/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/090705.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, July 5, 2009, Vol. 13, No. 184 Headlines AAMES MORTGAGE: Moody's Downgrades Ratings on 12 Securities ABFS MORTGAGE: Moody's Downgrades Ratings on 11 Securities ACCESS GROUP: Moody's Downgrades Ratings on Four Classes of Notes ACE SECURITIES: Moody's Downgrades Ratings on Two Securities AMERICAN AIRLINES: S&P Assigns Initial Ratings on 2009-1A Certs. AMORTIZING RESIDENTIAL: Moody's Cuts Ratings on 33 Securities BABSON MID-MARKET: Moody's Downgrades Ratings on 2007-II Notes BAC AAH: Moody's Downgrades Ratings on $100 Mil. Receipts to 'B3' BACHUS 2006-1: Moody's Downgrades Ratings on Various Classes BANC OF AMERICA: S&P Downgrades Ratings on 2005-MIB1 Certificates BANKBOSTON HOME: Moody's Downgrades Ratings on Four Securities BEAR STEARNS: Fitch Puts Ratings on 2005-PWR8 Certs. on Neg. Watch BEAR STEARNS: Moody's Downgrades Ratings on Two 2007-N7 NIMS BECKMAN COULTER: Fitch Affirms 'BB-' Rating on Class A Notes CALIFORNIA COUNTY: Fitch Affirms Ratings on Seven Classes of Bonds CALIFORNIA STATEWIDE: Fitch Affirms Ratings on 23 Bonds CAPITAL ONE: Moody's Cuts Ratings on 13 Classes of Securities CAPITAL ONE: Moody's Withdraws 'B1' Ratings on Class D Notes C-BASS MORTGAGE: Moody's Downgrades Ratings on 40 Securities CENTERLINE CAPITAL: Fitch Affirms CMBS Servicer Ratings CENTEX HOME: Moody's Downgrades Ratings on 39 Securities CHEYNE HIGH: S&P Corrects Ratings on Medium-Term Notes CITIGROUP MORTGAGE: Moody's Puts Ratings on Resecuritized Certs. CITYSCAPE HOME: Moody's Downgrades Ratings on Class A-5 Notes CNL FUNDING: Moody's Downgrades Ratings on Eight Certificates COMM 2005-FL11: S&P Downgrades Ratings on Six Classes of Certs. CONTIMORTGAGE HOME: Moody's Downgrades Ratings on 19 Securities CORPORATE BACKED: Moody's Downgrades Ratings on Certs. to 'Ba3' COUNTRYWIDE ALTERNATIVE: Moody's Cuts Ratings on Three Securities CPT ASSET-BACKED: Moody's Downgrades Ratings on Seven Securities CREDIT PROTECTION: Moody's Withdraws 'B1' Rating on Trust 283 CREDIT SUISSE: S&P Downgrades Ratings on 11 2007-TFL2 Certificates CRHMFA HOMEBUYERS: Moody's Cuts Ratings on 2006-FH-1 Bonds to Ba3 CSFB MORTGAGE: Moody's Downgrades Ratings on 93 Tranches CWCAPITAL ASSET: Fitch Takes Actions on CMBS Servicer Ratings DEUTSCHE BANK: Fitch Puts Ratings on Various Classes of Notes EQCC TRUST: Moody's Downgrades Ratings on Two 2001-1F Securities FIRST ALLIANCE: Moody's Confirms Ratings on 35 Classes of Notes FIRST HORIZON: Moody's Downgrades Ratings on Eight Classes FLAGSHIP CLO: Moody's Downgrades Ratings on Various Classes FRIEDBERGMILSTEIN PRIVATE: Moody's Cuts Ratings on Various Notes FU-BACM COMMERCIAL: Fitch Downgrades Ratings on 2001-C1 Certs. GALAXY CLO: Moody's Downgrades Ratings on Various 2003-1 Notes GECMC 2003-C2: Fitch Downgrades Ratings on Various Classes GSC PARTNERS: Moody's Downgrades Ratings on Various Classes GSR MORTGAGE: Moody's Downgrades Ratings on Seven Tranches GSR MORTGAGE: Moody's Downgrades Ratings on 280 Tranches GUAM ECONOMIC: Fitch Takes Rating Actions on Various 2007 Bonds GULF STREAM: Moody's Downgrades Ratings on Various 2007-1 Notes INDYMAC HOME: Moody's Downgrades Ratings on 27 Securities INDYMAC MORTGAGE: Moody's Cuts Ratings on Nine 2005-AR1 Tranches IXIS ABS: S&P Downgrades Ratings on Seven Classes of Notes JP MORGAN: Moody's Downgrades Ratings on 14 2007-HE1 Tranches LNR PARTNERS: Fitch Affirms CMBS Special Servicer Rating LOWER BUCKS: Moody's Reviews 'B3' Rating on $27 Mil. 1992 Bonds MASTR ADJUSTABLE: Moody's Downgrades Ratings on Eight Tranches MASTR ASSET: Moody's Downgrades Ratings on 74 Tranches MASTR ASSET: Moody's Downgrades Ratings on Two Securities MERRILL LYNCH: Moody's Downgrades Ratings on A-2A Securities MESA GLOBAL: Moody's Downgrades Ratings on Two Securities METROPOLITAN ASSET: Moody's Downgrades Ratings on Three Securities MOMENTUM CAPITAL: Moody's Downgrades Ratings on Various Notes NY COUNTIES: Fitch Affirms Ratings on Various 2005 Bonds NY COUNTIES: Fitch Upgrades Ratings on 2005 S3 Bonds From 'BB' PREFERREDPLUS TRUST: S&P Corrects Rating on $50MM Certs. to 'CCC-' PROVIDENT BANK: Moody's Downgrades Ratings on 1999-3 Trusts PRUDENTIAL ASSET: Fitch Affirms CMBS Servicer Ratings RACE POINT: Moody's Downgrades Ratings on Various Classes RALI SERIES: Moody's Junks Ratings on 2006-Q09 Trust From 'Aa3' RESIDENTIAL ASSET: Moody's Downgrades Ratings on 130 Securities ROCKLAND TOBACCO: Fitch Affirms Ratings on 2005B Bonds at 'BB+' SALOMON BROTHERS: Moody's Downgrades Ratings on Four Securities SARM 2008-1: Moody's Downgrades Ratings on Five Tranches SASCO 2007-BHC1: Fitch Puts Ratings on 17 Notes on Negative Watch SILICON VALLEY: Fitch Takes Various Rating Actions on Bonds SOUNDVIEW HOME: Moody's Downgrades Ratings on 2006-NLC1 Securities SOUTHERN PACIFIC: Moody's Downgrades Ratings on Four Securities SOVEREIGN BANK: Moody's Downgrades Ratings on Three Securities SPECIALTY UNDERWRITING: Moody's Cuts Ratings on Nine Securities SUFFOLK TOBACCO: Fitch Takes Rating Actions on Various 2008 Bonds TRALEE CDO: Moody's Downgrades Ratings on Various Classes of Notes WACHOVIA BANK: S&P Downgrades Ratings on 2004-WHALE4 Certificates WAMU MORTGAGE: Moody's Cuts Ratings on Five 2005-AR4 Tranches WELLS FARGO: Moody's Downgrades Ratings on 28 2006-2 Tranches * Moody's Takes Rating Actions on Tranches by Jumbo-Prime Loans * S&P Downgrades Ratings on 105 Tranches From 29 Hybrid CDO Deals * S&P Downgrades Ratings on Eight Classes of Mortgage Certificates * S&P Puts Ratings on 114 Classes on CreditWatch Negative ********* AAMES MORTGAGE: Moody's Downgrades Ratings on 12 Securities ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 12 securities and upgraded the ratings of 4 securities from 6 transactions issued by Aames. These actions are part of an ongoing review of subprime RMBS transactions. The rating actions are the result of an analysis of credit enhancement relative to updated collateral loss projections. The revised loss projections generally result from deterioration in collateral performance in recent months. Additionally, most affected transactions have, at some point, passed performance triggers and released portions of credit enhancement. Moody's approach to analyzing seasoned subprime pools (i.e. prior to 2H 2005) takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions, in this case ranging from 60% to 80%. The results of these two calculations --- Recent Losses and Pipeline Losses --- are weighted to arrive at the lifetime cumulative loss projection. The upgrades of the ratings of 4 securities from Aames Mortgage Investment Trust 2004-1 are a result of the current credit enhancement relative to projected losses. Credit enhancement has built as a result of the deal failing performance triggers, primarily related to principal deficient subordinate bonds. Once subordinate tranches are "principal deficient", i.e. under- collateralized, performance triggers are breached and all principal is paid sequentially. Moody's anticipates that the principal deficiency will persist for the life of the transaction, therefore sequential payments to the upgraded bonds will enable the tranches to maintain a strong credit profile. The complete rating actions: Aames Mortgage Investment Trust 2004-1 -- Cl. M3, Upgraded to Aaa; previously on 4/16/2008 Downgraded to A2 -- Cl. M4, Upgraded to Aaa; previously on 4/16/2008 Downgraded to Baa1 -- Cl. M5, Upgraded to Aa2; previously on 4/16/2008 Downgraded to Baa2 -- Cl. M6, Upgraded to A3; previously on 4/16/2008 Downgraded to Ba1 -- Cl. M9, Downgraded to C; previously on 4/16/2008 Downgraded to Caa1 Aames Mortgage Trust 2001-2 -- Cl. M-2, Downgraded to B1; previously on 11/22/2005 Downgraded to Ba2 -- Cl. B, Downgraded to C; previously on 11/22/2005 Downgraded to Ca Aames Mortgage Trust 2001-3 -- Cl. M-1, Downgraded to Baa2; previously on 7/14/2006 Downgraded to A3 -- Cl. M-2, Downgraded to Ca; previously on 5/9/2006 Downgraded to B2 Aames Mortgage Trust 2001-4 -- Cl. M-1, Downgraded to Baa2; previously on 12/21/2001 Assigned Aa2 -- Cl. M-2, Downgraded to Caa3; previously on 10/17/2007 Downgraded to Baa2 -- Cl. B, Downgraded to C; previously on 10/17/2007 Downgraded to Caa2 Aames Mortgage Trust 2002-1 -- Cl. M-1, Downgraded to Baa2; previously on 5/6/2002 Assigned Aa2 -- Cl. M-2, Downgraded to Ca; previously on 2/13/2008 Downgraded to Baa2 -- Cl. B, Downgraded to C; previously on 2/13/2008 Downgraded to Caa2 Aames Mortgage Trust 2003-1 -- Cl. M-6, Downgraded to C; previously on 12/13/2007 Downgraded to Ca ABFS MORTGAGE: Moody's Downgrades Ratings on 11 Securities ---------------------------------------------------------- Moody's Investors Service has downgraded the rating of eleven securities from seven transactions issued by ABFS Mortgage Loan Trust. These actions are part of an ongoing review of subprime RMBS transactions. Certain securities are supported by an insurance policies issued by MBIA Insurance Corporation or Ambac Assurance Corporation. 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 70% to 80%. The results of these two calculations -- Recent Losses and Pipeline Losses -- are weighted to arrive at the lifetime cumulative loss projection. The current rating on the securities is consistent with Moody's practice of rating insured securities at the higher of (1) the guarantor's insurance financial strength rating and (2) the underlying rating, based on Moody's modified approach to rating structured finance securities wrapped by financial guarantors. As part of evaluating the current rating for the securities, Moody's Investors Service also reviewed the underlying rating. The underlying rating reflects the intrinsic credit quality of the securities in the absence of the guarantee. The complete rating actions: ABFS Mortgage Loan Trust 2001-1 -- Cl. A-1, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba2 -- Current Underlying Rating: Downgraded to Caa1; previously on 7/1/2008 Published at Ba2 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) ABFS Mortgage Loan Trust 2001-2 -- Cl. A-1, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba1 -- Current Underlying Rating: Downgraded to Caa1; previously on 7/1/2008 Published at Ba1 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) ABFS Mortgage Loan Trust 2001-4 -- Cl. A, Downgraded to B3; previously on 2/18/2009 Downgraded to B1 -- Current Underlying Rating: Downgraded to Caa2; previously on 7/1/2008 Published at B1 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) ABFS Mortgage Loan Trust 2002-1 -- Cl. A-5, Current Rating; Ba3 -- Current Underlying Rating: Downgraded to Caa2; previously on 7/1/2008 Published at B3 -- Financial Guarantor: Ambac Assurance Corporation (Downgraded to Ba3, Outlook Developing 4/13/2009) ABFS Mortgage Loan Trust 2002-2 -- Cl. M-1, Downgraded to Ba1; previously on 8/6/2002 Assigned Aa2 -- Cl. M-2, Downgraded to Ca; previously on 5/23/2006 Downgraded to Baa3 -- Cl. B, Downgraded to C; previously on 9/29/2006 Downgraded to B2 ABFS Mortgage Loan Trust 2002-3 -- Cl. M-1, Aa2 Placed Under Review for Possible Downgrade; previously on 10/15/2002 Assigned Aa2 -- Cl. M-2, Downgraded to Caa2; previously on 10/15/2002 Assigned A2 -- Cl. B, Downgraded to C; previously on 5/23/2006 Downgraded to Baa3 ABFS Mortgage Loan Trust 2003-2 -- Cl. B, Downgraded to B2; previously on 1/26/2004 Assigned Baa2 ACCESS GROUP: Moody's Downgrades Ratings on Four Classes of Notes ----------------------------------------------------------------- Moody's has downgraded four classes of notes and confirmed eight classes of notes from three Access Group securitizations. The underlying collateral consists of alternative student loans that were extended primarily to graduate and professional students. The confirmation and downgrade actions conclude the review of the 12 notes initiated in the fourth quarter of 2008, as a result of the bankruptcy filing of Lehman Brothers Holdings Inc. LBHI was the interest rate hedge provider in these transactions. The actions on the 2005-A and 2005-B securitizations were driven primarily by the compression of excess spread as a result of LBHI's bankruptcy filing. Excess spread is particularly important in these transactions because it is the main source of credit enhancement. The exposure of these transactions to unhedged interest rate risk has resulted in significant excess spread compressions. Excess spread per annum has declined from a range of approximately 1.5% to 1.8% during the first half of 2008 to a range of approximately 1.1% to 1.5% for both transactions. The actions on the 2007-A securitization were driven primarily by the weakened economic environment. Moody's expects that borrowers entering repayment in this environment to face difficulties finding employment. As observed, delinquencies and gross defaults in the 2007-A transaction are both at more elevated levels compared to older securitizations. The new ratings were based on Moody's assumed loss volatility and the coverage of Moody's expected loss by available credit enhancement for each class of notes, compared to other outstanding securitizations with similar collateral characteristics and rating categories. The assumed loss volatility and expected loss take into account the uncertainties related to the current economic environment. Other qualitative factors such as structural features were also considered in evaluating the new ratings. Significant structural features include subordinate note interest and principal triggers (both of which redirect cashflow allocations to senior classes), and the change of cash flow allocations among the senior classes from pro-rata to sequential if certain events occur. The complete rating actions are: Issuer: Access Group, Inc., Private Student Loan Asset-Backed Floating Rate Notes, Series 2005-A -- Cl. 2005-A-A-1, Rating confirmed; Previously Aaa Placed on Review for Possible Downgraded on 9/17/2008 -- Cl. 2005-A-A-2, Rating confirmed; Previously Aaa Placed on Review for Possible Downgraded on 9/17/2008 -- Cl. 2005-A-A-3, Downgraded to Aa1; Previously Aaa Placed on Review for Possible Downgraded on 9/17/2008 -- Cl. 2005-A-B-1, Downgraded to B1; Previously A3 Placed on Review for Possible Downgraded on 9/17/2008 Issuer: Access Group Inc. Private Student Loan asset-Backed Floating Rate Notes, Series 2005-B -- Cl. A-1, Rating confirmed; Previously Aaa Placed on Review for Possible Downgraded on 12/19/2008 -- Cl. A-2 , Rating confirmed; Previously Aaa Placed on Review for Possible Downgraded on 12/19/2008 -- Cl. A-3, Rating confirmed; Previously Aaa Placed on Review for Possible Downgraded on 12/19/2008 -- Cl. B-1, Downgraded to Baa3; Previously A3 Placed on Review for Possible Downgraded on 12/19/2008 Issuer: Access Group, Inc. Private Student Loan Asset-Backed Floating Rate Notes, Series 2007-A -- Cl. 2007-A-A-1, Rating confirmed; Previously Aaa Placed on Review for Possible Downgraded on 9/17/2008 -- Cl. 2007-A-A-2, Rating confirmed; Previously Aaa Placed on Review for Possible Downgraded on 9/17/2008 -- Cl. 2007-A-A-3, Rating confirmed; Previously Aaa Placed on Review for Possible Downgraded on 9/17/2008 -- Cl. 2007-A-B, Downgraded to Baa1; Previously A3 Placed on Review for Possible Downgraded on 9/17/2008 ACE SECURITIES: Moody's Downgrades Ratings on Two Securities ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of the Cl. A- 2A and Cl. A-2B securities issued by ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE4. The rating actions are the result of recent deterioration relative to expected performance. The collateral backing the transaction consists primarily of first-lien, fixed and adjustable subprime residential mortgage loans. The downgrades relate to cashflowing senior bonds whose support has deteriorated in recent months, as principal payments have slowed relative to erosion of credit support provided by subordinate bonds. The downgraded bonds are at higher risk of losses in the event that they are not paid off before supporting subordinate bonds are completely written down. In the event that subordinate bonds are written down entirely, this deal has structural features that redirect principal payments pro-rata toward all senior bonds. In its analysis of these bonds, Moody's has considered the current available level of credit enhancement and updated its base cashflow assumptions for the transactions, in order to account for CDR, CPR and severity trends. Complete list of rating actions below: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- HE4 -- Cl. A-2A, Downgraded to Caa2; previously on 3/16/2009 Downgraded to Baa2 -- Cl. A-2B, Downgraded to Ca; previously on 3/16/2009 Downgraded to Caa3 AMERICAN AIRLINES: S&P Assigns Initial Ratings on 2009-1A Certs. ---------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary 'A-' rating to American Airlines Inc.'s (B-/Negative/--) series 2009-1A Class A pass-through certificates, with an expected maturity of July 2, 2019. The final legal maturity will be 18 months after the expected maturity. The issues are a drawdown under a Rule 415 shelf registration. S&P will assign final ratings on conclusion of a legal review of the documentation. "We base the preliminary 'A-' rating on American's credit quality, substantial collateral coverage by desirable aircraft, and on legal and structural protections available to the pass-through certificates," said Standard & Poor's credit analyst Betsy R. Snyder. "American will use the proceeds of the offering to acquire 16 B737-800 aircraft being delivered to American this year and next, and refinance four B777-200ER aircraft that it already owns," she continued. The notes secured by each aircraft are cross-collateralized and cross-defaulted, a provision that S&P believes increases the likelihood that American would affirm the notes (and thus continue to pay on the certificates) in bankruptcy. The outlook is negative. Although S&P expects AMR's operating performance in 2009 to be better than that of 2008, the company faces substantial debt maturities and capital spending plans in 2009. Liquidity could face pressure if operating cash flow is weaker than S&P expected, cash collateral requirements increase materially under American's credit card processing agreements or fuel hedge contracts, or if difficult credit market conditions make it impossible to arrange sufficient amounts of secured financing. S&P could lower ratings if such conditions result in unrestricted cash to consistently fall below $3 billion. AMORTIZING RESIDENTIAL: Moody's Cuts Ratings on 33 Securities ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 33 securities from 9 transactions issued by ARC. 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. Complete rating actions are: Amortizing Residential Collateral Trust 2002-BC8 -- Cl. M1, Downgraded to Baa3; previously on 8/26/2008 Downgraded to A1 -- Cl. M2, Downgraded to Caa2; previously on 8/26/2008 Downgraded to Baa2 -- Cl. M3, Downgraded to C; previously on 8/26/2008 Downgraded to Ba2 -- Cl. M4, Downgraded to C; previously on 8/26/2008 Downgraded to B3 Amortizing Residential Collateral Trust 2002-BC9 -- Cl. M1, Downgraded to Baa3; previously on 8/26/2008 Downgraded to A1 -- Cl. M2, Downgraded to Ca; previously on 8/26/2008 Downgraded to Ba2 -- Cl. M3, Downgraded to C; previously on 8/26/2008 Downgraded to Ca Amortizing Residential Collateral Trust 2004-1 -- Cl. M2, Downgraded to A2; previously on 11/29/2004 Assigned Aa3 -- Cl. M4, Downgraded to Baa2; previously on 11/29/2004 Assigned A2 -- Cl. M5, Downgraded to Baa3; previously on 11/9/2007 Downgraded to Baa2 -- Cl. M6, Downgraded to Ba3; previously on 11/9/2007 Downgraded to Baa3 -- Cl. M7, Downgraded to B3; previously on 11/9/2007 Downgraded to Ba1 -- Cl. M8, Downgraded to Ca; previously on 11/9/2007 Downgraded to B1 Amortizing Residential Collateral Trust Mortgage Pass-Through Certificates, Series 2001-BC6 -- Cl. A, Downgraded to Aa2; previously on 1/3/2002 Assigned Aaa -- Cl. A-IO, Downgraded to Aa2; previously on 1/3/2002 Assigned Aaa -- Cl. M1, Downgraded to Caa2; previously on 8/26/2008 Downgraded to Ba2 -- Cl. M2, Downgraded to C; previously on 8/26/2008 Downgraded to B3 Amortizing Residential Collateral Trust Mortgage Pass-Through Certificates, Series 2002-BC1 -- Cl. A, Downgraded to Aa3; previously on 3/22/2002 Assigned Aaa -- Cl. M-1, Downgraded to Ba1; previously on 8/26/2008 Downgraded to Baa1 -- Cl. M-2, Downgraded to B3; previously on 8/26/2008 Downgraded to B1 -- Cl. B, Downgraded to C; previously on 8/26/2008 Downgraded to B2 Amortizing Residential Collateral Trust, Series 2002-BC3 -- Cl. A, Downgraded to Aa1; previously on 6/25/2002 Assigned Aaa -- Cl. A-IO, Downgraded to Aa1; previously on 6/25/2002 Assigned Aaa -- Cl. M1, Downgraded to Baa2; previously on 8/26/2008 Downgraded to A2 Amortizing Residential Collateral Trust, Series 2002-BC4 -- Cl. M2, Downgraded to Baa2; previously on 7/25/2002 Assigned A2 -- Cl. M3, Downgraded to Ba3; previously on 9/21/2006 Downgraded to Ba1 -- Cl. B1, Downgraded to B2; previously on 9/21/2006 Downgraded to Ba2 Amortizing Residential Collateral Trust, Series 2002-BC5 -- Cl. M1, Downgraded to A1; previously on 8/9/2002 Assigned Aa2 -- Cl. M2, Downgraded to Baa3; previously on 8/9/2002 Assigned A2 -- Cl. M3, Downgraded to Ca; previously on 8/9/2002 Assigned Baa2 Amortizing Residential Collateral Trust, Series 2002-BC6 -- Cl. M1, Downgraded to Baa2; previously on 8/26/2008 Downgraded to A1 -- Cl. M2, Downgraded to B2; previously on 11/19/2007 Downgraded to Baa3 -- Cl. M3, Downgraded to C; previously on 11/19/2007 Downgraded to Caa2 BABSON MID-MARKET: Moody's Downgrades Ratings on 2007-II Notes -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Babson Mid-Market CLO Ltd. 2007- II: -- US$249,600,000 Class A-1 Senior Notes Due 2021, Downgraded to A1; previously on April 18, 2007 Assigned Aaa; -- US$40,000,000 Class A-2R Senior Revolving Notes Due 2021, Downgraded to Aa2; previously on April 18, 2007 Assigned Aaa; -- US$4,400,000 Class A-2B Senior Notes Due 2021, Downgraded to A2; previously on March 4, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$23,000,000 Class B Senior Notes Due 2021, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$5,000,000 Combination Notes Due 2021, Downgraded to B2; previously on March 4, 2009 Baa3 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$27,000,000 Class C Deferrable Mezzanine Notes Due 2021, Confirmed at Ba1; previously on March 23, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$18,750,000 Class D Deferrable Mezzanine Notes Due 2021, Confirmed at B1; previously on March 23, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$15,500,000 Class E Deferrable Mezzanine Notes Due 2021, Confirmed at Caa3; previously on March 23, 2009 Downgraded to Caa3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," the application of certain stresses with respect to the default probabilities associated with certain Moody's credit estimates, and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research (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 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, Class D, and Class E overcollateralization tests. The weighted average rating factor has steadily increased over the last year and is currently 3314 versus a test level of 3179 as of the last trustee report, dated May 11, 2009. Based on the same report, defaulted securities total about $22.4 million, accounting for roughly 5.2% of the collateral balance, and securities rated Caa1 or lower make up approximately 16.2% of the underlying portfolio. Additionally, interest payments on the Class D and Class E Notes are presently being deferred as a result of the failure of the Class C overcollateralization test. Moody's also notes that a material proportion of the collateral pool includes debt obligations whose credit quality has been assessed and approximated 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 1.5 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 0.5 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 the trustee's reported numbers. Babson Mid-Market CLO Ltd. 2007-II, issued in April of 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. BAC AAH: Moody's Downgrades Ratings on $100 Mil. Receipts to 'B3' ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its rating of $100,000,000 Money Market Preferred Stock Custodial Receipts, Bank of America Corporation, Series XVII, relating to Floating Rate Noncumulative Preferred Securities XVII issued by BAC AAH Capital Funding LLC XVII. The rating action is: Class Description: $100,000,000 Money Market Preferred Stock Custodial Receipts, Bank of America Corporation, Series XVII -- Current Rating: B3 -- Prior Rating: A3 -- Prior Rating Date: 11/25/02 The transaction is a structured note whose rating is based on the rating of the Deposited Stock as well as the legal structure of the transaction. BACHUS 2006-1: Moody's Downgrades Ratings on Various Classes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Bacchus (U.S.) 2006-1 Ltd.: -- US$252,750,000 Class A Senior Secured Floating Rate Notes Due 2019, Downgraded to Aa1; previously on 1/16/2007 Assigned Aaa -- US$18,000,000 Class B Second Priority Floating Rate Notes Due 2019, Downgraded to A2; previously on 3/4/2009 Aa2 Placed Under Review for Possible Downgrade; -- US$15,250,000 Class I Combination Notes Due 2019, Downgraded to Ba2; previously on 3/4/2009 Baa3 Placed Under Review for Possible Downgrade; -- US$15,000,000 Class II Combination Notes Due 2019, Downgraded to Ba2; previously on 3/4/2009 Baa3 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings on these notes: -- US$28,000,000 Class C Third Priority Deferrable Floating Rate Notes due 2019, Confirmed at Ba1; previously on 3/17/2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$12,750,000 Class D Fourth Priority Deferrable Floating Rate Notes due 2019, Confirmed at B3; previously on 3/17/2009 Downgraded to B3 and Placed Under Review for Possible Downgrade; -- US$12,000,000 Class E Fifth Priority Deferrable Floating Rate Notes due 2019. Confirmed at Caa3; previously on 3/17/2009 Downgraded to Caa3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured through the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and it is currently at 2679 versus a test level of 2750 as of the last trustee report, dated May 7, 2009. Based on the same report, defaulted securities total about $28 million, accounting for roughly 8.5% of the collateral balance, and securities rated Caa1 or lower make up approximately 14.7% of the underlying portfolio. Additionally, interest payments on the Class D Notes and Class E Notes are presently being deferred as a result of the failure of the Class C Overcollateralization 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. 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. 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. Bacchus (U.S.) 2006-1 Ltd., issued on December 19, 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 BANC OF AMERICA: S&P Downgrades Ratings on 2005-MIB1 Certificates ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 10 classes of commercial mortgage pass-through certificates from Banc of America Large Loan Inc.'s series 2005-MIB1 and removed them from CreditWatch with negative implications, where they were placed on April 7, 2009. Concurrently, S&P affirmed its ratings on six other classes from this transaction and removed them from CreditWatch negative. Hotel properties in New York (31%), Kissimmee, Florida (3%), and Virginia Beach, Virginia (1%) secure three loans totaling $295.6 million (36% of the pool trust balance). S&P based its hotel analysis on a review of the borrower's operating statements for the year ended Dec. 31, 2008, and its 2009 budget. S&P's analysis factored in S&P's expectations that average 2009 revenue per available room in the industry would decline 14%-16%, as S&P noted in recent article "Criteria | Corporates | General: Standard & Poor's Lowers Its 2009 And Publishes Its 2010 RevPAR Assumptions In The U.S. Lodging Industry," published April 16, 2009, on RatingsDirect. The largest hotel loan and the largest loan in the pool, the Westin New York at Times Square, has a trust balance of $232.0 million (31%) and is secured by a leasehold interest in a 45-story, 863-room, full-service hotel in Midtown Manhattan. The master servicer, Bank of America N.A., reported debt service coverage of 4.81x for the year ended Dec. 31, 2008. Standard & Poor's value for the asset has declined 18% since issuance. The loan was extended for another year in March 2009 and has two one- year extension options remaining. Five loans totaling $826.9 million (57% of the pool trust balance) are secured by retail and office properties. Two of the loans totaling $570.0 million (31% of the pool trust balance) are made up of Toys "R" Us stores. -- The only office loan in the pool, and the second-largest loan in the pool, is the USX Tower loan. The loan has a trust balance of $145.0 million and a whole-loan balance of $203.8 million that includes a subordinate $58.8 million B- note held outside of the trust. In addition, the borrower's equity interests in the property secure a $25.0 million mezzanine loan. A 64-story, 2.3 million-sq.-ft. class A office building in Pittsburgh secures this loan. The master servicer reported DSC of 1.84x for the year ended Dec. 31, 2008. Standard & Poor's value has declined by 26% since issuance due to higher operating expenses. -- The largest retail loan in the pool, the Toys "R" Us-DE portfolio, has a trust balance of $170.0 million and a whole- loan balance of $425.0 million. The whole loan is split into two pari passu pieces: a $170.0 million piece in this transaction that makes up 23% of the trust balance, and a $255.0 million piece that is included in the COMM 2005-FL11 transaction. In addition, the borrower's equity interests in the properties secure a $175.0 million mezzanine loan. A pool of 85 Toys "R" Us and Babies "R" Us stores and four distribution centers that are cross-collateralized and cross- defaulted secure the loan. The properties total 7.5 million sq. ft. and are located in 26 states. The mortgaged properties operate under a 15-year triple-net master lease. Based on current market conditions for the retail sector, Standard & Poor's assumed lower market rents and a higher market vacancy than at issuance. Based on this analysis, the resultant value is 24% below its level at issuance. The loan is currently scheduled to mature in August 2009 and has one 12-month extension option remaining. As of the June 15, 2009, remittance report, the trust collateral consisted of the senior participation interests in six floating- rate interest-only mortgage loans, two floating-rate interest-only whole mortgage loans, and two floating-rate interest-only pari passu split structure mortgage loans. All of the loans are indexed to one-month LIBOR. The pool balance has declined 40% to $737.9 million since issuance. There are currently two loans totaling $50.0 million (7%) with the special servicer, CT Investment Management Co. LLC. Details of the largest specially serviced loan in the pool are: -- The Liberty Properties loan, the fifth-largest loan in the pool, has a whole-loan balance of $52.7 million that is split into a $40.2 million senior pooled component (5%) and a $12.5 million subordinate note held outside of the trust. In addition, the borrower's equity interests in the properties secure a $20.1 million mezzanine loan. A 54,700-sq.-ft. suburban office building, a 319,200-sq.