/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/090816.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, August 16, 2009, Vol. 13, No. 226 Headlines AAA TRUST: S&P Downgrades Ratings on Class A-3 2007-2 RMBS ALTERNATIVE LOAN: S&P Corrects Rating on Class A-1 Cert. From 'B' AMMC VIII: Moody's Downgrades Ratings on Various Classes of Notes AMPSS 2007-5: S&P Downgrades Ratings on Four Deals to 'D' ARES XII: Moody's Downgrades Ratings on Four Classes of Notes ATRIUM CDO: Moody's Downgrades Ratings on Various Classes of Notes ATRIUM III: Moody's Downgrades Ratings on Various Classes of Notes ATRIUM V: Moody's Downgrades Ratings on Various Classes of Notes BANC OF AMERICA: Fitch Downgrades Ratings on 17 2007-2 Certs. BANC OF AMERICA: Fitch Puts Ratings on Notes on Negative Watch BANC OF AMERICA: Moody's Cuts Ratings on Two 2006-8T2 Securities BANC OF AMERICA: Moody's Reviews Ratings on 12 2005-3 Certificates BANC OF AMERICA: Moody's Reviews Ratings on 12 2006-6 Certs. BANK OF AMERICA: Fitch Takes Rating Actions on 2006-3 Certs. BEAR STEARNS: Fitch Downgrades Ratings on 14 2007-TOP26 Certs. BEAR STERNS: Moody's Affirms Ratings on Nine 2005-PWR9 Certs. BEAR STEARNS: Moody's Reviews Ratings on 11 2004-TOP14 Certs. BEAR STEARNS: S&P Downgrades Ratings on 13 2006-BBA7 Certificates C-BASS ABS: Moody's Downgrades Ratings on 1997-1 Certificate CARLYLE HIGH: Moody's Downgrades Ratings on Six Classes CARLYLE HIGH: Moody's Downgrades Ratings on Various Classes CD 2007-CD4: S&P Downgrades Ratings on 14 Classes of CMBS CITIGROUP MORTGAGE: Moody's Cuts Ratings on 2006-WF1 Securities CLOVERIE PLC: Moody's Downgrades Ratings on Various Classes COBALT CMBS: Fitch Downgrades Ratings on 14 2006-C1 Certificates COBALT CMBS: S&P Cuts Ratings on 17 Classes of 2006-C1 Certs. COMM 2006-FL12: S&P Downgrades Ratings on 33 2006-FL12 Certs. CORTS TRUST: S&P Affirms 'BB-' Rating on $36 Mil. Class A Certs. CREDIT SUISSE: Fitch Takes Rating Actions on 2008-C1 Certs. CREDIT SUISSE: Moody's Correct Press Release on 2007-C3 Certs. CREDIT SUISSE: Moody's Downgrades Ratings on 11 Securities CREDIT SUISSE: Moody's Reviews Ratings on 14 2005-C3 Certificates CREDIT SUISSE: Moody's Reviews Ratings on 18 2007-C3 Certificates CREDIT SUISSE: Moody's Reviews Ratings on 19 2007-C4 Certificates CREDIT SUISSE: Moody's Takes Rating Actions on 2007-C1 Certs. DUCHESS I: Moody's Downgrades Rating on Class B Notes to 'Ca' FIRST HORIZON: Fitch Cuts Ratings on 2006-RE1 Resecuritizations FIRST NATIONAL: Fitch Rates Class D 2009-3 Notes at 'BB' FIRST NATIONAL: S&P Assigns Initial Ratings on $690.79 Mil. Notes FLAGSHIP CLO: Moody's Downgrades Ratings on Various Classes FLATIRON CLO: Moody's Downgrades Ratings on Two 2007-1 Notes FORD CREDIT: Fitch Upgrades Ratings on Two Classes of 2007-A Notes FOUR CORNERS: Moody's Downgrades Ratings on Various Classes FRANKLIN AUTO: S&P Downgrades Ratings on Two Classes of Notes GALE FORCE: Moody's Downgrades Ratings on Various Classes of Notes GE COMMERCIAL: S&P Downgrades Ratings on 14 2005-C1 Securities GMAC COMMERCIAL: Fitch Takes Rating Actions on 14 2006-C1 Certs. GREENWICH CAPITAL: Moody's Reviews Ratings on Seven 2003-C2 Certs. GREENWICH CAPITAL: S&P Cuts Ratings on 16 2005-GG5 Securities GREENWICH CAPITAL: S&P Downgrades Ratings on Three 2005-FL3 Certs. GS MORTGAGE: Fitch Takes Various Rating Actions on 2006-GG8 Certs. GS MORTGAGE: Moody's Reviews Ratings on 14 2005-GG4 Certificates GS MORTGAGE: Moody's Reviews Ratings on 17 2007-GG10 Certificates GSC CAPITAL: Moody's Downgrades Ratings on Various 2005-1 Notes GSC INVESTMENT: Moody's Downgrades Ratings on Various Classes GSC PARTNERS: Moody's Confirms Ratings on Class A Notes GUARDIAN SAVINGS: Moody's Upgrades Ratings on Two Classes HARBOURVIEW CLO: Moody's Downgrades Ratings on 2006-1 Notes HARLEY-DAVIDSON MOTORCYCLE: S&P Cuts Ratings on Class C Notes HOSPITAL AUTHORITY: Fitch Cuts Rating on $12.7 Mil. Bonds to 'BB-' INDYMAC INDX: Moody's Downgrades Ratings on 2006-AR27 Securities INTEGRAL FUNDING: Moody's Downgrades Ratings on Four Classes JP MORGAN: Fitch Takes Rating Actions on 25 2007-LDP10 Certs. JP MORGAN: Fitch Takes Rating Actions on 2006-CIBC15 Certificates JP MORGAN: Moody's Reviews Ratings on 14 2006-LDP8 Certificates JP MORGAN: S&P Downgrades Ratings on Nine 2005-FL1 Certificates JPMORGAN CHASE: S&P Downgrades Ratings on 19 Classes of CMBS KATONAH III: Moody's Downgrades Ratings on Various Classes KENT FUNDING: S&P Downgrades Ratings on Four Classes to 'D' LANDMARK CDO: Moody's Downgrades Ratings on Various Classes LB-UBS COMMERCIAL: Fitch Downgrades Ratings on 2007-C2 Certs. LB-UBS COMMERCIAL: Fitch Takes Rating Actions on 2007-C6 Certs. LEHMAN BROS: S&P Downgrades Ratings on 19 2007-LLF C5 Certificates LEHMAN BROS: S&P Downgrades Ratings on Five 2004-LLF C5 Certs. LEHMAN MANUFACTURED: Moody's Downgrades Ratings on Five Certs. LEHMAN XS: Moody's Downgrades Ratings on Two Securities LIGHTPOINT CLO: Moody's Downgrades Ratings on Three Classes MAPS CLO: Moody's Upgrades Ratings on Various Classes of Notes MASTR RESECURITIZATION: Moody's Downgrades Ratings on Four Certs. MERRILL LYNCH: Moody's Reviews Ratings on Series 2005-MCP1 Certs. MISSISSIPPI HIGHER: Moody's Reviews Ratings on Seven Securities ML-CFC COMMERCIAL: Fitch Takes Rating Actions on 14 2006-C3 Certs. MORGAN STANLEY: S&P Downgrades Ratings on 10 2007-XLF Certificates MORGAN STANLEY: Moody's Downgrades Ratings on 16 Securities MORGAN STANLEY: Moody's Reviews Ratings on 10 2004-TOP13 Certs. MOUNTAIN CAPITAL: Moody's Downgrades Ratings on Four Classes MOUNTAIN CAPITAL: Moody's Downgrades Ratings on Four Notes MOUNTAIN CAPITAL: Moody's Downgrades Ratings on Various Classes MT WILSON: Moody's Downgrades Ratings on Two Classes of Notes NEW CENTURY: Moody's Downgrades Ratings on Four Securities NOMURA ASSET: Moody's Downgrades Ratings on Nine Securities NORTHWOODS CAPITAL: Moody's Downgrades Ratings on Eight Classes NORTHWOODS CAPITAL: Moody's Downgrades Ratings on Various Classes NYLIM FLATIRON: Moody's Downgrades Ratings on 2006-1 Notes NYLIM STRATFORD: Moody's Downgrades Ratings on Two 2001-1 Notes OPTEUM MORTGAGE: Moody's Downgrades Ratings on Three Securities PARCS MASTER: Moody's Downgrades Rating on Class 2006-16 Units PREFERREDPLUS TRUST: S&P Affirms 'BB-' Ratings on $48 Mil. Certs. SATURN VENTURES: Moody's Downgrades Ratings on Three Classes PRIMUS CLO: Moody's Downgrades Ratings on Five Classes of Notes RALI SERIES: Moody's Downgrades Rating on 2006-QS13 Security RIVERSIDE PARK: Moody's Downgrades Ratings on Class A Notes RYLAND MORTGAGE: Moody's Downgrades Ratings on 11 Certificates SEAWALL SPC: S&P Downgrades Rating on Class D-2 2007-1 D2 Notes SHASTA CLO: Moody's Downgrades Ratings on Various Classes of Notes SIERRA CLO: Moody's Downgrades Ratings on Various Classes of Notes SILVERADO CLO: Moody's Downgrades Ratings on Various Classes SOUNDVIEW HOME: Moody's Downgrades Ratings on 20065-WF1 Securities ST JAMES: Moody's Downgrades Ratings on Various Classes of Notes STARTS LTD: S&P Withdraws 'B+' Rating on Series 2007-30 Notes VERMEER FUNDING: Moody's Downgrades Ratings on Two Classes WACHOVIA AUTO: Moody's Reviews Ratings on Class B 2005-B Notes WACHOVIA AUTO: Moody's Reviews Ratings on Various Tranches WACHOVIA BANK: Moody's Reviews Ratings on 14 2005-C18 Certificates WACHOVIA BANK: Moody's Reviews Ratings on 15 2006-C28 Certs. WACHOVIA BANK: S&P Downgrades Ratings on 10 2005-C20 Securities WAMU MORTGAGE: Moody's Downgrades Ratings on Four 2006-5 Certs. XVIII LEVERAGED: Moody's Downgrades Rating on Class B Notes to 'C' * Moody's Cuts Ratings on 13 Certs. From Three Resecuritizations * Moody's Downgrades Ratings on 92 Tranches From 17 MV CLO Deals * S&P Downgrades Ratings on 37 Classes From Three RMBS Deals * S&P Downgrades Ratings on 74 Tranches From 34 Hybrid CDOs * S&P Downgrades Ratings on 1,050 Classes From 72 RMBS Deals * S&P Downgrades Ratings on 232 Classes From 16 Alt-A RMBS Deals * S&P Downgrades Ratings on Four U.S. Asset-Backed Securities ********* AAA TRUST: S&P Downgrades Ratings on Class A-3 2007-2 RMBS ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the A-3 class from AAA Trust 2007-2, a U.S. re-REMIC (real estate mortgage investment conduit) residential mortgage-backed securities transaction. S&P affirmed its ratings on the remaining two classes from this transaction. The lowered rating reflects realized losses during recent remittance periods. These losses were passed through from one of the underlying certificates (class II-2-A-3 from Nomura Home Equity Loan Trust 2007-1) that incurred recent losses. The losses that passed through from this underlying class caused class A-3 from AAA Trust 2007-2 to default. S&P affirmed the 'AAA' ratings on the A-1 and A-2 classes due to the bond insurance provided by Assured Guaranty Corp. (Assured Guaranty), which has a financial strength rating of 'AAA'. Mortgage loans secured by first and second liens on one- to four- family residential properties at issuance secure the underlying certificates in this re-REMIC. The class A-1 and A-2 notes have the benefit of a financial guaranty insurance policy issued by Assured Guaranty. In addition, the class A-3 note provides protection to the class A-1 and A-2 notes. Rating Lowered AAA Trust 2007-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-3 000292AC6 D AAA Ratings Affirmed AAA Trust 2007-2 Class CUSIP Rating ----- ----- ------ A-1 000292AA0 AAA A-2 000292AB8 AAA ALTERNATIVE LOAN: S&P Corrects Rating on Class A-1 Cert. From 'B' ----------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on the class A-1 certificate issued by Alternative Loan Trust's series 2007-15CB to 'BBB' from 'B'. On March 24, 2009, as a result of an administrative error, S&P lowered the rating on this class to 'B' as part of a larger review of U.S. residential mortgage backed securities backed by Alternative-A mortgage collateral. MBIA Insurance Corp. ('BBB') insures the class A-1 certificate. According to its criteria, the rating on an insured class is the higher of its rating on the bond insurer or its underlying rating on the class, which is based on its analysis of the class' inherent credit support. S&P therefore has corrected its rating on the A-1 class to 'BBB' to reflect the current rating of the insurer. Rating Corrected Alternative Loan Trust 2007-15CB Series 2007-15CB Rating ------ Class CUSIP Current March 24 Pre-March 24 ----- ----- ------- -------- ------------ A-1 02151CAA4 BBB B AAA AMMC VIII: 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 AMMC VIII, Limited: -- US$337,500,000 Class A-1 Floating Rate Notes, Due 2022, Downgraded to Aa1; previously on October 25, 2007 Assigned Aaa; -- US$37,500,000 Class A-2 Floating Rate Notes, Due 2022, Downgraded to A2; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- US$25,000,000 Class B Floating Rate Notes, Due 2022, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$20,000,000 Class E Deferrable Floating Rate Notes, Due 2022, Downgraded to Caa3; previously on March 13, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$20,000,000 Class C Deferrable Floating Rate Notes, Due 2022, Confirmed at Ba1; previously on March 13, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$20,000,000 Class D Deferrable Floating Rate Notes, Due 2022, Confirmed at B1; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of Class D Par Value Test. The weighted average rating factor has increased over the last year and is currently 3355 versus a test level of 2795 as of the last trustee report, dated July 20, 2009. Based on the same report, defaulted securities total about $14.6 million, accounting for roughly 3% of the collateral balance, and securities rated Caa1/CCC or lower make up approximately 21% of the underlying portfolio. Additionally, the interest payment due to the Class E Notes on the last payment date was deferred as a result of the failure of the Class D Par Value 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. AMMC VIII, Limited, issued in October 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 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. AMPSS 2007-5: S&P Downgrades Ratings on Four Deals to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the notes from four AMPSS 2007-5 SPC transactions to 'D' from 'BB-'. The ratings were previously on CreditWatch negative. S&P also withdrew these ratings. All of these transactions are total return swaps that are directly linked to lower of the rating on the class A-1VF notes from Knollwood CDO II Ltd. and the class A-1 notes from Tallships Funding Ltd. Ratings Lowered And Withdrawn AMPSS 2007-5 SPC I Segregated Portfolio Rating ------ Class To From ----- -- ---- Notes D BB-/Watch Neg NR D AMPSS 2007-5 SPC II Segregated Portfolio Rating ------ Class To From ----- -- ---- Notes D BB-/Watch Neg NR D AMPSS 2007-5 SPC III Segregated Portfolio Rating ------ Class To From ----- -- ---- Notes D BB-/Watch Neg NR D AMPSS 2007-5 SPC IV Segregated Portfolio Rating ------ Class To From ----- -- ---- Notes D BB-/Watch Neg NR D NR - Not rated. ARES XII: Moody's Downgrades Ratings on Four Classes of Notes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Ares XII CLO Ltd.: -- US$479,500,000 Class A Floating Rate Notes Due 2020; Downgraded to Aa2; previously on November 13, 2007 Assigned Aaa; -- US$52,500,000 Class B Floating Rate Notes Due 2020; Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$35,000,000 Class D Floating Rate Deferrable Notes Due 2020; Downgraded to B3; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$35,000,000 Class E Floating Rate Deferrable Notes Due 2020; Downgraded to Caa3; previously on March 13, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. Additionally, Moody's has confirmed the rating of these class of notes: -- US$42,000,000 Class C Floating Rate Deferrable Notes Due 2020, Confirmed at Ba1; previously on March 13, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class E Overcollateralization Ratio Test. The weighted average rating factor has increased over the last year and is currently 2764 as of the last trustee report dated June 18, 2009. Based on the same report, defaulted securities total about $25 million, accounting for roughly 4% of the collateral balance, and securities rated Caa1 or lower make up 16.8% 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. Ares XII CLO Ltd., issued in October 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 rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. ATRIUM 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 Atrium CDO: -- US$243,000,000 Class A Floating Rate Notes Due 2015 (current balance of $230,165,255), Downgraded to Aa3; previously on June 27, 2002 Assigned Aaa; -- US$3,000,000 Class C-1 Fixed Rate Notes Due 2015, Downgraded to B2; previously on March 20, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$11,500,000 Class C-2 Floating Rate Notes Due 2015, Downgraded to B2; previously on March 20, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$5,000,000 Class D-1 Fixed Rate Notes Due 2015, Downgraded to Ca; previously on March 20, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade; -- US$2,500,000 Class D-2 Floating Rate Notes Due 2015, Downgraded to Ca; previously on March 20, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$10,000,000 Class B-1 Fixed Rate Notes Due 2015, Confirmed at Ba1; previously on March 20, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$15,000,000 Class B-2 Floating Rate Notes Due 2015, Confirmed at Ba1; previously on March 20, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for 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, and an increase in the proportion of securities from issuers rated Caa1 and below. The weighted average rating factor has increased over the last year and is currently 2715 versus a test level of 2365 as of the last trustee report, dated July 20, 2009. Based on the same report, defaulted securities total about $31.1 million, accounting for roughly 10.2% of the collateral balance, and securities rated Caa1 or lower make up approximately 13.7% of the underlying portfolio. Atrium CDO, issued on June 27, 2002, 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. ATRIUM III: Moody's Downgrades Ratings on Various Classes of Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Atrium III: -- US$373,000,000 Class A-1 Floating Rate Notes Due 2016, Downgraded to Aa3; previously on October 27, 2004 Assigned Aaa; -- US$13,000,000 Class A-2a Floating Rate Notes Due 2016, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$13,500,000 Class A-2b Fixed Rate Notes Due 2016, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$31,750,000 Class B Deferrable Floating Rate Notes Due 2016, Downgraded to Ba2; previously on March 18, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$16,500,000 Class C Floating Rate Notes Due 2016, Downgraded to Caa1; previously on March 18, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$6,000,000 Class D-1 Floating Rate Notes Due 2016, Downgraded to Ca; previously on March 18, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade; -- US$5,000,000 Class D-2 Fixed Rate Notes Due 2016, Downgraded to Ca; previously on March 18, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," 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. Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by 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 is currently 2782 versus a test level of 2310 as of the last trustee report, dated June 25, 2009. Based on the same report, defaulted securities total about $55.5 million, accounting for roughly 11.3% of the collateral balance, and securities rated Caa1 or lower make up approximately 7.6% of the underlying portfolio. Additionally, interest payments on the Class D-1 Notes and Class D-2 Notes were deferred on the last payment date as a result of the failure of the Class C overcollateralization test. Moody's also assessed the collateral pool's elevated concentration risk in debt obligations of companies in the banking, finance, real estate, and insurance industries, which Moody's views to be more strongly correlated in the current market environment. 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. Atrium III, issued on October 27, 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. ATRIUM V: Moody's Downgrades Ratings on Various Classes of Notes ---------------------------------------------------------------- Moody's Investors Service announced that it downgraded the ratings of these notes issued by Atrium V: -- Class A-1 Floating Rate Notes Due 2020, Downgraded to A1; previously on July 27, 2006 Assigned Aaa; -- Class A-2b Floating Rate Notes Due 2020, Downgraded to A2; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- Class A-3a Floating Rate Notes Due 2020, Downgraded to Aa1; previously on July 27, 2006 Assigned Aaa; -- Class A-3b Floating Rate Notes Due 2020, Downgraded to A2; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- Class A-4 Floating Rate Notes Due 2020, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- Class B Deferrable Floating Rate Notes Due 2020, Downgraded to Ba2; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- Class C Deferrable Floating Rate Notes Due 2020, Downgraded to Caa1; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- Class D Deferrable Floating Rate Notes Due 2020, Downgraded to Ca; previously on March 17, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," 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. Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by 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 increased over the last year and is currently 2947 versus a test level of 2650 as of the last trustee report, dated June 15, 2009. Based on the same report, defaulted securities total about $97 million, accounting for roughly 11% of the collateral balance, and securities rated Caa1 or lower make up approximately 12% of the underlying portfolio. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, may be different from the trustee's reported numbers. Atrium V, issued in July 20, 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. BANC OF AMERICA: Fitch Downgrades Ratings on 17 2007-2 Certs. ------------------------------------------------------------- Fitch Ratings downgrades and removes from Rating Watch Negative 17 classes of commercial mortgage pass-through certificates from Banc of America Commercial Mortgage Inc., series 2007-2. In addition, Fitch assigns Rating Outlooks and Recovery Ratings, as applicable. A detailed list of rating actions follows at the end of this release. The downgrades are the result of loss expectations and reflect Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch forecasts potential losses of 11.5% for this transaction should market conditions not recover. The rating actions are based on losses of 9.2%, including 100% of the losses associated with term defaults and any losses associated with maturities within the next five years. Given the significant term to maturity, Fitch's actions only account for 25% of the losses associated with maturities beyond five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for certain loans representing 66.8% of the pool and, in some cases, revised based on additional information and/or property characteristics. Approximately 41% of the mortgages mature within the next five years: 29.0% in 2012, 10.0% in 2013, and 1.7% in 2014. In 2016 and 2017, the remaining 59.3% of the pool is scheduled to mature. Fitch identified 42 Loans of Concern (32%) within the pool, 15 of which (4.7%) are specially serviced. Of the specially serviced loans, four (0.9%) are current. None of the specially serviced loans are within the transaction's top 15 loans (58%) by unpaid principal balance. Four of the top 15 loans (14.4%) are expected to default during the term, with loss severities ranging from 13.2% to 37.1%. The largest contributors to loss are: Beacon DC and Seattle Portfolio (12.5%), One Park Avenue (5.9%), and 575 Lexington Avenue (5.2%). The Beacon DC and Seattle Portfolio (12.5%) loan is secured by 16 properties, the pledge of the mortgage and the borrower's ownership interest in one property, as well as the pledge of cash flows from three properties. On the aggregate, the 20 properties comprise approximately 9,848,859 square feet of space. The properties are located across several different submarkets, including: Washington, DC Central Business District (CBD, 4), Bellevue CBD (4), Bellevue Suburban (3), Seattle CBD (2), Reston (2), Rosslyn (2), Tysons Corner (2), and Crystal City (1). Across the portfolio, occupancy stood at 94.0% as of YE 2008, compared to 96.9% at issuance. The first mortgage loan corresponding to the Beacon DC and Seattle Portfolio totals $2.7 billion, of which only the $394.5 million A- 4 note is an asset of the trust. The A-4 note, together with the A-5 note (held outside of the trust), benefit from additional credit support in the form of a subordinate B note associated with only those two notes. In a loss scenario, the B-1 note would take the first dollar of loss concurrently with notes A-1, A-2, A-3, A- 6, and A-7, while the A-4 trust component and the A-5 note would remain unimpaired until the B-1 note suffered a total loss. The loan is performing to Fitch's expectation at issuance, with a servicer reported debt service coverage ratio of 1.36 times (x) on the A-4 trust component as of YE 2008. At acquisition, the loan sponsors, Beacon Capital Partners, LLC, and Beacon Capital Strategic Partners V, L.P., contributed approximately $700 million in cash equity. An additional $205.0 million of mezzanine financing was extended to the borrower at issuance, collateralized by the pledges of cash flow from three properties. The loan matures May 7, 2012. The pari passu One Park Avenue loan (5.9%) is secured by a 924,501 sf office property in New York, NY. At issuance, the issuer underwrote to a stabilized cash flow based on the expectation that below market leases expiring during the term of the loan would be re-signed at higher rates, providing for potential upside in future cash flows. Based on YE 2008 performance, the property is behind the stabilization schedule. The servicer reported YE 2008 DSCR was 0.88x with a reported May 2009 occupancy of 97.9%. However, a tenant representing approximately 19% of the net rentable area is expected to vacate its space at lease expiration in December 2009. The issuer underwritten DSCR and occupancy at issuance were 1.16x and 98%, respectively. Based on current performance and anticipated declines, losses are expected upon the loan's maturity in 2012. At closing, the loan was structured with an $18 million debt service reserve to cover interest shortfalls for the first three years of the loan term. As of June 2009, the balance of the debt service reserve was approximately $4.5 million. The loan matures March 1, 2012. The 575 Lexington Avenue loan (5.2%) is secured by a 637,685 sf office property in New York, NY. At issuance, the loan was underwritten to a stabilized cash flow based on the expectation that below market leases expiring during the term of the loan would be re-signed at higher rates, providing for potential upside in future cash flows. Based on YE 2008 performance, the property is behind the stabilization schedule. The servicer reported YE DSCR and occupancy were 0.69x and 90%, respectively, as compared to the issuer DSCR and occupancy at origination of 1.14x and 94%, respectively. Based on current performance and anticipated declines, losses are expected prior to the loan's maturity. At closing, the loan was structured with a $10 million debt service reserve to cover full debt service payments for approximately 12 months. As of February 2009, the balance of the debt service reserve remains unchanged. The first mortgage loan totals $325 million, of which only the $162.5 million A2 note is an asset of the trust. The loan matures Oct. 1, 2013. Fitch has downgraded, removed from Rating Watch Negative, and assigned Rating Outlooks or Recovery Ratings to these classes: -- $153.8 million class A-J to 'BBB-' from 'AAA'; Outlook Negative; -- $100 million class A-JFL to 'BBB-' from 'AAA'; Outlook Negative; -- $15.9 million class B to 'BB' from 'AA+'; Outlook Negative; -- $47.6 million class C to 'B' from 'AA'; Outlook Negative; -- $31.7 million class D to 'B-' from 'AA-'; Outlook Negative; -- $15.9 