in-kind, whereby
the principal balance of the notes is written up by the amount of
unpaid interest due to the class A OC test failure. Fitch does
not expect any future interest or principal payments to any of the
class B notes.
Millstone is a cash flow CDO which closed in February 2004. The
transaction exited the reinvestment period in March 2009. In
February 2009, Stone Tower Debt Advisors, LLC replaced Church
Tavern Advisors, LLC as the manager of this transaction.
Millstone has a portfolio comprised primarily of subprime RMBS
bonds (30.3%), Alt-A RMBS (23.7%), prime RMBS (11.3%), SF CDOs
(31.1%), and other diversified structured finance assets.
Fitch will continue to monitor and review this transaction for
future rating adjustments.
MORGAN STANLEY: S&P Downgrades Ratings on 2006-IQ12 Notes to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D' on
classes O, P, and Q from Morgan Stanley Capital I Trust 2006-IQ12
from 'CCC+', 'CCC', and 'CCC-', respectively.
The downgrades of the class O, P, and Q certificates are primarily
the result of interest shortfalls to these classes. These
shortfalls stem from appraisal subordinate entitlement reductions
in effect for eight assets, as well as special servicing fees
payable for the 18 assets currently with the special servicer,
Centerline Servicing Inc.
Interest shortfalls currently affect the trust, and S&P expects
this to continue for the foreseeable future. According to the
June 15, 2009 remittance report, monthly interest shortfalls were
$171,167, affecting the class O, P and Q certificates. Given the
status of the specially serviced loans and the expectation of
additional appraisal reductions, S&P does not expect the
shortfalls to be recovered in the near future.
Two assets are contributing 73.0% of the total ASER amount.
Significant appraisal reduction amounts are in effect against each
of these loans, totaling $19.4 million. Standard & Poor's expects
significant losses upon the resolution of each of these assets.
-- The New Horizon Apartments ($30.3 million, 1.1% of the pool)
asset is a 912-unit multifamily complex in Memphis,
Tennessee. The loan went into foreclosure on Nov. 17, 2008,
and is currently considered real estate owned. The property
is 60% occupied and is currently being marketed for sale. An
appraisal dated May 28, 2008 valued the property at $16.6
million and a new appraisal is currently under review. The
monthly ASER associated with this
loan is $63,851.
-- The Shops at Rock Creek loan ($11.7 million, 0.4% of the
pool) loan is secured by a 61,333 sq.-ft. retail property in
Memphis, Tenn. The loan was transferred to Centerline on
Oct. 1, 2008 due to a payment default, and a court appointed
receiver is currently managing it. Foreclosure is
anticipated to occur on July 1, 2009. The monthly ASER
associated with this loan is $32,155.
Ratings Lowered
Morgan Stanley Capital I Trust 2006-IQ12
Commercial mortgage pass-thru certificates
Rating
------
Class To From Credit Enhancement (%)
----- -- ---- ----------------------
O D CCC+ 1.40
P D CCC 1.14
Q D CCC- 0.76
MOUNTAIN VIEW: Moody's Downgrades Ratings on Various Notes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Mountain View CLO III Ltd.:
-- US$75,000,000 Class A-2 Floating Rate Notes Due April 2021,
Downgraded to A2; previously on March 4, 2009 Aa1 Placed
Under Review for Possible Downgrade;
-- US$25,000,000 Class B Floating Rate Notes Due April 2021,
Downgraded to Baa2; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$31,000,000 Class C Floating Rate Deferrable Notes Due
April 2021, Downgraded to Ba2; previously on March 13, 2009
Downgraded to Ba1 and Placed Under Review for Possible
Downgrade;
-- US$24,000,000 Class D Floating Rate Deferrable Notes Due
April 2021, Downgraded to Caa2; previously on March 13, 2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade;
-- US$14,000,000 Class E Floating Rate Deferrable Notes Due
April 2021, Downgraded to Ca; previously on March 13, 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.
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 E
overcollateralization test. The weighted average rating factor
has increased over the last year and it is currently 2824 as of
the latest trustee report, dated May 29, 2009. Based on the same
report, securities rated Caa1 or lower make up approximately 12%
of the underlying portfolio.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Mountain View CLO III Ltd., issued in May 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.
NASSAU COUNTY: Fitch Affirms Ratings on Six Asset-Backed Bonds
--------------------------------------------------------------
Fitch Ratings affirms six and downgrades one class from Nassau
County Tobacco Settlement Corporation (New York), tobacco
settlement asset-backed bonds, series 2006:
-- $42,645,000 series 2006A-1 taxable senior current interest
bonds due June 1, 2021 at 'BBB+', Outlook Stable;
-- $37,905,609 series 2006A-2 senior convertible bonds due June
1, 2026 at 'BBB+', Outlook Stable;
-- $97,005,000 series 2006A-3 senior current interest bonds due
June 1, 2035 at 'BBB+', Outlook Negative;
-- $194,535,000 series 2006A-3 senior current interest bonds due
June 1, 2046 downgraded to 'BBB', Outlook Stable;
-- $10,670,013 series 2006B first subordinate capital
appreciation bonds due June 1, 2046 at 'BBB', Outlook
Negative;
-- $9,867,332 series 2006C second subordinate capital
appreciation bonds due June 1, 2046 at 'BBB-', Outlook
Negative;
-- $37,604,290 series 2006D third subordinate capital
appreciation bonds due June 1, 2060 at 'BB+', Outlook
Negative.
The various actions are based on the level of stress each class is
able to withstand as indicated by Fitch's new breakeven cash flow
model. The model indicates, for each class of bonds, the level of
the annual Master Settlement Agreement payment percent change the
trust would be able to sustain and still pay the bond in full by
the legal final date. The base case 'B' corresponds to a 1%
increase in the MSA payment received by the trust every year. The
'BBB' category corresponds to an annual MSA payment decline of up
to 1.25%. The cash flow model accounts for the amount of the
latest reported MSA payment that the transaction has received the
capital structure, the reserve account, and the bonds' legal final
dates.
The bond payments are also tied to the tobacco companies making
MSA payments. Tobacco settlement bonds can be rated up to 'BBB+'
based on Fitch's view of the whole tobacco industry and the
executory nature of the MSA. In the event of a bankruptcy of a
tobacco company, Fitch believes there is an incentive for the
company to continue to make payments under the MSA.
Although the delinked rating of the 2006A-1 bond suggested by the
model is 'A-', the bond rating is at the capped rating of 'BBB+'
with Stable Rating Outlook. The 2006A-2 bond is affirmed at the
'BBB+' cap as supported by the model output with Stable Rating
Outlook. The 2006A-3 bond due on 2035, the 2006B bond, the 2006C
bond, and the 2006D bond are affirmed at 'BBB+', 'BBB', 'BBB-',
and 'BB+', respectively; however, the model output suggests that
these bonds are under pressure with breakeven levels indicative of
lower ratings. Therefore, the bonds are being assigned a Negative
Outlook because of the possibility of the bonds being downgraded
depending on the amount of the future MSA payments received by the
trust regardless of the industry assessment. The 2006A-3 bond due
on 2046 is downgraded to 'BBB' with Stable Rating Outlook.
Nassau County Tobacco Settlement Corporation (New York), tobacco
settlement asset-backed bonds, series 2006 bonds are secured by
the pledged payments made under the MSA. The pledged payments
consist of New York's share of perpetual annual payments and
strategic contribution payments by the original participating
manufacturers and subsequent participating manufacturers. The
OPMs at the time of the original agreement were Philip Morris USA,
Inc.; R.J. Reynolds Tobacco Company; Brown & Williamson Tobacco
Corporation; and Lorillard Tobacco Company. The amount of annual
MSA payments received by the trust are mainly affected by the
tobacco consumption level and inflation rate, as well as state
specific adjustments, as specified in the MSA.
NATIONAL COOPERATIVE: Fitch Keeps 'CPS1' Primary Servicer Rating
----------------------------------------------------------------
In conjunction with the recent update of its U.S. CMBS servicer
rating criteria, Fitch Ratings has affirmed 33 CMBS servicer
ratings across 16 companies.
Fitch Ratings has updated its U.S. CMBS servicer rating criteria
to reflect current commercial real estate market conditions and
their effect on mortgage servicing. These changes have resulted
in moderate rating movement for certain servicers, as detailed in
several press releases also published as well as ratings
affirmations.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
The companies that had their CMBS servicer ratings affirmed are:
Babson Capital Management, LLC;
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Bank of America, N.A.;
-- Primary servicer at 'CPS1-';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2-'.
DB Mortgage Services, LLC;
-- Primary servicer at 'CPS2-';
-- Special servicer at 'CSS3'.
GE Capital Realty Group;
-- Special servicer at 'CSS2+'.
GEMSA Loan Services, L.P.;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1-'.
Helios AMC, LLC;
-- Special servicer at 'CSS3'.
ING Clarion Capital Loan Services, LLC;
-- Special servicer at 'CSS2+'.
KeyBank Real Estate Capital;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS2+'.
Midland Loan Services;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS1'.
National Cooperative Bank;
-- Special servicer at 'CSS3'.
ORIX Capital Markets, LLC;
-- Special servicer at 'CSS3+'.
Pacific Life Insurance Company;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2'.
Protective Life Insurance Company;
-- Primary servicer at 'CPS3+';
-- Master servicer at 'CMS3';
-- Special servicer at 'CSS3+';
Prudential Asset Resources;
-- Primary servicer at 'CPS2+';
-- Master servicer at 'CMS2';
-- Special servicer at 'CSS2- '.
Situs Asset Management;
-- Primary servicer at 'CPS3';
-- Special servicer at 'CSS3'.
TriMont Real Estate Advisors, Inc.
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Additionally, these ratings remain on Rating Watch Negative by
Fitch:
Capmark Finance
-- Primary servicer 'CPS2-';
-- Master servicer 'CMS3-';
-- Special servicer 'CSS2-'.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
NCB FSB: Fitch Cuts Primary Servicer Rating to 'CPS2+'
------------------------------------------------------
Fitch Ratings has taken these rating actions on NCB, FSB's
servicer ratings:
-- Primary servicer downgraded to 'CPS2+' from 'CPS1-';
-- Master servicer affirmed at 'CMS2-'.
Fitch's rating actions are based on the recent update of Fitch's
servicer rating criteria.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
NCB's primary servicer rating downgrade is due to increased
weighting associated with financial condition factor as well as
employee experience.
The ratings of the CMBS transactions serviced by NCB are not
expected to be negatively impacted by the servicer downgrade.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
NEXTSTUDENT MASTER: Moody's Confirms Ratings on 23 Classes
----------------------------------------------------------
Moody's Investors Service has confirmed the ratings of 23 classes
of notes from NextStudent Master Trust I. The notes were
downgraded and placed under review for further possible downgrade
on January 28, 2009 due to uncertainties caused by the Master
Servicer and Administrator Default and the related governance
issues of the trust.
On November 28, 2008 the Indenture Trustee, Deutsche Bank Trust
Company Americas, issued a Notice of Defaults with respect to the
Issuer, Master Servicer and Administrator. The Notice of Defaults
stated that the defaults were the result of the failure by Next
Student, Inc. to comply with the Higher Education Act as it
relates to the regulation that requires originators of
consolidation loans to rebate certain fees to the Department of
Education. The Notice of Defaults stated that Next Student failed
to rebate approximately $14.1 million in such fees to the DOE
during the months of November 2007 through August 2008. The
failure of the Master Servicer to remit the rebate fees to the DOE
constitutes a Master Servicer event of default, if it is not
remedied within 60 days of receipt of the Notice of Defaults and
the failure of the Administrator to cause the Issuer to comply
with the HEA constitutes an Administrator event of default, if it
is not remedied within 90 days of the Notice.
In January 2009, NextStudent Inc. was replaced by DBTCA as the
Master Servicer and Administrator. In the same month, the $14.1
million rebate fees that NextStudent Inc. owed to DOE were repaid
by the Trust, which resulted in an approximately 77 basis points
decline in senior parity, or the ratio of total assets to total
senior notes outstanding. The total parity, i.e. the ratio of
total assets to total liabilities decreased from 97.11% in
December 2008 to 96.13% in January 2009.
Currently DBTCA serves as Master Servicer and Administrator of the
Trust. It has outsourced its duties to ACS Asset Management
Group, which in turn contracted with a third party agency to
perform certain of its functions. This arrangement mitigated
Moody's concerns regarding transaction governance. Therefore, the
ratings on the senior bonds were confirmed.
The complete rating actions are:
Issuer: NextStudent Master Trust I
-- $72,800,000 Series 2006A-1 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $72,800,000 Series 2006A-2 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $56,800,000 Series 2006A-3 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $62,800,000 Series 2006A-4 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $26,500,000 Series 2006A-5 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $68,500,000 Series 2006A-6 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $57,100,000 Series 2006A-7 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $42,100,000 Series 2006A-8 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $27,000,000 Series 2007A-1 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $96,000,000 Series 2007A-2 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $93,000,000 Series 2007A-3 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $96,000,000 Series 2007A-4 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $86,000,000 Series 2007A-5 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $12,400,000 Series 2007A-6 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;;
-- $86,000,000 Series 2007A-7 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $95,000,000 Series 2007A-8 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $95,000,000 Series 2007A-9 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $71,000,000 Series 2007A-10 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $95,000,000 Series 2007A-11 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $81,000,000 Series 2007A-12 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $95,000,000 Series 2007A-13 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $95,000,000 Series 2007A-14 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
-- $78,450,000 Series 2007A-15 Student Loan-Backed Notes,
Confirmed at B3; previously on January 28, 2009 Downgraded to
B3 from Baa3 and Placed Under Review for Possible Downgrade;
NOVASTAR MORTGAGE: Moody's Downgrades Ratings on 42 Securities
--------------------------------------------------------------
Moody's Investors Service has downgraded the rating of 42
securities from 9 transactions issued by NovaStar. These actions
are part of an ongoing review of subprime RMBS transactions.
The rating actions are the result of an analysis of credit
enhancement relative to updated collateral loss projections. The
revised loss projections generally result from deterioration in
collateral performance in recent months. Additionally, most
affected transactions have, at some point, passed performance
triggers and released portions of credit enhancement.
Moody's approach to analyzing seasoned subprime pools (i.e. prior
to 2H 2005) takes into account the annualized loss rate from last
12 months and the projected loss rate over next 12 months, and
then translates these measures into lifetime losses based on a
deal's expected remaining life. Recent Losses are calculated by
assessing cumulative losses incurred over the past 12-months as a
percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%,
65% and 90% for loans that are delinquent 60-days, 90+ days, are
in foreclosure, and REO respectively. Moody's then applies deal-
specific severity assumptions, in this case ranging from 50% to
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:
NovaStar Mortgage Funding Trust 2003-1
-- Cl. A-1, Downgraded to Aa2; previously on 3/19/2003 Assigned
Aaa
-- Cl. A-2, Downgraded to Aa2; previously on 3/19/2003 Assigned
Aaa
-- Cl. AIO, Downgraded to Aa2; previously on 3/19/2003 Assigned
Aaa
-- Cl. M-1, Downgraded to A1; previously on 3/19/2003 Assigned
Aa2
-- Cl. M-2, Downgraded to Baa2; previously on 3/19/2003 Assigned
A2
-- Cl. M-3, Downgraded to Caa2; previously on 3/19/2003 Assigned
Baa2
NovaStar Mortgage Funding Trust 2003-2
-- Cl. M-1, Downgraded to A1; previously on 7/16/2003 Assigned
Aa2
-- Cl. M-2, Downgraded to Baa3; previously on 7/16/2003 Assigned
A2
-- Cl. M-3, Downgraded to Ba1; previously on 7/16/2003 Assigned
A3
-- Cl. B-1, Downgraded to Ba2; previously on 7/16/2003 Assigned
Baa1
NovaStar Mortgage Funding Trust 2003-3
-- Cl. M-1, Downgraded to A1; previously on 11/18/2003 Assigned
Aa2
-- Cl. M-2, Downgraded to Baa2; previously on 11/18/2003
Assigned A2
-- Cl. M-3, Downgraded to Baa3; previously on 11/18/2003
Assigned A3
-- Cl. B-1, Downgraded to Ba1; previously on 11/18/2003 Assigned
Baa1
NovaStar Mortgage Funding Trust 2003-4
-- Cl. M-3, Downgraded to Baa2; previously on 2/9/2004 Assigned
A3
-- Cl. B-1, Downgraded to Baa3; previously on 2/9/2004 Assigned
Baa1
NovaStar Mortgage Funding Trust 2004-1
-- Cl. M-4, Downgraded to Baa1; previously on 6/11/2004 Assigned
A1
-- Cl. M-5, Downgraded to Baa2; previously on 6/11/2004 Assigned
A2
-- Cl. M-6, Downgraded to Baa3; previously on 6/11/2004 Assigned
A3
-- Cl. B-1, Downgraded to B1; previously on 6/11/2004 Assigned
Baa1
-- Cl. B-2, Downgraded to C; previously on 12/3/2007 Downgraded
to Ba3
-- Cl. B-3, Downgraded to C; previously on 12/3/2007 Downgraded
to B3
NovaStar Mortgage Funding Trust 2004-2
-- Cl. M-4, Downgraded to Baa3; previously on 6/18/2004 Assigned
A2
-- Cl. M-5, Downgraded to Ba1; previously on 6/18/2004 Assigned
A3
-- Cl. B-1, Downgraded to Ba3; previously on 12/3/2007
Downgraded to Baa3
-- Cl. B-2, Downgraded to Caa3; previously on 12/3/2007
Downgraded to Ba2
-- Cl. B-3, Downgraded to C; previously on 12/3/2007 Downgraded
to B3
NovaStar Mortgage Funding Trust 2004-3
-- Cl. M-6, Downgraded to Baa1; previously on 9/20/2004 Assigned
A3
-- Cl. B-1, Downgraded to Ba1; previously on 9/20/2004 Assigned
Baa1
-- Cl. B-2, Downgraded to Caa3; previously on 9/20/2004 Assigned
Baa2
-- Cl. B-3, Downgraded to C; previously on 9/20/2004 Assigned
Baa3
NovaStar Mortgage Funding Trust 2004-4
-- Cl. M-6, Downgraded to Baa1; previously on 1/10/2005 Assigned
A3
-- Cl. B-1, Downgraded to Baa3; previously on 1/10/2005 Assigned
Baa1
-- Cl. B-2, Downgraded to Caa3; previously on 1/10/2005 Assigned
Baa2
-- Cl. B-3, Downgraded to C; previously on 12/3/2007 Downgraded
to Ba1
NovaStar Mortgage Funding Trust, Ser 2002-3
-- Cl. A-1, Downgraded to Baa3; previously on 10/15/2002
Assigned Aaa
-- Cl. A-2, Downgraded to Baa3; previously on 10/15/2002
Assigned Aaa
-- Cl. AIO, Downgraded to Baa3; previously on 10/15/2002
Assigned Aaa
-- Cl. M-1, Downgraded to Caa2; previously on 10/15/2002
Assigned Aa2
-- Cl. M-2, Downgraded to C; previously on 10/15/2002 Assigned
A2
-- Cl. M-3, Downgraded to C; previously on 10/15/2002 Assigned
Baa2
-- Cl. B, Downgraded to C; previously on 9/26/2002 Assigned Ba2
OCWEN LOAN: Fitch Downgrades Special Servicer Rating to 'CSS2-'
---------------------------------------------------------------
Fitch Ratings has downgraded Ocwen Loan Servicing, LLC's special
servicer ratings:
-- Special servicer to 'CSS2-' from CSS2.
Fitch's rating action is based on the recent update of Fitch's
servicer rating criteria update.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
Ocwen's special servicer rating downgrade is due to increased
emphasis on financial condition and market participation. Ocwen's
scoring in these areas was negatively impacted during the criteria
update.
The ratings of the CMBS transactions serviced by Ocwen are not
expected to be negatively impacted by the servicer downgrade.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
OLYMPIC CLO: Moody's Downgrades Ratings on Various Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Olympic CLO I Ltd.:
-- US$101,000,000 Class A-1L Floating Rate Notes Due May
2016, Downgraded to A1; previously on March 9, 2004 Assigned
Aaa;
-- US$25,000,000 Class A-1LB Floating Rate Notes Due May
2016, Downgraded to A2; previously on March 4, 2009 Aaa
Placed Under Review for Possible Downgrade;
-- US$16,000,000 Class A-2L Floating Rate Notes Due May 2016,
Downgraded to Baa2; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$19,000,000 Class A-3L Floating Rate Notes due May 2016,
Downgraded to Ba3; previously on March 18, 2009 Downgraded to
Ba2 and Placed Under Review for Possible Downgrade;
-- US$15,000,000 Class B-1L Floating Rate Notes due May 2016,
Downgraded to Ca; previously on March 18, 2009 Downgraded to
Caa1 and Placed Under Review for Possible Downgrade;
-- US$4,400,000 Class B-2L Floating Rate Notes due May 2016,
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
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
B-2L Overcollateralization Test. The weighted average rating
factor has steadily increased over the last year and it is
currently at 3013 versus a test level of 2250 as of the last
trustee report, dated June 4, 2009. Based on the same report,
defaulted securities total about $23.3 million, accounting for
roughly 7.8% of the collateral balance, and securities rated Caa1
or lower make up approximately 16.4% of the underlying portfolio.
Moody's noted that par "haircuts" on securities from issuers rated
Caa1 and below in excess of 7.5% is incorporated in the Class B-2L
Overcollateralization Test (but not in the other
Overcollateralization tests).
Olympic CLO I Ltd., issued in March 2004, 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.
OPTION ONE: Moody's Downgrades Ratings on 49 Securities
-------------------------------------------------------
Moody's Investors Service has downgraded the rating of 49
securities from 13 subprime RMBS transactions issued by Option
One. These actions are part of an ongoing review of subprime RMBS
transactions.
The rating actions are the result of an analysis of credit
enhancement relative to updated collateral loss projections. The
revised loss projections generally result from deterioration in
collateral performance in recent months. Additionally, most
effected transactions have, at some point, passed performance
triggers and released portions of credit enhancement.
Moody's approach to analyzing seasoned subprime pools (i.e. prior
to 2H 2005) takes into account the annualized loss rate from last
12 months and the projected loss rate over next 12 months, and
then translates these measures into lifetime losses based on a
deal's expected remaining life. Recent Losses are calculated by
assessing cumulative losses incurred over the past 12-months as a
percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%,
65% and 90% for loans that are delinquent 60-days, 90+ days, are
in foreclosure, and REO respectively. Moody's then applies deal-
specific severity assumptions. The results of these two
calculations -- Recent Losses and Pipeline Losses -- are weighted
to arrive at the lifetime cumulative loss projection.
Option One Mortgage Loan Trust 2001-4
-- Cl. A, Downgraded to A2; previously on 10/30/2001 Assigned
Aaa
-- Cl. M-1, Downgraded to A2; previously on 10/30/2001 Assigned
Aa2
Option One Mortgage Loan Trust 2002-1
-- Cl. A, Downgraded to A1; previously on 2/5/2002 Assigned Aaa
-- Cl. M-1, Downgraded to Baa3; previously on 9/23/2005 Upgraded
to Aa1
-- Cl. M-2, Downgraded to Ba3; previously on 9/23/2005 Upgraded
to Aa3
-- Cl. M-3, Downgraded to B1; previously on 2/5/2002 Assigned
Baa2
Option One Mortgage Loan Trust 2002-2
-- Cl. M-1, Downgraded to A2; previously on 3/14/2002 Assigned
Aa2
Option One Mortgage Loan Trust 2002-3
-- Cl. A-1, Downgraded to A2; previously on 5/7/2002 Assigned
Aaa
-- Cl. A-2, Downgraded to A2; previously on 5/7/2002 Assigned
Aaa
-- Cl. M-1, Downgraded to Ba3; previously on 9/23/2005 Upgraded
to Aaa
-- Cl. M-2, Downgraded to Caa3; previously on 5/7/2002 Assigned
A2
-- Cl. M-3, Downgraded to Ca; previously on 5/7/2002 Assigned
Baa2
Option One Mortgage Loan Trust 2002-5
-- Cl. M-1, Downgraded to A1; previously on 9/23/2005 Upgraded
to Aaa
-- Cl. M-2, Downgraded to Baa3; previously on 9/23/2005 Upgraded
to Aa3
-- Cl. M-3, Downgraded to Ba1; previously on 8/6/2002 Assigned
Baa2
-- Cl. M-4, Downgraded to Ba2; previously on 8/6/2002 Assigned
Baa3
-- Cl. B, Downgraded to Ba2; previously on 8/6/2002 Assigned Ba1
Option One Mortgage Loan Trust 2002-6
-- Cl. M-1, Downgraded to A3; previously on 9/23/2005 Upgraded
to Aaa
-- Cl. M-2, Downgraded to Baa3; previously on 9/23/2005 Upgraded
to A1
-- Cl. M-3, Downgraded to Ba1; previously on 11/21/2002 Assigned
Baa2
Option One Mortgage Loan Trust 2003-1
-- Cl. M-1, Downgraded to A1; previously on 1/24/2003 Assigned
Aa2
-- Cl. M-2, Downgraded to Baa3; previously on 1/24/2003 Assigned
A2
-- Cl. M-3, Downgraded to Ba2; previously on 1/24/2003 Assigned
Baa2
-- Cl. M-4, Downgraded to Ba2; previously on 1/24/2003 Assigned
Baa3
Option One Mortgage Loan Trust 2003-3
-- Cl. M-2, Downgraded to Baa1; previously on 4/23/2003 Assigned
A2
-- Cl. M-3, Downgraded to Baa2; previously on 4/23/2003 Assigned
A3
-- Cl. M-4, Downgraded to Baa3; previously on 4/23/2003 Assigned
Baa1
-- Cl. M-5, Downgraded to Ba3; previously on 5/31/2007
Downgraded to Ba1
-- Cl. M-6, Downgraded to Ca; previously on 5/31/2007 Downgraded
to B2
Option One Mortgage Loan Trust 2003-5
-- Cl. M-2, Downgraded to Baa2; previously on 8/7/2003 Assigned
A2
-- Cl. M-3, Downgraded to Baa3; previously on 8/7/2003 Assigned
A3
-- Cl. M-4, Downgraded to Ba1; previously on 8/7/2003 Assigned
Baa1
-- Cl. M-5, Downgraded to B3; previously on 5/31/2007 Downgraded
to Ba3
-- Cl. M-6, Downgraded to C; previously on 5/31/2007 Downgraded
to B3
Option One Mortgage Loan Trust 2004-1
-- Cl. M-2, Downgraded to Baa1; previously on 2/10/2004 Assigned
A2
-- Cl. M-3, Downgraded to Baa2; previously on 2/10/2004 Assigned
A3
-- Cl. M-4, Downgraded to Baa3; previously on 2/10/2004 Assigned
Baa1
-- Cl. M-7, Downgraded to C; previously on 12/14/2007 Downgraded
to Ca
Option One Mortgage Loan Trust 2004-2
-- Cl. M-3, Downgraded to Baa2; previously on 4/28/2004 Assigned
A3
-- Cl. M-4, Downgraded to Baa3; previously on 4/28/2004 Assigned
Baa1
-- Cl. M-5, Downgraded to Ba1; previously on 4/28/2004 Assigned
Baa2
Option One Mortgage Loan Trust 2004-3
-- Cl. M-4, Downgraded to A3; previously on 10/12/2004 Assigned
A1
-- Cl. M-5, Downgraded to Baa1; previously on 10/12/2004
Assigned A2
-- Cl. M-6, Downgraded to Baa2; previously on 10/12/2004
Assigned A3
-- Cl. M-7, Downgraded to Baa3; previously on 10/12/2004
Assigned Baa1
-- Cl. M-8, Downgraded to Ba2; previously on 10/12/2004 Assigned
Baa2
-- Cl. M-9, Downgraded to Ba3; previously on 10/12/2004 Assigned
Baa3
Option One Woodbridge Loan Trust 2002-1
-- Cl. M-3, Downgraded to Baa2; previously on 5/6/2002 Assigned
A3
-- Cl. B, Downgraded to Ba2; previously on 5/6/2002 Assigned
Baa2
ORIX CAPITAL: Fitch Affirms 'CSS3+' Special Servicer Rating
-----------------------------------------------------------
In conjunction with the recent update of its U.S. CMBS servicer
rating criteria, Fitch Ratings has affirmed 33 CMBS servicer
ratings across 16 companies.
Fitch Ratings has updated its U.S. CMBS servicer rating criteria
to reflect current commercial real estate market conditions and
their effect on mortgage servicing. These changes have resulted
in moderate rating movement for certain servicers, as detailed in
several press releases also published as well as ratings
affirmations.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
The companies that had their CMBS servicer ratings affirmed are:
Babson Capital Management, LLC;
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Bank of America, N.A.;
-- Primary servicer at 'CPS1-';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2-'.
DB Mortgage Services, LLC;
-- Primary servicer at 'CPS2-';
-- Special servicer at 'CSS3'.
GE Capital Realty Group;
-- Special servicer at 'CSS2+'.
GEMSA Loan Services, L.P.;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1-'.
Helios AMC, LLC;
-- Special servicer at 'CSS3'.
ING Clarion Capital Loan Services, LLC;
-- Special servicer at 'CSS2+'.
KeyBank Real Estate Capital;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS2+'.
Midland Loan Services;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS1'.
National Cooperative Bank;
-- Special servicer at 'CSS3'.
ORIX Capital Markets, LLC;
-- Special servicer at 'CSS3+'.
Pacific Life Insurance Company;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2'.
Protective Life Insurance Company;
-- Primary servicer at 'CPS3+';
-- Master servicer at 'CMS3';
-- Special servicer at 'CSS3+';
Prudential Asset Resources;
-- Primary servicer at 'CPS2+';
-- Master servicer at 'CMS2';
-- Special servicer at 'CSS2- '.
Situs Asset Management;
-- Primary servicer at 'CPS3';
-- Special servicer at 'CSS3'.
TriMont Real Estate Advisors, Inc.
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Additionally, these ratings remain on Rating Watch Negative by
Fitch:
Capmark Finance
-- Primary servicer 'CPS2-';
-- Master servicer 'CMS3-';
-- Special servicer 'CSS2-'.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
OWNIT MORTGAGE: Moody's Cuts Ratings on Two 2004-1 Securities
-------------------------------------------------------------
Moody's Investors Service has downgraded the rating of two
securities from Ownit Mortgage Loan Trust 2004-1. 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, the
affected transactions has, 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: Ownit Mortgage Loan Trust 2004-1
-- Cl. B-2, Downgraded to Ba2; previously on 4/10/2008
Downgraded to Ba1
-- Cl. B-3, Downgraded to B1; previously on 4/10/2008 Downgraded
to Ba3
PACIFIC LIFE: Fitch Affirms 'CPS1' Primary Servicer Rating
----------------------------------------------------------
In conjunction with the recent update of its U.S. CMBS servicer
rating criteria, Fitch Ratings has affirmed 33 CMBS servicer
ratings across 16 companies.
Fitch Ratings has updated its U.S. CMBS servicer rating criteria
to reflect current commercial real estate market conditions and
their effect on mortgage servicing. These changes have resulted
in moderate rating movement for certain servicers, as detailed in
several press releases also published as well as ratings
affirmations.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
The companies that had their CMBS servicer ratings affirmed are:
Babson Capital Management, LLC;
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Bank of America, N.A.;
-- Primary servicer at 'CPS1-';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2-'.
DB Mortgage Services, LLC;
-- Primary servicer at 'CPS2-';
-- Special servicer at 'CSS3'.
GE Capital Realty Group;
-- Special servicer at 'CSS2+'.
GEMSA Loan Services, L.P.;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1-'.
Helios AMC, LLC;
-- Special servicer at 'CSS3'.
ING Clarion Capital Loan Services, LLC;
-- Special servicer at 'CSS2+'.
KeyBank Real Estate Capital;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS2+'.
Midland Loan Services;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS1'.
National Cooperative Bank;
-- Special servicer at 'CSS3'.
ORIX Capital Markets, LLC;
-- Special servicer at 'CSS3+'.
Pacific Life Insurance Company;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2'.
Protective Life Insurance Company;
-- Primary servicer at 'CPS3+';
-- Master servicer at 'CMS3';
-- Special servicer at 'CSS3+';
Prudential Asset Resources;
-- Primary servicer at 'CPS2+';
-- Master servicer at 'CMS2';
-- Special servicer at 'CSS2- '.
Situs Asset Management;
-- Primary servicer at 'CPS3';
-- Special servicer at 'CSS3'.
TriMont Real Estate Advisors, Inc.
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Additionally, these ratings remain on Rating Watch Negative by
Fitch:
Capmark Finance
-- Primary servicer 'CPS2-';
-- Master servicer 'CMS3-';
-- Special servicer 'CSS2-'.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
PEOPLE'S CHOICE: Moody's Downgrades Ratings on Seven Securities
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating of seven
securities from two transactions issued by People's Choice. 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 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: People's Choice Home Loan Securities Trust 2004-1
-- Cl. M-4, Downgraded to Ba1; previously on 4/16/2008
Downgraded to Baa3
-- Cl. M-5, Downgraded to Caa3; previously on 4/16/2008
Downgraded to Ba3
-- Cl. M-6, Downgraded to C; previously on 4/16/2008 Downgraded
to B3
-- Cl. M-7, Downgraded to C; previously on 4/16/2008 Downgraded
to Ca
Issuer: People's Choice Home Loan Securities Trust 2004-2
-- Cl. M5, Downgraded to Ba2; previously on 4/16/2008 Downgraded
to Baa3
-- Cl. M6, Downgraded to Ca; previously on 4/16/2008 Downgraded
to Ba2
-- Cl. M7, Downgraded to C; previously on 11/1/2007 Downgraded
to B3
PNC MORTGAGE: S&P Downgrades Rating on Class N Certs. to 'D'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
N commercial mortgage pass-through certificates from PNC Mortgage
Acceptance Corp.'s series 2001-C1 to 'D' from 'CCC-'. The rating
was on CreditWatch negative before the downgrade.
The downgrade to 'D' reflects recurring interest shortfalls
resulting from appraisal subordinate entitlement reductions in
effect for two assets with the special servicer, Midland Loan
Services Inc. The interest shortfalls have occurred for the last
four months, and S&P expects them to recur for the foreseeable
future.
Details concerning these two assets with the special servicer are:
-- The Pine Meadows III asset has a total exposure of
$12.3 million and became real estate owned in April 2008.
The asset is a 102,995-sq.-ft. office property built in 2000
in Libertyville, Ill. A $7.6 million appraisal reduction
amount is in effect on this asset. The related ASER amount
on the June 12, 2009, remittance report was $49,954. The
cumulative ASER amount reported was $446,031. The property
is being actively marketed, and Standard & Poor's expects a
moderate loss upon the resolution of this asset.
-- The Palmer Park Apartments loan has a total exposure of
$2.9 million and was transferred to the special servicer in
July 2008 due to delinquency. The loan is 90-plus-days
delinquent, and a 171-unit multifamily property in Detroit
secures this loan. The property was built between 1940 and
1950. A $1.9 million ARA is in effect on this asset. The
related ASER amount on the June 12, 2009, remittance report
was $13,551, and the cumulative ASER amount reported was
$77,022. The special servicer is following a dual track of a
payoff and foreclosure. Standard & Poor's expects a
significant loss upon the resolution of this asset.
In addition to the two assets, these two assets are with the
special servicer but do not have ASERs in effect:
-- The Huntington Circle Apartments loan has a total exposure of
$3.2 million and was transferred to the special servicer in
October 2007 due to monetary default. A 126-unit multifamily
property in Lewisville, Texas, secures this loan. The
property was built in 1982. A $1.9 million ARA was in effect
on this asset until the loan was assumed on June 1, 2009.
The one-time fees totaling $255,629 that were associated with
the modification of this loan have been repaid. The loan
will be returned to the master servicer upon the timely
receipt of three payments.
-- The Radisson Plaza Hotel loan has a total exposure of
$13.0 million and was transferred to the special servicer in
September 2007 due to inadequate monthly deposits into the
furniture, fixtures, and equipment reserve. The loan is
current, and a 185-room full-service hotel constructed in
1985, renovated in 2000, and located in San Jose, California,
secures this loan. The property is currently subject to a
$3.5 million property improvement plan, the progress of which
is being monitored by Midland and Radisson. As of June 1,
2009, the borrower had made a payment to the lender
representing delinquent FF&E payments but was still behind in
funding this escrow. The special servicer is working with
Radisson and the borrower to complete the required PIP work.
After completion of the PIP requirements, the borrower is
requesting a modification and lowering of the annual FF&E
escrow. Standard & Poor's does not expect a loss upon the
eventual resolution of this loan.
Rating Lowered
PNC Mortgage Acceptance Corp.
Commercial mortgage pass-through certificates series 2001-C1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
N D CCC-/Watch Neg 1.41
POPULAR ABS: Moody's Downgrades Ratings on Five 2004-5 Securities
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of five
securities from Popular ABS Mortgage Pass-Through Trust 2004-5.
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, the
affected transaction has, at some point, passed performance
triggers and released portions of credit enhancement.