-ft. industrial/office building, and three industrial/warehouse buildings totaling 1.1 million sq. ft. in Worcester and Dedham, Massachusetts, secure the loan. The loan was transferred to the special servicer on March 20, 2009, and has been in default on the mezzanine loan since mid-2008. Some of the properties are also in need of physical repair, and CTIMCO is working on a modification that will enable the borrower to make the necessary repairs. Standard & Poor's value for the assets has declined 29% since issuance due primarily to the lower occupancy at the properties. All but three of the loans mature in the next three months. Two of the loans, the La Cumbre Plaza loan and the Radisson Resort Parkway loan, have final maturity dates in the next three months. If the performance of the collateral properties or their related property sectors deteriorate further from S&P's expectations, S&P may revise S&P's analysis and adjust its ratings accordingly. Ratings Lowered And Removed From Creditwatch Negative Banc of America Large Loan Inc. Commercial mortgage pass-through certificates series 2005-MIB1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- B AA AAA/Watch Neg 38.94 C A- AAA/Watch Neg 32.01 D BBB AA+/Watch Neg 27.90 E BBB- AA/Watch Neg 23.79 F BB+ A+/Watch Neg 19.68 G BB A/Watch Neg 15.58 H BB- BBB+/Watch Neg 12.14 J B+ BBB/Watch Neg 8.25 K CCC+ BBB-/Watch Neg 4.07 L CCC- BB/Watch Neg 0.00 Ratings Affirmed And Removed From Creditwatch Negative Banc of America Large Loan Inc. Commercial mortgage pass-through certificates series 2005-MIB1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-1 AAA AAA/Watch Neg 75.23 A-2 AAA AAA/Watch Neg 44.78 X-1B AAA AAA/Watch Neg N/A X-2 AAA AAA/Watch Neg N/A X-3 AAA AAA/Watch Neg N/A X-5 AAA AAA/Watch Neg N/A N/A - Not applicable. BANKBOSTON HOME: Moody's Downgrades Ratings on Four Securities -------------------------------------------------------------- Moody's Investors Service has downgraded the rating of four securities from two transactions issued by BankBoston Home Equity Loan Trust. These actions are part of an ongoing review of subprime RMBS transactions. The securities are supported by an insurance policy issued by MBIA Insurance Corporation. 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 80%. The results of these two calculations -- Recent Losses and Pipeline Losses -- are weighted to arrive at the lifetime cumulative loss projection. The current rating on the securities is consistent with Moody's practice of rating insured securities at the higher of (1) the guarantor's insurance financial strength rating and (2) the underlying rating, based on Moody's modified approach to rating structured finance securities wrapped by financial guarantors. As part of evaluating the current rating for the securities, Moody's Investors Service also reviewed the underlying rating. The underlying rating reflects the intrinsic credit quality of the securities in the absence of the guarantee. The complete rating actions: Issuer: BankBoston Home Equity Loan Trust 1998-1 -- A-5, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba3 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/209) -- A-6, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba3 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/209) Issuer: BankBoston Home Equity Loan Trust 1998-2 -- A-6, Downgraded to Baa2; previously on 11/16/2008 Upgraded to Aa2 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/209) -- A-7, Downgraded to Baa2; previously on 11/16/2008 Upgraded to Aa2 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/209) BEAR STEARNS: Fitch Puts Ratings on 2005-PWR8 Certs. on Neg. Watch ------------------------------------------------------------------ Fitch Ratings places on Rating Watch Negative these classes of Bear Stearns Commercial Mortgage Securities Inc.'s commercial mortgage pass-through certificates, series 2005-PWR8: -- $37.5 million class B 'AA'; -- $17.7 million class C 'AA-'; -- $26.5 million class D 'A'; -- $17.7 million class E 'A-'; -- $19.9 million class F 'BBB'; -- $15.4 million class G 'BBB-'; -- $17.7 million class H 'BB'; -- $8.8 million class J 'B+'; -- $4.4 million class K 'B'; -- $6.6 million class L 'B-'; -- $6.6 million class M 'B-'; -- $2.2 million class N 'CCC/RR1'; -- $4.4 million class P 'CCC/RR2'. In addition, Fitch revises the Rating Outlook on this class: -- $150 million class A-J 'AAA'; Outlook to Negative from Stable. The rating actions reflect the transfer of two loans (2.2%) to special servicing subsequent to the previous Fitch rating action. Including the recent transfers, there are currently five specially serviced loans (3.7%). One additional loan (0.1%) was 30 days delinquent as of the June remittance. The largest specially serviced loan, Kaleidoscope Center (2%), transferred June 25, 2009 due to imminent default. The loan is secured by a 219,009 square foot anchored retail center located in Mission Viejo, California. As of year-end 2008, the servicer- reported debt service coverage ratio was 1.09 times (x). At that time, the reported occupancy was at 78%, compared to 85.5% at issuance. A servicer report indicates the borrower has stated that occupancy has since dropped to 60%, primarily due to the vacancy of two major tenants, representing a combined 24.6% of the space, which vacated prior to their respective lease expirations. There are reportedly prospects for some of the vacant space. Five leases corresponding to approximately 10.7% of the property's net rentable area are scheduled to expire in 2009, or are month-to- month. The second largest specially serviced loan (0.9%) transferred Feb. 11, 2009, and is secured by a 145,803 sf retail property located in West Chester, Ohio. The most recent reported occupancy was 54.1% as of March 1, 2009, compared to 93% at issuance. The servicer-reported DSCR was 0.63x for year-end 2008. The borrower is expected to submit an updated proposal in June. Two of the specially serviced loans (0.6%) transferred Nov. 12, 2008 due to a technical default, when the tenant-in-common sponsor and master lessee of each respective loan, DBSI, filed for Chapter 11 bankruptcy protection. Both of the assets have been released from bankruptcy, and in each case, there is a settlement agreement releasing the reserve accounts that were being claimed as assets of the bankruptcy estate. Through third-quarter 2008, the larger of the two DBSI loans had a servicer-reported DSCR of 2.04x, while the smaller had coverage of 1.99x; the most recent reported occupancies stood at 91% and 92%, respectively. It is expected that once the bankruptcy amounts due are reconciled, the loan documents will be updated to reflect the new master tenants. The smallest specially serviced loan (0.2%) transferred May 8, 2009, due to monetary default. The loan is secured by a 47,402 sf industrial property located in Bonita Springs, Florida. As of year-end 2008, the occupancy had dropped to 74% from 94%, and the reported DSCR had declined to 0.88x. Fitch expects to resolve the Negative Watch status of these classes as additional information on the potential workout and valuation of the recently transferred loans becomes available. BEAR STEARNS: Moody's Downgrades Ratings on Two 2007-N7 NIMS ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of two net interest margin securities backed by residential mortgage-backed securitizations issued by Bear Stearns Structured Products Inc. NIM Trust 2007-N7. This NIM transaction relies on residual cash flows and prepayment penalties generated by the underlying mortgage-backed securitizations. These 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 with respect to this review 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 and iii) collections of prepayment penalties. 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. Complete rating action follows: Issuer: Bear Stearns Structured Products Inc. NIM Trust 2007-N7 Notes, Series 2007-N7-II -- Cl. II-A-3, Downgraded to C; previously on 4/15/2009 Ba2 Placed Under Review for Possible Downgrade Issuer: Bear Stearns Structured Products Inc. NIM Trust 2007-N7-IV -- Cl. IV-A-3, Downgraded to C; previously on 4/15/2009 Ba2 Placed Under Review for Possible Downgrade BECKMAN COULTER: Fitch Affirms 'BB-' Rating on Class A Notes ------------------------------------------------------------ Fitch Ratings affirms and assigns a Rating Outlook to this class of the Beckman Coulter, Inc., series BC 2000-A: -- $106.7 million class A at 'BB-'; Outlook Stable. The affirmations are the result of stable performance since Fitch's last rating action. The Rating Outlook reflects the likely rating changes over the next one to two years. The loans are secured by two of Beckman Coulter's office/research and development facilities, located in Brea, California and Miami, Florida. The buildings are 100% occupied by Beckman Coulter, which currently has an investment grade credit rating of 'BBB' with a Stable Outlook. Each property is subject to a NNN lease in which the tenant is obligated to make at a rate reflecting an amount equal to the loan's principal and interest payments, until the loan's maturity date of June 30, 2018 at which time there will be a balloon balance of approximately $53.1 million. The property located in Miami is currently being specially serviced due to on-going litigation regarding the tenant's failure to pay sales taxes on rent. Beckman Coulter, the tenant, has requested a hearing with the Florida Department of Revenue to dispute the legitimacy of the sales tax charges and the borrower has initiated a legal action against Beckman Coulter for its failure to pay the sales taxes. Currently, a court date has been scheduled for September 2009. Beckman Coulter has escrowed funds to pay the obligations to the State should they not be successful in winning the suit. The loan remains current on its interest and principal payments required under the loan. As part of its analysis, Fitch took the current in place rents and applied market vacancies, management fees and capital expenditure assumptions in order to derive a normalized operating cash flow for the properties. The resulting stressed debt service coverage ratio, based upon Fitch's stressed cash flow and a debt constant of 9.66% is 1.36 times. CALIFORNIA COUNTY: Fitch Affirms Ratings on Seven Classes of Bonds ------------------------------------------------------------------ Fitch Ratings affirms seven classes of tobacco settlement asset- backed bonds from California County Tobacco Securitization Agency (Los Angeles County Tobacco Asset Securitization Authority) series 2006: 2006A Senior Convertible Capital Appreciation Turbo Term Bonds -- $69,743,134 due June 1, 2021 at 'BBB+'; Outlook Stable; -- $53,944,662 due June 1, 2028 at 'BBB+'; Outlook Stable; -- $72,654,379 due June 1, 2036 at 'BBB+'; Outlook Stable; -- $62,180,171 due June 1, 2041 at 'BBB+'; Outlook Stable; -- $84,524,254 due June 1, 2046 at 'BBB+'; Outlook Stable. Capital Appreciation Bonds -- 2006B at 'BBB'; Outlook Stable; -- 2006C at 'BB+'; Outlook Positive. 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. Although the delinked rating of the 2021 turbo bond suggested by the model is 'A-', the bond is being affirmed at the cap rating of 'BBB+' with a Stable Outlook. The 2028 through 2046 turbo bonds are being affirmed at 'BBB+' with a Stable Outlook which is consistent with the model output. The 2006B capital appreciation bond is being affirmed at 'BBB' with a Stable Outlook which is consistent with the model output. The 2006C CAB is being affirmed at 'BB+' 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. California County Tobacco Securitization Agency (Los Angeles 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 STATEWIDE: Fitch Affirms Ratings on 23 Bonds ------------------------------------------------------- Fitch Ratings affirms 23 and downgrades two classes from California Statewide Financing Authority series 2002 and 2006: Tobacco settlement asset-backed bonds current interest serial bonds: -- $820,000 due June 1, 2010 affirmed at 'BBB+', Outlook Stable; -- $810,000 due June 1, 2010 affirmed at 'BBB+', Outlook Stable; -- $785,000 due June 1, 2011 affirmed at 'BBB+', Outlook Stable; -- $775,000 due June 1, 2011 affirmed at 'BBB+', Outlook Stable; -- $1,040,000 due June 1, 2012 affirmed at 'BBB+', Outlook Stable; -- $1,030,000 due June 1, 2012 affirmed at 'BBB+', Outlook Stable; -- $1,020,000 due June 1, 2013 affirmed at 'BBB+', Outlook Stable; -- $1,010,000 due June 1, 2013 affirmed at 'BBB+', Outlook Stable; -- $955,000 due June 1, 2014 affirmed at 'BBB+', Outlook Stable; -- $945,000 due June 1, 2014 affirmed at 'BBB+', Outlook Stable; -- $935,000 due June 1, 2015 affirmed at 'BBB+', Outlook Stable; -- $925,000 due June 1, 2015 affirmed at 'BBB+', Outlook Stable; -- $930,000 due June 1, 2016 affirmed at 'BBB+', Outlook Stable; -- $920,000 due June 1, 2016 affirmed at 'BBB+', Outlook Stable; -- $930,000 due June 1, 2017 affirmed at 'BBB+', Outlook Stable; -- $920,000 due June 1, 2017 affirmed at 'BBB+', Outlook Stable; Tobacco settlement asset-backed bonds current interest turbo term bonds: -- $28,045,000 due June 1, 2029 affirmed at 'BBB+', Outlook Stable; -- $27,765,000 due June 1, 2029 affirmed at 'BBB+', Outlook Stable; -- $27,540,000 due June 1, 2037 affirmed at 'BBB+', Outlook Stable; -- $27,265,000 due June 1, 2037 affirmed at 'BBB+', Outlook Stable; -- $33,095,000 due June 1, 2043 affirmed at 'BBB+', Outlook Stable; -- $32,765,000 due June 1, 2043 affirmed at 'BBB+', Outlook Stable; Tobacco settlement asset-backed bonds capital appreciation bonds: -- 2006A downgraded to 'BBB-' from 'BBB', Outlook Stable; -- 2006B affirmed at 'BBB-', Outlook Negative; -- 2006C downgraded to 'BB' from '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 suggested by the model are 'A' or higher, the bonds are being affirmed at the cap rating of 'BBB+' with Outlook Stable. The turbo bonds are being affirmed at a level consistent with the model output at 'BBB+' with Outlook Stable. The 2006A capital appreciation bonds is being downgraded from 'BBB' to 'BBB-' with Outlook Stable based on the model and other qualitative factors. The 2006B CAB is being affirmed at 'BBB-' and the 2006C CAB is being downgraded from 'BB+' to 'BB'. In the case the 2006B and 2006C CABs, the model output suggests that the bonds are under pressure, with breakeven levels indicative of lower ratings. Therefore, the bonds are being placed on Outlook Negative because of the possibility of the bonds being downgraded depending on the amount of future MSA payments received. California Statewide Financing 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. CAPITAL ONE: Moody's Cuts Ratings on 13 Classes of Securities ------------------------------------------------------------- Moody's Investors Service downgraded the ratings on 13 classes of Class C and D subordinate asset-backed securities issued out of the Capital One Multi-asset Execution Trust. These securities are backed by a $47.5 billion revolving pool of consumer and small business bank credit card receivables originated by Capital One Bank (USA), N.A. These rating actions conclude the review initiated on April 20, 2009. Rationale These rating actions are primarily driven by an increase in the Trust charge-off rate and decrease in the principal payment rate over the past year. Moody's expect these key metrics will remain weak as the consumer macroeconomic environment undergoes further deterioration. In May, the three-month average gross charge-off rate for the Trust averaged 10.1% in 2009, compared to 7.6% for the same period in 2008. Despite some modest improvement in charge-offs in April and May and some seasonal improvements in delinquency trends, Moody's expect the Trust charge-off rate will resume its upward trajectory as the year progresses, possibly rising to as high as 12.5% by the second quarter of 2010 in Moody's base case. The Trust principal payment rate has fallen to 15.4% on a three- month average basis in May, compared to 17.7% over the same period last year. This decline is consistent with industry-wide principal payment rates that have fallen steadily since peaking in 2006, reflecting consumers' strained financial resources. The principal payment rate is a measure of cardholders' willingness and ability to repay their credit card balances. It is also a measure of the speed by which securitized investors will be repaid if an amortization event is triggered. Therefore, a pronounced and sustained drop in this rate may have negative consequences for securitized noteholders. The Class C and Class D subordinate notes may benefit from a spread account that can provide additional credit protection. However, the benefit afforded by this structural feature can be ephemeral since improvement in excess spread -- even if temporary -- would allow for the release of any accumulated amounts. For this reason, Moody's ascribe a low value to this form of credit protection. In April 2009, Moody's revised its expectations for key performance metrics of the Trust. The current expected range of performance for the gross charge-off rate is 9.5%-12.5%, for the principal payment rate is 13%-16%, and for the yield is 20%-23%. The Class C(2004-4) Notes with a scheduled maturity of August 2009 are not included in the downgrade, and are confirmed at Baa2. The complete rating actions are: Issuer: Capital One Multi-asset Execution Trust Ratings Confirmed -- $150,000,000 Class C(2004-4) Floating Rate Asset-backed Notes, confirmed at Baa2, previously on April 20, 2009 Placed on Review for Possible Downgrade Ratings Downgraded -- $250,000,000 Class C(2003-3) Floating Rate Asset-backed Notes, downgraded to Ba1 from Baa2, previously on April 20, 2009 Placed on Review for Possible Downgrade -- $250,000,000 Class C(2003-4) Fixed Rate Asset-backed Notes, downgraded to Ba1 from Baa2, previously on April 20, 2009 Placed on Review for Possible Downgrade -- $100,000,000 Class C(2004-2) Floating Rate Asset-backed Notes, downgraded to Ba1 from Baa2, previously on April 20, 2009 Placed on Review for Possible Downgrade -- $367,500,000 Class C(2004-3) Fixed Rate Asset-backed Notes, downgraded to Ba1 from Baa2, previously on April 20, 2009 Placed on Review for Possible Downgrade -- $175,000,000 Class C(2005-1) Floating Rate Asset-backed Notes, downgraded to Ba1 from Baa2, previously on April 20, 2009 Placed on Review for Possible Downgrade -- $175,000,000 Class C(2006-1) Floating Rate Asset-backed Notes, downgraded to Ba1 from Baa2, previously on April 20, 2009 Placed on Review for Possible Downgrade -- $100,000,000 Class C(2006-2) Floating Rate Asset-backed Notes, downgraded to Ba1 from Baa2, previously on April 20, 2009 Placed on Review for Possible Downgrade -- $125,000,000 Class C(2006-3) Floating Rate Asset-backed Notes, downgraded to Ba1 from Baa2, previously on April 20, 2009 Placed on Review for Possible Downgrade -- $300,000,000 Class C(2007-1) Floating Rate Asset-backed Notes, downgraded to Ba1 from Baa2, previously on April 20, 2009 Placed on Review for Possible Downgrade -- $250,000,000 Class C(2007-2) Floating Rate Asset-backed Notes, downgraded to Ba1 from Baa2, previously on April 20, 2009 Placed on Review for Possible Downgrade -- $125,000,000 Class C(2007-3) Floating Rate Asset-backed Notes, downgraded to Ba1 from Baa2, previously on April 20, 2009 Placed on Review for Possible Downgrade -- $350,000,000 Class C(2007-4) Floating Rate Asset-backed Notes, downgraded to Ba1 from Baa2, previously on April 20, 2009 Placed on Review for Possible Downgrade Approximately $335,000,000 Class D(2002-1) Asset Backed Notes, downgraded to B1 from Ba2, previously on April 20, 2009 Placed on Review for Possible Downgrade Capital One Financial Corporation (Baa1, negative outlook) headquartered in McLean, Virginia, is a bank holding company and the fifth largest U.S. bank credit card issuer. Capital One reported over $210 billion in managed assets (including securitized receivables) at December 31, 2008. Capital One Bank (USA), N.A., is a wholly owned subsidiary of Capital One. CAPITAL ONE: Moody's Withdraws 'B1' Ratings on Class D Notes ------------------------------------------------------------ Moody's Investors Service has withdrawn the ratings on the Class D(2002-1) asset-backed securities issued out of the Capital One Multi-asset Execution Trust. These securities are backed by a $47.5 billion revolving pool of consumer and small business bank credit card receivables originated by Capital One Bank (USA), N.A. Moody's has withdrawn the ratings of these notes for business reasons. The last rating action concerning these notes was taken on July 1, 2009, when Moody's downgraded the COMET Class D(2002-1) notes to B1 from Ba2. C-BASS MORTGAGE: Moody's Downgrades Ratings on 40 Securities ------------------------------------------------------------ Moody's Investors Service has downgraded the rating of 40 securities and upgraded the ratings of 4 securities from 12 transactions issued by C-BASS 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 ranging from 70% to 80%. The results of these two calculations -- Recent Losses and Pipeline Losses -- are weighted to arrive at the lifetime cumulative loss projection. The upgrades of the ratings of 4 securities are based upon non- declining credit support due to cumulative losses exceeding their triggers, requiring all future payments to be paid to the most senior outstanding bond. The complete rating actions: C-Bass Mortgage Loan Asset-Backed Certificates, Series 2001-CB3 -- Cl. M-1, Upgraded to Aaa; previously on 9/27/2001 Assigned Aa2 -- Cl. M-2, Upgraded to Aa2; previously on 9/27/2001 Assigned A2 -- Cl. B-2, Downgraded to Caa3; previously on 1/13/2006 Downgraded to B1 C-Bass Mortgage Loan Asset Backed Notes, Series 2001-CB4 -- Cl. IM-1, Downgraded to A1; previously on 1/4/2002 Assigned Aa2 -- Cl. IM-2, Downgraded to A3; previously on 1/4/2002 Assigned A2 C-BASS Mortgage Loan Asset-Backed Certificates, Series 2002-CB1 -- Cl. M-2, Upgraded to Aaa; previously on 3/23/2009 Upgraded to Aa2 -- Cl. B-1, Upgraded to A2; previously on 3/23/2009 Upgraded to Baa1 -- Cl. B-2, Downgraded to Ca; previously on 3/23/2009 Downgraded to Caa2 C-BASS 2002-CB5 Trust -- Cl. M-1, Downgraded to A1; previously on 12/19/2002 Assigned Aa2 -- Cl. M-2, Downgraded to Baa3; previously on 12/19/2002 Assigned A2 -- Cl. B-1, Downgraded to Ca; previously on 5/5/2006 Downgraded to Ba2 -- Cl. B-2, Downgraded to C; previously on 8/14/2006 Downgraded to B1 -- Cl. B-3, Downgraded to C; previously on 8/14/2006 Downgraded to B3 C-BASS 2002-CB6 Trust -- Cl. M-2F, Downgraded to Baa1; previously on 1/24/2003 Assigned A2 -- Cl. B-1, Downgraded to B3; previously on 1/24/2003 Assigned Baa2 -- Cl. B-2, Downgraded to C; previously on 6/12/2007 Downgraded to Ba2 -- Cl. B-3, Downgraded to C; previously on 6/12/2007 Downgraded to Caa2 C-BASS 2003-CB2 Trust -- Cl. M-1, Downgraded to Aa2; previously on 12/1/2006 Upgraded to Aaa -- Cl. M-2, Downgraded to A3; previously on 12/1/2006 Upgraded to Aa2 -- Cl. B-1, Downgraded to Baa3; previously on 12/1/2006 Upgraded to A3 -- Cl. B-2, Downgraded to Ba3; previously on 6/25/2003 Assigned Baa3 C-BASS 2003-CB3 Trust -- Cl. M-1, Downgraded to Aa3; previously on 12/1/2006 Upgraded to Aaa -- Cl. M-2, Downgraded to Baa1; previously on 12/1/2006 Upgraded to Aaa -- Cl. B-1, Downgraded to Baa3; previously on 12/1/2006 Upgraded to Aa3 -- Cl. B-2, Downgraded to Ba2; previously on 12/1/2006 Upgraded to A1 C-BASS 2003-CB4 Trust -- Cl. M-1, Downgraded to Aa2; previously on 12/1/2006 Upgraded to Aaa -- Cl. M-2, Downgraded to Baa2; previously on 9/29/2003 Assigned A2 -- Cl. B-1, Downgraded to Baa3; previously on 9/29/2003 Assigned Baa1 -- Cl. B-2, Downgraded to Ba2; previously on 9/29/2003 Assigned Baa2 C-BASS Series 2003-CB5, C-Bass Mortgage Loan Asset-Backed Certificates -- Cl. M-2, Downgraded to A1; previously on 12/1/2006 Upgraded to Aa2 -- Cl. M-3, Downgraded to A3; previously on 12/1/2006 Upgraded to A1 -- Cl. B-1, Downgraded to Baa1; previously on 12/1/2006 Upgraded to A3 C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB1 -- Cl. M-2, Downgraded to A2; previously on 11/9/2007 Upgraded to Aa3 -- Cl. M-3, Downgraded to A3; previously on 11/9/2007 Upgraded to A1 C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB2 -- M-2, Downgraded to A1; previously on 11/9/2007 Upgraded to Aa2 -- M-3, Downgraded to A3; previously on 11/9/2007 Upgraded to A1 -- B-1, Downgraded to Baa1; previously on 11/9/2007 Upgraded to A2 C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB4 -- Cl. M-1, Downgraded to Aa3; previously on 11/9/2007 Upgraded to Aaa -- Cl. M-2, Downgraded to A3; previously on 11/9/2007 Upgraded to Aa2 -- Cl. M-3, Downgraded to Baa1; previously on 11/9/2007 Upgraded to Aa3 -- Cl. B-1, Downgraded to Baa2; previously on 11/9/2007 Upgraded to A1 -- Cl. B-2, Downgraded to Baa3; previously on 11/9/2007 Upgraded to A2 -- Cl. B-3, Downgraded to Ba3; previously on 8/16/2004 Assigned Baa3 -- Cl. B-4, Downgraded to Caa3; previously on 8/16/2004 Assigned Ba1 CENTERLINE CAPITAL: Fitch Affirms CMBS Servicer Ratings ------------------------------------------------------- Fitch Ratings has affirmed and removed Centerline Capital Group's CMBS servicer ratings from Rating Watch Negative: -- Primary servicer at 'CPS2-'; -- Special servicer at 'CSS1-'. The primary servicer rating reflects Centerline's proven ability to service performing commercial real estate loans in CMBS transactions. The special servicer affirmation is based on Centerline's demonstrated ability to resolve defaulted assets with minimal losses to the trust in a timely fashion. The rating also reflects Centerline's strong commitment to technology. Both ratings consider Centerline's highly experienced management and staff. Fitch is closely monitoring the company's financial condition through conversations with the Centerline CFO and reviewing the most current financial statements. Like all CMBS special servicers Centerline is facing the challenge of a rapidly growing portfolio of specially serviced loans so Fitch is also carefully monitoring the company's efforts to manage growth and continue to provide the level of service the CMBS market expects. As of March 31, 2009, Centerline was named special servicer on 81 CMBS transactions totaling $112 billion and was specially servicing 242 assets, totaling $2.7 billion. As of the same date, Centerline was primary servicer for 139 loans in eight CMBS transactions totaling $1.4 billion. CENTEX HOME: Moody's Downgrades Ratings on 39 Securities -------------------------------------------------------- Moody's Investors Service has downgraded the rating of 39 securities from 9 transactions issued by Centex. 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 65% 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: Centex Home Equity Co (CHEC) Loan Tr 2004-1 -- Cl. M-4, Downgraded to A3; previously on 9/29/2004 Assigned A1 -- Cl. M-5, Downgraded to Baa1; previously on 9/29/2004 Assigned A2 -- Cl. M-6, Downgraded to Baa2; previously on 9/29/2004 Assigned A3 -- Cl. M-7, Downgraded to Baa3; previously on 9/29/2004 Assigned Baa1 -- Cl. M-8, Downgraded to Ba1; previously on 9/29/2004 Assigned Baa2 -- Cl. M-9, Downgraded to Ba2; previously on 11/7/2007 Downgraded to Ba1 -- Cl. B-1, Downgraded to B2; previously on 11/7/2007 Downgraded to B1 -- Cl. B-2, Downgraded to Ca; previously on 11/7/2007 Downgraded to B3 Centex Home Equity Loan Trust 2002-A -- Cl. MF-1, Downgraded to A1; previously on 1/29/2002 Assigned Aa2 -- Cl. MF-2, Downgraded to Baa3; previously on 1/29/2002 Assigned A2 -- Cl. MV-1, Downgraded to Baa2; previously on 1/29/2002 Assigned Aa2 -- Cl. MV-2, Downgraded to B1; previously on 1/29/2002 Assigned A2 -- Cl. BF, Downgraded to Caa2; previously on 1/29/2002 Assigned Baa2 -- Cl. BV, Downgraded to C; previously on 11/9/2006 Downgraded to B1 Centex Home Equity Loan Trust 2002-C -- Cl. M-2, Downgraded to Baa2; previously on 8/23/2002 Assigned A2 -- Cl. B-1, Downgraded to Caa3; previously on 2/12/2007 Downgraded to Baa3 -- Cl. B-2, Downgraded to C; previously on 11/9/2006 Downgraded to B1 Centex Home Equity Loan Trust 2002-D -- Cl. B, Downgraded to Caa3; previously on 9/11/2007 Downgraded to B3 Centex Home Equity Loan Trust 2003-A -- Cl. M-3, Downgraded to Baa3; previously on 3/31/2003 Assigned Baa1 -- Cl. B, Downgraded to Ba1; previously on 3/31/2003 Assigned Baa2 Centex Home Equity Loan Trust 2003-B -- Cl. M-2, Downgraded to Baa2; previously on 7/31/2003 Assigned A2 -- Cl. M-3, Downgraded to Ba1; previously on 7/31/2003 Assigned Baa1 -- Cl. B, Downgraded to B3; previously on 7/31/2003 Assigned Baa2 Centex Home Equity Loan Trust 2004-B -- Cl. M-4, Downgraded to A3; previously on 5/19/2004 Assigned A1 -- Cl. M-5, Downgraded to Baa1; previously on 5/19/2004 Assigned A2 -- Cl. M-6, Downgraded to Baa3; previously on 5/19/2004 Assigned A3 -- Cl. M-7, Downgraded to Ba2; previously on 5/19/2004 Assigned Baa1 -- Cl. B, Downgraded to Caa3; previously on 5/19/2004 Assigned Baa2 Centex Home Equity Loan Trust 2004-C -- Cl. M-4, Downgraded to A3; previously on 8/9/2004 Assigned A1 -- Cl. M-5, Downgraded to Baa1; previously on 8/9/2004 Assigned A2 -- Cl. M-6, Downgraded to Baa3; previously on 8/9/2004 Assigned A3 -- Cl. M-7, Downgraded to Ba2; previously on 8/9/2004 Assigned Baa1 -- Cl. B, Downgraded to Caa1; previously on 8/9/2004 Assigned Baa2 Centex Home Equity Loan Trust 2004-D -- Cl. MV-2, Downgraded to Baa2; previously on 10/26/2004 Assigned Aa3 -- Cl. MV-3, Downgraded to Baa3; previously on 10/26/2004 Assigned A1 -- Cl. MV-4, Downgraded to Ba1; previously on 10/26/2004 Assigned A2 -- Cl. MV-5, Downgraded to Ba2; previously on 10/26/2004 Assigned A3 -- Cl. MV-6, Downgraded to B1; previously on 10/26/2004 Assigned Baa1 -- Cl. BV, Downgraded to Caa3; previously on 10/26/2004 Assigned Baa2 CHEYNE HIGH: S&P Corrects Ratings on Medium-Term Notes ------------------------------------------------------ Standard & Poor's Ratings Services corrected its rating on the medium-term notes issued by Cheyne High Grade ABS CDO I Ltd., a cash flow high-grade structured finance collateralized debt obligation, by placing it on CreditWatch with negative implications. S&P also corrected the ratings on the money-market note from this transaction by lowering the long-term rating to 'B' and raising the short-term rating to 'A-1+'. Wachovia Bank N.A. ('A-1+') acts as the put provider for this transaction. S&P inadvertently removed the rating on the MT notes from CreditWatch negative on June 10, 2009, when S&P lowered the ratings on CDO tranches from other transactions. The MM note carries both a short-term rating (tied to the put provider's short term rating) and a long-term rating (based on the credit support of the transaction). S&P lowered the long-term rating on the MM notes and left it on CreditWatch negative to match the 'B/Watch Neg' rating on the long-term notes (class A- 1LT), which S&P downgraded on June 10, 2009. S&P inadvertently did not lower the rating on the MM note in connection with the June 10, 2009, rating actions. S&P is also correcting the short- term rating on the MM note to 'A-1+' to reflect the short-term rating on Wachovia Bank. Ratings Corrected Cheyne High Grade ABS CDO I Ltd. Rating ------ Class To From ----- -- ---- A-1MT-e AA+/Watch Neg AA+ A-1MM-h B/A-1+/Watch Neg A/A-1/Watch Neg CITIGROUP MORTGAGE: Moody's Puts Ratings on Resecuritized Certs. ---------------------------------------------------------------- Moody's Investors Service has assigned the below-mentioned ratings to the Certificates as the "Resecuritized Certificates" issued in connection with Citigroup Mortgage Loan Trust 2009-6 as the "Resecuritized Transaction". Class 7A1 is a Senior, Sequential, Pass-through bond backed by Class 3-A-22 as the "Underlying