million class E to 'B-' from 'A+'; Outlook Negative; -- $27.8 million class F to 'B-' from 'A'; Outlook Negative; -- $27.8 million class G to 'B-' from 'A-'; Outlook Negative; -- $43.6 million class H to 'B-' from 'BBB+'; Outlook Negative; -- $35.7 million class J to 'B-' from 'BBB'; Outlook Negative; -- $35.7 million class K to 'B-' from 'BBB-'; Outlook Negative; -- $15.9 million class L to 'B-' from 'BB; Outlook Negative; -- $7.9 million class M to 'B-' from 'BB-'; Outlook Negative; -- $15.9 million class N to 'B-' from 'B'; Outlook Negative; -- $4 million class P to 'CCC/RR6' from 'B-'; -- $11.9 million class Q to 'CC/RR6' from 'CCC/DR1'. In addition, Fitch has affirmed, removed the Rating Watch Negative, and assigned a Rating Outlook to this class: -- $4 million class O at 'B-'; Outlook Negative. In addition, Fitch has affirmed these classes, with a Stable Outlook: -- $42.7 million class A-1 at 'AAA'; -- $753 million class A-2 at 'AAA'; -- $55 million class A-2FL at 'AAA'; -- $162.6 million class A-3 at 'AAA'; -- $61 million class A-AB at 'AAA'; -- $602 million class A-4 at 'AAA'; -- $525 million class A-1A at 'AAA'; -- $317.3 million class A-M at 'AAA'; -- Interest-only class XW at 'AAA'. Fitch does not rate the $39.7 million class S certificates. BANC OF AMERICA: Fitch Puts Ratings on Notes on Negative Watch -------------------------------------------------------------- Fitch Ratings places 5 classes of Banc of America Large Loan, Inc., series 2005-MIB1 on Watch Negative. The Negative Watch is due to the transfer of three loans (12.5%) to special servicing since Fitch's last rating action in January 2009. These loans are: Liberty Properties (5.4%), La Cumbre Plaza (3.7%), and Radisson Resort (3.3%). The Liberty Properties loan is secured by a portfolio of five industrial/office buildings located in Worchester and Dedham, MA. Occupancy of the portfolio as of September 2008, the most recent figure available, had declined to 63.8% from 81.1% at issuance. The loan matured in March 2009 and has one remaining one-year extension option. Additionally there is a mezzanine loan which has been in default since mid 2008 and several of the properties reportedly have significant deferred maintenance. The La Cumbre Plaza loan is secured by an open-air shopping center located in Santa Barbara, CA. While occupancy and revenues are in-line with issuance, expenses have increased in excess of 25% since issuance. The loan matured in August of 2009 and the borrower was not able to obtain refinancing. The Radisson Resort is a 718-room resort hotel located in Kissimmee, FL. The hotel has experienced a decline in performance as tourism in the area has suffered due to the economic downturn. As of the trailing 12 months ended December 2008, occupancy had declined to 52% from 75.8% at issuance. Additionally, expenses had increased approximately 20% from issuance. The loan matures in September 2009 and has no remaining extension options. The borrower has advised that it is unable to obtain refinancing. Fitch places these classes on Rating Watch Negative: -- $30.3 million class G 'A-'; -- $25.3 million class H 'BBB+'; -- $28.8 million class J 'BBB-'; -- $30.9 million class K 'BB'; -- $30 million class L 'B-/DR1';. BANC OF AMERICA: Moody's Cuts Ratings on Two 2006-8T2 Securities ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two securities issued by Banc of America Funding 2006-8T2 Trust. The collateral backing the transaction consists primarily of first- lien, fixed-rate Alt-A mortgage loans. The downgrades relate to structural features, such as sequential pay structures, whereby certain senior bonds are entitled to receive more than their pro-rata share of principal payments. In the event that subordinate bonds are written down entirely, these bonds are subject to 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 either of those cases, given the recent increase in the pace of credit support erosion relative to amortization of the bonds, there is an increased likelihood that the downgraded bonds may not be completely paid off before subordinate bonds are completely written down. In its analysis, Moody's has considered current available credit enhancement and recent CPR, CDR, and severity trends. The cashflows were run on the basis of pool loss expectations in line with those published in Q1 2009, although Moody's incorporated short-term cashflow stresses to assess the resiliency of the bonds impacted in the actions. It should be noted that, in general, Alt-A and Option ARM delinquency trends in the past six months have closely tracked Moody's Q1 projections. If the pace of modifications picks up, delinquencies may be lower than Moody's projections. Severity trends, however, have worsened, with current severities trending higher than Moody's lifetime average severity assumptions by 5-9 percentage points in many pools. Given that recent data on the housing markets has been mixed and there are early indications of home prices potentially bottoming, it is unclear whether the recent higher severities represent peak severities, and to what extent they might alter the average lifetime expected severity. Complete Rating Actions are: Issuer: Banc of America Funding 2006--8T2 Trust -- Cl. A-1, Downgraded to Ba1; previously on 2/11/2009 Downgraded to Baa1 -- Cl. A-2, Downgraded to Ba1; previously on 2/11/2009 Downgraded to Baa1 BANC OF AMERICA: Moody's Reviews Ratings on 12 2005-3 Certificates ------------------------------------------------------------------ Moody's Investors Service placed twelve classes of Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2005-3 on review for possible downgrade due to the credit uncertainty surrounding Maguire Properties Inc., the sponsor of one loan representing 6% of the outstanding deal balance, and higher anticipated losses from loans in special servicing. Maguire continues to experience ongoing levels of high effective leverage, declining operating performance, and an inability to cover dividends from operating cash flow. Currently, Maguire has a low fixed coverage ratio of 0.87x (recurring EBITDA as a percentage of interest expense plus deferred dividends and capitalized interest) as of June 30, 2009, as well as high leverage (debt plus preferred equity as a share of gross assets) of 96.2% and high secured debt as a share of gross assets of 91.2%. As part of a plan to put the company back on track with a focus on a smaller core portfolio, Maguire announced on August 10, 2009 that they had disposed of one property and its associated debt from their wholly owned portfolio. In addition, Maguire announced that they had contacted the master servicer for six mortgage loans in commercial mortgage backed securities transactions and advised them that they would no longer fund cash shortfalls associated with the respective mortgages. One of the six aforementioned loans, representing 6% of the outstanding deal balance, is part of this transaction. As a result of imminent default, this loan, Pacific Arts Plaza is likely to be transferred into special servicing. Most Maguire properties are located in California in either Los Angeles or Orange Counties, both of which have experienced significant rent and occupancy declines over the last year. Over the next two years, Torto Wheaton Research has forecasted Los Angeles County office rents to decline from $26.67 per square foot ("PSF") to $23.85 PSF and vacancy rates to increase from 14.4% to 19.0%. A similar outcome is forecast for Orange County where average rents are expected to decline from $25.10 to $20.75 PSF and vacancy rates are expected to increase from 19.1% to 20.2%. As of the July 10, 2009 distribution date, one loan has been liquidated from the trust resulting in an aggregate loss of $1.1 million. Currently there are five loans, representing 11% of the pool, in special servicing. Upon the transfer of Pacific Arts Plaza into special servicing, there will be six loans (17% of the pool balance) in special servicing. Twelve loans, representing 11% of the pool, are on the master servicer's watchlist. Two loans, representing 1% of the pool balance, have defeased and are collateralized by U.S. Government securities. Moody's will continue to monitor the performance of Maguire Properties Inc. as well as the overall credit quality of the deal. Moody's rating action is: -- Class A-J, $132,364,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 3/19/2009 -- Class B, $24,312,000, currently rated Aa1, on review for possible downgrade; previously affirmed at Aa1 on 3/19/2009 -- Class C, $24,311,000, currently rated Aa2, on review for possible downgrade; previously affirmed at Aa2 on 3/19/2009 -- Class D, $21,611,000, currently rated Aa3, on review for possible downgrade; previously affirmed at Aa3 on 3/19/2009 -- Class E, $37,818,000, currently rated A2, on review for possible downgrade; previously affirmed at A2 on 3/19/2009 -- Class F, $21,611,000, currently rated A3, on review for possible downgrade; previously affirmed at A3 on 3/19/2009 -- Class G, $29,714,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from Baa1 on 3/19/2009 -- Class H, $27,013,000, currently rated Baa3, on review for possible downgrade; previously downgraded to Baa3 from Baa2 on 3/19/2009 -- Class J, $27,013,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from Baa3 on 3/19/2009 -- Class K, $13,507,000, currently rated B1, on review for possible downgrade; previously downgraded to B1 from Ba1 on 3/19/2009 -- Class L, $10,805,000, currently rated B2, on review for possible downgrade; previously downgraded to B2 from Ba2 on 3/19/2009 -- Class M, $10,805,000, currently rated B3, on review for possible downgrade; previously downgraded to B3 from Ba3 on 3/19/2009 BANC OF AMERICA: Moody's Reviews Ratings on 12 2006-6 Certs. ------------------------------------------------------------ Moody's Investors Service placed 12 classes of Banc of America Commercial Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series 2006-6 on review for possible downgrade due to the credit uncertainty surrounding Maguire Properties Inc., the sponsor of one loan representing 11% of the outstanding deal balance, and higher anticipated losses from loans in special servicing. Maguire continues to experience ongoing levels of high effective leverage, declining operating performance, and an inability to cover dividends from operating cash flow. Currently, Maguire has a low fixed coverage ratio of 0.87x (recurring EBITDA as a percentage of interest expense plus deferred dividends and capitalized interest) as of June 30, 2009, as well as high leverage (debt plus preferred equity as a share of gross assets) of 96.2% and high secured debt as a share of gross assets of 91.2%. As part of a plan to put the company back on track with a focus on a smaller core portfolio, Maguire announced on August 10, 2009 that they had disposed of one property and its associated debt from their wholly owned portfolio. In addition, Maguire announced that they had contacted the master servicer for six mortgage loans in commercial mortgage backed securities transactions and advised them that they would no longer fund cash shortfalls associated with the respective mortgages. The aforementioned loans are not part of this transaction. Most Maguire properties are located in California in either Los Angeles or Orange Counties, both of which have experienced significant rent and occupancy declines over the last year. Over the next two years, Torto Wheaton Research has forecasted Los Angeles County office rents to decline from $26.67 per square foot to $23.85 PSF and vacancy rates to increase from 14.4% to 19.0%. A similar outcome is forecast for Orange County where average rents are expected to decline from $25.10 to $20.75 PSF and vacancy rates are expected to increase from 19.1% to 20.2%. As of the July 10, 2009 distribution date, the pool has not experienced any losses. Currently there are five loans, representing 2% of the pool, in special servicing. Twenty-eight loans, representing 42% of the pool, are on the master servicer's watchlist. Moody's will continue to monitor the performance of Maguire Properties Inc. as well as the overall credit quality of the deal. Moody's rating action is: -- Class A-J, $193,900,000, currently rated A2, on review for possible downgrade; previously downgraded to A2 from Aaa on 2/6/2009 -- Class B, $49,244,000, currently rated Baa1, on review for possible downgrade; previously downgraded to Baa1 from Aa2 on 2/6/2009 -- Class C, $24,622,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from Aa3 on 2/6/2009 -- Class D, $30,778,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from A2 on 2/6/2009 -- Class E, $30,777,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from A3 on 2/6/2009 -- Class F, $27,700,000, currently rated Ba3, on review for possible downgrade; previously downgraded to Ba3 from Baa1on 2/6/2009 -- Class G, $27,700,000, currently rated B2, on review for possible downgrade; previously downgraded to B2 from Baa2 on 2/6/2009 -- Class H, $30,778,000, currently rated B3, on review for possible downgrade; previously downgraded to B3 from Baa3 on 2/6/2009 -- Class J, $6,155,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from Ba1 on 2/6/2009 -- Class K, $9,233,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from Ba2 on 2/6/2009 -- Class L, $9,234,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from Ba3 on 2/6/2009 -- Class M, $3,078,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from B1 on 2/6/2009 BANK OF AMERICA: Fitch Takes Rating Actions on 2006-3 Certs. ------------------------------------------------------------ Fitch Ratings has downgraded, removed from Rating Watch Negative, and assigned Rating Outlooks to seven classes of commercial mortgage pass-through certificates from Bank of America Commercial Mortgage Inc., series 2006-3. The downgrades are the result of loss expectations and reflect Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch foresees potential losses could reach as high as 9.9% for this transaction should market conditions not recover. The rating actions are based on losses of 7.4%, including 100% of the term losses and 25% of the losses anticipated to occur at maturity; the 7.4% recognizes all of the losses anticipated in the next five years. Given the significant remaining term to maturity, Fitch's actions do not account for the full magnitude of possible maturity losses. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for certain loans representing 75.6% of the pool and, in some cases, revised based on additional information and/or property characteristics. Approximately 6.7% of the mortgages mature within the next five years: 5.9% in 2010, 0% in 2011, 0% in 2012, 0.7% in 2013, and 0% in 2014. All losses associated with these loans are fully recognized in the rating actions. Fitch identified 19 Loans of Concern (17.5%) within the pool, nine of which (8%) are specially serviced. One of the loans (5.9%) within the top 15 is expected to default at maturity in 2010, with a loss severity of approximately 6.2%. The largest contributors to loss are: Fair Lakes Promenade (1.6%), Boscov's Monroeville Mall (1%), and Boscov's South Hills Village (1%). Fair Lakes Promenade is a 137,107 square foot (SF) retail property located in Fairfax, VA. The property has experienced a significant decline in occupancy since issuance as a result of Linens and Thing's bankruptcy filing. The servicer reported March 2009 debt service coverage ratio and occupancy were 0.42 times (x) and 53%, respectively. Based on current performance and anticipated declines, losses are expected prior to the loan's maturity in 2016. Boscov's Monroeville Mall and Boscov's South Hills Village are two of eight single-tenant retail loans, of which Boscov's Inc. is the borrower and tenant. There are eight Boscov's loans in this transaction with total principal balance of $131.5 million (6.8% of the pool). Fitch expects significant losses on seven of the eight loans with total exposure of $115.9 million (6%) that are secured by stores which were closed after Boscov's filed Chapter 11 bankruptcy on Aug. 4, 2008. The stores are attached to shopping centers, four of which are owned by Simon Properties Group, Inc., two by General Growth Properties and one CBL & Associates Properties, Inc. The malls are not part of the collateral for the loans. When Boscov's acquired these stores from Federated Department Stores in 2006, the company pledged each individual asset as collateral to finance the purchases. The properties are located throughout Pennsylvania and Maryland. Fitch has downgraded, removed from Rating Watch Negative and assigned Rating Outlooks to these classes: -- $152.3 million class A-J to 'BBB-' from 'AAA'; Outlook Negative; -- $41.8 million class B to 'BB' from 'AA'; Outlook Negative; -- $19.7 million class C to 'B' from 'A+'; Outlook Negative; -- $31.9 million class D to 'B' from 'BBB+'; Outlook Negative; -- $17.2 million class E to 'B-' from 'BBB'; Outlook Negative; -- $22.1 million class F to 'B-' from 'BB'; Outlook Negative; -- $17.2 million class G to 'B-' from 'B'; Outlook Negative. Fitch has affirmed and revised the Recovery Ratings: -- $22.1 million class H to 'CCC/RR6' from 'CCC/DR3'; -- $196.5 million class J to 'CC/RR6' from 'CC/DR4'; -- $152.3 million class K to 'C/RR6' from 'C/DR6'; -- $41.8 million class L to 'C/RR6' from 'C/DR6'; -- $19.7 million class M to 'C/RR6' from 'C/DR6'. Additionally, Fitch has affirmed these classes and Rating Outlooks as indicated: -- $22.5 million class A-1 at 'AAA' Outlook Stable; -- $43.5 million class A-2 at 'AAA' Outlook Stable; -- $60 million class A-3 at 'AAA' Outlook Stable; -- $1.01 billion class A-4 at 'AAA' Outlook Stable; -- $219.1 million class A-A1 at 'AAA' Outlook Stable; -- $196.5 million class A-M at 'AAA' Outlook Stable; -- Interest-only class XW at 'AAA'; Outlook Stable. Fitch does not rate these classes: -- $7.4 million class N; -- $4.9 million class O; -- $27 million class P. BEAR STEARNS: Fitch Downgrades Ratings on 14 2007-TOP26 Certs. -------------------------------------------------------------- Fitch Ratings downgrades and removes from Rating Watch Negative 14 classes and revises Rating Outlooks on 14 classes of commercial mortgage pass-through certificates from Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26. The downgrades are the result of loss expectations and reflect Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch forecasts potential losses of 2.8% for this transaction, should market conditions not recover. The rating actions are based on losses of 2.1%, including 100% of the losses associated with term defaults and any losses associated with maturities within the next five years. Given the significant term to maturity, Fitch's actions only account for 25% of the losses associated with maturities beyond five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end (YE) 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for loans representing 40.8% of the pool and, in certain cases, revised based on additional information and/or property characteristics. Approximately 14.2% of the mortgages mature within the next five years: 1.3% in 2011, 9.6% in 2012, 1.3% in 2013, and 2% in 2014. In 2017, 64.8% of the pool is scheduled to mature. None of the largest 15 loans are scheduled to mature before 2014. Fitch identified 20 Loans of Concern (5.6%) within the pool, three of which (3.7%) are specially serviced. Of the specially serviced loans, one (0.3% of the pool) is current. One of the Fitch Loans of Concern (3.1%) is within the transaction's top 15 loans, and is specially serviced. The largest specially serviced loan is the Viad Corporate Center loan (3.1% of the pool) which transferred to special servicing in March 2009. A major tenant vacated in April 2009, which resulted in an approximate occupancy of 82%. The property's DSCR (partial year, through March 2009 adjusted to the new 82% occupancy) is 1.15 times (x). The borrower has cited a substantial decrease in market value of the property as reason for the default. The special servicer entered into a 90-day forbearance agreement in June 2009 while the borrower continues its efforts to find a new capital partner. Thirteen of the loans within the top 15 (29.9%) are expected to default at maturity, with loss severities ranging from less than 1% to 13.3%. The largest contributors to loss are: Viad Corporate Center (3.1% of the pool), 909 A Street (2.3%), and Overlook II (1.5%). Most of the transaction's recognized losses in this review are attributed to the Viad Corporate Center. The 909 A Street loan is secured by a 210,186 square foot (sf) office property located in Tacoma, WA. The property is 100% occupied by the Russell Investment Group (RIG). RIG's lease expiration occurs in 2013 however, RIG has a five-year extension option. The servicer reported YE 2008 debt service coverage ratio (DSCR) was 1.62x. The Overlook II loan is secured by a 254,658 sf office property located in Atlanta, GA. The property is currently 90% occupied which is in-line with occupancy at securitization (92.7%). Major tenants include Carecentric (8.6% of NRA), Insurance Office of America (8.6%), and Nissan North America (8.5%). The servicer reported YE 2008 DSCR was 1.44x. Fitch downgrades and removes from Rating Watch Negative these classes: -- $160.6 million class A-J to 'AA' from 'AAA'; Outlook Negative; -- $42.1 million class B to 'A' from 'AA'; Outlook Negative; -- $18.4 million class C to 'A' from 'AA-'; Outlook Negative; -- $29 million class D to 'BBB' from 'A'; Outlook Negative; -- $15.8 million class E to 'BBB-' from 'A-'; Outlook Negative; -- $18.4 million class F to 'BB' from 'BBB+'; Outlook Negative; -- $18.4 million class G to 'B' from 'BBB'; Outlook Negative; -- $18.4 million class H to 'B-' from 'BBB-'; Outlook Negative; -- $2.6 million class J to 'B-' from 'BB+'; Outlook Negative; -- $2.6 million class K to 'B-' from 'BB'; Outlook Negative; -- $5.3 million class L to 'CCC/RR6' from 'BB-'; Outlook Negative; -- $2.6 million class M to 'CCC/RR6' from 'B+'; Outlook Negative; -- $5.3 million class N to 'CCC/RR6' from 'B'; Outlook Negative; -- $2.6 million class O to 'CCC/RR6' from 'B-'; Outlook Negative. Fitch also affirms these classes: -- $52 million class A-1 at 'AAA'; Outlook Stable; -- $177 million class A-2 at 'AAA'; Outlook Stable; -- $65.4 million class A-3 at 'AAA'; Outlook Stable; -- $78 million class A-AB at 'AAA'; Outlook Stable; -- $991.9 million class A-4 at 'AAA'; Outlook Stable; -- $148.7 million class A-1A at 'AAA'; Outlook Stable; -- $210.6 million class A-M at 'AAA'; Outlook Stable; -- Interest-only class X-1 at 'AAA'; Outlook Stable; -- Interest-only class X-2 at 'AAA'; Outlook Stable. Fitch does not rate the $15.8 million class P. BEAR STERNS: Moody's Affirms Ratings on Nine 2005-PWR9 Certs. ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of nine classes and downgraded 15 classes of Bear Sterns Commercial Mortgage Corporation, Commercial Mortgage Pass-Through Certificates, Series 2005-PWR9. The downgrades are due to higher expected losses for the pool resulting from increased leverage and anticipated losses from loans in special servicing. On May 21, 2009, Moody's placed 15 classes on review for possible downgrade due to an increase in loans in special servicing. This action concludes the review As of the July 13, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 4% to $2.1 billion from $2.2 billion at securitization. The Certificates are collateralized by 198 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top 10 loans representing 30% of the pool. Two loans, representing 1% of the pool, have investment grade underlying ratings. Nine loans, representing 5% of the pool, have defeased and are collateralized by U.S. government securities. Thirty-two loans, representing 16% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has not experienced any losses since securitization. Eleven loans, representing 10% of the pool, are currently in special servicing. The largest specially serviced loan is Trilogy Towers, the largest loan in the pool, which is now known as Towers at Wyncote, ($135.7 million -- 6.6%). This loan is secured by a 1,086 unit apartment complex located north of Philadelphia in Wyncote, Pennsylvania. The loan was transferred to special servicing in April 2009 due to imminent default. The borrowing entity had been funding monthly cash flow deficits of upwards of $300,000 since 2007. The property's net operating income ("NOI") has declined over 50% since securitization due to decreased rental income and increased operating expenses. The property was 87% occupied as of February 2009 compared to 84% at last review and 92% at securitization. The borrower is negotiating a possible modification of the loan which could include a significant infusion of equity. Moody's estimates a potential $55.7 million loss for this loan (41% loss severity) based on the property's current performance. However, this loss may not be realized if the loan is modified and transferred back to the master servicer. The remaining ten specially serviced loans are a mix of hotel, industrial and retail. Moody's estimates an aggregate loss of approximately $16.8 million (41% loss severity on average) for the remaining specially serviced loans. Moody's was provided with year-end or partial year-end 2008 operating results for 96% of the pool. Moody's loan to value ratio is 102%, excluding specially serviced loans, compared to 97% at Moody's last review in July 2007. Moody's stressed debt service coverage ratio, excluding specially serviced loans, is 1.02X compared to 1.03X at last review. Moody's stressed DSCR is based on Moody's net cash flow and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of the Herfindahl index to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool, excluding defeased loans and loans with underlying ratings, has a Herf score of 55, essentially the same as last review. The largest loan with an underlying rating is the Lakeside II Loan ($16.3 million -- 0.8%), which is secured by a 130,265 square foot office property located in Chantilly, Virginia. The property is 100.0% occupied by Integic Corporation through September 2012. Moody's current underlying rating and stressed DSCR are Baa3 and 1.34X, respectively, compared to Baa3 and 1.32X at last review. The second loan with an underlying rating is the 200 Glen Cove Road Loan ($12.2 million -- 0.6%), which is secured by a 151,450 square foot retail center located in Carle Place (Nassau County), New York. The center was 83% occupied as of December 2008 compared to 85% at last review and 93% at securitization. Financial performance has been negatively impacted by the decline in occupancy. Moody's underlying rating and stressed DSCR are Baa2 and 1.46X, respectively, compared to Baa1 and 1.48X at last review. The top three performing conduit loans represent 11% of the pool. The largest loan is the DRA - Ahwatukee Foothill Towne Center Loan ($108.9 million -- 5.3%), which is secured by a 671,300 square foot retail center located in Phoenix, Arizona. The property was 97% leased as of December 2008, essentially the same as at last review. The center is shadow anchored by Target. The loan is interest only and matures in August 2010. Moody's LTV and stressed DSCR are 110% and 0.88X, respectively, compared to 111% and 0.85X at last review. The second largest loan is the Boston Design Center Loan ($70.1 million -- 3.4%), which is secured by a leasehold interest in a 552,344 square foot retail/showroom/office design center located in Boston, Massachusetts. The property is subject to a ground lease which expires in 2035 with renewal options for an additional 25 years. The property was 95% occupied as of February 2009, essentially the same as last review. Moody's LTV and stressed DSCR are 93% and 1.01X, respectively, compared to 91% and 1.04X at last review. The third largest loan is Riverside at the James Loan ($55.3 million -- 2.7%), which is secured by a 263,000 Class A office building located in Richmond, Virginia. The property is 89% occupied as of December 2008. The property was 88% leased as of December 2008 compared to 91% at securitization. The largest tenant is Troutman Sanders LLP which leases 54% of the property through April 2021. Moody's LTV and stressed DSCR are 103% and 1.00X, respectively, compared to 106% and 0.97X at last review. Moody's rating action is: -- Class A-1, $29,204,510, affirmed at Aaa; previously affirmed at Aaa on 7/6/2007 -- Class A-2, $358,810,000, affirmed at Aaa; previously affirmed at Aaa on 7/6/2007 -- Class A-3, $45,825,000, affirmed at Aaa; previously affirmed at Aaa on 7/6/2007 -- Class A-AB, $100,000,000, affirmed at Aaa; previously affirmed at Aaa on 7/6/2007 -- Class A-4A, $768,026,000, affirmed at Aaa; previously affirmed at Aaa on 7/6/2007 -- Class A-4B, $109,718,000, affirmed at Aaa; previously affirmed at Aaa on 7/6/2007 -- Class A-1-A, $222,917,563, affirmed at Aaa; previously affirmed at Aaa on 7/6/2007 -- Class X-1, Notional, affirmed at Aaa; previously affirmed at Aaa on 7/6/2007 -- Class X-2, Notional, affirmed at Aaa; previously affirmed at Aaa on 7/6/2007 -- Class A-J, $166,811,000, downgraded to Aa1 from Aaa; previously Aaa, on review for possible downgrade on 5/21/2009 -- Class B, $13,452,000, downgraded to Aa2 from Aa1; previously Aa1, on review for possible downgrade on 5/21/2009 -- Class C, $34,976,000, downgraded to A1 from Aa2; previously Aa2, on review for possible downgrade on 5/21/2009 -- Class D, $24,215,000, downgraded to A2 from Aa3; previously Aa3, on review for possible downgrade on 5/21/2009 -- Class E, $29,595,000, downgraded to Baa1 from A2; previously A2, on review for possible downgrade on 5/21/2009 -- Class F, $21,524,000, downgraded to Baa2 from A3; previously A3, on review for possible downgrade on 5/21/2009 -- Class G, $26,905,000, downgraded to Ba1 from Baa1; previously Baa1, on review for possible downgrade on 5/21/2009 -- Class H, $21,524,000, downgraded to Ba2 from Baa2; previously Baa2, on review for possible downgrade on 5/21/2009 -- Class J, $24,214,000, downgraded to B1 from Baa3; previously Baa3, on review for possible downgrade on 5/21/2009 -- Class K, $5,381,000, downgraded to B2 from Ba1; previously Ba1, on review for possible downgrade on 5/21/2009 -- Class L, $8,072,000, downgraded to B3 from Ba2; previously Ba2, on review for possible downgrade on 5/21/2009 -- Class M, $10,716,000, downgraded to Caa1 from Ba3; previously Ba3, on review for possible downgrade on 5/21/2009 -- Class N, $8,072,000, downgraded to Caa2 from B1; previously B1, on review for possible downgrade on 5/21/2009 -- Class P, $8,071,000, downgraded to Caa3 from B2; previously B2, on review for possible downgrade on 5/21/2009 -- Class Q, $5,381,000, downgraded to Caa3 from B3; previously B3, on review for possible downgrade on 5/21/2009 BEAR STEARNS: Moody's Reviews Ratings on 11 2004-TOP14 Certs. ------------------------------------------------------------- Moody's Investors Service placed 11 classes of Bear Stearns Commercial Mortgage Securities Trust 2004-TOP14, Commercial Mortgage Pass-Through Certificates, Series 2004-TOP14 on review for possible downgrade due to the credit uncertainty surrounding Maguire Properties Inc., the sponsor of one loan representing 10% of the outstanding deal balance, and higher anticipated losses from a loan in special servicing. Maguire continues to experience ongoing levels of high effective leverage, declining operating performance, and an inability to cover dividends from operating cash flow. Currently, Maguire has a low fixed coverage ratio of 0.87x (recurring EBITDA as a percentage of interest expense plus deferred dividends and capitalized interest) as of June 30, 2009, as well as high leverage (debt plus preferred equity as a share of gross assets) of 96.2% and high secured debt as a share of gross assets of 91.2%. As part of a plan to put the company back on track with a focus on a smaller core portfolio, Maguire announced on August 10, 2009 that they had disposed of one property and its associated debt from their wholly owned portfolio. In addition, Maguire announced that they had contacted the master servicer for six mortgage loans in commercial mortgage backed securities transactions and advised them that they would no longer fund cash shortfalls associated with the respective mortgages. The aforementioned loans are not part of this transaction. Most Maguire properties are located in California in either Los Angeles or Orange Counties, both of which have experienced significant rent and occupancy declines over the last year. Over the next two years, Torto Wheaton Research has forecasted Los Angeles County office rents to decline from $26.67 per square foot to $23.85 PSF and vacancy rates to increase from 14.4% to 19.0%. A similar outcome is forecast for Orange County where average rents are expected to decline from $25.10 to $20.75 PSF and vacancy rates are expected to increase from 19.1% to 20.2%. As of the July 13, 2009 distribution date, one loan has been liquidated from the trust resulting in a loss of $0.7 million. Currently there is one loan, representing 1% of the pool, in special servicing. Eleven loans, representing 12% of the pool, are on the master servicer's watchlist. Six loans, representing 12% of the pool, have defeased and are collateralized by U.S. Government securities. Moody's will continue to monitor the performance of Maguire Properties Inc. as well as the overall credit quality of the deal. Moody's rating action is: -- Class D, $17,890,000, currently rated A2, on review for possible downgrade; previously affirmed at A2 on 1/10/2008 -- Class E, $8,945,000, currently rated A3, on review for possible downgrade; previously affirmed at A3 on 1/10/2008 -- Class F, $10,064,000, currently rated Baa1, on review for possible downgrade; previously affirmed at Baa1 on 1/10/2008 -- Class G, $5,591,000, currently rated Baa2, on review for possible downgrade; previously affirmed at Baa2 on 1/10/2008 -- Class H, $7,827,000, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 1/10/2008 -- Class J, $4,472,000, currently rated Ba1, on review for possible downgrade; previously affirmed at Ba1 on 1/10/2008 -- Class K, $4,473,000, currently rated Ba2, on review for possible downgrade; previously affirmed at Ba2 on 1/10/2008 -- Class L, $2,236,000, currently rated Ba3, on review for possible downgrade; previously affirmed at Ba3 on 1/10/2008 -- Class M, $2,236,000, currently rated B1, on review for possible downgrade; previously affirmed at B1 on 1/10/2008 -- Class N, $2,237,000, currently rated B2, on review for possible downgrade; previously affirmed at B2 on 1/10/2008 -- Class O, $2,236,000, currently rated B3, on review for possible downgrade; previously affirmed at B3 on 1/10/2008 BEAR STEARNS: S&P Downgrades Ratings on 13 2006-BBA7 Certificates ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on all 13 classes of commercial mortgage pass-through certificates from Bear Stearns Commercial Mortgage Securities Inc.'s series 2006-BBA7. The lowered ratings reflect S&P's revaluation of the remaining loans in the pool, which considered actual and potential property performance declines, as well as concerns regarding the borrower's ability to refinance the loan by its October 2010 final maturity. S&P's analysis factored in S&P's 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, and also considered conditions of the local lodging markets. The distribution of interest proceeds to the interest-only classes X-1B and X-3 from series 2006-BBA7 are made pro rata to class A-1. S&P downgraded classes X-1B and X-3 accordingly. S&P published a request for comment proposing changes to S&P's interest-only criteria on June 1, 2009. After finalizing S&P's criteria review, S&P may revise its current criteria. Any change in S&P's criteria may affect outstanding ratings, including the ratings on the X-1B and X-3 certificates S&P lowered. The larger of the two remaining loans in the pool is the Columbia Sussex Portfolio loan, with a whole-loan and trust balance of $550.0 million (93.1% of the remaining pool balance). In addition, the borrower's equity interests in the collateral properties secure a $513.3 million mezzanine loan. The floating- rate loan provided for interest-only payments during the initial two-year term and amortizes on a 25-year schedule thereafter. Fourteen first mortgages encumbering full-service hotel properties, including 11 fee interests and three leasehold interests encompassing 5,821 rooms, secure the loan. The portfolio is diversified across 10 states, the District of Columbia, and Canada. At issuance the portfolio was branded by 10 Wyndham flags, two Marriott flags, one Sheraton flag, and one Westin flag. The sponsor invested $175.5 million ($30,181 per key) as part of a plan to reflag 13 of the 14 properties (six Westin flags, three Hilton flags, two Sheraton flags, and two Marriott flags); the Wyndham Chicago Downtown will continue to remain a Wyndham hotel. The master servicer, Bank of America, reported a debt service coverage (DSC) of 2.61x and 65% occupancy for the year ended December 31, 2008. Based on S&P's cash flow analysis on a review of the borrower's operating statements for the 12 months ended December 31, 2008, and the borrower's 2009 budget, S&P derived an adjusted valuation that is 40% below S&P's value at issuance. The decline in S&P's adjusted valuation is due primarily to lower actual and expected revenue. The loan is scheduled to mature on October 12, 2009, with one 12-month extension option. According to the master servicer, the loan is expected to meet its extension requirements. The Citigroup Property Investors Hilton portfolio is the second remaining loan and has a trust and whole-loan balance of $40.5 million (6.9% of the remaining pool). In addition, the borrower's equity interests in the collateral properties secure a $28.0 million mezzanine loan. The floating-rate loan provided for interest-only payments during the initial two-year term and amortizes on a 25-year schedule thereafter. First mortgages encumbering the fee interests in five cross-collateralized and cross-defaulted hotels encompassing a total of 944 rooms secure this loan. Four of the properties (767 rooms, 81.3% of total rooms) are flagged largely as limited-service Hilton Garden Inns, and the remaining property (177 rooms, 18.7%) is flagged as a Homewood Suites, which is Hilton's upscale, extended-stay brand. Built between 1999 and 2002, the properties are located in major metropolitan markets in Florida, Georgia, Illinois, California, and Colorado. According to the master servicer, Bank of America, this loan was transferred to the special servicer, also Bank of America, on July 24, 2009, due to imminent default. The borrower informed the master servicer that it was unwilling to fund the July 2009 shortfall. The special servicer did not provide details on the workout given the date of the transfer. The master servicer reported a DSC of 2.80x and 72% occupancy for the year ended December 31, 2008. Based on S&P's cash flow analysis on a review of the borrower's operating statements for the 12 months ended December 31, 2008, and the borrower's 2009 budget, S&P derived an adjusted valuation that is 31% below S&P's value at issuance. The decline in S&P's adjusted valuation is due primarily to lower actual and expected revenue. The loan is scheduled to mature on October 12, 2009, with one 12-month extension option. Ratings Lowered And Removed From Creditwatch Negative Bear Stearns Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2006-BBA7 Rating ------ Class To From ----- -- ---- A-1 AA AAA/Watch Neg A-2 BBB AAA/Watch Neg B BB+ AA+/Watch Neg C BB AA/Watch Neg D B+ AA-/Watch Neg E B A+/Watch Neg F B A/Watch Neg G B- A-/Watch Neg H CCC+ BBB+/Watch Neg J CCC BBB/Watch Neg K CCC- BBB-/Watch Neg X-1B AA AAA/Watch Neg X-3 AA AAA/Watch Neg C-BASS ABS: Moody's Downgrades Ratings on 1997-1 Certificate ------------------------------------------------------------ Moody's Investors Service has downgraded the rating on one certificate issued in C-BASS ABS, LLC 1997-1 resecuritized RMBS transaction. The tranche is supported by an insurance policy issued by MBIA Insurance Corporation (currently rated B3 for insurance financial strength). The certificates in the resecuritization are backed by one or more securities, which in turn are backed by residential mortgage loans. These rating actions have been triggered by changes in performance and/or Moody's ratings on the underlying residential mortgage-backed securities (underlying securities). The ratings on the certificates in the resecuritization are based on: (i) The updated expected loss of the pool of loans backing the underlying securities portfolio and the updated ratings on the underlying securities portfolio (ii) The available credit enhancement on the underlying securities, and (iii) The structure of the resecuritization transaction. (1) Moody's first updated its loss assumptions on the underlying pool of mortgage loans (backing the underlying securities) and then arrived at updated ratings on the underlying securities. Certain resecuritizations may contain underlying securities that were not originally rated by Moody's. In this case, an expected loss is derived by comparing the non-rated deal to a Moody's-rated deal with similar current collateral and performance characteristics. An implicit rating is then determined by comparing current available credit enhancement for the non rated tranche to the estimated expected loss for the deal. The ratings on the underlying securities are then used to derive a weighted average portfolio rating based on a weighted average rating factor. To determine the portfolio WARF, Moody's assigns the ratings on the underlying securities a Rating Factor based on Moody's published 10-yr idealized loss expectations. Weights are assigned to each Rating Factor based on the contribution (by outstanding pledged balance) of the underlying security to the resecuritized transaction. (2) Second, Moody's determines the weighted average credit enhancement available to the portfolio security by evaluating the loss coverage level consistent with the ratings on the underlying securities and the underlying mortgage pool losses and weighting them based on the outstanding pledged balance of the underlying securities. (3) Finally, the ratings on the bonds issued in the resecuritization are determined after taking into consideration additional structural aspects of the resecuritization. For transactions where only a single tranche is issued, the weighted average portfolio rating (as determined in step 1 above) is the rating assigned to the tranche. Where multiple securities are issued, the loss allocation and cash flow priority are taken into consideration. For instance where the certificates in the resecuritization are tranched into a super senior tranche and a support tranche, the support tranche is notched down to reflect a higher severity of loss to that tranche. The rating on the super senior tranche is determined based on the total credit enhancement available i.e. the credit enhancement assessed in step (2) and the additional enhancement from the support tranche. The probability of default for the junior-most certificate in the resecuritization is the same as the probability of default for the lowest rated underlying certificate. However, Moody's anticipates a higher loss severity on the junior-most class due to its subordinate position (both in terms of principal distribution and loss allocation) and smaller size (when compared to underlying certificate). Therefore, the ratings on junior certificates in the resecuritization are lower than the portfolio rating on the combined underlying bonds. Because the ratings on the certificates in the resecuritization are linked to the ratings on the underlying certificates and their mortgage pool performance, any rating action on the underlying certificates may trigger a further review of the ratings on the certificates in the resecuritization. The ratings on the certificates in the resecuritization address the ultimate payment of promised interest and principal and do not address any other amounts that may be payable on the certificates. For securities insured by a financial guarantor, the rating on the securities is equal to the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described above. Complete Rating Actions are: Issuer: C-BASS ABS, LLC 1997-1 -- Class A-2, Downgraded to B3; previously on 11/16/2008 A2 Placed Under Review Direction Uncertain CARLYLE HIGH: Moody's Downgrades Ratings on Six Classes ------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Carlyle High Yield Partners VIII, Ltd.: -- US$189,000,000 Class A-1 Senior Secured Floating Rate Notes due 2021, Downgraded to Aa2; previously on May 24, 2006 Assigned Aaa; -- US$19,000,000 Class A-2-B Senior Secured Floating Rate Notes due 2021, Downgraded to Aa3; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- US$34,000,000 Class B Senior Secured Floating Rate Notes due 2021, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$28,750,000 Class C Senior Secured Deferrable Floating Rate Notes due 2021, Downgraded to Ba2; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$34,250,000 Class D Secured Deferrable Floating Rate Notes due 2021, Downgraded to B3; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$13,000,000 Type I Composite Notes due 2021, Downgraded to Ba1; previously on March 4, 2009 Baa2 Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," 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. Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured 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 overcollateralization test and the CCC/Caa concentration limitation. The weighted average rating factor has steadily increased over the last year and is currently 2836 versus a test level of 2721 as of the last trustee report, dated July 6, 2009. Based on the same report, defaulted securities total about $20.58 million, accounting for roughly 4.25% of the collateral balance, and securities rated Caa1 or lower make up approximately 9.81% 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. Carlyle High Yield Partners VIII, Ltd., issued on May 24, 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. CARLYLE HIGH: Moody's Downgrades Ratings on Various Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Carlyle High Yield Partners X, Ltd.: -- US$128,500,000 Class A-1 Senior Secured Floating Rate Notes due 2022, Downgraded to A1; previously on April 12, 2007 Assigned Aaa; -- US$155,000,000 Class A-2-A Senior Secured Floating Rate Notes due 2022, Downgraded to Aa2; previously on April 12, 2007 Assigned Aaa; -- US$17,500,000 Class A-2-B Senior Secured Floating Rate Notes due 2022, Downgraded to A2; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- US$16,000,000 Class B Senior Secured Floating Rate Notes due 2022, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$12,000,000 Class E Secured Deferrable Floating Rate Notes due 2022, Downgraded to Ca; previously on March 13, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$21,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2022, Confirmed at Ba1; previously on March 13, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$16,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2022, Confirmed at B1; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," 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. Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured 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 Class D and Class E overcollateralization test and the Caa concentration limit. The weighted average rating factor has increased over the last year and is currently 2529 (adjusted) versus a test level of 2310 as of the last trustee report, dated July 6, 2009. Based on the same report, defaulted securities total about $20 million, accounting for roughly 5.53% of the collateral balance, and securities rated Caa1 or lower make up approximately 10.6% 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. Carlyle High Yield Partners X, Ltd., issued on April 12, 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. CD 2007-CD4: S&P Downgrades Ratings on 14 Classes of CMBS --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 14 classes of commercial mortgage-backed securities from CD 2007-CD4 and removed them from CreditWatch with negative implications, where they were placed on April 7, 2009, and June 26, 2009. In addition, S&P affirmed its ratings on eight classes from the same transaction and removed one of them from CreditWatch negative. The downgrades follow S&P's analysis of the transaction using its recently released U.S. conduit and fusion CMBS criteria, which was the primary driver of the rating actions. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage (DSC) of 1.39x and a loan-to-value ratio of 117.7%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 0.81x and an LTV of 163.4%. The implied defaults and loss severity under the 'AAA' scenario were 91.4% and 44.6%, respectively. The DSC and LTV calculations exclude 11 of the 19 specially serviced assets (6.1%). S&P estimated losses for these loans, which are included in the 'AAA' scenario implied default and loss figures. S&P affirmed the ratings on the interest-only certificates based on S&P's current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its current criteria. Any change in S&P's criteria may impact outstanding ratings, including the ratings on the IO certificates S&P affirmed. Credit Concerns Nineteen assets ($876.0 million, 13.3%) in the pool, including two of the top 10 loans, are specially serviced. Eighteen ($473.4 million, 7.2%) of the 19 specially serviced assets are with CWCapital Asset Management LLC (CWCapital). Midland Loan Services Inc. acts as the special servicer for the remaining asset ($402.6 million, 6.1%). Four ($20.6 million, 0.3%) of the 19 specially serviced assets were transferred to the special servicer after the July 13, 2009, remittance report. The payment statuses of the specially serviced loans are: one is in foreclosure ($225.0 million, 3.4%), six are more than 90 days delinquent ($34.9 million, 0.5%), three are 60 days delinquent ($23.6 million, 0.4%), five are 30 days delinquent ($153.8 million, 2.3%), three are late but less than 30 days delinquent ($36.1 million, 0.6%), and one is current ($402.6 million, 6.1%). Five of the specially serviced loans have appraisal reduction amounts (ARAs) in effect totaling $124.6 million. Two of the specially serviced assets have balances that are greater than 3.0% of the total pool balance. Transaction Summary As of the July 13, 2009, remittance report, the collateral pool consisted of 378 loans with an aggregate trust balance of $6.61 billion, slightly lower than the balance of $6.64 billion at issuance. The master servicers for the transaction are Capmark Finance Inc., Midland Loan Services Inc., and Wachovia Bank N.A. Financial information was provided for 98.1% of the pool, and 93.9% of the available financial information was full-year 2008 data. S&P calculated a weighted average DSC of 1.49x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.39x and 117.7%, respectively. The transaction has not experienced any principal losses to date. Eighty-four loans ($1.6 billion, 23.8%) are on the master servicers' watchlists, including two of the top 10 loans, as well as four loans ($20.6 million, 0.3%) that were transferred to the special servicer after the July 13, 2009, remittance report. Sixty-four loans ($1.1 billion, 16.2%) have a reported DSC below 1.10x, and 48 of these loans ($873.2 million, 13.2%) have a reported DSC of less than 1.0x. Summary Of Top 10 Loans The top 10 exposures have an aggregate outstanding trust balance of $2.7 billion (40.1%). Using servicer-reported numbers, S&P calculated a weighted average DSC for the top 10 loans of 1.65x, compared with 1.85x at issuance. The second-largest ($400.0 million, 6.1%) and sixth-largest ($250.0 million, 3.8%) loans in the pool appear on the master servicers' watchlists. S&P's adjusted DSC and LTV for the top nine loans (i.e., top 10 loans, excluding the Riverton Apartments exposure) are 1.35x and 118.5%, respectively. The largest loan in the pool, the Ala Moana Portfolio loan, has a trust balance of $402.6 million and a whole-loan balance of $1.5 billion. The loan is secured by a portfolio of four properties (two retail properties and two office buildings) totaling 1,989,759 sq. ft. in Honolulu, Hawaii. The reported DSC for the portfolio in 2008 was 1.68x, and the occupancy was 97.3%. The loan is current and was transferred to the special servicer on April 22, 2009, due to General Growth Properties' (GGP's) bankruptcy filing. S&P continues to monitor the developments relating to the GGP bankruptcy and will take rating actions as S&P determine necessary. The Riverton Apartments loan is the seventh-largest exposure in the pool and the second-largest exposure with the special servicer. This asset has a balance of $225.0 million and is secured by a 1,230-unit apartment complex in Harlem, N.Y. The loan exposure was transferred to CWCapital on August 8, 2008, after the borrower gave notice that it would not be able to make the September 1, 2008, debt service payment. The reported DSC for the 12 months ended June 30, 2008, was 0.29x. CWCapital continues to dual-track the foreclosure process along with other possible workout options. The loan has a $52.1 million ARA in effect. Standard & Poor's adjusted valuation for the asset has declined 52.2% from its level at issuance, and S&P expects a significant loss upon the liquidation of this asset. The Loews Lake Las Vegas loan is the third-largest exposure with the special servicer. This asset has a balance of $117.0 million and is secured by a 493-room, full-service hotel in Henderson, Nev. The asset was transferred to the special servicer on March 4, 2009. The property's net cash flow was negative as of year-end 2008. The borrower is cooperating with the lender in terms of installing a receiver. The loan has a $68.0 million ARA in effect. Standard & Poor's expects a significant loss upon the liquidation of the asset. Standard & Poor's stressed the loans in the pool according to S&P's updated conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative CD 2007-CD4 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-4 A- AAA/Watch Neg 30.13 A-1A A- AAA/Watch Neg 30.13 A-MFX BBB- AAA/Watch Neg 20.09 A-MFL BBB- AAA/Watch Neg 20.09 A-J B+ AAA/Watch Neg 11.17 B B+ AA+/Watch Neg 10.55 C B AA/Watch Neg 9.17 D B AA-/Watch Neg 8.29 E B A/Watch Neg 7.66 F B- A-/Watch Neg 6.91 G B- BBB+/Watch Neg 5.90 H CCC+ BBB/Watch Neg 4.77 J CCC BB+/Watch Neg 3.77 K CCC- BB-/Watch Neg 2.64 Rating Affirmed And Removed From Creditwatch Negative CD 2007-CD4 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-SB AAA AAA/Watch Neg 30.13 Ratings Affirmed CD 2007-CD4 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 30.13 A-2A AAA 30.13 A-2B AAA 30.13 A-3 AAA 30.13 XC AAA N/A XP AAA N/A XW AAA N/A N/A - Not applicable. CITIGROUP MORTGAGE: Moody's Cuts Ratings on 2006-WF1 Securities --------------------------------------------------------------- Moody's Investors Service has downgraded the rating of 1 security issued by Citigroup Mortgage Loan Trust Inc. 2006-WF1. The collateral backing the transaction consists primarily of first- lien, fixed-rate Alt-A mortgage loans. The downgrade relates to structural features, such as sequential pay structures, whereby certain senior bonds are entitled to receive more than their pro-rata share of principal payments. In the event that subordinate bonds are written down entirely, these bonds are subject to 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 either of those cases, given the recent increase in the pace of credit support erosion relative to amortization of the bonds, there is an increased likelihood that the downgraded bond may not be completely paid off before subordinate bonds are completely written down. In its analysis, Moody's has considered current available credit enhancement and recent CPR, CDR, and severity trends. The cashflows were run on the basis of pool loss expectations in line with those published in Q1 2009, although Moody's incorporated short-term cashflow stresses to assess the resiliency of the bonds impacted in the actions. It should be noted that, in general, Alt-A and Option ARM delinquency trends in the past six months have closely tracked Moody's Q1 projections. If the pace of modifications picks up, delinquencies may be lower than Moody's projections. Severity trends, however, have worsened, with current severities trending higher than Moody's lifetime average severity assumptions by 5-9 percentage points in many pools. Given that recent data on the housing markets has been mixed and there are early indications of home prices potentially bottoming, it is unclear whether the recent higher severities represent peak severities, and to what extent they might alter the average lifetime expected severity. Complete Rating Actions are: Issuer: Citigroup Mortgage Loan Trust Inc. 2006-WF1 -- Cl. A-2C, Downgraded to B3; previously on 2/4/2009 Downgraded to Baa3 CLOVERIE PLC: Moody's Downgrades Ratings on Various Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded its ratings of notes issued by Cloverie Plc and TIERS Derby Synthetic CDO Floating Rate Credit Linked Trust, collateralized debt obligation transactions referencing a managed portfolio of corporate entities. Moody's explained that the rating action taken is the result of the deterioration in the credit quality of the reference portfolio. According to Moody's, the reference pool has suffered a downward credit rating migration greater than what had been anticipated in its February review. The reference portfolio includes exposures to CIT Group, Inc., and Ambac Financial Group, Inc which have experienced substantial credit migration in the past few months and are rated Ca as of August 8, 2009. The subordination of the tranches has also been reduced due to a credit event on Syncora Guarantee, Inc. Moody's initially analyzed and continues to monitor this transaction using primarily the methodology for CSOs as described in Moody's Special Report below: -- Moody's Approach to Rating Corporate Collateralized Synthetic Obligations (April 2009) The rating actions are: Class Description: US$80,000,000 Cloverie Plc Series 2007-17 (Derby Mezzanine 2007) Floating Rate Credit Linked Notes due 2014 -- Current Rating Action: Downgrade to Caa3 -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to B2 from Aa2 Class Description: US$10,000,000 TIERS(R) Derby Synthetic CDO Floating Rate Credit Linked Trust Certificates due 2014, Series 2007-17 -- Current Rating Action: Downgrade to Caa3 -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to B2 from Aa2 Class Description: US$2,000,000 Cloverie Plc Series 2007-8 (Derby Mezzanine 2007) Floating Rate Credit Linked Notes due 2014 -- Current Rating Action: Downgrade to Caa3 -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to B2 from Aa2 Class Description: US$75,000,000 TIERS(R) Derby Synthetic CDO Floating Rate Credit Linked Trust Certificates due 2014, Series 2007-4 -- Current Rating Action: Downgrade to Caa3 -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to B2 from Aa2 Class Description: US$15,000,000 TIERS(R) Derby Synthetic CDO Floating Rate Credit Linked Trust Certificates due 2014, Series 2007-11 -- Current Rating Action: Downgrade to Ca -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to Caa2 from A3 Class Description: US$10,000,000 TIERS(R) Derby Synthetic CDO Floating Rate Credit Linked Trust Certificates due 2014, Series 2007-18 -- Current Rating Action: Downgrade to Ca -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to Caa3 from Baa2 Class Description: EUR 6,000,000 Cloverie Plc Series 2007-2 (Derby Mezzanine 2007) Floating Rate Credit Linked Notes due 2014 -- Current Rating Action: Downgrade to Ca -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to Caa3 from Baa2 Class Description: US$20,000,000 Cloverie Plc Series 2007-29 (Derby Mezzanine 2007) Floating Rate Credit Linked Notes due 2014 -- Current Rating Action: Downgrade to Ca -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to Caa3 from Baa2 Class Description: US$56,000,000 TIERS(R) Derby Synthetic CDO Floating Rate Credit Linked Trust Certificates due 2014, Series 2007-6 -- Current Rating Action: Downgrade to Ca -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to Caa3 from Baa2 Class Description: US$200,000,000 Cloverie Plc Series 2007-24 (Derby Mezzanine 2007) Floating Rate Credit Linked Notes due 2017 -- Current Rating Action: Downgrade to Caa2 -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to B1 from Aa1 Class Description: US$21,000,000 TIERS(R) Derby Synthetic CDC Floating Rate Credit Linked Trust Certificates due 2017, Series 2007-5 -- Current Rating Action: Downgrade to Caa3 -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to B3 from Aa3 Class Description: US$50,000,000 TIERS(R) Derby Synthetic CDO Floating Rate Credit Linked Trust Certificates due 2017, Series 2007-12 -- Current Rating Action: Downgrade to Ca -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to Caa1 from A2 Class Description: US$27,500,000 TIERS(R) Derby Synthetic CDO Floating Rate Credit Linked Trust Certificates due 2017, Series 2007-15 -- Current Rating Action: Downgrade to Ca -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to Caa2 from A3 Class Description: US$70,500,000 TIERS(R) Derby Synthetic CDO Floating Rate Credit Linked Trust Certificates due 2017, Series 2007-7 -- Current Rating Action: Downgrade to Ca -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to Caa2 from A3 Class Description: US$6,500,000 TIERS(R) Derby Synthetic CDO Floating Rate Credit Linked Trust Certificates due 2017, Series 2007-8 -- Current Rating Action: Downgrade to Ca -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to Caa2 from A3 Class Description: JPY 1,000,000,000 Cloverie Plc Series 2007-4 (Derby Mezzanine 2007) Fixed Rate Credit Linked Notes due 2017 -- Current Rating Action: Downgrade to Ca -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to Caa2 from A3 Class Description: US$18,000,000 TIERS(R) Derby Synthetic CDO Floating Rate Credit Linked Trust Certificates due 2017, Series 2007-13 -- Current Rating Action: Downgrade to Ca -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to Caa3 from Baa1 Class Description: US$20,000,000 TIERS(R) Derby Synthetic CDO Floating Rate Credit Linked Trust Certificates due 2017, Series 2007-16 -- Current Rating Action: Downgrade to Ca -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to Caa3 from Baa1 Class Description: Citibank N.A. US$10,000,000 CDS Reference Number CA1121763 (Derby Mezzanine 2007 CDO) -- Current Rating Action: Downgrade to Ca -- Prior Rating Action Date: February 20, 2009 -- Prior Rating Action: Downgraded to Caa3 from Baa2 COBALT CMBS: Fitch Downgrades Ratings on 14 2006-C1 Certificates ---------------------------------------------------------------- Fitch Ratings has downgraded and removed from Rating Watch Negative 14 classes of commercial mortgage pass-through certificates from Cobalt CMBS Commercial Mortgage Trust series 2006-C1. In addition, Fitch has assigned Rating Outlooks and Recovery Ratings, as applicable. A detailed list of rating actions follows at the end of this release. The downgrades are the result of loss expectations and reflect Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch forecasts potential losses of 8.7% for this transaction should market conditions not recover. The rating actions are based on losses of 6.50%, including 100% of the losses associated with term defaults and any losses associated with maturities within the next five years. Given the significant term to maturity, Fitch's actions only account for 25% of the losses associated with maturities beyond five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end (YE) 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for certain loans representing 63.2% of the pool and, in some cases, revised based on additional information and/or property characteristics. Approximately 17% of the mortgages mature within the next five years: 15.1% in 2011, 0.0% in 2012, 1.9% in 2013, and 0.0% in 2014. In 2016, 79.1% of the pool is scheduled to mature. Fitch identified 24 Loans of Concern (31.7%) within the pool, nine of which (15.9%) are specially serviced. Of the specially serviced loans, one (10.9%) is current. Two of the specially serviced loans (10.9%) are within the transaction's top 15 loans (44.0%) by unpaid principal balance. Three of the top 15 loans (8.4%) are expected to default or have already defaulted during the term, with loss severities ranging from 16.7% to 17.5%. The largest contributors to loss are: Continental Towers (4.6%), Prime Retail Outlets Portfolio (4.0%), and Timberlake and Glades Apartment Portfolio (2.17%). The Continental Towers loan (4.6%) is secured by three 12-story office buildings totaling approximately 932,854 square feet (sf). The property is located in Rolling Meadows, IL. Occupancy at the property has decreased nearly 20% since issuance due to the loss of two major office tenants and a portion of the retail space. As of March 2009, occupancy declined to 71.8%, compared to 90.2% at issuance. According to PPR, the Northwest Chicago submarket reported a 23.5% vacancy as of third quarter 2009 (3Q'09). The loan sponsor and guarantor is Prime Realty Group Trust which is owned by The Lightstone Group. The loan remains current as of the July 2009 payment date. The Timberlake and Glades Apartment Portfolio loan is collateralized by two adjacent multifamily properties in Altamonte Springs, FL. Timberlake Apartments consists of 716 units in 50 buildings and The Glades Apartments consists of 160 units in eight buildings. The properties began extensive renovations in 2007 and as of March 19, 2009, there are approximately 601 of 716 units completed at Timberlake and 141 of 160 units complete at The Glades. Timberlake is currently 90% occupied and 95% leased while the glades is 91% occupied and 95% leased. The borrower has had to provide concessions to potential tenants given the deterioration in the Orlando rental market. The loan sponsors are Greystar Real Estate Partners and Blackrock. The San Lagos at Arrowhead Highlands loan is collateralized by a 39 building, 336 unit multifamily property in Glendale, AZ. Market conditions have caused the property to offer significant concessions. As of March 2009, the property had occupancy of 89% and a debt service coverage of 1.06 times (x) according to the servicer. The borrower has reported a very difficult leasing environment within Phoenix, AZ. PPR reported a 10.6% vacancy in 2Q'09 and forecasts continued rent declines for the next three quarters. Fitch has downgraded, removed from Rating Watch Negative, and assigned Rating Outlooks or Recovery Ratings to these classes: -- $208.8 million class AJ to 'BBB' from 'AAA'; Outlook Negative; -- $50.6 million class B to 'BB' from 'AA'; Outlook Negative; -- $28.5 million class C to 'BB' from 'AA-'; Outlook Negative; -- $34.8 million class D to 'B' from 'A'; Outlook Negative; -- $22.1 million class E to 'B-' from 'BBB+'; Outlook Negative; -- $28.5 million class F to 'B-' from 'BBB'; Outlook Negative; -- $25.3 million class G to 'B-' from 'BBB-'; Outlook Negative; -- $34.8 million class H to 'B-' from 'BB-'; Outlook Negative; -- $6.3 million class J to 'B-' from 'B; Outlook Negative. Fitch has also affirmed, removed from Rating Watch Negative, and assigned Rating Outlooks or Recovery Ratings to these classes: -- $9.5 million class K at 'B-'; Outlook Negative; -- $9.5 million class L at 'CCC/RR6'; Outlook Negative; -- $3.2 million class M at 'C/RR6' ;; -- $6.3 million class N at 'C/RR6'; -- $6.3 million class O at 'C/RR6'; -- $18 million class AMP-E1 at 'BB'; Outlook Negative; -- $7 million class AMP-E2 at 'BB'; Outlook Negative. In addition, Fitch has affirmed these classes, with a Stable Outlook: -- $9.3 million class A-1 at 'AAA'; -- $358.8 million class A-2 at 'AAA'; -- $138.9 million class A-AB at 'AAA'; -- $102.3 million class A-3 at 'AAA'; -- $723.7 million class A-4 at 'AAA'; -- $374.1 million class A-1A at 'AAA'; -- $253.1 million class A-M at 'AAA'; -- Interest-only class IO at 'AAA'. Fitch does not rate the $29.4 million class P certificates. COBALT CMBS: S&P Cuts Ratings on 17 Classes of 2006-C1 Certs. ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 17 classes of commercial mortgage-backed securities from COBALT CMBS Commercial Mortgage Trust 2006-C1 and removed them from CreditWatch with negative implications, where they were placed on April 7 and June 26, 2009. In addition, S&P affirmed its ratings on five classes from the same transaction. The downgrades follow its analysis of the transaction using its recently released U.S. conduit and fusion CMBS criteria, which was the primary driver of the rating actions. Its analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, excluding loans that S&P stressed as credit concerns, S&P calculated an adjusted debt service coverage of 1.38x and a loan-to-value ratio of 110.9%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 0.86x and an LTV of 150.3%. The implied defaults and loss severity under the 'AAA' scenario were 71.3% and 39.7%, respectively. The DSC and LTV calculations exclude 11 specially serviced loans and one credit- impaired loan (20.6%). S&P estimated losses for these loans, which are included in the 'AAA' scenario implied default and loss figures. S&P lowered its rating on the class O certificates to 'D' due to ongoing and outstanding interest shortfalls, along with its expectation that these shortfalls will continue for the foreseeable future. S&P affirmed the ratings on the interest-only certificates based on S&P's current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalizes its criteria review, S&P may revise its current criteria. Any change in S&P's criteria may impact outstanding ratings, including the ratings on the IO certificates S&P affirmed. Credit Concerns Eleven assets ($398.6 million, 16.0%) in the pool, including the largest and 10th-largest exposures in the pool, are with the special servicer, CWCapital Asset Management LLC. One of those assets ($3.2 million, 0.1%) is REO; four ($69.2 million, 2.8%) are more than 90 days delinquent; four ($79.2 million, 3.2%) are 30 days delinquent; and two ($247.0 million, 9.9%) are current. Appraisal reduction amounts are currently in effect for five assets ($25.8 million, 1.0%). Transaction Summary As of the July 2009 remittance report, the collateral pool consisted of 164 loans with an aggregate trust balance of $2.49 billion, compared with 166 loans with an aggregate balance of $2.53 billion at issuance. The master servicer for the transaction is Wells Fargo Bank N.A. Financial information was provided for 97.2% of the pool, and 90.5% of the servicer-provided information was full-year 2008 or interim-2009 data. S&P calculated a weighted average DSC of 1.40x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.38x and 110.9%, respectively. To date, the transaction has experienced $2.2 million of principal losses. Thirty loans are on the master servicer's watchlist, including three of the top 10 loans. Thirty-two loans ($661.3 million, 26.6%) have a reported DSC below 1.10x, and 18 of these loans ($421.6 million, 17.0%) have a reported DSC of less than 1.0x. Summary Of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $870.6 million (36.0%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.50x for the top 10 loans, compared with 1.56x at issuance. The largest and 10th-largest loans in the pool ($247.0 million, 10.9%) are with the special servicer. The second-, fourth-, and eighth-largest loans in the pool ($254.4 million, 10.2%) appear on the master servicer's watchlist. S&P's adjusted DSC and LTV for the top 10 loans were 1.44x and 104.4%, respectively. Standard & Poor's stressed the loans in the pool according to S&P's updated conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative COBALT CMBS Commercial Mortgage Trust 2006-C1 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-1A AA- AAA/Watch Neg 30.73 A-4 AA- AAA/Watch Neg 30.73 A-M BBB+ AAA/Watch Neg 20.45 A-J BB AAA/Watch Neg 11.98 B BB- AA/Watch Neg 9.92 C B+ AA-/Watch Neg 8.77 D B A/Watch Neg 7.36 E B- BBB+/Watch Neg 6.46 F B- BBB/Watch Neg 5.30 G B- BBB-/Watch Neg 4.28 H CCC+ BB-/Watch Neg 2.86 J CCC+ B+/Watch Neg 2.61 K CCC B/Watch Neg 2.22 L CCC- B-/Watch Neg 1.84 M CCC- CCC+/Watch Neg 1.71 N CCC- CCC/Watch Neg 1.45 O D CCC-/Watch Neg 1.19 Ratings Affirmed COBALT CMBS Commercial Mortgage Trust 2006-C1 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 30.73 A-2 AAA 30.73 A-AB AAA 30.73 A-3 AAA 30.73 IO AAA N/A N/A - Not applicable. COMM 2006-FL12: S&P Downgrades Ratings on 33 2006-FL12 Certs. ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 33 classes of commercial mortgage pass-through certificates from COMM 2006-FL12. Concurrently, S&P affirmed its ratings on 11 other classes from this transaction. In addition, S&P lowered its ratings on three raked classes of commercial mortgage pass-through certificates from Banc of America Large Loan Inc.'s series 2006- BIX1 (BALL 2006-BIX1) and three raked classes of certificates from Citigroup Commercial Mortgage Trust Series 2006-FL2. (A raked certificate represents a subordinate, nonpooled component of the senior participation interest in a particular loan.) S&P also affirmed its ratings on three classes from BALL 2006-BIX1. Finally, S&P removed all 53 of these ratings from CreditWatch with negative implications, where they were placed on April 7, 2009. S&P affirmed its ratings on the interest-only certificates based on S&P's current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its current criteria. Any change in S&P's criteria may affect outstanding ratings, including the ratings on the IO certificates S&P affirmed. Thirteen pooled loans have raked certificates rated by Standard & Poor's. Ten of these loans had various raked certificates that S&P downgraded . The affected raked certificates include the 'HDC', 'FSH', 'AN', 'MSH', 'LS', 'TC', 'CA', 'ES', 'AH', and 'CM' classes. The two largest loans with downgraded raked certificates include: The second-largest loan in the COMM 2006-FL12 pool, the Hotel Del Coronado loan, which has a pooled trust balance of $255.0 million (12%) and a whole-loan balance of $260.0 million. A $5.0 million subordinate nonpooled component supports the 'HDC1' raked certificate. In addition, there is a $350.0 million mezzanine loan secured by the equity interests of the borrower. The loan is secured by the fee interest in a 679-room full-service resort hotel in Coronado Island, Calif. The master servicer, Capmark Finance Inc., reported a December 2008 trailing-12-month revenue per available room for the hotel of $259.24, which is comparable to S&P's expectation at issuance. However, the borrower's budgeted RevPAR for 2009 is $217.66, a 16% decline from the 2008 performance figure. The loan is scheduled to mature on Jan. 9, 2010, and has one 12-month extension option remaining. S&P's adjusted valuation has fallen 26% since issuance, resulting in the downgrade of the 'HDC1' raked certificate. The fourth-largest loan in the pool, the Four Seasons Hualalai loan, has a whole-loan balance of $324.5 million. The whole loan consists of a $175.9 million senior participation interest and a $148.6 million junior participation interest held outside of the trust. The senior participation interest is further split into a $151.6 million senior pooled component (8% of the pool trust balance) and subordinate nonpooled components totaling $24.3 million that are raked to the 'FSH' certificates. The loan is secured by the fee interest in a 243-room full-service resort hotel on the Kona-Kohala Coast of Hawaii's Big Island and situated on over 400 acres. In addition, the loan is partially secured by the leasehold interest in single-family home lots and parcels planned for condominium development. Subsequent to issuance, approximately 37 acres of this land was sold and released, with the remaining land totaling roughly 83 acres. The property also includes two 18-hole golf courses. Capmark reported a December 2008 trailing-12-month RevPAR for the hotel of $553.09, a decline of 14% from December 2007 trailing-12-month performance. The loan is scheduled to mature on June 9, 2010, and has two 12-month extension options remaining. S&P's adjusted valuation has fallen 48% since issuance, resulting in the downgrade of the 'FSH' raked certificates. Other loans with raked certificates that S&P downgraded include: The MSREF Hotel Portfolio, the Embassy Suites Lake Buena Vista, the Algonquin Hotel, and the Charleston Marriott Town Center loans, which have an aggregate pool balance of $109.2 million (6%) and a whole-loan balance of $182.8 million. Standard & Poor's adjusted valuations for these assets resulted in declines of 41%, 48%, 36%, and 32% since issuance, respectively. The downgrades of the 'MSH', 'ES', 'AH', and 'CM' raked certificates reflect the declines in operating performance at these properties. The Legacy SoCal Portfolio, the Albertsons (Newkirk) Portfolio, and the Avenue at Tower City loans, which have an aggregate pool balance of $170.5 million (9%) and a whole-loan balance of $294.1 million. Standard & Poor's adjusted valuations for these assets resulted in declines of 21%, 21%, and 61% since issuance, respectively. The downgrades of the 'LS', 'AN', and 'TC' raked certificates reflect the decline in operating performance at these properties. Loans with pari passu notes included in other transactions are: The largest loan in the pool is the Kerzner International loan. The fee interest in two full-service resort hotels totaling 3,023 rooms secures this loan. The collateral for this loan also includes a water park, casino, 18-hole golf course, vacant land, the assignment of the borrower's 50% joint-venture interest in timeshare units, and a condo and marina project, all located on Paradise Island, Bahamas. To date, the whole-loan balance has been paid down by $106.9 million to $2.582 billion, which is bifurcated into a $1.373 billion senior participation interest and a $1.209 billion subordinate junior participation interest. The senior participation interest is split into two pari passu notes. The first note has a balance of $686.5 million that consists of a $527.6 million senior pooled component (32% of the pool trust balance) and a $158.9 million subordinate nonpooled component raked to the 'KR' certificates. The other pari passu note is in the CSMC 2006-TFL2 commercial mortgage pass-through certificates transaction. This includes a $384.1 million senior pooled component and a $302.4 million subordinate nonpooled component. S&P analyzed the Kerzner International loan