Moody's approach to analyzing seasoned subprime pools (i.e. prior
to 2H 2005) takes into account the annualized loss rate from last
12 months and the projected loss rate over next 12 months, and
then translates these measures into lifetime losses based on a
deal's expected remaining life. Recent Losses are calculated by
assessing cumulative losses incurred over the past 12-months as a
percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%,
65% and 90% for loans that are delinquent 60-days, 90+ days, are
in foreclosure, and REO respectively. Moody's then applies deal-
specific severity assumptions, in this case 80%. The results of
these two calculations -- Recent Losses and Pipeline Losses -- are
weighted to arrive at the lifetime cumulative loss projection.
The complete rating actions:
Issuer: Popular ABS Mortgage Pass-Through Trust 2004-5
-- Cl. M-1, Downgraded to A1; previously on 2/14/2005 Assigned
Aa2
-- Cl. M-2, Downgraded to Baa3; previously on 2/14/2005 Assigned
A2
-- Cl. M-3, Downgraded to Ba2; previously on 2/14/2005 Assigned
A3
-- Cl. M-4, Downgraded to B2; previously on 2/14/2005 Assigned
Baa1
-- Cl. B-1, Downgraded to Caa2; previously on 2/14/2005 Assigned
Baa2
PPM AMERICA: Fitch Takes Various Rating Actions on Notes
--------------------------------------------------------
Fitch Ratings has taken various rating actions, including
assigning Rating Outlooks as specified, on these classes of notes
issued by PPM America High Grade CBO I, Ltd.:
-- $75,599,788 class A-2A notes downgraded to 'BBB/LS2' from
'AAA'; Outlook Negative;
-- $158,520,820 class A-2B notes downgraded to 'BBB/LS2' from
'AAA'; Outlook Negative;
-- $20,289,593 class A-3 notes downgraded to 'BBB/LS2' from
'AAA'; Outlook Negative;
-- $48,000,000 class B-1 notes downgraded to 'CC' from 'B+';
-- $10,000,000 class B-2 notes downgraded to 'CC' from 'B+';
-- $17,850,000 class C notes revised to 'C/RR6' from 'C/DR6'.
The Negative Outlooks assigned to the class A-2A, A-2B, and A-3
notes reflect the concentration of the remaining portfolio and a
heavy reliance on a full return of par from below investment-grade
assets in order to receive a full return of principal on these
notes.
The Distressed Recovery Rating for the class C notes has been
revised to 'RR6' to reflect Fitch's updated Rating Definitions
Criteria released March 3, 2009.
The rating actions incorporate Fitch's adjusted default and
recovery rate assumptions for analyzing corporate collateralized
debt obligations, in addition to credit deterioration in the
underlying portfolio. Assets with a Fitch derived rating below
investment grade comprise 49.2% of the portfolio, of which 22.4%
of the portfolio is in the 'CCC' bucket or below. Currently,
16.9% of the portfolio has a Negative Outlook, with an additional
3% on Rating Watch Negative.
Currently, the issuer holds $124 million in principal proceeds
that are expected to be distributed to the senior notes on the
next payment date in July 2009. The class A-2A and A-2B notes are
the most senior notes remaining in the capital structure and have
amortized 39.8% since closing. The class A-3 notes benefit from
structural features in PPM HG I, whereby a failure of the interest
priority test causes the class A-3 accreted investment amount to
be paid above class B interest in the waterfall. On the January
2009 payment date, classes B-1 and B-2 were cut off from their
scheduled interest payments following losses on a defaulted
position representing 2.2% of the portfolio. Fitch expects the
interest priority test to continue failing as cumulative defaults
now exceed the 12% threshold, decreasing the likelihood that
classes B-1 and B-2 will receive a full return of scheduled
principal and interest. Class C has not received any funds since
the payment date in July 2007, and Fitch does not anticipate any
future payments to be made to the class C notes.
PPM HG I is a collateralized bond obligation managed by PPM
America, Inc., that closed Dec. 19, 2000. The remaining portfolio
is primarily composed of investment grade corporate bonds.
Payments are made semi-annually in January and July, and the
reinvestment period ended in January 2005.
The rating on the class A-3 notes only addresses the return of the
accreted investment amount of class A-3, currently $8,393,660.
This transaction was reviewed in accordance with Fitch's current
criteria for corporate CDOs. Fitch's revised criteria report for
rating corporate CDOs was released on April 30, 2008. As part of
this review, Fitch makes standard adjustments for any corporate
names on Rating Watch Negative or with a Negative Outlook,
downgrading such ratings for default analysis purposes by two and
one notches, respectively.
Introduced in February 2009, Loss Severity ratings are meant to
complement the existing Long-Term Credit ratings for structured
finance securities. LTC ratings exclusively address the
probability of default of a security. The LS ratings provide an
indication of the relative degree of risk that a security might
suffer a high loss severity in the event that the security
defaults. It will always be necessary to consider loss severity
(as indicated by the LS rating) in conjunction with probability of
default (as indicated by the LTC rating.) The LS rating scale
consists of five rating categories from 'LS1' to 'LS5'. LS
ratings are only assigned to securities that have corresponding
LTC ratings in rating categories 'AAA' through 'B'. The LS rating
category to be assigned will be determined through a calculation
that measures the size of the tranche ('tranche thickness')
relative to the base expected loss determined for the asset
portfolio underlying the transaction.
PREFERREDPLUS TRUST: Moody's Confirms 'Caa1' Rating on Certs.
-------------------------------------------------------------
Moody's Investors Service announced that it confirmed its rating
of 1,248,000 PREFERREDPLUS 8.00% Trust Certificates Series CTR-1
issued by PREFERREDPLUS Trust Series CTR-1.
The rating action is:
Class Description: 1,248,000 PREFERREDPLUS 8.00% Trust
Certificates Series CTR-1
-- Current Rating: Caa1
-- Prior Rating: Caa1 on review for possible downgrade
-- Prior Rating Date: 02/10/09
The transaction is a structured note whose rating changes with the
ratings of the Underlying Securities. The rating action is a
result of the change of the rating 8.00% Notes due 2019 issued by
Cooper Tire & Rubber Company whose rating was confirmed at Caa1 on
June 10, 2009.
PROTECTIVE LIFE: Fitch Affirms Various Servicer Ratings
-------------------------------------------------------
Fitch Ratings affirms Protective Life Insurance Company's servicer
ratings:
-- Primary servicer rating at 'CPS3+';
-- Master servicer rating at 'CMS3';
-- Special servicer rating at 'CSS3+'.
The primary servicer rating reflects the company's continued
ability to service loans in commercial mortgage-backed securities
transactions. The master servicer rating is based on the
company's ability to monitor correspondents, the experienced asset
management staff, and the financial strength of parent company,
Protective Life Corporation. The special servicer rating
considers Protective Life's ability to manage and work out non-
performing commercial real estate loans. All ratings consider the
company's seasoned and tenured management team with minimal
turnover.
As of March 31, 2009, Protective Life's total primary, master, and
special servicing portfolio was comprised of 1,918 loans with an
outstanding principal balance of $5 billion, of which 341 loans
and $1.1 billion was CMBS. Also as of March 31, 2009, Protective
Life was actively specially servicing two CMBS loans totaling
$8.2 million.
PRUDENTIAL ASSET: Fitch Affirms 'CPS2+' Primary Servicer Rating
---------------------------------------------------------------
In conjunction with the recent update of its U.S. CMBS servicer
rating criteria, Fitch Ratings has affirmed 33 CMBS servicer
ratings across 16 companies.
Fitch Ratings has updated its U.S. CMBS servicer rating criteria
to reflect current commercial real estate market conditions and
their effect on mortgage servicing. These changes have resulted
in moderate rating movement for certain servicers, as detailed in
several press releases also published as well as ratings
affirmations.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
The companies that had their CMBS servicer ratings affirmed are:
Babson Capital Management, LLC;
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Bank of America, N.A.;
-- Primary servicer at 'CPS1-';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2-'.
DB Mortgage Services, LLC;
-- Primary servicer at 'CPS2-';
-- Special servicer at 'CSS3'.
GE Capital Realty Group;
-- Special servicer at 'CSS2+'.
GEMSA Loan Services, L.P.;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1-'.
Helios AMC, LLC;
-- Special servicer at 'CSS3'.
ING Clarion Capital Loan Services, LLC;
-- Special servicer at 'CSS2+'.
KeyBank Real Estate Capital;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS2+'.
Midland Loan Services;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS1'.
National Cooperative Bank;
-- Special servicer at 'CSS3'.
ORIX Capital Markets, LLC;
-- Special servicer at 'CSS3+'.
Pacific Life Insurance Company;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2'.
Protective Life Insurance Company;
-- Primary servicer at 'CPS3+';
-- Master servicer at 'CMS3';
-- Special servicer at 'CSS3+';
Prudential Asset Resources;
-- Primary servicer at 'CPS2+';
-- Master servicer at 'CMS2';
-- Special servicer at 'CSS2- '.
Situs Asset Management;
-- Primary servicer at 'CPS3';
-- Special servicer at 'CSS3'.
TriMont Real Estate Advisors, Inc.
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Additionally, these ratings remain on Rating Watch Negative by
Fitch:
Capmark Finance
-- Primary servicer 'CPS2-';
-- Master servicer 'CMS3-';
-- Special servicer 'CSS2-'.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
REPACS TRUST: S&P Downgrades Ratings on Eight 2005-1 Debt Units
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the debt
units issued by REPACs Trust Series: CAT 2005-1 and removed it
from CreditWatch with negative implications as a result of
continued credit deterioration among the underlying corporate
obligors. S&P subsequently withdrew the rating at the request of
the issuer.
Rating Lowered And Withdrawn
REPACs Trust Series: CAT 2005-1
Rating
------
Class To From
----- -- ----
Debt units CCC B+/Watch Neg
NR CCC
RESIX FINANCE: Moody's Downgrades Ratings on Two 2006-1 Notes
-------------------------------------------------------------
Moody's Investors Service has downgraded ratings on two tranches
from RESIX Finance Ltd Credit-Linked Notes 2006-1. RESIX Finance
Ltd Credit-Linked Notes 2006-1 issued mortgage-backed Credit
Linked Notes.
This synthetic transaction provides the owner of a sizable pool of
mortgages as the "Protection Buyer" credit protection through a
credit default swap with the issuer as the "Protection Seller" of
the notes. Through this agreement, the Protection Buyer pays a
fee in return for the transfer of a portion of the reference
portfolio credit risk.
Investors in the notes have an interest in the holdings of the
issuer, which include highly rated investment instruments, a
forward delivery agreement and fee collections on the agreement
with the Protection Buyer. Investors are exposed to losses from
the reference portfolio but benefit only indirectly from cash
flows from these assets. Depending on the class of notes held,
investors have credit protection from subordination.
The reference portfolio of this transaction includes prime
conforming and nonconforming fixed-rate and adjustable-rate
mortgages purchased from various originators. The actions are
triggered by the quickly deteriorating performance of the
reference portfolio -- marked by rising delinquencies and loss
severities, along with concerns about the continuing drop in
housing prices nationwide and the rising unemployment levels. The
actions listed below reflect Moody's updated expected losses on
the jumbo sector announced in a press release on March 19th, 2009,
and are part of Moody's on-going review process.
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-
level loss expectations relative to current level of credit
enhancement. Moody's took into account credit enhancement
provided by seniority, cross-collateralization, time tranching,
and other structural features within the senior note waterfalls.
Loss estimates are subject to variability and are sensitive to
assumptions used; as a result, realized losses could ultimately
turn out higher or lower than Moody's current expectations.
Moody's will continue to evaluate performance data as it becomes
available and will assess the pattern of potential future defaults
and adjust loss expectations accordingly as necessary.
Complete rating actions are:
Issuer: RESIX Finance Limited Credit Linked Notes, Series 2006-1
-- Cl. B7, Downgraded to Ca; previously on May 22, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. B8, Downgraded to Ca; previously on May 22, 2009 Caa2
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.
ROSEDALE CLO: Moody's Downgrades Ratings on Various Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Rosedale CLO Ltd.:
-- US$25,000,000 Class A-1R First Priority Senior Secured
Floating Rate Revolving Notes Due 2021, Downgraded to A2;
previously on June 30, 2006 Assigned Aaa;
-- US$25,000,000 Class A-1D First Priority Senior Secured
Floating Rate Delayed Draw Notes Due 2021, Downgraded to A2;
previously on June 30, 2006 Assigned Aaa;
-- US$106,000,000 Class A-1A First Priority Senior Secured
Floating Rate Term Notes Due 2021, Downgraded to A2;
previously on June 30, 2006 Assigned Aaa;
-- US$60,000,000 Class A-1S First Priority Senior Secured
Floating Rate Term Notes Due 2021, Downgraded to Aa2;
previously on June 30, 2006 Assigned Aaa;
-- US$8,500,000 Class A-1J First Priority Senior Secured
Floating Rate Term Notes Due 2021, Downgraded to Baa1;
previously on March 4, 2009 Aa1 Placed Under Review for
Possible Downgrade;
-- US$22,000,000 Class B Second Priority Senior Secured Floating
Rate Notes Due 2021, Downgraded to Ba1; previously on March
4, 2009 Aa2 Placed Under Review for Possible Downgrade;
-- US$15,500,000 Class C Third Priority Senior Secured
Deferrable Floating Rate Notes Due 2021; Downgraded to Caa2;
previously on March 4, 2009 Downgraded to Ba1 and Placed
Under Review for Possible Downgrade;
-- US$6,500,000 Class D-1 Fourth Priority Mezzanine Deferrable
Floating Rate Notes Due 2021; Downgraded to Ca; previously on
March 4, 2009 Downgraded to B1 and Placed Under Review for
Possible Downgrade;
-- US$10,000,000 Class D-2 Fourth Priority Mezzanine Deferrable
Step-Up Notes Due 2021; Downgraded to Ca; previously on March
4, 2009 Downgraded to B1 and Placed Under Review for Possible
Downgrade;
-- US$9,000,000 Class E Fifth Priority Mezzanine Deferrable
Floating Rate Notes Due 2021; Downgraded to C; previously on
March 4, 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 par coverage (as measured through the Principal
Coverage Ratios), an increase in the dollar amount of defaulted
securities, and an increase in the proportion of securities from
issuers rated Caa1 and below. Additionally, interest payments on
the Class C, D-1, and E Notes are presently being deferred as a
result of the failure of the Class A/B, C, and D Principal
Coverage Tests. The Class A/B, Class C, Class D, and Class E
Principal Coverage Ratios versus their respective test levels are:
110.6% versus 111.4%, 104.0% versus 107.1%, 98.7% versus 104.5%,
and 95.4% versus 102.1%, respectively. As of the last trustee
report, dated May 29, 2009, defaulted securities total about
$23.8 million, accounting for roughly 8.2% of the collateral
balance, and securities rated Caa1 or lower make up approximately
8.5% of the underlying portfolio.
Rosedale CLO 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.
SAGUARO ISSUER: Moody's Confirms Ratings on Principal Units
-----------------------------------------------------------
Moody's Investors Service announced that it has confirmed its
ratings of US $11,000,000 aggregate face amount of Principal
Units, Series K, US $34,000,000 aggregate face amount of Principal
Units, Series L and $25,000,000 aggregate face amount of Principal
Units, Series M issued by Saguaro Issuer Trust.
The rating actions are:
Class Description: US $11,000,000 aggregate face amount of
Principal Units, Series K
-- Current Rating: Ba1
-- Prior Rating: Ba1 on review for possible downgrade
-- Prior Rating Date: 06/09/09
Class Description: US $34,000,000 aggregate face amount of
Principal Units, Series L
-- Current Rating: Ba1
-- Prior Rating: Ba1 on review for possible downgrade
-- Prior Rating Date: 06/09/09
Class Description: $25,000,000 aggregate face amount of Principal
Units, Series M
-- Current Rating: Ba2
-- Prior Rating: Ba2 on review for possible downgrade
-- Prior Rating Date: 06/09/09
The transaction is a structured note whose ratings change with the
rating of the underlying Principal Certificates.
The Series K Principal Units are related to the Principal
Certificates, Series K issued by IIG Funding Trust, which are, in
turn, related to the US$11,000,000 face amount of Undated Primary
Capital Floating Rate Notes, Series A of National Westminster Bank
PLC. The US$11,000,000 face amount of Undated Primary Capital
Floating Rate Notes, Series A of National Westminster Bank PLC
were confirmed by Moody's at Ba1 on 06/10/2009.
The Series L Principal Units are related to the Principal
Certificates, Series L issued by IIG Funding Trust, which are, in
turn, related to the US$34,000,000 face amount of Undated Primary
Capital Floating Rate Notes, Series A of National Westminster Bank
PLC. The US$34,000,000 face amount of Undated Primary Capital
Floating Rate Notes, Series A of National Westminster Bank PLC
were confirmed by Moody's at Ba1 on 06/10/2009.
The Series M Principal Units are related to the Principal
Certificates, Series M issued by IIG Funding Trust, which are, in
turn, related to the US$25,000,000 face amount of Undated Floating
Rate Primary Capital Notes of Royal Bank of Scotland Group plc.
The US$25,000,000 face amount of Undated Floating Rate Primary
Capital Notes of Royal Bank of Scotland Group plc were confirmed
by Moody's at Ba2 on 06/10/2009.
SASI FINANCE: Moody's Downgrades Ratings on Nine 2006-A Tranches
----------------------------------------------------------------
Moody's Investors Service has downgraded ratings on nine tranches
from SASI Finance Limited Partnership 2006-A. SASI Finance
Limited Partnership 2006-A issued residential mortgage-backed
Credit Linked Notes.
This synthetic transaction provides the owner of a sizable pool of
mortgages as the "Protection Buyer" credit protection through a
credit default swap with the issuer as the "Protection Seller" of
the notes. Through this agreement, the Protection Buyer pays a
fee in return for the transfer of a portion of the reference
portfolio credit risk.
Investors in the notes have an interest in the holdings of the
issuer, which include highly rated investment instruments, a
forward delivery agreement and fee collections on the agreement
with the Protection Buyer. Investors are exposed to losses from
the reference portfolio but benefit only indirectly from cash
flows from these assets. Depending on the class of notes held,
investors have credit protection from subordination.
The reference portfolio of this transaction includes prime
conforming and nonconforming fixed-rate and adjustable-rate
mortgages purchased from various originators. The actions are
triggered by the quickly deteriorating performance of the
reference portfolio -- marked by rising delinquencies and loss
severities, along with concerns about the continuing drop in
housing prices nationwide and the rising unemployment levels. The
actions listed below reflect Moody's updated expected losses on
the jumbo sector announced in a press release on March 19th, 2009,
and are part of Moody's on-going review process.
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-
level loss expectations relative to current level of credit
enhancement. Moody's took into account credit enhancement
provided by seniority, cross-collateralization, time tranching,
and other structural features within the senior note waterfalls.
Loss estimates are subject to variability and are sensitive to
assumptions used; as a result, realized losses could ultimately
turn out higher or lower than Moody's current expectations.
Moody's will continue to evaluate performance data as it becomes
available and will assess the pattern of potential future defaults
and adjust loss expectations accordingly as necessary.
Complete rating actions are:
Issuer: SASI Finance Limited Partnership 2006-A, Sovereign Asset
Synthetic Investment Securities, Series 2006-A
-- Cl. A, Downgraded to Aa3; previously on 5/22/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. B1, Downgraded to Baa1; previously on 5/22/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. B2, Downgraded to Baa2; previously on 5/22/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. B3, Downgraded to B1; previously on 5/22/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. B4, Downgraded to B2; previously on 5/22/2009 A2 Placed
Under Review for Possible Downgrade
-- Cl. B5, Downgraded to Caa1; previously on 5/22/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. B6, Downgraded to Ca; previously on 5/22/2009 Ba1 Placed
Under Review for Possible Downgrade
-- Cl. B7, Downgraded to Ca; previously on 5/22/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. B8, Downgraded to Ca; previously on 5/22/2009 Caa2 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.
SCORPIUS CDO: S&P Downgrades Ratings on Nine Classes to 'D'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D' on
nine classes of notes issued by Scorpius CDO Ltd., a hybrid
collateralized debt obligation transaction, following the
liquidation of the collateral in the portfolio. S&P subsequently
withdrew its ratings on these tranches.
S&P lowered its ratings to 'D' because the transaction did not
have sufficient proceeds to pay back par payments to the
noteholders after making the termination payments on the credit
default swap contract.
The deal had triggered an event of default, after which the
controlling noteholders voted to accelerate the maturity of the
notes and liquidate the collateral assets.
The current rating actions follow notice from the trustee that the
liquidation of the portfolio assets is complete and that the
available proceeds have been distributed to the noteholders.
S&P withdrew the ratings after the downgrades because the note
balances have been reduced to zero.
Rating Actions
Rating
Deal name Class To Interim From
--------- ----- -- ------- ----
Scorpius CDO Ltd. A-1 NR D CC
Scorpius CDO Ltd. A-2A NR D CC
Scorpius CDO Ltd. A-2B NR D CC
Scorpius CDO Ltd. B NR D CC
Scorpius CDO Ltd. C NR D CC
Scorpius CDO Ltd. D NR D CC
Scorpius CDO Ltd. E NR D CC
Scorpius CDO Ltd. F NR D CC
Scorpius CDO Ltd. G NR D CC
NR -- Not rated.
SECURITIZED ASSET: Moody's Downgrades Ratings on 22 Securities
--------------------------------------------------------------
Moody's Investors Service has downgraded the rating of 22
securities from 4 transactions issued by SABR. 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.
Complete rating actions are:
Issuer: Securitized Asset Backed Receivables LLC Trust 2004-DO1
-- Cl. M-1, Downgraded to Baa1; previously on 2/25/2005 Assigned
Aa2
-- Cl. M-2, Downgraded to Ba3; previously on 4/16/2008
Downgraded to Baa2
-- Cl. M-3, Downgraded to Ca; previously on 4/16/2008 Downgraded
to Baa3
-- Cl. B-1, Downgraded to C; previously on 4/16/2008 Downgraded
to Ba2
-- Cl. B-2, Downgraded to C; previously on 2/25/2008 Downgraded
to B3
-- Cl. B-3, Downgraded to C; previously on 2/25/2008 Downgraded
to Caa2
Issuer: Securitized Asset Backed Receivables LLC Trust 2004-DO2
-- Cl. M-1, Downgraded to A1; previously on 10/27/2004 Assigned
Aa2
-- Cl. M-2, Downgraded to Ba1; previously on 4/16/2008
Downgraded to A3
-- Cl. M-3, Downgraded to B1; previously on 4/16/2008 Downgraded
to Baa2
-- Cl. B-1, Downgraded to Ca; previously on 4/16/2008 Downgraded
to Baa3
-- Cl. B-2, Downgraded to C; previously on 2/25/2008 Downgraded
to B1
-- Cl. B-3, Downgraded to C; previously on 2/25/2008 Downgraded
to B3
Issuer: Securitized Asset Backed Receivables LLC Trust 2004-NC1
-- Cl. M-2, Downgraded to A3; previously on 6/18/2004 Assigned
A2
-- Cl. M-3, Downgraded to Baa1; previously on 6/18/2004 Assigned
A3
-- Cl. B-1, Downgraded to Baa2; previously on 6/18/2004 Assigned
Baa1
-- Cl. B-2, Downgraded to Baa3; previously on 6/18/2004 Assigned
Baa2
Issuer: Securitized Asset Backed Receivables LLC Trust 2004-NC3
-- Cl. M-1, Downgraded to Baa1; previously on 1/10/2005 Assigned
Aa2
-- Cl. M-2, Downgraded to Caa3; previously on 3/26/2008
Downgraded to Baa3
-- Cl. M-3, Downgraded to C; previously on 3/26/2008 Downgraded
to Ba2
-- Cl. B-1, Downgraded to C; previously on 3/26/2008 Downgraded
to Caa2
-- Cl. B-2, Downgraded to C; previously on 3/26/2008 Downgraded
to Ca
-- Cl. B-3, Downgraded to C; previously on 3/26/2008 Downgraded
to Ca
SILVER CREEK: Moody's Downgrades Ratings on Various Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Silver Creek Funding Ltd.:
-- US$25,000,000 Class B-1 Floating Rate Deferrable Senior
Subordinate Notes Due 2016, Downgraded to Ba2; previously on
April 16, 2009 A2 Placed Under Review for Possible Downgrade;
-- US$22,000,000 Class B-2 Fixed Rate Deferrable Senior
Subordinate Notes Due 2016, Downgraded to Ba2; previously on
April 16, 2009 A2 Placed Under Review for Possible Downgrade;
-- US$9,000,000 Class C Floating Rate Deferrable Subordinate
Notes Due 2016, Downgraded to B3; previously on April 16,
2009 Baa2 Placed Under Review for Possible Downgrade;
-- US$5,000,000 Class Q-1 Securities due 2016, Downgraded to
Ba2; previously on April 16, 2009, Baa2 Placed Under Review
for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds and second lien loans will be below
their historical averages, consistent with Moody's research (see
Moody's Special Comment titled "Strong Loan Issuance in Recent
Years Signals Low Recovery Prospects for Loans and Bonds of
Defaulted U.S. Corporate Issuers," dated June 2008).
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 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 it is
currently at 2725 versus a test level of 2520 as of the last
trustee report, dated May 11, 2009. Based on the same report,
defaulted securities total about $42.9 million, accounting for
roughly 9.7% of the collateral balance, and securities rated Caa1
or lower make up approximately 11.55% of the underlying portfolio.
Additionally, interest payments on the Class C Notes are presently
being deferred as a result of the failure of the Class B
Overcollateralization Test.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from trustee's reported numbers.
Silver Creek Funding Ltd., issued on January 14, 2004, is a
synthetic collateralized loan obligation referencing primarily 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.
SINO-FOREST CORPORATION: Exchange Offer Won't Move Moody's Rating
-----------------------------------------------------------------
Moody's Investors Service says that the exchange offer announced
by Sino-Forest Corporation for its US$300 million senior notes
will have no impact on the company's Ba2 corporate family and
senior unsecured debt ratings. The outlook for the ratings
remains stable.
Under the exchange offer, noteholders are offered a new 5-year
note at par with an additional carry of an about 1.125% coupon
rate. In conjunction with the offer, the company is seeking the
consent of its noteholders to amend certain restrictive provisions
of the indenture governing the US$ notes.
"This specific transaction seeks to lengthen the company's debt
maturity profile and provide it with additional operating and
financial flexibility to manage its expansion plan. While the
exchange will slightly lower its interest coverage and the
relaxation of restrictive covenants will allow it to incur more
debt, its projected financial profile remains appropriate for its
existing rating level," says Wonnie Chu, a Moody's Analyst.
"Sino-Forest's Ba2 rating remains underpinned by the company's
unique position in China's forestry plantation industry, financial
prudence and modest leverage level with Debt/Capital below 35%,"
says Chu.
Its liquidity profile is also strong, including a cash holding of
approximately US$700 million after the rights issue completed in
June and a modest level of debt maturity. These strengths are,
however, offset by the company's aggressive growth appetite, which
has resulted in continued negative free cash flow generation.
The last rating action with regard to Sino-Forest was taken on 24
July, 2008, when the company's rating was affirmed with a stable
outlook following its US$345 million convertible bond issuance.
Sino-Forest's ratings have been assigned based on factors that
Moody's believes are relevant to the risk profile of Sino-Forest,
such as the company's (i) business risk and competitive position
compared with other firms within the industry; (ii) capital
structure and financial risk; (iii) projected performance over the
near to intermediate term; and (iv) management's track record and
tolerance for risk.
These attributes were compared against other issuers both within
and outside Sino-Forest's core industry; Moody's believes the
company's ratings are comparable with those of other issuers of
similar credit risk.
Sino-Forest Corporation is a holding company listed in Toronto.
The company is engaged in forestry plantation activities in China
as well as in the sale of timber, wood logs and other wood
products in China.
SITUS ASSET: Fitch Affirms 'CPS3' Primary Servicer Rating
---------------------------------------------------------
In conjunction with the recent update of its U.S. CMBS servicer
rating criteria, Fitch Ratings has affirmed 33 CMBS servicer
ratings across 16 companies.
Fitch Ratings has updated its U.S. CMBS servicer rating criteria
to reflect current commercial real estate market conditions and
their effect on mortgage servicing. These changes have resulted
in moderate rating movement for certain servicers, as detailed in
several press releases also published as well as ratings
affirmations.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
The companies that had their CMBS servicer ratings affirmed are:
Babson Capital Management, LLC;
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Bank of America, N.A.;
-- Primary servicer at 'CPS1-';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2-'.
DB Mortgage Services, LLC;
-- Primary servicer at 'CPS2-';
-- Special servicer at 'CSS3'.
GE Capital Realty Group;
-- Special servicer at 'CSS2+'.
GEMSA Loan Services, L.P.;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1-'.
Helios AMC, LLC;
-- Special servicer at 'CSS3'.
ING Clarion Capital Loan Services, LLC;
-- Special servicer at 'CSS2+'.
KeyBank Real Estate Capital;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS2+'.
Midland Loan Services;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS1'.
National Cooperative Bank;
-- Special servicer at 'CSS3'.
ORIX Capital Markets, LLC;
-- Special servicer at 'CSS3+'.
Pacific Life Insurance Company;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2'.
Protective Life Insurance Company;
-- Primary servicer at 'CPS3+';
-- Master servicer at 'CMS3';
-- Special servicer at 'CSS3+';
Prudential Asset Resources;
-- Primary servicer at 'CPS2+';
-- Master servicer at 'CMS2';
-- Special servicer at 'CSS2- '.
Situs Asset Management;
-- Primary servicer at 'CPS3';
-- Special servicer at 'CSS3'.
TriMont Real Estate Advisors, Inc.
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Additionally, these ratings remain on Rating Watch Negative by
Fitch:
Capmark Finance
-- Primary servicer 'CPS2-';
-- Master servicer 'CMS3-';
-- Special servicer 'CSS2-'.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
STONEY LANE: Moody's Downgrades Ratings on Various Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Stoney Lane Funding I Ltd.:
-- US$369,900,000 Class A-1 Senior Secured Floating Rate
Notes due 2022, Downgraded to Aa2; previously on April 30,
2007 Assigned Aaa;
-- US$24,500,000 Class A-2 Senior Secured Floating Rate Notes
due 2022, Downgraded to A2; previously on March 4, 2009, Aa2
Placed Under Review for Possible Downgrade;
-- US$18,250,000 Class D Secured Deferrable Floating Rate
Notes due 2022, Downgraded to Ca; previously on March 13,
2009, Downgraded to Caa3 and Placed Under Review for Possible
Downgrade.
Additionally, Moody's has confirmed the ratings on these notes:
-- US$25,000,000 Class B Senior Secured Deferrable Floating
Rate Notes due 2022, Confirmed at Ba1; previously on March
13, 2009, Downgraded to Ba1 and Placed Under Review for
Possible Downgrade;
-- US$25,000,000 Class C Senior Secured Deferrable Floating
Rate Notes due 2022, Confirmed at B1; previously on March 13,
2009, Downgraded to B1 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds and second lien loans will be below
their historical averages, consistent with Moody's research.
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 C and
Class D overcollateralization tests. The weighted average rating
factor has steadily increased over the last year and is currently
2969 versus a test level of 2789 as of the latest trustee report,
dated May 6, 2009. Based on the same report, defaulted securities
total about $28.3 million, accounting for roughly 5.9% of the
collateral balance, and securities rated Caa1 or lower make up
approximately 23.8% of the underlying portfolio. Additionally,
interest payments on the Class C and D Notes are presently being
deferred.
Stoney Lane Funding I Ltd., issued in March of 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.
STRUCTURED INVESTMENTS: Moody's Cuts Ratings on Notes to 'B3'
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded these
notes issued by Structured Investments Corporation Series 81:
-- US$800,000 Structured Investments Corporation Series 81
Secured Medium Term Notes due 2016, Downgraded to B3;
previously on April 6, 2009 Downgraded to Ba2.
The transaction is a repack of the US$23,000,000 Class C-1
Floating Rate Deferrable Senior Subordinate Notes due 2016 issued
by Dryden VI-Leveraged Loan CDO 2004 Inc., a synthetic CLO
referencing primarily a portfolio of senior secured loans. The
Class C-1 Notes were downgraded to Caa3 from Ba1 on June 15, 2009.
STRUCTURED INVESTMENTS: Moody's Junks Ratings on $20 Mil. Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
rating of these notes issued by Structured Investments Corporation
Series 80:
-- US$20,000,000 Structured Investments Corporation Series 80
Secured Medium Term Note due 2016, Downgrade to Caa1,
previously on April 6, 2009 Downgraded to Ba3.
The transaction is a repack of the US$23,000,000 Class C-1
Floating Rate Deferrable Senior Subordinate Notes due 2016 issued
by Dryden VI-Leveraged Loan CDO 2004 Inc., a synthetic CLO
referencing primarily a portfolio of senior secured loans. The
Class C-1 Notes were downgraded to Caa3 from Ba1 on June 15, 2009.
TARGETED RETURN: Moody's Cuts Ratings on HY-2006-1 Certs. to 'B2'
-----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
rating of $748,470,000 Targeted Return Index Securities Trust,
Series HY-2006-1 Certificates issued by Targeted Return Index
Securities Trust, Series HY-2006-1.
The rating action is:
Class Description: $748,470,000 Targeted Return Index Securities
Trust, Series HY-2006-1 Certificates
-- Current Rating: B2
-- Prior Rating: B1
-- Prior Rating Date: 06/16/06
The transaction is a structured note whose rating is based on the
average credit quality of the Underlying Securities as well as the
legal structure of the transaction. The rating action is a result
of the deterioration of the credit quality of the Underlying
Securities.
TOBACCO SETTLEMENT: Fitch Affirms Ratings on Three Classes
----------------------------------------------------------
Fitch Ratings affirms 3 classes from Tobacco Settlement Financing
Corporation (U.S. Virgin Islands), series 2006:
-- $4,764,709 series 2006A subordinate turbo capital
appreciation bonds due May 15, 2035 at 'BBB', Stable Outlook;
-- $512,471 series 2006B subordinate turbo capital appreciation
bonds due May 15, 2035 at 'BBB-', Positive Outlook; and
-- $867,690 series 2006C subordinate turbo capital appreciation
bonds due May 15, 2035 at 'BB', Positive Outlook.
The affirmations are based on the level of stress each class is
able to withstand as indicated by Fitch's new breakeven cash flow
model. The model indicates, for each class of bonds, the level of
the annual Master Settlement Agreement payment percent change the
trust would be able to sustain and still pay the bond in full by
the legal final date. The base case 'B' corresponds to a 1%
increase in the MSA payment received by the trust every year. The
'BBB' category corresponds to an annual MSA payment decline of up
to 1.25%. The cash flow model accounts for the amount of the
latest MSA payment that the transaction has received, the capital
structure, the reserve account, and the bonds' legal final dates.
The bond payments are also tied to the tobacco companies making
MSA payments. Tobacco settlement bonds can be rated up to 'BBB+'
based on Fitch's view of the whole tobacco industry and the
executory nature of the MSA. In the event of a bankruptcy of a
tobacco company, Fitch believes there is an incentive for the
company to continue to make payments under the MSA.
The series 2006A bond is affirmed at 'BBB' with a Stable Rating
Outlook as supported by the model output. The series 2006B and
2006C bonds are affirmed at 'BBB-' and 'BB', respectively. Both
bonds are assigned a Positive Outlook because a relatively stable
MSA cash flow in the future is likely to lead to an upgrade of the
ratings.
Tobacco Settlement Financing Corporation (U.S. Virgin Islands),
Series 2006 bonds are secured by the pledged payments made under
the MSA. The pledged payments consist of U.S. Virgin Islands'
share of perpetual annual payments and strategic contribution
payments by the original participating manufacturers and
subsequent participating manufacturers. The OPMs at the time of
the original agreement were Philip Morris USA, Inc.; R.J. Reynolds
Tobacco Company; Brown & Williamson Tobacco Corporation; and
Lorillard Tobacco Company. The amount of annual MSA payments
received by the trust are mainly affected by the tobacco
consumption level and inflation rate, as well as state specific
adjustments, as specified in the MSA.
TORO ABS: Fitch Junks Ratings on Class A Notes From 'B'
-------------------------------------------------------
Fitch Ratings has downgraded one and affirmed two classes of notes
issued by TORO ABS CDO I, Ltd.:
-- $826,794,132 class A notes downgraded to 'CCC' from 'B';
-- $73,433,128 class B notes affirmed at 'CC';
-- $15,482,196 class C notes affirmed at 'C'.
Additionally, the class A notes have been removed from Rating
Watch Negative.
These rating actions are a result of the significant collateral
deterioration within the portfolio, specifically subprime U.S.
residential mortgage-backed securities bonds and structured
finance collateralized debt obligations, which has continued since
the last rating action of Toro I.
Approximately 62.1% of the portfolio has been downgraded a
weighted average of 5.8 notches since the last rating action.
Approximately 25.5% of the current portfolio is considered
defaulted per the transaction's governing documents as of the May
2009 trustee report. The negative credit migration is primarily
attributable to credit deterioration in subprime RMBS bonds issued
in 2004, 2005, and 2006, coupled with significant downgrades in SF
CDOs originated in 2004 and 2005. After making standard
adjustments for assets on Rating Watch Negative and Outlook
Negative, Fitch considers 40.7% of the portfolio to be rated below
investment grade, including 19.9% rated 'CCC' or lower.
Par coverage to all classes of notes has continued to erode.