Certificate 1" issued by Morgan Stanley Mortgage Loan Trust 2007-12 Mortgage Pass-Through Certificates, Series 2007-12 as the "Underlying Transaction1". The Underlying Certificate1 is backed by first-lien, fixed-rate, prime residential mortgage loans. Moody's did not initially rate the Underlying Transaction1 but as a part of its analysis of the Underlying Certificate1 it estimates losses on the Underlying Transaction1 to be between 13% and 15%. Classes 13A1 and 13A2 are backed by Class A-3A (the "Underlying Certificate2") issued by Citigroup Mortgage Loan Trust 2007-AMC2 Asset-Backed Pass-Through Certificates, Series 2007-AMC2. The Underlying Certificate2 is backed primarily by first -lien, adjustable-rate, subprime residential mortgage loans. Class 13A1 is a senior class whereas Class 13A2 is a subordinate class which receives principal payment after Class 13A1 but absorbs losses before Class 13A1. Additionally, Class 13A2 is an "accrual certificate," i.e. it accrues the interest that would have been paid to it. Cashflows generated due to such accrual of interest on Class 13A2 is used to pay down Class 13A1 certificate. Classes 18A1 and 18A2 are backed by Class A-2A (the "Underlying Certificate3") issued by Securitized Asset Backed Receivables LLC Trust 2007-BR3 Mortgage Pass-Through Certificates, Series 2007- BR3. The Underlying Certificate3 is backed primarily by first - lien, adjustable-rate, subprime residential mortgage loans. Class 18A1 is a senior class whereas Class 18A2 is a subordinate class which receives principal payment after Class 18A1 but absorbs losses before Class 18A1. Additionally, Class 18A2 is an "accrual certificate," i.e. it accrues the interest that would have been paid to it. Cashflows generated due to such accrual of interest on Class 18A2 is used to pay down Class 18A1 certificate. The ratings on the resecuritized certificates address the ultimate payment of promised interest and principal on the rated certificates and do not address any other amounts that may be payable on the certificates. On September 22, 2008, Moody's announced that it will assign a rating to any security issued by a resecuritization transaction backed by one or more RMBS only after first reviewing the ratings (and, if appropriate, taking rating actions) on the RMBS underlying the resecuritization. This review would be in addition to its normal surveillance of the underlying transactions When assigning the ratings on the Resecuritized Certificates Moody's first updated rating specific-stress prepayment and loss assumptions on the remaining pools of mortgages remaining in each of the underlying transaction. The updated assumptions considered, among other things, mortgage pool's past performance, its collateral attributes, macro economic assumptions and Moody's negative performance outlook on the RMBS sector. Second, multiple cash flow scenarios were run, assuming different combinations of prepayment and loss timing on the underlying mortgage pools. In each scenario, cash flow from each of the underlying certificates was compared to proposed structure on each of the Resecuritized Certificates. Third, Moody's analyzed the loss on the Resecuritized Seniors at a rating specific stress level, and the sensitivity of loss for the Resecuritized Seniors to changes in prepayment and loss timing assumptions. In Moody's opinion the issuer's targeted levels of credit enhancement for each of the Classes was consistent with the respective rating. The rating on each subordinate class was based on (i) the structure of the resecuritization transaction, (ii) the rating on the respective underlying certificate, and (iii) the size of the subordinate class. The probability of default for the subordinate class is the same as that for its underlying certificate. However, Moody's anticipates a higher loss severity on the subordinate class due to its subordinate position to the senior class (both in terms of principal distribution and loss allocation), and smaller size (when compared to underlying certificate). Therefore, the rating on subordinate class is lower than the rating on the respective underlying certificate. Because the ratings on the resecuritized certificates are linked to the rating of the underlying certificate and their mortgage pools performance, any rating action on the underlying certificates may trigger a review of the ratings on the resecuritized certificates. Deutsche Bank National Trust Company will act as the Administrative Trustee in the transaction. The complete rating actions are: Issuer: Citigroup Mortgage Loan Trust 2009-6 -- Class 7A1, Assigned Aaa -- Class 13A1, Assigned A3 -- Class 13A2, Assigned Caa3 -- Class 18A1, Assigned Baa3 -- Class 18A2, Assigned Ca CITYSCAPE HOME: Moody's Downgrades Ratings on Class A-5 Notes ------------------------------------------------------------- Moody's Investors Service has downgraded the underlying rating of Cityscape Home Equity Loan Trust 1996-2, Class A-5. This action is part of an ongoing review of subprime RMBS transactions. The securities are supported by an insurance policy issued by Financial Security Assurance Inc. The rating actions are the result of an analysis of credit enhancement relative to updated collateral loss projections. 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 85%. The results of these two calculations -- Recent Losses and Pipeline Losses -- are weighted to arrive at the lifetime cumulative loss projection. The current rating on the securities is consistent with Moody's practice of rating insured securities at the higher of (1) the guarantor's insurance financial strength rating and (2) the underlying rating, based on Moody's modified approach to rating structured finance securities wrapped by financial guarantors. As part of evaluating the current rating for the securities, Moody's Investors Service also reviewed the underlying rating. The underlying rating reflects the intrinsic credit quality of the securities in the absence of the guarantee. Complete list of rating actions: Issuer: Cityscape Home Equity Loan Trust 1996-2 -- A-5, Current Rating: Aa3, on review for possible downgrade -- Current Underlying Rating: Downgraded to Caa3; previously on 7/10/2008 Published at B3 -- Financial Guarantor: Financial Security Assurance Inc. (Aa3 Placed Under Review for Possible Downgrade on 5/20/2009) CNL FUNDING: Moody's Downgrades Ratings on Eight Certificates ------------------------------------------------------------- Moody's has downgraded the ratings of 8 certificates from CNL Funding 99-1. The certificates are backed by restaurant franchise loans. The certificates were placed on review for possible downgrade in December 2008 due to the transfer of a number of loans to special servicing for a covenant default. In January 2009, GECFFC executed definitive documentation for a modification for these loans. The actions are driven by the relative high concentration of borrowers and the declining weighted average FCCR. The current reported FCCR for 21% of the loans, by principal balance, is below 1. Moody's expects depressed consumer spending trends and intense competition will continue to pressure operating margins for these restaurants, as the economy remains weak and unemployment rises. The final rating actions are based on the pro-forma credit enhancement levels. CNL Funding 99-1, LP -- Class A-2, downgraded to Aa2 from Aaa, previously on 12/08/2008 Placed on review for possible downgrade -- Class B, downgraded to A2 from Aa2, previously on 12/12/2008 Placed on review for possible downgrade -- Class C, downgraded to Baa1 from A2, previously on 12/12/2008 Placed on review for possible downgrade -- Class D, downgraded to Baa3 from A3, previously on 12/12/2008 Placed on review for possible downgrade -- Class IO, downgraded to Aa2 from Aaa, previously on 12/12/2008 Placed on review for possible downgrade -- Class E, downgraded to B1 from Ba1, previously on 12/12/2008 Downgraded to Ba1 from Baa2 and Placed on review for possible downgrade -- Class F, downgraded to Caa1 from B1, previously on 12/12/2008 Downgraded to B1 from Ba2 and Placed on review for possible downgrade -- Class G, downgraded to Ca from Caa3, previously on 12/12/2008 Downgraded to Caa3 from B2 and Placed on review for possible downgrade The credit support for the certificates consists of subordination and overcollateralization of the bonds by the loans. Class B through Class H certificates are subordinated to Class IO and Class A certificates, providing a total credit support of 40.7% to Class A certificates. The subordinated certificates provide credit support of 29.7% to Class B certificates; 23% to Class C certificates; 19.7% to Class D certificates; 13.1% to Class E; 9.8% to Class F. and 4.2% to Class G. The current overcollateralization amount is zero. COMM 2005-FL11: S&P Downgrades Ratings on Six Classes of Certs. --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes of commercial mortgage pass-through certificates from COMM 2005-FL11 and removed them from CreditWatch with negative implications, where they were placed on April 7, 2009. Concurrently, S&P affirmed its ratings on eight other classes from this transaction and removed them from CreditWatch negative. Five loans totaling $434 million (82% of the pool trust balance) are secured by retail properties. Three of these five loans, totaling $367 million (70% of the pool trust balance), are secured by retail portfolios, including two Toys "R" Us portfolios and one consisting of properties that were formerly Mervyns stores. The largest loan in the pool, the Toys "R" Us-DE portfolio, has a trust balance of $255.0 million and a whole-loan balance of $425.0 million. The whole loan is split into two pari passu pieces: a $255.0 million piece in this transaction that makes up 48% of the trust balance, and a $170.0 million piece in the BALL 2005-MIB transaction. In addition, the borrower's equity interests in the properties secure a $175.0 million mezzanine loan. A pool of 85 Toys "R" Us and Babies "R" Us stores and four distribution centers that are cross-collateralized and cross- defaulted secure the loan. The properties total 7.5 million sq. ft. and are located in 26 states. The mortgaged properties operate under a 15-year triple-net master lease. Due to current market conditions for the retail sector, S&P assumed lower market rents and a higher market vacancy rate than at issuance when performing S&P's analysis, and the resultant value is 24% below its level at issuance. The loan is currently scheduled to mature in August 2009 and has one 12-month extension option remaining. The third-largest loan in the pool, the Toys "R" Us-MPO portfolio, has a trust balance of $87.0 million and a whole-loan note balance of $145.0 million. The whole loan is split into two pari passu pieces: an $87.0 million piece in this transaction that makes up 16% of the trust balance, and a $58.0 million piece in the BALL 2005-MIB transaction. In addition, the borrower's equity interests in the properties secure a $55.0 million mezzanine loan. The loan is secured by a pool of 46 Toys "R" Us and Babies "R" Us stores that are cross-defaulted and cross-collateralized. These stores total 1.9 million sq. ft. and are located in Pennsylvania, Ohio, and Massachusetts. The mortgaged properties operate under the same master lease terms as those in the Toys "R" Us-DE portfolio. As with the previous loan, Standard & Poor's assumed lower market rents and a higher market vacancy than at issuance in S&P's analysis, which resulted in a value 26% below its level at issuance. The loan is currently scheduled to mature in August 2009 and has one 12-month extension remaining. The sixth-largest loan in the pool, the DDR/Macquarie Mervyn's Portfolio, has a trust balance of $24.95 million and a whole-loan balance of $237.5 million. The whole loan is split into three pari passu notes: a $106.3 million fixed-rate A-2 note included in the GMAC 2006-C1 trust, a $106.3 million fixed-rate A-1 note that was contributed to GE Commercial Mortgage Corp.'s series 2005-C4 transaction, and a $24.95 million floating-rate note that is part of this trust and makes up 5% of the pool. The loan is secured by 32 single-tenant stores that were formerly operating as Mervyns, a discount department chain that carried national brands and private-label merchandise. Mervyns filed for bankruptcy on Aug. 29, 2008, and rejected all of its leases on or before Dec. 31, 2008. Mervyns subsequently closed all of its stores. The loan was transferred to Midland Loan Services Inc., the special servicer for this loan, on Oct. 22, 2008, due to imminent default. Three of the stores were sold to Kohl's, and approximately $21 million was received to pay down the A-3 note in this transaction earlier in the year. Since then, four properties have been partially or completely leased and two additional properties are expected to be sold to an unnamed purchaser, according to Midland. S&P downgraded class L to 'D' on Feb. 27, 2009 ("COMM 2005-FL11 Class L Downgraded To 'D' On Interest Shortfalls; Class K Rating Affirmed And Off Watch Negative," published Feb. 27, 2009) due to the accumulated interest shortfalls associated with the special servicing fees and expenses for this loan. Standard & Poor's value for the asset has declined 52% since issuance. As of the June 15, 2009, remittance report, the trust collateral consisted of the senior participation interests in two floating- rate interest-only mortgage loans, one floating-rate whole mortgage loan, and three floating-rate interest-only pari passu mortgage loans. All of the loans are indexed to one-month LIBOR. The pool balance has declined 68% since issuance, to $527.8 million. All of the loans mature over the next four months and have one 12- month extension option remaining. If the performance of the retail sector deteriorates further from S&P's expectations, S&P may revise its analysis and adjust its ratings accordingly. Ratings Lowered And Removed From Creditwatch Negative COMM 2005-FL11 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- E AA- AA+/Watch Neg 27.79 F A- AA/Watch Neg 22.34 G BBB- A+ /Watch Neg 17.71 H BB+ A-/Watch Neg 13.62 J BB BBB+/Watch neg 8.99 K B- BBB-/Watch Neg 4.09 Ratings Affirmed And Removed From Creditwatch Negative COMM 2005-FL11 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-J AAA 51.22 B AAA 45.23 C AAA 38.41 D AAA 33.78 X-2-CB AAA N/A X-2-DB AAA N/A X-3-CB AAA N/A X-3-DB AAA N/A N/A - Not applicable. CONTIMORTGAGE HOME: Moody's Downgrades Ratings on 19 Securities --------------------------------------------------------------- Moody's Investors Service has downgraded the rating of 19 securities and upgraded the rating of 1 security from 9 transactions issued by ContiMortgage Home Equity Loan 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 a severity assumption of 80%. The results of these two calculations -- Recent Losses and Pipeline Losses -- are weighted to arrive at the lifetime cumulative loss projection. The upgrade of 1 rating is a result of stable and significant over-collateralization. The complete rating actions: ContiMortgage Home Equity Loan Trust 1994-05 -- A-4, Downgraded to B3; previously on 12/13/1994 Assigned Aaa -- Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at Aaa -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) ContiMortgage Home Equity Loan Trust 1995-01 -- A-5, Downgraded to Caa1; previously on 12/19/2008 Downgraded to B3 -- Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at B3 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- A-6IO, Downgraded to Caa1; previously on 12/19/2008 Downgraded to B3 -- Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at B3 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- A-7IO, Downgraded to Caa1; previously on 12/19/2008 Downgraded to B3 -- Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at B3 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) ContiMortgage Home Equity Loan Trust 1995-02 -- A-5, Downgraded to B2; previously on 3/31/2008 Downgraded to Baa3 -- Current Underlying Rating: Downgraded to B2; previously on 6/16/2008 Published at Baa3 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) ContiMortgage Home Equity Loan Trust 1995-04 -- A-9, 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) -- A-13IO, 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) ContiMortgage Home Equity Loan Trust 1996-01 -- A-7, Downgraded to B3; previously on 6/16/2008 Published at Baa1 -- Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at Baa1 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) ContiMortgage Home Equity Loan Trust 1996-02 -- A-8, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba1 -- Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at Ba1 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) -- A-10IO, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba1 -- Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at Ba1 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) ContiMortgage Home Equity Loan Trust 1996-03 -- A-7, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba3 -- Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at Ba3 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) -- A-8, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba3 -- Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at Ba3 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) -- A-9IO, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba3 -- Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at Ba3 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) -- A-10IO, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba3 -- Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at Ba3 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) ContiMortgage Home Equity Loan Trust 1996-04 -- A-8, Downgraded to B3; previously on 2/18/2009 Downgraded to B1 -- Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at B1 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) -- A-9, Downgraded to B3; previously on 2/18/2009 Downgraded to B1 -- Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at B1 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) -- A-10, Downgraded to B3; previously on 2/18/2009 Downgraded to B1 -- Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at B1 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) -- A-11IO, Downgraded to B3; previously on 2/18/2009 Downgraded to B1 -- Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at B1 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) -- A-12IO, Downgraded to B3; previously on 2/18/2009 Downgraded to B1 -- Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at B1 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) ContiMortgage Home Equity Loan Trust 1997-2 -- M-1F, Upgraded to A3; previously on 12/12/2003 Downgraded to Baa3 CORPORATE BACKED: Moody's Downgrades Ratings on Certs. to 'Ba3' --------------------------------------------------------------- Moody's Investors Service announced that it downgraded its rating of 1,521,126 Corporate Backed Trust Certificates, Series 2001-27, Class A-1 issued by Corporate Backed Trust Certificates, Series 2001-27 Trust. The rating action is: Class Description: 1,521,126 Corporate Backed Trust Certificates, Series 2001-27, Class A-1 -- Current Rating: Ba3 -- Prior Rating: Ba2 -- Prior Rating Date: 02/12/09 The transaction is a structured note whose rating changes with the rating of the Underlying Securities. The rating action is a result of the change of the rating of 7.50% Senior Debentures issued by Royal Caribbean Cruises, Ltd., which were downgraded to Ba3 by Moody's on June 29, 2009. COUNTRYWIDE ALTERNATIVE: Moody's Cuts Ratings on Three Securities ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 3 securities from 3 transactions issued by Countrywide Alternative Loan Trust. The rating actions are the result of recent deterioration relative to expected performance. The collateral backing the transactions consist primarily of first-lien, adjustable Alt-A mortgage loans. The downgrades relate to cashflowing senior bonds whose support has deteriorated in recent months, as principal payments have slowed relative to erosion of credit support provided by subordinate bonds. The rating actions are: Alternative Loan Trust 2006-OC11 -- Cl. 2-A-1, Downgraded to B3; previously on 1/29/2009 Downgraded to Ba2 Alternative Loan Trust 2006-OC3 -- Cl. 2-A-1, Downgraded to B1; previously on 1/29/2009 Downgraded to A1 Alternative Loan Trust 2006-OC4 -- Cl. 2-A-1, Downgraded to B2; previously on 1/29/2009 Downgraded to Ba1 The downgraded bonds are at higher risk of losses in the event that they are not paid off before supporting subordinate bonds are completely written down. In the event that subordinate bonds are written down entirely, these deals have structural features that redirect principal payments to be paid pro rata to all senior bonds, and/or direct losses to be allocated pro rata to each of the outstanding senior bonds. In its analysis of these bonds, Moody's has considered the current available level of credit enhancement and updated its base cashflow assumptions for the transactions, in order to account for CDR, CPR and severity trends. CPT ASSET-BACKED: Moody's Downgrades Ratings on Seven Securities ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating of seven securities from CPT Asset-Backed Certificates Trust 2004-EC1. 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 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: CPT Asset-Backed Certificates Trust 2004-EC1 -- Cl. M-2, Downgraded to A3; previously on 12/15/2004 Assigned Aa2 -- Cl. M-3, Downgraded to Baa3; previously on 12/15/2004 Assigned Aa3 -- Cl. M-4, Downgraded to Ba1; previously on 12/15/2004 Assigned A1 -- Cl. M-5, Downgraded to B1; previously on 12/15/2004 Assigned A2 -- Cl. M-6, Downgraded to Ca; previously on 12/15/2004 Assigned Baa1 -- Cl. M-7, Downgraded to C; previously on 12/15/2004 Assigned Baa2 -- Cl. B, Downgraded to C; previously on 4/10/2008 Downgraded to Ba2 CREDIT PROTECTION: Moody's Withdraws 'B1' Rating on Trust 283 ------------------------------------------------------------- Moody's Investors Service announced that it has withdrawn the rating of Credit Protection Trust 283, an unfunded synthetic collateralized debt obligation transaction referencing a portfolio of corporate credits. Moody's explained that the withdrawal rating action taken is a result of the termination of the swap after the Failure to Pay from Lehman Brothers Special Financing Inc. (Party A) to Credit Protection Trust 283 (Party B), an amount due to Party B in respect of the transaction under the Confirmation. Party A did not remedy such Failure to Pay and accordingly, such Failure to Pay constituted an Event of Default under Section 5(a)(i) of the ISDA Master Agreement as agreed between the parties and the Confirmation in February 2008. -- Current Rating: WR -- Prior Rating: B1 -- Prior Rating Action Date: June 26, 2009 -- Prior Rating Action: Downgrade to B1 from Aaa CREDIT SUISSE: S&P Downgrades Ratings on 11 2007-TFL2 Certificates ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 11 classes of commercial mortgage pass-through certificates from Credit Suisse First Boston Mortgage Securities Corp.'s series 2007-TFL2. Concurrently, S&P affirmed its ratings on 15 other classes from this transaction. In addition, S&P removed all 26 of these ratings from CreditWatch with negative implications, where they were placed on April 7, 2009. Hotel properties secure four loans in the pool totaling $736.5 million (61% of the pool trust balance). These properties are located in Las Vegas (38% of the pool trust balance), Atlantic City, New Jersey (15%), Half Moon Bay, California (4%), and Irving, Texas (4%). S&P based its hotel analysis on a review of the borrowers' operating statements for the trailing 12 months ended March 31, 2009, and their 2009 budgets. The lodging collateral performance has been significantly impacted by the reduction in business and leisure travel. S&P's analysis factored in its expectation that average 2009 revenue per available room in the lodging industry would decline between 14% and 16%, as S&P noted in a recent article. According to Smith Travel, the general U.S. hotel industry reported average RevPAR declines of 18% in the first four months of 2009 compared with 2008. The Planet Hollywood Resort & Casino loan, the largest loan in the pool, is the largest loan secured by a hotel property. This loan has a trust balance of $460.0 million (38%) and a whole-loan balance of $860.0 million. A 2,567-room, full-service gaming hotel in Las Vegas secures this loan. The master servicer, KeyBank Real Estate Capital, reported debt service coverage of 0.59x and 92% occupancy for the 12 months ended March 31, 2009. The loan matures on Dec. 9, 2009, and has two 12-month extension options remaining. S&P's adjusted valuation has fallen 42% since issuance. Office properties secure two loans totaling $359.5 million (30% of the pool trust balance). These properties are located in Bellevue, Seattle, and Mercer Island, Washington (24% of the pool trust balance) and Greenwich, Connecticut (6%). These office properties have experienced higher vacancies since issuance. The Whitehall Seattle Portfolio loan, the second-largest loan in the pool, is the largest loan secured by office properties. This loan has a trust balance of $292.5 million (24%) and a whole-loan balance of $747.1 million. In addition, the borrower's equity interests in the properties secure mezzanine loans totaling $149.4 million. Eleven class A office properties totaling 2.66 million sq. ft. in Bellevue, Seattle, and Mercer Island secure this loan. KeyBank reported a 2.19x DSC for the 12 months ended Dec. 31, 2008, and 71% occupancy as of March 2009. This loan matures on April 9, 2010, and has two one-year extension options remaining. S&P's adjusted valuation has declined 30% since issuance. According to the June 15, 2009, remittance report, pool statistics are: -- There are senior participation interests on seven floating- rate loans in the pool. -- There are mortgages on two gaming and two full-service hotels, 15 office buildings, and one land development project. -- All of the loans are indexed to one-month LIBOR. Details of the specially serviced loan in the pool that previously prompted downgrades are: -- The Resorts Atlantic City loan, secured by a 942-room gaming hotel in Atlantic City, New Jersey, has a trust balance of $175.0 million (15%) and a whole-loan balance of $360.0 million. This loan, which is 90-plus-day delinquent, was transferred to the special servicer on Nov. 20, 2008, due to monetary default. For details of the rating actions related to this loan, see "Five Credit Suisse First Boston Mortgage Securities 2007-TFL2 Classes Downgraded Due to Resorts Atlantic City Exposure," published March 10, 2009, on RatingsDirect. The loan matured April 9, 2009. The special servicer, TriMont Real Estate Advisors Inc., has indicated that it plans to file for foreclosure while simultaneously pursuing a deed-in-lieu of foreclosure. S&P expects that the special servicing fees on this loan will continue to generate interest shortfalls. The November 2008 appraisal values the property at a level that exceeds the outstanding debt on the senior trust balance. Details of the other specially serviced loan in the pool are: -- The Biscayne Landing loan, the fourth-largest loan in the pool, has a whole-loan balance of $195.3 million, which consists of a $106.8 million senior pooled component (9% of the pool trust balance), a $53.5 million subordinate nonpooled component, that supports the 'BSL' certificates (not rated by Standard & Poor's), and a $35.0 million nontrust junior participation interest. In addition, the borrower's equity interests in the property secure a $35.0 million mezzanine loan. The collateral consists of a ground leasehold interest in 188 gross acres of vacant land in North Miami, Florida. The borrower's intention, which has not been realized, was to develop a master planned community consisting of residential condominium and rental units, office buildings, hotels, a retail center, and acres of passive parks. This loan, which is current, was transferred to special servicing on March 18, 2008, after the borrower failed to make the mandatory $17.0 million minimum amortization payment. The loan matured May 9, 2009. The special servicer, TriMont, indicated that it plans to file for foreclosure in the near term. The October 2008 appraisal values the property at a level that exceeds the outstanding debt on the senior trust balance. Details on the nonpooled loan are: -- The CapitalSource Portfolio loan has a nonpooled trust and whole-loan balance of $236.9 million that is raked to the 'CSP' certificates. This loan is secured by 64 healthcare facilities totaling 6,895 beds in various locations in the U.S. This loan matures on April 9, 2010, and has two 12- month extension options remaining. KeyBank reported a 1.63x DSC for the 12 months ended Dec. 31, 2008. S&P's adjusted valuation is comparable to S&P's levels at issuance. Ratings Lowered And Removed From Creditwatch Negative Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2007-TFL2 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-2 AA AAA/Watch Neg 48.61 A-3 BB+ AAA/Watch Neg 31.40 B BB AA+/Watch Neg 27.60 C BB- AA/Watch Neg 24.06 D B+ AA-/Watch Neg 21.27 E B A+/Watch Neg 18.23 F B- A/Watch Neg 15.20 G CCC+ BBB+/Watch Neg 12.41 H CCC BBB-/Watch Neg 9.12 J CCC- BB/Watch Neg 6.08 K D B-/Watch Neg 2.78 Ratings Affirmed And Removed From Creditwatch Negative Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2007-TFL2 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-1 AAA AAA/Watch Neg 56.93 CSP-A1 AAA AAA/Watch Neg N/A CSP-A2 AAA AAA/Watch Neg N/A CSP-B AA+ AA+/Watch Neg N/A CSP-C AA AA/Watch Neg N/A CSP-D AA- AA-/Watch Neg N/A CSP-E A+ A+/Watch Neg N/A CSP-F A A/Watch Neg N/A CSP-G BBB+ BBB+/Watch Neg N/A CSP-H BBB BBB/Watch Neg N/A CSP-J BBB- BBB-/Watch Neg N/A CSP-K BB+ BB+/Watch Neg N/A CSP-AX AAA AAA/Watch Neg N/A A-X-1 AAA AAA/Watch Neg N/A A-X-2 AAA AAA/Watch Neg N/A N/A - Not applicable. CRHMFA HOMEBUYERS: Moody's Cuts Ratings on 2006-FH-1 Bonds to Ba3 ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on these bonds: the rating on CRHMFA Homebuyers Fund Senior Single Family Mortgage Revenue Bonds Series 2006-FH-1(original principal amount $14,380,000) is downgraded from Ba3 to Caa1, and CRHMFA Homebuyers Fund Subordinate Single Family Mortgage Revenue Bonds Series 2006- FH-1 (the "Subordinate Bonds" -- original principal amount $920,000) from B3 to C. This action is based on the very high level of delinquencies and defaults in this very small pool of whole mortgage loans reflecting the distress in the California home mortgage market. The outlook on the ratings remains negative. The Single Family Mortgage Revenue Bonds Series 2006-FH-1 (the Bonds) were issued in May of 2006 by CRHMFA Homebuyers Fund (the Fund), a joint exercise of powers agency the members of which are local jurisdictions within the State of California. The Bonds are limited obligations of the Fund, payable solely from the mortgage loans, reserves, and revenues pledged under the Indenture. Although the Indenture permitted additional issuance, to date only this one series of bonds has been issued. The Bonds consisted of $14,380,000 original par amount of Senior Lien Bonds (the Senior Bonds) and $920,000 original par amount of Subordinate Bonds (the Subordinate Bonds). Proceeds of the Bonds, along with other funds available at closing (an issuer advance, a servicer advance, and bond issuance premium) were issued to