during S&P's last review of the CSMC 2006-TFL2 transaction in July 2009. S&P lowered its ratings on the KR1, KR2, and KR3 raked certificates and removed them from CreditWatch at that time. The master servicer for this loan, Wachovia Bank N.A., reported debt service coverage (DSC) of 2.46x and 70% occupancy for the year ended Dec. 31, 2008. The loan matures on Sept. 9, 2009. Wachovia informed us that the borrower intends to exercise one of its two remaining 12-month extension options. S&P's adjusted valuation has fallen 38% since issuance. The Blackstone/CarrAmerica National Portfolio loan is the fourth- largest loan in the pool and is secured by office properties. Forty-one office properties have been released since issuance. The remaining collateral consists of 32 office properties totaling 9.56 million sq. ft. in various locations throughout California, Texas, and Washington. This loan has a whole-loan balance of $614.4 million, consisting of a $435.2 million senior participation that is split into three pari passu pieces and a $179.2 million junior participation that is held outside the trust. The senior participation is further divided into two portions: a senior pooled component totaling $384.1 million and a subordinate nonpooled component with a balance of $51.1 million. The trust's portion of the pooled balance is $201.6 million (11%), and its portion of the nonpooled balance is $26.8 million, which is raked to the 'CN1', 'CN2', and 'CN3' certificates ('CN2' and 'CN3' are not rated by Standard & Poor's). The BALL 2006-BIX1 transaction's portion of the pooled balance is $153.6 million, and its portion of the nonpooled balance is $20.4 million, which is raked to the 'J-CP', 'K-CP', and 'L-CP' certificates in that transaction. In addition, the borrower's equity interests in the properties secure a $192.8 million mezzanine loan. The trust balance reflects $498.8 million in paydowns since issuance due to collateral releases. Capmark reported a 77% occupancy rate as of June 2009, down from 89% at issuance. The loan matures on Aug. 9, 2010, and has one 12-month extension option remaining. S&P's adjusted valuation has declined 15% since issuance, primarily due to lower rent income and/or lower occupancy at the remaining collateral properties. However, the loan has experienced a significant amount of deleveraging due to property releases. The Blackstone/CarrAmerica CAR Portfolio loan is the 12th-largest loan in the pool. Seven of the 11 properties securing this loan have been released; the remaining four properties total 719,027 sq. ft. and are located in California and Texas. Capmark reported an 82% overall occupancy rate as of June 2009, down from 92% at issuance. S&P's adjusted valuation has declined 25% since issuance, resulting in the downgrade of the 'CA2' raked certificate from COMM 2006-FL12, the 'CA' raked certificates from BALL 2006-BIX1, and the 'CAC' raked certificates from CGCMT 2006- FL2. Eight loans in the COMM 2006-FL12 pool totaling $1,080.5 million (62% of the pool trust balance) are secured by hotel properties. These properties are located in Paradise Islands, The Bahamas (32% of the pool trust balance), Southern Calif. (13%), Ka`upulehu- Kona, Hawaii (8%), Fort Lauderdale, Fla. (3%), Washington, D.C. (1%), Framingham, Mass. (1%), Orlando, Fla. (1%), New York, N.Y. (1%), and Charleston, W. Va. (1%). The decline in business and leisure travel has significantly affected lodging collateral performance. S&P's analysis factored in its assumption that average 2009 RevPAR in the industry would decline between 14% and 16% and also factored in local lodging market conditions. Office properties located primarily in northern and southern California, Texas, and Washington secure four loans totaling $298.5 million (16% of the pooled trust balance). Many of these properties have experienced lower rental rates and/or higher vacancies since issuance. According to the July 15, 2009, remittance report, pool statistics for COMM 2006-FL12 are: There are 15 loans in the pool, including senior participation interests in 11 floating-rate mortgage loans, one floating-rate whole-mortgage loan, and three floating-rate pari passu mortgage loans. There are mortgages on 12 full-service hotels, 39 office properties, three anchored retail properties, and one multifamily property.All of the loans are indexed to one-month LIBOR. There are no specially serviced loans at this time. Additional near-term maturities (within the next three months) for the loans in the pool are: The Superstition Springs Mall loan is the seventh-largest remaining loan in the pool, with a trust and whole-loan balance of $67.5 million (3%). The loan is secured by the fee and leasehold interest in 377,768 sq. ft. of in-line space within a 1.07 million-sq.-ft. regional mall in Mesa, Ariz. The borrower reported a 90% occupancy rate as of June 2009, down from 95% at issuance. S&P's adjusted valuation has declined 22% since issuance. The loan matures on Sept. 9, 2009, and has two 12-month extension options remaining. Capmark has indicated that the borrower is exercising one of its two remaining 12-month extension options. The Avenue at Tower City loan is the 11th-largest remaining loan in the pool (2%). This loan also matures on Sept. 9, 2009, and has two 12-month extension options remaining. Capmark has indicated that the borrower is exercising one of its two remaining 12-month extension options. Ratings Lowered And Removed From Creditwatch Negative COMM 2006-FL12 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-J AA AAA/Watch Neg 25.66 B A AAA/Watch Neg 20.44 C BBB+ AA+/Watch Neg 16.77 D BBB- AA/Watch Neg 12.72 E BB+ AA/Watch Neg 9.71 F BB AA-/Watch Neg 6.70 G BB- A+/Watch Neg 3.83 H B+ A/Watch Neg 2.04 J B- BBB/Watch Neg 0.00 HDC1 BB- BBB/Watch Neg N/A FSH1 CCC- BBB+/Watch Neg N/A FSH2 CCC- BBB/Watch Neg N/A FSH3 CCC- BBB-/Watch Neg N/A AN1 BBB- A+/Watch Neg N/A AN2 BB+ A/Watch Neg N/A AN3 BB+ BBB/Watch Neg N/A AN4 BB BBB-/Watch Neg N/A MSH1 CCC- BBB-/Watch Neg N/A MSH2 CCC- BB+/Watch Neg N/A MSH3 CCC- BB/Watch Neg N/A MSH4 CCC- B+/Watch Neg N/A LS1 BB BBB-/Watch Neg N/A LS2 B+ BB+/Watch Neg N/A TC1 CCC- BB/Watch Neg N/A CA2 BB+ BBB/Watch Neg N/A ES1 CCC- BBB-/Watch Neg N/A ES2 CCC- BBB-/Watch Neg N/A AH1 CCC- A/Watch Neg N/A AH2 CCC- A-/Watch Neg N/A AH3 CCC- BBB+/Watch Neg N/A AH4 CCC- BBB-/Watch Neg N/A CM1 BB- A-/Watch Neg N/A CM2 CCC- BBB-/Watch Neg N/A Banc of America Large Loan Inc. Commercial mortgage pass-through certificates series 2006-BIX1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- J-CA BB+ BBB/Watch Neg N/A K-CA BB+ BBB-/Watch Neg N/A L-CA BB BB+/Watch Neg N/A Citigroup Commercial Mortgage Trust Series 2006-FL2 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- CAC-1 BB+ BBB/Watch Neg N/A CAC-2 BB+ BBB-/Watch Neg N/A CAC-3 BB BB+/Watch Neg N/A Ratings Affirmed And Removed From Creditwatch Negative COMM 2006-FL12 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-2 AAA AAA/Watch Neg 53.76 X-2 AAA AAA/Watch Neg N/A X-3-BC AAA AAA/Watch Neg N/A X-3-DB AAA AAA/Watch Neg N/A X-3-SG AAA AAA/Watch Neg N/A X-5-BC AAA AAA/Watch Neg N/A X-5-DB AAA AAA/Watch Neg N/A IP1 BBB+ BBB+/Watch Neg N/A IP2 BBB- BBB-/Watch Neg N/A IP3 BBB- BBB-/Watch Neg N/A CN1 A- A-/Watch Neg N/A Banc of America Large Loan Inc. Commercial mortgage pass-through certificates series 2006-BIX1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- J-CP A+ A+/Watch Neg N/A K-CP A- A-/Watch Neg N/A L-CP BBB BBB/Watch Neg N/A N/A - Not applicable. CORTS TRUST: S&P Affirms 'BB-' Rating on $36 Mil. Class A Certs. ---------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'BB-' rating on the $36 million class A Allmerica corporate-backed trust certificates from CorTS Trust For AFC Capital Trust I's series 2001-19. The rating on the certificates is dependent solely on the rating on the underlying security, Hanover Insurance Group Inc.'s 8.207% debentures series B due February 3, 2027 ('BB-'). The rating action reflects the July 31, 2009, withdrawal of the rating on the original underlying security, Hanover Insurance Group Inc.'s AFC Capital Trust I 8.207% capital securities due February 3, 2027, and the substitution of the underlying security with Hanover Insurance Group Inc.'s 8.207% debentures series B due February 3, 2027. CREDIT SUISSE: Fitch Takes Rating Actions on 2008-C1 Certs. ----------------------------------------------------------- Fitch Ratings downgrades 15 classes, removes 16 classes from Rating Watch Negative and assigns Rating Outlooks for Credit Suisse Commercial Mortgage Trust, Series 2008-C1 commercial mortgage pass-through certificates. A detailed list of rating actions follows at the end of this press release. The downgrades are the result of loss expectations and reflect Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch forecasts potential losses of 9.9% for this transaction, should market conditions not recover. The rating actions are based on losses of 6.8% including 100% of the losses associated with term defaults and any losses associated with maturities within the next five years. Given the significant term to maturity, Fitch's actions only account for 25% of the losses associated with maturities beyond five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end (YE) 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for loans representing 78.3% of the pool and, in certain cases, revised based on additional information and/or property characteristics. Approximately 26.9% of the mortgages are scheduled to mature within the next five years, with all occurring in 2012. In 2017, 50.7% of the pool is scheduled to mature. Fitch identified 19 Loans of Concern (31.5%) within the pool, two of which (1.0%) are specially serviced. None of the specially serviced loans are within the transaction's top 15 loans (75.6%) by unpaid principal balance and one of the loans is current (0.5%). Four of the Fitch Loans of Concern (23.1%) are within the transaction's top 15 loans. Ten of the top 15 loans (49.6%) are expected to default and incur losses during the term or at maturity, with loss severities ranging from approximately 0.2% to 43%. The largest contributors to term losses by balance are: 1100 Executive Tower (10.2% of the pool) and Radisson Hotel Dallas North (1.9%). The two loans are considered Fitch Loans of Concern. 1100 Executive Tower is a 372,814 square foot (sf) office property located in Orange, CA. At issuance, the loan was underwritten to a stabilized cash flow based on the expectation that below-market leases expiring during the term of the loan would be re-signed at higher rates, providing for potential upside in future cash flows. Based on March 2009 servicer reported financials, the property is behind the stabilization schedule. In 2010, 58.5% of subject's leases expire. In 2010, 58.5% of subject's leases, with an average rent per square foot of $23.35, will expire. Comparatively, the current submarket average is $19.09 psf per Property and Portfolio Research. The servicer reported a combined March 2009 debt service coverage ratio and occupancy were 0.88 times (x) and 70.3%, respectively. At issuance, occupancy at the property was 85.0%. The loan sponsor is Rockwood VII REIT, Inc. and The Muller Company. Based on current performance and anticipated declines, losses are expected prior to the loan's maturity in 2012. Radisson Hotel Dallas North is secured by 294 room hotel in Richardson, TX. Since origination, revenue per available room has decreased to $43.82 from $58.81. Net operating income has also declined 44.3% since issuance, driving DSCR to 0.90x from 1.61x. The sponsor of the loan is the Alireza Mourirahimi and Parvin Mosavi. Based on current performance and further anticipated declines, losses are expected prior to the loan's maturity in 2013. The Fitch Loan of Concern with the largest expected loss at maturity is Killeen Mall (9.3% of the deal), which is secured by a 386,759 sf retail mall located in Killeen, TX. As of March 2009, the servicer reported DSCR was 1.25x. Occupancy has declined to 68.9% as of March 2009 from 92.4% at issuance. The decline in occupancy resulted from Steve & Barry's vacating their space (15% of the net rentable area) due to corporate bankruptcy. The sponsor of this loan is Babcock & Brown Real Estate Holdings Inc. Fitch downgrades and removes from Rating Watch Negative these classes: -- $57.7 million class A-J to 'A' from 'AAA'; Outlook Negative; -- $8.9 million class B to 'BBB' from 'AA+'; Outlook Negative; -- $8.9 million class C to 'BBB-' from 'AA'; Outlook Negative; -- $12.2 million class D to 'BB' from 'AA-'; Outlook Negative; -- $10 million class E to 'BB' from 'A+'; Outlook Negative; -- $6.7 million class F to 'BB' from 'A'; Outlook Negative; -- $8.9 million class G to 'B' from 'A-'; Outlook Negative; -- $14.4 million class H to 'B-' from 'BBB+'; Outlook Negative; -- $6.7 million class J to 'B-' from 'BBB'; Outlook Negative; -- $10 million class K to 'B-' from 'BBB-'; Outlook Negative; -- $3.3 million class L to 'B-' from 'BB+'; Outlook Negative; -- $3.3 million class M to 'B-' from 'BB'; Outlook Negative; -- $3.3 million class N to 'B-' from 'BB-'; Outlook Negative; -- $1.1 million class O to 'B-' from 'B+'; Outlook Negative; -- $2.2 million class P to 'B-' from 'B'; Outlook Negative; Fitch has affirmed this class and removed it from Rating Watch Negative as indicated: -- $2.2 million class Q at 'B-'; Outlook Negative. Additionally, Fitch affirms these classes: -- $8.3 million class A-1 at 'AAA'; Outlook Stable; -- $150.5 million class A-2 at 'AAA'; Outlook Stable; -- $22.3 million class A-AB at 'AAA'; Outlook Stable; -- $258 million class A-3 at 'AAA'; Outlook Stable; -- $98.9 million class A-1-A at 'AAA'; Outlook Stable; -- $367.4 million class A-1A at 'AAA'; Outlook Stable; -- $78.5 million class A-2FL at 'AAA'; Outlook Stable; -- $88.7 million class A-M at 'AAA'; Outlook Stable; -- Interest-only class A-X at 'AAA'; Outlook Stable. Fitch does not rate the $16.7 million class S. CREDIT SUISSE: Moody's Correct Press Release on 2007-C3 Certs. -------------------------------------------------------------- Earlier, Moody's Investors Service released a press release regarding the Credit Suisse Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C3 transaction. In the press release, Moody's placed 18 classes on review for possible downgrade citing the credit uncertainty surrounding Maguire Properties Inc., the sponsor of one loan (Main Plaza) that represents 6% of the outstanding deal balance, and higher anticipated losses from loans in special servicing. Subsequently, Moody's learned that ownership of Main Plaza was transferred from Maguire to Shorenstein Properties LLC last year. Due to the elimination of exposure to Maguire, these three classes should not have been included in the review for possible downgrade: A-M, A-J and B. The other 15 classes will remain on review for possible downgrade due to higher anticipated losses from loans in special servicing. The corrected press release follows in its entirety: Moody's Investors Service placed 15 classes of Credit Suisse Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C3 on review for possible downgrade due to higher anticipated losses from loans in special servicing. As of the July 17, 2009 distribution date, the pool has not experienced any losses. Currently there are 20 loans, representing 10% of the pool, in special servicing. Forty-six loans, representing 20% of the pool, are on the master servicer's watchlist. Moody's will continue to monitor the performance of the overall credit quality of the deal. Moody's rating action is: -- Class C, $40,272,000, currently rated A3, on review for possible downgrade; previously downgraded to A3 from Aa2 on 2/9/2009 -- Class D, $26,847,000, currently rated Baa1, on review for possible downgrade; previously downgraded to Baa1 from Aa3 on 2/9/2009 -- Class E, $20,136,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from A1 on 2/9/2009 -- Class F, $23,492,000, currently rated Baa3, on review for possible downgrade; previously downgraded to Baa3 from A2 on 2/9/2009 -- Class G, $30,204,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from A3 on 2/9/2009 -- Class H, $33,560,000, currently rated B1, on review for possible downgrade; previously downgraded to B1 from Baa1 on 2/9/2009 -- Class J, $30,204,000, currently rated B3, on review for possible downgrade; previously downgraded to B3 from Baa2 on 2/9/2009 -- Class K, $30,204,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from Baa3 on 2/9/2009 -- Class L, $10,068,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from Ba1 on 2/9/2009 -- Class M, $6,712,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from Ba2 on 2/9/2009 -- Class N, $10,068,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from Ba3 on 2/9/2009 -- Class O, $6,712,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B1 on 2/9/2009 -- Class P, $6,712,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B2 on 2/9/2009 -- Class Q, $10,068,000, currently rated Ca, on review for possible downgrade; previously downgraded to Ca from B3 on 2/9/2009 -- Class S, $6,712,000, currently rated Ca, on review for possible downgrade; previously downgraded to Ca from Caa2 on 2/9/2009 CREDIT SUISSE: Moody's Downgrades Ratings on 11 Securities ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 11 securities issued by Credit Suisse. The collateral backing the transactions consists primarily of first-lien, fixed-rate Alt-A mortgage loans. The downgrades relate to structural features, such as sequential pay structures, whereby certain senior bonds are entitled to receive more than their pro rata share of principal payments. In the event that subordinate bonds are written down entirely, these bonds are subject to 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 either of those cases, given the recent increase in the pace of credit support erosion relative to amortization of the bonds, there is an increased likelihood that the downgraded bonds may not be completely paid off before subordinate bonds are completely written down. In its analysis, Moody's has considered current available credit enhancement and recent CPR, CDR, and severity trends. The cashflows were run on the basis of pool loss expectations in line with those published in Q1 2009, although Moody's incorporated short-term cashflow stresses to assess the resiliency of the bonds impacted in the actions. It should be noted that, in general, Alt-A and Option ARM delinquency trends in the past six months have closely tracked Moody's Q1 projections. If the pace of modifications picks up, delinquencies may be lower than Moody's projections. Severity trends, however, have worsened, with current severities trending higher than Moody's lifetime average severity assumptions by 5-9 percentage points in many pools. Given that recent data on the housing markets has been mixed and there are early indications of home prices potentially bottoming, it is unclear whether the recent higher severities represent peak severities, and to what extent they might alter the average lifetime expected severity. Complete Rating Actions are: Issuer: CSAB Mortgage Backed Trust 2006-4 -- Cl. A-1-A, Downgraded to B1; previously on 2/11/2009 Downgraded to A3 -- Cl. A-1-B, Downgraded to B1; previously on 2/11/2009 Downgraded to A3 -- Cl. A-1-C, Downgraded to Caa1; previously on 2/11/2009 Downgraded to Baa1 -- Cl. A-1-D, Downgraded to B1; previously on 2/11/2009 Downgraded to A3 -- Cl. A-2-A, Downgraded to Caa2; previously on 2/11/2009 Downgraded to B2 -- Cl. A-2-B, Downgraded to Caa2; previously on 2/11/2009 Downgraded to B3 Issuer: CSAB MORTGAGE-BACKED TRUST 2006-3 -- Cl. A-1-A, Downgraded to Caa1; previously on 2/11/2009 Downgraded to Baa2 -- Cl. A-1-B-1, Downgraded to B3; previously on 2/11/2009 Downgraded to Baa2 -- Cl. A-1-B-2, Downgraded to B3; previously on 2/11/2009 Downgraded to Baa2 -- Cl. A-1-C, Downgraded to Ca; previously on 2/11/2009 Downgraded to Baa3 -- Cl. A-4-B, Downgraded to Caa3; previously on 9/22/2008 Downgraded to B2 CREDIT SUISSE: Moody's Reviews Ratings on 14 2005-C3 Certificates ----------------------------------------------------------------- Moody's Investors Service placed 14 classes of Credit Suisse First Boston Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2005-C3 on review for possible downgrade due to the credit uncertainty surrounding Maguire Properties Inc., the sponsor of one loan representing 8% of the outstanding deal balance. Maguire continues to experience ongoing levels of high effective leverage, declining operating performance, and an inability to cover dividends from operating cash flow. Currently, Maguire has a low fixed coverage ratio of 0.87x (recurring EBITDA as a share of interest expense plus deferred dividends and capitalized interest) as of June 30, 2009, as well as high leverage (debt plus preferred equity as a share of gross assets) of 96.2% and high secured debt as a share of gross assets of 91.2%. As part of a plan to put the company back on track with a focus on a smaller core portfolio, Maguire announced on August 10, 2009 that they had disposed of one property and its associated debt from their wholly owned portfolio. In addition, Maguire announced that they had contacted the master servicer for six mortgage loans in commercial mortgage backed securities ("CMBS") transactions and advised them that they would no longer fund cash shortfalls associated with the respective mortgages. The aforementioned loan is not part of this transaction. Most Maguire properties are located in California in either Los Angeles or Orange Counties, both of which have experienced significant rent and occupancy declines over the last year. Over the next two years, Torto Wheaton Research has forecasted Los Angeles County office rents to decline from $26.67 per square foot (PSF) to $23.85 PSF and vacancy rates to increase from 14.4% to 19.0%. A similar outcome is forecast for Orange County where average rents are expected to decline from $25.10 to $20.75 PSF and vacancy rates are expected to increase from 19.1% to 20.2%. As of the July 17, 2009 distribution date, one loan has been liquidated from the pool resulting in a loss of $3.6 million. Currently there are seven loans, representing 9% of the pool, in special servicing. Twenty-three loans, representing 9% of the pool, are on the master servicer's watchlist. Nine loans, representing 5% of the pool, have defeased and are collateralized by U.S. Government securities. Moody's will continue to monitor the performance of Maguire Properties Inc. as well as the overall credit quality of the deal. Moody's rating action is: -- Class A-J, $135,048,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 7/23/2009 -- Class B, $34,785,000, currently rated Aa2, on review for possible downgrade; previously affirmed at Aa2 on 7/23/2009 -- Class C, $16,370,000, currently rated A1, on review for possible downgrade; previously affirmed at A1 on 7/23/2009 -- Class D, $14,323,000, currently rated A2, on review for possible downgrade; previously affirmed at A2 on 7/23/2009 -- Class E, $16,370,000, currently rated A3, on review for possible downgrade; previously affirmed at A3 on 7/23/2009 -- Class F, $20,462,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from Baa1 on 7/23/2009 -- Class G, $16,369,000, currently rated Baa3, on review for possible downgrade; previously downgraded to Baa3 from Baa2 on 7/23/2009 -- Class H, $18,416,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from Baa3 on 7/23/2009 -- Class J, $6,138,000, currently rated B1, on review for possible downgrade; previously downgraded to B1 from Ba1 on 7/23/2009 -- Class K, $8,185,000, currently rated B2, on review for possible downgrade; previously downgraded to B2 from Ba2 on 7/23/2009 -- Class L, $6,139,000, currently rated B3, on review for possible downgrade; previously downgraded to B3 from Ba3 on 7/23/2009 -- Class M, $4,092,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from B1 on 7/23/2009 -- Class N, $4,092,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from B2 on 7/23/2009 -- Class O, $6,139,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B3 on 7/23/2009 CREDIT SUISSE: Moody's Reviews Ratings on 18 2007-C3 Certificates ----------------------------------------------------------------- Moody's Investors Service placed 18 classes of Credit Suisse Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C3 on review for possible downgrade due to the credit uncertainty surrounding Maguire Properties Inc., the sponsor of one loan representing 6% of the outstanding deal balance, and higher anticipated losses from loans in special servicing. Maguire continues to experience ongoing levels of high effective leverage, declining operating performance, and an inability to cover dividends from operating cash flow. Currently, Maguire has a low fixed coverage ratio of 0.87x (recurring EBITDA as a percentage of interest expense plus deferred dividends and capitalized interest) as of June 30, 2009, as well as high leverage (debt plus preferred equity as a share of gross assets) of 96.2% and high secured debt as a share of gross assets of 91.2%. As part of a plan to put the company back on track with a focus on a smaller core portfolio, Maguire announced on August 10, 2009 that they had disposed of one property and its associated debt from their wholly owned portfolio. In addition, Maguire announced that they had contacted the master servicer for six mortgage loans in commercial mortgage backed securities transactions and advised them that they would no longer fund cash shortfalls associated with the respective mortgages. The aforementioned loans are not part of this transaction. Most Maguire properties are located in California in either Los Angeles or Orange Counties, both of which have experienced significant rent and occupancy declines over the last year. Over the next two years, Torto Wheaton Research has forecasted Los Angeles County office rents to decline from $26.67 per square foot to $23.85 PSF and vacancy rates to increase from 14.4% to 19.0%. A similar outcome is forecast for Orange County where average rents are expected to decline from $25.10 to $20.75 PSF and vacancy rates are expected to increase from 19.1% to 20.2%. As of the July 17, 2009 distribution date, the pool has not experienced any losses. Currently there are 20 loans, representing 