According to the May 2009 trustee report, the class A/B and class
C overcollateralization ratios are failing their respective test
levels. The class A/B OC ratio has dropped to 71.5% versus a
trigger of 101.6% and the class C OC ratio is 70.3% compared to
the 100.8% trigger. There are no coverage-based Events of Default
triggers. However, commencing with the May 2008 distribution
date, the transaction permanently switched to a sequential
distribution of principal from the pro rata distribution among the
class A and class B notes.
As the most senior class, the class A notes are currently
benefiting from the class A/B OC test failure as they are the only
class receiving principal payments. However, to date, only 1.6%
of the closing principal balance of the class A notes has been
amortized down. Additionally, on the last two distribution dates
in February and May of 2009, the transaction used a portion of
principal proceeds to make up interest payments due to
insufficient interest proceeds. This leakage of principal, which
is likely to continue in the future, as well as the overall
deterioration of the portfolio, decreases the likelihood of full
principal repayment to class A notes.
The class B notes, as a timely class, are currently receiving full
interest payments and are expected to continue to do so in the
future. Given the composition and performance of the underlying
assets, the class B notes are not expected to receive any
principal distributions. Fitch does not expect the class C notes
to receive any interest, including the deferred interest, or
principal payments in the future.
TORO I is a cash flow CDO that closed on June 30, 2005. The
initial portfolio was selected by Merrill Lynch Investment
Management and is currently monitored by BlackRock Inc. The
substitution period ended in November 2007. Presently, 77.5% of
the portfolio is comprised of RMBS assets originated during the
2004-2006 period, of which 48% consists of subprime RMBS bonds,
while prime RMBS represents 29.3% of the portfolio. The remaining
22.6% of the portfolio consists of SF CDOs issued in 2004 and
2005.
Fitch will continue to monitor and review this transaction for
future rating adjustments.
TRIMONT REAL: Fitch Affirms 'CPS2' Primary Servicer Rating
----------------------------------------------------------
In conjunction with the recent update of its U.S. CMBS servicer
rating criteria, Fitch Ratings has affirmed 33 CMBS servicer
ratings across 16 companies.
Fitch Ratings has updated its U.S. CMBS servicer rating criteria
to reflect current commercial real estate market conditions and
their effect on mortgage servicing. These changes have resulted
in moderate rating movement for certain servicers, as detailed in
several press releases also published as well as ratings
affirmations.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
The companies that had their CMBS servicer ratings affirmed are:
Babson Capital Management, LLC;
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Bank of America, N.A.;
-- Primary servicer at 'CPS1-';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2-'.
DB Mortgage Services, LLC;
-- Primary servicer at 'CPS2-';
-- Special servicer at 'CSS3'.
GE Capital Realty Group;
-- Special servicer at 'CSS2+'.
GEMSA Loan Services, L.P.;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1-'.
Helios AMC, LLC;
-- Special servicer at 'CSS3'.
ING Clarion Capital Loan Services, LLC;
-- Special servicer at 'CSS2+'.
KeyBank Real Estate Capital;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS2+'.
Midland Loan Services;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS1';
-- Special servicer at 'CSS1'.
National Cooperative Bank;
-- Special servicer at 'CSS3'.
ORIX Capital Markets, LLC;
-- Special servicer at 'CSS3+'.
Pacific Life Insurance Company;
-- Primary servicer at 'CPS1';
-- Master servicer at 'CMS2+';
-- Special servicer at 'CSS2'.
Protective Life Insurance Company;
-- Primary servicer at 'CPS3+';
-- Master servicer at 'CMS3';
-- Special servicer at 'CSS3+';
Prudential Asset Resources;
-- Primary servicer at 'CPS2+';
-- Master servicer at 'CMS2';
-- Special servicer at 'CSS2- '.
Situs Asset Management;
-- Primary servicer at 'CPS3';
-- Special servicer at 'CSS3'.
TriMont Real Estate Advisors, Inc.
-- Primary servicer at 'CPS2';
-- Special servicer at 'CSS2'.
Additionally, these ratings remain on Rating Watch Negative by
Fitch:
Capmark Finance
-- Primary servicer 'CPS2-';
-- Master servicer 'CMS3-';
-- Special servicer 'CSS2-'.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
WACHOVIA SECURITIES: Fitch Downgrades Primary Servicer Rating
-------------------------------------------------------------
Fitch Ratings has downgraded Wachovia Securities' primary servicer
rating:
-- Primary servicer to 'CPS2' from 'CPS2+'.
The primary servicer rating also remains on Rating Watch Negative,
along with Wachovia's 'CMS2' master service rating and 'CSS2'
special servicer rating.
Fitch's rating actions are based on the recent update of Fitch's
servicer rating criteria.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
Wachovia's primary servicer rating downgrade is due to the level
of employee experience score being impacted by the increase in the
weighting of this factor.
The ratings of the CMBS transactions serviced by Wachovia are not
expected to be negatively impacted by the servicer downgrade.
Fitch will continue to closely monitor the integration of Wachovia
with the legacy Wells Fargo servicing operations and will take
ratings actions or provide further commentary, as necessary.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating. F
WELLS FARGO: Fitch Downgrades Primary & Special Servicer Ratings
----------------------------------------------------------------
Fitch Ratings has downgraded Wells Fargo Bank's primary and
special servicer ratings:
-- Primary servicer to 'CPS2+' from 'CPS1';
-- Special servicer to 'CSS2' from 'CSS1'.
Both primary and special servicer ratings remain on Rating Watch
Negative, along with Wells Fargo's 'CMS2' master servicer rating.
Fitch's rating actions are based on the recent update of Fitch's
servicer rating criteria.
The criteria places increased emphasis on three factors:
-- Financial strength;
-- Employee experience;
-- Company participation in current CMBS market.
Wells Fargo's primary servicer rating downgrade is due to the
employee experience score being impacted by the increase in the
weighting of this factor. The special servicer rating downgrade
is due primarily to their limited participation in CMBS special
servicing.
The ratings of the CMBS transactions serviced by Wells Fargo are
not expected to be negatively impacted by the servicer downgrades.
Fitch will continue to closely monitor the integration of Wells
Fargo with the legacy Wachovia Securities' servicing operation and
will take ratings actions or provide further commentary, as
necessary.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
WESTWOOD CDO: Moody's Downgrades Ratings on Various Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Westwood CDO II, Ltd.:
-- US$237,825,000 Class A-1 Floating Rate Notes due 2022,
Downgraded to A1; previously on April 30, 2007 Assigned Aaa;
-- US$26,425,000 Class A-2 Floating Rate Notes due 2022,
Downgraded to Baa2; previously on March 4, 2009 Aa1 Placed
Under Review for Possible Downgrade
-- US$8,750,000 Class B Floating Rate Notes due 2022, Downgraded
to Ba1; previously on March 4, 2009 Aa2 Placed Under Review
for Possible Downgrade
-- US$19,250,000 Class C Deferrable Floating Rate Notes due
2022, Downgraded to B1; previously on March 13, 2009
Downgraded to Ba1 and Placed Under Review for Possible
Downgrade
-- US$17,500,000 Class D Deferrable Floating Rate Notes due
2022, Downgraded to Ca; previously on March 13, 2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade
-- US$14,000,000 Class E Deferrable Floating Rate Notes due
2022, Downgraded to C; previously on March 13, 2009
Downgraded to Caa3 and Placed Under Review for Possible
Downgrade
-- US$2,000,000 Combination Notes due 2022, Downgraded to Ca;
previously on March 4, 2009, Baa2 Placed under Review for
Possible Downgrade
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds and second lien loans will be below
their historical averages, consistent with Moody's research.
Credit deterioration of the collateral pool is observed 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
3096 versus a test level of 2705 as of the last trustee report,
dated May 11, 2009. Based on the same report, defaulted
securities total about $29 million, accounting for roughly 8% of
the collateral balance, and securities rated Caa1/CCC+ or lower
make up approximately 19% of the Collateral Principal Amount.
Additionally, interest payments on the Class C, D and E Notes are
presently being deferred as a result of the failure of the Class
A/B, C, D and E Overcollateralization Tests.
Westwood CDO 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.
* Moody's Cuts Ratings on 17 Certs. From 8 Resecuritized Deals
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on 17
certificates issued in 8 resecuritized transactions.
The certificates in the resecuritizations are backed by one or
more securities, which in turn are backed by residential mortgage
loans. These rating actions have been triggered by changes in
Moody's ratings on the underlying residential mortgage-backed
securities (underlying securities). The ratings on the
certificates in the resecuritization are based on:
(i) The updated expected loss of the pool of loans backing the
underlying securities portfolio and the updated ratings on
the underlying securities portfolio
(ii) The available credit enhancement on the underlying
securities, and
(iii) The structure of the resecuritization transaction, as
described in more detail below.
(1) Moody's first updated its loss assumptions on the underlying
pool of mortgage loans (backing the underlying securities) and
then arrived at updated ratings on the underlying securities.
The ratings on the underlying securities are used to derive a
weighted average portfolio rating based on a weighted average
rating factor. To determine the portfolio WARF, Moody's assigns
the ratings on the underlying securities a Rating Factor based on
Moody's published 10-yr idealized loss expectations. Weights are
assigned to each Rating Factor based on the contribution (by
outstanding pledged balance) of the underlying security to the
resecuritized transaction.
(2) Second, Moody's determines the weighted average credit
enhancement available to the portfolio security by evaluating
the loss coverage level consistent with the ratings on the
underlying securities and the underlying mortgage pool losses
and weighting them based on the outstanding pledged balance of
the underlying securities.
(3) Finally, the ratings on the bonds issued in the
resecuritization are determined after taking into
consideration additional structural aspects of the
resecuritization. For transactions where only a single
tranche is issued, the weighted average portfolio rating (as
determined in step 1 above) is the rating assigned to the
tranche. Where multiple securities are issued, the loss
allocation and cash flow priority are taken into
consideration. For instance where the certificates in the
resecuritization are tranched into a super senior tranche and
a support tranche, the support tranche is notched down to
reflect a higher severity of loss to that tranche. The rating
on the super senior tranche is determined based on the total
credit enhancement available i.e. the credit enhancement
assessed in step (2) and the additional enhancement from the
support tranche.
The probability of default for the junior-most certificate in the
resecuritization is the same as the probability of default for the
lowest rated underlying certificate. However, Moody's anticipates
a higher loss severity on the junior-most class due to its
subordinate position (both in terms of principal distribution and
loss allocation) and smaller size (when compared to underlying
certificate). Therefore, the ratings on junior certificates in
the resecuritization are lower than the portfolio rating on the
combined underlying bonds.
Because the ratings on the certificates in the resecuritization
are linked to the ratings on the underlying certificates and their
mortgage pool performance, any rating action on the underlying
certificates may trigger a further review of the ratings on the
certificates in the resecuritization. The ratings on the
certificates in the resecuritization address the ultimate payment
of promised interest and principal and do not address any other
amounts that may be payable on the certificates.
For securities insured by a financial guarantor, the rating on the
securities is equal to the higher of (i) the guarantor's financial
strength rating and (ii) the current underlying rating (i.e.,
absent consideration of the guaranty) on the security. The
principal methodology used in determining the underlying rating is
the same methodology for rating securities that do not have a
financial guaranty and is as described above.
Complete Rating Actions are:
Issuer: Banc of America Funding 2006-R1 Trust
-- Cl. A-1, Downgraded to Ba3; previously on 11/13/2008 Baa1
Placed Under Review for Possible Downgrade
-- Current Underlying Rating: Downgraded to Ca; previously on
6/10/2008 Published at Baa1
-- Financial Guarantor: CIFG Assurance North America, Inc.
(Upgraded to Ba3, Outlook Developing on 1/22/2009)
-- Cl. A-2, Downgraded to Ba3; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Current Underlying Rating: Downgraded to Caa2; previously on
6/10/2008 Published at Aaa
-- Financial Guarantor: CIFG Assurance North America, Inc.
(Upgraded to Ba3, Outlook Developing on 1/22/2009)
-- Cl. A-3, Downgraded to Ba3; previously on 11/13/2008 Baa3
Placed Under Review for Possible Downgrade
-- Current Underlying Rating: Downgraded to C; previously on
6/10/2008 Published at Baa3
-- Financial Guarantor: CIFG Assurance North America, Inc.
(Upgraded to Ba3, Outlook Developing on 1/22/2009)
Issuer: Banc of America Funding 2006-R2 Trust
-- Cl. A-1, Current Rating: Ba3
-- Current Underlying Rating: Downgraded to C; previously on
6/10/2008 Published at Caa2
-- Financial Guarantor: CIFG Assurance North America, Inc.
(Upgraded to Ba3, Outlook Developing on 1/22/2009)
-- Cl. A-2, Current Rating: Ba3
-- Current Underlying Rating: Downgraded to C; previously on
6/10/2008 Published at Ca
-- Financial Guarantor: CIFG Assurance North America, Inc.
(Upgraded to Ba3, Outlook Developing on 1/22/2009)
Issuer: CSMC Resecuritization Trust 2006-1R
-- Cl. 1-A-1, Downgraded to Baa1; previously on 6/9/2006
Assigned Aaa
-- Cl. 1-A-2, Downgraded to Baa1; previously on 6/9/2006
Assigned Aaa
Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust
Certificates, Series 2007-RS1
-- Cl. A-1, Downgraded to Baa3; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to C; previously on 11/13/2008 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Baa3; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust
Certificates, Series 2007-RS3
-- Cl. A-1, Downgraded to Caa1; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to C; previously on 11/13/2008 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Caa1; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
Issuer: J.P. Morgan Mortgage Trust, Series 2008-R1
-- Cl. 1-A-1, Downgraded to B3; previously on 2/11/2008 Assigned
Aaa
-- Cl. 1-A-2, Downgraded to Ca; previously on 2/11/12008
Assigned Aaa
Issuer: Residential Mortgage Securities Funding 2008-6, Ltd.
-- The Notes, Downgraded to Ba2; previously on 11/13/2008 Aaa
Placed Under Review for Possible Downgrade
Issuer: Residential Mortgage Securities Funding 2008-7, Ltd.
-- Secured Floating Rate Notes, Downgraded to Caa1; previously
on 7/22/2008 Assigned Aaa
* S&P Downgrades Ratings on 20 Classes of Mortgage Certs. to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D' on
20 classes of mortgage pass-through certificates from 14 U.S.
closed-end second-lien residential mortgage-backed securities
transactions from various issuers. S&P removed four of the
lowered ratings from CreditWatch negative and placed 11 ratings on
four of the affected transactions on CreditWatch with negative
implications. The ratings on 17 additional classes from four of
the affected deals remain on CreditWatch with negative
implications.
The downgrades reflect S&P's assessment of principal write-downs
on the affected classes during recent remittance periods. The
CreditWatch placements reflect the fact that the affected classes
are within a group that includes a class that defaulted from a 'B-
' rating or higher. S&P lowered 12 of the ratings on the 20
defaulted classes from the 'CCC' or 'CC' rating categories, and
S&P lowered 16 of the ratings from a speculative-grade category.
S&P expects to resolve the CreditWatch placements affecting these
transactions after S&P completes its reviews of the underlying
credit enhancement. Standard & Poor's will continue to monitor
its ratings on securities that experience principal write-downs
and adjust S&P's ratings as S&P deems appropriate.
Rating Actions
C-BASS 2006-SL1
Series 2006-SL1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 14983AAD1 D CCC
CWHEQ Home Equity Loan Trust, Series 2006-S7
Series 2006-S7
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12668VAA7 D CCC
A-2 12668VAB5 D CCC
A-3 12668VAC3 D CCC
A-4 12668VAD1 D CCC
A-5 12668VAE9 D CCC
A-6 12668VAF6 D CCC
GSAA Home Equity Trust 2006-S1
Series 2006-S1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 40051CAA5 BB/Watch Neg BB
II-M-1 40051CAR8 AA+/Watch Neg AA+
II-M-2 40051CAS6 AA-/Watch Neg AA-
II-M-3 40051CAT4 A/Watch Neg A
II-M-4 40051CAU1 BBB/Watch Neg BBB
II-M-5 40051CAV9 D BB
Home Equity Mortgage Trust 2005-4
Series 2005-4
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 2254584F2 D BB/Watch Neg
Home Equity Mortgage Trust 2005-5
Series 2005-5
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 225470RB1 D BBB/Watch Neg
Home Equity Mortgage Trust 2006-1
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 225470XP3 D BBB/Watch Neg
Merrill Lynch Mortgage Investors Trust, Series 2005-NCA
Series 2005-NCA
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 59020UZU2 A/Watch Neg A
B-1 59020UZV0 D BBB-
Morgan Stanley Mortgage Loan Trust 2006-10SL
Series 2006-10SL
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 61749TAA2 BB/Watch Neg BB
M-1 61749TAB0 D B
Morgan Stanley Mortgage Loan Trust 2007-4SL
Series 2007-4SL
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 61751PAC1 D CCC
M-3 61751PAD9 D CCC
Morgan Stanley Mortgage Loan Trust 2007-9SL
Series 2007-9SL
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 61754TAB2 D CC
Nomura Asset Acceptance Corporation, Alternative Loan Trust
Series 2007-S2
Rating
------
Class CUSIP To From
----- ----- -- ----
A 65538BAA7 D CC
SACO I Trust 2006-9
Series 2006-9
Rating
------
Class CUSIP To From
----- ----- -- ----
A 78577RAA7 D CCC
Structured Asset Securities Corporation 2005-S1
Series 2005-S1
Rating
------
Class CUSIP To From
----- ----- -- ----
M2 86359B4D0 AA/Watch Neg AA
M3 86359B4E8 AA-/Watch Neg AA-
M4 86359B4F5 A/Watch Neg A
M5 86359B4G3 BBB-/Watch Neg BBB-
M6 86359B4H1 D B
Terwin Mortgage Trust 2005-11
Series 2005-11
Rating
------
Class CUSIP To From
----- ----- -- ----
II-M-1 881561A46 D BBB/Watch Neg
Ratings Remaining On Creditwatch Negative
Home Equity Mortgage Trust 2005-4
Series 2005-4
Class CUSIP Rating
----- ----- ------
A-3 2254584V7 AAA/Watch Neg
A-4 2254584W5 AAA/Watch Neg
M-1 2254584D7 AA+/Watch Neg
M-2 2254584E5 A/Watch Neg
Home Equity Mortgage Trust 2005-5
Series 2005-5
Class CUSIP Rating
----- ----- ------
A-1A 225470QV8 AAA/Watch Neg
A-1F1 225470QW6 AAA/Watch Neg
A-1F2 225470RR6 AAA/Watch Neg
A-2A 225470QX4 AAA/Watch Neg
A-2F 225470QY2 AAA/Watch Neg
Home Equity Mortgage Trust 2006-1
Series 2006-1
Class CUSIP Rating
----- ----- ------
A-1A2 225470XG3 AA/Watch Neg
A-1B 225470XH1 AA/Watch Neg
A-1F 225470XJ7 AA/Watch Neg
A-2 225470XK4 AA/Watch Neg
A-3 225470XL2 AA/Watch Neg
Terwin Mortgage Trust 2005-11
Series 2005-11
Class CUSIP Rating
----- ----- ------
II-A-2 881561C69 AAA/Watch Neg
II-A-X 881561A38 AAA/Watch Neg
II-G 881561B86 AAA/Watch Neg
* S&P Downgrades Ratings on 21 Classes from Mortgage Certs. to 'D'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D' on
21 classes of mortgage pass-through certificates from 20 U.S.
scratch-and-dent residential mortgage-backed securities
transactions from various issuers. S&P removed six of the lowered
ratings from CreditWatch with negative implications. Of the 21
classes with lowered ratings, 14 are from transactions backed by
reperforming collateral and seven are from transactions backed by
outside-the-guidelines collateral. Concurrently, S&P placed 40
other ratings on seven of the downgraded deals on CreditWatch with
negative implications, and the ratings on 45 additional classes
remain on CreditWatch negative.
The downgrades reflect S&P's assessment of principal write-downs
on the affected classes during recent remittance periods. The
CreditWatch placements reflect the fact that the affected classes
are within a group that includes a class that defaulted from a
'B-' rating or higher. S&P lowered six of the 21 ratings from the
'CC' or 'CCC' rating categories, and S&P lowered 52.38% of the
ratings from other speculative-grade rating categories.
S&P expects to resolve the CreditWatch placements affecting these
transactions after S&P completes its reviews of the underlying
credit enhancement. Standard & Poor's will continue to monitor
its ratings on securities that experience principal write-downs
and adjust the ratings as S&P deems appropriate.
Rating Actions
Bear Stearns Asset Backed Securities Trust 2006-SD3
Series 2006-SD3
Rating
------
Class CUSIP To From
----- ----- -- ----
II-B-2 073888AV1 D CCC
Bear Stearns Asset Backed Securities Trust 2007-SD1
Series 2007-SD1
Rating
------
Class CUSIP To From
----- ----- -- ----
II-B-4 07389QAZ1 D CC
Bear Stearns Asset Backed Securities Trust 2007-SD3
Series 2007-SD3
Rating
------
Class CUSIP To From
----- ----- -- ----
A 07387LAA9 AAA/Watch Neg AAA
M-1 07387LAB7 AA+/Watch Neg AA+
M-2 07387LAC5 AA/Watch Neg AA
M-3 07387LAD3 AA-/Watch Neg AA-
M-4 07387LAE1 A+/Watch Neg A+
M-5 07387LAF8 A/Watch Neg A
M-6 07387LAG6 A-/Watch Neg A-
M-7 07387LAH4 BBB+/Watch Neg BBB+
M-8 07387LAJ0 D BBB
CWABS Asset-Backed Notes Trust 2006-SD3
Series 2006-SD3
Rating
------
Class CUSIP To From
----- ----- -- ----
M-5 23244AAF2 D BBB+/Watch Neg
Fannie Mae REMIC Trust 2003-W4
Series 2003-W4
Rating
------
Class CUSIP To From
----- ----- -- ----
IB-4 31393AQ91 D CC
GSAMP Trust 2004-SD1
Series 2004-SD1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 36242DAX1 AA/Watch Neg AA
M-2 36242DAY9 A/Watch Neg A
B-1 36242DAZ6 BBB+/Watch Neg BBB+
B-2 36242DBA0 BBB/Watch Neg BBB
B-3 36242DBB8 D BBB-
GSRPM Mortgage Loan Trust 2003-2
Series 2003-2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 36228FWN2 D CCC
MASTR Specialized Loan Trust 2006-01
Series 2006-01
Rating
------
Class CUSIP To From
----- ----- -- ----
M-6 576436DB2 D BBB-/Watch Neg
MASTR Specialized Loan Trust 2006-03
Series 2006-03
Rating
------
Class CUSIP To From
----- ----- -- ----
M-9 57643BAK4 D BBB-/Watch Neg
RAAC Series 2006-RP4 Trust
Series 2006-RP4
Rating
------
Class CUSIP To From
----- ----- -- ----
M-4 74919TAE1 D BBB/Watch Neg
RAAC Series 2007-RP2 Trust
Series 2007-RP2
Rating
------
Class CUSIP To From
----- ----- -- ----
A 74919WAA2 AAA/Watch Neg AAA
M-1 74919WAB0 AA/Watch Neg AA
M-2 74919WAC8 A/Watch Neg A
M-3 74919WAD6 D BBB+
M-4 74919WAE4 D BBB
RAMP Series 2003-RS10 Trust
Series 2003-RS10
Rating
------
Class CUSIP To From
----- ----- -- ----
M-I-3 760985D40 D B-/Watch Neg
RAMP Series 2003-RS7 Trust
Series 2003-RS7
Rating
------
Class CUSIP To From
----- ----- -- ----
A-I-4 760985XU0 AAA/Watch Neg AAA
A-I-5 760985XV8 AAA/Watch Neg AAA
A-I-6 760985XW6 AAA/Watch Neg AAA
M-I-1 760985XX4 AA/Watch Neg AA
M-I-2 760985XY2 A/Watch Neg A
M-I-3 760985XZ9 D B
M-II-1 760985YC9 A/Watch Neg A
M-II-2 760985YD7 BB/Watch Neg BB
M-II-3 760985YE5 D B
Reperforming Loan REMIC Trust Certificates Series 2003-R2
Series 2003-T-056
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 12669UBX7 D CC
Structured Asset Securities Corp.
Series 2005-RF3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 86359DMC8 AAA/Watch Neg AAA
1-AIO 86359DMD6 AAA/Watch Neg AAA
2-A 86359DME4 AAA/Watch Neg AAA
B1 86359DMF1 AA/Watch Neg AA
B2 86359DMG9 A/Watch Neg A
B3 86359DMH7 BBB/Watch Neg BBB
B4 86359DMJ3 BB/Watch Neg BB
B5 86359DMK0 D B
Structured Asset Securities Corp.
Series 2005-RF4
Rating
------
Class CUSIP To From
----- ----- -- ----
B5 86359DQH3 D CCC
Structured Asset Securities Corporation
Series 2005-RF2
Rating
------
Class CUSIP To From
----- ----- -- ----
A 86359DEX1 AAA/Watch Neg AAA
AIO 86359DEY9 AAA/Watch Neg AAA
B1 86359DEZ6 AA/Watch Neg AA
B2 86359DFA0 A/Watch Neg A
B3 86359DFB8 BBB/Watch Neg BBB
B4 86359DFC6 BB/Watch Neg BB
B5 86359DFD4 D B
Structured Asset Securities Corporation
Series 2005-RF7
Rating
------
Class CUSIP To From
----- ----- -- ----
A 86359DWT0 AAA/Watch Neg AAA
AIO 86359DWU7 AAA/Watch Neg AAA
B1 86359DWV5 AA/Watch Neg AA
B2 86359DWW3 A/Watch Neg A
B3 86359DWX1 BBB/Watch Neg BBB
B4 86359DWY9 D BB
Structured Asset Securities Corporation Mortgage Loan Trust
Series 2006-GEL4
Rating
------
Class CUSIP To From
----- ----- -- ----
M8 86361NAL5 D BBB-/Watch Neg
Ratings Remaining On Creditwatch Negative
Bear Stearns Asset Backed Securities Trust 2005-SD4
Series 2005-SD4
Class CUSIP Rating
----- ----- ------
I-A-1 073877DY5 AAA/Watch Neg
I-A-2 073877DZ2 AAA/Watch Neg
I-X 073877EA6 AAA/Watch Neg
I-PO 073877EB4 AAA/Watch Neg
I-B1 073877EC2 AA/Watch Neg
I-B-2 073877ED0 A/Watch Neg
I-B-3 073877EE8 BBB/Watch Neg
CWABS Asset-Backed Notes Trust 2006-SD3
Series 2006-SD3
Class CUSIP Rating
----- ----- ------
A-1 23244AAA3 AAA/Watch Neg
M-1 23244AAB1 AA+/Watch Neg
M-2 23244AAC9 AA/Watch Neg
M-3 23244AAD7 A+/Watch Neg
M-4 23244AAE5 A/Watch Neg
MASTR Specialized Loan Trust 2006-01
Series 2006-01
Class CUSIP Rating
----- ----- ------
A-1 576436CV9 AAA/Watch Neg
M-1 576436CW7 AA/Watch Neg
M-2 576436CX5 A/Watch Neg
M-3 576436CY3 A-/Watch Neg
M-4 576436CZ0 BBB+/Watch Neg
M-5 576436DA4 BBB/Watch Neg
MASTR Specialized Loan Trust 2006-03
Series 2006-03
Class CUSIP Rating
----- ----- ------
A 57643BAA6 AAA/Watch Neg
M-1 57643BAB4 AA+/Watch Neg
M-2 57643BAC2 AA/Watch Neg
M-3 57643BAD0 AA-/Watch Neg
M-4 57643BAE8 A+/Watch Neg
M-5 57643BAF5 A/Watch Neg
M-6 57643BAG3 A-/Watch Neg
M-7 57643BAH1 BBB+/Watch Neg
M-8 57643BAJ7 BBB/Watch Neg
RAAC Series 2006-RP4 Trust
Series 2006-RP4
Class CUSIP Rating
----- ----- ------
A 74919TAA9 AAA/Watch Neg
M-1 74919TAB7 AA/Watch Neg
M-2 74919TAC5 A/Watch Neg
M-3 74919TAD3 BBB+/Watch Neg
RAMP Series 2003-RS10 Trust
Series 2003-RS10
Class CUSIP Rating
----- ----- ------
A-I-6 760985C82 AAA/Watch Neg
A-I-7 760985C90 AAA/Watch Neg
M-I-1 760985D24 AA/Watch Neg
M-I-2 760985D32 BBB/Watch Neg
Structured Asset Securities Corporation Mortgage Loan Trust
Series 2006-GEL4
Class CUSIP Rating
----- ----- ------
A1 86361NAA9 AAA/Watch Neg
A2 86361NAB7 AAA/Watch Neg
A3 86361NAC5 AAA/Watch Neg
M1 86361NAD3 AA/Watch Neg
M2 86361NAE1 AA/Watch Neg
M3 86361NAF8 AA-/Watch Neg
M4 86361NAG6 A+/Watch Neg
M5 86361NAH4 A/Watch Neg
M6 86361NAJ0 BBB+/Watch Neg
M7 86361NAK7 BBB/Watch Neg
* S&P Downgrades Ratings on 21 Tranches From Nine Hybrid CDO Deals
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 21
tranches from nine U.S. cash flow and hybrid collateralized debt
obligation transactions. At the same time, S&P removed five of
the lowered ratings from CreditWatch with negative implications.
S&P also placed 13 ratings from Putnam Structured Product CDO
2001-1 Ltd. on CreditWatch with negative implications. The
ratings on eight of the downgraded tranches are on CreditWatch
with negative implications, indicating a significant likelihood of
further downgrades.
The CDO downgrades reflect a number of factors, including credit
deterioration and recent negative rating actions on U.S. subprime
residential mortgage-backed securities. The CreditWatch
placements primarily affect transactions for which a significant
portion of the collateral assets currently have ratings on
CreditWatch with negative implications or have significant
exposure to assets rated in the 'CCC' category.
The 21 downgraded U.S. cash flow and hybrid tranches have a total
issuance amount of $5.161 billion. Four of the nine affected
transactions are mezzanine structured finance CDOs of asset-backed
securities, which are collateralized in large part by mezzanine
tranches of RMBS and other SF securities. The other five
transactions are high-grade SF CDOs of ABS that were
collateralized at origination primarily by 'AAA' through 'A' rated
tranches of RMBS and other SF securities.
In addition, Standard & Poor's reviewed the ratings assigned to C-
Bass CBO VII 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
----------- ----- -- ----
Blue Bell Funding Ltd. A-1 CC BBB/Watch Neg
Blue Bell Funding Ltd. A-2 CC CCC
Blue Bell Funding Ltd. ABCPNotes B-/NR/Watch Neg AA/A-1+/WatchNeg
C-Bass CBO VIII Ltd. C AA AAA
C-Bass CBO VIII Ltd. D-1 BBB AA
C-Bass CBO VIII Ltd. D-2 BBB AA
Davis Square Funding VII
Ltd. S BBB/Watch Neg A-/Watch Neg
Galleria V Ltd. A-1 B+/Watch Neg A+/Watch Neg
Galleria V Ltd. A-2 B+/Watch Neg A+/Watch Neg
Galleria V Ltd. B CCC/Watch Neg BB-/Watch Neg
Galleria V Ltd. C-1 CC CCC-
Galleria V Ltd. C-2 CC CCC-
Madison Avenue Structured
Finance CDO I Ltd. A AA/Watch Neg AAA
Maxim High Grade CDO I
Ltd. A1 CC CCC-/Watch Neg
Maxim High Grade CDO II
Ltd. A-1 CC CCC/Watch Neg
Neptune CDO III Ltd. S CC BBB-/Watch Neg
Putnam Structured Product
CDO 2002-1 Ltd. A-1MM-d AAA/A-1+/WatchNeg AAA/A-1+
Putnam Structured Product
CDO 2002-1 Ltd. A-1MM-e AAA/A-1+/WatchNeg AAA/A-1+
Putnam Structured Product
CDO 2002-1 Ltd. A-1MT-a AAA/Watch Neg AAA
Putnam Structured Product
CDO 2002-1 Ltd. A-1MT-b AAA/Watch Neg AAA
Putnam Structured Product
CDO 2002-1 Ltd. A-1MT-c AAA/Watch Neg AAA
Putnam Structured Product
CDO 2002-1 Ltd. A-1MT-d AAA/Watch Neg AAA
Putnam Structured Product
CDO 2002-1 Ltd. A-1MT-e AAA/Watch Neg AAA
Putnam Structured Product
CDO 2002-1 Ltd. A-1MT-f AAA/Watch Neg AAA
Putnam Structured Product
CDO 2002-1 Ltd. A-1MT-g AAA/Watch Neg AAA
Putnam Structured Product
CDO 2002-1 Ltd. A-1MT-h AAA/Watch Neg AAA
Putnam Structured Product
CDO 2002-1 Ltd. A-1MT-i AAA/Watch Neg AAA
Putnam Structured Product
CDO 2002-1 Ltd. A-1MT-j AAA/Watch Neg AAA
Putnam Structured Product
CDO 2002-1 Ltd. A2 AAA/Watch Neg AAA
Witherspoon CDO Funding
Ltd. A-1 CP BB/NR/Watch Neg AA/A-1+/WatchNeg
Witherspoon CDO Funding
Ltd. A-1 LT-a BB/Watch Neg AA/Watch Neg
Witherspoon CDO Funding
Ltd. A-2 CCC+/Watch Neg A/Watch Neg
Witherspoon CDO Funding
Ltd. B CC BB/Watch Neg
Witherspoon CDO Funding
Ltd. C CC CCC-
Other Ratings Reviewed
Transaction Class Rating
----------- ----- ------
Blue Bell Funding Ltd. B CC
C-Bass CBO VII Ltd. A AAA
C-Bass CBO VII Ltd. B AAA
C-Bass CBO VII Ltd. C AA+
C-Bass CBO VII Ltd. D AA-
C-Bass CBO VIII Ltd. A-1 AAA
C-Bass CBO VIII Ltd. A-2 AAA
C-Bass CBO VIII Ltd. B AAA
Davis Square Funding VII
Ltd. A-1a CC
Davis Square Funding VII
Ltd. A-1b CC
Davis Square Funding VII
Ltd. A-2 CC
Davis Square Funding VII
Ltd. A-3 CC
Davis Square Funding VII
Ltd. B CC
Davis Square Funding VII
Ltd. C CC
Davis Square Funding VII
Ltd. D CC
Galleria V Ltd. Pref Share CC
Maxim High Grade CDO I
Ltd. A2 CC
Maxim High Grade CDO I
Ltd. A3 CC
Maxim High Grade CDO I
Ltd. A4 CC
Maxim High Grade CDO I
Ltd. A5 CC
Maxim High Grade CDO I
Ltd. B CC
Maxim High Grade CDO I
Ltd. C CC
Maxim High Grade CDO I
Ltd. D CC
Maxim High Grade CDO I
Ltd. E1 CC
Maxim High Grade CDO I
Ltd. E2 CC
Maxim High Grade CDO I
Ltd. Princ Nts AAA
Maxim High Grade CDO II
Ltd. A-2 CC
Maxim High Grade CDO II
Ltd. A-3 CC
Maxim High Grade CDO II
Ltd. A-4 CC
Maxim High Grade CDO II
Ltd. B CC
Maxim High Grade CDO II
Ltd. C CC
Maxim High Grade CDO II
Ltd. D CC
Maxim High Grade CDO II
Ltd. E CC
Maxim High Grade CDO II
Ltd. Notes AAA
Neptune CDO III Ltd. A-1 CC
Neptune CDO III Ltd. A-2 CC
Neptune CDO III Ltd. A-3 CC
Neptune CDO III Ltd. B CC
Neptune CDO III Ltd. C CC
Witherspoon CDO Funding
Ltd. Combo Secs CC
Witherspoon CDO Funding
Ltd. D CC
* S&P Downgrades Ratings on 62 Classes From 41 NIMS RMBS Deals
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 62
classes from 41 U.S. net interest margin securities residential
mortgage-backed securities transactions issued between 2003 and
2007. S&P removed 13 of the lowered ratings from CreditWatch with
negative implications, and one of the lowered ratings remains on
CreditWatch with negative implications to reflect the rating on
the related bond insurer. At the same time, the ratings on 13
additional classes remain on CreditWatch negative, and S&P placed
its rating on one other class on CreditWatch negative. In
addition, S&P affirmed 16 ratings from 16 transactions to reflect
the rating on the related bond insurer.
A majority of the rating actions are based on S&P's view that the
NIMS are not receiving adequate cash flows to pay the applicable
interest and principal amounts due to the NIMS holders. S&P
attributes these interest shortfalls to the inability of the
underlying transactions to maintain sufficient
overcollateralization for residual interest to be released to the
NIMS. Generally, for each of these NIMS transactions, the
overcollateralization levels for the underlying deals have been
below their targets for a period of six months or greater, or the
NIMS have experienced interest shortfalls for six months or more.
Additionally, based on S&P's observations of the performance
trends of products and vintages consistent with the underlying
transactions, S&P believes that it is unlikely that residential
interest will be available for the NIMS going forward.
Standard & Poor's expects to take more ratings actions on NIMS
over the next several weeks. Additionally, S&P will continue to
monitor NIMS as applicable and adjust the ratings as S&P thinks
appropriate.