fund up to $15.3 million of whole loans, as well as make deposits in reserve funds and pay costs of the program. The loans consist of first lien mortgage loans to first-time homebuyers solely for owner-occupied residences. Each loan is underwritten according to the issuer's standards and is either a fixed-rate loan with 40 year level amortization, or a fixed-rate loan with interest only for seven years and then 33 year level amortization. Credit strengths that contributed to the rating included asset to debt ratios of 1.06 for the Senior Bonds (provided in part by subordination of the Subordinate Bonds) and 1.00 for the Subordinate Bonds; A Liquidity Reserve equal to 2% of outstanding Mortgage Loans, and an additional Mortgage Reserve covering an additional 45 days of debt service on mortgages; primary mortgage insurance on each of the mortgage loans from Radian Guaranty, Inc., a 5% pool insurance policy from Radian, and liquidity support from the Servicer, CitiMortgage, Inc. The issuer also provided a series of cash flows demonstrating the ability of the program to perform under a variety of stress scenarios. Because the loans are whole loans, the PMI coverage and pool coverage from Radian were key elements in protection against losses from delinquency and/or foreclosure for the program. In addition, because of the small size of the program and the potential for delays in obtaining recovery from PMI and/or foreclosure for non-performing loans, the liquidity provided by the servicer obligations from CitiMortgage, and the Advance Claim Rider to the Radian Policy were important elements in rating analysis. Although CitiMortgage is obligated as servicer to advance payment on each of the mortgages (regardless of whether it first receives payment from the borrower), CitiMortgage itself does not have an applicable rating, and its obligation may be limited to the extent it concludes amounts advanced are not reasonably recoverable. Furthermore, CitiMortgage has the right to recover its advances from foreclosure proceeds before remitting to the bond trustee. The Advance Claim Rider from Radian also was considered to be key to liquidity support. Under this Rider, the Trustee can make advance claims on the pool policy to the extent that it needs funds to pay bond debt service due to mortgage loans being at least 60 days delinquent and in foreclosure. On March 2, 2009, Moody's downgraded the rating on the Senior Bonds to Ba3, and the Subordinate Bonds to B3 following a downgrade of Radian's insurance finance strength rating from A2 to Ba3 (with a developing outlook). Moody's commented that the downgrade of Radian affected Moody's assessment of the support provided by Radian. The ratings remained on watch because of the high levels of delinquencies observed in the portfolio. Delinquencies in the portfolio have continued to rise. As of the end of April 2009 (most recent information available to Moody's) 22 of the 61 loans in the pool (36%) are in some stage of delinquency or foreclosure; of these, 11 loans (18.33%) are in active foreclosure, three loans (5%) are in REO and an additional 8 (26.66%) are in loss mitigation or on a repayment plan. Moody's understands that CitiMortgage has continued to make advances on all of the mortgages pending the ultimate outcome of foreclosure, pursuant to the servicing agreement with the issuer and trustee. So long as CitiMortgage makes such advances, the trustee should continue to receive sufficient funds to make scheduled debt service on the bonds (without the need to tap reserves). However, given the high level of loans in foreclosure, the decline in house prices being experienced in the California market, and the length of time being taken to resolve delinquencies and foreclosures, Moody's loss calculations indicate that significant losses could occur upon ultimate disposition of the delinquent loans through foreclosure, potentially exceeding the levels of loss reserves available to cover shortfalls in foreclosure proceeds and reimburse the servicer for advances of delinquent payments and carrying costs. The last rating action with respect to the Senior Bonds and the Subordinate bonds was on March 2, 2009, when the Senior Bonds were downgraded from A2 to Ba3 and the Subordinate bonds were downgraded from Baa3 to B3. CSFB MORTGAGE: Moody's Downgrades Ratings on 93 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded 93 tranches and confirmed 2 tranches from 3 Jumbo and Alt-A CSFB transactions. The collateral backing transactions CSFB 2005-1 group II, CSFB 2005-4 groups I III, and CSFB 2005-5 groups I II VI VII, consists primarily of first-lien, fixed-rate, Jumbo mortgage loans, and collateral backing transactions CSFB 2005-4 group II and CSFB 2005-5 groups III IV V, consists of primarily 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 Jumbo collateral 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 Alt-A collateral 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. Moody's applied a similar approach for deals backed by Alt-A collateral from the 2005 vintage with updated key parameters, such as severity and the rate of delinquency build up, which would be generally lower relative to the 2006 and 2007 vintages. These updates capture 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, 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: CSFB Mortgage Pass-Through Ctfs 2005-1 -- Cl. II-A-1, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-X, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. D-B-2, Downgraded to Ca; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade CSFB Mortgage Pass-Through Ctfs 2005-4 -- Cl. A-P, Downgraded to Baa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-1, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-X, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-7, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-8, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-9, Downgraded to Ba2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-X, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-3, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-4, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-5, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-6, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-7, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-8, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-10, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-11, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-12, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-13, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-14, Downgraded to Baa1; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-15, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-16, Downgraded to A2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-17, Downgraded to A3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-18, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-19, Downgraded to Baa3; previously on 4/9/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. III-A-20, Downgraded to A3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-21, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-22, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-23, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-24, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-25, Downgraded to A3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-X, Downgraded to A2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. C-B-3, Downgraded to Ca; previously on 4/9/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. D-B-2, Downgraded to Ca; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. D-B-3, Downgraded to Ca; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. D-B-4, Downgraded to C; previously on 4/9/2009 Ba1 Placed Under Review for Possible Downgrade CSFB Mortgage Pass-Through Ctfs 2005-5 -- Cl. I-A-1, Downgraded to Aa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Aa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Aa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Aa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Aa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to Aa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to Aa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-7, Downgraded to Aa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-8, Confirmed at Aaa; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-9, Downgraded to Aa1; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-10, Downgraded to Aa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-11, Downgraded to Aa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-12, Downgraded to Aa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-13, Downgraded to Aa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-14, Downgraded to Aa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-15, Downgraded to A1; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-16, Downgraded to Aa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-X, Confirmed at Aaa; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-3, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-4, Downgraded to Aa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-5, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-6, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-7, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IV-A-2, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. V-A-1, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. VI-A-1, Downgraded to Aa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. VI-A-2, Downgraded to Aa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. VI-A-3, Downgraded to Aa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. VI-A-4, Downgraded to Aa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. VII-A-1, Downgraded to Aa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. C-B-1, Downgraded to Baa1; previously on 4/9/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. C-B-2, Downgraded to Ba3; previously on 4/9/2009 A3 Placed Under Review for Possible Downgrade -- Cl. C-B-3, Downgraded to B3; previously on 4/9/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. C-B-4, Downgraded to Ca; previously on 4/9/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. C-P, Downgraded to A1; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. C-X, Downgraded to Aa3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. D-B-1, Downgraded to Ba1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. D-B-2, Downgraded to B3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. D-B-3, Downgraded to Caa3; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. D-B-4, Downgraded to Ca; previously on 4/9/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. D-P, Downgraded to A1; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. D-X, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade The ratings on the notes were assigned after evaluating factors determined applicable to the credit profile of the notes, such as: i) the nature, sufficiency, and quality of historical performance information available for the asset class as well as for the transaction sponsor, ii) collateral analysis, iii) an analysis of the policies, procedures and alignment of interests of the key parties to the transaction, most notably the originator and the servicer, iv) an analysis of the transaction's allocation of collateral cashflow and capital structure, v) an analysis of the transaction's governance and legal structure, and vi) a comparison of these attributes against those of other similar transactions. CWCAPITAL ASSET: Fitch Takes Actions on CMBS Servicer Ratings ------------------------------------------------------------- Fitch Ratings has taken these rating actions on CWCapital Asset Management LLC's and CWCapital LLC's CMBS servicer ratings: CWCAM -- Special servicer upgraded to 'CSS1' from 'CSS1-'. CWCapital -- Primary servicer affirmed at 'CPS2+'; -- Master servicer affirmed at 'CMS3+'. The special servicer rating upgrade is based on the group's highly experienced asset management staff, its robust asset management technology platform and CWCapital's ability to successfully manage substantial portfolio growth, as demonstrated through its timely and thorough interaction with Fitch's CMBS surveillance group. Also considered are CWCAM's proactive surveillance team and CWCapital's low special servicing management and staff turnover in the last two years. The primary servicer rating reflects CWCapital's experience as a longstanding CMBS primary servicer as well as its experienced and tenured servicing staff and management team. The master servicer rating considers CWCapital's procedures in place for the oversight of third party servicers and its ability to report and remit to CMBS trustees. All three servicer ratings consider the strong financial backing of parent company, Caisse de Depot et Placement du Quebec. As of March 31, 2009, CWCapital's servicing portfolio consisted of 1108 loans totaling $10.11 billion. As of the same date, the company acted as primary servicer in 40 CMBS transactions, servicing 467 loans totaling $4.8 billion. CWCapital is currently named master servicer on one CMBS transaction totaling $27.47 million. Also as of March 31, 2009, CWCAM's special servicing portfolio consisted of 120 CMBS transactions totaling $171 billion. The CMBS special servicing portfolio consisted of 366 actively specially serviced loans totaling $4.8 billion and 39 real estate-owned assets valued at $230 million. DEUTSCHE BANK: Fitch Puts Ratings on Various Classes of Notes ------------------------------------------------------------- Deutsche Bank AG (Deutsche Bank, rated 'AA-/F1+' on Rating Watch Negative by Fitch Ratings), as counterparty in the series Agreements and Trust Instruments of the corporate synthetic transactions noted below, has notified Fitch of its intention to execute two proposed amendments. The first amendment modifies each respective Series Agreement (the Series Amendments) to remove Deutsche Bank's par call option within the respective Series Agreements. The series Amendments apply to these transactions: -- $175,000,000 Camber Master Trust series 7 certificates 'B/LS2'; Outlook Negative; -- $175,000,000 Camber Master Trust series 8 certificates 'B/LS2'; Outlook Negative; -- $125,000,000 Camber Master Trust series 9 certificates 'BB/LS3'; Outlook Negative; -- $125,000,000 Camber Master Trust series 10 certificates 'BB/LS3'; Outlook Negative; -- $125,000,000 Pivot Master Trust series 1 certificates 'BB/LS3'; Outlook Negative; -- $125,000,000 Pivot Master Trust series 2 certificates 'BB/LS3'; Outlook Negative; -- $125,000,000 Pivot Master Trust series 3 certificates 'BB/LS5'; Outlook Negative; -- $125,000,000 Pivot Master Trust series 4 certificates 'BB/LS5'; Outlook Negative; -- $150,000,000 Pivot Master Trust series 5 certificates 'BBB/LS5'; Outlook Negative; -- $150,000,000 Pivot Master Trust series 6 certificates 'BBB/LS5'; Outlook Negative; -- $150,000,000 Pivot Master Trust series 7 certificates 'BBB/LS5'; Outlook Negative; -- $150,000,000 Pivot Master Trust series 8 certificates 'BBB/LS5'; Outlook Negative. The Series Amendments, which remove Deutsche Bank's call option on the notes, in and of themselves will not affect Fitch's credit opinion of the notes with respect to the likelihood that noteholders will receive the timely payment of interest and the ultimate return of principal at maturity. The second amendment modifies each respective Trust Instrument (the Trust Amendments) to allow for one or more noteholders to request the replacement of the underlying collateral, with 100% noteholder approval of the replacement collateral. The Trust Amendments apply to these transactions: -- $350,000,000 Eirles Two Limited series 316 notes 'B/LS2'; Outlook Negative; -- $250,000,000 Eirles Two Limited series 319 notes 'BB/LS3'; Outlook Negative; -- $250,000,000 Coriolanus Limited series 64 notes 'BB/LS3'; Outlook Negative; -- $250,000,000 Coriolanus Limited series 68 notes 'BB/LS5'; Outlook Negative; -- $600,000,000 Coriolanus Limited series 79 notes 'BBB/LS5'; Outlook Negative. The Trust Amendments in and of themselves will not affect Fitch's credit opinion of the notes since the replacement collateral must have the same aggregate purchase value, the same or higher coupon, and the same or earlier maturity date as the replaced collateral. The entity charged with executing the collateral replacement must have a minimum rating equal to the swap counterparty's rating. In addition, the existing asset swap between the issuer and Deutsche Bank remains in effect to protect the coupon payments due to the noteholders. At the request of the issuer, the ratings of Eirles Two Limited, series 316 and 319 and Coriolanus Limited series 64, 68 and79 are converted to public from private ratings. EQCC TRUST: Moody's Downgrades Ratings on Two 2001-1F Securities ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating of 2 securities from EQCC Trust 2001-1F. These actions are part of an ongoing review of subprime RMBS transactions. The securities are supported by an insurance policy issued by Ambac Assurance Corporation. 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 85%. The results of these two calculations -- Recent Losses and Pipeline Losses -- are weighted to arrive at the lifetime cumulative loss projection. The current rating on the securities is consistent with Moody's practice of rating insured securities at the higher of (1) the guarantor's insurance financial strength rating and (2) the underlying rating, based on Moody's modified approach to rating structured finance securities wrapped by financial guarantors. The complete rating actions: Issuer: EQCC Trust 2001-1F -- Cl. A-1, Downgraded to Ba2; previously on 4/13/2009 Downgraded to Baa2 -- Financial Guarantor: Ambac Assurance Corporation (Downgraded to Ba3, Outlook Developing on 4/13/2009) -- Cl. A-2, Downgraded to Ba2; previously on 4/13/2009 Downgraded to Baa2 -- Financial Guarantor: Ambac Assurance Corporation (Downgraded to Ba3, Outlook Developing on 4/13/2009) FIRST ALLIANCE: Moody's Confirms Ratings on 35 Classes of Notes --------------------------------------------------------------- Moody's Investors Service has confirmed the ratings of 35 classes and downgraded two classes of notes issued by First Alliance Mortgage Loan Trust. The securities are supported by insurance policies issued by MBIA Insurance Corporation. The current ratings on the securities are consistent with Moody's practice of rating insured securities at the higher of (1) the guarantor's insurance financial strength rating and (2) the underlying rating, based on Moody's modified approach to rating structured finance securities wrapped by financial guarantors. As part of evaluating the current ratings for the securities, Moody's Investors Service also reviewed the underlying ratings. The underlying ratings reflect the intrinsic credit quality of the securities in the absence of the guarantee. The underlying ratings on the securities 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 this 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 differs by transaction and is higher for more recent vintages. Complete rating action: Issuer: First Alliance Mortgage Loan Trust 1998-1F -- A-1, Confirmed at A2; previously on 11/16/2008 A2 Placed Under Review Direction Uncertain -- Financial Guarantor: MBIA Insurance Corporation (B3, previously on 2/18/2009 downgraded from Baa1) Issuer: First Alliance Mtg Co Loan Trust 1994-02 -- A-1, Confirmed at A2; previously on 11/16/2008 A2 Placed Under Review Direction Uncertain -- Financial Guarantor: MBIA Insurance Corporation (B3, previously on 2/18/2009 downgraded from Baa1) -- A-2, Confirmed at A2; previously on 11/16/2008 A2 Placed Under Review Direction Uncertain -- Financial Guarantor: MBIA Insurance Corporation (B3, previously on 2/18/2009 downgraded from Baa1) -- A-3, Confirmed at A2; previously on 11/16/2008 A2 Placed Under Review Direction Uncertain -- Financial Guarantor: MBIA Insurance Corporation (B3, previously on 2/18/2009 downgraded from Baa1) FIRST HORIZON: Moody's Downgrades Ratings on Eight Classes ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of eight classes of notes from a transaction issued by First Horizon Mortgage Pass-Through Trust. The ratings are based on the methodology applied to all transactions with small pool factors. Moody's defines low pool factor deals as those that meet one of these two criteria: (1) the outstanding collateral balance is less than $1 million, and the pool factor is less than 5% or (2) the pool has fewer than 50 loans remaining Moody's uses these methodology to estimate losses on low pool factor deals. First, gross defaults are determined by applying assumed lifetime roll-rates (probabilities of transition to default) to the transactions' current delinquency buckets ("delinquency pipeline") and a pipeline multiplier. The pipeline multiplier accounts for further possible defaults that might arise from borrowers that are current. The pipeline multiplier differs for each deal based on the number of loans remaining in the pool -- greater the number of loans remaining the higher the multiplier. The estimated defaults are subject to a floor -- a minimum default. The minimum default also differs based on the number loans remaining in the pool. The fewer the number of loans remaining in the pool the higher the minimum default since each loan represents a higher percentage of the pool. The final default number is then multiplied by expected loss severity to arrive at Moody's expected loss estimate. Loss severity also differs by transaction and is higher for more recent vintages. Complete rating action: Issuer: First Horizon Mortgage Pass-Through Trust 2004-FL1 (Loans Remaining: 39) -- Cl. II-A-1, Current Balance: $4,269,731, Downgraded to A1; previously on 2/21/2005 Assigned Aaa -- Cl. II-A-IO, IO Class, Downgraded to A1; previously on 2/21/2005 Assigned Aaa -- Cl. B-1, Current Balance: $1,036,065, Downgraded to Baa3; previously on 7/17/2006 Upgraded to Aaa -- Cl. B-2, Current Balance: $673,356, Downgraded to B2; previously on 7/17/2007 Upgraded to Aa1 -- Cl. B-3, Current Balance: $492,001, Downgraded to Caa2; previously on 7/17/2006 Upgraded to A2 -- Cl. B-4, Current Balance: $155,151, Downgraded to Ca; previously on 7/17/2007 Upgraded to A3 -- Cl. B-5, Current Balance: $181,354, Downgraded to Ca; previously on 7/17/2007 Upgraded to Ba1 FLAGSHIP CLO: Moody's Downgrades Ratings on Various Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Flagship CLO VI: -- US$35,500,000 Class A-1b Floating Rate Notes Due 2021, Downgraded to A1; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- US$10,000,000 Class A-2 Floating Rate Notes Due 2021, Downgraded to Aa2; previously on June 28, 2007 Assigned Aaa; -- US$33,750,000 Class B Floating Rate Notes Due 2021, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings on these notes: -- US$22,500,000 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$20,000,000 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; -- US$20,000,000 Class E Deferrable Floating Rate Notes Due 2021, Confirmed at Caa3; previously on March 13, 2009 Downgrade 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 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 overcollateralization tests. The weighted average rating factor has steadily increased over the last year and it is currently 2748 versus a test level of 2650 as of the last trustee report, dated June 2, 2009. Based on the same report, defaulted securities total about $25 million, accounting for roughly 5% of the collateral balance, and securities rated Caa1 or lower make up approximately 19% of the underlying portfolio. Additionally, interest payments on the Class E notes are presently being deferred as a result of the failure of the Class D overcollateralization 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 diffeent from the trustee's reported numbers. Flagship CLO VI, issued in June 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. FRIEDBERGMILSTEIN PRIVATE: Moody's Cuts Ratings on Various Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by FriedbergMilstein Private Capital Fund I: -- US$325,500,000 Class A First Priority Senior Secured Floating Rate Delayed Draw Notes due 2019, Downgraded to Aa1; previously on January 26, 2005 Assigned Aaa; -- US$54,100,000 Class B-1 Second Priority Secured Floating Rate Notes due 2019, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$17,000,000 Class B-2 Second Priority Secured Fixed Rate Notes due 2019, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$10,000,000 Combination Securities due 2019, Downgraded to B1; previously on March 4, 2009 Baa3 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings on these notes: -- US$20,750,000 Class C-1 Third Priority Secured Deferrable Floating Rate Notes due 2019, Confirmed at Ba1; previously on March 23, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$13,000,000 Class C-2 Third Priority Secured Deferrable Fixed Rate Notes due 2019, Confirmed at Ba1; previously on March 23, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$21,000,000 Class D-1 Fourth Priority Secured Deferrable Floating Rate Notes due 2019, Confirmed at B3; previously on March 23, 2009 Downgraded to B3 and Placed Under Review for Possible Downgrade; -- US$12,750,000 Class D-2 Fourth Priority Secured Deferrable Fixed Rate Notes due 2019, Confirmed at B3; previously on March 23, 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 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 A/B, C, and D Principal Coverage Tests. The weighted average rating factor has steadily increased over the last year and is currently 3228 versus a test level of 3400 as of the last trustee report, dated June 2, 2009. Based on the same report, defaulted securities total approximately $106 million, accounting for roughly 18% of the collateral balance, and securities rated Caa1 or lower make up approximately 19% of the underlying portfolio. Interest payments on the Class C-1, C-2, D-1, and D-2 notes are presently being deferred as a result of the failure of the Class A/B Principal Coverage Test. Additionally, 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. 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 historical averages. Specifically, the default probability stresses include (1) a 1.5 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 0.5 notch-equivalent assumed downgrade for CEs is also applied to CEs provided between 6-12 months ago. Due to the impact of all the 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. FriedbergMilstein Private Capital Fund I, issued in December 2004, is a small and middle market collateralized loan obligation. 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. FU-BACM COMMERCIAL: Fitch Downgrades Ratings on 2001-C1 Certs. -------------------------------------------------------------- Fitch Ratings downgrades and assigns Rating Outlooks to FU-BACM Commercial Mortgage, series 2001-C1, commercial mortgage pass- through certificates: -- $16.4 million class H to 'A' from 'A+'; Negative Outlook; -- $19.6 million class J to 'BBB-' from 'BBB+; Negative Outlook; -- $16.4 million class K to 'B' from 'BBB-'; Negative Outlook; -- $13.1 million class L to 'CC/RR4' from 'BB+'; -- $6.5 million class M to 'C/RR6' from 'BB'; -- $9.8 million class N to 'C/RR6' from 'B-' -- $13.1 million class O to 'C/RR6' from 'CCC/DR1'. Fitch has also affirmed and assigns Outlooks to these classes: -- $703.6 million class A-2 at 'AAA'; Outlook Stable; -- $56.2 million class A-2F at 'AAA'; Outlook Stable; -- Interest-only classes IO-I, IO-II and IO-III at 'AAA'; Stable Outlook; -- $52.3 million class B at 'AAA'; Stable Outlook; -- $26.2 million class C at 'AAA'; Stable Outlook; -- $26.2 million class D at 'AAA'; Stable Outlook; -- $16.4 million class E at 'AAA'; Stable Outlook: -- $13.1 million class F at 'AAA'; Stable Outlook; -- $26.2 million class G at 'AA'; Negative Outlook; -- $6.5 million class P at 'C/RR6'. The downgrades reflect an increase in Fitch expected losses, as well as an increase in Fitch Loans of Concern (14.1%), which includes eight specially serviced loans (9.4%), since Fitch's last rating action. Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. The Negative Rating Outlooks reflect the high percentage of Fitch Loans of Concern. As of the June 2009 distribution date, the pool's aggregate principal balance has been reduced by 22.3% to $1.01 billion from $1.31 billion at issuance. Fifty-three loans (37.4%) have defeased including the two shadow-rated loans, the Cornerstone portfolio (7.8%) and the RFS Hotel portfolio (4.4%). Fitch has identified 17 Loans of Concern (14.1%), including eight specially serviced loans (9.4%). The largest specially serviced loan (3.6%) is collateralized by a 223,720 square foot office property located in Emeryville, California. The loan was transferred in June 2009 due to imminent default as a result of increased vacancy primarily from the FDIC termination of the WaMu lease (18% of NRA). Servicer reported year-to-date DSCR and occupancy is 0.66x and 68%, respectively. The special servicer is reviewing workout options. Fitch expects significant losses are likely upon liquidation unless occupancy is stabilized. At this time, the loan is current. The second largest specially serviced loan (2.2%) is collateralized by a 471,444 sf retail property in Sherman, Texas. The loan transferred to special servicing July 8, 2008 due to payment default. The mall has been affected by a new big box retail center located within close proximity and has resulted experienced an increase in vacancy. As of March 31, 2009 occupancy for the mall was 62.8%. Fitch expects losses are likely. The loan is in foreclosure. The third largest specially serviced loan (1.2%) is collateralized by a 354-unit multifamily property in Durham, North Carolina. The loan transferred to special serving April 29, 2008, due to payment default and deferred maintenance. The special servicer has negotiated a discounted pay-off and is scheduled to close in July 2009. Fitch expects moderate losses upon disposition. The largest non-specially serviced Fitch Loan of Concern (1.2%) is collateralized by a single-tenant medical office building in Sacramento, California. The property is currently 100% vacant and the borrower is working to stabilize the property by redeveloping the project into multi-tenant space. Fitch will continue to monitor the progress of this transition. Excluding defeased loans, four loans are scheduled to mature in 2009 (3.4%). One of these loans, Midway Mall (2.2%), is currently in special servicing. Excluding defeased loans, there are 79 loans scheduled to mature in 2010 (49.8%). GALAXY CLO: Moody's Downgrades Ratings on Various 2003-1 Notes -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Galaxy CLO 2003-1, Ltd.: -- US$232,500,000 Class A Floating Rate Notes, Due 2016, Downgraded to Aa3; previously on January 15, 2004 Assigned Aaa; -- US$13,500,000 Class B Deferrable Floating Rate Notes, Due 2016, Downgraded to Ba1; previously on March 18, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$9,500,000 Class C-1 Deferrable Floating Rate Notes, Due 2016, Downgraded to Caa1; previously on March 18, 2009 Downgraded to B3 and Placed Under Review for Possible Downgrade; -- US$14,500,000 Class C-2 Deferrable Fixed Rate Notes, Due 2016, Downgraded to Caa1; previously on March 18, 2009 Downgraded to B3 and Placed Under Review for Possible Downgrade; -- US$17,000,000 Class 1 Combination Securities, Downgraded to B3; previously on March 4, 2009 Baa1 Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds 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 Par Value Test. The weighted average rating factor has steadily increased over the last year and is currently 2982 versus a test level of 2468 as of the last trustee report, dated June 15, 2009. Based on the same report, defaulted securities total about $20.3 million, accounting for roughly 7.5% of the collateral balance, and securities rated Caa1 or lower make up approximately 15.3% 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. 