10% of the pool, in special servicing. Forty-six loans, representing 20% of the pool, are on the master servicer's watchlist. Moody's will continue to monitor the performance of Maguire Properties Inc. as well as the overall credit quality of the deal. Moody's rating action is: -- Class A-M, $268,479,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 2/9/2009 -- Class A-J, $201,359,000, currently rated A1, on review for possible downgrade; previously downgraded to A1 from Aaa on 2/9/2009 -- Class B, $16,780,000, currently rated A2, on review for possible downgrade; previously downgraded to A2 from Aa1 on 2/9/2009 -- Class C, $40,272,000, currently rated A3, on review for possible downgrade; previously downgraded to A3 from Aa2 on 2/9/2009 -- Class D, $26,847,000, currently rated Baa1, on review for possible downgrade; previously downgraded to Baa1 from Aa3 on 2/9/2009 -- Class E, $20,136,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from A1 on 2/9/2009 -- Class F, $23,492,000, currently rated Baa3, on review for possible downgrade; previously downgraded to Baa3 from A2 on 2/9/2009 -- Class G, $30,204,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from A3 on 2/9/2009 -- Class H, $33,560,000, currently rated B1, on review for possible downgrade; previously downgraded to B1 from Baa1 on 2/9/2009 -- Class J, $30,204,000, currently rated B3, on review for possible downgrade; previously downgraded to B3 from Baa2 on 2/9/2009 -- Class K, $30,204,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from Baa3 on 2/9/2009 -- Class L, $10,068,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from Ba1 on 2/9/2009 -- Class M, $6,712,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from Ba2 on 2/9/2009 -- Class N, $10,068,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from Ba3 on 2/9/2009 -- Class O, $6,712,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B1 on 2/9/2009 -- Class P, $6,712,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B2 on 2/9/2009 -- Class Q, $10,068,000, currently rated Ca, on review for possible downgrade; previously downgraded to Ca from B3 on 2/9/2009 -- Class S, $6,712,000, currently rated Ca, on review for possible downgrade; previously downgraded to Ca from Caa2 on 2/9/2009 CREDIT SUISSE: Moody's Reviews Ratings on 19 2007-C4 Certificates ----------------------------------------------------------------- Moody's Investors Service placed 19 classes of Credit Suisse Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C4 on review for possible downgrade due to the credit uncertainty surrounding Maguire Properties Inc., the sponsor of two loans representing 10% of the outstanding deal balance, and higher anticipated losses from loans in special servicing. Maguire continues to experience ongoing levels of high effective leverage, declining operating performance, and an inability to cover dividends from operating cash flow. Currently, Maguire has a low fixed coverage ratio of 0.87x (recurring EBITDA as a percentage of interest expense plus deferred dividends and capitalized interest) as of June 30, 2009, as well as high leverage (debt plus preferred equity as a share of gross assets) of 96.2% and high secured debt as a share of gross assets of 91.2%. As part of a plan to put the company back on track with a focus on a smaller core portfolio, Maguire announced on August 10, 2009, that they had disposed of one property and its associated debt from their wholly owned portfolio. In addition, Maguire announced that they had contacted the master servicer for six mortgage loans in commercial mortgage backed securities transactions and advised them that they would no longer fund cash shortfalls associated with the respective mortgages. One of the six aforementioned loans, representing 5% of the outstanding deal balance, is part of this transaction. As a result of imminent default, this loan, 2600 Michelson is likely to be transferred into special servicing. Most Maguire properties are located in California in either Los Angeles or Orange Counties, both of which have experienced significant rent and occupancy declines over the last year. Over the next two years, Torto Wheaton Research has forecasted Los Angeles County office rents to decline from $26.67 per square foot ("PSF") to $23.85 PSF and vacancy rates to increase from 14.4% to 19.0%. A similar outcome is forecast for Orange County where average rents are expected to decline from $25.10 to $20.75 PSF and vacancy rates are expected to increase from 19.1% to 20.2%. As of the July 17, 2009 distribution date, the pool has not experienced any losses. Currently there are 12 loans, representing 3% of the pool, in special servicing. Upon the transfer of 2600 Michelson into special servicing, there will be 13 loans (8% of the pool balance) in special servicing. Sixty-one loans, representing 56% of the pool, are on the master servicer's watchlist. Moody's will continue to monitor the performance of Maguire Properties Inc. as well as the overall credit quality of the deal. Moody's rating action is: -- Class A-1-AM, $158,126,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 2/9/2009 -- Class A-M, $50,000,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 2/9/2009 -- Class A-1-AJ, $61,808,000, currently rated A2, on review for possible downgrade; previously downgraded to A2 from Aaa on 2/9/2009 -- Class A-J, $50,000,000, currently rated A2, on review for possible downgrade; previously downgraded to A2 from Aaa on 2/9/2009 -- Class B, $23,414,000, currently rated A3, on review for possible downgrade; previously downgraded to A3 from Aa1 on 2/9/2009 -- Class C, $28,618,000, currently rated Baa1, on review for possible downgrade; previously downgraded to Baa1 from Aa2 on 2/9/2009 -- Class D, $23,414,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from Aa3 on 2/9/2009 -- Class E, $18,211,000, currently rated Baa3, on review for possible downgrade; previously downgraded to Baa3 from A1 on 2/9/2009 -- Class F, $18,211,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from A2 on 2/9/2009 -- Class G, $20,813,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from A3 on 2/9/2009 -- Class H, $20,812,000, currently rated B1, on review for possible downgrade; previously downgraded to B1 from Baa1on 2/9/2009 -- Class J, $26,016,000, currently rated B3, on review for possible downgrade; previously downgraded to B3 from Baa2 on 2/9/2009 -- Class K, $28,618,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from Baa3 on 2/9/2009 -- Class L, $20,812,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from Ba2 on 2/9/2009 -- Class M, $7,805,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from Ba3 on 2/9/2009 -- Class N, $5,203,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B1 on 2/9/2009 -- Class O, $5,203,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B3 on 2/9/2009 -- Class P, $5,203,000, currently rated Ca, on review for possible downgrade; previously downgraded to Ca from Caa1 on 2/9/2009 -- Class Q, $7,805,000, currently rated Ca, on review for possible downgrade; previously downgraded to Ca from Caa2 on 2/9/2009 CREDIT SUISSE: Moody's Takes Rating Actions on 2007-C1 Certs. ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of seven classes, confirmed two classes and downgraded 17 classes of Credit Suisse Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2007-C1. The downgrades are due to interest shortfalls and significantly higher expected losses for the pool resulting from anticipated losses from loans in special servicing. The A-M and A-MFL classes were confirmed based on the existing key parameters for the deal and the current estimated losses for the loans in special servicing. However, if Moody's estimated losses from loans in special servicing were to increase by an additional $75 million, the A-M and A-MFL classes would likely be downgraded by one to three notches. On June 25, 2009, Moody's placed 19 classes on review for possible downgrade due to an increase in the concentration of specially serviced loans. This action concludes the review. As of the July 17, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 1% to $3.35 billion from $3.37 billion at securitization. The Certificates are collateralized by 257 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top 10 loans representing 37% of the pool. Seventy-five loans, representing 37% of the pool, are on the master servicer's watchlist, including five of the top ten loans in the pool. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has not experienced any losses since securitization. Currently there are eighteen loans, representing 15% of the pool, in special servicing. The largest specially serviced loan is the CVI Multifamily Apartment Portfolio Loan ($177.6 million -- 5.3%), which is secured by 20 multifamily properties totaling 2,990 units. The properties are located in seven markets, with the largest concentrations in Austin, Texas and Sacramento, California. The loan was transferred to special servicing on April 17, 2009, due to imminent default. The portfolio was 88% occupied as of December 2008 compared to 93% at securitization. The original analysis was predicated on the borrower increasing rents based on a comprehensive renovation program and decreasing expenses due to improved centralized management of the portfolio. The borrower has not been able to achieve the upside they originally expected. The borrower has depleted the entire interest reserve ($18 million at securitization) and the loan is currently less than 30 days delinquent. The second largest specially serviced loan is the Mansions Portfolio Loan ($160.0 million -- 4.8%), which is secured by four multifamily properties totaling 1,417 units located in Austin and Round Rock, Texas. The loan was transferred to special servicing on March 6, 2009 for imminent default. The portfolio was 92% occupied as of June 2009 compared to 95% at securitization. Although occupancy has been relatively stable, financial performance has been negatively impacted by increased rental concessions due to Austin's weak multifamily market. The loan is currently 90+ days delinquent. The remaining 16 specially serviced loans are mostly 90+ days delinquent. Moody's estimates an aggregate loss of $207 million (41% severity on average) for the specially serviced loans. As of the most recent remittance date, the transaction has experienced unpaid accumulated interest shortfalls totaling $2.0 million affecting Classes M through T. Interest shortfalls are caused by special servicing fees, appraisal reductions and extraordinary trust expenses. Appraisal reductions totaling $46.2 million have been recognized for 11 of the specially serviced loans. Moody's anticipates that interest shortfalls will increase when appraisals are obtained for the two largest specially serviced loans. Moody's was provided with full-year 2008 operating results for 91% of the pool. Moody's weighted average loan to value ratio is 132% compared to 148% at Moody's last review in February 2009. Moody's stressed debt service coverage ratio is 0.84X compared to 0.74X at last review. Moody's stressed DSCR is based on Moody's net cash flow and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of the Herfindahl index to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40 and the pool has a Herf score of 52. The top three performing loans represent 14% of the pool. The largest loan is the Savoy Park Loan ($210.0 million -- 6.3%), which is secured by seven adjacent apartment buildings totaling 1,802 units in Harlem, New York. There is also $157.5 million of mezzanine debt held outside the trust. At securitization, the borrower's plan was to increase value through renovations and the deregulation of rent-stabilized units, which was expected to increase rental income. However, a slower than anticipated pace of conversion and deterioration in market fundamentals have challenged the borrower's original plan. As of June 2009, 88% of the units were rent stabilized compared to 91% at securitization. As of July 2009, the remaining interest reserve was approximately $2 million, down from $30 million at securitization. The most recent DSCR based on first quarter 2009 annualized net operating income is 0.79X. The loan is on the master servicer's watchlist due to low DSCR. Moody's expects that this loan will ultimately be transferred to special servicing but Moody's are uncertain as to when this might happen. Moody's LTV and stressed DSCR are 155% and 0.66X, respectively, compared to 140% and 0.77X at last review. The second largest loan is the City Place Loan ($145.1 million -- 4.3%), which is secured by a mixed use property consisting of open air retail (626,000 square feet), office (73,000 square feet), multifamily (54 units), and a theater (50,000 square feet). The overall occupancy as of March 2009 was 86% compared to 95% at securitization. In addition to the decline in occupancy, operating expenses have increased approximately 25% from 2007 to 2008. The loan is on the master servicer's watchlist due to a decrease in DSCR. Moody's LTV and stressed DSCR are 198% and 0.52X, respectively, compared to 121% and 0.85X at last review. The third largest loan is the Koger Center Loan ($115.5 million -- 3.4%), which is secured by an 850,000 square foot office complex in Tallahassee, Florida. The largest tenant is the State of Florida, occupying 68% of the net rentable area ("NRA") through October 2019. Although the property was fully occupied as of March 2009, operating expenses are up 9% from 2007 to 2008. The loan is on the master servicer's watchlist due to low DSCR. Moody's LTV and stressed DSCR are 153% and 0.67X, respectively, compared to 140% and 0.73X at last review. Moody's rating action is: -- Class A-1, $23,930,203, affirmed at Aaa; previously affirmed at Aaa on 2/6/2009 -- Class A-2, $139,000,000, affirmed at Aaa; previously affirmed at Aaa on 2/6/2009 -- Class A-AB, $98,301,000, affirmed at Aaa; previously affirmed at Aaa on 2/6/2009 -- Class A-3, $758,000,000, affirmed at Aaa; previously affirmed at Aaa on 2/6/2009 -- Class A-1-A, $1,320,717,691, affirmed at Aaa; previously affirmed at Aaa on 2/6/2009 -- Class A-X, Notional, affirmed at Aaa; previously affirmed at Aaa on 2/6/2009 -- Class A-SP, Notional, affirmed at Aaa; previously affirmed at Aaa on 2/6/2009 -- Class A-M, $212,148,000, confirmed at Aaa; previously placed on review for possible downgrade on 6/25/2009 -- Class A-MFL, $125,000,000, confirmed at Aaa; previously placed on review for possible downgrade on 6/25/2009 -- Class A-J, $286,576,000, downgraded to A3 from A2; previously placed on review for possible downgrade on 6/25/2009 -- Class B, $25,286,000, downgraded to Baa1 from A3; previously placed on review for possible downgrade on 6/25/2009 -- Class C, $37,929,000, downgraded to Baa2 from Baa1; previously placed on review for possible downgrade 6/25/2009 -- Class D, $33,715,000, downgraded to Baa3 from Baa2; previously placed on review for possible downgrade on 6/25/2009 -- Class E, $21,071,000, downgraded to Ba1 from Baa3; previously placed on review for possible downgrade on 6/25/2009 -- Class F, $29,501,000, downgraded to Ba2 from Ba1; previously placed on review for possible downgrade on 6/25/2009 -- Class G, $33,715,000, downgraded to B2 from Ba3; previously placed on review for possible downgrade on 6/25/2009 -- Class H, $37,929,000, downgraded to Caa1 from B2; previously placed on review for possible downgrade on 6/25/2009 -- Class J, $33,714,000, downgraded to Caa1 from B3; previously placed on review for possible downgrade on 6/25/2009 -- Class K, $37,930,000, downgraded to Caa2 from Caa1; previously placed on review for possible downgrade on 6/25/2009 -- Class L, $8,428,000, downgraded to Caa3 from Caa2; previously placed on review for possible downgrade on 6/25/2009 -- Class M, $12,643,000, downgraded to Ca from Caa2; previously placed on review for possible downgrade on 6/25/2009 -- Class N, $8,429,000, downgraded to Ca from Caa2; previously placed on review for possible downgrade on 6/25/2009 -- Class O, $8,429,000, downgraded to Ca from Caa3; previously placed on review for possible downgrade on 6/25/2009 -- Class P, $8,428,000, downgraded to Ca from Caa3; previously placed on review for possible downgrade on 6/25/2009 -- Class Q, $8,429,000, downgraded to C from Caa3; previously placed on review for possible downgrade on 6/25/2009 -- Class S, $12,643,000, downgraded to C from Ca; previously placed on review for possible downgrade on 6/25/2009 DUCHESS I: Moody's Downgrades Rating on Class B Notes to 'Ca' ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of these notes issued by Duchess I CDO S.A.: -- EUR37,000,000 Class B Second Priority Secured Fixed Rate Notes due June 2017, Downgraded to Ca; previously on March 4, 2009 Ba2 Placed Under Review for Possible Downgrade. In addition, Moody's has placed under review for possible downgrade the ratings of these notes: -- Up to EUR175,000,000 Revolving Loan Facility, Aa3 Placed Under Review for Possible Downgrade; previously on January 30, 2009 Downgraded to Aa3; -- EUR10,000,000 Class A-1 Guaranteed First Priority Senior Secured Floating Rate Notes due June 2017, Aa3 Placed Under Review for Possible Downgrade; previously on January 30, 2009 Downgraded to Aa3; -- EUR680,000,000 Class A-2 Guaranteed First Priority Senior Secured Floating Rate Notes due June 2017, Aa3 Placed Under Review for Possible Downgrade; previously on January 30, 2009 Downgraded to Aa3. 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." 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 amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure to comply with the Class A Overcollateralization Ratio Test, Moody's Diversity Test, Minimum Weighted Average Spread Test and Minimum Weighted Average Coupon Test. The weighted average rating factor has increased over the last year and is currently 2670 versus a test level of 2500 as of the last trustee report, dated June 30, 2009. Based on the same report, defaulted securities total about EUR63 million, accounting for roughly 6.7% of the collateral balance, and securities rated Caa1 or lower make up approximately 9.9% of the underlying portfolio. Moody's also notes that a material proportion of the collateral pool includes debt obligations whose credit quality has been 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 certain CEs updated between 12-15 months ago; and (2) assuming an equivalent of Caa3 for certain 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 0.25-0.5 notch- equivalent assumed downgrade was applied to certain estimates. 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, the ratings on Class A-1 Notes, Class A-2 Notes and Revolving Loan Facility reflect the current insurance financial strength rating of Financial Security Assurance (U.K.) Limited, which was downgraded to Aa3 on November 21,2008 and placed on review for possible downgrade on May 20, 2009. The above action is a result of, and is consistent with, Moody's modified approach to rating structured finance securities wrapped by financial guarantors as described in the press release dated November 10, 2008, titled "Moody's modifies approach to rating structured finance securities wrapped by financial guarantors." Duchess I CDO S.A. issued in 2001, is a multicurrency collateralized loan obligation, backed primarily by a portfolio of senior secured loans denominated in EURO and Sterling Pounds. 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. FIRST HORIZON: Fitch Cuts Ratings on 2006-RE1 Resecuritizations --------------------------------------------------------------- Fitch Ratings downgrades the rating on First Horizon Alternative Mortgage Securities Trust 2006-RE1, which is a U.S. RMBS resecuritization, as part of Fitch's ongoing review of Alt-A RMBS transactions. The affected class represents a beneficial ownership interest in separate trust funds. The underlying securities remaining in First Horizon Alternative Mortgage Securities Trust 2006-RE1 consist of First Horizon Alternative Mortgage Securities Trust 2005-FA3 classes 1A1 (rated 'B/LS1' with a Negative Outlook by Fitch) and 1A3 (rated 'B' with a Stable Outlook by Fitch). The rating for First Horizon Alternative Mortgage Securities Trust 2006-RE1 class A1 was based on the lowest rating of the underlying classes, since class A1 does not have credit enhancement provided by the re-remic structure. Fitch has downgraded these: First Horizon Alternative Mortgage Securities Trust 2006-RE1 -- Class A1 to 'B' from 'AAA'; Outlook Negative. Fitch recently revised its surveillance methodology for prime and Alt-A RMBS to include the use of the ResiLogic mortgage loss and default model to determine a base-case loss expectation in conjunction with a transaction specific assessment of the pools' actual performance. The assessment helps determine the adjustment, if any, to the ResiLogic base-case loss expectation due to observed improvement or deterioration in the pools' performance trends. FIRST NATIONAL: Fitch Rates Class D 2009-3 Notes at 'BB' -------------------------------------------------------- Fitch Ratings rates First National Master Note Trust series 2009-3 notes: -- $525,000,000 1mL+1.35% class A 'AAA', Outlook Stable; -- $43,174,000 1mL class C 'BBB', Outlook Stable; -- $24,178,000 1mL class D 'BB', Outlook Stable. FIRST NATIONAL: S&P Assigns Initial Ratings on $690.79 Mil. Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to First National Master Note Trust's $690.79 million asset-backed notes series 2009-3. The preliminary ratings are based on information as of August 6, 2009. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings are based on: * S&P's view that the credit support for each class of notes is sufficient to withstand the simultaneous stresses S&P apply, for each rating category, to S&P's 8.5%-10.5% base case loss rate assumption, 12.0%-14.0% base case payment rate assumption, and 14.0%-16.0% base case yield assumption. In addition, S&P uses stressed purchase rate, excess spread, and note interest rate assumptions to determine if sufficient credit support is available for each rating category. All of the stress assumptions outlined above are based on S&P's current criteria and assumptions; * S&P's view of the credit risk inherent in the collateral loan pool, based on S&P's economic forecast, the trust portfolio's historical performance, the collateral characteristics, and vintage performance data; * S&P's credit rating on First National Bank of Omaha (BBB- /Negative/--); its servicing experience; and S&P's opinion of the quality and consistency of its account origination, underwriting, account management, collections, and general operational practices; * S&P's expectation of the timely payment of interest and ultimate payment of principal by July 15, 2015, the legal final maturity date, based on stressed cash flow modeling scenarios using assumptions commensurate with the respective preliminary rating categories; and * The series 2009-3 notes' underlying payment structure and cash flow mechanics, and legal structure. Preliminary Ratings Assigned First National Master Note Trust - Series 2009-3 Class Rating Amount ($) ----- ------ ---------- A AAA 525,000,000 B A 98,438,000 C BBB 43,174,000 D BB 24,178,000 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 V: -- US$365,000,000 Class A Floating Rate Notes, Due 2019, Downgraded to Aa2; previously on September 7, 2006 Assigned Aaa; -- US$33,750,000 Class B Floating Rate Notes, Due 2019, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$17,500,000 Class D Deferrable Floating Rate Notes, Due 2019, Downgraded to B2; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$22,500,000 Class E Deferrable Floating Rate Notes, Due 2019, Downgraded to Caa3; previously on March 17, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the rating of these notes: -- US$22,500,000 Class C Deferrable Floating Rate Notes, Due 2019, Confirmed at Ba1; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by 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 increased over the last year and is currently 2604 versus a test level of 2585 as of the last trustee report, dated July 8, 2009. Based on the same report, defaulted securities total about $32 million, accounting for roughly 6.7% of the collateral balance, and securities rated Caa1 or lower make up 8.4% 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. Flagship CLO V, issued in September of 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of 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. FLATIRON CLO: Moody's Downgrades Ratings on Two 2007-1 Notes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Flatiron CLO 2007-1 Ltd.: -- US$25,400,000 Class A-1b Senior Term Notes Due 2021, Downgraded to Aa2; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- US$29,000,000 Class B Senior Term Notes Due 2021, Downgraded to A2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$14,000,000 Class C Deferrable Mezzanine Term Notes Due 2021, Confirmed at Ba1; previously on March 13, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$15,000,000 Class D Deferrable Mezzanine Term Notes Due 2021, Confirmed at B1; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$11,500,000 Class E Deferrable Junior Term Notes Due 2021, Confirmed at Caa2; previously on March 13, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by 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 increased over the last year and is currently 2820 as of the last trustee report, dated July 7, 2009. Based on the same report, defaulted securities total about $14.3 million, accounting for roughly 4.3% of the collateral balance, and securities rated Caa1 or lower make up approximately 12.7% 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. Flatiron CLO 2007-1 Ltd., issued on August 16, 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. FORD CREDIT: Fitch Upgrades Ratings on Two Classes of 2007-A Notes ------------------------------------------------------------------ Fitch Ratings has upgraded two and affirmed six classes of Ford Credit Auto Owner Trust 2007-A notes as part of its on going surveillance process. The upgrades are a result of continued available credit enhancement in excess of stressed remaining losses. The collateral continues to perform within Fitch's base case