Rating Actions
Ameriquest NIM 2005-RN11
Series 2005-RN11
Rating
------
Class CUSIP To From
----- ----- -- ----
Notes 03077BAA5 CC BBB-
Ameriquest NIM 2006-RN2
Series 2006-RN2
Rating
------
Class CUSIP To From
----- ----- -- ----
NIM C 03076NAC6 CC CCC
NIM D 03076NAD4 CC CCC
Carrington NIM Trust 2007-FRE1
Series 2007-FRE1
Rating
------
Class CUSIP To From
----- ----- -- ----
Notes 14453YAA6 CC B
C-BASS 2007-CB3NIM Trust
Series 2007-CB3NIM
Rating
------
Class CUSIP To From
----- ----- -- ----
Notes 1248M4AA9 CC CCC
CMO Holdings II Ltd.
Series 2004-HE3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 125879AJ5 CC CCC
CMO Holdings III Ltd.
Series 2006-19
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-4 18976TAD0 CC B/Watch Neg
CMO Holdings III Ltd.
Series 2006-20
Rating
------
Class CUSIP To From
----- ----- -- ----
II-A-4 18976VAJ2 CC BB/Watch Neg
CMO Holdings III Ltd.
Series 2006-23
Rating
------
Class CUSIP To From
----- ----- -- ----
III-A-1 125876AK8 CC B
CMO Holdings III Ltd.
Series 2006-24
Rating
------
Class CUSIP To From
----- ----- -- ----
II-A-2 18977BAG1 CC BBB/Watch Neg
CMO Holdings III Ltd.
Series 2007-N5-II
Rating
------
Class CUSIP To From
----- ----- -- ----
II-A-1 12587LAC3 CC B
CMO Holdings III Ltd.
Series 2007-N6-I, 2007-N6-II, 20
Rating
------
Class CUSIP To From
----- ----- -- ----
III-A-1 12587MAH0 CC A-
Countrywide Home Loan Trust 2005-10N
Series 2005-10N
Rating
------
Class CUSIP To From
----- ----- -- ----
Notes 126670DS4 CC BBB-
Countrywide Home Loan Trust 2005-16N
Series 2005-16N
Rating
------
Class CUSIP To From
----- ----- -- ----
Notes 126670SF6 CC CCC
Countrywide Home Loan Trust 2005-5N
Series 2005-5N
Rating
------
Class CUSIP To From
----- ----- -- ----
Notes 1266734N9 CC CCC
Countrywide Home Loan Trust 2006-13N
Series 2006-13N
Rating
------
Class CUSIP To From
----- ----- -- ----
Notes 22238FAA2 CC CCC
Countrywide Home Loan Trust 2006-15N
Series 2006-15N
Rating
------
Class CUSIP To From
----- ----- -- ----
Notes 22239DAA6 CC BBB-
Countrywide Home Loan Trust 2006-24N
Series 2006-24N
Rating
------
Class CUSIP To From
----- ----- -- ----
Notes 12667MAB6 CC CCC
Credit Suisse NIMs Trust RAMP 2006-RZ5 NIM1
Series RAMP 2006-RZ5 NIM1
Rating
------
Class CUSIP To From
----- ----- -- ----
A Notes 22546AAA0 CC A-
B Notes 22546AAB8 CC B
C Notes 22546AAC6 CC B
CWABS 2006-10N
Series 2006-10N
Rating
------
Class CUSIP To From
----- ----- -- ----
N-3 22237FAC9 CC CCC
N-4 22237FAD7 CC CCC
CWABS 2007-BC3N
Series 2007-BC3N
Rating
------
Class CUSIP To From
----- ----- -- ----
N-1 Notes 23246LAU3 CC A
N-2 Notes 23246LAV1 CC B+
N-3 Notes 23246LAW9 CC B
CWALT 2006-OA18N
Series 2006-OA18N
Rating
------
Class CUSIP To From
----- ----- -- ----
N-3 23244HAD2 CC BB/Watch Neg
CWALT 2006-OA6N
Series 2006-OA6N
Rating
------
Class CUSIP To From
----- ----- -- ----
N-3 Notes 02146DAD4 CC BB/Watch Neg
GSAA 2007-NIM4 Ltd.
Series 2007-NIM4
Rating
------
Class CUSIP To From
----- ----- -- ----
N1 3622EVAA2 CC A/Watch Neg
HASCO NIM Trust 2005-OPT1
Series 2005-OPT1
Rating
------
Class CUSIP To From
----- ----- -- ----
A Notes 418095AA3 CC B
Impac NIM Trust 2007-3
Series 2007-3
Rating
------
Class CUSIP To From
----- ----- -- ----
N 452563AA7 CC BBB-/Watch Neg
JPMAC NIM 2006-CHN2
Series 2006-CHN2
Rating
------
Class CUSIP To From
----- ----- -- ----
A 481234AA0 CC BB
B 481234AB8 CC B
C 481234AC6 CC CCC
Lehman XS NIM 1 Company 2006-10N
Series 2006-10N
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 52523GAA1 CC BBB-/Watch Neg
A-3 52523GAB9 CC BB/Watch Neg
Lehman XS NIM Company 2005-3
Series 2O05-3
Rating
------
Class CUSIP To From
----- ----- -- ----
A 525222AB1 CC CCC
B 525220AD1 CC CCC
Lehman XS NIM Company 2005-4
Series 2005-4
Rating
------
Class CUSIP To From
----- ----- -- ----
A 525222AC9 CC CCC
B 525220AE9 CC CCC
MASTR Alternative Loan NIM 2006-6
Series 2006-6
Rating
------
Class CUSIP To From
----- ----- -- ----
N-1 55271SAC8 CC CCC
S-1 55271SAA2 CC B/Watch Neg
S-2 55271SAB0 CC B/Watch Neg
N-2 55271SAD6 CC CCC
N-3 55272SAA1 CC CCC
N-4 55272SAB9 CC CCC
MASTR Alternative Loan NIM 2007-HF1
Series 2007-HF1
Rating
------
Class CUSIP To From
----- ----- -- ----
A 55291LAA3 BBB-/Watch Neg BBB-
Morgan Stanley ABS Capital I Inc. NIM 2007-HE6N Ltd.
Series 2007-HE6N
Rating
------
Class CUSIP To From
----- ----- -- ----
N-3 Notes 617535AC3 CC BB+
Morgan Stanley ABS Capital I Inc. NIM 2007-NC2N Ltd.
Series 2007-NC2N
Rating
------
Class CUSIP To From
----- ----- -- ----
N-2 Notes 61754QAB8 CC BBB-
N-3 Notes 61754QAC6 CC BB+
Morgan Stanley Home Equity Loan NIM 2007-2N Ltd.
Series 2007-2N
Rating
------
Class CUSIP To From
----- ----- -- ----
N-2 61753GAB1 CC BBB-
N-3 61753GAC9 CC B
Nationstar NIM Ltd. 2007-AN
Series 2007-AN
Rating
------
Class CUSIP To From
----- ----- -- ----
A Notes 63860JAA3 CC A-
B Notes 63860JAB1 CC BBB
Nationstar NIM Ltd. 2007-BN
Series 2007-BN
Rating
------
Class CUSIP To From
----- ----- -- ----
A Notes 63859SAA6 CC A-
B Notes 63859SAB4 CC BBB-
Nationstar NIM Trust 2006-1N
Series 2006-1N
Rating
------
Class CUSIP To From
----- ----- -- ----
Notes 63860DAA6 CC BBB-
Renaissance Home Equity Loan Trust 2006-2
Series 2006-2 NOTES
Rating
------
Class CUSIP To From
----- ----- -- ----
N-1 759676AV1 CC CCC
N-2 759676AW9 CC CCC
SASCO Net Interest Margin Trust 2003-36XS
Series 2003-36XS
Rating
------
Class CUSIP To From
----- ----- -- ----
Notes 803827AM6 CC BB/Watch Neg
Sharps SP I LLC Net Interest Margin 2006-HYBN
Series 2006-HYBN
Rating
------
Class CUSIP To From
----- ----- -- ----
N-1 82001UAA8 CC CCC
Sharps SP I LLC Net Interest Margin Trust 2006-CW1N
Series 2006-CW1N
Rating
------
Class CUSIP To From
----- ----- -- ----
Notes 82002HAA6 CC A+/Watch Neg
WM Asset Holdings Trust 2007-WM3B
Series 2007-WM3B
Rating
------
Class CUSIP To From
----- ----- -- ----
N-1 Notes 92933XAA4 BB-/Watch Neg BBB-/Watch Neg
Ratings Remaining On Creditwatch Negative
ABSC NIMs Trust 2007-HE1
Series 2007-HE1
Class CUSIP Rating
----- ----- ------
A 00082VAA0 BBB-/Watch Neg
Countrywide Home Loan Trust 2006-21N
Series 2006-21N
Class CUSIP Rating
----- ----- ------
Notes 12667QAB7 BBB-/Watch Neg
Countrywide Home Loan Trust 2006-22N
Series 2006-22N
Class CUSIP Rating
----- ----- ------
Notes 12667WAB4 BBB-/Watch Neg
Countrywide Home Loan Trust 2006-23N
Series 2006-23N
Class CUSIP Rating
----- ----- ------
Notes 12667RAB5 BBB-/Watch Neg
Countrywide Home Loan Trust 2006-26N
Series 2006-26N
Class CUSIP Rating
----- ----- ------
Notes 12667UAB8 BBB-/Watch Neg
Countrywide Home Loan Trust 2007-1N
Series 2007-1N
Class CUSIP Rating
----- ----- ------
Notes 222393AB6 BBB-/Watch Neg
Countrywide Home Loan Trust 2007-2N
Series 2007-2N
Class CUSIP Rating
----- ----- ------
Note 222395AA3 BBB-/Watch Neg
Fremont NIM Trust 2006-B
Series 2006-B
Class CUSIP Rating
----- ----- ------
Notes 357524AA5 BBB-/Watch Neg
IndyMac NIM Trust INABS 2006-D
Series 2006-D
Class CUSIP Rating
----- ----- ------
Notes 45661UAA6 BBB-/Watch Neg
IndyMac NIM Trust INABS 2006-E
Series 2006-E
Class CUSIP Rating
----- ----- ------
NIM 45668MAA7 BBB-/Watch Neg
IndyMac NIM Trust INABS 2007-A
Series 2007-A
Class CUSIP Rating
----- ----- ------
Notes 45669CAA8 BBB-/Watch Neg
MASTR CI-13
Series 2006-FRE1
Class CUSIP Rating
----- ----- ------
N2 57644RAB8 BBB-/Watch Neg
WM Asset Holdings Trust 2007-WM4
Series 2007-WM4
Class CUSIP Rating
----- ----- ------
N1 92934LAA9 BBB-/Watch Neg
Ratings Affirmed
Ameriquest NIM Trust 2004-RN10
Series 2004-RN10
Class CUSIP Rating
----- ----- ------
Notes 03075NAA1 AAA
Ameriquest NIM Trust 2005-RN3
Series 2005-RN3
Class CUSIP Rating
----- ----- ------
Notes 03075XAA9 AAA
IndyMac NIM Trust INABS 2007-B
Series INABS 2007-B
Class CUSIP Rating
----- ----- ------
Notes 45669HAA7 AAA
MASTR ABS NIM Trust 2005-OPT1
Series 2005-OPT1
Class CUSIP Rating
----- ----- ------
Notes 55265DAH8 A
Option One Mortgage Securities Corp NIM Trust 2005-2
Series 2005 2 NIM
Class CUSIP Rating
----- ----- ------
Notes 68389CBH3 A
Option One Mortgage Securities Corp. NIM Trust 2005-1
Series 2005-1
Class CUSIP Rating
----- ----- ------
Notes 68389CBG5 AAA
Option One Mortgage Securities Corp. NIM Trust 2006-1
Series 2006-1
Class CUSIP Rating
----- ----- ------
Notes 68389CBL4 AAA
Option One Mortgage Securities Corp. NIM Trust 2006-2
Series 2006-2
Class CUSIP Rating
----- ----- ------
Notes 68389CBM2 AAA
Option One Mortgage Securities NIM Trust 2007-3
Series 2007-3
Class CUSIP Rating
----- ----- ------
Notes 68403GAA2 AAA
Option One Mortgage Securities NIM Trust 2007-4
Series 2007-4
Class CUSIP Rating
----- ----- ------
Notes 68403CAA1 AAA
Option One Mortgage Securities NIM Trust 2007-5
Series 2007-5
Class CUSIP Rating
----- ----- ------
Notes 68403EAA7 AAA
Option One Mortgage Securities NIM Trust 2007-CP1
Series 2007-CP1
Class CUSIP Rating
----- ----- ------
Notes 68403AAA5 AAA
Option One Mortgage Securities NIM Trust 2007-FXD1
Series 2007-FXD1
Class CUSIP Rating
----- ----- ------
Notes 68402WAA8 AAA
Option One Mortgage Securities NIM Trust 2007-FXD2
Series 2007-FDX2
Class CUSIP Rating
----- ----- ------
Notes 68403DAA9 AAA
Soundview NIM Trust 2005-OPT1
Series 2005-OPT1
Class CUSIP Rating
----- ----- ------
Notes 83611NAC0 A
Soundview NIM Trust 2006-OPT4
Series 2006-OPT4
Class CUSIP Rating
----- ----- ------
Notes 83612FAA0 AAA
* S&P Downgrades Ratings on 69 Classes From 13 RMBS Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 69
classes from 13 U.S. residential mortgage-backed securities
transactions issued from 2004 to 2007. S&P categorizes the
transactions reviewed as "scratch-and-dent" due to the nature of
the underlying collateral securing the RMBS. S&P removed 41 of
the lowered ratings from CreditWatch negative. S&P also affirmed
its ratings on 27 classes from the same transactions, and removed
11 of the affirmed ratings from CreditWatch negative.
Scratch-and-dent transactions generally fall into one of four
categories depending on the characteristics of the underlying loan
collateral: reperforming, outside-the-guidelines, document-
deficient, and nonperforming liquidating trusts. S&P considers
all of the transactions in this review outside-the-guidelines,
except for GSAMP Trust 2006-SD3, which S&P consider document-
deficient.
The downgrades and affirmations incorporate S&P's projected
losses, which are based on factors such as the dollar amount of
losses S&P has observed within the transactions over the past 12
months, the current pipeline inclusive of S&P's roll-rate
assumptions, or default curves that S&P utilizes when S&P reviews
subprime and Alternative-A (Alt-A) transactions.
In each scenario, S&P compared its loss projections with the
amount of subordination and applicable excess interest on a class-
by-class basis to assess the amount of credit support S&P
considered sufficient based on S&P's future loss projections.
Generally, S&P's baseline loss projections represent its 'B' case
rating scenario, and S&P adjust the projection based on credit
enhancement multiples that are specific to each rating category.
Typically, if the rating is commensurate with the ratio derived
from credit enhancement-to-remaining losses, S&P will affirm the
rating. The lowered ratings reflect S&P's belief that the amount
of credit enhancement available for the downgraded classes is not
sufficient to cover losses at the previous rating levels, while
affirmations reflect S&P's belief that the amount of credit
enhancement is sufficient to support the ratings at their current
levels.
Subordination, overcollateralization, and excess interest provide
credit support for the affected transactions.
Overcollateralization also provides credit support for the
transactions with overcollateralization that has not been
depleted. The classes in RAMP Series 2005-RS9 Trust are bond
insured by FGIC; S&P withdrew its financial strength rating on
FGIC. The collateral backing the affected trusts consists
predominantly of first-lien, fixed- or adjustable-rate residential
subprime or Alt-A mortgage loans secured by one- to four-family
properties.
S&P monitors these transactions to incorporate updated performance
information to assess whether, in S&P's view, the applicable
credit enhancement is sufficient to support the current ratings.
S&P will continue to monitor these transactions and take
additional rating actions as S&P think appropriate.
Rating Actions
Bear Stearns Asset Backed Securities Trust 2006-3
Series 2006-3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 07388GAA9 AAA AAA/Watch Neg
A-2 07388GAB7 AAA AAA/Watch Neg
A-3 07388GAC5 AAA AAA/Watch Neg
M-1 07388GAD3 B AA/Watch Neg
M-2 07388GAE1 CCC AA-/Watch Neg
M-3 07388GAF8 CCC A/Watch Neg
M-4 07388GAG6 CC BBB/Watch Neg
M-5 07388GAH4 CC BB+/Watch Neg
M-6 07388GAJ0 CC BB/Watch Neg
GSAMP Trust 2006-SD3
Series 2006-SD3
Rating
------
Class CUSIP To From
----- ----- -- ----
A 36244RAA8 B AAA/Watch Neg
M-1 36244RAB6 CC A/Watch Neg
RAAC Series 2006-SP1 Trust
Series 2006-SP1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 76112B3D0 AAA AAA/Watch Neg
A-3 76112B3E8 AA AAA/Watch Neg
M-1 76112B3F5 B- AA+/Watch Neg
M-2 76112B3G3 CC AA-/Watch Neg
M-3 76112B3H1 CC BB/Watch Neg
RAAC Series 2007-SP1 Trust
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 74978AAB6 A AAA
A-3 74978AAC4 A AAA
M-1 74978AAD2 B AA
M-2 74978AAE0 CCC A
M-3 74978AAF7 CC BBB+
M-4 74978AAG5 CC BBB
RAMP Series 2004-RS12 Trust
Series 2004-RS12
Rating
------
Class CUSIP To From
----- ----- -- ----
M-I-2 76112BFW5 B A
M-I-3 76112BFX3 CCC BBB
M-I-4 76112BFY1 CC BBB-
M-II-6 76112BGH7 CCC BBB-
RAMP Series 2005-RS6 Trust
Series 2005-RS6
Rating
------
Class CUSIP To From
----- ----- -- ----
A-I-2 76112BTN0 AAA AAA/Watch Neg
A-I-3 76112BTP5 AAA AAA/Watch Neg
A-II-1 76112BTQ3 AAA AAA/Watch Neg
A-II-2 76112BTR1 AAA AAA/Watch Neg
M-1 76112BTS9 AA+ AA+/Watch Neg
M-2 76112BTT7 AA AA/Watch Neg
M-3 76112BTU4 AA- AA-/Watch Neg
M-4 76112BTV2 BBB A+/Watch Neg
M-5 76112BTW0 BB A+/Watch Neg
M-6 76112BTX8 CCC A/Watch Neg
M-7 76112BTY6 CC BBB+/Watch Neg
M-8 76112BTZ3 CC BBB/Watch Neg
RAMP Series 2005-RS8 Trust
Series 2005-RS8
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 76112BZK9 A AA
M-3 76112BZL7 BB A
M-4 76112BZM5 B BBB-
M-5 76112BZN3 CCC B
M-6 76112BZP8 CC CCC
M-7 76112BZQ6 CC CCC
RAMP Series 2005-RS9 Trust
Series 2005-RS9
Rating
------
Class CUSIP To From
----- ----- -- ----
A-I-3 76112BL73 CCC B/Watch Neg
A-I-4 76112BL81 CCC B/Watch Neg
A-II 76112BL99 CCC B/Watch Neg
RAMP Series 2006-EFC1 Trust
Series 2006-EFC1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 76112BV98 BB AA
M-4 76112BW22 B BBB-
M-5 76112BW30 CCC B-
M-6 76112BW48 CC CCC
RAMP Series 2006-RS1 Trust
Series 2006-RS1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-I-2 76112BT83 B AAA
A-I-3 76112BT91 B AAA
A-II 76112BU24 B AAA
M-1 76112BU32 CCC BBB
M-2 76112BU40 CC B
M-3 76112BU57 CC CCC
M-4 76112BU65 CC CCC
M-5 76112BU73 CC CCC
RAMP Series 2006-RS2 Trust
Series 2006-RS2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 76112B2C3 B- AAA/Watch Neg
A-3A 76112B2D1 B AAA/Watch Neg
A-3B 76112B2S8 B- AAA/Watch Neg
M-1 76112B2E9 CCC AA+/Watch Neg
M-2 76112B2F6 CC AA/Watch Neg
M-3 76112B2G4 CC AA-/Watch Neg
M-4 76112B2H2 CC A+/Watch Neg
M-5 76112B2J8 CC A/Watch Neg
RAMP Series 2006-RS3 Trust
Series 2006-RS3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 75156VAB1 CCC AAA/Watch Neg
A-3 75156VAC9 CCC AAA/Watch Neg
A-4 75156VAD7 CCC AAA/Watch Neg
M-1 75156VAE5 CCC AA+/Watch Neg
M-2 75156VAF2 CC AA/Watch Neg
M-3 75156VAG0 CC AA-/Watch Neg
Structured Asset Securities Corporation Mortgage Loan Trust
Series 2006-GEL3
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 86360XAA8 AA AAA/Watch Neg
A2 86360XAB6 BB AAA/Watch Neg
A3 86360XAC4 BB AAA/Watch Neg
M1 86360XAD2 CCC AA/Watch Neg
M2 86360XAE0 CC AA-/Watch Neg
M3 86360XAF7 CC A/Watch Neg
M4 86360XAG5 CC A-/Watch Neg
Ratings Affirmed
RAAC Series 2007-SP1 Trust
Series 2007-SP1
Class CUSIP Rating
----- ----- ------
A-1 74978AAA8 AAA
RAMP Series 2004-RS12 Trust
Series 2004-RS12
Class CUSIP Rating
----- ----- ------
A-I-4 76112BFS4 AAA
A-I-5 76112BFT2 AAA
A-I-6 76112BFU9 AAA
M-I-1 76112BFV7 AA
M-II-2 76112BGD6 A
M-II-3 76112BGE4 A-
M-II-4 76112BGF1 BBB+
M-II-5 76112BGG9 BBB
RAMP Series 2005-RS8 Trust
Series 2005-RS8
Class CUSIP Rating
----- ----- ------
A-2 76112BZF0 AAA
A-3 76112BZG8 AAA
M-1 76112BZJ2 AA+
RAMP Series 2006-EFC1 Trust
Series 2006-EFC1
Class CUSIP Rating
----- ----- ------
A-2 76112BV56 AAA
A-3 76112BV64 AAA
M-1 76112BV72 AA+
M-2 76112BV80 AA+
* S&P Downgrades Ratings on 71 Classes of Mortgage Certs. to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D' on
71 classes of mortgage pass-through certificates from 68 U.S.
prime jumbo residential mortgage-backed securities transactions
from various issuers. S&P removed 11 of the lowered ratings from
CreditWatch with negative implications. Additionally, S&P placed
87 ratings on seven of the affected transactions on CreditWatch
with negative implications. The ratings on 102 additional classes
from 15 of these transactions remain on CreditWatch negative.
The negative rating actions reflect S&P's assessment of principal
write-downs on the 71 affected classes during recent remittance
periods. The CreditWatch placements reflect the fact that the
affected classes are a part of the same group structure as a class
that defaulted from the 'B-' rating level or higher. S&P lowered
approximately 73.24% of the ratings on the 71 defaulted classes
from the 'CCC' or 'CC' rating categories and lowered all of the
ratings from speculative-grade rating categories.
S&P expects to resolve the CreditWatch placements affecting these
transactions after S&P completes its reviews of the underlying
redit enhancement. S&P will continue to monitor S&P's ratings on
securities that experience principal write-downs and adjust the
ratings as S&P deem appropriate.
* S&P Downgrades Ratings on 90 Classes From Nine RMBS Transactions
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 90
classes from nine residential mortgage-backed securities
transactions backed by U.S. Alternative-A mortgage loan collateral
issued in 2005, 2006, and 2007. S&P removed 77 of the lowered
ratings from CreditWatch with negative implications. In addition,
S&P affirmed our ratings on four classes from three of the same
transactions and removed two 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 are generally low compared with S&P's projected
lifetime losses for the transactions reviewed, S&P is projecting
an increase in losses due to increases in delinquencies and
the current negative condition of the housing market.
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 current rating levels.
S&P revised its loss projections for six of the transactions S&P
reviewed based on a forward-looking default curve. S&P's revised
loss projections are:
Orig. bal. Lifetime
Transaction (mil. $) exp. loss (%)
----------- ---------- -------------
Alternative Loan Trust
Series 2005-J12 (Structure 2) 471.3 18.11
Alternative Loan Trust
Series 2006-OC1 1,200 24.64
BCAP LLC
Series 2007-AA3 (Structure-1) 581.8 18.78
Nomura Asset Acceptance Corp.
Alternative Loan Trust
Series 2005-AR6 655.5 17.23
Nomura Asset Acceptance Corp.
Alternative Loan Trust
Series 2006-AF2 (Structure-1) 364.0 28.93
Nomura Asset Acceptance Corp.
Alternative Loan Trust,
Series 2006-AF2 (Structure-2) 199.7 34.09
Nomura Asset Acceptance Corp.
Alternative Loan Trust
Series 2006-AF2 (Structure-3) 200.4 41.18
Wachovia Mortgage Loan Trust
Series 2006-AMN1 714.4 26.28
For an Alt-A bond to maintain an 'AAA' rating, S&P considers
whether it is able to withstand approximately 150% of S&P's base-
case loss assumptions, subject to individual caps and qualitative
factors assumed on specific transactions. For a class for which
we've affirmed a 'B' rating, S&P considers whether a bond is able
to withstand S&P's base-case loss assumptions. Other rating
categories are dispersed, approximately equally, between these two
loss assumptions. For example, to maintain a 'BB' rating on one
class, S&P may consider whether the class is able to withstand
approximately 110% of S&P's base-case loss assumptions, while, in
connection with a different class, S&P may consider whether it is
able to withstand approximately 120% of S&P's base-case loss
assumptions to maintain a 'BBB' rating.
The subordination of more-junior classes within each structure
provides credit support for the classes in the reviewed
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 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 thinks
appropriate.
Rating Actions
Alternative Loan Trust 2005-J12
Series 2005-J12
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 12668ASP1 AAA AAA/Watch Neg
1-A-3 12668ASR7 BB AAA/Watch Neg
1-A-4 12668ASS5 BB AAA/Watch Neg
1-A-5 12668AST3 BB AAA/Watch Neg
1-A-6 12668AYD1 BB AAA/Watch Neg
1-M-1 12668ASU0 CCC AA/Watch Neg
1-M-2 12668ASV8 CC A/Watch Neg
1-M-3 12668ASW6 CC BB+/Watch Neg
1-B-1 12668ASX4 CC BB/Watch Neg
2-A-1 12668ASY2 CCC AAA/Watch Neg
2-A-3 12668ATA3 AA AAA/Watch Neg
2-A-4 12668ATB1 CCC AAA/Watch Neg
2-M-1 12668ATD7 CC AA/Watch Neg
1-A-2 12668ASQ9 BB AAA/Watch Neg
Alternative Loan Trust 2006-OC1
Series 2006-OC1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 12668BJD6 CCC AAA/Watch Neg
1-A-2 12668BJE4 CC BB/Watch Neg
2-A-2 12668BJT1 CC AA/Watch Neg
2-A-3A 12668BJU8 CCC AAA/Watch Neg
2-A-3B 12668BJV6 CC BB/Watch Neg
M-1 12668BJG9 CC B/Watch Neg
M-2 12668BJH7 CC CCC
BCAP LLC Trust 2007-AA3
Series 2007-AA3
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1A 05530VAA7 BBB AAA/Watch Neg
I-A-1B 05530VAB5 BBB AAA/Watch Neg
I-A-2 05530VAC3 CCC AA/Watch Neg
I-M-1 05530VAD1 CC A/Watch Neg
I-M-2 05530VAE9 CC BBB/Watch Neg
I-M-3 05530VAF6 CC BB/Watch Neg
I-M-4 05530VAG4 CC B/Watch Neg
I-M-5 05530VAH2 CC CCC
II-A-IA 05530VAN9 CCC AA/Watch Neg
II-A-1B 05530VAP4 CCC AA/Watch Neg
II-A-2 05530VAQ2 CC B/Watch Neg
II-M-1 05530VAR0 CC CCC
II-M-2 05530VAS8 CC CCC
II-M-3 05530VAT6 CC CCC
II-M-4 05530VAU3 CC CCC
II-M-5 05530VAV1 CC CCC
II-M-6 05530VAW9 CC CCC
II-M-7 05530VAX7 CC CCC
Bear Stearns ALT-A Trust 2005-10
Series 2005-10
Rating
------
Class CUSIP To From
----- ----- -- ----
I-1A-1 07386HYW5 B A/Watch Neg
I-1A-2 07386HYX3 CCC BB/Watch Neg
II-1A-1 07386HZC8 CCC AAA/Watch Neg
II-1A-2 07386HZD6 CC B/Watch Neg
II-2A-1 07386HZE4 CCC A/Watch Neg
II-2A-2 07386HZF1 CC B/Watch Neg
II-3A-1 07386HZG9 CCC AAA/Watch Neg
II-3A-2 07386HZH7 CC B/Watch Neg
II-4A-1 07386HZJ3 CCC AAA/Watch Neg
II-4A-2 07386HZK0 CC B/Watch Neg
II-4X-1 07386HZL8 CCC AAA
II-5A-1 07386HZM6 CC B/Watch Neg
II-5X-1 07386HZN4 CC B
II-B-1 07386HZP9 CC CCC
Impac CMB Trust Series 2005-8
Series 2005-8
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 45254NRG4 AA AAA/Watch Neg
1-AM 45254NRH2 BB AAA/Watch Neg
1-M-1 45254NRK5 CCC AA+/Watch Neg
1-M-2 45254NRL3 CC AA/Watch Neg
1-M-3 45254NRM1 CC AA-/Watch Neg
1-M-4 45254NRN9 CC A+/Watch Neg
Impac Secured Assets Corp.
Series 2005-2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 45254TSM7 BB AAA/Watch Neg
A-1M 45254TSN5 CC BBB/Watch Neg
A-2B 45254TSQ8 AAA AAA/Watch Neg
A-2C 45254TSR6 CCC A/Watch Neg
A-2D 45254TSS4 CC BBB/Watch Neg
M-1 45254TST2 CC B/Watch Neg
Nomura Asset Acceptance Corporation, Alternative Loan Trust
Series 2005-AR6
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A 65535VRG5 CC B/Watch Neg
II-A-1 65535VRH3 CCC AAA/Watch Neg
II-A-2 65535VRW0 CC B/Watch Neg
III-A-1 65535VRJ9 CCC AA/Watch Neg
III-A-2 65535VRV2 CC B/Watch Neg
IV-A-1 65535VRK6 CCC AAA/Watch Neg
IV-A-2 65535VRL4 CC BB/Watch Neg
Nomura Asset Acceptance Corporation, Alternative Loan Trust
Series 2006-AF2
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 65536VAA5 B AAA/Watch Neg
I-A-2 65536VAB3 CC BBB/Watch Neg
I-A-3 65536VAC1 CC B/Watch Neg
I-A-4 65536VAD9 CC B/Watch Neg
I-A-5 65536VAE7 CC B/Watch Neg
I-A-6 65536VAF4 CC B/Watch Neg
I-M-1 65536VAG2 CC CCC
II-A 65536XAA1 CC B/Watch Neg
III-A-1 65536XAB9 CC B+/Watch Neg
III-A-2 65536XAC7 CC B/Watch Neg
IV-A 65536XAD5 CC B/Watch Neg
V-A-1 65536XAN3 CC B+/Watch Neg
Wachovia Mortgage Loan Trust Series 2006-AMN1
Series 2006-AMN1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 92978EAA2 CCC AAA/Watch Neg
A-2 92978EAB0 CCC AAA/Watch Neg
A-3 92978EAC8 CCC AAA/Watch Neg
M-1 92978EAD6 CC AA+/Watch Neg
M-2 92978EAE4 CC AA+/Watch Neg
M-3 92978EAF1 CC AA+/Watch Neg
M-4 92978EAG9 CC A/Watch Neg
M-5 92978EAH7 CC BBB/Watch Neg
Ratings Affirmed
Impac CMB Trust Series 2005-8
Series 2005-8
Class CUSIP Rating
----- ----- ------
2-A 45254NRT6 AAA
Impac Secured Assets Corp.
Series 2005-2
Class CUSIP Rating
----- ----- ------
A-1W 45254TTF1 A
* S&P Downgrades Ratings on 102 Classes From 33 Prime Jumbo RMBS
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 102
classes from 33 U.S. prime jumbo residential mortgage-backed
securities transactions issued from 1998 to 2004. In addition,
S&P affirmed S&P's ratings on 669 classes from 32 of the
downgraded deals as well as 34 additional deals.
The downgrades reflect S&P's opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings, given S&P's current projected losses.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. For
mortgage pools that are continuing to experience increasing
delinquencies, S&P increased its stresses to account for potential
increases in monthly losses. In order to maintain a rating higher
than 'B', S&P assessed whether, in its view, a class could absorb
losses in excess of the base-case loss assumptions S&P assumed in
its analysis. For example, generally, S&P assessed whether one
class could, in S&P's view, withstand approximately 130% of S&P's
base-case loss assumptions in order to maintain a 'BB' rating,
while S&P assessed whether a different class could withstand 155%
of S&P's base-case loss assumption to maintain a 'BBB' rating.
Each class that has an affirmed 'AAA' rating can, in S&P's view,
withstand approximately 235% of S&P's base-case loss assumptions
under S&P's analysis.
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover losses associated with these rating levels.
Subordination provides credit support for the affected
transactions. The underlying pool of loans backing these
transactions consists of fixed- and adjustable-rate, first-lien,
prime jumbo mortgage loans.