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. GECMC 2003-C2: Fitch Downgrades Ratings on Various Classes ---------------------------------------------------------- Fitch Ratings has downgraded and assigned a Rating Outlook on this class of GECMC 2003-C2 commercial mortgage pass-through certificates, series 2003-C2: -- $8 million class BLVD-5 to 'BB+' from 'BBB-'; Outlook Negative. Fitch has also placed these classes on Rating Watch Negative: -- $1.9 million class BLVD-1 'A'; Watch Negative; -- $2.5 million class BLVD-2 'A-'; Watch Negative; -- $4.5 million class BLVD-3 'BBB+'; Watch Negative; -- $3.5 million class BLVD-4 'BBB'; Watch Negative. In addition, Fitch has affirmed and assigned Outlooks to these classes: -- $46.6 million class A-2 at 'AAA'; Outlook Stable; -- $54.3 million class A-3 at 'AAA'; Outlook Stable; -- $406.1 million class A-4 at 'AAA'; Outlook Stable; -- $176.1 million class A-1A at 'AAA'; Outlook Stable; -- Interest-only class X-1 at 'AAA'; Outlook Stable; -- Interest-only class X-2 at 'AAA'; Outlook Stable; -- $35.5 million class B at 'AAA'; Outlook Stable; -- $14.8 million class C at 'AAA'; Outlook Stable; -- $26.6 million class D at 'AAA'; Outlook Stable; -- $14.8 million class E at 'AAA'; Outlook Stable; -- $14.8 million class F at 'AAA'; Outlook Stable; -- $14.8 million class G at 'AA'; Outlook Stable; -- $14.8 million class H at 'A'; Outlook Stable; -- $19.2 million class J at 'BBB'; Outlook Stable; -- $7.4 million class K at 'BB+'; Outlook Stable; -- $8.9 million class L at 'BB'; Outlook Stable; -- $4.4 million class M at 'B+'; Outlook Negative; -- $7.4 million class N at 'B'; Outlook Negative; -- $3 million class O at 'B-'; Outlook Negative. Fitch does not rate $15.6 million class P certificates and class A-1 has paid in full. The downgrade of class BLVD-5 and the Watch Negative placements reflect the transfer of the Boulevard Mall to special servicing. Classes BLVD-1 through 5 represent the subordinate note rake classes for the Boulevard Mall. In total there are currently three specially serviced loans (8.2%). The Rating Outlooks reflect the likely direction of any rating changes over the next one or two years. The largest specially serviced loan is Boulevard Mall (7%). The loan is sponsored by GGP and was transferred in April 2009 after GGP filed for bankruptcy and included the property in the filing. At a minimum, CMBS trusts which include GGP loans will incur additional servicing fees. The pooled A-note for Boulevard Mall, which previously had an investment-grade shadow rating, is no longer considered investment grade. Class BLVD-5 is currently experiencing interest shortfalls as a result of the transfer of Boulevard Mall to special servicing. Fitch expects the class to continue to incur shortfalls that will likely not be recovered. The second largest specially serviced loan (0.6%) transferred on April 13, 2009 due to monetary default. The loan is secured by a 43,584 square foot (sf) retail property located in Olympia, WA. The most recent reported occupancy was 80% as of May 31, 2009, compared to 96% at issuance. The borrower is requesting a draw on reserves as part of a plan to reinstate the loan. The last specially serviced loan (0.5%) transferred on Nov. 13, 2008 due to monetary default. The loan is secured by a 40,301 sf industrial property located in Roswell, GA. As of March 3, 2009, the occupancy had dropped to 48% from 84%, and the reported DSCR had declined to 0.63 times (x). As of the June 2009 distribution date, the pool's aggregate certificate balance has decreased 24.9% to $905 million from $1.205 billion at issuance. In addition, 26 loans (29.48%) have defeased. The transaction has limited near-term maturity risk: 0% maturing in 2009, 3.88% in 2010 and 0.44% in 2011. Fitch expects to resolve the Watch Negative status of the Boulevard Mall rakes when more information becomes available about fees associated with the bankruptcy. 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 VII, Limited: -- US$45,600,000 Class B Floating Rate Notes Due 2020, Downgraded to A1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$9,500,000 Class 2 Combination Securities Due 2020, Downgraded to B3; previously on March 4, 2009 Baa3 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$29,000,000 Class C Deferrable Floating Rate Notes Due 2020, Confirmed at Ba1; previously on March 23, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$21,700,000 Class D Deferrable Floating Rate Notes Due 2020, Confirmed at B3; previously on March 23, 2009 Downgraded to B3 and Placed Under Review for Possible Downgrade; -- US$17,750,000 Class E Deferrable Floating Rate Notes Due 2020, Confirmed at Caa3; previously on March 23, 2009 Downgraded to Caa3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," the application of certain stresses with respect to the default probabilities associated with certain Moody's credit estimates, and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for second lien loans and high-yield corporate bonds 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 A/B, Class C, Class D, and Class E overcollateralization tests. The weighted average rating factor has increased over the last year and is currently 3671 versus a test level of 3575 as of the last trustee report, dated June 22, 2009. Based on the same report, defaulted securities total about $56.8 million, accounting for roughly 13.6% of the collateral balance, and securities rated Caa1 or lower make up approximately 30.8% of the underlying portfolio. Additionally, interest payments on the Class D and Class E notes are presently being deferred as a result of the failure of the Class C overcollateralization test. Moody's also 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 1.5 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 0.5 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 the trustee's reported numbers. GSC Partners CDO Fund VII, Limited, 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 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. GSR MORTGAGE: Moody's Downgrades Ratings on Seven Tranches ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 67 tranches from 7 RMBS transactions, backed by prime Jumbo loans, issued by GSR. The collateral backing these transactions consists primarily of first-lien, fixed and adjustable-rate, jumbo residential mortgage loans. These actions are a result of Moody's updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities backed by pools of jumbo mortgages originated prior to 2005 takes into account the annualized loss rate from the last 12 months and the projected loss rate over the 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 for the previous year. Pipeline Losses are calculated by using annualized roll rates of 15%, 30%, 65% and 90% for loans that are 60-89 days delinquent, 90 or more days delinquent, in foreclosure, and properties that are held for sale respectively. Moody's then applies loss upon default (severity) assumptions ranging from 25% to 35% on the loans that are projected to default. The roll-rates and severity assumptions mentioned above can vary from deal-to-deal, depending on a deal's specific characteristics. Weights are then applied to Recent Losses and Pipeline Losses. The weights applied depend on the year of loan and RMBS origination -- deals from earlier vintages typically experience higher Recent Losses and, as a result, have higher weights on Recent Losses. The weighted loss is then translated to lifetime projected loss depending on the deal's expected remaining life by which is estimated based the deal's pool factor and prepayment speeds. Moody's final rating actions are based on i) the level of credit enhancement available relative to the updated pool-level loss expectations and ii) current ratings. In addition, Moody's takes into account credit enhancement provided by seniority, cross- collateralization, time tranching, and other structural features within the priority of payments. List of actions: GSR Mortgage Loan Trust 2003-1 -- Cl. B-2, Downgraded to Aa1; previously on 7/17/2006 Upgraded to Aaa GSR Mortgage Loan Trust 2004-11 -- Cl. 1A1, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 1A2, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 1AX, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 2A1, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 2A2, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 2A3, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 2AX1, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 2AX2, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 3A1, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 4A1, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 5A1, Downgraded to A2; previously on 9/20/2004 Assigned Aaa GSR Mortgage Loan Trust 2004-12 -- Cl. 1A1, Downgraded to Aa1; previously on 12/30/2004 Assigned Aaa -- Cl. 1A2, Downgraded to Aa2; previously on 12/30/2004 Assigned Aaa -- Cl. 2A1, Downgraded to A3; previously on 12/30/2004 Assigned Aaa -- Cl. 2A2, Downgraded to A3; previously on 12/30/2004 Assigned Aaa -- Cl. 2A3, Downgraded to A3; previously on 12/30/2004 Assigned Aaa -- Cl. 3A5, Downgraded to A2; previously on 12/30/2004 Assigned Aaa -- Cl. 3A6, Downgraded to A2; previously on 12/30/2004 Assigned Aaa -- Cl. 1B1, Downgraded to A2; previously on 12/30/2004 Assigned Aa2 -- Cl. 1B2, Downgraded to Ba1; previously on 7/17/2007 Upgraded to A1 -- Cl. 1B3, Downgraded to Caa3; previously on 7/17/2007 Upgraded to Baa1 -- Cl. 1B4, Downgraded to Ca; previously on 12/30/2004 Assigned Ba2 -- Cl. 1B5, Downgraded to Ca; previously on 12/30/2004 Assigned B2 GSR Mortgage Loan Trust 2004-15F -- Cl. 1A-1, Downgraded to Aa3; previously on 7/1/2005 Assigned Aaa -- Cl. 1A-4, Downgraded to Aa3; previously on 7/1/2005 Assigned Aaa -- Cl. 2A-1, Downgraded to Aa3; previously on 7/1/2005 Assigned Aaa -- Cl. 2A-2, Downgraded to Aa3; previously on 7/1/2005 Assigned Aaa -- Cl. 2A-3, Downgraded to Aa3; previously on 7/1/2005 Assigned Aaa -- Cl. 3A-1, Downgraded to Aa3; previously on 7/1/2005 Assigned Aaa -- Cl. 3A-2, Downgraded to Aa3; previously on 7/1/2005 Assigned Aaa -- Cl. 4A-1, Downgraded to Aa3; previously on 7/1/2005 Assigned Aaa -- Cl. 5-A1, Downgraded to Aa3; previously on 7/1/2005 Assigned Aaa -- Cl. 6A-1, Downgraded to Aa3; previously on 7/1/2005 Assigned Aaa -- Cl. 7A-1, Downgraded to Aa3; previously on 7/1/2005 Assigned Aaa -- Cl. 7A-2, Downgraded to Aa3; previously on 7/1/2005 Assigned Aaa -- Cl. A-P, Downgraded to Aa3; previously on 7/1/2005 Assigned Aaa GSR Mortgage Loan Trust 2004-5 -- Cl. 1A1, Downgraded to Aa2; previously on 6/14/2004 Assigned Aaa -- Cl. 1A2, Downgraded to Aa3; previously on 7/17/2007 Upgraded to Aaa -- Cl. 1A3, Downgraded to Aa2; previously on 6/14/2004 Assigned Aaa -- Cl. 1AX, Downgraded to Aa2; previously on 6/14/2004 Assigned Aaa -- Cl. 2A1, Downgraded to Aa2; previously on 6/14/2004 Assigned Aaa -- Cl. 2AX, Downgraded to Aa2; previously on 6/14/2004 Assigned Aaa -- Cl. 3A2, Downgraded to Aa2; previously on 6/14/2004 Assigned Aaa -- Cl. 3A3, Downgraded to Aa2; previously on 6/14/2004 Assigned Aaa GSR Mortgage Loan Trust 2004-7 -- Cl. 1A-1, Downgraded to Aa2; previously on 7/30/2004 Assigned Aaa -- Cl. 1A-2, Downgraded to A3; previously on 7/30/2004 Assigned Aa1 -- Cl. 1A-3, Downgraded to A2; previously on 7/30/2004 Assigned Aaa -- Cl. 2A-1, Downgraded to A2; previously on 7/30/2004 Assigned Aaa -- Cl. 3A-1, Downgraded to A2; previously on 7/30/2004 Assigned Aaa -- Cl. 4A-1, Downgraded to A2; previously on 7/30/2004 Assigned Aaa GSR Mortgage Loan Trust 2004-9 -- Cl. 1A1, Downgraded to Aa3; previously on 9/7/2004 Assigned Aaa -- Cl. 1A2, Downgraded to Aa3; previously on 9/7/2004 Assigned Aaa -- Cl. 1AX, Downgraded to Aa3; previously on 9/7/2004 Assigned Aaa -- Cl. 2A1, Downgraded to Aa3; previously on 9/7/2004 Assigned Aaa -- Cl. 3A1, Downgraded to Aa2; previously on 9/7/2004 Assigned Aaa -- Cl. 3A2, Downgraded to Aa3; previously on 9/7/2004 Assigned Aaa -- Cl. 4A1, Downgraded to Aa3; previously on 9/7/2004 Assigned Aaa -- Cl. 5A2, Downgraded to Aa1; previously on 9/7/2004 Assigned Aaa -- Cl. 5A3, Downgraded to Aa3; previously on 9/7/2004 Assigned Aaa -- Cl. 5A4, Downgraded to Aa3; previously on 9/7/2004 Assigned Aaa -- Cl. 5A5, Downgraded to Aa3; previously on 9/7/2004 Assigned Aaa -- Cl. 5A6, Downgraded to Aa3; previously on 9/7/2004 Assigned Aaa -- Cl. 5A7, Downgraded to Aa3; previously on 9/7/2004 Assigned Aaa -- Cl. 5A8, Downgraded to Aa3; previously on 9/7/2004 Assigned Aaa -- Cl. 6A1, Downgraded to Aa3; previously on 9/7/2004 Assigned Aaa -- Cl. 7A1, Downgraded to Aa3; previously on 9/7/2004 Assigned Aaa GSR MORTGAGE: Moody's Downgrades Ratings on 280 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded 280 tranches and confirmed 25 tranches from 11 Jumbo transactions issued by GSR. 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: GSR Mortgage Loan Trust 2005-3F -- Cl. 1A-2, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-3, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-4, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-5, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-6, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-7, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-8, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-9, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-10, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-11, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-13, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-14, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-15, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-16, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-17, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-1, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-2, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-3, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-4, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-5, Downgraded to Baa1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade GSR Mortgage Loan Trust 2005-4F -- Cl. 1A-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3A-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-1, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-2, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-3, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-4, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-5, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-6, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-7, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-8, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-9, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-10, Downgraded to A2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-11, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-12, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-13, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 5A-1, Downgraded to Aa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 5A-2, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 6A-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade GSR Mortgage Loan Trust 2005-5F -- Cl. 1A-1, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1A-2, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-1, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-2, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-3, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-4, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-5, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-6, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-7, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-8, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-9, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-10, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-11, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-12, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-13, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-14, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-15, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-16, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-17, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-18, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-19, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3A-1, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3A-2, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3A-3, Downgraded to Aa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 3A-4, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3A-5, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3A-6, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3A-7, Downgraded to Aa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 4A-1, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-2, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-3, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-4, Downgraded to Aa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 4A-5, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-6, Downgraded to Aa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 4A-7, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A-8, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 5A-1, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 6A-1, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 7A-1, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 7A-2, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 8A-1, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 8A-2, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 8A-3, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 8A-4, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 8A-5, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 8A-6, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 8A-7, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 8A-8, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 8A-9, Downgraded to Aa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 8A-10, Downgraded to Aa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Aa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade GSR Mortgage Loan Trust 2005-AR3 -- Cl. 1A1, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A1, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3A1, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3A2, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4A1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 5A1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 6A1, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 6A2, Downgraded to B1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 7A1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 8A1, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 8A2, Downgraded to B1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Aa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1B1, Downgraded to Ba1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 1B2, Downgraded to B3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 1B3, Downgraded to Ca; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1B4, Downgraded to Ca; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2B1, Downgraded to Ca; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 2B2, Downgraded to C; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 2B3, Downgraded to C; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade GSR Mortgage Loan Trust 2006-6F -- Cl. 1A-1, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2A-1, Downgraded to B1; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2A-2, Downgraded to B1; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2A-3, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2A-4, Downgraded to Ba2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 2A-5, Downgraded to Caa3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 3A-1, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 3A-2, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 3A-3, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 3A-4, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 3A-5, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 4A-1, Downgraded to B3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 4A-2, 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 Ba2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade GSR Mortgage Loan Trust 2006-7F -- Cl. 1A-1, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2A-1, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2A-2, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2A-3, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2A-4, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2A-5, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2A-6, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2A-7, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2A-8, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2A-9, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2A-10, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2A-11, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2A-12, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 2A-13, Downgraded to Ca; previously on 3/19/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. 3A-1, Downgraded to Ba2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-2, Downgraded to Ba2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-3, Downgraded to Ca; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. 3A-4, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 3A-5, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 3A-6, Downgraded to Ba3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 3A-7, Downgraded to Ca; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. 3A-8, Downgraded to Ca; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. 4A-1, Confirmed at B2; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade -- Cl. 4A-2, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 4A-3, Downgraded to B1; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 4A-4, Downgraded to Ca; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. 4A-5, Downgraded to B2; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 4A-6, Downgraded to Ca; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. 4A-7, Downgraded to B1; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-8, Downgraded to B1; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-9, Downgraded to Ca; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. 4A-10, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 4A-11, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 4A-12, Downgraded to B1; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-13, Downgraded to B1; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-14, Downgraded to B1; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 5A-1, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 5A-2, Confirmed at B3; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade GSR Mortgage Loan Trust 2006-8F -- Cl. 1A-1, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 2A-1, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-1, Downgraded to Baa3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 3A-2, Downgraded to Baa3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 3A-3, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-4, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-5, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-6, Downgraded to Ba2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 3A-7, Downgraded to Ca; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-8, Downgraded to Ca; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-9, Downgraded to Ba2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 3A-10, Downgraded to Ba2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 3A-11, Downgraded to Ba2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 4A-1, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-2, Downgraded to Ba3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 4A-3, Downgraded to Ca; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-4, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-7, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-8, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-9, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-10, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-12, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-13, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-14, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-15, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-16, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-17, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-18, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-19, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-20, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-21, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 5A-1, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 5A-2, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade GSR Mortgage Loan Trust 2006-9F -- Cl. 1A-1, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2A-1, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 3A-1, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 4A-1, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 4A-2, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 4A-3, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 4A-4, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 4A-5, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 5A-1, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 5A-2, Downgraded to B3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 5A-3, Downgraded to Ba3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 5A-4, Downgraded to Ca; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 6A-1, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 6A-2, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 7A-1, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 8A-1, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 9A-1, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade GSR Mortgage Loan Trust 2007-1F -- Cl. 1A-1, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 2A-1, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 2A-2, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 2A-3, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 2A-4, Downgraded to Baa2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2A-5, Downgraded to Ca; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2A-6, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 2A-7, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 2A-8, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 2A-9, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 2A-10, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-1, Downgraded to Ba3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 3A-2, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-3, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-4, Downgraded to Baa2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 3A-5, Downgraded to Ca; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 3A-6, Downgraded to Ba3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-7, Downgraded to Ba3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-8, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-9, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-10, Downgraded to Ba1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 3A-11, Downgraded to Ba1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 3A-12, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-13, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-14, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-15, Downgraded to Baa2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 3A-16, Downgraded to Baa2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 4A-1, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4A-2, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Baa2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade GSR Mortgage Loan Trust 2007-2F -- Cl. 1A-1, Downgraded to B2; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1A-2, Downgraded to B2; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1A-3, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1A-4, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1A-5, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2A-1, Downgraded to B2; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2A-10, Downgraded to B2; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2A-2, Downgraded to B2; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2A-3, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2A-4, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2A-5, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2A-6, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2A-7, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2A-8, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2A-9, Downgraded to B2; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3A-1, Downgraded to B2; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3A-2, Downgraded to B2; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3A-3, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3A-4, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3A-5, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3A-6, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3A-7, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 3A-8, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3A-9, Downgraded to B2; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3A-10, Downgraded to B2; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 4A-1, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 4A-2, Downgraded to B3; previously on 3/19/2009 Ba2 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 Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade GSR Mortgage Loan Trust 2007-3F -- Cl. 1A-1, Downgraded to B2; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1A-2, Downgraded to B2; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1A-3, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1A-4, Downgraded to Ba1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 1A-5, Downgraded to Caa3; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2A-1, Downgraded to B2; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2A-2, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2A-3, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2A-4, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2A-5, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2A-6, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2A-7, Downgraded to Ba1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 2A-8, Downgraded to Caa3; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2A-9, Downgraded to B1; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2A-10, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 3A-1, Downgraded to B2; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 3A-2, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 3A-3, Downgraded to B2; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 3A-4, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 3A-5, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 3A-6, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 3A-7, Downgraded to Ba1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 3A-8, Downgraded to Caa3; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 4A-1, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 4A-2, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Ba1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade The ratings on the notes were assigned after evaluating factors determined applicable to the credit profile of the notes, such as: i) the nature, sufficiency, and quality of historical performance information available for the asset class as well as for the transaction sponsor, ii) collateral analysis, iii) an analysis of the policies, procedures and alignment of interests of the key parties to the transaction, most notably the originator and the servicer, iv) an analysis of the transaction's allocation of collateral cashflow and capital structure, v) an analysis of the transaction's governance and legal structure, and vi) a comparison of these attributes against those of other similar transactions. GUAM ECONOMIC: Fitch Takes Rating Actions on Various 2007 Bonds --------------------------------------------------------------- Fitch Ratings affirms two and downgrades one class from Guam Economic Development and Commerce Authority, Tobacco Settlement asset-backed bonds, series 2007: -- $17,505,000 series 2007A current interest turbo term bonds due June 1, 2032 affirmed at 'BBB+'; Outlook Stable; -- $16,070,000 series 2007A current interest turbo term bonds due June 1, 2047 affirmed at 'BBB+'; Outlook Negative; -- $3,407,077 series 2007B capital appreciation turbo term bonds June 1, 2057 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 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 2007A bond due in 2032 is being affirmed at 'BBB+' with a Stable Outlook which is consistent with the model output. The 2007A bond due in 2047 is being affirmed at 'BBB+' and the 2007B bond is being downgraded to 'BB+'. Fitch has assigned a Negative Outlook to both bonds 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. Guam Economic Development and Commerce Authority, Tobacco Settlement asset-backed bonds, series 2007 bonds are secured by the pledged payments made under the MSA. The pledged payments consist of Guam'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. GULF STREAM: Moody's Downgrades Ratings on Various 2007-1 Notes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Gulf Stream - Sextant CLO 2007-1, Ltd.: -- US$76,500,000 Class A-1-B Floating Rate Notes due 2021, Downgraded to A3; previously on March 31, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$17,500,000 Class B Floating Rate Notes due 2021, Downgraded to Baa2; previously on March 31, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$33,750,000 Class C Floating Rate Deferrable Notes due 2021, Downgraded to B1; previously on March 31, 2009 Ba1 Placed Under Review for Possible Downgrade; -- US$31,250,000 Class D Floating Rate Deferrable Notes due 2021, Downgraded to Ca; previously on March 31, 2009 Caa1 Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured through the weighted average rating factor), an increase in the dollar amount of defaulted securities, and an increase in the proportion of securities from issuers rated Caa1 and below. The weighted average rating factor has steadily increased over the last year and it is currently at 2948 versus a test level of 2770 as of the last trustee report, dated May 15, 2009. Based on the same report, defaulted securities total about $28.6 million, accounting for roughly 6% of the collateral balance, and securities rated Caa1 or lower make up approximately 16% of the underlying portfolio. 