expectations. Currently, under the credit enhancement structure, the securities can withstand stress scenarios consistent with the upgraded rating categories and still make full payments of interest and principal in accordance with the terms of the documents. As before, the ratings reflect the quality of Ford Motor Credit Co.'s retail auto loan originations, the sound financial and legal structure of the transaction, and the servicing provided by FMCC. The rating actions are: -- Class A-3a notes affirmed at 'AAA', Outlook Stable; -- Class A-3b notes affirmed at 'AAA', Outlook Stable; -- Class A-4a notes affirmed at 'AAA', Outlook Stable; -- Class A-4b notes affirmed at 'AAA', Outlook Stable; -- Class B notes upgraded to 'AA' from 'A', Outlook Positive; -- Class C notes upgraded to 'A' from 'BBB', Outlook Positive; -- Class D notes affirmed at 'BB', Outlook Positive. FOUR CORNERS: Moody's Downgrades Ratings on Various Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Four Corners CLO II, Ltd.: -- US$232,000,000 Class A Floating Rate Notes Due 2020, Downgraded to Aa3; previously on January 30, 2006 Assigned Aaa; -- US$10,500,000 Class B Floating Rate Notes Due 2020, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$21,500,000 Class C Deferrable Floating Rate Notes Due 2020, Downgraded to Ba2; previously on March 17, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$9,500,000 Class D Deferrable Floating Rate Notes Due 2020, Downgraded to Caa1; previously on March 17, 2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade; -- US$11,000,000 Class E Deferrable Floating Rate Notes Due 2020, Downgraded to Ca; previously on March 17, 2009 Downgraded to B3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class E overcollateralization test. The weighted average rating factor has increased over the last year and is currently 2782 versus a test level of 2372 as of the last trustee report, dated July 16, 2009. Based on the same report, defaulted securities total about $13.2 million, accounting for roughly 4% of the collateral balance, and securities rated Caa1 or lower make up approximately 7.8% of the underlying portfolio. Moody's also assessed the collateral pool's elevated 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 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. Four Corners CLO II, Ltd., issued in January of 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of 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. FRANKLIN AUTO: S&P Downgrades Ratings on Two Classes of Notes ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class C notes issued by Franklin Auto Trust's series 2007-1 and the class D notes issued by series 2008-A. Concurrently, S&P removed these ratings from CreditWatch, where they were placed with negative implications on April 8, 2009. At the same time, S&P affirmed its ratings on the remaining nine classes from these two series. The rating actions reflect weaker-than-expected collateral performance, as evidenced by high cumulative net losses and lower recovery rates. As a result, Standard & Poor's revised its loss expectations in April 2009 for series 2007-1 to 7.50%-8.00%, up from 7.0%-7.5%, and to 10.0%-10.5% for series 2008-A, up from 9.75%-10.25%. At issuance, S&P's loss expectations for series 2007-1 and 2008-A were 3.65%-3.85% and 6.0%-6.2%, respectively. As of the June 2009 performance month, series 2007-1 was 27 months seasoned and had experienced cumulative net losses totaling 5.52% of the original pool balance with a pool factor of 41.07%. Series 2008-A was 14 months seasoned, had experienced cumulative net losses totaling 3.92% of the original pool balance, and had a pool factor of 65.99%. In addition, loans that are 60-plus-days delinquent equaled 1.82% for series 2007-1 and 1.87% for series 2008-A, each measured as a percent of the current pool balance. Table 1 Collateral Performance (%) Former Revised Pool Current 60-plus day lifetime lifetime Series Mo. factor CNL delinq. CNL(i) exp. CNL exp.(ii) ------ --- ------ ------- ----------- ----------- ------------ 2007-1 27 41.07 5.52 1.82 7.00-7.50 7.50-8.00 2008-A 14 65.99 3.92 1.87 9.75-10.25 10.00-10.50 (i) CNL-cumulative net loss. (ii) Revised CNL expectations based on current performance data. The issuer initially structured each transaction with credit enhancement consisting of subordination for the higher-rated tranches, a letter of credit commitment, and a spread account. As provided by the transaction documents, the spread account can build by trapping monthly excess spread, and, combined with the LOC commitment, reach a specified combined credit enhancement target as shown in table 2. The spread account is subject to a 0.50% floor and the LOC is subject to a 1.00% floor for a combined floor of 1.50% of the initial collateral balance. Also, as provided by the transaction documents, the structure can benefit from a cumulative net loss trigger that prevents any step-down of the spread account and LOC in the event that losses exceed prescribed levels in any given month. If cumulative net losses fall below the trigger for one month, the transaction documents allow the spread account and LOC to step down to their respective targets or floors. As of the June 2009 performance month, the issuer had replaced the series 2008-A LOC with a cash funded account, as permitted by the transaction documents, due to the lowering of the short term ratings of the LOC provider. Series 2007-1 and 2008-A have also triggered their cumulative net loss provisions, preventing any step-down of their spread accounts and LOC or cash funded accounts unless cured. Series 2007-1 has depleted its spread account and has been drawing on its LOC. For series 2008-A, the triggering of its net loss provision has prevented it from stepping down its enhancement despite the enhancement being higher than its target enhancement level, although it has been drawing on its spread account. Table 2 Spread Account And LOC Levels Combined Current Current LOC/ Initial enhancement spread cash funded spread Initial target account(i) account(ii) account LOC (% of (% of (% of Series deposit commitment current) current) current) ------ ------- ---------- ----------- ---------- ------------ 2007-1 0.00 3.25 5.00 0.00 3.99 2008-A 2.25 5.75 10.25 3.06 8.71 (i) Spread account (% of current) is subject to a floor of 0.50% of initial collateral balance. (ii) LOC/cash funded account (% of current) is subject to a floor of 1.00% of initial collateral balance. S&P's analysis of these Franklin Auto Trust series incorporated cash flow analysis, which took into account current and historical transaction performance. Consequently, S&P used voluntary prepayments and losses reported by the trusts. S&P's various cash flow scenarios and sensitivity analysis included assumptions on recoveries of 45% and monthly prepayment speeds ranging between 1.2 and 1.3 ABS (absolute prepayment speed). Additionally, in applying the losses, S&P used various loss timing curves, including Franklin Auto Trust's historical gross and net loss curves, to simulate the timing of future losses. The results demonstrated that there remained adequate coverage of remaining losses at their respective rating levels for all classes of the two transactions except for the class C tranche in 2007-1 and class D tranche in 2008-A. Sensitivity analysis run at the base-case level of losses also showed that for the most subordinate tranches, total available credit enhancement relative to remaining expected losses does not grow as quickly, over time, as the higher rated tranches. As a result, credit support available for class C from series 2007-1 and class D from series 2008-A were not commensurate with their initial ratings. The affirmed ratings reflect S&P's view of the benefits of a sequential principal payment structure and the growth in credit support as a percent of the amortizing pool balance (see table 3). The classes with affirmed ratings were able to withstand cash flow stress scenarios at their respective rating levels despite S&P's higher revised lifetime loss expectations. Table 3 Hard Credit Support Current Total hard total hard Pool credit support credit support(i) Series Class factor(%) at issuance(i) (% of current) ------ ----- --------- --------------- ----------------- 2007-1 A 41.07 14.25 30.77 2007-1 B 41.07 7.75 14.95 2007-1 C 41.07 3.25 3.99 2008-A A 65.99 26.77 40.22 2008-A B 65.99 24.01 36.03 2008-A C 65.99 16.68 24.30 2008-A D 65.99 8.00 11.77 (i) Consists of spread account and LOC/cash funded account, as well as subordination for the higher rated tranches, and excludes excess spread that can also provide additional enhancement(as of the June 2009 performance period). Standard & Poor's will continue to monitor the performance of each transaction to ensure that the credit enhancement remains sufficient, in S&P's view, to cover its revised cumulative net loss expectations under S&P's stress scenarios for each of the rated classes. Ratings Lowered And Removed From Creditwatch Negative Franklin Auto Trust Rating ------ Series Class To From ----- ----- -- ---- 2007-1 C BB+ BBB/Watch Neg 2008-A D BBB- BBB/Watch Neg Ratings Affirmed Franklin Auto Trust Series Class Rating ------ ----- ------ 2007-1 A-3 AAA 2007-1 A-4 AAA 2007-1 B A 2008-A A-2 AAA 2008-A A-3 AAA 2008-A A-4a AAA 2008-A A-4b AAA 2008-A B AA 2008-A C A GALE FORCE: Moody's Downgrades Ratings on Various Classes of Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Gale Force 1 CLO, Ltd.: -- US$262,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2017, Downgraded to Aa1; previously on November 22, 2005 Assigned Aaa; -- US$20,000,000 Class A-2 First Priority Senior Secured Floating Notes Due 2017, Downgraded to Aa1; previously on November 22, 2005 Assigned Aaa; -- US$30,000,000 Class B-1 Second Priority Senior Secured Floating Rate Notes Due 2017, Downgraded to Aa3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$4,000,000 Class B-2 Second Priority Senior Secured Fixed Rate Notes Due 2017, Downgraded to Aa3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$20,000,000 Class I Combination Notes Due 2017, Downgraded to Baa2; previously on March 4, 2009 Baa1 Placed Under Review for Possible Downgrade; -- US$10,000,000 Class II Combination Notes Due 2017, Downgraded to Ba3; previously on March 4, 2009 Baa3 Placed Under Review for Possible Downgrade. According to Moody's, the rating actions 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. Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Additionally, Moody's notes that a material proportion of the collateral pool includes debt obligations whose credit quality has been assessed through Moody's Credit Estimates, and that Moody's analysis reflects the application of certain stresses with respect to the default probabilities associated with such 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. The downgrade actions taken on the Class A, Class B, and Combination Notes reflect the adverse impact of the aforementioned stresses, as well as credit deterioration in the underlying portfolio. Such credit deterioration is observed for example 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, and an increase in the proportion of securities from issuers rated Caa1 and below. In particular, the weighted average rating factor has increased over the last year and is currently 2769 as of the last trustee report, dated July 2, 2009. Based on the same report, defaulted securities total about $18 million, accounting for roughly 4.6% of the collateral balance, and securities rated Caa1 or lower make up approximately 12.1% 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.) Moody's also observes that the transaction is exposed to a number of mezzanine and junior CLO tranches in the underlying portfolio. Some of these CLO tranches are currently assigned low speculative- grade ratings and carry depressed market valuations that may herald poor recovery prospects in the event of default. In addition, Moody's has upgraded the ratings of these notes: -- US$22,000,000 Class C Third Priority Senior Secured Deferrable Floating Rate Notes Due 2017, Upgraded to Baa3; previously on March 23, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$16,000,000 Class D-1 Fourth Priority Mezzanine Deferrable Floating Rate Notes Due 2017, Upgraded to Ba3; previously on March 23, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$5,000,000 Class D-2 Fourth Priority Mezzanine Deferrable Fixed Rate Notes Due 2017, Upgraded to Ba3; previously on March 23, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade. Finally, Moody's has confirmed the ratings of these notes: -- US$15,000,000 Class E Fifth Priority Mezzanine Deferrable Floating Rate Notes Due 2017, confirmed at Caa2; previously on March 23, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. Moody's notes that the upgrade actions on the Class C and Class D Notes and the rating confirmation on the Class E Notes have incorporated the aforementioned stresses as well as credit deterioration in the underlying portfolio. However, the actions reflect updated analysis indicating that the ratings impact of these factors on the ratings of the Class C, Class D, and Class E Notes is not as negative as previously assessed during Stage I of the deal review in March. The current conclusions stem from comprehensive deal-level analysis completed during Stage II of the ongoing CLO surveillance review, which included an in-depth assessment of results from Moody's quantitative CLO rating model along with an examination of deal-specific qualitative factors. By way of comparison, during Stage I Moody's took rating actions that were largely the result of a parameter-based approach (see press release dated March 4, 2009, titled "Moody's puts all but senior-most CLO tranches on review for downgrade"). In concluding its Stage II review of the deal, Moody's stated that after the actions, the current ratings on all the rated notes are consistent with the credit risk posed to holders of the notes as indicated by the updated analysis. Gale Force 1 CLO, Ltd., issued on November 22, 2005, is a collateralized loan obligation, backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. GE COMMERCIAL: S&P Downgrades Ratings on 14 2005-C1 Securities -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 14 classes of commercial mortgage-backed securities from GE Commercial Mortgage Corp.'s series 2005-C1 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on eight classes from the same transaction and removed two of them from CreditWatch negative. The downgrades follow S&P's analysis of the transaction using S&P's recently released U.S. conduit and fusion CMBS criteria, which was the primary driver of the rating actions. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.58x and a loan-to-value ratio of 94.5%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 1.06x and an LTV of 120.7%. The implied defaults and loss severity under the 'AAA' scenario were 52.1% and 29.5%, respectively. The DSC and LTV calculations exclude two credit-impaired loans (3.6%). S&P estimated losses for these loans, which are included in the 'AAA' scenario implied default and loss figures. S&P affirmed the ratings on the interest-only (IO) certificates based on S&P's current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalizes its criteria review, S&P may revise its current criteria. Any change in S&P's criteria may affect outstanding ratings, including the ratings on the IO certificates S&P affirmed. Credit Concerns Six assets ($237.5 million, 14.9%) in the pool, including three of the top 10 loans, are with the special servicer, LNR Partners Inc. The payment statuses of the loans are: two are more than 90 days delinquent ($56.6 million, 3.6%), one is 30 days delinquent ($16.0 million, 1.0%), and three are current ($164.9 million, 10.4%). Two of the specially serviced loans have appraisal reduction amounts (ARAs) in effect totalling $14.2 million. Three of the specially serviced assets have balances that are greater than 2.5% of the total pool balance, while the remaining specially serviced loan has a balance that is less than 1.1% of the total pool balance. The top 10 loans with the special servicer are discussed below. Transaction Summary As of the July 2009 remittance report, the collateral pool consisted of 126 loans with an aggregate trust balance of $1.59 billion, which represents approximately 95% of the trust balance at issuance. The master servicer for the transaction is GEMSA Loan Services L.P. Financial information was provided for 97.6% of the pool, and 88.9% of the financial information was full-year 2008 data. Eleven loans (11.0% of the pool) have been defeased. S&P calculated a weighted average DSC of 1.64x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.58x and 94.5%, respectively. The transaction has not experienced any principal losses to date. Twenty loans (13.4%) are on the master servicer's watchlist, including one of the top 10 loans. Thirteen loans ($126.8 million, 8.0%) have a reported DSC below 1.10x, and 10 of these loans ($99.7 million, 6.3%) have a reported DSC of less than 1.0x. Summary Of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $584.2 million (36.8%). Using servicer-reported numbers, S&P calculated a weighted average DSC for the top 10 loans of 1.89x, compared with 1.65x at issuance, excluding one credit-impaired loan, the Washington Mutual Buildings loan, which is discussed below. The fourth-largest loan in the pool ($60.0 million, 3.8%) appears on the master servicer's watchlist. S&P's adjusted DSC and LTV for the top 10 loans, excluding the credit-impaired loan, were 1.74x and 88.4%, respectively. The Lakeside Mall loan, the second-largest loan in pool, is the largest loan with the special servicer. This loan has a total exposure of $90.2 million and is secured by 643,375 sq. ft. of a 1.5 million-sq.-ft. regional mall in Sterling Heights, Mich. The reported DSC for the property in 2008 was 1.62x, and the occupancy was 92.5%. The loan is current and was transferred to the special servicer on April 29, 2009, due to General Growth Properties' bankruptcy filing. S&P continues to monitor the developments relating to the GGP bankruptcy and will take rating actions as necessary. The Ward Centers loan is the fifth-largest loan in pool and is the second-largest loan with the special servicer. This loan has a total exposure of $58.3 million and is secured by two neighboring retail properties totalling 270,961 sq. ft. in Honolulu, Hawaii. The reported DSC for the properties for the nine months ended September 30, 2008, was 2.34x and the occupancy was 91.0%. The loan is current and was transferred to the special servicer on April 24, 2009, due to GGP's bankruptcy filing. The Washington Mutual Buildings loan is the eighth-largest loan in pool and is the third-largest loan with the special servicer. This loan has a total exposure of $44.6 million and is secured by three office properties in Los Angeles, Calif., totalling 257,336 sq. ft. The loan is over 90 days delinquent and was transferred to the special servicer on March 19, 2009, due to monetary default. The reported DSC for the properties in 2008 was 2.09x and the occupancy was 100%. The properties were 100% leased to Washington Mutual, but the borrower received formal notice of the lease rejection by the FDIC after the bank's closure. There is a $10.7 million ARA in effect for this asset. Standard & Poor's expects a moderate loss upon the resolution of this asset. Standard & Poor's stressed the loans in the pool according to S&P's updated conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative GE Commercial Mortgage Corp. Commercial mortgage pass-through certificates series 2005-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-J AA- AAA/Watch Neg 14.09 B A- AA/Watch Neg 11.46 C BBB+ AA-/Watch Neg 10.40 D BBB- A/Watch Neg 8.69 E BB+ A-/Watch Neg 7.77 F BB BBB+/Watch Neg 6.32 G BB- BBB/Watch Neg 5.40 H B+ BBB-/Watch Neg 3.82 J B BB+/Watch Neg 3.56 K B- BB/Watch Neg 3.03 L B- B+/Watch Neg 2.37 M CCC+ B/Watch Neg 2.24 N CCC B-/Watch Neg 1.84 O CCC- CCC+/Watch Neg 1.58 Ratings Affirmed And Removed From Creditwatch Negative GE Commercial Mortgage Corp. Commercial mortgage pass-through certificates series 2005-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-5 AAA AAA/Watch Neg 21.07 A-1A AAA AAA/Watch Neg 21.07 Ratings Affirmed GE Commercial Mortgage Corp. Commercial mortgage pass-through certificates series 2005-C1 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-2 AAA 21.07 A-3 AAA 21.07 A-4 AAA 21.07 A-AB AAA 21.07 X-C AAA N/A X-P AAA N/A N/A - Not applicable. GMAC COMMERCIAL: Fitch Takes Rating Actions on 14 2006-C1 Certs. ---------------------------------------------------------------- Fitch Ratings has downgraded, removed from Rating Watch Negative, and assigned Rating Outlooks to 14 classes of commercial mortgage pass-through certificates from GMAC Commercial Mortgage Securities, Inc. series 2006-C1. A detailed list of rating actions follows at the end of this release. The downgrades are the result of loss expectations and reflect Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch forecasts potential losses of 10.3% for this transaction, should market conditions not recover. The rating actions are based on losses of 8.2%, including 100% of the losses associated with term defaults and any losses associated with maturities within the next five years. Given the significant term to maturity, Fitch's actions only account for 25% of the losses associated with maturities beyond five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end (YE) 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for certain loans representing 56.1% of the pool and, in some cases, revised based on additional information and/or property characteristics. Approximately 16.5% of the mortgages mature within the next five years: 15.6% in 2010, 0.9% in 2012. In 2015, 69.4% of the pool is scheduled to mature. Fitch identified 20 Loans of Concern (21.3%) within the pool, seven of which (9.9%) are specially serviced. Of the specially serviced loans, four (7.2%) are current. Two of the specially serviced loans are within the transaction's top 15 loans (54.0%) by unpaid principal balance. Four of the Loans of Concern (16.6%) within the top 15 loans are expected to default during the term, with loss severities ranging from 3% to 53%. The largest contributors to loss are: DDR/Macquarie Mervyn's Portfolio (6.3%), Main Street Village Apartments (1.57%), and Highline Club Apartments (0.9%). The DDR/Macquarie Mervyn's Portfolio loan was originally collateralized by 35 retail stores located in California, Nevada, Arizona, and Texas of which 32 remain. The collateral was previously 100% leased by Mervyn's under 20-year leases; however, the tenant subsequently filed for Chapter 11 bankruptcy relief, rejected the leases and vacated each of the stores. Two of the stores have been leased, and three stores were sold to Kohl's in February 2009. The sale generated approximately $20 million pay down to the floating-rate A3 note. One store sale and two 50% leases are pending. Modification terms were negotiated by the special servicer to provide for pending and future collateral sales and reserves for future partial debt service. Fitch losses are based on recent appraised values. The Main Street Village Apartments loan is collateralized by a 148 unit apartment complex located in Novi, MI. The loan transferred to the special servicer in March 2009 due to imminent default. The economic downturn has put pressure on collections and concessions at the property. The sponsor has indicated that they can no longer afford to advance funds to make the full debt service payments, but continues to remit cash flow after operating expenses. The special servicer is in continuing negotiations with the sponsor. The servicer reported YE 2008 debt service coverage ratio and occupancy were 0.93x and 86.5%, respectively. The Highline Club Apartments loan is collateralized by a 160 unit apartment complex located in Novi, MI. The loan transferred to the special servicer in December 2008 for imminent default. The initial three year interest-only period ended in November 2008. Due to the deteriorating economic conditions in eastern Michigan, the property has had to lower rents substantially in order to maintain occupancy. Currently, the special servicer is pursuing foreclosure. The servicer reported YE 2008 occupancy was 95.6%. Fitch losses are based on a recent appraised value. Classes FNB-1 through FNB-6 are secured by a $33 million non- pooled B-note on the First National Bank Center. The $65 million A-note is a pooled component of the trust. The property is a 547,785 square foot (sf) office property located in San Diego, CA. Year-end 2006 occupancy was reported at 37.4% due to non-lease renewals of several tenants, one of which was the largest tenant. In early 2007, sponsorship changed and as of June 2009, occupancy had increased to approximately 70%; however, the property's occupancy has not managed to improve to the occupancy at issuance of 86%. 