Rating Actions
CHL Mortgage Pass-Through Trust 2002-21
Series 2002-21
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669C6C9 BBB AA
CHL Mortgage Pass-Through Trust 2002-30
Series 2002-30
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669DFA1 BB A
CHL Mortgage Pass-Through Trust 2002-35
Series 2002-35
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669DTQ1 BBB AA
CHL Mortgage Pass-Through Trust 2002-38
Series 2002-38
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669DTX6 BBB A
B-2 12669DTY4 B BBB
CHL Mortgage Pass-Through Trust 2002-J5
Series 2002-J5
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 12669DXF0 BBB A
B-4 12669DXG8 B BBB
CHL Mortgage Pass-Through Trust 2003-35
Series 2003-35
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669EYN0 BB BBB
B-3 12669EYY6 CCC BB
B-4 12669EYZ3 CCC B
CHL Mortgage Pass-Through Trust 2003-37
Series 2003-37
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669EYW0 BB A
B-2 12669EYX8 CCC BBB
B-3 12669EE28 CCC BB
B-4 12669EE36 CC B
CHL Mortgage Pass-Through Trust 2003-40
Series 2003-40
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669EL38 BB BBB
B-3 12669EM45 CCC BB
B-4 12669EM52 CCC B
CHL Mortgage Pass-Through Trust 2003-42
Series 2003-42
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669EJ56 BB A
B-2 12669EJ64 CCC BBB
B-3 12669EJ72 CCC BB
B-4 12669EJ80 CC B
CHL Mortgage Pass-Through Trust 2003-43
Series 2003-43
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669EL87 B BBB
B-3 12669EU46 CCC BB
B-4 12669EU53 CCC B
CHL Mortgage Pass-Through Trust 2003-46
Series 2003-46
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669EWH5 BB BBB
B-3 12669EWJ1 CCC BB
B-4 12669EWK8 CC B
CHL Mortgage Pass-Through Trust 2003-48
Series 2003-48
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669EV78 B BBB
B-3 12669EV86 CCC BB
B-4 12669EV94 CC B
CHL Mortgage Pass-Through Trust 2003-49
Series 2003-49
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669EF84 BB BBB
B-3 12669EF92 CCC BB
B-4 12669EG26 CCC B
CHL Mortgage Pass-Through Trust 2003-52
Series 2003-52
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669E6C5 B BBB
B-3 12669E6D3 CCC BB
B-4 12669E6E1 CC B
CHL Mortgage Pass-Through Trust 2003-53
Series 2003-53
Rating
------
Class CUSIP To From
----- ----- -- ----
M 12669E5S1 A- AA+
B-1 12669E5T9 B A
B-2 12669E5U6 CCC BBB
B-3 12669E5V4 CC BB
B-4 12669E5W2 CC B
CHL Mortgage Pass-Through Trust 2003-54
Series 2003-54
Rating
------
Class CUSIP To From
----- ----- -- ----
B-4 12669E3B0 CCC B
CHL Mortgage Pass-Through Trust 2003-56
Series 2003-56
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669FBY8 B BBB
B-3 12669FAK9 CCC BB
B-4 12669FAM5 CC B
CHL Mortgage Pass-Through Trust 2003-58
Series 2003-58
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669E6M3 BB BBB
B-3 12669E6N1 CCC BB
B-4 12669E6P6 CCC B
CHL Mortgage Pass-Through Trust 2003-60
Series 2003-60
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669FJK0 B BBB
B-3 12669FJL8 CCC BB
B-4 12669FJM6 CC B
CHL Mortgage Pass-Through Trust 2003-HYB3
Series 2003-HYB3
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669EQN9 BB BBB
B-3 12669EQP4 CCC BB
B-4 12669EQQ2 CC B
CHL Mortgage Pass-Through Trust 2003-J13
Series 2003-J13
Rating
------
Class CUSIP To From
----- ----- -- ----
B-4 12669FGE7 CCC B
CHL Mortgage Pass-Through Trust 2003-J4
Series 2003-J4
Rating
------
Class CUSIP To From
----- ----- -- ----
B-4 12669EEB8 CCC B
CHL Mortgage Pass-Through Trust 2003-J6
Series 2003-J6
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669ERC2 BB A
B-3 12669EVN3 CCC BBB
B-4 12669EVP8 CCC BB+
CHL Mortgage Pass-Through Trust 2003-J8
Series 2003-J8
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669EX50 A- AA
B-2 12669EX68 CCC A-
B-3 12669E2J4 CCC BBB
B-4 12669E2K1 CC B
CHL Mortgage Pass-Through Trust 2003-J9
Series 2003-J9
Rating
------
Class CUSIP To From
----- ----- -- ----
B-4 12669E5J1 CCC B
CHL Mortgage Pass-Through Trust 2004-11
Series 2004-11
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669FB44 A- A+
B-2 12669FB51 B BBB+
B-3 12669FD83 CC BB
B-4 12669FD91 CC B
CHL Mortgage Pass-Through Trust 2004-14
Series 2004-14
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669FT86 BB A
B-2 12669FT94 CCC BBB
B-3 12669FU27 CC BB
B-4 12669FU35 CC B
CHL Mortgage Pass-Through Trust 2004-15
Series 2004-15
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 12669FG64 AA AAA
2-A 12669FG72 AA AAA
3-A 12669FG80 AA AAA
4-A 12669FL50 AA AAA
5-A 12669FL68 AA AAA
M 12669FG98 BB AA
B-1 12669FH22 CCC A
B-2 12669FH30 CC BBB
B-3 12669FH48 CC BB
B-4 12669FH55 CC B
CHL Mortgage Pass-Through Trust 2004-2
Series 2004-2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 12669FKY8 B BB+
B-4 12669FKZ5 CCC B
CHL Mortgage Pass-Through Trust 2004-HYB6
Series 2004-HYB6
Rating
------
Class CUSIP To From
----- ----- -- ----
M 12669F6N8 BBB- AA
B-1 12669F6P3 CCC A
B-2 12669F6Q1 CC BB
B-3 12669F6R9 CC B
CHL Mortgage Pass-Through Trust 2004-HYB7
Series 2004-HYB7
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669GCH2 BB A
B-2 12669GCJ8 CCC BBB
B-3 12669GCK5 CC BB
B-4 12669GCL3 CC B
CHL Mortgage Pass-Through Trust 2004-J7
Series 2004-J7
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669F6J7 BBB- BBB
B-3 12669F5J8 CCC BB
B-4 12669F5K5 CC B
Prime Mortgage Trust 2004-CL2
Series 2004-CL2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 74160MEH1 B AA
B-2 74160MEJ7 CCC A
B-3 74160MEK4 CC BBB
B-4 74160MEL2 CC B
B-5 74160MEM0 CC CCC
Provident Funding Mortgage Loan Trust 2004-1
Series 2004-1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-4 743873AS0 B BB
B-5 743873AT8 CC B
Ratings Affirmed
CHL Mortgage Pass-Through Trust 2002-19
Series 2002-19
Class CUSIP Rating
----- ----- ------
1-A-1 12669DBA5 AAA
1-A-13 12669DBN7 AAA
2-A-3 12669DBR8 AAA
2-A-4 12669DBS6 AAA
PO 12669DBT4 AAA
M 12669DBV9 AAA
B-1 12669DBW7 AAA
B-2 12669DBX5 AAA
CHL Mortgage Pass-Through Trust 2002-21
Series 2002-21
Class CUSIP Rating
----- ----- ------
A-1 12669C5W6 AAA
A-3 12669C5Y2 AAA
PO 12669C5Z9 AAA
M 12669C6D7 AAA
B-1 12669C6B1 AAA
CHL Mortgage Pass-Through Trust 2002-22
Series 2002-22
Class CUSIP Rating
----- ----- ------
A-20 12669C3U2 AAA
PO 12669C3V0 AAA
CHL Mortgage Pass-Through Trust 2002-25
Series 2002-25
Class CUSIP Rating
----- ----- ------
1-A-14 12669DHT8 AAA
1-A-15 12669DHU5 AAA
1-X 12669DHV3 AAA
2-A-1 12669DHX9 AAA
2-X 12669DHW1 AAA
PO 12669DHY7 AAA
M 12669DJA7 AAA
B-1 12669DJB5 AAA
B-2 12669DJC3 AA+
CHL Mortgage Pass-Through Trust 2002-26
Series 2002-26
Class CUSIP Rating
----- ----- ------
A-1 12669DFV5 AAA
A-2 12669DFW3 AAA
A-3 12669DFX1 AAA
A-4 12669DFY9 AAA
A-5 12669DFZ6 AAA
PO 12669DGA0 AAA
M 12669DGC6 AAA
B-1 12669DGD4 AAA
B-2 12669DGE2 AA+
CHL Mortgage Pass-Through Trust 2002-27
Series 2002-27
Class CUSIP Rating
----- ----- ------
A-1 12669DGF9 AAA
A-6 12669DGL6 AAA
A-8 12669DGN2 AAA
A-9 12669DGP7 AAA
PO 12669DGQ5 AAA
M 12669DGS1 AAA
B-1 12669DGT9 AAA
B-2 12669DGU6 AA
CHL Mortgage Pass-Through Trust 2002-30
Series 2002-30
Class CUSIP Rating
----- ----- ------
A-1 12669DEW4 AAA
A-2 12669DEX2 AAA
A-3 12669DEY0 AAA
M 12669DFF0 AAA
B-1 12669DEZ7 AA+
CHL Mortgage Pass-Through Trust 2002-31
Series 2002-31
Class CUSIP Rating
----- ----- ------
A-1 12669DLR7 AAA
A-2 12669DLS5 AAA
A-13 12669DMD7 AAA
PO 12669DMF2 AAA
M 12669DMH8 AAA
B-1 12669DMJ4 AAA
B-2 12669DMK1 AA
CHL Mortgage Pass-Through Trust 2002-32
Series 2002-32
Class CUSIP Rating
----- ----- ------
1-A-20 12669DQA9 AAA
1-A-21 12669DQF8 AAA
1-X 12669DLK2 AAA
2-A-2 12669DLD8 AAA
2-A-4 12669DLF3 AAA
2-A-5 12669DLG1 AAA
2-A-6 12669DLH9 AAA
2-A-7 12669DQB7 AAA
3-A-1 12669DLJ5 AAA
3-X 12669DQG6 AAA
PO 12669DLL0 AAA
M 12669DLN6 AAA
B-1 12669DLP1 AAA
B-2 12669DLQ9 AA
CHL Mortgage Pass-Through Trust 2002-35
Series 2002-35
Class CUSIP Rating
----- ----- ------
1-A-2 12669DSH2 AAA
1-A-3 12669DSJ8 AAA
1-A-4 12669DSK5 AAA
1-A-5 12669DSL3 AAA
1-A-8 12669DSP4 AAA
2-A-1 12669DSQ2 AAA
2-A-3 12669DSS8 AAA
2-A-4 12669DST6 AAA
2-A-6 12669DSV1 AAA
2-A-10 12669DSZ2 AAA
2-A-13 12669DTC2 AAA
2-A-14 12669DTD0 AAA
3-A-1 12669DTE8 AAA
4-A-1 12669DTF5 AAA
4-A-2 12669DTG3 AAA
4-A-3 12669DTH1 AAA
4-A-4 12669DTJ7 AAA
4-A-5 12669DTK4 AAA
PO 12669DTL2 AAA
M 12669DTN8 AAA
B-1 12669DTP3 AA+
CHL Mortgage Pass-Through Trust 2002-38
Series 2002-38
Class CUSIP Rating
----- ----- ------
A-1 12669DTR9 AAA
A-2 12669DTS7 AAA
A-3 12669DTT5 AAA
PO 12669DTU2 AAA
M 12669DTW8 AA
CHL Mortgage Pass-Through Trust 2002-39
Series 2002-39
Class CUSIP Rating
----- ----- ------
A-1 12669DTZ1 AAA
A-17 12669DUR7 AAA
A-18 12669DUS5 AAA
A-35 12669DVK1 AAA
A-36 12669DVL9 AAA
A-37 12669DVM7 AAA
A-38 12669DVN5 AAA
PO 12669DVR6 AAA
M 12669DVT2 AAA
B-1 12669DVU9 AA+
B-2 12669DVV7 A+
CHL Mortgage Pass-Through Trust 2002-J4
Series 2002-J4
Class CUSIP Rating
----- ----- ------
I-A-15 12669DED6 AAA
I-A-16 12669DEE4 AAA
2-A-1 12669DEF1 AAA
PO 12669DEG9 AAA
M 12669DEJ3 AAA
B-1 12669DEK0 AAA
B-2 12669DEL8 AAA
CHL Mortgage Pass-Through Trust 2002-J5
Series 2002-J5
Class CUSIP Rating
----- ----- ------
1-A-13 12669DWJ3 AAA
1-A-14 12669DWK0 AAA
1-A-15 12669DWL8 AAA
1-A-16 12669DWM6 AAA
1-A-17 12669DWN4 AAA
1-X 12669DWP9 AAA
2-A-1 12669DWQ7 AAA
2-X 12669DWR5 AAA
3-A-1 12669DWS3 AAA
PO 12669DWT1 AAA
M 12669DWV6 AAA
B-1 12669DWW4 AAA
B-2 12669DWX2 AA
CHL Mortgage Pass-Through Trust 2003-14
Series 2003-14
Class CUSIP Rating
----- ----- ------
A-1 12669EER3 AAA
A-2 12669EES1 AAA
A-3 12669EET9 AAA
A-4 12669EEU6 AAA
A-5 12669EEV4 AAA
A-6 12669EEW2 AAA
A-7 12669EEX0 AAA
A-8 12669EEY8 AAA
A-9 12669EEZ5 AAA
A-10 12669EFA9 AAA
A-11 12669EFB7 AAA
A-12 12669EFC5 AAA
A-13 12669EFD3 AAA
A-14 12669EFE1 AAA
A-15 12669EFF8 AAA
A-16 12669EFG6 AAA
A-17 12669EFH4 AAA
A-18 12669EFJ0 AAA
A-19 12669EFK7 AAA
A-20 12669EFL5 AAA
A-21 12669EFM3 AAA
A-22 12669EFN1 AAA
A-23 12669EFP6 AAA
A-24 12669EFQ4 AAA
A-25 12669EFR2 AAA
PO 12669EFS0 AAA
CHL Mortgage Pass-Through Trust 2003-15
Series 2003-15
Class CUSIP Rating
----- ----- ------
1-A-1 12669EEG7 AAA
1-A-2 12669EEH5 AAA
2-A-1 12669EEJ1 AAA
2-A-2 12669EEK8 AAA
PO 12669EEL6 AAA
M 12669EEN2 AA
B-1 12669EEP7 A
B-2 12669EEQ5 BBB
B-3 12669EED4 BB
B-4 12669EEE2 B
CHL Mortgage Pass-Through Trust 2003-2
Series 2003-2
Class CUSIP Rating
----- ----- ------
A-1 12669DZU5 AAA
A-2 12669DZV3 AAA
A-3 12669DZW1 AAA
A-4 12669DZX9 AAA
A-15 12669DB23 AAA
A-16 12669DB31 AAA
A-17 12669DB49 AAA
A-18 12669DB56 AAA
CHL Mortgage Pass-Through Trust 2003-26
Series 2003-26
Class CUSIP Rating
----- ----- ------
1-A-1 12669ERD0 AAA
1-A-2 12669ERE8 AAA
1-A-3 12669ERF5 AAA
1-A-4 12669ERG3 AAA
1-A-6 12669ERJ7 AAA
2-A-1 12669ERK4 AAA
2-A-2 12669ERL2 AAA
2-A-3 12669ERM0 AAA
2-A-4 12669EUM6 AAA
PO 12669ERN8 AAA
CHL Mortgage Pass-Through Trust 2003-35
Series 2003-35
Class CUSIP Rating
----- ----- ------
1-A-1 12669EYF7 AAA
1-A-2 12669EYG5 AAA
1-A-3 12669EYH3 AAA
2-A-1 12669EYJ9 AAA
PO 12669EYK6 AAA
M 12669EYP5 AA
B-1 12669EYM2 A
CHL Mortgage Pass-Through Trust 2003-37
Series 2003-37
Class CUSIP Rating
----- ----- ------
I-A-1 12669EYQ3 AAA
2-A-1 12669EYS9 AAA
2-A-2 12669EE51 AAA
M 12669EYV2 AA+
CHL Mortgage Pass-Through Trust 2003-40
Series 2003-40
Class CUSIP Rating
----- ----- ------
A-1 12669EK21 AAA
A-2 12669EK39 AAA
A-3 12669EK47 AAA
A-5 12669EK62 AAA
PO 12669EK70 AAA
M 12669EK96 AA
B-1 12669EL20 A
CHL Mortgage Pass-Through Trust 2003-42
Series 2003-42
Class CUSIP Rating
----- ----- ------
1-A-1 12669EH33 AAA
2-A-4 12669EH74 AAA
2-X-1 12669EH82 AAA
2-X-2 12669EH90 AAA
2-X-3 12669EJ23 AAA
M 12669EJ49 AA
CHL Mortgage Pass-Through Trust 2003-43
Series 2003-43
Class CUSIP Rating
----- ----- ------
A-1 12669EL46 AAA
M 12669EL61 AA
B-1 12669EL79 A
CHL Mortgage Pass-Through Trust 2003-46
Series 2003-46
Class CUSIP Rating
----- ----- ------
1-A-1 12669EWA0 AAA
1-A-2 12669EWB8 AAA
1-A-3 12669EWC6 AAA
2-A-1 12669EWD4 AAA
3-A-1 12669EWE2 AAA
4-A-1 12669EG67 AAA
4-A-2 12669E3D6 AAA
5-A-1 12669E3E4 AAA
6-A-1 12669E3F1 AAA
7-A-1 12669E3G9 AAA
M 12669EWF9 AA
B-1 12669EWG7 A
CHL Mortgage Pass-Through Trust 2003-48
Series 2003-48
Class CUSIP Rating
----- ----- ------
1-A-1 12669EU79 AAA
2-A-1 12669EU87 AAA
2-A-2 12669EU95 AAA
2-A-3 12669EV29 AAA
2-X-1 12669EV37 AAA
M 12669EV52 AA
B-1 12669EV60 A
CHL Mortgage Pass-Through Trust 2003-49
Series 2003-49
Class CUSIP Rating
----- ----- ------
A-3 12669EE85 AAA
A-4 12669EE93 AAA
A-5 12669EF27 AAA
A-6 12669EF35 AAA
A-7 12669EF43 AAA
A-8-A 12669EF50 AAA
A-8-B 12669EN28 AAA
A-9 12669EG59 AAA
X 12669EN36 AAA
M 12669EF68 AA
B-1 12669EF76 A
CHL Mortgage Pass-Through Trust 2003-50
Series 2003-50
Class CUSIP Rating
----- ----- ------
A-1 12669E5B8 AAA
PO 12669E5C6 AAA
CHL Mortgage Pass-Through Trust 2003-52
Series 2003-52
Class CUSIP Rating
----- ----- ------
A-1 12669E5Y8 AAA
A-2 12669E5Z5 AAA
M 12669E6A9 AA+
B-1 12669E6B7 A
CHL Mortgage Pass-Through Trust 2003-53
Series 2003-53
Class CUSIP Rating
----- ----- ------
A-1 12669E5R3 AAA
CHL Mortgage Pass-Through Trust 2003-54
Series 2003-54
Class CUSIP Rating
----- ----- ------
A-1 12669E2W5 AAA
M 12669E2X3 AA
B-1 12669E2Y1 A
B-2 12669E2Z8 BBB
B-3 12669E3A2 BB
CHL Mortgage Pass-Through Trust 2003-56
Series 2003-56
Class CUSIP Rating
----- ----- ------
1-A-1 12669FAR4 AAA
2-A-5 12669FAZ6 AAA
2-X 12669FBA0 AAA
3-A-6 12669FBK8 AAA
3-A-7A 12669FBL6 AAA
3-A-7B 12669FAU7 AAA
3-A-7C 12669FAX1 AAA
3-X 12669FBM4 AAA
4-A-1 12669FBN2 AAA
4-A-2 12669FBP7 AAA
5-A-1 12669FBQ5 AAA
5-X 12669FES8 AAA
6-A-1 12669FBR3 AAA
7-A-1 12669FBS1 AAA
7-X 12669FET6 AAA
8-A-1 12669FBT9 AAA
9-A-1 12669FBU6 AAA
M 12669FBW2 AA
B-1 12669FBX0 A
CHL Mortgage Pass-Through Trust 2003-58
Series 2003-58
Class CUSIP Rating
----- ----- ------
1-A 12669E6G6 AAA
2-A-1 12669E6H4 AAA
2-A-2 12669FDH3 AAA
2-X 12669FEP4 AAA
3-A 12669E6J0 AAA
M 12669E6K7 AA
B-1 12669E6L5 A
CHL Mortgage Pass-Through Trust 2003-60
Series 2003-60
Class CUSIP Rating
----- ----- ------
1-A-1 12669FJC8 AAA
2-A-1 12669FJD6 AAA
3-A-1 12669FJE4 AAA
4-A-1 12669FJF1 AAA
M 12669FJH7 AA+
B-1 12669FJJ3 A+
CHL Mortgage Pass-Through Trust 2003-8
Series 2003-8
Class CUSIP Rating
----- ----- ------
A-1 12669EAP1 AAA
A-2 12669EAQ9 AAA
A-3 12669EAR7 AAA
A-4 12669EAS5 AAA
A-5 12669EAT3 AAA
A-6 12669EAU0 AAA
A-7 12669EAV8 AAA
A-8 12669EAW6 AAA
PO 12669EAX4 AAA
M 12669EAZ9 AA+
B-1 12669EBA3 AA-
B-2 12669EBB1 BBB
B-3 12669EBC9 BB
B-4 12669EBD7 B
CHL Mortgage Pass-Through Trust 2003-HYB1
Series 2003-HYB1
Class CUSIP Rating
----- ----- ------
1-A-1 12669DC89 AAA
2-A-1 12669DC97 AAA
3-A-1 12669DD21 AAA
1-X 12669DD39 AAA
M 12669DD54 AAA
B-1 12669DD62 AA+
B-2 12669DD70 BBB
CHL Mortgage Pass-Through Trust 2003-HYB3
Series 2003-HYB3
Class CUSIP Rating
----- ----- ------
1-A-1 12669EQD1 AAA
2-A-1 12669EQE9 AAA
3-A-1 12669EQF6 AAA
4-A-1 12669EQG4 AAA
5-A-1 12669EQH2 AAA
6-A-1 12669EQJ8 AAA
7-A-1 12669EQK5 AAA
8-A-1 12669ETM8 AAA
1-X 12669EQL3 AAA
M 12669ETL0 AA+
B-1 12669EQM1 A+
CHL Mortgage Pass-Through Trust 2003-J1
Series 2003-J1
Class CUSIP Rating
----- ----- ------
1-A-8 12669DZE1 AAA
1-A-12 12669DZJ0 AAA
1-A-13 12669DZK7 AAA
1-X 12669DZL5 AAA
2-A-1 12669DZM3 AAA
2-X 12669DZN1 AAA
PO 12669DZP6 AAA
M 12669DZR2 AAA
B-1 12669DZS0 AA+
B-2 12669DZT8 AA
B-3 12669DF52 AA
B-4 12669DF60 A
CHL Mortgage Pass-Through Trust 2003-J10
Series 2003-J10
Class CUSIP Rating
----- ----- ------
1-A-1 12669FDJ9 AAA
1-A-2 12669FDK6 AAA
1-A-4 12669FDM2 AAA
1-A-5 12669FDN0 AAA
1-A-6 12669FDP5 AAA
1-A-7 12669FDQ3 AAA
1-A-8 12669FDR1 AAA
1-A-9 12669FDS9 AAA
1-A-10 12669FDT7 AAA
1-X 12669FDU4 AAA
2-A-1 12669FDV2 AAA
2-X 12669FDW0 AAA
3-A-1 12669FDX8 AAA
3-X 12669FDY6 AAA
PO 12669FDZ3 AAA
M 12669FEB5 AA
B-1 12669FEC3 A
B-2 12669FED1 BBB
B-3 12669FAG8 BB
B-4 12669FAH6 B
CHL Mortgage Pass-Through Trust 2003-J13
Series 2003-J13
Class CUSIP Rating
----- ----- ------
1-A-1 12669FGK3 AAA
1-A-3 12669FGM9 AAA
1-A-4 12669FGN7 AAA
1-A-5 12669FGP2 AAA
1-A-6 12669FGQ0 AAA
1-A-7 12669FGR8 AAA
1-A-8 12669FGS6 AAA
1-A-9 12669FGT4 AAA
1-X 12669FGU1 AAA
2-A-1 12669FGV9 AAA
2-A-2 12669FHW6 AAA
2-X 12669FGW7 AAA
3-A-1 12669FGX5 AAA
3-X 12669FGY3 AAA
PO 12669FGZ0 AAA
M 12669FHB2 AA
B-1 12669FHC0 A
B-2 12669FHD8 BBB
B-3 12669FGD9 BB
CHL Mortgage Pass-Through Trust 2003-J15
Series 2003-J15
Class CUSIP Rating
----- ----- ------
1-A-1 12669FKA0 AAA
1-X 12669FKB8 AAA
2-A-1 12669FKC6 AAA
2-X 12669FKD4 AAA
3-A-1 12669FKE2 AAA
3-X 12669FKF9 AAA
PO 12669FKG7 AAA
M 12669FKJ1 AA
B-1 12669FKK8 A
B-2 12669FKL6 BBB
B-3 12669FKM4 BB
B-4 12669FKN2 B
CHL Mortgage Pass-Through Trust 2003-J2
Series 2003-J2
Class CUSIP Rating
----- ----- ------
A-1 12669DT65 AAA
A-2 12669DT73 AAA
A-3 12669DT81 AAA
A-4 12669DT99 AAA
A-5 12669DU22 AAA
A-15 12669DV47 AAA
A-16 12669DV54 AAA
A-17 12669DV62 AAA
A-21 12669DW20 AAA
A-22 12669DW38 AAA
A-27 12669DW87 AAA
A-31 12669DZ92 AAA
X 12669DX29 AAA
PO 12669DX37 AAA
M 12669DX52 AAA
B-1 12669DX60 AA+
B-2 12669DX78 AA
B-3 12669DX86 A
B-4 12669DX94 BBB
CHL Mortgage Pass-Through Trust 2003-J3
Series 2003-J3
Class CUSIP Rating
----- ----- ------
1-A-1 12669D5Y0 AAA
1-A-2 12669D5Z7 AAA
1-A-3 12669D6A1 AAA
1-A-8 12669D6F0 AAA
1-A-9 12669D6G8 AAA
1-A-10 12669D6H6 AAA
1-X 12669D6J2 AAA
2-A-1 12669D6K9 AAA
2-X 12669D6L7 AAA
PO 12669D6M5 AAA
M 12669D6P8 AA+
B-1 12669D6Q6 AA
B-2 12669D6R4 AA-
B-3 12669EBN5 A
B-4 12669EBP0 BB
CHL Mortgage Pass-Through Trust 2003-J4
Series 2003-J4
Class CUSIP Rating
----- ----- ------
1-A-1 12669EFX9 AAA
1-A-2 12669EFY7 AAA
1-A-3 12669EFZ4 AAA
1-A-4 12669EGA8 AAA
1-A-5 12669EGB6 AAA
1-A-6 12669EGC4 AAA
1-A-7 12669EGD2 AAA
1-A-13 12669EGK6 AAA
1-A-14 12669EGL4 AAA
1-A-15 12669EGM2 AAA
1-A-17 12669EGP5 AAA
1-A-18 12669EHH2 AAA
1-A-19 12669EHJ8 AAA
1-X 12669EGQ3 AAA
2-A-1 12669EGR1 AAA
2-X 12669EGS9 AAA
PO 12669EGT7 AAA
M 12669EGV2 AA
B-1 12669EGW0 A
B-2 12669EGX8 BBB
B-3 12669EEA0 BB
CHL Mortgage Pass-Through Trust 2003-J5
Series 2003-J5
Class CUSIP Rating
----- ----- ------
1-A-1 12669EJL1 AAA
1-A-2 12669EJM9 AAA
1-A-3 12669EJN7 AAA
1-A-4 12669EJP2 AAA
1-A-5 12669EJQ0 AAA
1-A-6 12669EJR8 AAA
1-A-7 12669EJS6 AAA
1-A-8 12669EJT4 AAA
1-A-9 12669EJU1 AAA
1-A-10 12669EJV9 AAA
1-A-11 12669EJW7 AAA
1-A-12 12669EJX5 AAA
1-X 12669EJZ0 AAA
2-A-1 12669EKA3 AAA
2-X 12669EKB1 AAA
PO 12669EKC9 AAA
M 12669EKE5 AA+
B-1 12669EKF2 AA
B-2 12669EKG0 A+
B-3 12669EPN0 A-
B-4 12669EPP5 BBB-
CHL Mortgage Pass-Through Trust 2003-J6
Series 2003-J6
Class CUSIP Rating
----- ----- ------
1-A-1 12669EQS8 AAA
2-A-1 12669EQT6 AAA
2-A-2 12669EQU3 AAA
2-A-3 12669EQV1 AAA
2-X 12669EQW9 AAA
3-A-1 12669EQX7 AAA
PO 12669EQY5 AAA
M 12669ERA6 AA+
B-1 12669ERB4 AA
CHL Mortgage Pass-Through Trust 2003-J7
Series 2003-J7
Class CUSIP Rating
----- ----- ------
1-A-1 12669EXB7 AAA
1-A-2 12669EXC5 AAA
1-A-3 12669EXD3 AAA
1-X 12669EXE1 AAA
2-A-1 12669EXF8 AAA
2-A-3 12669EXH4 AAA
2-A-5 12669EXK7 AAA
2-A-6 12669EXL5 AAA
2-A-7 12669EXM3 AAA
2-A-8 12669EXN1 AAA
2-A-9 12669EXP6 AAA
2-A-10 12669EXQ4 AAA
2-A-11 12669EXR2 AAA
2-A-12 12669EXS0 AAA
2-A-13 12669EA48 AAA
2-A-14 12669EA55 AAA
2-X 12669EXT8 AAA
3-A-1 12669EXU5 AAA
3-A-2 12669EA63 AAA
3-A-3 12669EA71 AAA
3-X 12669EXV3 AAA
4-A-1 12669EXW1 AAA
4-A-2 12669EXX9 AAA
4-A-3 12669EXY7 AAA
4-X 12669EXZ4 AAA
PO 12669EYA8 AAA
M 12669EYC4 AA+
B-1 12669EYD2 AA
B-2 12669EYE0 A
B-3 12669ED37 BBB
B-4 12669ED45 BB+
CHL Mortgage Pass-Through Trust 2003-J8
Series 2003-J8
Class CUSIP Rating
----- ----- ------
1-A-1 12669EW36 AAA
1-A-2 12669EW44 AAA
1-A-3 12669EW51 AAA
1-A-4 12669EW69 AAA
1-X 12669EW77 AAA
2-A-1 12669EW85 AAA
2-X 12669EW93 AAA
PO 12669EX27 AAA
M 12669EX43 AA+
CHL Mortgage Pass-Through Trust 2003-J9
Series 2003-J9
Class CUSIP Rating
----- ----- ------
1-A-1 12669E3J3 AAA
1-A-3 12669E3L8 AAA
1-A-4 12669E3M6 AAA
1-A-5 12669E3N4 AAA
1-A-6 12669E3P9 AAA
1-A-7 12669E5P7 AAA
1-X 12669E3Q7 AAA
2-A-1 12669E3R5 AAA
2-X 12669E3S3 AAA
3-A-1 12669E3T1 AAA
3-A-2 12669E5Q5 AAA
3-X 12669E3U8 AAA
PO 12669E3V6 AAA
M 12669E3X2 AA
B-1 12669E3Y0 A
B-2 12669E3Z7 BBB
B-3 12669E5H5 BB
CHL Mortgage Pass-Through Trust 2004-11
Series 2004-11
Class CUSIP Rating
----- ----- ------
1-A-1 12669FA78 AAA
2-A-1 12669FA86 AAA
3-A-1 12669FA94 AAA
3-A-2 12669FE66 AAA
M 12669FB36 AA+
CHL Mortgage Pass-Through Trust 2004-14
Series 2004-14
Class CUSIP Rating
----- ----- ------
1-A-1 12669FS53 AAA
2-A-5 12669FT29 AAA
3-A-1 12669FT45 AAA
4-A-1 12669FT52 AAA
4-A-2 12669FV59 AAA
M 12669FT78 AA
CHL Mortgage Pass-Through Trust 2004-2
Series 2004-2
Class CUSIP Rating
----- ----- ------
1-A-1 12669FKR3 AAA
2-A-1 12669FKS1 AAA
3-A-1 12669FKT9 AAA
M 12669FKV4 AA+
B-1 12669FKW2 A+
B-2 12669FKX0 BBB+
CHL Mortgage Pass-Through Trust 2004-HYB6
Series 2004-HYB6
Class CUSIP Rating
----- ----- ------
A-1 12669F6L2 AAA
A-2 12669GBA8 AAA
A-3 12669GBC4 AAA
A-4 12669GBE0 AAA
X 12669F6M0 AAA
CHL Mortgage Pass-Through Trust 2004-HYB7
Series 2004-HYB7
Class CUSIP Rating
----- ----- ------
1-A-1 12669GBY6 AAA
1-A-2 12669GBZ3 AAA
1-A-1-IO 12669GBX8 AAA
1-A-2-IO AAA
1-A-3 12669GDG3 AAA
2-A 12669GCA7 AAA
3-A 12669GCB5 AAA
3-A-IO 12669GCC3 AAA
4-A 12669GCD1 AAA
4-A-IO 12669GEL1 AAA
5-A 12669GCE9 AAA
5-A-IO 12669GCF6 AAA
M 12669GCG4 AA
CHL Mortgage Pass-Through Trust 2004-J7
Series 2004-J7
Class CUSIP Rating
----- ----- ------
1-A1 12669F5M1 AAA
1-A-2 12669F5N9 AAA
1-A-3 12669F5P4 AAA
1-A-4 12669F5Q2 AAA
1-A-5 12669F5R0 AAA
1-A-6 12669F5S8 AAA
1-A-7 12669F5T6 AAA
1-A-8 12669F5U3 AAA
1-A-9 12669F5V1 AAA
1-A-10 12669F5W9 AAA
1-A-11 12669F5X7 AAA
1-X 12669F5Y5 AAA
2-A-1 12669F5Z2 AAA
2-A-2 12669F6A6 AAA
2-X 12669F6B4 AAA
3-A-1 12669F6C2 AAA
3-X 12669F6D0 AAA
PO 12669F6E8 AAA
M 12669F6G3 AA
B-1 12669F6H1 A
CHL Mortgage Pass-Through Trust 2004-J8
Series 2004-J8
Class CUSIP Rating
----- ----- ------
1-A-1 12669GDH1 AAA
1-A-2 12669GDJ7 AAA
1-A-3 12669GDK4 AAA
1-X 12669GDL2 AAA
2-A-1 12669GDM0 AAA
2-A-2 12669GDN8 AAA
2-X 12669GDP3 AAA
3-A-2 12669GDR9 AAA
3-A-4 12669GDT5 AAA
3-A-5 12669GDU2 AAA
3-A-6 12669GDV0 AAA
3-A-7 12669GDW8 AAA
3-A-8 12669GDX6 AAA
PO-A 12669GDZ1 AAA
PO-B 12669GEA5 AAA
3-A-3 12669GDS7 AAA
3-X 12669GDY4 AAA
CHL Mortgage Pass-Through Trust 2004-J9
Series 2004-J9
Class CUSIP Rating
----- ----- ------
1-A-1 12669GFE6 AAA
2-A-1 12669GFF3 AAA
2-A-2 12669GFG1 AAA
2-A-3 12669GFH9 AAA
2-A-4 12669GFJ5 AAA
2-A-5 12669GFK2 AAA
2-A-6 12669GFL0 AAA
3-A-1 12669GFM8 AAA
4-A-1 12669GFN6 AAA
X-A-1 12669GFP1 AAA
X-A-2 AAA
X-B-1 12669GFQ9 AAA
X-B-2 AAA
PO-A 12669GFR7 AAA
PO-B 12669GFS5 AAA
Citigroup Mortgage Loan Trust Series 2003-UST1
Series 2003-UST1
Class CUSIP Rating
----- ----- ------
A-1 17307GAJ7 AAA
IO-1 17307GAK4 AAA
PO-1 17307GAL2 AAA
A-2 17307GAM0 AAA
IO-2 17307GAN8 AAA
PO-2 17307GAP3 AAA
A-3 17307GAQ1 AAA
IO-3 17307GAR9 AAA
PO-3 17307GAS7 AAA
B-1 AA
B-2 A
B-3 BBB
B-4 BB
B-5 B
Citigroup Mortgage Loan Trust, Series 2004-UST1
Series 2004-UST1
Class CUSIP Rating
----- ----- ------
A-1 17307GKY3 AAA
A-2 17307GKZ0 AAA
A-3 17307GLA4 AAA
A-4 17307GLB2 AAA
A-5 17307GLC0 AAA
A-6 17307GLD8 AAA
B-1 AA
B-2 A
B-3 BBB
B-4 BB
B-5 B
Fannie Mae Remic Trust 1998 W6
Series 1998-W6
Class CUSIP Rating
----- ----- ------
M 31359UVK8 AAA
B-1 31359UVL6 AAA
B-2 31359UVM4 AA
Fannie Mae REMIC Trust 1998-W4
Series 1998-W4
Class CUSIP Rating
----- ----- ------
M 31359UQG3 AAA
B-1 31359UQH1 AAA
B-2 31359UQJ7 AA+
Fannie Mae REMIC Trust 1998-W7
Series 1998-W7
Class CUSIP Rating
----- ----- ------
M 31359UZW8 AAA
B-1 31359UZX6 AAA
B-2 31359UZY4 AA+
PHH Mortgage Corp
Series 2003-3P
Class CUSIP Rating
----- ----- ------
A-1 15131GQG2 AAA
A-2 15131GQH0 AAA
A-3 15131GQJ6 AAA
A-4 15131GQK3 AAA
A-5 15131GQL1 AAA
A-6 15131GQM9 AAA
X 15131GQU1 AAA
B-1 15131GQN7 AA
B-2 15131GQP2 A
B-3 15131GQQ0 BBB
B-4 15131GQR8 BB
B-5 15131GQS6 B
PNC Mortgage Securities Corp.
Series 1999-10
Class CUSIP Rating
----- ----- ------
I-A-1 69348RSU1 AAA
II-A-1 69348RSV9 AAA
II-X 69348RSY3 AAA
II-P 69348RTA4 AAA
A-P 69348RTB2 AAA
Prime Mortgage Trust 2004-CL2
Series 2004-CL2
Class CUSIP Rating
----- ----- ------
A 74160MED0 AAA
XB 74160MEG3 AAA
Provident Funding Mortgage Loan Trust 2003-1
Series 2003-1
Class CUSIP Rating
----- ----- ------
A 743873AA9 AAA
B-1 743873AB7 AAA
B-2 743873AC5 AA
B-3 743873AD3 A-
B-4 743873AE1 BBB
B-5 743873AF8 BB
Provident Funding Mortgage Loan Trust 2004-1
Series 2004-1
Class CUSIP Rating
----- ----- ------
I-A-1 743873AK7 AAA
I-A-2 743873AL5 AAA
I-A-3 743873AM3 AAA
II-A-1 743873AN1 AAA
B-1 743873AP6 AA
B-2 743873AQ4 A
B-3 743873AR2 BBB
* S&P Downgrades Ratings on 146 Classes From 14 RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 146
classes from 14 residential mortgage-backed securities
transactions backed by U.S. Alternative-A mortgage loan collateral
issued between 2004 and 2007. S&P removed 139 of the lowered
ratings from CreditWatch with negative implications. S&P also
affirmed its ratings on 56 classes from 10 of the downgraded
transactions and one other transaction. S&P removed 32 of the
affirmed ratings from CreditWatch with negative implications.
The downgrades, affirmations, and CreditWatch resolutions
incorporate S&P's current and projected losses based on the dollar
amounts of loans currently in the transactions' delinquency,
foreclosure, and real estate owned pipelines, as well as S&P's
projection of future defaults. S&P also incorporated cumulative
losses to date in S&P's analysis when assessing rating outcomes.
S&P derived its loss assumptions using its criteria found in the
"Related Research" section. As part of its analysis, S&P
considered the characteristics of the underlying mortgage
collateral as well as macroeconomic influences. For example, the
risk profile of the underlying mortgage pools influences S&P's
default projections, while S&P's outlook for housing price
declines and the health of the housing market influence S&P's loss
severity assumptions. Furthermore, S&P adjusted its loss
expectations for each deal based on upward trends in
delinquencies.