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. Due to the impact of all the 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. Gulf Stream - Sextant CLO 2007-1, Ltd., issued on May 24, 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. INDYMAC HOME: Moody's Downgrades Ratings on 27 Securities --------------------------------------------------------- Moody's Investors Service has downgraded the rating of 27 securities from eight subprime RMBS transactions issued by IndyMac. Six additional tranches have been placed on review for possible downgrade. 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: Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2004-A -- Cl. M-3, Downgraded to Baa2; previously on 6/15/2004 Assigned A3 -- Cl. M-4, Downgraded to B2; previously on 4/15/2008 Downgraded to Ba1 IndyMac Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2002-B -- Cl. M-1, Downgraded to Baa2; previously on 10/15/2002 Assigned Aa2 -- Cl. M-2, Downgraded to Caa2; previously on 10/15/2002 Assigned A2 -- Cl. B-1, Downgraded to C; previously on 5/29/2007 Downgraded to B1 -- Cl. B-2, Downgraded to C; previously on 5/29/2007 Downgraded to B3 IndyMac Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2000-C -- Cl. AF-5, Aaa Placed Under Review for Possible Downgrade; previously on 11/22/2000 Assigned Aaa -- Cl. AF-6, Aaa Placed Under Review for Possible Downgrade; previously on 11/22/2000 Assigned Aaa -- Cl. AV, Aaa Placed Under Review for Possible Downgrade; previously on 11/22/2000 Assigned Aaa -- Cl. MF-1, Downgraded to Caa2; previously on 11/23/2004 Downgraded to Baa2 -- Cl. MF-2, Downgraded to C; previously on 1/7/2005 Downgraded to Ca -- Cl. MV-1, Downgraded to Caa3; previously on 7/12/2007 Downgraded to Baa3 -- Cl. MV-2, Downgraded to C; previously on 7/12/2007 Downgraded to Caa2 IndyMac Home Equity Mortgage Loan Asset-Backed Trust, SPMD 2001-A -- AV, Downgraded to Baa1; previously on 4/25/2003 Downgraded to Aa2 -- MF-1, Downgraded to Caa3; previously on 1/7/2005 Downgraded to Ba3 -- MF-2, Downgraded to C; previously on 1/7/2005 Downgraded to Ca -- MV-1, Downgraded to Caa3; previously on 7/24/2006 Downgraded to Baa3 -- MV-2, Downgraded to C; previously on 1/7/2005 Downgraded to Ba3 IndyMac Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2001-B -- Cl. MF-1, Downgraded to B3; previously on 6/29/2001 Assigned Aa2 -- Cl. MF-2, Downgraded to C; previously on 9/26/2005 Downgraded to Ba1 -- Cl. BF, Downgraded to C; previously on 3/7/2005 Downgraded to Caa2 IndyMac Home Equity Mortgage Loan Asset-Backed Trust, SPMD 2004-B -- Cl. M-4, Downgraded to A3; previously on 10/27/2004 Assigned A1 -- Cl. M-5, Downgraded to Baa1; previously on 10/27/2004 Assigned A2 IndyMac Home Equity Mortgage Loan Asset-Backed Trust, SPMD 2004-C -- Cl. M-5, Downgraded to Ba1; previously on 4/15/2008 Downgraded to Baa3 -- Cl. M-6, Downgraded to Ba3; previously on 4/15/2008 Downgraded to Ba1 -- Cl. M-7, Downgraded to Caa2; previously on 4/15/2008 Downgraded to Ba3 -- Cl. M-8, Downgraded to C; previously on 4/15/2008 Downgraded to B2 -- Cl. M-9, Downgraded to C; previously on 4/15/2008 Downgraded to Caa1 Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2001-C -- Cl. AF-A, Aaa Placed Under Review for Possible Downgrade; previously on 11/20/2001 Assigned Aaa -- Cl. AF-B4, Aaa Placed Under Review for Possible Downgrade; previously on 11/20/2001 Assigned Aaa -- Cl. M-1, Aa2 Placed Under Review for Possible Downgrade; previously on 11/20/2001 Assigned Aa2 -- Cl. M-2, Downgraded to B3; previously on 4/12/2006 Downgraded to Baa2 -- Cl. B, Downgraded to C; previously on 4/12/2006 Downgraded to B2 INDYMAC MORTGAGE: Moody's Cuts Ratings on Nine 2005-AR1 Tranches ---------------------------------------------------------------- Moody's Investors Service has downgraded 9 tranches from IndyMac Mortgage Loan Trust 2005-AR1. The collateral backing these transactions consists primarily of first-lien, adjustable-rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions listed below reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: Issuer: IndyMac INDA Mortgage Loan Trust 2005-AR1 -- Cl. 1-A-1, Downgraded to Caa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Caa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade 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. IXIS ABS: S&P Downgrades Ratings on Seven Classes of Notes ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D' on seven classes of notes issued by IXIS ABS CDO 3 Ltd., a hybrid collateralized debt obligation transaction, following the liquidation of the collateral in the portfolio. S&P subsequently withdrew S&P's 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 --------- ----- -- ------- ---- IXIS ABS CDO 3 Ltd. A-1LA-SS NR Dsrp CCsrp IXIS ABS CDO 3 Ltd. A-1LB NR D CC IXIS ABS CDO 3 Ltd. A-2L NR D CC IXIS ABS CDO 3 Ltd. A-3L NR D CC IXIS ABS CDO 3 Ltd. B-1L NR D CC IXIS ABS CDO 3 Ltd. B-2L NR D CC IXIS ABS CDO 3 Ltd. X NR D CC NR - Not rated. JP MORGAN: Moody's Downgrades Ratings on 14 2007-HE1 Tranches ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 14 tranches issued by J.P. Morgan Mortgage Acquisition Trust 2007- HE1. The collateral backing these transactions consists primarily of first-lien, fixed- and adjustable-rate, subprime residential mortgage loans. The actions are triggered by a combination of factors that can include increased delinquencies, higher loss severities, slower prepayments and mounting losses in the underlying collateral. Additionally, the continued deterioration of the housing market has also contributed to the increased loss expectations for subprime pools. The actions listed below reflect Moody's updated loss projections for the subprime RMBS sector first announced in a press release on February 29, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on collateral performance and updated pool-level loss expectations relative to current levels of tranche-specific credit enhancement. Moody's took into account credit enhancement provided by subordination, cross- collateralization, excess spread, time tranching, and other structural features. Complete rating actions are: J.P. Morgan Mortgage Acquisition Trust 2007-HE1 -- Cl. AF-1, Downgraded to Baa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-2, Downgraded to Ba2; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to B1; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to B2; previously on 2/26/2009 A3 Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to B3; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to B1; previously on 2/26/2009 A3 Placed Under Review for Possible Downgrade -- Cl. AV-1, Downgraded to Ba2; previously on 2/26/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. AV-2, Downgraded to B3; previously on 2/26/2009 B1 Placed Under Review for Possible Downgrade -- Cl. AV-3, Downgraded to Caa2; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. AV-4, Downgraded to Caa3; previously on 2/26/2009 B3 Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to C; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to C; previously on 2/26/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to C; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. MF-4, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade LNR PARTNERS: Fitch Affirms CMBS Special Servicer Rating -------------------------------------------------------- Fitch Ratings has affirmed LNR Partners, Inc.'s CMBS special servicer rating at 'CSS1-'. The rating reflects LNR's demonstrated ability to specially service and workout loans and assets securing commercial mortgage- backed securities. The rating considers LNR's highly tenured management with consistently low turnover, its comprehensive surveillance procedures, and its continued use of robust technology. Fitch is closely monitoring LNR's financial condition through conversations with the LNR CFO and reviewing the most current financial statements. Like all CMBS special servicers, LNR is facing the challenge of a rapidly growing portfolio of specially serviced loans. Fitch is also carefully monitoring LNR's efforts to manage growth and continue to provide the level of service the CMBS market expects. As of March 31, 2009, LNR was named special servicer on 139 CMBS transactions totaling $209.9 billion. At the same date, the company was actively servicing 505 loans totaling $5.8 billion and managing 66 real estate owned assets totaling $520 million. LOWER BUCKS: Moody's Reviews 'B3' Rating on $27 Mil. 1992 Bonds --------------------------------------------------------------- Moody's Investors Service has placed the B3 rating for Lower Bucks Hospital on Watchlist for possible downgrade. The Watchlist applies to $27 million of Series 1992 Bonds issued by Langhorne Manor Higher Education and Health Authority, PA. The Watchlist follows receipt of unaudited ten-month financial statements ending April 30, 2009, and the continued decline in financial performance. Moody's expects to complete its review in the next 90 days. The last rating action on Lower Bucks Hospital was on March 26, 2009, when Moody's affirmed the B3 rating and negative outlook. MASTR ADJUSTABLE: Moody's Downgrades Ratings on Eight Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded 8 tranches from MASTR Adjustable Rate Mortgages Trust 2007-3. The collateral backing the transaction consists primarily of first-lien, adjustable-rate, negative amortization, 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 Option ARM pools. The actions listed below reflect Moody's updated expected losses on the Option ARM sector announced in a press release on February 5, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: Issuer: MASTR Adjustable Rate Mortgages Trust 2007-3 -- Cl. 2-M1, Downgraded to C; previously on 8/6/2008 Downgraded to Ba1 -- Cl. 2-M2, Downgraded to C; previously on 8/6/2008 Downgraded to Ba3 -- Cl. 2-M3, Downgraded to C; previously on 8/6/2008 Downgraded to B2 -- Cl. 2-M4, Downgraded to C; previously on 8/6/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade -- Cl. 2-M5, Downgraded to C; previously on 7/1/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade -- Cl. 2-M6, Downgraded to C; previously on 8/6/2008 Downgraded to Ca -- Cl. 2-M7, Downgraded to C; previously on 7/1/2008 Downgraded to Ca -- Cl. 2-M8, Downgraded to C; previously on 7/1/2008 Downgraded to Ca 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 MASTR ASSET: Moody's Downgrades Ratings on 74 Tranches ------------------------------------------------------ Moody's Investors Service has downgraded 74 tranches from 3 RMBS transactions issued by MASTR Asset Securitization. The collateral backing these transactions consists primarily of first-lien, fixed rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions listed below reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 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: MASTR Asset Securitization Trust 2005-2 -- Cl. 1-A-1, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Aa2 and remains on Review for Possible Downgrade; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to B1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to Ca; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade MASTR Asset Securitization Trust 2006-1 -- Cl. 1-A-1, Downgraded to Baa1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Baa3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Ba2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Ba2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Ba1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to B1; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to B1; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Baa3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to B1; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B1; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B1; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to B2; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to B1; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 15-A-X, Downgraded to B1; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 15-PO, Downgraded to B1; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 30-A-X, Downgraded to Baa1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 30-PO, Downgraded to B1; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade MASTR Asset Securitization Trust 2006-2 -- Cl. 1-A-1, Downgraded to B3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to B2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to B2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to B2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Caa3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to B2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to B2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to B2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Downgraded to B2; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-18, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-19, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-20, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-21, Downgraded to B1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-22, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-23, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-24, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-25, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-26, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-27, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-28, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-29, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-30, Downgraded to B2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-31, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-32, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-33, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-34, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-35, Downgraded to B3; previously on 3/19/2009 A1 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 B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to Ca; 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. MASTR ASSET: Moody's Downgrades Ratings on Two Securities --------------------------------------------------------- Moody's Investors Service has downgraded the ratings of Cl. A-1 & Cl. A-2 securities issued by MASTR Asset Backed Securities Trust 2006-HE3. The rating actions are the result of recent deterioration relative to expected performance. The collateral backing the transaction consists primarily of first-lien, fixed and adjustable-rate subprime residential mortgage loans. The downgrades relate to cashflowing senior bonds whose support has deteriorated in recent months, as principal payments have slowed relative to erosion of credit support provided by subordinate bonds. The downgraded bonds are at higher risk of losses in the event that they are not paid off before supporting subordinate bonds are completely written down. In the event that subordinate bonds are written down entirely, this deal has structural features that redirect principal payments pro-rata toward all senior bonds. In its analysis of these bonds, Moody's has considered the current available level of credit enhancement and updated its base cashflow assumptions for the transactions, in order to account for CDR, CPR and severity trends. Issuer: MASTR Asset Backed Securities Trust 2006-HE3 -- Cl. A-1, Downgraded to B2; previously on 3/20/2009 Downgraded to A2 -- Cl. A-2, Downgraded to Caa3; previously on 3/20/2009 Downgraded to Caa2 MERRILL LYNCH: Moody's Downgrades Ratings on A-2A Securities ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of the Cl. A- 2A securities issued by Merrill Lynch Mortgage Investors Trust 2006-RM4. The rating actions are the result of recent deterioration relative to expected performance. The collateral backing the transaction consists primarily of first-lien, fixed and adjustable subprime residential mortgage loans. The downgrades relate to cashflowing senior bonds whose support has deteriorated in recent months, as principal payments have slowed relative to erosion of credit support provided by subordinate bonds. The downgraded bonds are at higher risk of losses in the event that they are not paid off before supporting subordinate bonds are completely written down. In the event that subordinate bonds are written down entirely, this deal has structural features that redirect principal payments pro-rata toward all senior bonds. In its analysis of these bonds, Moody's has considered the current available level of credit enhancement and updated its base cashflow assumptions for the transactions, in order to account for CDR, CPR and severity trends. Complete list of rating actions below: Issuer: Merrill Lynch Mortgage Investors Trust 2006-RM4 -- Cl. A-2A, Downgraded to Caa2; previously on 3/17/2009 Downgraded to Baa3 MESA GLOBAL: Moody's Downgrades Ratings on Two Securities --------------------------------------------------------- Moody's Investors Service has downgraded the rating of two securities from two transactions issued by MESA. Additionally Moody's has upgraded the ratings of two securities from MESA 2003- 1 Global Issuance Company. 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. The bonds being upgraded have experienced an improvement in credit support provided by subordination and overcollateralization relative to expected loss attributable to the purely sequential nature of the principal cashflows. Moody's approach to analyzing seasoned subprime pools i.e. prior to 2H 2005 takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions, in this case ranging from 70-80%. 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: MESA 2002-3 Global Issuance Company -- Cl. B-2, Downgraded to Ca; previously on 10/25/2007 Downgraded to Caa1 Issuer: MESA 2003-1 Global Issuance Company -- Cl. M-2, Upgraded to Aaa; previously on 11/16/2006 Upgraded to Aa1 -- Cl. B-1, Upgraded to Aa1; previously on 11/16/2006 Upgraded to Aa3 -- Cl. B-3, Downgraded to B3; previously on 11/16/2006 Upgraded to A3 METROPOLITAN ASSET: Moody's Downgrades Ratings on Three Securities ------------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of three securities and upgraded the ratings of eight securities from six transactions issued by Metropolitan. 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 75%. The results of these two calculations -- Recent Losses and Pipeline Losses -- are weighted to arrive at the lifetime cumulative loss projection. Moody's has upgraded eight bonds as a result of each deal permanently failing its cumulative loss performance trigger, causing all principal collections to be distributed sequentially. These sequential payments to the upgraded bonds will enable the tranches to maintain strong credit profiles. The complete rating actions: Issuer: Metropolitan Asset Funding, Inc. II Series, 1998-A -- B-1, Upgraded to Aa2; previously on 4/28/1998 Assigned Baa2 Issuer: Metropolitan Asset Funding, Inc. II, Series 1998-B -- M-2, Upgraded to Aaa; previously on 11/24/1998 Assigned A2 Issuer: Metropolitan Asset Funding, Inc. II, Series 1999-A -- M-2, Upgraded to Aaa; previously on 3/18/1999 Assigned A2 -- B-1, Downgraded to Caa1; previously on 10/1/2003 Downgraded to B3 Issuer: Metropolitan Asset Funding, Inc. II, Series 1999-B -- M-2, Upgraded to Aaa; previously on 10/1/2003 Upgraded to Aa2 -- B-1, Upgraded to Aa3; previously on 9/20/1999 Assigned Baa2 -- B-2, Downgraded to Caa2; previously on 11/30/2005 Downgraded to B2 Issuer: Metropolitan Asset Funding, Inc. II, Series 1999-C -- Cl. B-2, Upgraded to Aaa; previously on 10/1/2003 Upgraded to Baa3 -- Cl. B-3, Upgraded to Aa2; previously on 10/1/2003 Upgraded to Ba3 Issuer: Metropolitan Mortgage Funding, Inc., Series 2000-B -- Cl. M-1, Upgraded to Aaa; previously on 10/1/2003 Downgraded to A1 -- Cl. B-1, Downgraded to Ca; previously on 10/1/2003 Downgraded to Caa2 MOMENTUM CAPITAL: Moody's Downgrades Ratings on Various Notes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Momentum Capital Fund, Ltd.: -- US$52,400,000 Class A-2 Floating Rate Notes Due 2021, Downgraded to Aa2; previously on March 4, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$22,500,000 Class B Floating Rate Notes Due 2021, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$15,950,000 Class C Deferrable Floating Rate Notes Due 2021, Downgraded to Ba2; previously on March 13, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$11,250,000 Class D Deferrable Floating Rate Notes Due 2021, Downgraded to Caa1; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$9,150,000 Class E Deferrable Floating Rate Notes Due 2021, Downgraded to Ca; previously on March 13, 2009 Downgraded to Caa3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for 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 D and Class E Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and is currently at 2689 versus a test level of 2586 as of the last trustee report, dated June 10, 2009. Based on the same report, defaulted securities total about $12.7 million, accounting for roughly 3.8% of the collateral balance, and securities rated Caa1 or lower make up approximately 15% of the underlying portfolio. Additionally, interest payments on the Class D and Class E Notes were deferred on the last payment date in April 2009 as a result of the failure of the Class C and Class D Overcollateralization Tests. 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. Momentum Capital Fund, Ltd., issued in September 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 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. NY COUNTIES: Fitch Affirms Ratings on Various 2005 Bonds -------------------------------------------------------- Fitch Ratings affirms eight and upgrades one class from New York Counties Tobacco Trust IV series 2005: Tobacco settlement asset-backed bonds senior current interest turbo term bonds: -- $6,965,000 due June 1, 2021 affirmed at 'BBB+'; Outlook Stable; -- $4,520,000 due June 1, 2026 affirmed at 'BBB+'; Outlook Stable; -- $54,610,000 due June 1, 2027 affirmed at 'BBB+'; Outlook Stable; -- $16,585,000 due June 1, 2038 affirmed at 'BBB+'; Outlook Stable; -- $124,400,000 due June 1, 2041 affirmed at 'BBB+'; Outlook Stable; -- $84,975,000 due June 1, 2042 affirmed at 'BBB+'; Outlook Stable; -- $83,875,000 due June 1, 2045 affirmed at 'BBB+'; Outlook Stable; Tobacco settlement asset-backed bonds subordinate turbo capital appreciation bonds: -- 2005D affirmed at 'BBB', Outlook Stable; -- 2005E upgraded to 'BBB' 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 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 ratings of the 2021 through 2038 turbo bonds suggested by the model are 'A-', the bonds are being affirmed at the cap rating of 'BBB+' with a Stable Outlook. The 2041 through 2045 bonds are being affirmed at a level consistent with the model output of 'BBB+' with a Stable Outlook. The 2005D capital appreciation bond is being affirmed at 'BBB' with a Stable Outlook while the 2005E is being upgraded from 'BB+' to 'BBB' with a Stable Outlook. Although the model output indicated a notch above these ratings on the CABs, Fitch accounted for the uncertainty associated with the long term horizon of these bonds. New York Counties Tobacco Trust IV 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. NY COUNTIES: Fitch Upgrades Ratings on 2005 S3 Bonds From 'BB' -------------------------------------------------------------- Fitch Ratings upgrades two classes of capital appreciation bonds from New York Counties Tobacco Trust V Series 2005: -- 2005 S1 affirmed at 'BBB', Stable Outlook; -- 2005 S2 upgraded to 'BBB' from 'BBB-', Stable Outlook; -- 2005 S3 upgraded to 'BBB-' from 'BB', Positive Outlook. 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. The 2005 S1 capital appreciation bond is being affirmed at 'BBB' with a Stable Outlook while the 2005 S2 is being upgraded from 'BBB-' to 'BBB' with a Stable Outlook. Although the model output indicated a notch above these ratings on the CABs, Fitch accounted for the uncertainty associated with the long term horizon of these bonds. The 2005 S3 CAB is being upgraded from 'BB' to '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. New York Counties Tobacco Trust V 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 PREFERREDPLUS TRUST: S&P Corrects Rating on $50MM Certs. to 'CCC-' ------------------------------------------------------------------ Standard & Poor's Ratings Services corrected its rating on PreferredPLUS Trust Series FRD-1's $50 million trust certificates by raising the rating to 'CCC-' from 'D'. The rating on the certificates is dependent on the rating on the underlying security, Ford Motor Co.'s 7.40% debentures due Nov. 1, 2046. S&P did not take rating action on the certificates contemporaneously with the rating action on the underlying security due to an administrative error. The rating action reflects the April 13, 2009, raising of S&P's rating on the underlying security to 'CCC-' from 'D'. PROVIDENT BANK: Moody's Downgrades Ratings on 1999-3 Trusts ----------------------------------------------------------- Moody's Investors Service has downgraded the rating of 1 security from Provident Bank Home Equity Loan Trust 1999-3. 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 a deal-specific severity of 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: Provident Bank Home Equity Loan Trust 1999-3 -- A-1, Downgraded to B3; previously on 2/18/2009 Downgraded to B1 PRUDENTIAL ASSET: Fitch Affirms CMBS Servicer Ratings ----------------------------------------------------- Fitch Ratings has affirmed Prudential Asset Resources' CMBS servicer ratings: -- Primary servicer at 'CPS2+'; -- Master servicer at 'CMS2'; -- Special servicer at 'CSS2-'. Each of the ratings considers the extensive industry experience of PAR's servicing management and staff. The primary servicer rating considers PAR's demonstrated ability to service loans in commercial mortgage-backed securities transactions, its robust employee training program, and continued implementation of strong technology. The master servicer rating reflects PAR's proven ability to report and remit to CMBS trustees and to oversee third party primary servicers. The special servicer rating reflects the special servicing group's experienced asset managers and their ability to workout, manage and liquidate nonperforming loans and real estate owned properties in CMBS transactions. As of March 31, 2009, PAR's total servicing portfolio consisted of 6,095 loans totaling $63.2 billion, of which approximately $14 billion across 37 transactions, including 29 transactions as the named master servicer, was CMBS. As of the same date, PAR was overseeing four primary servicers in one CMBS transaction who serviced 65 loans totaling $395.7 million. Also as of March 31, 2009, PAR was named special servicer on 14 CMBS transactions, comprising 17 loans totaling $1.5 billion. RACE POINT: Moody's Downgrades Ratings on Various Classes --------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Race Point IV CLO, Ltd. -- US$72,500,000 Class A-1-B Floating Rate Notes Due 2021, Downgraded to A1; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- US$50,000,000 Class A-2 Floating Rate Notes Due 2021, Downgraded to Aa3; previously on August 1, 2007 Assigned Aaa; -- US$22,000,000 Class B Floating Rate Notes Due 2021, Downgraded to Baa1; previously on March 4, 2009 Aa3 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$33,000,000 Class C Floating Rate Deferrable Notes Due 2021, Confirmed at Ba2; previously on March 13, 2009 Downgraded to Ba2 and Placed Under Review for Possible Downgrade; -- US$39,900,000 Class D Floating Rate Deferrable Notes Due 2021, Confirmed at Caa3; 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," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured through the weighted average rating factor), an increase in the dollar amount of defaulted securities, and an increase in the proportion of securities from issuers rated Caa1 and below. The weighted average rating factor has steadily increased over the last year and it is currently 3178 as of the last trustee report, dated June 15, 2009. Based on the same report, defaulted securities total about $61.2 million, accounting for roughly 11% of the collateral balance, and securities rated Caa1 or lower make up approximately 26% of the underlying portfolio. Additionally, interest payments on the Class D Notes are presently being deferred. 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. 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. RALI SERIES: Moody's Junks Ratings on 2006-Q09 Trust From 'Aa3' --------------------------------------------------------------- Moody's Investors Service has downgraded 1 tranche from the RALI Series 2006-QO9 Trust. Complete rating action is: Issuer: RALI Series 2006-QO9 Trust -- Cl. AXP, Downgraded to Caa1; previously on 9/17/2008 Aa3 Placed Under Review for Possible Downgrade The collateral backing the transaction consists primarily of first-lien, adjustable-rate, negative amortization, Alt-A mortgage loans. The action is 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 Option ARM pools. The actions listed below reflect Moody's updated expected losses on the Option ARM sector announced in a press release on February 5, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. 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. RESIDENTIAL ASSET: Moody's Downgrades Ratings on 130 Securities --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 130 securities from 25 transactions issued by Residential Asset Securities Corporation. These actions are part of an ongoing review of subprime RMBS transactions. The rating actions are the result of an analysis of credit enhancement relative to updated collateral loss projections. The revised loss projections generally result from deterioration in collateral performance in recent months. Additionally, most affected transactions have, at some point, passed performance triggers and released portions of credit enhancement. In addition, in certain RASC deals, the over-collateralization accounts and excess spread are cross-collateralized between the different pools within a transaction. Therefore, for these deals, losses incurred on a deteriorating pool could erode the over- collateralization accounts for both pools. As a result, the better performing pool's loss may be allocated to subordinate bonds instead of being absorbed by that pool's outstanding over- collateralization amount. This feature can adversely affect the creditworthiness of certain bonds backed by better performing collateral relative to a non-related collateral group from the same transaction. Moody's approach to analyzing seasoned subprime pools (i.e. prior to 2H 2005) takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions, in this case ranging from 55% to 80%. The results of these two calculations -- Recent Losses and Pipeline Losses -- are weighted to arrive at the lifetime cumulative loss projection. The complete rating actions: RASC Series 1999-RS1 -- A-I-3, Downgraded to Ba1; previously on 11/17/2008 Published at Aa2 -- A-II, Downgraded to Baa2; previously on 11/17/2008 Published at Aaa RASC Series 2001-KS2 Trust -- Cl. A-I-5, Downgraded to Baa2; previously on 6/29/2001 Assigned Aaa -- Cl. A-I-6, Downgraded to Baa1; previously on 6/29/2001 Assigned Aaa -- Cl. M-I-1, Downgraded to Ba2; previously on 2/28/2005 Downgraded to A2 -- Cl. M-I-2, Downgraded to C; previously on 6/7/2006 Downgraded to Baa3 -- Cl. M-I-3, Downgraded to C; previously on 5/17/2007 Downgraded to Caa2 -- Cl. A-II, Downgraded to A1; previously on 6/29/2001 Assigned Aaa -- Cl. M-II-1, Downgraded to B2; previously on 9/29/2006 Downgraded to A1 -- Cl. M-II-2, Downgraded to C; previously on 6/7/2006 Downgraded to Baa3 -- Cl. M-II-3, Downgraded to C; previously on 6/29/2001 Assigned Baa2 RASC Series 2001-KS3 Trust -- A-I-5, Downgraded to Baa1; previously on 10/23/2001 Assigned Aaa -- A-I-6, Downgraded to A3; previously on 10/23/2001 Assigned Aaa -- A-II, Downgraded to Aa3; previously on 10/23/2001 Assigned Aaa -- M-I-1, Downgraded to B1; previously on 2/28/2005 Downgraded to A2 -- M-I-2, Downgraded to C; previously on 6/7/2006 Downgraded to Ba2 -- M-I-3, Downgraded to C; previously on 6/7/2006 Downgraded to Caa1 -- M-II-1, Downgraded to Ba1; previously on 10/23/2001 Assigned Aa2 -- M-II-2, Downgraded to Ca; previously on 10/23/2001 Assigned A2 -- M-II-3, Downgraded to C; previously on 10/23/2001 Assigned Baa2 RASC Series 2002-KS1 Trust -- Cl. A-I-5, Downgraded to Ba3; previously on 11/17/2008 Downgraded to Baa1 -- Cl. A-I-6, Downgraded to Ba3; previously on 11/17/2008 Downgraded to Baa1 -- Cl. A-IIA, Downgraded to Ba3; previously on 11/17/2008 Downgraded to Baa1 -- Cl. A-IIB, Downgraded to Ba3; previously on 11/17/2008 Downgraded to Baa1 RASC Series 2002-KS2 Trust -- Cl. A-I-5, Downgraded to Aa2; previously on 4/29/2002 Assigned Aaa -- Cl. M-I-1, Downgraded to Baa3; previously on 9/25/2006 Downgraded to Aa3 -- Cl. M-I-2, Downgraded to Ca; previously on 9/25/2006 Downgraded to Ba1 -- Cl. M-I-3, Downgraded to C; previously on 9/25/2006 Downgraded to Caa3 RASC Series 2003-KS11 Trust -- Cl. M-I-2, Downgraded to Baa1; previously on 2/20/2004 Assigned A2 -- Cl. M-I-3, Downgraded to B3; previously on 2/20/2004 Assigned Baa2 -- Cl. M-II-1, Downgraded to A1; previously on 2/20/2004 Assigned Aa2 -- Cl. M-II-2, Downgraded to Baa3; previously on 2/20/2004 Assigned A2 -- Cl. M-II-3, Downgraded to Caa2; previously on 2/20/2004 Assigned Baa2 RASC Series 2003-KS2 Trust -- Cl. M-I-2, Downgraded to Baa1; previously on 4/24/2003 Assigned A2 -- Cl. M-I-3, Downgraded to Ba1; previously on 4/24/2003 Assigned Baa2 RASC Series 2003-KS4 Trust -- Cl. A-II-A, Downgraded to Ba3; previously on 11/17/2008 Downgraded to Baa1 -- Cl. A-II-B, Downgraded to Ba3; previously on 11/17/2008 Downgraded to Baa1 -- Cl. A-III, Downgraded to Ba3; previously on 11/17/2008 Downgraded to Baa1 -- Cl. M-I-1, Downgraded to A1; previously on 7/31/2003 Assigned Aa2 -- Cl. M-I-2, Downgraded to Baa2; previously on 7/31/2003 Assigned A2 -- Cl. M-I-3, Downgraded to Caa1; previously on 7/31/2003 Assigned Baa2 RASC Series 2003-KS5 Trust -- Cl. A-I-5, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Baa2 -- Cl. A-I-6, Downgraded to Ba2; previously on 4/13/2009 Downgraded to Baa2 -- Cl. A-II-A, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Baa2 -- Cl. A-II-B, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Baa2 RASC Series 2003-KS6 Trust -- Cl. A-I, Downgraded to Aa3; previously on 8/29/2003 Assigned Aaa -- Cl. A-II, Downgraded to Aa3; previously on 8/29/2003 Assigned Aaa -- Cl. M-1, Downgraded to Ba2; previously on 1/3/2008 Downgraded to Baa2 -- Cl. M-2, Downgraded to C; previously on 1/3/2008 Downgraded to B1 -- Cl. M-3, Downgraded to C; previously on 1/3/2008 Downgraded to B2 RASC Series 2003-KS7 Trust -- Cl. A-I-5, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa -- Cl. A-I-6, Downgraded to Aa1; previously on 9/26/2003 Assigned Aaa -- Cl. M-I-1, Downgraded to A2; previously on 9/26/2003 Assigned Aa2 -- Cl. M-I-2, Downgraded to Baa3; previously on 9/26/2003 Assigned A2 -- Cl. M-I-3, Downgraded to Caa3; previously on 9/26/2003 Assigned Baa2 RASC Series 2003-KS8 Trust -- Cl. M-I-1, Downgraded to A1; previously on 11/21/2003 Assigned Aa2 -- Cl. M-I-2, Downgraded to Baa2; previously on 11/21/2003 Assigned A2 -- Cl. M-I-3, Downgraded to B3; previously on 11/21/2003 Assigned Baa2 RASC Series 2003-KS9 Trust -- Cl. A-I-4, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Baa2 -- Cl. A-I-5, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Baa2 -- Cl. A-I-6, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Baa2 -- Cl. A-II-A, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Baa2 -- Cl. A-II-B, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Baa2 RASC Series 2004-KS1 Trust -- Cl. M-I-1, Downgraded to A1; previously on 4/15/2004 Assigned Aa2 -- Cl. M-I-2, Downgraded to Baa3; previously on 4/15/2004 Assigned A2 -- Cl. M-I-3, Downgraded to Caa1; previously on 4/15/2004 Assigned Baa2 -- Cl. M-II-1, Downgraded to Aa3; previously on 4/15/2004 Assigned Aa2 -- Cl. M-II-2, Downgraded to Baa3; previously on 11/16/2007 Downgraded to Baa1 -- Cl. M-II-3, Downgraded to B2; previously on 11/16/2007 Downgraded to Ba3 RASC Series 2004-KS10 Trust -- Cl. M-1, Downgraded to A1; previously on 11/19/2004 Assigned Aa2 -- Cl. M-2, Downgraded to Baa3; previously on 11/19/2004 Assigned A2 -- Cl. M-3, Downgraded to Ba2; previously on 11/16/2007 Downgraded to Baa1 -- Cl. M-4, Downgraded to Caa3; previously on 11/16/2007 Downgraded to Baa3 -- Cl. M-5, Downgraded to C; previously on 11/16/2007 Downgraded to Ba2 -- Cl. M-6, Downgraded to C; previously on 11/16/2007 Downgraded to B1 -- Cl. B, Downgraded to C; previously on 11/16/2007 Downgraded to B3 RASC Series 2004-KS11 Trust -- Cl. M-1, Downgraded to Baa2; previously on 3/23/2009 Downgraded to A2 -- Cl. M-2, Downgraded to Caa3; previously on 3/23/2009 Downgraded to B3 -- Cl. M-3, Downgraded to C; previously on 3/23/2009 Downgraded to Caa2 RASC Series 2004-KS12 Trust -- Cl. M-1, Downgraded to A2; previously on 1/17/2005 Assigned Aa2 -- Cl. M-2, Downgraded to Ba3; previously on 3/23/2009 Downgraded to Ba2 -- Cl. M-3, Downgraded to Ca; previously on 3/23/2009 Downgraded to B3 RASC Series 2004-KS2 Trust -- Cl. M-I-1, Downgraded to A1; previously on 4/15/2004 Assigned Aa2 -- Cl. M-I-2, Downgraded to Baa3; previously on 4/15/2004 Assigned A2 -- Cl. M-I-3, Downgraded to Ca; previously on 11/16/2007 Downgraded to Ba1 -- Cl. M-II-1, Downgraded to A1; previously on 4/15/2004 Assigned Aa2 -- Cl. M-II-2, Downgraded to Baa3; previously on 4/15/2004 Assigned A2 -- Cl. M-II-3, Downgraded to Ca; previously on 11/16/2007 Downgraded to Ba3 RASC Series 2004-KS3 Trust -- Cl. A-I-5, Downgraded to Aa2; previously on 5/28/2004 Assigned Aaa -- Cl. A-I-6, Downgraded to Aa1; previously on 5/28/2004 Assigned Aaa -- Cl. M-I-1, Downgraded to A2; previously on 5/28/2004 Assigned Aa2 -- Cl. M-I-2, Downgraded to Baa3; previously on 5/28/2004 Assigned A2 -- Cl. M-I-3, Downgraded to Ca; previously on 5/28/2004 Assigned Baa2 -- Cl. M-II-1, Downgraded to A2; previously on 5/28/2004 Assigned Aa2 -- Cl. M-II-2, Downgraded to Ba1; previously on 5/28/2004 Assigned A2 -- Cl. M-II-3, Downgraded to Ca; previously on 11/16/2007 Downgraded to Ba2 RASC Series 2004-KS4 Trust -- Cl. A-I-4, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Ba2 -- Cl. A-I-5, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Ba2 -- Cl. A-I-6, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Ba2 -- Cl. A-II-A, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Ba2 -- Cl. A-II-B3, Downgraded to Ba3; previously on 4/13/2009 Downgraded to Ba2 RASC Series 2004-KS5 Trust -- Cl. A-I-5, Downgraded to Aa3; previously on 8/16/2004 Assigned Aaa -- Cl. A-I-6, Downgraded to Aa2; previously on 8/16/2004 Assigned Aaa -- Cl. M-I-1, Downgraded to Baa2; previously on 8/16/2004 Assigned Aa2 -- Cl. M-I-2, Downgraded to B3; previously on 8/16/2004 Assigned A2 -- Cl. M-I-3, Downgraded to Caa3; previously on 8/16/2004 Assigned Baa2 -- Cl. M-II-1, Downgraded to Baa1; previously on 8/16/2004 Assigned Aa2 -- Cl. M-II-2, Downgraded to B2; previously on 8/16/2004 Assigned A2 -- Cl. M-II-3, Downgraded to C; previously on 11/16/2007 Downgraded to Ba2 RASC Series 2004-KS6 Trust -- Cl. A-I-4, Downgraded to Aa3; previously on 8/30/2004 Assigned Aaa -- Cl. A-I-5, Downgraded to A2; previously on 8/30/2004 Assigned Aaa -- Cl. A-I-6, Downgraded to A1; previously on 8/30/2004 Assigned Aaa -- Cl. M-I-1, Downgraded to Baa3; previously on 8/30/2004 Assigned Aa2 -- Cl. M-I-2, Downgraded to Ca; previously on 8/30/2004 Assigned A2 -- Cl. M-I-3, Downgraded to C; previously on 8/30/2004 Assigned Baa2 -- Cl. M-II-1, Downgraded to A1; previously on 8/30/2004 Assigned Aa2 -- Cl. M-II-2, Downgraded to B3; previously on 8/30/2004 Assigned A2 -- Cl. M-II-3, Downgraded to C; previously on 11/16/2007 Downgraded to Ba2 RASC Series 2004-KS7 Trust -- Cl. A-I-3, Downgraded to B1; previously on 8/8/2008 Downgraded to Ba3 -- Current Underlying: Downgraded to B1; previously on 8/8/2008 Published at Ba3 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-I-4, Downgraded to B3; previously on 8/8/2008 Downgraded to B1 -- Current Underlying: Downgraded to B3; previously on 8/8/2008 Published at B1 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-I-5, Downgraded to B3; previously on 12/19/2008 Downgraded to B2 -- Current Underlying: Downgraded to B3; previously on 8/8/2008 Published at B2 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-I-6, Downgraded to B3; previously on 8/8/2008 Downgraded to B1 -- Current Underlying: Downgraded to B3; previously on 8/8/2008 Published at B1 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-II-A, Downgraded to Caa2; previously on 12/19/2008 Downgraded to B2 -- Current Underlying: Downgraded to Caa2; previously on 8/8/2008 Published at B2 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-II-B3, Downgraded to Caa2; previously on 12/19/2008 Downgraded to B3 -- Current Underlying: Downgraded to Caa2; previously on 8/8/2008 Published at B3 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) RASC Series 2004-KS8 Trust -- Cl. M-II-1, Downgraded to Baa3; previously on 3/23/2009 Downgraded to Baa2 -- Cl. M-II-2, Downgraded to Caa3; previously on 3/23/2009 Downgraded to B2 -- Cl. M-II-3, Downgraded to C; previously on 3/23/2009 Downgraded to Ca RASC Series 2004-KS9 Trust -- Cl. A-I-4, Downgraded to B2; previously on 8/8/2008 Published at Baa2 -- Current Underlying: Downgraded to B2; previously on 8/8/2008 Published at Baa2 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-I-5, Downgraded to B3; previously on 8/8/2008 Published at Baa2 -- Current Underlying: Downgraded to B3; previously on 8/8/2008 Published at Baa2 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) -- Cl. A-I-6, Downgraded to B3; previously on 8/8/2008 Published at Baa2 -- Current Underlying: Downgraded to B3; previously on 8/8/2008 Published at Baa2 -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009) ROCKLAND TOBACCO: Fitch Affirms Ratings on 2005B Bonds at 'BB+' --------------------------------------------------------------- Fitch Ratings affirms two classes from Rockland Tobacco Asset Securitization Corporation, tobacco settlement asset-backed bonds, series 2005: -- $13,084,280 series 2005A bonds due Aug. 15, 2045 at 'BBB', Stable Outlook; -- $2,860,940 series 2005B bonds due Aug. 15, 2050 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 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 series 2005A bond is being affirmed at 'BBB' with a Stable Outlook based on the model output and other qualitative factors. The series 2005B bond is being affirmed at 'BB+'. The bond is assigned a Positive Outlook because a relatively stable MSA cash flow in the future is likely to lead to an upgrade of the rating. Rockland Tobacco Asset Securitization Corporation, tobacco settlement asset-backed bonds, series 2005 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. SALOMON BROTHERS: Moody's Downgrades Ratings on Four Securities --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of four securities and upgraded the ratings of three securities from four transactions issued by Salomon Brothers. 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 65% to 80%. The results of these two calculations --- Recent Losses and Pipeline Losses --- are weighted to arrive at the lifetime cumulative loss projection. Moody's has upgraded the Cl. M-1 bond from Salomon Brothers Mort Sec VII, Inc 1998-OPT2 as a result of the transaction's current credit enhancement relative to projected losses. The current level of overcollateralization is below the minimum amount allowed by the governing documents, and as a result, all principal collections will be distributed to the Class M-1. Additionally, Moody's has upgraded two bonds from Salomon Mortgage Loan Trust, Series 2002-CB3 as a result of the deal permanently failing its cumulative loss performance trigger, causing all principal collections to be distributed sequentially. These sequential payments to the upgraded bonds will enable the tranches to maintain strong credit profiles. The complete rating actions: Salomon Home Equity Loan Tr Series 2002-WMC1 -- Cl. M-2, Downgraded to B3; previously on 1/29/2002 Assigned A2 -- Cl. M-3, Downgraded to C; previously on 2/24/2006 Downgraded to B1 Salomon Brothers Mort Sec VII, Inc 1998-OPT2 -- M-1, Upgraded to Aaa; previously on 9/25/1998 Assigned Aa2 Salomon Mortgage Loan Trust, Series 2002-CB3 -- Cl. M-2, Upgraded to Aaa; previously on 7/11/2002 Assigned A2 -- Cl. B-1, Upgraded to A1; previously on 7/11/2002 Assigned Baa2 Union Planters Mortgage Loan Trust 2003-UP1 -- Cl. M-2, Downgraded to A3; previously on 4/16/2003 Assigned A1 -- Cl. M-3, Downgraded to Baa1; previously on 4/16/2003 Assigned A3 SARM 2008-1: Moody's Downgrades Ratings on Five Tranches -------------------------------------------------------- Moody's Investors Service has downgraded 5 tranches and confirmed 1 tranche from SARM 2008-1. The collateral backing this transaction consists primarily of first-lien, adjustable-rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions listed below reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: Issuer: Structured Adjustable Rate Mortgage Loan Trust, Series 2008-1 -- Cl. A1, Downgraded to Baa1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A1X, Downgraded to Baa1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to B3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A21, Downgraded to B3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A22, Downgraded to B3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. AP, Confirmed at Aaa; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade The ratings on the notes were assigned after evaluating factors determined applicable to the credit profile of the notes, such as: i) the nature, sufficiency, and quality of historical performance information available for the asset class as well as for the transaction sponsor, ii) collateral analysis, iii) an analysis of the policies, procedures and alignment of interests of the key parties to the transaction, most notably the originator and the servicer, iv) an analysis of the transaction's allocation of collateral cashflow and capital structure, v) an analysis of the transaction's governance and legal structure, and vi) a comparison of these attributes against those of other similar transactions. SASCO 2007-BHC1: Fitch Puts Ratings on 17 Notes on Negative Watch ----------------------------------------------------------------- Fitch Ratings has placed 17 classes from SASCO 2007-BHC1 on Rating Watch Negative due to its exposure to 2006 vintage U.S. CMBS collateral. Fitch took rating actions on this transaction earlier this year following implementation of its revised Dec. 16, 2008 criteria report, 'Global Rating Criteria for Structured Finance CDOs'. Since that time, the magnitude of actual and expected rating downgrades of the underlying collateral has exceeded Fitch's expectation. Since Fitch's last review, approximately 69.4% of the transaction's collateral has been downgraded or placed on Watch Negative. The Fitch derived weighted average rating of the collateral has fallen to 'BB' as of the May 29, 2009 trustee report from 'BBB' at last review. On April 8, 2009, Fitch placed 532 classes from 50 fixed-rate CMBS conduit transactions from the 2006 through 2008 vintages on Watch Negative, with the expectation that the majority of the classes will be downgraded one to two categories when the Negative Watch is resolved. Furthermore, for underlying CMBS bonds not rated by Fitch, Fitch's CDO rating methodology stipulates an input of the lower of the ratings assigned by either Moody's or S&P. Fitch does not rate 37.3% of the bonds in this transaction. To date, the other rating agencies have taken significant negative rating actions on U.S. CMBS transactions originated between 2006 through 2008. Fitch has placed these classes on Watch Negative: -- $350,912,000 class A-1 'BBB'; -- $68,929,000 class A-2 'BB+'; -- Interest-only class X 'BBB'; -- $16,292,000 class B 'BB+'; -- $10,026,000 class C 'BB'; -- $3,133,000 class D 'BB'; -- $8,146,000 class E 'BB; -- $5,013,000 class F 'BB'; -- $6,266,000 class G 'BB-'; -- $8,146,000 class H 'BB-'; -- $4,386,000 class J 'B+'; -- $5,013,000 class K 'B'; -- $3,759,000 class L 'B'; -- $1,253,000 class M 'B-'; -- $1,253,000 class N 'B-'; -- $2,506,000 class P 'B-'; -- $1,253,000 class Q 'B-'. Fitch expects to resolve the Negative Watch status of these classes over the next few months. SILICON VALLEY: Fitch Takes Various Rating Actions on Bonds ----------------------------------------------------------- Fitch Ratings affirms two, upgrades one, and downgrades three classes from Silicon Valley Tobacco Securitization Authority, tobacco settlement asset-backed bonds (Santa Clara County Tobacco Securitization Corporation), series 2007: -- $43,604,065 series 2007A, due June 1, 2036 downgraded to 'BBB'; Outlook Stable; -- $11,339,136 series 2007A, due June 1, 2041 downgraded to 'BBB'; Outlook Stable; -- $13,617,538 series 2007A, due June 1, 2047 downgraded to 'BBB'; Outlook Stable; -- $4,407,579 series 2007B, due June 1, 2047 affirmed at 'BBB'; Outlook Negative; -- $20,160,692 series 2007C, due June 1, 2056 affirmed at 'BB+'; Outlook Stable; -- $8,901,000 series 2007D, due June 1, 2056 upgraded to '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. The 2007A bonds due on 2036, 2041, and 2047 are being downgraded to 'BBB' with Stable Outlooks which is consistent with the model output. The 2007B bond is being affirmed at 'BBB'; however, the model output suggests that the bond is under pressure with a breakeven level indicative of a lower rating. Therefore the bond is being assigned a Negative Outlook because of the possibility of the bond being downgraded depending on the amount of the future MSA payments received by the trust. The 2007C bond is being affirmed at 'BB+' with a Stable Outlook which is consistent with the model output. The 2007D bond is being upgraded to 'BB-' with a Stable Outlook based on the model output and other qualitative factors. Silicon Valley Tobacco Securitization Authority, tobacco settlement asset-backed bonds (Santa Clara County Tobacco Securitization Corporation), series 2007 bonds are secured by the pledged payments made under the MSA. The pledged payments consist of County of Santa Clara'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. SOUNDVIEW HOME: Moody's Downgrades Ratings on 2006-NLC1 Securities ------------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of Cl.A-1 securities issued by Soundview Home Loan Trust 2006-NLC1. The rating actions are the result of recent deterioration relative to expected performance. The collateral backing the transaction consists primarily of first-lien, fixed and adjustable-rate subprime residential mortgage loans. The downgrades relate to cashflowing senior bonds whose support has deteriorated in recent months, as principal payments have slowed relative to erosion of credit support provided by subordinate bonds. The downgraded bonds are at higher risk of losses in the event that they are not paid off before supporting subordinate bonds are completely written down. In the event that subordinate bonds are written down entirely, these deals have structural features that redirect principal payments pro-rata toward all senior bonds. In its analysis of these bonds, Moody's has considered the current available level of credit enhancement and updated its base cashflow assumptions for the transactions, in order to account for CDR, CPR and severity trends. Complete list of ratin actions below: Issuer: Soundview Home Loan Trust 2006-NLC1 -- Cl. A-1, Downgraded to Caa2; previously on 3/17/2009 Downgraded to Baa2 SOUTHERN PACIFIC: Moody's Downgrades Ratings on Four Securities --------------------------------------------------------------- Moody's Investors Service has downgraded the rating of 4 securities from 2 transactions issued by Southern Pacific Secured Assets Corp. Additionally, the underlying rating of one tranche was downgraded while the long-term rating remins unchanged. These actions are part of an ongoing review of subprime RMBS transactions. The securities are supported by an insurance policy issued by MBIA Insurance Corporation. The rating action is prompted by rating actions affecting the insurer and is part of an ongoing review of ABS 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 80%. The results of these two calculations -- Recent Losses and Pipeline Losses -- are weighted to arrive at the lifetime cumulative loss projection. The current rating on the securities is consistent with Moody's practice of rating insured securities at the higher of (1) the guarantor's insurance financial strength rating and (2) the underlying rating, based on Moody's modified approach to rating structured finance securities wrapped by financial guarantors. As part of evaluating the current rating for the securities, Moody's Investors Service also reviewed the underlying rating. The underlying rating reflects the intrinsic credit quality of the securities in the absence of the guarantee. The complete rating actions: Issuer: Southern Pacific Secured Assets Corp 1998-01 -- A-1, Current Rating: B3 -- Current Underlying Rating: Downgraded to Caa2; previously on 6/25/2008 Published at Caa1 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) Issuer: Southern Pacific Secured Assets Corp 1998-2 -- A-1, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba1 -- Current Underlying Rating: Downgraded to B3; previously on 6/25/2008 Published at Ba1 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) -- A-7, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba3 -- Current Underlying Rating: Downgraded to B3; previously on 6/25/2008 Published at Ba3 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) -- A-8, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba3 -- Current Underlying Rating: Downgraded to B3; previously on 6/25/2008 Published at Ba3 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) -- A-9, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba1 -- Current Underlying Rating: Downgraded to B3; previously on 6/25/2008 Published at Ba1 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) SOVEREIGN BANK: Moody's Downgrades Ratings on Three Securities -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of three securities from Sovereign Bank Home Equity Loan Trust 2000-1. 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, most effected transactions have, at some point, passed performance triggers and released portions of credit enhancement. Moody's approach to analyzing seasoned subprime pools i.e. prior to 2H 2005 takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions, in this case ranging from 60% to 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. Issuer: Sovereign Bank Home Equity Loan Trust 2000-1 -- Cl. A-5, Downgraded to Caa2; previously on 12/19/2008 Downgraded to B3 -- Financial Guarantor: Financial Guaranty Insurance Company (Rating Withdrawn on 3/25/2009) -- Cl. A-6, Downgraded to Caa2; previously on 12/19/2008 Downgraded to B3 -- Financial Guarantor: Financial Guaranty Insurance Company (Rating Withdrawn on 3/25/2009) -- Cl. A-7, Downgraded to Caa2; previously on 12/19/2008 Downgraded to B3 -- Financial Guarantor: Financial Guaranty Insurance Company (Rating Withdrawn on 3/25/2009) SPECIALTY UNDERWRITING: Moody's Cuts Ratings on Nine Securities --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of nine securities from four transactions issued by SURF in 2003 and 2004. These actions are part of an ongoing review of subprime RMBS transactions. The rating actions are the result of an analysis of credit enhancement relative to updated collateral loss projections. The revised loss projections generally result from deterioration in collateral performance in recent months. Additionally, most affected transactions have, at some point, passed performance triggers and released portions of credit enhancement. Moody's approach to analyzing seasoned subprime pools (i.e. prior to 2H 2005) takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions, in this case ranging from 70-75%. 