Standard & Poor's has established loss projections for each Alt-A
transaction rated in 2005 and 2006 based on a forward-looking
default curve. S&P's lifetime projected losses for the
transactions in this release where the loss projections have
changed are:
Original Loss
Transaction bal. (mil. $) proj. (%)
----------- ------------- ---------
Adjustable Rate Mortgage Trust 2005-7
structure 10 713.7 4.22
Alternative Loan Trust 2005-40CB 368.0 4.36
Alternative Loan Trust 2005-43 453.6 7.28
Banc of America Funding 2005-A Trust
structure 5 312.1 5.94
Banc of America Funding 2005-A Trust
structure 8 348.2 4.21
Banc of America Funding 2005-H
structure 10 462.2 4.53
Banc of America Funding 2005-H
structure 11 355.0 9.88
IndyMac INDB Mortgage Loan Trust 2005-1 300.0 30.21
JPMorgan Alternative Loan Trust 2006-A7
structure 1 866.0 28.31
JPMorgan Alternative Loan Trust 2006-A7
structure 2 306.5 20.00
Lehman XS Trust Series 2005-1
structure 3 242.8 5.95
Lehman XS Trust Series 2005-1
structure 4 636.2 8.63
Lehman XS Trust Series 2005-4
structure 1 497.7 11.97
Lehman XS Trust Series 2005-4
structure 2 341.3 12.91
Lehman XS Trust 2007-10H structure 1 767.0 56.84
Lehman XS Trust 2007-10H structure 2 229.6 45.01
Luminent Mortgage Trust 2005-1 520.6 15.88
Terwin Mortgage Trust 2006-7
structure 1 350.0 24.77
Terwin Mortgage Trust 2006-7
structure 2 250.0 23.34
To maintain a 'AAA' rating, S&P considers whether a bond is able
to withstand approximately 150% of S&P's base-case loss
assumptions, subject to individual caps and qualitative factors
assumed on specific transactions. For a class for which we've
affirmed a 'B' rating, S&P considers whether a bond is able to
withstand S&P's base-case loss assumptions. Other rating
categories are dispersed, approximately equally, between these two
loss assumptions. For example, to maintain a 'BB' rating on one
class, S&P may consider whether the class is able to withstand
approximately 110% of S&P's base-case loss assumptions, while, in
connection with a different class, S&P may consider whether it is
able to withstand approximately 120% of S&P's base-case loss
assumptions to maintain a 'BBB' rating.
The affirmations reflect S&P's belief that there is sufficient
credit enhancement to support the ratings at their current levels.
The subordination of more junior classes within each structure
provides credit support for the affected transactions. The
collateral backing these deals originally consisted predominantly
of Alt-A, first-lien, fixed-rate, adjustable-rate, or negative-
amortization residential mortgage loans secured by one- to four-
family properties.
S&P monitors these transactions to incorporate updated losses and
delinquency pipeline performance to assess whether, in S&P's view,
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P think
appropriate.
Rating Actions
Adjustable Rate Mortgage Trust 2005-7
Series 2005-7
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 007036MQ6 AAA AAA/Watch Neg
1-A-2 007036NY8 BB AAA/Watch Neg
2-A-1 007036MR4 BB AAA/Watch Neg
2-A-2-1 007036MT0 AAA AAA/Watch Neg
2-A-2-2 007036MU7 BB AAA/Watch Neg
2-A-X 007036MS2 AAA AAA/Watch Neg
3-A-1 007036MV5 AAA AAA/Watch Neg
3-A-2 007036MW3 BB AAA/Watch Neg
4-A-1 007036MX1 AAA AAA/Watch Neg
4-A-2 007036MY9 BB AAA/Watch Neg
5-A-1 007036MZ6 BB AAA/Watch Neg
6-A-1 007036NA0 BB AAA/Watch Neg
7-A-1-1 007036NB8 AAA AAA/Watch Neg
7-A-1-2 007036NC6 AAA AAA/Watch Neg
7-A-2-1 007036ND4 AAA AAA/Watch Neg
7-A-2-2 007036NE2 AAA AAA/Watch Neg
C-B-1 007036NM4 CCC AA/Watch Neg
C-B-2 007036NN2 CC A/Watch Neg
C-B-3 007036NP7 CC BBB+/Watch Neg
C-B-4 007036NQ5 CC BBB/Watch Neg
C-B-5 007036NR3 CC BBB-/Watch Neg
7-M-1 007036NH5 CCC AA/Watch Neg
7-M-2 007036NJ1 CC A/Watch Neg
Alternative Loan Trust 2005-40CB
Series 2005-40CB
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12667G5G4 BB AAA/Watch Neg
A-2 12668AAT2 BB AAA/Watch Neg
PO 12667G5H2 BB AAA/Watch Neg
M 12667G5K5 CCC AA/Watch Neg
B-1 12667G5L3 CC A/Watch Neg
B-2 12667G5M1 CC BBB/Watch Neg
B-3 12667G5N9 CC BB/Watch Neg
Alternative Loan Trust 2005-43
Series 2005-43
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 12667G5S8 AAA AAA/Watch Neg
1-A-2 12667G5T6 CCC AAA/Watch Neg
1-A-3 12667G5U3 CCC AAA/Watch Neg
2-A-1 12667G5V1 AAA AAA/Watch Neg
2-A-2 12667G5W9 CCC AAA/Watch Neg
3-A-1 12667G5X7 CCC AAA/Watch Neg
4-A-1 12667G5Z2 AAA AAA/Watch Neg
4-A-2 12667G6A6 CCC AAA/Watch Neg
4-A-3 12667G5Y5 CCC AAA/Watch Neg
5-A-1 12668AAX3 AAA AAA/Watch Neg
5-A-2 12668AAY1 CCC AAA/Watch Neg
M 12667G6C2 CC AA/Watch Neg
Alternative Loan Trust 2005-69
Series 2005-69
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12668AN27 BB AAA/Watch Neg
A-2 12668AN35 CCC AAA/Watch Neg
A-3 12668AN43 CCC AAA/Watch Neg
M-1 12668AN68 CC AA+/Watch Neg
M-2 12668AN76 CC AA/Watch Neg
M-3 12668AN84 CC A/Watch Neg
M-4 12668AN92 CC A/Watch Neg
Banc of America Funding 2005-A Trust
Series 2005-A
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 05946XQQ9 BBB AAA/Watch Neg
2-A-1 05946XQS5 BBB AAA/Watch Neg
2-A-2 05946XQT3 AAA AAA/Watch Neg
2-A-3 05946XQU0 BBB AAA/Watch Neg
2-X-1 05946XQV8 AAA AAA/Watch Neg
3-A-1 05946XQW6 BBB AAA/Watch Neg
CB-1 05946XRB1 CCC AA+/Watch Neg
CB-2 05946XRC9 CC AA/Watch Neg
CB-3 05946XRD7 CC A-/Watch Neg
4-A-1 05946XQX4 AAA AAA/Watch Neg
4-B-1 05946XRE5 AA AA/Watch Neg
4-B-2 05946XRF2 A A/Watch Neg
4-B-3 05946XRG0 BBB BBB/Watch Neg
4-B-4 05946XRQ8 CCC BB/Watch Neg
4-B-5 05946XRR6 CC B/Watch Neg
5-A-1 05946XQY2 AAA AAA/Watch Neg
5-A-2 05946XQZ9 AAA AAA/Watch Neg
5-A-3 05946XRA3 AAA AAA/Watch Neg
5-M-1 05946XRH8 AA+ AA+/Watch Neg
5-M-2 05946XRJ4 B AA-/Watch Neg
5-B-1 05946XRK1 CC A-/Watch Neg
5-B-2 05946XRL9 CC BBB+/Watch Neg
Banc of America Funding 2005-H
Series 2005-H
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-2 05946XH22 B AAA/Watch Neg
1-A-3 05946XH30 B AAA/Watch Neg
2-A-2 05946XH63 B AAA/Watch Neg
3-A2 05946XH89 B AAA/Watch Neg
4-A-2 05946XJ20 B AAA/Watch Neg
5-A-2 05946XJ46 B AAA/Watch Neg
6-A-2 05946XJ61 B AAA/Watch Neg
7-A-1 05946XJ79 B AAA/Watch Neg
7-A-2 05946XJ87 CCC AAA/Watch Neg
8-a-1 05946XJ95 B AAA/Watch Neg
8-A-2 05946XK28 CCC AAA/Watch Neg
9-A-1 05946XK36 B AAA/Watch Neg
9-A-2 05946XK44 CCC AAA/Watch Neg
CB-1 05946XK51 CCC AA/Watch Neg
DB-1 05946XK85 CC AA/Watch Neg
CB-2 05946XK69 CC A/Watch Neg
CB-3 05946XK77 CC BBB/Watch Neg
CB-4 05946XL35 CC B/Watch Neg
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-AR9
Rating
------
Class CUSIP To From
----- ----- -- ----
III-M-1 22541NR35 AA+ AA+/Watch Neg
IndyMac INDB Mortgage Loan Trust 2005-1
Series INDB2005-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 45660LYW3 CCC AAA/Watch Neg
A-2 45660LYX1 CCC AAA/Watch Neg
A-X 45660LYY9 CCC AAA/Watch Neg
B-1 45660LZA0 CC AA/Watch Neg
JPMorgan Alternative Loan Trust 2006-A7
Series 2006-A7
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 466286AA9 CCC AAA/Watch Neg
1-A-2 466286AB7 CCC AAA/Watch Neg
1-A-3 466286AC5 CCC AAA/Watch Neg
1-A-4 466286AD3 CCC AAA/Watch Neg
1-A-5 466286AE1 CCC AAA/Watch Neg
1-M-1 466286AF8 CC AA+/Watch Neg
1-M-2 466286AG6 CC AA+/Watch Neg
1-M-3 466286AH4 CC AA/Watch Neg
1-M-4 466286AJ0 CC AA/Watch Neg
1-M-5 466286AK7 CC AA-/Watch Neg
1-B-1 466286AL5 CC A-/Watch Neg
2-A-1 466286AP6 B AAA/Watch Neg
2-A-2 466286AQ4 AAA AAA/Watch Neg
2-A-3 466286AR2 B AAA/Watch Neg
2-A-4 466286AS0 B AAA/Watch Neg
2-A-5 466286AT8 B AAA/Watch Neg
2-A-6 466286AU5 B AAA/Watch Neg
2-A-7 466286AV3 B AAA/Watch Neg
2-A-8 466286AW1 CCC AAA/Watch Neg
2-M-1 466286AX9 CC AA+/Watch Neg
2-M-2 466286AY7 CC AA-/Watch Neg
2-B-1 466286AZ4 CC A-/Watch Neg
2-B-2 466286BA8 CC BBB+/Watch Neg
Lehman XS Trust
Series 2005-1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A3 86359DLC9 A AAA/Watch Neg
1-A4 86359DLD7 BBB AAA/Watch Neg
2-A1 86359DLE5 A AAA/Watch Neg
2-A2 86359DKM8 BBB AAA/Watch Neg
M1 86359DKN6 CC AA-/Watch Neg
M2 86359DKP1 CC A/Watch Neg
3-A2A 86359DKR7 B AAA
3-A3A 86359DKT3 B AAA
3-A4 86359DKV8 B AAA
3-AIO 86359DKW6 B AAA
3-M1 86359DKX4 CC AA/Watch Neg
3-M2 86359DKY2 CC A/Watch Neg
Lehman XS Trust
Series 2005-4
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A2 525221BZ9 AAA AAA/Watch Neg
1-A3 525221CA3 AA AAA/Watch Neg
1-A4 525221CB1 A AAA/Watch Neg
1-M1 525221CD7 CC A+/Watch Neg
2-A1A 525221CG0 AAA AAA/Watch Neg
2-A1B 525221CH8 AAA AAA/Watch Neg
2-A2 525221CJ4 CCC AAA/Watch Neg
2-A3A 525221CK1 CCC AAA/Watch Neg
2-A3B 525221CL9 CCC AAA/Watch Neg
2-A4 525221CM7 A AAA/Watch Neg
2-A5A 525221CN5 A AAA/Watch Neg
2-A5B 525221CP0 CCC AAA/Watch Neg
2-M1 525221CQ8 CC AA/Watch Neg
2-M2 525221CR6 CC BB/Watch Neg
Lehman XS Trust 2007-10H
Series 2007-10H
Rating
------
Class CUSIP To From
----- ----- -- ----
I-AIO 525237AF0 CCC AAA/Watch Neg
I-A1-1 525237BF9 CCC AAA/Watch Neg
I-A1-2 525237BG7 A AAA/Watch Neg
I-A2 525237AB9 CCC AAA/Watch Neg
I-A3 525237AC7 CCC AAA/Watch Neg
I-A4-1 525237BH5 CCC AAA/Watch Neg
II-AIO 525237AV5 A AAA
II-A1 525237AR4 A AAA
II-A2 525237AS2 A AAA
II-A3 525237AT0 CCC AAA/Watch Neg
II-A4 525237AU7 CCC AAA/Watch Neg
II-M1 525237AW3 CCC BB/Watch Neg
II-M2 525237AX1 CC BB-/Watch Neg
II-M3 525237AY9 CC B+/Watch Neg
Luminent Mortgage Trust 2005-1
Series 2005-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 550279AA1 B AAA/Watch Neg
A-2 550279AB9 CCC AAA/Watch Neg
M-1 550279AC7 CC AA+/Watch Neg
M-2 550279AD5 CC AA+/Watch Neg
B-1 550279AE3 CC AA/Watch Neg
B-2 550279AF0 CC AA-/Watch Neg
B-3 550279AG8 CC A/Watch Neg
Nomura Asset Acceptance Corporation Alternative Loan Trust
Series 2004-AP2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-4 65535VDA3 AAA AAA/Watch Neg
A-5 65535VDB1 AAA AAA/Watch Neg
M-1 65535VDE5 AA AA/Watch Neg
M-2 65535VDF2 CCC A/Watch Neg
Terwin Mortgage Trust 2006-7
Series 2006-7
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 88156PAA9 AA- AAA/Watch Neg
I-A-2a 88156PAB7 AAA AAA/Watch Neg
I-A-2b 88156PAC5 AA AAA/Watch Neg
I-A-2c 88156PAD3 A- AAA/Watch Neg
I-M-1 88156PAE1 BB AA+/Watch Neg
I-M-2 88156PAF8 CCC AA/Watch Neg
I-M-3 88156PAG6 CC AA-/Watch Neg
I-M-4 88156PAH4 CC A+/Watch Neg
I-M-5 88156PAJ0 CC A/Watch Neg
II-A-3 88156PAZ4 CCC B/Watch Neg
Ratings Affirmed
Banc of America Funding 2005-H
Series 2005-H
Class CUSIP Rating
----- ----- ------
1-A-1 05946XG98 AAA
2-A-1 05946XH55 AAA
3-A1 05946XH71 AAA
4-A1 05946XH97 AAA
5-A-1 05946XJ38 AAA
6-A-1 05946XJ53 AAA
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-AR9
Class CUSIP Rating
----- ----- ------
I-A-1 22541NQ36 AAA
I-A-2 22541NQ44 AAA
I-A-3 22541NQ51 AAA
II-A-1 22541NQ69 AAA
II-A-2 22541NQ77 AAA
I-X 22541NQ93 AAA
II-X 22541NR27 AAA
C-B-1 22541NR50 AAA
C-B-2 22541NR68 AA
C-B-3 22541NR76 A+
C-B-4 22541NR92 BB
C-B-5 22541NS26 CCC
JPMorgan Alternative Loan Trust 2006-A7
Series 2006-A7
Class CUSIP Rating
----- ----- ------
1-P 466286BC4 AAA
2-P 466286BD2 AAA
Lehman XS Trust
Series 2005-4
Class CUSIP Rating
----- ----- ------
1-AX 525221CC9 AAA
Lehman XS Trust 2007-10H
Series 2007-10H
Class CUSIP Rating
----- ----- ------
I-A4-2 525237BJ1 A
Terwin Mortgage Trust 2006-7
Series 2006-7
Class CUSIP Rating
----- ----- ------
II-A-1 88156PAX9 AAA
II-A-2 88156PAY7 AAA
* S&P Downgrades Ratings on 324 Classes of Mortgage Certs. to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D' on
324 classes of mortgage pass-through certificates from 294 U.S.
subprime residential mortgage-backed securities transactions from
various issuers. S&P removed 12 of the lowered ratings from
CreditWatch with negative implications. Additionally, 117 other
ratings from the same transactions remain on CreditWatch with
negative implications, and S&P placed another 38 ratings on
CreditWatch negative. S&P reviewed 294 RMBS transactions backed
by U.S. subprime mortgage loan collateral issued in 1998 from
2007.
The downgrades reflect S&P's assessment of principal write-downs
on the affected classes during recent remittance periods. The
CreditWatch placements reflect the fact that the affected classes
are within a group that includes a class that defaulted from a 'B-
' rating or higher. S&P lowered approximately 94.14% of the
ratings on the 324 defaulted classes from the 'CCC' or 'CC' rating
categories, and S&P lowered 98.77% of the ratings from a
speculative-grade category.
S&P expects to resolve the CreditWatch placements affecting these
transactions after S&P completes its reviews of the underlying
credit enhancement. Standard & Poor's will continue to monitor
its ratings on securities that experience principal write-downs
and adjust the ratings as S&P deem appropriate.
* S&P Downgrades Ratings on 427 Classes of Mortgage Certs. to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D' on
427 classes of mortgage pass-through certificates from 369 U.S.
Alternative-A residential mortgage-backed securities transactions
from various issuers. S&P removed 66 of the lowered ratings from
58 of the downgraded transactions from CreditWatch with negative
implications. In addition, S&P placed 99 ratings from 11 of the
affected transactions on CreditWatch with negative implications.
The ratings on 568 additional classes from 61 of these
transactions remain on CreditWatch with negative implications.
The downgrades reflect S&P's assessment of principal write-downs
on the affected classes during recent remittance periods. The
CreditWatch placements reflect the fact that the affected classes
are within a group that includes a class that defaulted from a 'B-
' rating or higher. S&P lowered approximately 81.97% of the
ratings on the 427 defaulted classes from the 'CCC' or 'CC' rating
categories, and S&P lowered approximately 94.15% of the ratings
from a speculative-grade category.
S&P expects to resolve the CreditWatch placements affecting these
transactions after S&P completes its reviews of the underlying
credit enhancement. Standard & Poor's will continue to monitor
its ratings on securities that experience principal write-downs
and adjust the ratings as S&P think appropriate.
* S&P Downgrades Ratings on 956 Classes From 93 RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 956
classes from 93 residential mortgage-backed securities (RMBS)
transactions backed by U.S. prime jumbo mortgage loan collateral
issued in 2005, 2006, and 2007. S&P removed 664 of the lowered
ratings from CreditWatch with negative implications. In addition,
S&P affirmed S&P's ratings on 246 classes from 32 of the
downgraded transactions and from eight additional transactions.
Furthermore, S&P removed 98 of the affirmed ratings from
CreditWatch negative.
The downgrades reflect S&P's opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings, given S&P's current projected losses.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. For
mortgage pools that continue to experience increasing
delinquencies, S&P increased its stresses to account for potential
increases in monthly losses. In order to maintain a rating higher
than 'B', S&P assessed whether, in S&P's view, a class could
absorb losses in excess of the base-case loss assumptions S&P used
in its analysis. For example, generally, S&P assessed whether one
class could, in S&P's view, withstand approximately 130% of S&P's
base-case loss assumptions in order to maintain a 'BB' rating,
while S&P assessed whether a different class could withstand 155%
of S&P's base-case loss assumption to maintain a 'BBB' rating.
Each class that has an affirmed 'AAA' rating can, in S&P's view,
withstand approximately 235% of S&P's base-case loss assumptions
under S&P's analysis.
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover losses associated with these rating levels.
Subordination provides credit support for the affected
transactions. The underlying pool of loans backing these
transactions consists of fixed- and adjustable-rate, first-lien,
prime jumbo mortgage loans.
Rating Actions
Banc of America Funding 2005-1 Trust
Series 2005-1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 05946XPV9 AAA AAA/Watch Neg
1-A-2 05946XPW7 AAA AAA/Watch Neg
1-A-3 05946XPX5 AAA AAA/Watch Neg
1-A-4 05946XPY3 AAA AAA/Watch Neg
1-A-5 05946XPZ0 AAA AAA/Watch Neg
1-A-6 05946XQA4 AAA AAA/Watch Neg
1-A-7 05946XQB2 AAA AAA/Watch Neg
1-A-8 05946XQC0 AAA AAA/Watch Neg
1-A-9 05946XQD8 AAA AAA/Watch Neg
1-A-10 05946XQE6 AAA AAA/Watch Neg
30-PO 05946XQG1 AAA AAA/Watch Neg
B-1 05946XQJ5 BBB+ AA/Watch Neg
B-2 05946XQK2 B- A/Watch Neg
B-3 05946XQL0 CCC BBB/Watch Neg
B-4 05946XQM8 CC BB/Watch Neg
B-5 05946XQN6 CC B/Watch Neg
Banc of America Funding 2005-D Trust
Series 2005-D
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 06051GDM8 AAA AAA/Watch Neg
A-2 06051GDN6 AAA AAA/Watch Neg
B-1 06051GDQ9 B+ AA/Watch Neg
B-2 06051GDR7 CCC A/Watch Neg
B-3 06051GDS5 CCC BBB/Watch Neg
B-4 06051GDT3 CC BB/Watch Neg
B-5 06051GDU0 CC B/Watch Neg
Banc of America Funding 2006-4 Trust
Series 2006-4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 05950FAA3 CCC A-/Watch Neg
A-2 05950FAB1 CCC A-/Watch Neg
A-3 05950FAC9 CCC A-/Watch Neg
A-4 05950FAD7 CCC A-/Watch Neg
A-5 05950FAE5 BB AAA/Watch Neg
A-6 05950FAF2 CCC A-/Watch Neg
A-7 05950FAG0 CCC A-/Watch Neg
A-8 05950FAH8 B- A-/Watch Neg
A-9 05950FAJ4 CCC A-/Watch Neg
A-10 05950FAK1 CCC A-/Watch Neg
A-11 05950FAL9 B- AAA/Watch Neg
A-12 05950FAM7 B- AAA/Watch Neg
A-13 05950FAN5 CCC A-/Watch Neg
A-14 05950FAP0 CCC A-/Watch Neg
A-15 05950FAQ8 CCC A-/Watch Neg
A-16 05950FAR6 CCC A-/Watch Neg
A-17 05950FAS4 CCC A-/Watch Neg
A-18 05950FAT2 CCC A-/Watch Neg
A-19 05950FAU9 CCC A-/Watch Neg
A-20 05950FAV7 CCC A-/Watch Neg
A-21 05950FAW5 CCC A-/Watch Neg
A-22 05950FAX3 CCC A-/Watch Neg
A-23 05950FAY1 CCC A-/Watch Neg
A-24 05950FAZ8 CCC A-/Watch Neg
A-25 05950FBA2 CCC A-/Watch Neg
A-26 05950FBB0 CCC A-/Watch Neg
A-27 05950FBC8 CCC A-/Watch Neg
A-28 05950FBD6 CCC A-/Watch Neg
A-29 05950FBE4 CCC A-/Watch Neg
A-30 05950FBF1 CCC A-/Watch Neg
A-31 05950FBG9 CCC A-/Watch Neg
30-IO 05950FBJ3 BB AAA/Watch Neg
30-PO 05950FBK0 CCC A-/Watch Neg
M 05950FBL8 CCC BB/Watch Neg
B-1 05950FBM6 CC B/Watch Neg
B-2 05950FBN4 CC CCC
B-3 05950FBP9 CC CCC
Banc of America Mortgage 2006-1 Trust
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 05949YAB4 CCC BBB-/Watch Neg
A-3 05949YAC2 B AAA/Watch Neg
A-4 05949YAD0 CCC BBB-/Watch Neg
A-6 05949YAF5 A- AAA/Watch Neg
M 05949YAP3 CCC B/Watch Neg
Banc of America Mortgage Trust 2005-8
Series 2005-8
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 05949CGN0 AAA AAA/Watch Neg
A-2 05949CGP5 BB AAA/Watch Neg
A-3 05949CGQ3 BB AAA/Watch Neg
A-4 05949CGR1 BB AAA/Watch Neg
A-5 05949CGS9 BB AAA
A-6 05949CGT7 BB AAA/Watch Neg
A-7 05949CGU4 AAA AAA/Watch Neg
A-8 05949CGV2 BB AAA/Watch Neg
A-9 05949CGW0 BB AAA/Watch Neg
A-10 05949CGX8 BB AAA/Watch Neg
A-11 05949CGY6 BB AAA/Watch Neg
A-12 05949CGZ3 BB AAA/Watch Neg
A-13 05949CHA7 BB AAA/Watch Neg
A-14 05949CHB5 BB AAA/Watch Neg
30-PO 05949CHE9 BB AAA/Watch Neg
Bear Stearns ARM Trust 2005-10
Series 2005-10
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 07387AER2 BBB+ AAA/Watch Neg
A-2 07387AES0 BBB+ AAA/Watch Neg
A-3 07387AET8 BBB+ AAA/Watch Neg
X 07387AEU5 BBB+ AAA/Watch Neg
M 07387AEV3 B+ AAA/Watch Neg
B-1 07387AEY7 CCC AA+/Watch Neg
B-2 07387AEZ4 CCC AA/Watch Neg
B-3 07387AFA8 CCC A+/Watch Neg
B-4 07387AFB6 CC BBB+/Watch Neg
B-5 07387AFC4 CC BB/Watch Neg
Bear Stearns ARM Trust 2005-2
Series 2005-2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 07384M7C0 AAA AAA/Watch Neg
A-2 07384M7D8 AAA AAA/Watch Neg
A-3 07384M7M8 AAA AAA/Watch Neg
A-4 07384M7N6 AAA AAA/Watch Neg
Bear Stearns ARM Trust 2005-9
Series 2005-9
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 07387AEG6 AAA AAA/Watch Neg
A-2 07387AEH4 A AAA/Watch Neg
B-1 07387AEK7 CCC AA/Watch Neg
B-2 07387AEL5 CCC A/Watch Neg
B-3 07387AEM3 CCC BBB/Watch Neg
B-4 07387AEN1 CC BB/Watch Neg
Chase Mortgage Finance Trust Series 2006-S4
Series 2006-S4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 16162YAA3 B+ A
A-2 16162YAB1 B+ A
A-3 16162YAC9 B+ A
A-4 16162YAD7 BB- A
A-5 16162YAE5 B+ A
A-6 16162YAF2 B+ A
A-7 16162YAG0 CCC A
A-16 16162YAR6 B+ A
A-17 16162YAS4 B+ A
A-18 16162YAT2 B+ A
A-X 16162YAZ8 BB- A
Chase Mortgage Finance Trust Series 2007-S4
Series 2007-S4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-4 161629AD2 CCC B
A-8 161629AH3 CCC B
A-12 161629AM2 CCC B
A-9 161629AJ9 CCC B
CHL Mortgage Pass Through Trust 2005-26
Series 2005-26
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 126694MK1 B AAA/Watch Neg
1-A-2 126694ML9 B AAA/Watch Neg
1-A-3 126694MM7 B AAA/Watch Neg
1-A-4 126694MN5 B AAA/Watch Neg
1-A-5 126694MP0 B AAA/Watch Neg
1-A-6 126694MQ8 B AAA/Watch Neg
A-1-7 126694MR6 B AAA/Watch Neg
A-1-8 126694MS4 B AAA/Watch Neg
A-1-9 126694MT2 B AAA/Watch Neg
1-A-10 126694MU9 B AAA/Watch Neg
1-A-11 126694MV7 B AAA/Watch Neg
1-A-12 126694MW5 B AAA/Watch Neg
1-A-13 126694MX3 A AAA/Watch Neg
1-A-14 126694NP9 B AAA/Watch Neg
2-A-1 126694MY1 B AAA/Watch Neg
2-A-2 126694MZ8 B AAA
PO 126694NA2 B AAA/Watch Neg
CHL Mortgage Pass Through Trust 2005-5
Series 2005-5
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12669GQQ7 AAA AAA/Watch Neg
A-2 12669GQR5 AAA AAA/Watch Neg
A-3 12669GQS3 AAA AAA/Watch Neg
A-4 12669GQT1 AAA AAA/Watch Neg
A-5 12669GQU8 AAA AAA/Watch Neg
A-6 12669GQV6 AAA AAA/Watch Neg
A-7 12669GQW4 AAA AAA/Watch Neg
PO 12669GQY0 AAA AAA/Watch Neg
CHL Mortgage Pass -Through Trust 2007-16
Series 2007-16
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12544MAA7 CCC BB-
A-2 12544MAB5 CCC B
A-3 12544MAC3 CCC BB-
A-4 12544MAD1 CCC BB-
A-5 12544MAE9 CCC BB-
A-6 12544MAF6 CCC BB-
A-7 12544MAG4 CCC BB-
A-8 12544MAH2 CCC BB-
A-9 12544MAJ8 CCC BB-
X 12544MAK5 CCC BB-
PO 12544MAL3 CCC B
CHL Mortgage Pass Through Trust 2007-6
Series 2007-6
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 125439AA7 CCC AAA/Watch Neg
A-2 125439AB5 CCC AAA/Watch Neg
A-3 125439AC3 CCC AAA/Watch Neg
A-4 125439AD1 CCC AAA/Watch Neg
A-5 125439AE9 CCC AAA/Watch Neg
A-6 125439AF6 CCC AAA/Watch Neg
A-7 125439AG4 CCC AAA/Watch Neg
A-8 125439AH2 CCC AAA/Watch Neg
A-9 125439AJ8 CCC AAA/Watch Neg
A-10 125439AK5 CCC AAA/Watch Neg
A-11 125439AL3 CCC AAA/Watch Neg
A-12 125439AM1 CCC AAA/Watch Neg
A-13 125439AN9 CCC AAA/Watch Neg
A-14 125439AP4 CCC AAA/Watch Neg
A-15 125439AQ2 CCC AAA/Watch Neg
X 125439AR0 CCC AAA/Watch Neg
PO 125439AS8 CCC AAA/Watch Neg
CHL Mortgage Pass Through Trust 2007-J3
Series 2007-J3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 17025QAA5 CCC BB/Watch Neg
A-2 17025QAB3 CCC BB/Watch Neg
A-3 17025QAC1 CCC BB/Watch Neg
A-4 17025QAD9 CCC BB/Watch Neg
A-5 17025QAE7 CCC A/Watch Neg
A-6 17025QAF4 CCC A/Watch Neg
A-7 17025QAG2 CCC A/Watch Neg
A-8 17025QAH0 CCC BB/Watch Neg
A-9 17025QAJ6 CCC BB/Watch Neg
A-10 17025QAK3 CCC BB/Watch Neg
A-11 17025QAW7 CCC BB/Watch Neg
A-12 17025QAX5 CCC BB/Watch Neg
A-13 17025QAY3 CCC BB/Watch Neg
A-14 17025QAZ0 CCC BB/Watch Neg
A-15 17025QBA4 CCC BB/Watch Neg
A-16 17025QBB2 CCC BB/Watch Neg
A-17 17025QBC0 CCC BB/Watch Neg
X 17025QAL1 CCC A/Watch Neg
PO 17025QAM9 CCC A/Watch Neg
M 17025QAP2 CC CCC
CHL Mortgage Pass-Through Trust 2005-13
Series 2005-13
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12669GB91 BBB A
A-2 12669GC25 BB- BB
A-3 12669GC33 BB- BB
A-4 12669GC41 BB- BB
A-5 12669GC58 AAA AAA/Watch Neg
A-6 12669GC66 AA- AAA/Watch Neg
A-7 12669GC74 AA- AAA/Watch Neg
A-8 12669GC82 AA- AAA/Watch Neg
A-9 12669GC90 BB- BB
A-10 12669GD24 BB- BB
A-11 12669GD32 BB- BB
PO 12669GD40 BB- BB
CHL Mortgage Pass-Through Trust 2005-14
Series 2005-14
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12669GK59 A AAA/Watch Neg
A-2 12669GK67 AAA AAA/Watch Neg
A-3 12669GK75 BBB- AAA/Watch Neg
A-4 12669GK83 BBB- AAA/Watch Neg
PO 12669GK91 BBB- AAA/Watch Neg
M 12669GL33 CCC AA/Watch Neg
B-1 12669GL41 CCC A/Watch Neg
B-2 12669GL58 CCC BBB/Watch Neg
B-3 12669GL66 CC BB/Watch Neg
B-4 12669GL74 CC B/Watch Neg
CHL Mortgage Pass-Through Trust 2005-15
Series 2005-15
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12669GQ53 BB- BB
A-2 12669GQ61 BB- BB
A-3 12669GQ79 BB- BB
A-5 12669GQ95 BB- BB
A-6 12669GR29 BB- BB
A-7 12669GR37 BB- BB
A-8 12669GR45 BB- BB
PO 12669GR52 BB- BB
CHL Mortgage Pass-Through Trust 2005-16
Series 2005-16
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12669G2T7 BB- AAA/Watch Neg
A-2 12669G2U4 AAA AAA/Watch Neg
CHL Mortgage Pass-Through Trust 2005-20
Series 2005-20
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 126694EY0 AAA AAA/Watch Neg
A-2 126694EZ7 BBB+ AAA/Watch Neg
A-3 126694FA1 AAA AAA/Watch Neg
A-4 126694FB9 BBB+ AAA/Watch Neg
A-5 126694FC7 BBB+ AAA/Watch Neg
A-6 126694FD5 BBB+ AAA/Watch Neg
A-7 126694FN3 BBB+ AAA/Watch Neg
A-8 126694FP8 AAA AAA/Watch Neg
A-9 126694FQ6 BBB+ AAA/Watch Neg
A-10 126694FR4 AAA AAA/Watch Neg
A-11 126694FS2 BBB+ AAA/Watch Neg
A-12 126694FT0 BBB+ AAA/Watch Neg
PO 126694FE3 BBB+ AAA/Watch Neg
CHL Mortgage Pass-Through Trust 2005-23
Series 2005-23
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 126694GU6 AA- AAA/Watch Neg
A-2 126694GV4 CCC AAA/Watch Neg
PO 126694GW2 CCC AAA/Watch Neg
CHL Mortgage Pass-Through Trust 2005-24
Series 2005-24
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 126694JR0 B- B
A-2 126694JS8 B- B
A-3 126694JT6 A AA
A-4 126694JU3 B- B
A-5 126694JV1 B- B
A-7 126694JX7 B- B
A-8 126694JY5 B- B
A-9 126694JZ2 B- B
A-10 126694KA5 B- B
A-11 126694KB3 B- B
A-12 126694KC1 B- B
A-13 126694KD9 B- B
A-14 126694KE7 B- B
A-15 126694KF4 B- B
A-16 126694KG2 B- B
A-17 126694KH0 B- B
A-18 126694KJ6 B- B
A-19 126694KK3 B- B
A-20 126694KL1 B- B
A-21 126694KM9 B- B
A-22 126694KN7 B- B
A-23 126694KP2 B- B
A-24 126694KQ0 B- B
A-25 126694KR8 B- B
A-26 126694KS6 B- B
A-27 126694KT4 B- B
A-28 126694KU1 B- B
A-29 126694KV9 B- B
A-30 126694KW7 B- B
A-31 126694KX5 B- B
A-32 126694KY3 B- B
A-33 126694KZ0 B- B
A-34 126694LA4 B- B
A-35 126694LB2 B- B