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: Specialty Underwriting and Residential Finance Trust, Series 2003-BC3 -- Cl. B-2, Downgraded to Ca; previously on 11/28/2007 Downgraded to Caa1 Issuer: Specialty Underwriting and Residential Finance Trust, Series 2004-BC1 -- Cl. M-2, Downgraded to Baa1; previously on 5/28/2004 Assigned A2 -- Cl. M-3, Downgraded to Baa3; previously on 5/28/2004 Assigned A3 Issuer: Specialty Underwriting and Residential Finance Trust, Series 2004-BC2 -- Cl. M-3, Downgraded to Baa2; previously on 8/30/2004 Assigned A3 -- Cl. B-2, Downgraded to C; previously on 12/27/2007 Downgraded to Ca Issuer: Specialty Underwriting and Residential Finance Trust, Series 2004-BC3 -- Cl. M-2, Downgraded to Baa1; previously on 1/10/2005 Assigned A2 -- Cl. M-3, Downgraded to Baa2; previously on 1/10/2005 Assigned A3 -- Cl. B-1, Downgraded to Ba1; previously on 1/10/2005 Assigned Baa2 -- Cl. B-2, Downgraded to Ba3; previously on 1/10/2005 Assigned Baa3 SUFFOLK TOBACCO: Fitch Takes Rating Actions on Various 2008 Bonds ----------------------------------------------------------------- Fitch Ratings affirms ten and downgrades three classes from Suffolk Tobacco Asset Securitization Corporation, tobacco settlement asset-backed bonds, series 2008: Current Interest Serial Bonds -- $1,190,000 series 2008A due June 1, 2010 affirmed at 'BBB+'; Outlook Stable; -- $1,315,000 series 2008A due June 1, 2011 affirmed at 'BBB+'; Outlook Stable; -- $1,445,000 series 2008A due June 1, 2012 affirmed at 'BBB+' Outlook Stable; -- $285,000 series 2008A due June 1, 2013 affirmed at 'BBB+'; Outlook Stable; -- $445,000 series 2008A due June 1, 2014 affirmed at 'BBB+'; Outlook Stable; -- $610,000 series 2008A due June 1, 2015 affirmed at 'BBB+'; Outlook Stable; -- $815,000 series 2008A due June 1, 2016 affirmed at 'BBB+'; Outlook Stable; -- $840,000 series 2008A due June 1, 2017 affirmed at 'BBB+'; Outlook Stable; -- $2,820,000 series 2008A due June 1, 2018 affirmed at 'BBB+'; Outlook Stable; Current Interest Turbo Term Bonds -- $40,045,000 series 2008B due June 1, 2028 affirmed at 'BBB+'; Outlook Stable; -- $62,295,000 series 2008B due June 1, 2048 downgraded to 'BBB' from 'BBB+'; Outlook Negative; Convertible Capital Appreciation Turbo Term Bonds -- $107,671,780.60 series 2008C due June 1, 2044 downgraded to 'BBB' from 'BBB+'; Outlook Negative; Convertible Capital Appreciation Turbo Term Bonds -- $13,375,082.10 series 2008D due June 1, 2048 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 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 2008A bonds suggested by the model are 'A' or higher, the bonds are being affirmed at the cap rating of 'BBB+' with Stable Outlooks. The 2008B bond due on 2028 is being affirmed at 'BBB+' with a Stable Outlook which is consistent with the model output. The 2008B bond due on 2048, the 2008C bond, and the 2008D bond are downgraded to '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. Suffolk Tobacco Asset Securitization Corporation, tobacco settlement asset-backed bonds, series 2008 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. TRALEE CDO: Moody's Downgrades Ratings on Various Classes of Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Tralee CDO I Ltd.: -- US$273,200,000 Class A-1 Senior Secured Floating Rate Notes due 2022, Downgraded to Aa2; previously on March 23, 2007 Assigned Aaa; -- US$17,900,000 Class A-2a Senior Secured Floating Rate Notes due 2022, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$3,500,000 Class A-2b Senior Secured Fixed Rate Notes due 2022, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$18,800,000 Class B Senior Secured Deferrable Floating Rate Notes due 2022, Downgraded to Ba1; previously on March 13, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$19,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2022, Downgraded to B1; previously on March 13, 2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade; -- US$13,400,000 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; -- US$5,500,000 Type I Composite Notes due 2022, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$8,500,000 Type II Composite Notes due 2022, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$7,000,000 Type III Composite Notes due 2022, Downgraded to Ba3; previously on March 4, 2009 Baa1 Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds 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 is currently 2654 versus a test level of 2633 as of the last trustee report, dated June 6, 2009. Based on the same report, defaulted securities total about $21.6 million, accounting for roughly 6% of the collateral balance, and securities rated Caa1 or lower make up approximately 7.5% of the underlying portfolio. Additionally, interest payments on the Class D 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. Tralee CDO I Ltd., issued in March 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. WACHOVIA BANK: S&P Downgrades Ratings on 2004-WHALE4 Certificates ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on the class J and K commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust's series 2004-WHALE4. Concurrently, S&P affirmed its ratings on classes RC and X-1 from this transaction. In addition, S&P removed all four of the ratings from CreditWatch with negative implications, where they were placed on April 7, 2009. The remaining loan in the pool, the Ritz-Carlton-New Orleans loan, has a whole-loan balance of $87.5 million that consists of a senior pooled trust balance of $65.6 million, a junior nonpooled component of $2.0 million that is raked to the class RC certificates, and a $19.9 million junior participation interest that is held outside the trust. This loan was transferred to the special servicer, Wachovia Bank N.A. (Wachovia), on April 6, 2009, after the borrower failed to payoff the loan at its April 4, 2009, final maturity date. The pooling and servicing agreement may limit Wachovia's ability to extend the loan. Consequently, Wachovia is currently working on clarifying its ability to extend the loan by seeking consent from the remaining certificate holders to amend the PSA. The master servicer, also Wachovia, reported a debt service coverage (DSC) of 1.03x for the 12 months ended Dec. 31, 2008, and 62% occupancy as of April 2009. S&P based its cash flow analysis on a review of the borrower's operating statements for the first four months of 2009, 12 months ended Dec. 31, 2008, and its 2009 budget. S&P's analysis incorporated its expectation that the average 2009 revenue per available room for the lodging industry would decline 14%-16%, as S&P noted in recent article "Standard & Poor's Lowers Its 2009 And Publishes Its 2010 RevPar Assumptions In the U.S. Lodging Industry," published April 16, 2009, on RatingsDirect. An April 2009 appraisal values the property on an 'As-Is' basis at a level that exceeds the outstanding debt on the trust balance. According to Smith Travel, the New Orleans lodging market posted RevPAR declines of 17% in the first four months of 2009 compared with 2008, whereas the U.S. hotel industry overall reported RevPAR declines of 18%. As of the June 15, 2009, remittance report, pool statistics are: -- There is one specially serviced floating-rate mortgage loan; -- There is a mortgage on a 527-room full-service Ritz-Carlton Hotel and a 230-room Iberville Suites, both in New Orleans; and -- The loan is indexed to one-month LIBOR. Ratings Lowered And Removed From Creditwatch Negative Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-WHALE4 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- J CCC B/Watch Neg 48.21 K CCC- B-/Watch Neg N/A Ratings Affirmed And Removed From Creditwatch Negative Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-WHALE4 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- RC CCC- CCC-/Watch Neg N/A X-1 AAA AAA/Watch Neg N/A N/A - Not applicable. WAMU MORTGAGE: Moody's Cuts Ratings on Five 2005-AR4 Tranches ------------------------------------------------------------- Moody's Investors Service has downgraded 5 tranches from WAMU 2005-AR4. The collateral backing this transaction consists primarily of first-lien, adjustable-rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions listed below reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR4 -- Cl. A-3, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4A, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4B, Downgraded to Baa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade The ratings on the notes were assigned after evaluating factors determined applicable to the credit profile of the notes, such as: i) the nature, sufficiency, and quality of historical performance information available for the asset class as well as for the transaction sponsor, ii) collateral analysis, iii) an analysis of the policies, procedures and alignment of interests of the key parties to the transaction, most notably the originator and the servicer, iv) an analysis of the transaction's allocation of collateral cashflow and capital structure, v) an analysis of the transaction's governance and legal structure, and vi) a comparison of these attributes against those of other similar transactions. WELLS FARGO: Moody's Downgrades Ratings on 28 2006-2 Tranches ------------------------------------------------------------- Moody's Investors Service has downgraded 28 tranches from Wells Fargo Mortgage Backed Securities 2006-2 Trust. The collateral backing these transactions consists primarily of first-lien, fixed-rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions listed below reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: Wells Fargo Mtge Bkd Securities 2006-2 Tr -- Cl. I-A-1, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-5, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-7, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-8, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-9, Downgraded to Baa2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-10, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-11, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-12, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-13, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-14, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-16, Downgraded to B3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. I-A-17, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-A-7, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Baa3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to Ba1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. IV-A-2, Downgraded to Caa1; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to B2; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade The ratings on the notes were assigned after evaluating factors determined applicable to the credit profile of the notes, such as: i) the nature, sufficiency, and quality of historical performance information available for the asset class as well as for the transaction sponsor, ii) collateral analysis, iii) an analysis of the policies, procedures and alignment of interests of the key parties to the transaction, most notably the originator and the servicer, iv) an analysis of the transaction's allocation of collateral cashflow and capital structure, v) an analysis of the transaction's governance and legal structure, and vi) a comparison of these attributes against those of other similar transactions. * Moody's Takes Rating Actions on Tranches by Jumbo-Prime Loans --------------------------------------------------------------- Moody's Investors Service has taken rating actions with respect to the ratings of certain tranches of transactions collateralized by Jumbo-Prime mortgage loans issued on or after 2005. These actions result in changes to ratings announced on May 5, 2009 and June 2, 2009, as the rating agency identified a cash-flow modeling error on certain Jumbo-Prime RMBS transactions that improperly allocated prepayment proceeds for the first 2 months of the cash-flow projections to subordinate certificates, instead of allocating those proceeds to the senior certificates. In all, 21 transactions were affected. To determine the updated ratings, Moody's first updated the loss projections on all these transactions based on the latest performance trends of the underlying collateral since the last action. Then, cash-flow projections were re-run on all the affected transactions with the corrected prepayment distributions. Out of 21 transactions identified, only 3 bonds from 2 transactions had material rating changes that are mentioned below. 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. The adjusted rating actions are: Issuer: CHL Mortgage Pass-Through Trust 2006-13 -- Cl. 1-A-12, Upgraded to Ba1 from Ba3; previously on 5/5/2009 Downgraded to Ba3 from Baa1 -- Cl. 1-A-22, Upgraded to Baa3 from Ba2; previously on 5/5/2009 Downgraded to Ba2 from A1 Issuer: Wells Fargo Mortgage Backed Securities 2005-17 Trust -- Cl. II-A-1, Upgraded to Ba1 from Ba2; previously on 6/2/2009 Downgraded to Ba2 from Aaa The ratings on the notes were assigned after evaluating factors determined applicable to the credit profile of the notes, such as: i) the nature, sufficiency, and quality of historical performance information available for the asset class as well as for the transaction sponsor, ii) collateral analysis, iii) an analysis of the policies, procedures and alignment of interests of the key parties to the transaction, most notably the originator and the servicer, iv) an analysis of the transaction's allocation of collateral cashflow and capital structure, v) an analysis of the transaction's governance and legal structure, and vi) a comparison of these attributes against those of other similar transactions. * S&P Downgrades Ratings on 105 Tranches From 29 Hybrid CDO Deals ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 105 tranches from 29 U.S. cash flow and hybrid collateralized debt obligation transactions. At the same time, S&P removed 51 of the lowered ratings from CreditWatch with negative implications. S&P also withdrew four ratings from Davis Square Funding II. The ratings on 31 of the downgraded tranches are on CreditWatch with negative implications, indicating a significant likelihood of further downgrades. The CDO downgrades reflect a number of factors, including credit deterioration and recent negative rating actions on U.S. subprime RMBS. The CreditWatch placements primarily affect transactions for which a significant portion of the collateral assets currently have ratings on CreditWatch with negative implications or have significant exposure to assets rated in the 'CCC' category. The 105 downgraded U.S. cash flow and hybrid tranches have a total issuance amount of $21.178 billion. Eighteen of the 29 affected transactions are mezzanine structured finance CDOs of asset-backed securities, which are collateralized in large part by mezzanine tranches of residential mortgage-backed securities and other SF securities. The other eleven 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 rating assigned to Phoenix CDO II Ltd., and Trainer Wortham First Republic CBO IV 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 ----------- ----- -- ---- ABS Capital Funding II A-1 B-/Watch Neg BBB-/Watch Neg ABS Capital Funding II A-2 A AA/Watch Neg ABS Capital Funding II A-3 CCC+/Watch Neg BB+/Watch Neg Adirondack 2005-2 Ltd. A-1LT-a A-/Watch Neg AA/Watch Neg Adirondack 2005-2 Ltd. A-1LT-b A-/Watch Neg AA/Watch Neg Adirondack 2005-2 Ltd. A-2 BBB-/Watch Neg A/Watch Neg Adirondack 2005-2 Ltd. B B/Watch Neg BBB-/Watch Neg Adirondack 2005-2 Ltd. C CCC-/Watch Neg B-/Watch Neg Adirondack 2005-2 Ltd. D CC CCC/Watch Neg Altius III Funding Ltd A-1a CC CCC-/Watch Neg Altius III Funding Ltd A-1a-2 CC CCC-/Watch Neg Altius III Funding Ltd A-1a-3 CC CCC-/Watch Neg Altius III Funding Ltd A-1b-1B CC CCC-/Watch Neg Altius III Funding Ltd A-1b-1F B-/Watch Neg BB+/Watch Neg Altius III Funding Ltd A-1b-V CC CCC-/Watch Neg Altius III Funding Ltd S BBB-/Watch Neg AA/Watch Neg Arroyo CDO I Ltd. B BBB/Watch Neg AA/Watch Neg Arroyo CDO I Ltd. C-1 CCC/Watch Neg BBB-/Watch Neg Arroyo CDO I Ltd. C-2 CCC/Watch Neg BBB-/Watch Neg Aspen Funding I, Ltd. A-2L BBB-/Watch Neg A+/Watch Neg Aspen Funding I, Ltd. A-3L CCC+/Watch Neg BBB/Watch Neg Aspen Funding I, Ltd. B-1 CCC-/Watch Neg BB+/Watch Neg Aspen Funding I, Ltd. Pfd Shares CC CCC+/Watch Neg Barrington CDO Ltd. A-1J CC CCC- Barrington CDO Ltd. A-1M(A) CC BB/Watch Neg Barrington CDO Ltd. A-1M(B) CC BB/Watch Neg Barrington CDO Ltd. A-1Q(A) CC BB/Watch Neg Barrington CDO Ltd. A-1Q(B) CC BB/Watch Neg Belle Haven ABS CDO, Ltd. A1J CC CCC/Watch Neg Belle Haven ABS CDO, Ltd. A1SB-1 CCC- BBB-/Watch Neg Belle Haven ABS CDO, Ltd. A1SB-2 CCC- BBB-/Watch Neg Belle Haven ABS CDO, Ltd. A1ST CCC- BBB-/Watch Neg Birch Real Estate CDO I A-2 AA AAA Birch Real Estate CDO I A-2L AA AAA Birch Real Estate CDO I A-3L BB- A+ Birch Real Estate CDO I B-1 CCC- BB+/Watch Neg Bluegrass ABS CDO II Ltd. A-1MT-a BB A Bluegrass ABS CDO II Ltd. A-1MT-b BB A Bluegrass ABS CDO II Ltd. A-2 CC CCC-/Watch Neg Capmark VI Ltd CreditFaci CC BB+/Watch Neg Capmark VI Ltd A-1 CC B/Watch Neg Capmark VI Ltd A-2 CC CCC- C-Bass CBO IV Ltd. B-1 A+ AAA C-Bass CBO IV Ltd. B-2 A+ AAA C-Bass CBO IV Ltd. C BBB+ AA C-Bass CBO IV Ltd. D-1 CCC B/Watch Neg C-Bass CBO IV Ltd. D-2 CCC B/Watch Neg C-Bass CBO IV Ltd. E CC CCC Davis Square Funding II A-1MM-a NR/NR AA/A-1+ Davis Square Funding II A-1MM-e CCC+/A-1+ AA/A-1+/Watch Neg Davis Square Funding II A-1MT-a NR AA+ Davis Square Funding II A-1MT-b NR AA+ Davis Square Funding II A-1MT-d NR AA+ Davis Square Funding II A-1LT-a CCC+ AA/Watch Neg Davis Square Funding II A-1LT-b CCC+ AA/Watch Neg Davis Square Funding II A-1LT-c CCC+ AA/Watch Neg Davis Square Funding II A-1LT-d CCC+ AA/Watch Neg Davis Square Funding II A-1LT-e CCC+ AA/Watch Neg Davis Square Funding II A-1LT-f CCC+ AA/Watch Neg Duke Funding High Grade I A-1 LTa B/Watch Neg A/Watch Neg Duke Funding High Grade I A-1 LTb1 B/Watch Neg A/Watch Neg Duke Funding High Grade I A-1LT b2 B/Watch Neg A/Watch Neg Duke Funding High Grade I A-2 CC B+/Watch Neg Duke Funding V, Ltd. 1-A2 CCC BBB-/Watch Neg Duke Funding V, Ltd. I-A1 CCC BBB-/Watch Neg Duke Funding V, Ltd. I-B CCC BBB-/Watch Neg Duke Funding V, Ltd. I-W CCC BBB-/Watch Neg Duke Funding V, Ltd. II CC B/Watch Neg Eastman Hill Funding I A-1-FL BBB- AA Eastman Hill Funding I A-1-FX BBB- AA Fortius II Funding Ltd. A-1 CC CCC+/Watch Neg Glacier Funding CDO II A-1NV AA AAA/Watch Neg Glacier Funding CDO II A-1V AA AAA/Watch Neg Glacier Funding CDO II A-2 BBB AAA/Watch Neg Independence III CDO, Ltd. A-1 BB/Watch Neg AAA Independence III CDO, Ltd. A-2 BB/Watch Neg AAA Independence III CDO, Ltd. B CCC-/Watch Neg BBB Independence III CDO, Ltd. C-1 CC CCC- Independence III CDO, Ltd. C-2 CC CCC- Kent Funding Ltd A-1 CC BB+/Watch Neg Kent Funding Ltd A-2 CC B-/Watch Neg Kent Funding Ltd ABCP CC BB+/Watch Neg Klio II Funding, Ltd. A-1 CC BBB/Watch Neg Klio II Funding, Ltd. A-2 CC B/Watch Neg Klio II Funding, Ltd. ABCP B-/B/Watch Neg AA+/A-1+/WatchNeg Klio II Funding, Ltd. B CC CCC-/Watch Neg Lakeside CDO II Ltd A-1 AA/Watch Neg AAA Lakeside CDO II Ltd B CC CCC Pacific Shores CDO Ltd. B-1 B+ A/Watch Neg Pacific Shores CDO Ltd. B-2 B+ A/Watch Neg Pacific Shores CDO Ltd. C CC B-/Watch Neg Pascal CDO, Ltd. A CC CCC-/Watch Neg Putnam Structured Product A-1MM-a AA/A-1+ AAA/A-1+ CDO 2001-1 Ltd Putnam Structured Product A-1MM-b AA/A-1+ AAA/A-1+ CDO 2001-1 Ltd Putnam Structured Product A-1SS AA AAA CDO 2001-1 Ltd Putnam Structured Product A-2 A/Watch Neg AAA CDO 2001-1 Ltd Putnam Structured Product B B+/Watch Neg A/Watch Neg CDO 2001-1 Ltd Putnam Structured Product C-1 CCC- CCC/Watch Neg CDO 2001-1 Ltd Putnam Structured Product C-2 CCC- CCC/Watch Neg CDO 2001-1 Ltd Saybrook Point CBO Ltd. A A AA- Structured Finance Advisors A BB- AA- ABS CDO III, Ltd. Synthetic Residential Asset B BBB/Watch Neg AA/Watch Neg Hybrid CDO 2004-10, Ltd. Synthetic Residential Asset C B-/Watch Neg A/Watch Neg Hybrid CDO 2004-10, Ltd. Synthetic Residential Asset D CCC-/Watch Neg BBB/Watch Neg Hybrid CDO 2004-10, Ltd. TIAA Structured Finance A-1 B/Watch Neg AA CDO I Ltd. TIAA Structured Finance A-2 B/Watch Neg AA CDO I Ltd. West Coast Funding I Ltd A-1a BB+/Watch Neg A/Watch Neg West Coast Funding I Ltd A-1b CC CCC- West Coast Funding I Ltd A-1v CC CCC- Other Ratings Reviewed ABS Capital Funding II B CC ABS Capital Funding II C-1 CC ABS Capital Funding II C-2 CC Adirondack 2005-2 Ltd. E CC Altius III Funding Ltd A-2 CC Altius III Funding Ltd B CC Altius III Funding Ltd C CC Altius III Funding Ltd D CC Altius III Funding Ltd E CC Arroyo CDO I Ltd. A AAA Aspen Funding I, Ltd. A-1L AAA/Watch Neg Barrington CDO Ltd. A-2 CC Barrington CDO Ltd. B CC Barrington CDO Ltd. C CC Barrington CDO Ltd. D CC Belle Haven ABS CDO, Ltd. A2 CC Belle Haven ABS CDO, Ltd. A3 CC Belle Haven ABS CDO, Ltd. Com Sec AAA Belle Haven ABS CDO, Ltd. Sub Nts CC Birch Real Estate CDO I A-1 AAA Birch Real Estate CDO I A-1L AAA Bluegrass ABS CDO II Ltd. B CC Bluegrass ABS CDO II Ltd. C-1 CC Bluegrass ABS CDO II Ltd. C-2 CC Bluegrass ABS CDO II Ltd. Type I Com CC Capmark VI Ltd B CC Capmark VI Ltd C CC Capmark VI Ltd Income Nts CC Duke Funding High Grade I B CC Duke Funding High Grade I C-1 CC Duke Funding High Grade I C-2 CC Duke Funding High Grade I D CC Duke Funding V, Ltd. III CC Duke Funding V, Ltd. IV-A CC Duke Funding V, Ltd. IV-B CC Eastman Hill Funding I A-2 AAA Fortius II Funding Ltd. A-2 CC Fortius II Funding Ltd. B CC Fortius II Funding Ltd. C CC Fortius II Funding Ltd. D CC Fortius II Funding Ltd. E CC Fortius II Funding Ltd. S A+/Watch Neg Glacier Funding CDO II B CC Glacier Funding CDO II C CC Glacier Funding CDO II D CC Glacier Funding CDO II Pref Shrs CC Kent Funding Ltd B CC Klio II Funding, Ltd. C CC Klio II Funding, Ltd. Pref Shrs CC Lakeside CDO II Ltd C CC Pacific Shores CDO Ltd. A AAA Pascal CDO, Ltd. B CC Pascal CDO, Ltd. C CC Pascal CDO, Ltd. Combo Nts AAA Phoenix CDO II Ltd. A AAA Structured Finance Advisors B CC ABS CDO III, Ltd. Structured Finance Advisors C CC ABS CDO III, Ltd. Structured Finance Advisors Pfd Shares CC ABS CDO III, Ltd. Trainer Wortham First A AAA Republic CBO IV, Limited Trainer Wortham First B AA+ Republic CBO IV, Limited Trainer Wortham First C A+ Republic CBO IV, Limited West Coast Funding I Ltd A-2 CC West Coast Funding I Ltd A-3 CC West Coast Funding I Ltd B CC West Coast Funding I Ltd C CC West Coast Funding I Ltd D CC * S&P Downgrades Ratings on Eight Classes of Mortgage Certificates ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on eight classes of mortgage pass-through certificates from three U.S. residential mortgage-backed securities transactions issued between 1996 and 2004. At the same time, S&P removed two of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 29 classes from one of the downgraded transactions and five additional transactions issued between 1992 and 2004. S&P also removed five of the affirmed ratings from CreditWatch negative. The lowered ratings reflect the deterioration of available credit support for the affected transactions, as well as S&P's loss expectations based on the dollar amount of loans currently in the delinquency pipelines of the downgraded transactions. S&P derived the losses for these transactions. Because the remaining pool balances for the transactions with lowered ratings are becoming smaller, the potential losses from delinquent loans could have a more significant impact on the credit support available for the remaining classes. S&P believes the amount of credit enhancement available for the downgraded classes is not sufficient to cover losses at the previous rating levels. Although cumulative losses were generally lower in comparison with S&P's projected lifetime losses for the transactions S&P reviewed, S&P is projecting an increase in losses due to increases in delinquencies and the current negative condition of the housing market. The affirmations reflect S&P's belief that there is sufficient credit enhancement for these classes to support the ratings at their current levels. S&P monitors these transactions and 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 AFC Mortgage Loan Asset-Backed Certs 1998-1 Series 1998-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1 00105HDH6 CCC BB/Watch Neg 2A-1 00105HDK9 B B/Watch Neg 1A-2 00105HDJ2 CCC BBB/Watch Neg 2A-2 00105HDL7 BB BB/Watch Neg AFC Mortgage Loan Asset-Backed Certs Ser 1997-3 Series 1997-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-4 00105HDA1 BBB+ BBB+/Watch Neg 1A-5 00105HDB9 BBB+ BBB+/Watch Neg 2-A 00105HDC7 BBB+ BBB+/Watch Neg IMC Home Equity Loan Trust 1996-2 Series 1996-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-7 449670BB3 A+ AAA A-8 449670BC1 A+ AAA Morgan Stanley Mortgage Loan Trust 2004-6AR Series 2004-6AR Rating ------ Class CUSIP To From ----- ----- -- ---- C-B-1 61748HBU4 A AA C-B-2 61748HBV2 BB A C-B-3 61748HBW0 CCC BBB C-B-4 61748HBY6 CC B Ratings Affirmed IMC Home Equity Loan Trust 1996-4 Series 1996-4 Class CUSIP Rating ----- ----- ------ A-6 449670BR8 AAA S 4496709A7 AAA Morgan Stanley Mortgage Loan Trust 2004-6AR Series 2004-6AR Class CUSIP Rating ----- ----- ------ 2-A-1 61748HBM2 AAA 2-A-2 61748HBN0 AAA 2-A-3 61748HBP5 AAA 3-A 61748HBQ3 AAA 4-A 61748HBR1 AAA 5-A 61748HBS9 AAA 6-A 61748HBT7 AAA 1-A 61748HBF7 AAA 1-M-1 61748HBG5 AA 1-M-2 61748HBH3 A 1-M-3 61748HBJ9 A- 1-B-1 61748HBK6 BBB+ 1-B-2 61748HBL4 BBB Prudential Securities Secured Financing Corp. Series 1992-1 Class CUSIP Rating ----- ----- ------ A-1 74436JAL1 AAA Saxon Mortgage Securities Corp. Series 1992-1 Class CUSIP Rating ----- ----- ------ B-1 805570AC2 AA+ B-2 805570AD0 AA+ Structured Asset Securities Corporation Mortgage Loan Trust 2002-9 Series 2002-9 Class CUSIP Rating ----- ----- ------ A1 86358RB55 AAA A2 86358RC21 AAA Structured Mortgage Asset Residential Trust, Series 92-11 Series 1992-11 Class CUSIP Rating ----- ----- ------ BJ 863573PU9 AAA BX 863573PV7 AAA BY 863573PT2 AAA G 863573PQ8 AAA * S&P Puts Ratings on 114 Classes on CreditWatch Negative --------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on 114 classes from 33 small business securitizations on CreditWatch with negative implications. Additionally, S&P's ratings on another 58 small business securitization classes remain on CreditWatch negative. The actions follow recent revisions to S&P's methodology for rating conduit/fusion commercial mortgage-backed securities transactions, published on June 26, 2009. S&P will conduct a more detailed review of the impact of these criteria on each securitization in the upcoming months to resolve the CreditWatch placements. The placement of the 114 classes on CreditWatch follows S&P's placement of 58 other small business loan ratings on CreditWatch negative, due to performance reasons. The securitizations affected by S&P's revised CMBS criteria are backed in part by CMBS collateral. The classes that are not affected by S&P's review of the small business loan sector or S&P's revised CMBS criteria are interest-only classes or small business loans that have no significant real estate acting as collateral, such as securitizations of loans used for medical equipment or practice acquisition. Standard & Poor's expects to resolve the CreditWatch placements within the next three months after S&P conducts a more detailed review, and S&P may resolve the placements by taking further rating actions as appropriate. Ratings Placed On Creditwatch Negative BLC Capital Corp. Series 2002-A Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B A/Watch Neg A Business Loan Express SBA Loan Trust 2003-1 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA M A/Watch Neg A Business Loan Express SBA Loan Trust 2003-2 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA M A/Watch Neg A Business Loan Express Business Loan Trust 2003-A Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B A/Watch Neg A Business Loan Express Business Loan Backed Notes Series 2004-A Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B A/Watch Neg A C BBB/Watch Neg BBB Business Loan Express Business Loan Backed Notes Series 2005-A Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B A/Watch Neg A C BBB/Watch Neg BBB CIT SBL 2008-1 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA CNL Commercial Mortgage Loan Trust 2001-1 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA CNL Commercial Mortgage Loan Trust 2001-2 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B AA-/Watch Neg AA- CNL Commercial Mortgage Loan Trust 2002-1 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B AA-/Watch Neg AA- CNL Commercial Mortgage Loan Trust 2002-2 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B AA+/Watch Neg AA+ CNL Commercial Mortgage Loan Trust 2003-1 Rating ------ Class To From ----- -- ---- A1 A/Watch Neg A A2 A/Watch Neg A CNL Commercial Mortgage Loan Trust 2003-2 Rating ------ Class To From ----- -- ---- A1 A/Watch Neg A A2 A/Watch Neg A CRF-17 LLC Rating ------ Class To From ----- -- ---- B A/Watch Neg A C BB/Watch Neg BB CRF-18 LLC Rating ------ Class To From ----- -- ---- A-2 AAA/Watch Neg AAA A-3 AAA/Watch Neg AAA B A/Watch Neg A C BBB/Watch Neg BBB D BB/Watch Neg BB E B/Watch Neg B CRF 19 LLC Rating ------ Class To From ----- -- ---- A-1 AAA/Watch Neg AAA A-2 AAA/Watch Neg AAA A-3 AAA/Watch Neg AAA B A/Watch Neg A C BBB/Watch Neg BBB D BB/Watch Neg BB E B/Watch Neg B GE Business Loan Trust 2003-1 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B A/Watch Neg A GE Business Loan Trust 2003-2 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B A/Watch Neg A C BBB/Watch Neg BBB GE Business Loan Trust 2004-1 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B A/Watch Neg A C BBB/Watch Neg BBB GE Business Loan Trust 2004-2 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B A/Watch Neg A C BBB/Watch Neg BBB D BB/Watch Neg BB GE Business Loan Trust 2005-1 Rating ------ Class To From ----- -- ---- A-2 AAA/Watch Neg AAA A-3 AAA/Watch Neg AAA B A/Watch Neg A C BBB/Watch Neg BBB D BB/Watch Neg BB GE Business Loan Trust 2005-2 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B A/Watch Neg A C BBB/Watch Neg BBB D BB/Watch Neg BB GE Business Loan Trust 2006-1 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B AA/Watch Neg AA C A/Watch Neg A D BBB/Watch Neg BBB GE Business Loan Trust 2006-2 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B AA/Watch Neg AA C A/Watch Neg A D BBB+/Watch Neg BBB+ GE Business Loan Trust 2007-1 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B AA/Watch Neg AA C A/Watch Neg A D BBB/Watch Neg BBB Lehman Brothers Small Balance Commercial Series 2005-1 Rating ------ Class To From ----- -- ---- A AAA/Watch Neg AAA B A-/Watch Neg A- M1 AA/Watch Neg AA M2 A+/Watch Neg A+ Lehman Brothers Small Balance Commercial Series 2005-2 Rating ------ Class To From ----- -- ---- 1A AAA/Watch Neg AAA 2A AAA/Watch Neg AAA M1 AA/Watch Neg AA Lehman Brothers Small Balance Commercial Series 2006-1 Rating ------ Class To From ----- -- ---- 1A AAA/Watch Neg AAA 2A AAA/Watch Neg AAA 3A1 AAA/Watch Neg AAA 3A2 AAA/Watch Neg AAA 3A3 AAA/Watch Neg AAA Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2 Rating ------ Class To From ----- -- ---- 1A AAA/Watch Neg AAA 2A1 AAA/Watch Neg AAA 2A2 AAA/Watch Neg AAA 2A3 AAA/Watch Neg AAA Lehman Brothers Small Balance Commercial Mortgage Trust 2006-3 Rating ------ Class To From ----- -- ---- 1A AAA/Watch Neg AAA 2A1 AAA/Watch Neg AAA 2A2 AAA/Watch Neg AAA 2A3 AAA/Watch Neg AAA Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1 Rating ------ Class To From ----- -- ---- 1A AAA/Watch Neg AAA 2A1 AAA/Watch Neg AAA 2A2 AAA/Watch Neg AAA 2A3 AAA/Watch Neg AAA Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2 Rating ------ Class To From ----- -- ---- 1A1 AAA/Watch Neg AAA 1A2 AAA/Watch Neg AAA 1A3 AAA/Watch Neg AAA 1A4 AAA/Watch Neg AAA 2A1 AAA/Watch Neg AAA 2A2 AAA/Watch Neg AAA 2A3 AAA/Watch Neg AAA Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3 Rating ------ Class To From ----- -- ---- 1A1 AAA/Watch Neg AAA 1A2 AAA/Watch Neg AAA 1A3 AAA/Watch Neg AAA 1A4 AAA/Watch Neg AAA 2A1 AAA/Watch Neg AAA 2A2 AAA/Watch Neg AAA 2A3 AAA/Watch Neg AAA AJ AAA/Watch Neg AAA AM AAA/Watch Neg AAA Ratings Remaining On Creditwatch Negative Business Loan Express Business Loan Trust 2006-A Class Rating ----- ------ A AAA/Watch Neg B A/Watch Neg C BBB/Watch Neg Business Loan Express Business Loan Trust 2007-A Class Rating ----- ------ A AAA/Watch Neg B AA/Watch Neg C A/Watch Neg D BBB/Watch Neg Business Loan Express SBA Loan Trust 2005-1 Class Rating ----- ------ A AAA/Watch Neg M A/Watch Neg Business Loan Express SBA Loan Trust 2006-1 Class Rating ----- ------ A BBB/Watch Neg LBSBC NIM Co. 2006-1 Class Rating ----- ------ N1 BBB/Watch Neg N2 BB/Watch Neg N3 B/Watch Neg LBSBC NIM Co. 2006-2 Class Rating ----- ------ N1 BBB/Watch Neg N2 BB/Watch Neg N3 B/Watch Neg LBSBC NIM Co. 2006-3 Class Rating ----- ------ N1 BBB/Watch Neg N2 BB/Watch Neg N3 B/Watch Neg LBSBC NIM Co. 2007-1 Class Rating ----- ------ N1 BBB/Watch Neg N2 BB/Watch Neg N3 B/Watch Neg LBSBC NIM Co. 2007-3 Class Rating ----- ------ N1 BBB/Watch Neg N2 BB/Watch Neg N3 B/Watch Neg Lehman Bros. Small Balance Commercial 2005-2 Class Rating ----- ------ B BBB+/Watch Neg M2 A+/Watch Neg M3 A/Watch Neg Lehman Bros. Small Balance Commercial 2006-1 Class Rating ----- ------ B BBB+/Watch Neg M1 AA/Watch Neg M2 A+/Watch Neg M3 A/Watch Neg Lehman Bros. Small Balance Commercial Loan Trust 2006-SBA 2006-SBA Class Rating ----- ------ A BBB-/Watch Neg Lehman Bros. Small Balance Commercial Mortgage Trust 2006-2 Class Rating ----- ------ B BBB+/Watch Neg M1 AA/Watch Neg M2 A+/Watch Neg M3 A/Watch Neg Lehman Bros. Small Balance Commercial Mortgage Trust 2006-3 Class Rating ----- ------ B BBB+/Watch Neg M1 AA/Watch Neg M2 A+/Watch Neg M3 A/Watch Neg Lehman Bros. Small Balance Commercial Mortgage Trust 2007-1 Class Rating ----- ------ B BBB+/Watch Neg M1 AA/Watch Neg M2 A+/Watch Neg M3 A/Watch Neg M4 BBB+/Watch Neg Lehman Bros. Small Balance Commercial Mortgage Trust 2007-2 Class Rating ----- ------ B BBB/Watch Neg M1 AA/Watch Neg M2 AA-/Watch Neg M3 A/Watch Neg M4 A-/Watch Neg M5 BBB+/Watch Neg Lehman Bros. Small Balance Commercial Mortgage Trust 2007-3 Class Rating ----- ------ B BBB/Watch Neg M1 AA/Watch Neg M2 AA-/Watch Neg M3 A/Watch Neg M4 A-/Watch Neg M5 BBB+/Watch Neg ********* 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 ***