A-36 126694LC0 B- B
A-37 126694LD8 B- B
A-38 126694LE6 A AA
A-39 126694LF3 B- B
A-40 126694LG1 B- B
A-41 126694LH9 B- B
PO 126694LJ5 B- B
CHL Mortgage Pass-Through Trust 2005-28
Series 2005-28
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 126694PF9 B- AAA/Watch Neg
A-2 126694PG7 A- AAA/Watch Neg
A-3 126694PH5 B- AAA/Watch Neg
A-4 126694PJ1 BB- AAA/Watch Neg
A-5 126694PK8 B- AAA/Watch Neg
A-6 126694PL6 B- AAA/Watch Neg
A-7 126694PM4 B- AAA/Watch Neg
A-8 126694PN2 B- AAA/Watch Neg
A-9 126694PP7 BBB+ AAA/Watch Neg
A-10 126694PQ5 B- AAA/Watch Neg
A-11 126694PR3 B- AAA/Watch Neg
A-12 126694PS1 B- AAA/Watch Neg
A-13 126694PT9 B- AAA/Watch Neg
A-14 126694PU6 BBB AAA/Watch Neg
X 126694PV4 A- AAA
PO 126694PW2 B- AAA/Watch Neg
CHL Mortgage Pass-Through Trust 2005-29
Series 2005-29
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 126694TD0 BB AAA/Watch Neg
A-2 126694TE8 CCC AAA/Watch Neg
X 126694TF5 BB AAA
PO 126694TG3 CCC AAA/Watch Neg
CHL Mortgage Pass-Through Trust 2005-30
Series 2005-30
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 126694TQ1 CCC AAA/Watch Neg
A-2 126694TR9 CCC AAA/Watch Neg
A-3 126694TS7 CCC AAA/Watch Neg
A-4 126694TT5 CCC AAA/Watch Neg
A-5 126694TU2 BBB- AAA/Watch Neg
A-6 126694TV0 CCC AAA/Watch Neg
A-7 126694TW8 BBB- AAA/Watch Neg
A-8 126694TX6 BBB- AAA/Watch Neg
A-9 126694TY4 CCC AAA/Watch Neg
X 126694TZ1 BBB- AAA
PO 126694UA4 CCC AAA/Watch Neg
CHL Mortgage Pass-Through Trust 2006-1
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 126694XB9 B- B
A-3 126694XD5 B- B
PO 126694XF0 B- B
CHL Mortgage Pass-Through Trust 2006-13
Series 2006-13
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-3 12543TAC9 CCC B
1-A-4 12543TAD7 CCC B
1-A-19 12543TAU9 CCC B
CHL Mortgage Pass-Through Trust 2006-17
Series 2006-17
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 17025AAA0 CCC B
A-2 17025AAB8 B- BB
A-3 17025AAC6 CCC B
A-4 17025AAD4 B- A
A-5 17025AAE2 B- B+
A-6 17025AAF9 CCC B
A-7 17025AAG7 CCC B
A-8 17025AAH5 B+ BB
A-10 17025AAK8 CCC B
A-11 17025AAL6 CCC B+
X 17025AAN2 B+ BB
PO 17025AAP7 CCC B
CHL Mortgage Pass-Through Trust 2006-19
Series 2006-19
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 12543XAA4 BB+ AAA/Watch Neg
1-A-4 12543XAD8 BB+ AAA/Watch Neg
CHL Mortgage Pass-Through Trust 2006-20
Series 2006-20
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-3 12544AAC9 CCC B
1-A-5 12544AAE5 CCC B
CHL Mortgage Pass-Through Trust 2006-21
Series 2006-21
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12543PAA1 CCC AAA/Watch Neg
A-2 12543PAB9 CCC AAA/Watch Neg
A-3 12543PAC7 CCC AAA/Watch Neg
A-4 12543PAD5 BBB- AAA/Watch Neg
A-5 12543PAE3 CCC AAA/Watch Neg
A-6 12543PAF0 CCC AAA/Watch Neg
A-7 12543PAG8 CCC AAA/Watch Neg
A-8 12543PAH6 CCC AAA/Watch Neg
A-9 12543PAJ2 BBB+ AAA/Watch Neg
A-10 12543PAK9 CCC AAA/Watch Neg
A-11 12543PAL7 CCC AAA/Watch Neg
A-12 12543PAM5 CCC AAA/Watch Neg
A-13 12543PAN3 CCC AAA/Watch Neg
A-14 12543PAP8 CCC AAA/Watch Neg
A-15 12543PAQ6 CCC AAA/Watch Neg
A-16 12543PAR4 CCC AAA/Watch Neg
A-17 12543PAS2 CCC AAA/Watch Neg
A-18 12543PAT0 CCC AAA/Watch Neg
A-19 12543PAU7 CCC AAA/Watch Neg
X 12543PAV5 BBB+ AAA/Watch Neg
PO 12543PAW3 CCC AAA/Watch Neg
CHL Mortgage Pass-Through Trust 2006-9
Series 2006-9
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 126694W20 CCC BBB/Watch Neg
A-2 126694W38 CCC BBB/Watch Neg
A-3 126694W46 B- AAA/Watch Neg
A-4 126694W53 CCC BBB/Watch Neg
A-5 126694W61 CCC BBB/Watch Neg
A-6 126694W79 B- AAA/Watch Neg
A-7 126694W87 CCC BBB/Watch Neg
A-8 126694W95 BB AAA/Watch Neg
A-9 126694X29 CCC BBB/Watch Neg
A-10 126694X37 CCC BBB/Watch Neg
A-11 126694X45 CCC BBB/Watch Neg
A-12 126694X52 B- AAA/Watch Neg
A-13 126694X60 CCC BBB/Watch Neg
A-14 126694X78 CCC BBB/Watch Neg
A-15 126694X86 CCC BBB/Watch Neg
A-16 126694X94 CCC BBB/Watch Neg
A-17 126694Y28 CCC BBB/Watch Neg
A-18 126694Y36 CCC BBB/Watch Neg
X 126694Y51 BB AAA/Watch Neg
PO 126694Y69 CCC BBB/Watch Neg
CHL Mortgage Pass-Through Trust 2006-J2
Series 2006-J2
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 126694G93 CCC AA/Watch Neg
1-A-2 126694H27 BBB AAA/Watch Neg
1-A-3 126694H35 CCC AA/Watch Neg
1-A-4 126694H43 CCC AA/Watch Neg
1-A-5 126694H50 CCC AA/Watch Neg
1-A-6 126694H68 CCC AAA/Watch Neg
1-A-7 126694H76 CCC AA/Watch Neg
1-A-8 126694H84 CCC AA/Watch Neg
X 126694H92 BBB AAA/Watch Neg
PO 126694J25 CCC AA/Watch Neg
CHL Mortgage Pass-Through Trust 2006-J3
Series 2006-J3
Rating
------
Class CUSIP To From
----- ----- -- ----
PO 125433AG7 AA+ AAA/Watch Neg
A-1 125433AA0 AAA AAA/Watch Neg
A-2 125433AB8 AA+ AAA/Watch Neg
A-3 125433AC6 AA+ AAA/Watch Neg
A-4 125433AD4 AA+ AAA/Watch Neg
X 125433AF9 AAA AAA/Watch Neg
CHL Mortgage Pass-Through Trust 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 170255AA1 CCC A/Watch Neg
A-2 170255AL7 BB- AAA/Watch Neg
A-3 170255AM5 CCC A/Watch Neg
A-4 170255AN3 CCC A/Watch Neg
A-5 170255AP8 CCC A/Watch Neg
A-6 170255AQ6 CCC A/Watch Neg
A-7 170255AR4 CCC A/Watch Neg
A-8 170255AS2 BBB AAA/Watch Neg
A-9 170255AT0 CCC A/Watch Neg
A-10 170255AU7 CCC A/Watch Neg
A-11 170255AV5 CCC A/Watch Neg
A-12 170255AW3 CCC A/Watch Neg
A-13 170255AX1 CCC A/Watch Neg
X 170255AB9 BBB AAA/Watch Neg
PO 170255AC7 CCC AAA/Watch Neg
CHL Mortgage Pass-Through Trust 2007-10
Series 2007-10
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12545CAA8 CCC AAA/Watch Neg
A-2 12545CAB6 CCC AAA/Watch Neg
A-3 12545CAC4 CCC AAA/Watch Neg
A-4 12545CAD2 CCC AAA/Watch Neg
A-5 12545CAE0 CCC AAA/Watch Neg
A-6 12545CAF7 CCC AAA/Watch Neg
A-7 12545CAG5 CCC AAA/Watch Neg
A-8 12545CAH3 CCC AAA/Watch Neg
A-9 12545CAJ9 CCC AAA/Watch Neg
A-10 12545CAK6 CCC AAA/Watch Neg
A-11 12545CAL4 CCC AAA/Watch Neg
A-12 12545CAM2 CCC AAA/Watch Neg
A-13 12545CAN0 CCC AAA/Watch Neg
A-14 12545CAP5 CCC AAA/Watch Neg
A-15 12545CAQ3 CCC AAA/Watch Neg
A-18 12545CAT7 CCC AAA/Watch Neg
A-19 12545CAU4 CCC AAA/Watch Neg
A-20 12545CAV2 CCC AAA/Watch Neg
A-21 12545CAW0 CCC AAA/Watch Neg
A-22 12545CAX8 CCC AAA/Watch Neg
A-23 12545CAY6 CCC AAA/Watch Neg
X 12545CAZ3 CCC AAA/Watch Neg
PO 12545CBA7 CCC AAA/Watch Neg
CHL Mortgage Pass-Through Trust 2007-11
Series 2007-11
Rating
------
Class CUSIP To From
----- ----- -- ----
A-10 12544LAK7 BB AAA
CHL Mortgage Pass-Through Trust 2007-12
Series 2007-12
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 17025LAA6 CCC AAA/Watch Neg
A-2 17025LAB4 CCC AAA/Watch Neg
A-3 17025LAC2 B AAA/Watch Neg
A-4 17025LAD0 B AAA/Watch Neg
A-5 17025LAE8 B AAA/Watch Neg
A-6 17025LAF5 CCC AAA/Watch Neg
A-7 17025LAG3 CCC AAA/Watch Neg
A-8 17025LAH1 B AAA/Watch Neg
A-9 17025LAJ7 CCC AAA/Watch Neg
X 17025LAK4 B AAA/Watch Neg
PO 17025LAL2 CCC AAA/Watch Neg
CHL Mortgage Pass-Through Trust 2007-13
Series 2007-13
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 17025JAA1 CCC BBB/Watch Neg
A-2 17025JAB9 CCC AAA/Watch Neg
A-3 17025JAC7 CCC BBB/Watch Neg
A-4 17025JAD5 CCC A/Watch Neg
A-5 17025JAE3 CCC BBB/Watch Neg
A-6 17025JAF0 CCC BBB/Watch Neg
A-7 17025JAG8 B- AAA/Watch Neg
A-8 17025JAH6 B- BBB/Watch Neg
A-9 17025JAJ2 CCC BBB/Watch Neg
A-10 17025JAK9 CCC BBB/Watch Neg
A-11 17025JAL7 CCC BBB/Watch Neg
A-12 17025JAM5 CCC BBB/Watch Neg
A-14 17025JAP8 CCC BBB/Watch Neg
A-15 17025JAQ6 CCC BBB/Watch Neg
X 17025JAR4 B- AAA/Watch Neg
PO 17025JAS2 CCC AAA/Watch Neg
CHL Mortgage Pass-Through Trust 2007-2
Series 2007-2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12544CAA9 CCC A/Watch Neg
A-2 12544CAB7 CCC A/Watch Neg
A-3 12544CAC5 CCC A/Watch Neg
A-4 12544CAD3 CCC A/Watch Neg
A-5 12544CAE1 CCC A/Watch Neg
A-6 12544CAF8 CCC A/Watch Neg
A-7 12544CAG6 CCC A/Watch Neg
A-8 12544CAH4 CCC A/Watch Neg
A-9 12544CAJ0 CCC A/Watch Neg
A-10 12544CAK7 CCC A/Watch Neg
A-11 12544CAL5 CCC A/Watch Neg
A-12 12544CAM3 CCC A/Watch Neg
A-13 12544CAN1 CCC A/Watch Neg
A-14 12544CAP6 CCC A/Watch Neg
A-15 12544CAQ4 CCC A/Watch Neg
A-16 12544CAR2 CCC A/Watch Neg
A-17 12544CAS0 CCC A/Watch Neg
A-18 12544CAT8 B+ AAA/Watch Neg
A-19 12544CAU5 B+ AAA/Watch Neg
A-20 12544CAV3 CCC A/Watch Neg
A-21 12544CAW1 CCC A/Watch Neg
A-22 12544CAX9 CCC A/Watch Neg
X 12544CAY7 B+ AAA/Watch Neg
PO 12544CAZ4 CCC A/Watch Neg
CHL Mortgage Pass-Through Trust 2007-20
Series 2007-20
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12544QAA8 CCC BB
A-2 12544QAB6 CCC B
A-3 12544QAC4 CCC B
X 12544QAD2 CCC BB
PO 12544QAE0 CCC B
CHL Mortgage Pass-Through Trust 2007-3
Series 2007-3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12543RAA7 CCC BBB/Watch Neg
A-2 12543RAB5 CCC BBB/Watch Neg
A-3 12543RAC3 CCC BBB/Watch Neg
A-4 12543RAD1 CCC BBB/Watch Neg
A-5 12543RAE9 CCC BBB/Watch Neg
A-6 12543RAF6 CCC BBB/Watch Neg
A-7 12543RAG4 CCC BBB/Watch Neg
A-8 12543RAH2 CCC BBB/Watch Neg
A-9 12543RAJ8 CCC BBB/Watch Neg
A-10 12543RAK5 CCC BBB/Watch Neg
A-11 12543RAL3 CCC BBB/Watch Neg
A-12 12543RAM1 CCC BBB/Watch Neg
A-13 12543RAN9 CCC BBB/Watch Neg
A-14 12543RAP4 CCC BBB/Watch Neg
A-15 12543RAQ2 CCC BBB/Watch Neg
A-16 12543RAR0 CCC BBB/Watch Neg
A-17 12543RAS8 CCC BBB/Watch Neg
A-18 12543RAT6 CCC BBB/Watch Neg
A-19 12543RAU3 CCC BBB/Watch Neg
A-20 12543RAV1 CCC BBB/Watch Neg
A-21 12543RAW9 CCC BBB/Watch Neg
A-22 12543RAX7 CCC BBB/Watch Neg
A-23 12543RAY5 B+ AAA/Watch Neg
A-25 12543RBA6 CCC BBB/Watch Neg
A-26 12543RBB4 CCC BBB/Watch Neg
A-27 12543RBC2 CCC BBB/Watch Neg
A-28 12543RBD0 CCC BBB/Watch Neg
A-29 12543RBE8 CCC BBB/Watch Neg
A-30 12543RBF5 CCC BBB/Watch Neg
A-31 12543RBG3 CCC BBB/Watch Neg
A-32 12543RBH1 CCC BBB/Watch Neg
A-33 12543RBJ7 CCC BBB/Watch Neg
A-34 12543RBK4 CCC BBB/Watch Neg
A-35 12543RBL2 CCC BBB/Watch Neg
A-37 12543RBN8 CCC BBB/Watch Neg
A-38 12543RBP3 CCC BBB/Watch Neg
A-39 12543RBQ1 CCC BBB/Watch Neg
A-40 12543RBR9 CCC BBB/Watch Neg
A-41 12543RBS7 CCC BBB/Watch Neg
A-42 12543RBT5 CCC BBB/Watch Neg
A-43 12543RBU2 CCC BBB/Watch Neg
A-44 12543RBV0 CCC BBB/Watch Neg
X 12543RBW8 B+ AAA/Watch Neg
PO 12543RBX6 CCC BBB/Watch Neg
CHL Mortgage Pass-Through Trust 2007-4
Series 2007-4
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-15 12544RAQ1 CCC AAA/Watch Neg
1-A-16 12544RAR9 CCC BBB/Watch Neg
1-A-39 12544RBQ0 CCC AAA/Watch Neg
1-A-40 12544RBR8 CCC BBB/Watch Neg
1-A-51 12544RCC0 B- AAA/Watch Neg
1-A-69 12544RCW6 CCC AAA/Watch Neg
1-A-74 12544RDL9 CCC AAA/Watch Neg
M-1 12544RDB1 CCC BB/Watch Neg
M-2 12544RDN5 CCC B/Watch Neg
CHL Mortgage Pass-Through Trust 2007-7
Series 2007-7
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12544TAA2 CCC B+
A-2 12544TAB0 CCC B+
A-3 12544TAC8 CCC B+
A-4 12544TAD6 B AA
A-5 12544TAE4 CCC B+
A-6 12544TAF1 B AA
A-7 12544TAG9 CCC B+
A-8 12544TAH7 CCC B+
A-9 12544TAJ3 B AA
A-10 12544TAK0 CCC B+
A-11 12544TAL8 CCC B+
A-12 12544TAM6 CCC B+
A-13 12544TAN4 CCC B+
A-14 12544TAP9 CCC B+
A-15 12544TAQ7 CCC B+
A-16 12544TAR5 CCC B+
X 12544TAT1 B AA
PO 12544TAS3 CCC B+
CHL Mortgage Pass-Through Trust 2007-8
Series 2007-8
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 12545AAA2 CCC BB/Watch Neg
1-A-2 12545AAB0 CCC AA/Watch Neg
1-A-3 12545AAC8 CCC BB/Watch Neg
1-A-4 12545AAD6 CCC BB/Watch Neg
1-A-5 12545AAE4 CCC BB/Watch Neg
1-A-6 12545AAF1 CCC BB/Watch Neg
1-A-8 12545AAH7 CCC AAA/Watch Neg
1-A-9 12545AAJ3 CCC BB/Watch Neg
1-A-10 12545AAK0 CCC BB/Watch Neg
1-A-11 12545AAL8 CCC BB/Watch Neg
1-A-12 12545AAM6 CCC BB/Watch Neg
1-A-13 12545AAN4 CCC BB/Watch Neg
1-A-14 12545AAP9 CCC AAA/Watch Neg
1-A-15 12545AAQ7 CCC BB/Watch Neg
1-A-16 12545AAR5 CCC BB/Watch Neg
1-A-17 12545AAS3 CCC BB/Watch Neg
1-A-18 12545AAT1 CCC BB/Watch Neg
1-A-19 12545AAU8 CCC BB/Watch Neg
1-A-20 12545AAV6 CCC BB/Watch Neg
1-A-21 12545AAW4 CCC BB/Watch Neg
1-A-22 12545AAX2 CCC AAA/Watch Neg
1-A-23 12545AAY0 CCC BB/Watch Neg
1-A-24 12545AAZ7 CCC BB/Watch Neg
1-A-25 12545ABA1 CCC BB/Watch Neg
X 12545ABB9 CCC AAA/Watch Neg
CSMC Mortgage Backed Trust 2007-6
Series 2007-6
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12639PAA6 CCC B
A-2 12639PAB4 CCC B
A-3 12639PAC2 CCC B
A-4 12639PAD0 CCC B
A-5 12639PAE8 CCC B
A-6 12639PAF5 CCC B
A-7 12639PAG3 CCC B
A-8 12639PAH1 CCC B
A-9 12639PAJ7 CCC B
A-10 12639PAK4 CCC B
C-B-1 12639PAL2 CC CCC
First Horizon Mortgage Pass Through Trust 2007-5
Series 2007-5
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 32056FAA0 B BB+
A-2 32056FAB8 CCC B
A-3 32056FAC6 B BB+
A-4 32056FAD4 CCC B
A-PO 32056FAE2 CCC B
B-2 32056FAH5 CC CCC
B-3 32056FAJ1 CC CCC
B-4 32056FAK8 CC CCC
First Horizon Mortgage Pass-Through Trust 2005-7
Series 2005-7
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 32051GB79 BB- AAA/Watch Neg
A-2 32051GB87 B+ AAA/Watch Neg
A-3 32051GB95 B+ AAA/Watch Neg
A-4 32051GC29 B+ AAA/Watch Neg
A-5 32051GC37 B+ AAA/Watch Neg
A-7 32051GC52 B+ AAA/Watch Neg
A-8 32051GC60 B+ AAA/Watch Neg
A-9 32051GC78 B+ AAA/Watch Neg
A-10 32051GC86 B+ AAA/Watch Neg
A-11 32051GC94 AAA AAA/Watch Neg
A-12 32051GD28 B+ AAA/Watch Neg
A-13 32051GD36 BB- AAA/Watch Neg
A-14 32051GD44 B+ AAA/Watch Neg
A-PO 32051GD51 B+ AAA/Watch Neg
First Horizon Mortgage Pass-Through Trust 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 32053NAA6 BB+ AAA/Watch Neg
A-2 32053NAB4 BB+ AAA/Watch Neg
A-3 32053NAC2 CCC AAA/Watch Neg
A-4 32053NAD0 CCC AAA/Watch Neg
A-5 32053NAE8 BB+ AAA/Watch Neg
A-6 32053NAF5 CCC AAA/Watch Neg
A-PO 32053NAH1 CCC AAA/Watch Neg
First Horizon Mortgage Pass-Through Trust 2007-3
Series 2007-3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 32055WAA4 CCC AAA/Watch Neg
A-2 32055WAB2 CCC AAA/Watch Neg
A-3 32055WAC0 CCC AAA/Watch Neg
A-4 32055WAD8 CCC AAA/Watch Neg
A-5 32055WAE6 CCC AAA/Watch Neg
A-PO 32055WAF3 CCC AAA/Watch Neg
First Horizon Mortgage Pass-Through Trust 2007-6
Series 2007-6
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 32056QAA6 CCC AAA
A-2 32056QAB4 CCC B+
A-3 32056QAC2 CCC B
A-PO 32056QAD0 CCC B
B-1 32056QAF5 CC CCC
Global Mortgage Securitization 2005-A Ltd.
Series 2005-A
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 378961AP1 AAA AAA/Watch Neg
A2 378961AQ9 AAA AAA/Watch Neg
A3 378961AR7 AAA AAA/Watch Neg
X-B 378961AT3 AA+ AAA
B1 378961AU0 AA+ AA+/Watch Neg
B2 378961AV8 AA AA/Watch Neg
B3 378961AW6 A A/Watch Neg
B4 378961AX4 BBB BBB/Watch Neg
B5 378961AY2 BB BB/Watch Neg
B6 378961AZ9 CCC B/Watch Neg
GMACM Mortgage Loan Trust 2005-J1
Series 2005-J1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 36185MBX9 A- AAA/Watch Neg
A-2 36185MBY7 A- AAA/Watch Neg
A-3 36185MBZ4 A- AAA/Watch Neg
A-4 36185MCA8 AAA AAA/Watch Neg
A-5 36185MCB6 A- AAA/Watch Neg
A-6 36185MCC4 A- AAA/Watch Neg
A-7 36185MCD2 A- AAA/Watch Neg
A-8 36185MCE0 A- AAA/Watch Neg
A-9 36185MCF7 AA- AAA/Watch Neg
A-10 36185MCG5 A- AAA/Watch Neg
A-11 36185MCH3 A- AAA/Watch Neg
A-12 36185MCJ9 AAA AAA/Watch Neg
A-13 36185MCK6 A- AAA/Watch Neg
A-14 36185MCL4 A- AAA/Watch Neg
A-15 36185MCM2 A- AAA/Watch Neg
A-16 36185MCN0 A- AAA/Watch Neg
A-17 36185MCP5 A- AAA/Watch Neg
A-18 36185MCQ3 A- AAA/Watch Neg
A-19 36185MCR1 A- AAA/Watch Neg
PO 36185MCS9 A- AAA/Watch Neg
GSR Mortgage Loan Trust 2007-5F
Series 2007-5F
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 3622NEAA0 B AAA
A-2 3622NEAB8 CCC BB+
M-1 3622NEAC6 CCC B
B-3 3622NEAF9 CC CCC
B-4 3622NEAG7 CC CCC
B-5 3622NEAH5 CC CCC
IndyMac IMJA Mortgage Loan Trust 2007-A1
Series 2007-A1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 456652AA4 CCC AAA/Watch Neg
A-2 456652AB2 CCC BBB/Watch Neg
A-3 456652AC0 CCC BBB/Watch Neg
A-4 456652AD8 CCC BBB/Watch Neg
A-5 456652AE6 CCC BBB/Watch Neg
A-6 456652AF3 CCC BBB/Watch Neg
A-7 456652AG1 CCC AAA/Watch Neg
A-8 456652AH9 CCC BBB/Watch Neg
PO 456652AJ5 CCC AAA/Watch Neg
A-X 456652AK2 CCC AAA/Watch Neg
B-1 456652AM8 CCC B/Watch Neg
B-2 456652AN6 CC CCC
B-3 456652AP1 CC CCC
IndyMac IMJA Mortgage Loan Trust 2007-A3
Series 2007-A3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 456669AA8 CCC BB-
A-2 456669AB6 CCC B
PO 456669AC4 CCC B
A-X 456669AD2 CCC BB-
B-1 456669AF7 CC CCC
B-2 456669AG5 CC CCC
IndyMac IMJA Mortgage Loan Trust 2007-A4
Series 2007-A4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 45670VAA3 CCC B
A-2 45670VAB1 CCC B
A-X 45670VAD7 CCC B
PO 45670VAC9 CCC B
B-1 45670VAF2 CC CCC
B-2 45670VAG0 CC CCC
Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A10
Series 2005-A10
Rating
------
Class CUSIP To From
----- ----- -- ----
A 59020UZ65 BB AAA/Watch Neg
A-IO 59020UZ73 BB AAA/Watch Neg
M-1 59020UZ81 CCC AA/Watch Neg
M-2 59020UZ99 CC A/Watch Neg
M-3 59020U2A2 CC BBB/Watch Neg
M-IO 59020U2J3 CCC BBB/Watch Neg
Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A2
Series 2005-A2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 59020USH9 AAA AAA/Watch Neg
A-2 59020USJ5 AAA AAA/Watch Neg
A-3 59020USK2 AAA AAA/Watch Neg
A-4 59020USL0 AAA AAA/Watch Neg
A-5 59020USM8 AAA AAA/Watch Neg
A-6 59020UTJ4 AAA AAA/Watch Neg
A-7 59020UTK1 AAA AAA/Watch Neg
A-8 59020UTL9 AAA AAA/Watch Neg
M-1 59020USN6 BB AA/Watch Neg
M-2 59020USP1 CCC A/Watch Neg
B-1 59020USR7 CC BB/Watch Neg
B-2 59020USS5 CC B/Watch Neg
M-3 59020USQ9 CCC BBB/Watch Neg
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A5
Series 2005-A5
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 59020UYL3 AAA AAA/Watch Neg
A-2 59020UYM1 AAA AAA/Watch Neg
A-3 59020UYN9 AAA AAA/Watch Neg
A-4 59020UYP4 AAA AAA/Watch Neg
A-5 59020UYQ2 AAA AAA/Watch Neg
A-6 59020UYR0 AAA AAA/Watch Neg
A-7 59020UYS8 AAA AAA/Watch Neg
A-8 59020UYT6 AAA AAA/Watch Neg
A-9 59020UYU3 AAA AAA/Watch Neg
M-1 59020UYW9 B AA/Watch Neg
M-2 59020UYX7 CCC A/Watch Neg
M-3 59020UYY5 CCC BBB/Watch Neg
B-1 59020UYZ2 CC BB/Watch Neg
B-2 59020UZA6 CC B/Watch Neg
Merrill Lynch Mortgage Investors Trust, Series 2006-F1
Series 2006-F1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A1 590218AA1 B- BBB-/Watch Neg
I-A2 590218AB9 B- BBB-/Watch Neg
I-A3 590218AC7 B BBB-/Watch Neg
I-A4 590218AD5 B- BBB-/Watch Neg
I-A6 590218AF0 B- BBB-/Watch Neg
I-A7 590218AG8 B- BBB-/Watch Neg
I-A8 590218AH6 B- BBB-/Watch Neg
IO 590218AJ2 B- BBB-/Watch Neg
PO 590218AK9 B- BBB-/Watch Neg
M-1 590218AM5 CCC B/Watch Neg
M-2 590218AN3 CC CCC
M-3 590218AP8 CC CCC
MortgageIT Securities Corp. Mortgage Loan Trust, Series 2007-2
Series 2007-2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 61915CAA7 BBB AAA
Prime Mortgage Trust 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 74162FAA3 CCC AAA/Watch Neg
A-2 74162FAB1 CCC AAA/Watch Neg
A-3 74162FAC9 CCC AAA/Watch Neg
A-4 74162FAD7 CCC AAA/Watch Neg
A-5 74162FAE5 CCC AAA/Watch Neg
A-6 74162FAF2 CCC AAA/Watch Neg
A-7 74162FAG0 CCC AAA/Watch Neg
X 74162FAL9 CCC AAA/Watch Neg
PO 74162FAM7 CCC AAA/Watch Neg
B-1 74162FAH8 CCC A-/Watch Neg
B-2 74162FAJ4 CC BB/Watch Neg
B-3 74162FAK1 CC B/Watch Neg
B-4 74162FAQ8 CC CCC
Prime Mortgage Trust 2007-2
Series 2007-2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 74162JAA5 CCC AAA/Watch Neg
A-2 74162JAB3 CCC AAA/Watch Neg
A-3 74162JAC1 CCC AAA/Watch Neg
X 74162JAG2 CCC AAA/Watch Neg
PO 74162JAH0 CCC AAA/Watch Neg
B-1 74162JAD9 CC AA/Watch Neg
B-2 74162JAE7 CC A/Watch Neg
B-3 74162JAF4 CC BB/Watch Neg
B-4 74162JAL1 CC B/Watch Neg
RFMSI Series 2005-S2 Trust
Series 2005-S2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 76111XTQ6 AAA AAA/Watch Neg
A-2 76111XTR4 AAA AAA/Watch Neg
A-3 76111XTS2 AAA AAA/Watch Neg
A-5 76111XTU7 AAA AAA/Watch Neg
A-6 76111XTV5 AAA AAA/Watch Neg
A-P 76111XTW3 AAA AAA/Watch Neg
RFMSI Series 2005-S4 Trust
Series 2005-S4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 76111XUS0 AAA AAA/Watch Neg
A-2 76111XUT8 AAA AAA/Watch Neg
A-3 76111XUU5 AAA AAA/Watch Neg
A-P 76111XUV3 AAA AAA/Watch Neg
M-1 76111XUY7 BB- AA/Watch Neg
M-2 76111XUZ4 CCC A/Watch Neg
M-3 76111XVA8 CCC BBB/Watch Neg
B-1 76111XVB6 CC BB/Watch Neg
B-2 76111XVC4 CC B/Watch Neg
RFMSI Series 2005-S7 Trust
Series 2005-S7
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 76111XZR7 BB AAA/Watch Neg
A-2 76111XZS5 BB- AAA/Watch Neg
A-3 76111XZT3 BB- AAA/Watch Neg
A-4 76111XZU0 BB AAA/Watch Neg
A-5 76111XZV8 BB- AAA/Watch Neg
A-6 76111XZW6 BBB- AAA/Watch Neg
A-7 76111XZX4 BB- AAA/Watch Neg
A-8 76111XZY2 BB- AAA/Watch Neg
A-9 76111XZZ9 BB- AAA/Watch Neg
A-P 76111XA29 BB- AAA/Watch Neg
A-V 76111XA37 BBB- AAA
M-1 76111XA60 CCC AA/Watch Neg
M-2 76111XA78 CCC BBB-/Watch Neg
M-3 76111XA86 CCC B+/Watch Neg
RFMSI Series 2005-S8 Trust
Series 2005-S8
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 76111XC50 BBB- BBB
A-2 76111XC68 BBB- BBB
A-3 76111XC76 B+ BBB
A-P 76111XC84 B+ BBB
A-V 76111XC92 BBB- BBB
RFMSI Series 2005-S9 Trust
Series 2005-S9
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 76111XD91 B- AAA/Watch Neg
A-2 76111XE25 B- AAA/Watch Neg
A-3 76111XE33 BB+ AAA/Watch Neg
A-4 76111XE41 B- AAA/Watch Neg
A-5 76111XE58 B- AAA/Watch Neg
A-6 76111XE66 AA AAA/Watch Neg
A-7 76111XE74 B- AAA/Watch Neg
A-8 76111XE82 AA AAA/Watch Neg
A-9 76111XE90 AA AAA/Watch Neg
A-10 76111XF24 B- AAA/Watch Neg
A-11 76111XF32 B- AAA/Watch Neg
A-12 76111XF40 B- AAA/Watch Neg
A-P 76111XF57 B- AAA/Watch Neg
A-V 76111XF65 AA AAA
RFMSI Series 2006-S11 Trust
Series 2006-S11
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 74958FAA1 CCC B
A-2 74958FAB9 CCC B
A-3 74958FAC7 CCC B
A-4 74958FAD5 CCC B
A-P 74958FAE3 CCC B
A-V 74958FAF0 CCC B
RFMSI Series 2006-S2 Trust
Series 2006-S2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 76111XL76 BBB+ A
A-4 76111XM26 AA AAA
A-6 76111XM42 BBB+ A
A-V 76111XM75 AA AAA
RFMSI Series 2006-S3 Trust
Series 2006-S3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 76111XN74 CCC BBB-/Watch Neg
A-2 76111XN82 CCC BBB-/Watch Neg
A-3 76111XN90 BB AAA/Watch Neg
A-4 76111XP23 BB AAA/Watch Neg
A-5 76111XP31 CCC BBB-/Watch Neg
A-7 76111XP56 BB AAA/Watch Neg
A-8 76111XP64 CCC BBB-/Watch Neg
A-9 76111XP72 BB AAA/Watch Neg
A-10 76111XP80 CCC BBB-/Watch Neg
A-P 76111XP98 CCC BBB-/Watch Neg
A-V 76111XQ22 BB AAA/Watch Neg
RFMSI Series 2006-S4 Trust
Series 2006-S4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 762010AA4 BB- AAA/Watch Neg
A-2 762010AB2 BB- AAA/Watch Neg
A-3 762010AC0 BB- AAA/Watch Neg
A-4 762010AD8 BB- AAA/Watch Neg
A-5 762010AE6 BB- AAA/Watch Neg
A-6 762010AF3 BB- AAA/Watch Neg
A-7 762010AG1 A+ AAA/Watch Neg
A-9 762010AJ5 BB- AAA/Watch Neg
A-10 762010AK2 BB- AAA/Watch Neg
A-P 762010AL0 BB- AAA/Watch Neg
A-V 762010AM8 A+ AAA/Watch Neg
RFMSI Series 2006-S6 Trust
Series 2006-S6
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 74957VAA7 CCC BBB
A-2 74957VAB5 CCC BBB
A-3 74957VAC3 CCC BBB
A-4 74957VAD1 CCC BBB
A-5 74957VAE9 CCC BBB
A-6 74957VAF6 CCC BBB
A-7 74957VAG4 CCC BBB
A-8 74957VAH2 CCC BBB
A-9 74957VAJ8 BB- AAA
A-10 74957VAK5 BB- AAA
A-11 74957VAL3 CCC BBB
A-12 74957VAM1 BB- AAA
A-13 74957VAN9 BB- AAA
A-14 74957VAP4 BB- AAA
A-15 74957VAQ2 BB- AAA
A-16 74957VAR0 CCC BBB
A-P 74957VAS8 CCC BBB
A-V 74957VAT6 BB- AAA
RFMSI Series 2006-S7 Trust
Series 2006-S7
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 74958AAA2 CCC BBB/Watch Neg
A-2 74958AAB0 CCC BBB/Watch Neg
A-3 74958AAC8 CCC BBB/Watch Neg
A-4 74958AAD6 B+ AAA/Watch Neg
A-5 74958AAE4 CCC BBB/Watch Neg
A-6 74958AAF1 CCC BBB/Watch Neg
A-7 74958AAG9 B AAA/Watch Neg
A-8 74958AAH7 B AAA/Watch Neg
A-9 74958AAJ3 B AAA/Watch Neg
A-10 74958AAK0 CCC BBB/Watch Neg
A-P 74958AAL8 CCC BBB/Watch Neg
A-V 74958AAM6 B+ AAA/Watch Neg
RFMSI Series 2006-S9 Trust
Series 2006-S9
Rating
------
Class CUSIP To From
----- ----- -- ----
A-5 749577AE2 CCC BB
A-V 749577AP7 B- BB
RFMSI Series 2007-S1 Trust
Series 2007-S1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 749581AE4 BBB AAA/Watch Neg
A-4 749581AH7 CCC BBB/Watch Neg
A-14 749581AT1 CCC BBB/Watch Neg
RFMSI Series 2007-S2 Trust
Series 2007-S2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 749583AA8 B- AAA/Watch Neg
A-2 749583AB6 B- AAA/Watch Neg
A-3 749583AC4 BBB AAA/Watch Neg
A-4 749583AD2 B- AAA/Watch Neg
A-5 749583AE0 B- AAA/Watch Neg
A-6 749583AF7 BBB- AAA/Watch Neg
A-7 749583AG5 BBB- AAA/Watch Neg
A-8 749583AH3 B- AAA/Watch Neg
A-9 749583AJ9 B- AAA/Watch Neg
A-10 749583AK6 B- AAA/Watch Neg
A-11 749583AW0 BBB AAA/Watch Neg
A-12 749583AX8 BBB AAA/Watch Neg
A-13 749583AY6 B- AAA/Watch Neg
A-14 749583AZ3 B- AAA/Watch Neg
A-P 749583AL4 B- AAA/Watch Neg
A-V 749583AM2 BBB AAA/Watch Neg
RFMSI Series 2007-S5 Trust
Series 2007-S5
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 749580AA4 B- AA/Watch Neg
A-2 749580AB2 BBB- AAA/Watch Neg
A-3 749580AC0 B- AA/Watch Neg
A-4 749580AD8 BBB AAA/Watch Neg
A-5 749580AE6 B- AA/Watch Neg
A-6 749580AF3 B- AA/Watch Neg
A-7 749580AG1 BBB- AAA/Watch Neg
A-8 749580AH9 BBB- AAA/Watch Neg
A-9 749580AJ5 B- AA/Watch Neg
A-10 749580AK2 B- AA/Watch Neg
A-P 749580AL0 B- AA/Watch Neg
A-V 749580AM8 BBB AAA/Watch Neg
RFMSI Series 2007-S7 Trust
Series 2007-S7
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 76200RAA6 CCC B
A-2 76200RAB4 B AAA
A-3 76200RAC2 CCC B
A-5 76200RAE8 B AA
A-6 76200RAF5 B AA
A-7 76200RAG3 B AA
A-8 76200RAH1 CCC B
A-9 76200RAJ7 B AA
A-10 76200RAK4 CCC B
A-11 76200RAL2 CCC AA
A-12 76200RAM0 CCC AA
A-13 76200RAN8 CCC AA
A-14 76200RAP3 CCC AA
A-15 76200RAQ1 CCC AA
A-16 76200RAR9 CCC AA
A-17 76200RAS7 B AA
A-18 76200RAT5 CCC AA
A-19 76200RAU2 CCC AA
A-20 76200RAV0 CCC AA
A-21 76200RAW8 CCC AA
A-22 76200RAX6 CCC AA
A-23 76200RAY4 CCC AA
A-24 76200RAZ1 CCC AA
A-25 76200RBA5 CCC AA
A-26 76200RBB3 CCC AA
A-27 76200RBC1 CCC AA
A-28 76200RBD9 CCC AA
A-29 76200RBE7 CCC AA
A-30 76200RBF4 CCC AA
A-31 76200RBG2 CCC AA
A-32 76200RBH0 CCC AA
A-33 76200RBJ6 CCC AA
A-34 76200RBK3 CCC AA
A-35 76200RBL1 CCC AA
A-36 76200RBM9 CCC AA
A-P 76200RBN7 CCC B
A-V 76200RBP2 B AAA
Structured Asset Securities Corporation Trust 2005-3
Series 2005-3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 86359B5M9 BB- AAA/Watch Neg
1-A2 86359B5N7 BB- AAA
1-A3 86359B5P2 BB- AAA/Watch Neg
1-A4 86359B5Q0 BB- AAA/Watch Neg
1A6 86359B5S6 A AAA/Watch Neg
1-A7 86359B5T4 BB- AAA/Watch Neg
1-A8 86359B5U1 AA AAA/Watch Neg
1-A9 86359B5V9 BB- AAA/Watch Neg
AP 86359B5W7 BB- AAA/Watch Neg
AX 86359B5X5 AA AAA
PAX 86359B5Y3 AA AAA
B1 86359B5Z0 CCC AA/Watch Neg
B2 86359B6A4 CC A/Watch Neg
B3 86359B6B2 CC BBB/Watch Neg
B4 86359B3W9 CC BBB-/Watch Neg
B5 86359B3X7 CC B/Watch Neg
1-A5 86359B5R8 BB- AAA/Watch Neg
Thornburg Mortgage Securities Trust 2006-6
Series 2006-6
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 88522NAA1 AAA AAA/Watch Neg
A-2 88522NAB9 B AAA/Watch Neg
A-X 88522NAC7 AAA AAA/Watch Neg
B-1 88522NAE3 CCC AA/Watch Neg
B-2 88522NAF0 CCC BBB/Watch Neg
B-3 88522NAG8 CCC BB/Watch Neg
B-4 88522NAH6 CC CCC
WaMu Mortgage Pass-Through Certificates Series 2005-AR3 Trust
Series 2005-AR3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 939336Z30 AAA AAA/Watch Neg
A-2 939336Z48 AAA AAA/Watch Neg
A-3 939336Z55 AAA AAA/Watch Neg
B-1 939336Z63 BB AA/Watch Neg
B-2 939336Z71 CCC A/Watch Neg
B-3 939336Z89 CCC BBB/Watch Neg
B-4 9393362A0 CC BB/Watch Neg
B-5 9393362B8 CC B/Watch Neg
WaMu Mortgage Pass-Through Certificates Series 2005-AR4 Trust
Series 2005-AR4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-3 92922FG44 AAA AAA/Watch Neg
A-4A 92922FG51 AAA AAA/Watch Neg
A-4B 92922FG69 AAA AAA/Watch Neg
A-5 92922FG77 AAA AAA/Watch Neg
B-1 92922FG93 BBB AA/Watch Neg
B-2 92922FH27 B- A/Watch Neg
B-3 92922FH35 CCC BBB/Watch Neg
B-4 92922FH50 CCC BB/Watch Neg
B-5 92922FH68 CC B/Watch Neg
WaMu Mortgage Pass-Through Certificates Series 2005-AR5 Trust
Series 2005-AR5
Rating
------
Class CUSIP To From
----- ----- -- ----
A-3 92922FL71 AAA AAA/Watch Neg
A-4 92922FL89 AAA AAA/Watch Neg
A-5 92922FL97 AAA AAA/Watch Neg
A-6 92922FM21 AAA AAA/Watch Neg
B-1 92922FM39 BB AA/Watch Neg
B-2 92922FM47 CCC A/Watch Neg
B-3 92922FM54 CCC BBB/Watch Neg
B-4 92922FM70 CC BB/Watch Neg
B-5 92922FM88 CC B/Watch Neg
WaMu Mortgage Pass-Through Certificates Series 2005-AR7 Trust
Series 2005-AR7
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 92922FQ27 AA+ AAA/Watch Neg
A-2 92922FQ35 AA+ AAA/Watch Neg
A-3 92922FQ43 AA+ AAA/Watch Neg
A-4 92922FQ50 AA+ AAA/Watch Neg
X 92922FQ68 AA+ AAA
B-1 92922FQ76 B AA/Watch Neg
B-2 92922FQ84 CCC A/Watch Neg
B-3 92922FQ92 CCC BBB/Watch Neg
B-4 92922FR34 CC BB/Watch Neg
B-5 92922FR42 CC B/Watch Neg
Wells Fargo Mortgage Backed Securities 2005-13 Trust
Series 2005-13
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 94983MAG0 AAA AAA/Watch Neg
A-PO 94983MAJ4 AAA AAA/Watch Neg
Wells Fargo Mortgage Backed Securities 2005-AR14 Trust
Series 2005-AR14
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 94982DAA4 AAA AAA/Watch Neg
A-2 94982DAB2 AAA AAA/Watch Neg
A-3 94982DAC0 AAA AAA/Watch Neg
A-4 94982DAD8 AAA AAA/Watch Neg
A-5 94982DAE6 AAA AAA/Watch Neg
A-6 94982DAF3 AAA AAA/Watch Neg
B-1 94982DAH9 BBB- AA/Watch Neg
B-2 94982DAJ5 B- A/Watch Neg
B-3 94982DAK2 CCC BBB/Watch Neg
B-4 94982DAL0 CCC BB/Watch Neg
B-5 94982DAM8 CC B/Watch Neg
Wells Fargo Mortgage Backed Securities 2006-10 Trust
Series 2006-10
Rating
------
Class CUSIP To From
----- ----- -- ----
A-14 94984EAP7 AAA AAA/Watch Neg
Wells Fargo Mortgage Backed Securities 2006-8 Trust
Series 2006-8
Rating
------
Class CUSIP To From
----- ----- -- ----
A-4 94983SAF9 AA+ AAA/Watch Neg
A-5 94983SAG7 AA+ AAA/Watch Neg
A-6 94983SAH5 AA+ AAA/Watch Neg
A-9 94983SAL6 AA+ AAA/Watch Neg
A-10 94983SAM4 AA+ AAA/Watch Neg
A-18 94983SAV4 AAA AAA/Watch Neg
A-19 94983SAW2 AA+ AAA/Watch Neg
A-17 94983SAU6 BBB- AA+/Watch Neg
Wells Fargo Mortgage Backed Securities 2006-AR17 Trust
Series 2006-AR17
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 94984LAA4 CCC AAA/Watch Neg
A-2 94984LAB2 CCC AAA/Watch Neg
A-3 94984LAC0 CCC A+/Watch Neg
A-4 94984LAD8 CCC A+/Watch Neg
A-IO 94984LAE6 CCC AAA/Watch Neg
Wells Fargo Mortgage Backed Securities 2007-11 Trust
Series 2007-11
Rating
------
Class CUSIP To From
----- ----- -- ----
A-98 94985WEB3 BBB AAA
Wells Fargo Mortgage Backed Securities 2007-13 Trust
Series 2007-13
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 94985LAA3 AA AAA
A-2 94985LAB1 CCC BBB
A-3 94985LAC9 CCC BBB
A-4 94985LAD7 AA AAA
A-6 94985LAF2 AA AAA
A-7 94985LAG0 BB+ AAA
A-8 94985LAH8 BB+ AAA
A-9 94985LAJ4 CCC BBB
A-10 94985LAK1 CCC BBB
A-PO 94985LAL9 CCC BBB
Wells Fargo Mortgage Backed Securities 2007-4 Trust
Series 2007-4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-5 94985RAE2 B A
A-8 94985RAH5 B A
A-14 94985RAP7 B A
A-15 94985RAQ5 B A
A-2 94985RAB8 CCC B
Wells Fargo Mortgage Backed Securities 2007-AR4 Trust
Series 2007-AR4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 94986CAA2 CCC B+
A-2 94986CAB0 CCC B
Wells Fargo Mortgage Backed Securities 2007-AR5 Trust
Series 2007-AR5
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 94986DAA0 CCC BBB
A-2 94986DAB8 CCC B
Wells Fargo Mortgage Backed Securities 2007-AR6 Trust
Series 2007-AR6
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 949794AA9 CCC BB-
A-2 949794AB7 CCC BB-
A-3 949794AC5 CCC B
B-1 949794AE1 CC CCC
B-2 949794AF8 CC CCC
B-3 949794AG6 CC CCC
Wells Fargo Mortgage Backed Securities 2007-AR9 Trust
Series 2007-AR9
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 94986GAA3 AA AAA
A-2 94986GAB1 B- BB
A-IO 94986GAC9 AA AAA
Ratings Affirmed
Banc of America Funding 2005-1 Trust
Series 2005-1
Class CUSIP Rating
----- ----- ------
30-IO 05946XQF3 AAA
Banc of America Mortgage Trust 2005-8
Series 2005-8
Class CUSIP Rating
----- ----- ------
30-IO 05949CHD1 AAA
Bear Stearns ARM Trust 2005-9
Series 2005-9
Class CUSIP Rating
----- ----- ------
X 07387AEJ0 AA+
Chase Mortgage Finance Trust Series 2006-S4
Series 2006-S4
Class CUSIP Rating
----- ----- ------
A-8 16162YAH8 CCC
A-9 16162YAJ4 CCC
A-10 16162YAK1 CCC
A-11 16162YAL9 CCC
A-13 16162YAN5 CCC
A-14 16162YAP0 CCC
A-15 16162YAQ8 CCC
A-19 16162YAU9 CCC
A-20 16162YAV7 CCC
A-21 16162YAW5 CCC
A-22 16162YAX3 CCC
A-23 16162YAY1 CCC
A-P 16162YBA2 CCC
A-M 16162YBC8 CCC
Chase Mortgage Finance Trust Series 2007-S1
Series 2007-S1
Class CUSIP Rating
----- ----- ------
A-1 16163FAA3 BB
A-2 16163FAB1 BB
A-3 16163FAC9 CCC
A-4 16163FAD7 BB
A-5 16163FAE5 CCC
A-6 16163FAF2 CCC
A-7 16163FAG0 CCC
A-8 16163FAH8 AAA
A-9 16163FAJ4 BBB
A-10 16163FAK1 CCC
A-11 16163FAL9 CCC
A-12 16163FAM7 CCC
A-13 16163FAN5 CCC
A-X 16163FAP0 AAA
A-P 16163FAQ8 CCC
CHL Mortgage Pass Through Trust 2005-5
Series 2005-5
Class CUSIP Rating
----- ----- ------
A-8 12669GQX2 AAA
CHL Mortgage Pass-Through Trust 2005-15
Series 2005-15
Class CUSIP Rating
----- ----- ------
A-4 12669GQ87 BBB
CHL Mortgage Pass-Through Trust 2005-20
Series 2005-20
Class CUSIP Rating
----- ----- ------
A-13 126694FU7 AAA
CHL Mortgage Pass-Through Trust 2006-1
Series 2006-1
Class CUSIP Rating
----- ----- ------
A-2 126694XC7 BBB
X 126694XE3 BBB
CHL Mortgage Pass-Through Trust 2006-20
Series 2006-20
Class CUSIP Rating
----- ----- ------
1-A-1 12544AAA3 CCC
1-A-2 12544AAB1 CCC
1-A-4 12544AAD7 CCC
1-A-6 12544AAF2 CCC
1-A-7 12544AAG0 CCC
1-A-8 12544AAH8 CCC
1-A-9 12544AAJ4 CCC
1-A-10 12544AAK1 CCC
1-A-11 12544AAL9 CCC
1-A-12 12544AAM7 CCC
1-A-13 12544AAN5 CCC
1-A-14 12544AAP0 CCC
1-A-15 12544AAQ8 CCC
1-A-16 12544AAR6 CCC
1-A-17 12544AAS4 CCC
1-A-18 12544AAT2 B
1-A-19 12544AAU9 B
1-A-20 12544AAV7 CCC
1-A-21 12544AAW5 CCC
1-A-22 12544AAX3 CCC
1-A-23 12544AAY1 CCC
1-A-24 12544AAZ8 CCC
1-A-25 12544ABA2 CCC
1-A-26 12544ABB0 CCC
1-A-27 12544ABC8 CCC
1-A-28 12544ABD6 CCC
1-A-29 12544ABE4 CCC
1-A-30 12544ABF1 CCC
1-A-31 12544ABG9 CCC
1-A-32 12544ABH7 CCC
1-A-33 12544ABJ3 CCC
1-A-34 12544ABK0 CCC
1-A-35 12544ABL8 CCC
1-A-36 12544ABM6 CCC
1-A-37 12544ABN4 CCC
X 12544ABP9 B
PO 12544ABQ7 CCC
CHL Mortgage Pass-Through Trust 2007-11
Series 2007-11
Class CUSIP Rating
----- ----- ------
A-1 12544LAA9 CCC
A-2 12544LAB7 CCC
A-3 12544LAC5 CCC
A-4 12544LAD3 AAA
A-5 12544LAE1 CCC
A-6 12544LAF8 CCC
A-7 12544LAG6 CCC
A-8 12544LAH4 CCC
A-9 12544LAJ0 CCC
A-11 12544LAL5 CCC
A-12 12544LAM3 CCC
A-13 12544LAN1 CCC
A-14 12544LAP6 CCC
A-15 12544LAQ4 CCC
A-16 12544LAR2 CCC
A-17 12544LAS0 CCC
A-18 12544LAT8 CCC
A-19 12544LAU5 CCC
X 12544LAV3 AAA
PO 12544LAW1 CCC
First Horizon Mortgage Pass Through Trust 2007-5
Series 2007-5
Class CUSIP Rating
----- ----- ------
B-1 32056FAG7 CCC
Global Mortgage Securitization 2005-A Ltd.
Series 2005-A
Class CUSIP Rating
----- ----- ------
X-A1 378961AS5 AAA
GMACM Mortgage Loan Trust 2005-J1
Series 2005-J1
Class CUSIP Rating
----- ----- ------
IO 36185MCT7 AAA
GSR Mortgage Loan Trust 2007-5F
Series 2007-5F
Class CUSIP Rating
----- ----- ------
B-1 3622NEAD4 CCC
B-2 3622NEAE2 CCC
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A5
Series 2005-A5
Class CUSIP Rating
----- ----- ------
A-IO 59020UYV1 AAA
MortgageIT Securities Corp. Mortgage Loan Trust, Series 2007-2
Series 2007-2
Class CUSIP Rating
----- ----- ------
B-1 61915CAC3 CCC
RFMSI Series 2005-S2 Trust
Series 2005-S2
Class CUSIP Rating
----- ----- ------
A-4 76111XTT0 AAA
A-V 76111XTX1 AAA
RFMSI Series 2005-S4 Trust
Series 2005-S4
Class CUSIP Rating
----- ----- ------
A-V 76111XUW1 AAA
RFMSI Series 2005-S6 Trust
Series 2005-S6
Class CUSIP Rating
----- ----- ------
A-1 76111XXJ7 AAA
A-2 76111XXK4 AAA
A-3 76111XXL2 AAA
A-4 76111XXM0 AAA
A-5 76111XXN8 AAA
A-6 76111XXP3 AAA
A-7 76111XXQ1 AAA
A-8 76111XXR9 AAA
A-P 76111XXS7 AAA
A-V 76111XXT5 AAA
RFMSI Series 2005-S8 Trust
Series 2005-S8
Class CUSIP Rating
----- ----- ------
M-1 76111XD34 CCC
RFMSI Series 2006-S2 Trust
Series 2006-S2
Class CUSIP Rating
----- ----- ------
A-2 76111XL84 B
A-3 76111XL92 B
A-5 76111XM34 B
A-7 76111XM59 B
A-P 76111XM67 B
RFMSI Series 2006-S9 Trust
Series 2006-S9
Class CUSIP Rating
----- ----- ------
A-1 749577AA0 B
A-2 749577AB8 CCC
A-3 749577AC6 CCC
A-4 749577AD4 CCC
A-7 749577AG7 CCC
A-8 749577AH5 CCC
A-9 749577AJ1 CCC
A-10 749577AK8 CCC
A-11 749577AL6 CCC
A-12 749577AM4 CCC
A-P 749577AN2 CCC
RFMSI Series 2007-S4 Trust
Series 2007-S4
Class CUSIP Rating
----- ----- ------
A-1 74958YAA0 B
A-2 74958YAB8 CCC
A-3 74958YAC6 B
A-4 74958YAD4 CCC
A-5 74958YAE2 B
A-6 74958YAF9 CCC
A-8 74958YAH5 CCC
A-9 74958YAJ1 B
A-10 74958YAK8 CCC
A-11 74958YAL6 CCC
A-12 74958YAM4 B
A-13 74958YBA9 B
A-14 74958YAN2 B
A-15 74958YAP7 CCC
A-P 74958YAQ5 CCC
A-V 74958YAR3 B
WaMu Mortgage Pass-Through Certificates Series 2005-AR4 Trust
Series 2005-AR4
Class CUSIP Rating
----- ----- ------
X 92922FG85 AAA
* S&P Downgrades Ratings on Nine Classes of Mortgage Certs. to 'D'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D' on
nine classes of mortgage pass-through certificates from nine U.S.
residential mortgage-backed securities transactions from various
issuers. S&P removed two of the lowered ratings from CreditWatch
with negative implications. The ratings on eight additional
classes will remain on CreditWatch with negative implications.
Of the lowered ratings, four classes are from transactions backed
by home equity lines of credit collateral, three are from
transactions backed by first-lien high loan-to-value collateral
and two are from re-REMIC transactions.
The downgrades reflect S&P's assessment of principal write-downs
on the affected classes during recent remittance periods. The
CreditWatch placements reflect the fact that the affected classes
are within a group that includes a class that defaulted from a 'B-
' rating or higher. S&P lowered seven of the nine defaulted
classes from the 'CCC' or 'CC' rating categories.
S&P expects to resolve the CreditWatch placements affecting these
transactions after S&P completes its reviews of the underlying
credit enhancement. Standard & Poor's will continue to monitor
its ratings on securities that experience principal write-downs
and adjust the ratings as S&P think appropriate.
Rating Actions
CWHEQ Revolving Home Equity Loan Trust Series 2006-A
Series 2006-A
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 126685CJ3 D CC
CWHEQ Revolving Home Equity Loan Trust, Series 2005-K
Series 2005-K
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 126685AT3 D CCC
Greenpoint Mortgage Funding Trust 2005-HE3
Series 2005-HE3
Rating
------
Class CUSIP To From
----- ----- -- ----
M1 39538WDA3 D CC
Greenpoint Mortgage Funding Trust 2007-HE1
Series 2007-HE1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 39539JAA4 D CC
Lehman Structured Securities Corp.
Series 2004-2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 52518RBY1 D BBB/Watch Neg
Lehman Structured Securities Corp. Pass Through Certificates
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-7 52521PAG0 D BBB+/Watch Neg
RAMP Series 2005-RZ3 Trust
Series 2005-RZ3
Rating
------
Class CUSIP To From
----- ----- -- ----
M-9 76112BB25 D CC
RAMP Series 2006-RZ1 Trust
Series 2006-RZ1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-8 76112BZ94 D CC
RAMP Series 2007-RZ1 Trust
Series 2007-RZ1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-8 74923PAL7 D CC
Ratings Remaining On Creditwatch Negative
Lehman Structured Securities Corp.
Series 2004-2
Class CUSIP Rating
----- ----- ------
M-1 52518RBW5 AA/Watch Neg
M-2 52518RBX3 A/Watch Neg
Lehman Structured Securities Corp. Pass Through Certificates
Series 2007-1
Class CUSIP Rating
----- ----- ------
M-1 52521PAA3 AA+/Watch Neg
M-2 52521PAB1 AA/Watch Neg
M-3 52521PAC9 AA-/Watch Neg
M-4 52521PAD7 A+/Watch Neg
M-5 52521PAE5 A/Watch Neg
M-6 52521PAF2 A-/Watch Neg
* S&P Puts Ratings on 210 Tranches on CreditWatch Negative
----------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 210
tranches from 124 U.S. cash flow and hybrid collateralized debt
obligation transactions on CreditWatch with negative implications.
The CreditWatch placements follow S&P's monthly review of U.S.
cash flow and hybrid CDO transaction performance.
As in prior months, most of the transactions with ratings placed
on CreditWatch negative are CDOs backed by corporate loans. Of
the affected transactions, 118 of the 124 (or 95.2%) are CDOs
backed by corporate loans. S&P took the remaining actions on
collateralized bond obligation transactions (three), CDO of CDO
transactions (two), and commercial real estate (CRE) CDOs (one).
The affected tranches had a total issuance amount of
$10.018 billion.
The CreditWatch placements follow S&P's most recent monthly review
of U.S. cash flow and hybrid CDO performance. The rationale for
the rating actions are based on both quantitative and qualitative
performance parameters, including transaction structural features,
manager purchase patterns, and a broad view of the underlying
collateral within each transaction, including these:
-- A change in Standard & Poor's rated overcollateralization
metric. This ratio, reviewed monthly based on current
collateral ratings, provides an estimate of the stability of
the current rating on a given cash flow CDO tranche;
-- A deterioration in the credit quality of the performing
assets within the collateral pools, including negative rating
migration of the underlying securities to ratings in the
'CCC' range;
-- An increase or decrease in the proportion of securities in
the collateral pool with ratings on CreditWatch negative,
which serves as a forward-looking indicator of rating actions
that will affect the assets in the pools;
-- A change in the level of overcollateralization available to
support each tranche since origination, or since S&P's last
rating action. Many of the affected CLO transactions have
experienced declines in their O/C ratios as a result of
defaults or rating-based "haircuts" for the calculation of
par coverage tests. This may cause some transactions to
begin breaching mezzanine O/C ratio tests that would cut off
subordinate classes from receiving current interest;
-- An increase in the level of defaulted assets held in the CDO
transactions' portfolios;
S&P will resolve the CreditWatch placements after S&P completes a
comprehensive cash flow analysis for each of the affected
transactions, and after S&P evaluates additional information S&P
may receive during discussions with the relevant collateral
managers. S&P expects to resolve these CreditWatch placements
within 90 days. Standard & Poor's will continue to monitor the
CDO transactions it rates and take rating actions, including
CreditWatch placements, as S&P deems appropriate.
Ratings Placed On Creditwatch Negative
Rating
------
Transaction Class To From
----------- ----- -- ----
A3 Funding LP QlfdJrNts BBB+/Watch Neg BBB+
ACA CLO 2005-1, Limited B-2L BB/Watch Neg BB
ACAS Business Loan Trust 2004-1 C A/Watch Neg A
ACAS Business Loan Trust 2005-1 C A/Watch Neg A
ACAS CLO 2007-1 Ltd D BB/Watch Neg BB
AIMCO CLO Series 2006-A C BBB/Watch Neg BBB
AMMC CLO IV Limited D BBB/Watch Neg BBB
AMMC VIII Limited E BB-/Watch Neg BB-
Ares Enhanced Loan Investment Strategy C-1 BBB-/Watch Neg BBB-
II, Ltd.
Ares Enhanced Loan Investment Strategy C-2 BBB-/Watch Neg BBB-
II, Ltd.
Ares IIR CLO Ltd. D-1 BBB-/Watch Neg BBB-
Ares IIR CLO Ltd. D-2 BBB-/Watch Neg BBB-
ARES VIR CLO Ltd C-1 A/Watch Neg A
ARES VIR CLO Ltd C-2 A/Watch Neg A
Ares VR CLO Ltd C A-/Watch Neg A-
Ares VR CLO Ltd D BB-/Watch Neg BB-
Atlantis Funding Ltd B A/Watch Neg A
Atrium V B A/Watch Neg A
Avalon Capital Ltd. 3 C Def A/Watch Neg A
Avalon Capital Ltd. 3 D Def BB+/Watch Neg BB+
Avenue CLO Fund, Ltd. A-3L A-/Watch Neg A-
Avenue CLO Fund, Ltd. B-1F BB+/Watch Neg BB+
Avenue CLO Fund, Ltd. B-1L BB+/Watch Neg BB+
Avenue CLO Fund, Ltd. B-2L BB-/Watch Neg BB-
Avenue CLO IV Ltd A AAA/Watch Neg AAA
Avenue CLO V, Ltd. A AAA/Watch Neg AAA
Avenue CLO VI, Ltd. B AA/Watch Neg AA
Berkeley Street CDO (Cayman) Ltd. A-1 AAA/Watch Neg AAA
Black Diamond International Funding Ltd 2005-A MTN AAA/Watch Neg AAA
Black Diamond International Funding Ltd Sr VFN AAA/Watch Neg AAA
BlackRock Senior Income Series II D-1 BBB-/Watch Neg BBB-
BlackRock Senior Income Series II D-2 BBB-/Watch Neg BBB-
Boston Harbor CLO 2004-1, Ltd. D BBB/Watch Neg BBB
Burr Ridge CLO Plus Ltd D BBB/Watch Neg BBB
Canaras Summit CLO Ltd D BB+/Watch Neg BB+
Canaras Summit CLO Ltd E B-/Watch Neg B-
Castle Hill II - Ingots, Ltd. Res Int BBB-/Watch Neg BBB-
CIFC Funding 2007-III, Ltd. D BB/Watch Neg BB
Clydesdale CLO 2004, Ltd. D B/Watch Neg B
Clydesdale CLO 2005, Ltd. D B+/Watch Neg B+
Clydesdale CLO 2006 Ltd D BB/Watch Neg BB
CoLTS 2005-2 Ltd C A/Watch Neg A
CoLTS 2005-2 Ltd D BBB/Watch Neg BBB
Columbus Park CDO Ltd. D BB/Watch Neg BB
Cratos CLO I Ltd E BB/Watch Neg BB
Crest 2003-1 Ltd Pref Shrs BB-/Watch Neg BB-
CSAM Funding I B-1 A-/Watch Neg A-
CSAM Funding I B-2 A-/Watch Neg A-
De Meer Middle Market CLO 2006-1, Ltd. E BB/Watch Neg BB
Del Mar CLO I Ltd D BB+/Watch Neg BB+
Del Mar CLO I Ltd E B/Watch Neg B
Denali Capital CLO V Ltd C BBB-/Watch Neg BBB-
Denali Capital CLO VII, Ltd. B-2L BB/Watch Neg BB
Dryden IX - Senior Loan Fund 2005 plc Dollar Fun BB/Watch Neg BB
Dryden IX - Senior Loan Fund 2005 plc Euro Fund BB/Watch Neg BB
Eastland CLO Ltd A-3 AA/Watch Neg AA
Eaton Vance CDO IX Ltd D BBB-/Watch Neg BBB-
Emporia Preferred Funding III Ltd E BB/Watch Neg BB
Flagship CLO V D BBB/Watch Neg BBB
Fore CLO Ltd 2007-1 D BBB-/Watch Neg BBB-
Four Corners CLO II Ltd D BBB/Watch Neg BBB
Four Corners CLO III, Ltd. E BB/Watch Neg BB
Freeport Loan Trust 2006-1 D BBB/Watch Neg BBB
Galaxy X CLO Ltd D BBB/Watch Neg BBB
Gale Force 1 CLO Ltd E BB/Watch Neg BB
Gallatin CLO II 2005-1 Ltd. B-2L BB-/Watch Neg BB-
Gallatin CLO III 2007-1 Ltd B-2L B+/Watch Neg B+
Global Leveraged Capital Credit E-1 BB/Watch Neg BB
Opportunity Fund I
Global Leveraged Capital Credit E-2 BB/Watch Neg BB
Opportunity Fund I
Goldman Sachs Asset Management CLO PLC B AA/Watch Neg AA
Goldman Sachs Asset Management CLO PLC C A/Watch Neg A
Goldman Sachs Asset Management CLO PLC D BBB-/Watch Neg BBB-
Goldman Sachs Asset Management CLO PLC E B+/Watch Neg B+
Grant Grove CLO, Ltd. D BBB/Watch Neg BBB
Grant Grove CLO, Ltd. E BB/Watch Neg BB
Greywolf CLO I Ltd B AA/Watch Neg AA
GSC Partners CDO Fund VI, Limited A-2 AAA/Watch Neg AAA
Gulf Stream-Compass CLO 2003-1, Ltd B AA/Watch Neg AA
Gulf Stream-Compass CLO 2003-1, Ltd C A/Watch Neg A
Gulf Stream-Compass CLO 2003-1, Ltd D BB+/Watch Neg BB+
Gulf Stream-Compass CLO 2003-1, Ltd E B/Watch Neg B
Gulf Stream-Compass CLO 2005-II, Ltd D BB+/Watch Neg BB+
Gulf Stream-Rashinban CLO 2006-I, Ltd. B AA/Watch Neg AA
Gulf Stream-Rashinban CLO 2006-I, Ltd. C A/Watch Neg A
Gulf Stream-Rashinban CLO 2006-I, Ltd. D BBB/Watch Neg BBB
Halcyon Loan Investors CLO I Ltd B A/Watch Neg A
Halcyon Structured Asset Management D BBB/Watch Neg BBB
Long Secured/Short Unsecured CLO
2006-1 Ltd.
Harch CLO II Limited C A-/Watch Neg A-
Harch CLO II Limited D BB-/Watch Neg BB-
Harch CLO II Limited E B-/Watch Neg B-
Highland Loan Funding V Ltd. B A-/Watch Neg A-
Hudson Straits CLO 2004, Ltd E BB/Watch Neg BB
Jasper CLO Ltd B AA/Watch Neg AA
Katonah III Inc C-1 BBB/Watch Neg BBB
Katonah III Inc C-2 BBB/Watch Neg BBB
Katonah IX CLO Ltd B-1L BB+/Watch Neg BB+
Katonah IX CLO Ltd B-2L B/Watch Neg B
Katonah V, Ltd B-1 BBB/Watch Neg BBB
Katonah V, Ltd B-2 BBB/Watch Neg BBB
Katonah V, Ltd C BB-/Watch Neg BB-
Katonah V, Ltd D CCC/Watch Neg CCC
Katonah VII CLO Ltd B AA/Watch Neg AA
Katonah VII CLO Ltd C A-/Watch Neg A-
Katonah VII CLO Ltd D BB/Watch Neg BB
Kingsland IV Ltd C A/Watch Neg A
Kingsland IV Ltd D BBB-/Watch Neg BBB-
Kingsland IV Ltd E BB-/Watch Neg BB-
Kingsland V Ltd B AA/Watch Neg AA
Kingsland V Ltd C A/Watch Neg A
KKR Financial CLO 2005-1 Ltd E BB-/Watch Neg BB-
KKR Financial CLO 2005-1 Ltd F B-/Watch Neg B-
KKR Financial CLO 2006-1 Ltd B AA/Watch Neg AA
KKR Financial CLO 2006-1 Ltd C A/Watch Neg A
KKR Financial CLO 2006-1 Ltd D BBB/Watch Neg BBB
KKR Financial CLO 2006-1 Ltd E BB/Watch Neg BB
KKR Financial CLO 2006-1 Ltd F B/Watch Neg B
KKR Financial CLO 2007-1 Ltd A AAA/Watch Neg AAA
KKR Financial CLO 2007-1 Ltd B AA/Watch Neg AA
KKR Financial CLO 2007-1 Ltd C A/Watch Neg A
KKR Financial CLO 2007-1 Ltd D BBB-/Watch Neg BBB-
KKR Financial CLO 2007-1 Ltd E BB-/Watch Neg BB-
KKR Financial CLO 2007-1 Ltd F B-/Watch Neg B-
KKR Financial CLO 2007-A Ltd C A/Watch Neg A
KKR Financial CLO 2007-A Ltd D BBB/Watch Neg BBB
KKR Financial CLO 2007-A Ltd E BB/Watch Neg BB
KKR Financial CLO 2007-A Ltd F B/Watch Neg B
Latitude CLO I Ltd A-2 AAA/Watch Neg AAA
Latitude CLO I Ltd B-1 A/Watch Neg A
Latitude CLO I Ltd B-2 A/Watch Neg A
Latitude CLO I Ltd C BBB/Watch Neg BBB
Latitude CLO I Ltd D BB-/Watch Neg BB-
LightPoint CLO VIII Ltd E BB/Watch Neg BB
Madison Park Funding VI, Ltd. D BBB/Watch Neg BBB
Marathon CLO I, Ltd. C A/Watch Neg A
Marathon Financing I, B.V. C-1 A/Watch Neg A
Marathon Financing I, B.V. MezzTermLo A/Watch Neg A
Marlborough Street CLO Ltd C A/Watch Neg A
Marquette US/European CLO, P.L.C. E-1 BB/Watch Neg BB
Marquette US/European CLO, P.L.C. E-2 BB/Watch Neg BB
Mayport CLO Ltd. B-1L BBB-/Watch Neg BBB-
Mayport CLO Ltd. B-2L B+/Watch Neg B+
MC Funding Ltd. E BB/Watch Neg BB
Mountain Capital CLO V Ltd. B1L BBB/Watch Neg BBB
Muir Grove CLO Ltd D BBB/Watch Neg BBB
Muir Grove CLO Ltd E BB/Watch Neg BB
Nautique Funding Ltd A-3 AA/Watch Neg AA
Navigator CDO 2003 Ltd C-1 BBB/Watch Neg BBB
Navigator CDO 2003 Ltd C-2 BBB/Watch Neg BBB
Navigator CDO 2004 Ltd C-1 BBB/Watch Neg BBB
Navigator CDO 2004 Ltd C-2 BBB/Watch Neg BBB
Nicholas-Applegate CBO II limited B B/Watch Neg B
Nicholas-Applegate CBO II limited C CCC/Watch Neg CCC
Nicholas-Applegate CBO II limited D CCC-/Watch Neg CCC-
Northwoods Capital IV Ltd B A/Watch Neg A
Northwoods Capital IV Ltd C-1 BB/Watch Neg BB
Northwoods Capital IV Ltd C-2 BB/Watch Neg BB
Northwoods Capital IV Ltd C-3 BB/Watch Neg BB
Oak Hill Credit Partners IV, Limited C-1 BBB-/Watch Neg BBB-
Oak Hill Credit Partners IV, Limited C-2 BBB-/Watch Neg BBB-
Oak Hill Credit Partners IV, Limited C-3 BBB-/Watch Neg BBB-
Oak Hill Credit Partners V Ltd C BBB-/Watch Neg BBB-
Osprey CDO 2006-1 Ltd B-1L BBB/Watch Neg BBB
Pacifica CDO III Ltd. A-2a AA/Watch Neg AA
Pacifica CDO III Ltd. A-2b AA/Watch Neg AA
Pacifica CDO III Ltd. B-1 A/Watch Neg A
Pacifica CDO III Ltd. B-2 A/Watch Neg A
Pacifica CDO III Ltd. C-1 BB+/Watch Neg BB+
Pacifica CDO III Ltd. C-2 BB+/Watch Neg BB+
Primus CLO II Ltd B AA/Watch Neg AA
Race Point IV CLO, Ltd. C A/Watch Neg A
Riverside Park CLO Ltd D BB/Watch Neg BB
Rockwall CDO Ltd. A-3L A/Watch Neg A
Rockwall CDO Ltd. A-4L A-/Watch Neg A-
Sandelman Finance 2006-2 Ltd D BB/Watch Neg BB
Sands Point Funding Ltd D Deferrab BBB/Watch Neg BBB
Silverado CLO 2006-I Limited D BB/Watch Neg BB
Skytop CLO Ltd. B A/Watch Neg A
Solera Anejo Limited B A/Watch Neg A
Southport CLO, Limited D B/Watch Neg B
Spring Road CLO 2007-1 Ltd E BB/Watch Neg BB
Symphony CLO I Ltd D BB/Watch Neg BB
Symphony CLO III Ltd C A/Watch Neg A
Symphony CLO V Ltd D BB/Watch Neg BB
Symphony Credit Partners III Ltd C A/Watch Neg A
TELOS CLO 2006-1 Ltd D BBB/Watch Neg BBB
Tower Hill CDO II Ltd B Type1Fun AA/Watch Neg AA
Tower Hill CDO II Ltd B Type2Fun AA/Watch Neg AA
Tower Hill CDO II Ltd B Type2Unf AA/Watch Neg AA
Trimaran CLO VII Ltd. B-2L BB/Watch Neg BB
Venture II CDO 2002, Limited B A-/Watch Neg A-
Vinacasa CLO Ltd. B A/Watch Neg A
Wasatch CLO Ltd B A/Watch Neg A
Wasatch CLO Ltd C BBB-/Watch Neg BBB-
Wasatch CLO Ltd D BB-/Watch Neg BB-
Westchester CLO Ltd B AA/Watch Neg AA
Westchester CLO Ltd C A/Watch Neg A
Westchester CLO Ltd D BB+/Watch Neg BB+
Westchester CLO Ltd E BB-/Watch Neg BB-
Westwood CDO I Ltd. C-1 BBB-/Watch Neg BBB-
Westwood CDO I Ltd. C-2 BBB-/Watch Neg BBB-
Westwood CDO I Ltd. D B/Watch Neg B
Westwood CDO II, Ltd. B AA/Watch Neg AA
WG Horizons CLO I C BBB-/Watch Neg BBB-
WG Horizons CLO I D B+/Watch Neg B+
Whitney CLO I Ltd. B-1LA BB+/Watch Neg BB+
Whitney CLO I Ltd. B-1LB BB/Watch Neg BB
Wicker Park CDO I Ltd B AA/Watch Neg AA
Wicker Park CDO I Ltd C A/Watch Neg A
Zais Investment Grade Limited V A-1 AAA/Watch Neg AAA
Zais Investment Grade Limited V A-2 AA/Watch Neg AA
*********
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 ***