6.8% of the net rentable area (NRA) expires throughout the rest of 2009, 5.2% in 2010, 17% in 2011 and 2.2% in 2012. The YE 2008 servicer-reported DSCR was 1.11x. Fitch has downgraded, removed from Rating Watch Negative and assigned Rating Outlooks to these classes: -- $114.6 million class A-J to 'BBB' from 'AAA'; Outlook Negative; -- $36.1 million class B to 'BB' from 'AA'; Outlook Negative; -- $19.1 million class C to 'BB' from 'AA-'; Outlook Negative; -- $12.7 million class D to 'BB' from 'A+'; Outlook Negative; -- $21.2 million class E to 'B-' from 'A'; Outlook Negative; -- $17 million class F to 'B-' from 'A-'; Outlook Negative; -- $19.1 million class G to 'B-' from 'BBB+'; Outlook Negative; -- $19.1 million class H to 'CCC/RR6' from 'BBB'; -- $23.3 million class J to 'CC/RR6' from 'BBB-'; -- $6.4 million class K to 'CC/RR6' from 'BB+'; -- $6.4 million class L to 'CC/RR6' from 'BB'; -- $8.5 million class M to 'CC/RR6' from 'BB-'; -- $2.1 million class N to 'CC/RR6' from 'B+' -- $4.2 million class O to 'CC/RR6' from 'B'; -- $6.4 million class P to 'CC/RR6' from 'B-'; -- $5,100,000 class FNB-1 from 'BBB-' to 'B'; Outlook Negative; -- $5,600,000 class FNB-2 from 'BB' to 'B'; Outlook Negative; -- $2,100,000 class FNB-3 from 'BB-' to 'CCC/RR1'; Fitch has also downgraded these classes: -- $4,500,000 class FNB-4 from 'B' to 'CCC/RR1'; -- $2,400,000 class FNB-5 from 'B-' to 'CCC/RR1'; -- $13,300,000 class FNB-6 from 'CCC' to 'CCC/RR1'. Fitch has affirmed these classes and revised the Rating Outlooks as indicated: -- $15.9 million class A-1 at 'AAA'; Outlook Stable; -- $6.5 million class A-1D at 'AAA'; Outlook Stable; -- $293.1 million class A-1A at 'AAA'; Outlook Stable; -- $166 million class A-2 at 'AAA'; Outlook Stable; -- $98 million class A-3 at 'AAA'; Outlook Stable; -- $576.1 million class A-4 at 'AAA'; Outlook Stable; -- Interest-only class XP at 'AAA'; Outlook Stable; -- $169.7 million class A-M at 'AAA'; Outlook to Negative from Stable; -- Interest-only class XC at 'AAA'; Outlook Stable; Fitch does not rate the $23.3 million class Q. GREENWICH CAPITAL: Moody's Reviews Ratings on Seven 2003-C2 Certs. ------------------------------------------------------------------ Moody's Investors Service placed seven classes of Greenwich Capital Commercial Funding Corp., Commercial Mortgage Pass-Through Certificates, Series 2003-C2 on review for possible downgrade due to the credit uncertainty surrounding Maguire Properties Inc., the sponsor of one loan representing 8% of the outstanding deal balance. Maguire continues to experience ongoing levels of high effective leverage, declining operating performance, and an inability to cover dividends from operating cash flow. Currently, Maguire has a low fixed coverage ratio of 0.87x (recurring EBITDA as a share of interest expense plus deferred dividends and capitalized interest) as of June 30, 2009, as well as high leverage (debt plus preferred equity as a share of gross assets) of 96.2% and high secured debt as a share of gross assets of 91.2%. As part of a plan to put the company back on track with a focus on a smaller core portfolio, Maguire announced on August 10, 2009 that they had disposed of one property and its associated debt from their wholly owned portfolio. In addition, Maguire announced that they had contacted the master servicer for six mortgage loans in commercial mortgage backed securities transactions and advised them that they would no longer fund cash shortfalls associated with the respective mortgages. The aforementioned loans are not part of this transaction. Most Maguire properties are located in California in either Los Angeles or Orange Counties, both of which have experienced significant rent and occupancy declines over the last year. Over the next two years, Torto Wheaton Research has forecasted Los Angeles County office rents to decline from $26.67 per square foot to $23.85 PSF and vacancy rates to increase from 14.4% to 19.0%. A similar outcome is forecast for Orange County where average rents are expected to decline from $25.10 to $20.75 PSF and vacancy rates are expected to increase from 19.1% to 20.2%. As of the August 7, 2009 distribution date, the pool has not experienced any losses. Currently there are two loans, representing 1.5% of the pool, in special servicing. Fourteen loans, representing 11% of the pool, are on the master servicer's watchlist. Eighteen loans, representing 35% of the pool, have defeased and are collateralized by U.S. Government securities. Moody's will continue to monitor the performance of Maguire Properties Inc. as well as the overall credit quality of the deal. Moody's rating action is: -- Class H, $26,037,000, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 7/23/2007 -- Class J, $23,868,000, currently rated Ba1, on review for possible downgrade; previously affirmed at Ba1 on 7/23/2007 -- Class K, $17,358,000, currently rated Ba2, on review for possible downgrade; previously affirmed at Ba2 on 7/23/2007 -- Class L, 10,849,000, currently rated Ba3, on review for possible downgrade; previously affirmed at Ba3 on 7/23/2007 -- Class M, $10,849,000, currently rated B1, on review for possible downgrade; previously affirmed at B1 on 7/23/2007 -- Class N, $10,848,000, currently rated B2, on review for possible downgrade; previously affirmed at B2 on 7/23/2007 -- Class O, $6,510,000, currently rated B3, on review for possible downgrade; previously affirmed at B3 on 7/23/2007 GREENWICH CAPITAL: S&P Cuts Ratings on 16 2005-GG5 Securities ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 16 classes of commercial mortgage-backed securities from Greenwich Capital Commercial Funding Corp.'s series 2005-GG5 and removed them from CreditWatch with negative implications, where they were placed June 26, 2009. In addition, S&P affirmed its ratings on eight classes from the same transaction. The downgrades follow S&P's analysis of the transaction using S&P's recently released U.S. conduit and fusion CMBS criteria, which was the primary driver of the rating actions. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.41x and a loan-to-value ratio of 106.1%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 0.87x and an LTV of 138.7%. The implied defaults and loss severity under the 'AAA' scenario were 82.6% and 37.3%, respectively. The DSC and LTV calculations exclude five credit impaired loans (1.7%). S&P estimated losses for these loans, which are included in the 'AAA' scenario implied default and loss figures. S&P affirmed the ratings on the interest-only certificates based on S&P's current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalizes its criteria review, S&P may revise its current criteria. Any change in S&P's criteria may impact outstanding ratings, including the ratings on the IO certificates S&P affirmed. Credit Concerns Nine loans ($419.4 million, 10.0%) in the pool are currently with the special servicer, LNR Partners Inc. A breakdown of the specially serviced loans by payment status is: two loans are currently in foreclosure ($10.5 million, 0.3%); three are 90-plus-days delinquent ($22.8 million, 0.5%); one is 60 days delinquent ($7.7, 0.2%); two are less than 30 days delinquent ($141.13 million, 3.4%); and one is current ($237.0 million, 5.6%). Three loans have appraisal reduction amounts in effect totaling $6.7 million. Two of the specially serviced assets have balances greater than 1.0% of the total pool balance, while the remaining nine loans have balances that are less than 1.0% of the total pool balance. In addition, S&P consider one asset ($17.2 million; 0.4%) to be credit impaired. This asset is current but has near-term default risk based on low DSC, vacancy, or negative cash flow. Transaction Summary As of the July 2009 remittance report, the collateral pool consisted of 173 loans with an aggregate trust balance of $4.21 billion, compared with 173 loans and $4.30 billion at issuance. The master servicer for the transaction is Wachovia Bank N.A. Financial information was provided for 97.8% of the pool, and 91.1% of the financial information was either full-year 2008 data or March 2009 data. S&P calculated a weighted average DSC of 1.53x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.41x and 106.1%, respectively. The transaction has not experienced any principal losses to date. Thirty-nine loans are on the master servicer's watchlist. Twenty- four loans ($508.2 million, 12.1%) have a reported DSC below 1.10x, and 20 of these loans ($451.3 million, 10.7%) have a reported DSC of less than 1.0x. Summary Of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $1.76 billion (41.7%). Using servicer-reported numbers, S&P calculated a weighted average DSC for the top 10 loans of 1.50x, compared with 1.46x at issuance. S&P's adjusted DSC and LTV for the top 10 loans were 1.34x and 106.7%, respectively. The Lynhaven Mall loan, the third-largest loan in pool, is the largest loan with the special servicer. This loan has a total exposure of $237.0 million and is secured by 776,371 sq. ft. of a 1.3 million-sq.-ft. super regional mall in Virginia Beach, Va. The reported DSC for the property in 2008 was 1.26x, and the occupancy was 87.5%. The loan is current and was transferred to the special servicer on April 29, 2009, due to General Growth Properties'bankruptcy filing. S&P continue to monitor the developments relating to the GGP bankruptcy and will take rating actions as necessary. The Gateway at Lake Success loan is the sixth-largest loan in the pool and the second-largest loan with the special servicer. This loan has a total exposure of $110.6 million and is secured by a two-building, 671,794-sq.-ft. class A, multitenant office complex in Lake Success Nassau County, Long Island, N.Y., 18 miles east of downtown Manhattan and just south of the Northern State Parkway and Long Island Expressway. The reported DSC for the properties in 2008 was 0.94x, and the occupancy was 86.0%. The loan is less than 30 days delinquent and was transferred to the special servicer on April 8, 2009, due to monetary default. Standard & Poor's stressed the loans in the pool according to S&P's updated conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2005-GG5 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-5 AA+ AAA/Watch Neg 30.58 A-M A AAA/Watch Neg 20.39 A-J BBB AAA/Watch Neg 13.25 B BBB- AA+/Watch Neg 10.96 C BB+ AA/Watch Neg 10.07 D BB A/Watch Neg 8.16 E BB- A-/Watch Neg 7.26 F B+ BBB+/Watch Neg 5.99 G B+ BBB/Watch Neg 4.97 H B BBB-/Watch Neg 3.82 J B BB+/Watch Neg 3.31 K B BB/Watch Neg 2.80 L B- BB-/Watch Neg 2.29 M B- B+/Watch Neg 2.17 N CCC+ B/Watch Neg 1.78 O CCC B-/Watch Neg 1.53 Ratings Affirmed Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2005-GG5 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 30.58 A-2 AAA 30.58 A-3 AAA 30.58 A-4-1 AAA 30.58 A-4-2 AAA 30.58 A-AB AAA 30.58 XC AAA N/A XP AAA N/A N/A - Not applicable. GREENWICH CAPITAL: S&P Downgrades Ratings on Three 2005-FL3 Certs. ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on three classes of commercial mortgage pass-through certificates from Greenwich Capital Commercial Funding Corp.'s series 2005-FL3. Concurrently, S&P affirmed its 'AAA' ratings on two other classes from this series. At the same time, S&P removed all five ratings from CreditWatch with negative implications, where they were placed April 7, 2009. The lowered ratings follow S&P's analysis of the remaining loan in the pool, the Lowell Hotel loan, which is secured by a 17-story, 70-room luxury hotel on the upper east side of Manhattan. The reduction in business and leisure travel has significantly affected the lodging collateral performance. S&P based its analysis on a review of the borrower's operating statements for the first five months of 2009, the 12 months ended December 31, 2008, and the borrower's 2009 budget. S&P's adjusted valuation has fallen 24% since S&P's last review, dated March 11, 2008. S&P's analysis factored in its expectation that overall average 2009 revenue per available room in the lodging industry would decline between 14% and 16%, as S&P noted in a recent article and also considered conditions in the New York City lodging market. According to Smith Travel, the New York City lodging market posted a significant 33% decline in RevPAR in the first six months of 2009 compared with 2008, whereas the general U.S. hotel industry reported a 19% decline in RevPAR. As of the July 7, 2009, trustee remittance report, the Lowell Hotel loan has a $60.0 million whole-loan balance that is split into a $45.0 million in-trust senior participation interest and a $15.0 million nontrust junior subordinate participation interest. The senior participation interest is further divided into a $30.0 million senior pooled component and a $15.0 million subordinate nonpooled component that is raked to the 'LH' certificates (not rated by Standard & Poor's). The master servicer, Wachovia Bank N.A., reported debt service coverage of 2.74x for the 12 months ended December 31, 2008, and 73% occupancy as of May 2009. The loan matures on September 1, 2009. According to Wachovia, the borrower plans to exercise its remaining one-year extension option. Wachovia indicated that if there are any special servicing fees and/or workout fees, they will be absorbed by the nontrust junior subordinate participation interest first. Ratings Lowered And Removed From Creditwatch Negative Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2005-FL3 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- K AA+ AAA/Watch Neg 57.78 L A A+/Watch Neg 40.72 M B+ BBB-/Watch Neg N/A Ratings Affirmed And Removed From Creditwatch Negative Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2005-FL3 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- H AAA AAA/Watch Neg 93.20 J AAA AAA/Watch Neg 72.31 N/A - Not applicable. GS MORTGAGE: Fitch Takes Various Rating Actions on 2006-GG8 Certs. ------------------------------------------------------------------ Fitch Ratings has taken various rating actions on 16 classes of GS Mortgage Securities Corporation II commercial mortgage pass- through certificates, series 2006-GG8. In addition, Fitch has assigned Rating Outlooks, as applicable. The downgrades are the result of loss expectations on specially serviced loans as well as Fitch's prospective views regarding commercial real estate market value and cash flow declines. Two of the top fifteen loans in the transaction are in special servicing with significant losses expected. Fitch forecasts potential losses of 11.7% for this transaction, should market conditions not recover. The rating actions are based on losses of 8.8% including 100% of the losses associated with term defaults and any losses associated with maturities within the next five years. Given the significant term to maturity, Fitch's actions only account for 25% of the losses associated with maturities beyond five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end (YE) 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for loans representing 65.1% of the pool and, in certain cases, revised based on additional information and/or property characteristics. Approximately 24.8% of the mortgages are scheduled to mature within the next five years, with 23% maturing in 2011 and 1.4% maturing in 2013. In 2016, 74.2% of the pool is scheduled to mature. Fitch identified 36 Loans of Concern (22.1%) within the pool, 12 of which (9.7%) are specially serviced. Two of the specially serviced loans (6.7%) are within the transaction's top 15 loans (49.7%) by unpaid principal balance. Two of the specially serviced loans are current (1.4%) as of July 2009. Twelve of the top 15 loans (36.9%) are expected to or have defaulted during the term or at maturity, with loss severities ranging from approximately 1% to 53%. Of the top 15 loans, the largest contributors (by loan balance) to term losses or expected losses at maturity are: Pointe South Mountain Resort (4.5% of the pool), The Alhambra (3.1%) and Ariel Preferred Portfolio (2.2%). The Pointe South Mountain Resort and Ariel Preferred Portfolio loans are in special servicing. Pointe South Mountain Resort, now called the Arizona Grand Resort, is a 640-key resort complex located in Phoenix, AZ. The asset transferred to special servicing when the sponsor indicated they would no longer be able to service the debt. The servicer reported YE 2008 debt service coverage ratio (DSCR) of 0.65 times (x). The property recently underwent a $39 million renovation; however, due to the downturn in business and leisure travel, the property does not generate sufficient cash flow to service its debt. The Alhambra is an 846,541-sf office campus located in Alhambra, CA, northeast of downtown Los Angeles. Occupancy as of YE 2008 was 88.6%, compared to 90.1% at issuance, with a servicer reported YE 2008 DSCR of 1.27x. Major tenants include Los Angeles County, University of Southern California and Tenet Healthcare. Approximately 4.5% of the leases expire prior to YE 2010, with the majority of leases expiring between 2015 and 2017. Based on current and anticipated declines in performance, losses are expected at the loan's maturity in 2016. The Ariel Preferred Portfolio is secured by a six cross- collateralized retail outlet center portfolio located in various states. The asset transferred to special servicing in June 2009 for imminent default. The servicer reported YE 2008 DSCR was 0.82x with declining occupancy in three of the six outlet centers, two of which are located in Michigan and one in Georgia. The most recent occupancy reported from the servicer for the portfolio is a combined 72%, compared to overall portfolio occupancy of 82.7% at issuance. These two loans are expected to have significant expected losses: Gallery at CocoWalk (1.9%), which is secured by a mixed-use center located in Coconut Grove, FL and is behind the stabilization schedule contemplated at issuance; and Tower Place 200 (1.2%), which is secured by an office building located in Atlanta, GA. The Tower Place 200 loan transferred to the special servicer in July 2009 and is approximately 60% occupied. Fitch has downgraded and assigned Rating Outlooks or Recovery Ratings to these classes: -- $302.3 million class A-J to 'BBB-' from 'AAA'; Outlook Negative; -- $26.5 million class B to 'BB' from 'AA+'; Outlook Negative; -- $53 million class C to 'BB' from 'AA'; Outlook Negative; -- $37.1 million class D to 'BB' from 'AA-'; Outlook Negative; -- $37.1 million class E to 'B' from 'A+'; Outlook Negative; -- $42.4 million class F to 'B-' from 'A'; Outlook Negative; -- $53 million class G to 'B-' from 'A-'; Outlook Negative; -- $47.7 million class H to 'B-' from 'BBB+'; Outlook Negative; -- $53 million class J to 'CCC/RR6' from 'BBB'; -- $42.4 million class K to 'CCC/RR6' from 'BBB-'; -- $26.5 million class L to 'CCC/RR6' from 'BB+'; -- $15.9 million class M to 'CC/RR6' from 'BB'; -- $15.9 million class N to 'CC/RR6' from 'BB-'; -- $10.6 million class O to 'CC/RR6' from 'B+'; -- $10.6 million class P to 'CC/RR6' from 'B'; -- $15.9 million class Q to 'CC/RR6' from 'B-'. Fitch also removes the above classes from Rating Watch Negative. Additionally, Fitch affirms these classes: -- $40.9 million class A-1 at 'AAA'; Outlook Stable; -- $940.7 million class A-2 at 'AAA'; Outlook Stable; -- $52.9 million class A-3 at 'AAA'; Outlook Stable; -- $111.5 million class A-AB at 'AAA'; Outlook Stable; -- $1.6 billion class A-4 at 'AAA'; Outlook Stable; -- $195.6 million class A-1A at 'AAA'; Outlook Stable; -- Interest-only class X at 'AAA'; Outlook Stable. Fitch affirms and revises the Rating Outlook for these class: -- $424.3 million class A-M at 'AAA'; Outlook to Negative from Stable. Fitch does not rate the $58.3 million class S. GS MORTGAGE: Moody's Reviews Ratings on 14 2005-GG4 Certificates ---------------------------------------------------------------- Moody's Investors Service placed 14 classes of GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2005-GG4 on review for possible downgrade due to the credit uncertainty surrounding Maguire Properties Inc., the sponsor of four loans representing 10% of the outstanding deal balance, and higher anticipated losses from loans in special servicing. Maguire continues to experience ongoing levels of high effective leverage, declining operating performance, and an inability to cover dividends from operating cash flow. Currently, Maguire has a low fixed coverage ratio of 0.87x (recurring EBITDA as a share of interest expense plus deferred dividends and capitalized interest) as of June 30, 2009, as well as high leverage (debt plus preferred equity as a share of gross assets) of 96.2% and high secured debt as a share of gross assets of 91.2%. As part of a plan to put the company back on track with a focus on a smaller core portfolio, Maguire announced on August 10, 2009, that they had disposed of one property and its associated debt from their wholly owned portfolio. In addition, Maguire announced that they had contacted the master servicer for six mortgage loans in commercial mortgage backed securities transactions and advised them that they would no longer fund cash shortfalls associated with the respective mortgages. The aforementioned loans are not part of this transaction. Most Maguire properties are located in California in either Los Angeles or Orange Counties, both of which have experienced significant rent and occupancy declines over the last year. Over the next two years, Torto Wheaton Research has forecasted Los Angeles County office rents to decline from $26.67 per square foot to $23.85 PSF and vacancy rates to increase from 14.4% to 19.0%. A similar outcome is forecast for Orange County where average rents are expected to decline from $25.10 to $20.75 PSF and vacancy rates are expected to increase from 19.1% to 20.2%. As of the July 10, 2009 distribution date, one loan has been liquidated from the trust resulting in a loss of $0.5 million. Currently there are four loans, representing 4% of the pool, in special servicing. Thirty loans, representing 22% of the pool, are on the master servicer's watchlist. Ten loans, representing 8% of the pool, have defeased and are collateralized by U.S. Government securities. Moody's will continue to monitor the performance of Maguire Properties Inc. as well as the overall credit quality of the deal. Moody's rating action is: -- Class A-J, $300,060,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 4/30/2009 -- Class B, $65,013,000, currently rated Aa1, on review for possible downgrade; previously affirmed at Aa1 on 4/30/2009 -- Class C, $35,007,000, currently rated Aa3, on review for possible downgrade; previously affirmed at Aa3 on 4/30/2009 -- Class D, $75,015,000, currently rated A2, on review for possible downgrade; previously affirmed at A2 on 4/30/2009 -- Class E, $40,008,000, currently rated A3, on review for possible downgrade; previously affirmed at A3 on 4/30/2009 -- Class F, $55,011,000, currently rated Baa1, on review for possible downgrade; previously affirmed at Baa1 on 4/30/2009 -- Class G, $45,009,000, currently rated Baa2, on review for possible downgrade; previously affirmed at Baa2 on 4/30/2009 -- Class H, $40,008,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from Baa3 4/30/2009 -- Class J, $20,004,000, currently rated B1, on review for possible downgrade; previously downgraded to B1 from Ba1 on 4/30/2009 -- Class K, $20,004,000, currently rated B2, on review for possible downgrade; previously downgraded to B2 from Ba2 on 4/30/2009 -- Class L, $20,004,000, currently rated B3, on review for possible downgrade; previously downgraded to B3 from Ba3 on 4/30/2009 -- Class M, $10,002,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from B1 on 4/30/2009 -- Class N, $10,002,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from B2 on 4/30/2009 -- Class O, $10,002,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B3 on 4/30/2009 GS MORTGAGE: Moody's Reviews Ratings on 17 2007-GG10 Certificates ----------------------------------------------------------------- Moody's Investors Service placed 17 classes of GS Mortgage Securities Corporation II, Commercial Pass-Through Certificates, Series 2007-GG10 on review for possible downgrade due to the credit uncertainty surrounding Maguire Properties Inc., the sponsor of six loans representing 18% of the outstanding deal balance, and higher anticipated losses from loans in special servicing. Maguire continues to experience ongoing levels of high effective leverage, declining operating performance, and an inability to cover dividends from operating cash flow. Currently, Maguire has a low fixed coverage ratio of 0.87x (recurring EBITDA as a percentage of interest expense plus deferred dividends and capitalized interest) as of June 30, 2009, as well as high leverage (debt plus preferred equity as a share of gross assets) of 96.2% and high secured debt as a share of gross assets of 91.2%. As part of a plan to put the company back on track with a focus on a smaller core portfolio, Maguire announced on August 10, 2009, that they had disposed of one property and its associated debt from their wholly owned portfolio. In addition, Maguire announced that they had contacted the master servicer for six mortgage loans in commercial mortgage backed securities transactions and advised them that they would no longer fund cash shortfalls associated with the respective mortgages. Two of the six aforementioned loans, representing 3.6% of the outstanding deal balance, are part of this transaction. As a result of imminent default, these two loans 550 South Hope and 500 Orange Tower (also known as Maguire Anaheim Portfolio) are likely to be transferred into special servicing. Most Maguire properties are located in California in either Los Angeles or Orange Counties, both of which have experienced significant rent and occupancy declines over the last year. Over the next two years, Torto Wheaton Research has forecasted Los Angeles County office rents to decline from $26.67 per square foot to $23.85 PSF and vacancy rates to increase from 14.4% to 19.0%. A similar outcome is forecast for Orange County where average rents are expected to decline from $25.10 to $20.75 PSF and vacancy rates are expected to increase from 19.1% to 20.2%. As of the July 10, 2009 distribution date, the pool has not experienced any losses. Currently there are 13 loans, representing 7% of the pool, in special servicing. Upon the transfer of the two Maguire loans into special servicing, there will be 15 loans (11% of the pool balance) in special servicing. Fifty loans, representing 42% of the pool, are on the master servicer's watchlist. Moody's will continue to monitor the performance of Maguire Properties Inc. as well as the overall credit quality of the deal. Moody's rating action is: -- Class A-M, $756,277,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 2/9/2009 -- Class A-J, $519,941,000, currently rated A2, on review for possible downgrade; previously downgraded to A2 from Aaa on 2/9/2009 -- Class B, $75,628,000, currently rated A3, on review for possible downgrade; previously downgraded to A3 from Aa1 on 2/9/2009 -- Class C, $94,535,000, currently rated Baa1, on review for possible downgrade; previously downgraded to Baa1 from Aa2 on 2/9/2009 -- Class D, $56,720,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from Aa3 on 2/9/2009 -- Class E, $56,721,000, currently rated Baa3, on review for possible downgrade; previously downgraded to Baa3 from A1 on 2/9/2009 -- Class F, $75,628,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from A2 on 2/9/2009 -- Class G, $75,628,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from A3 on 2/9/2009 -- Class H, $103,988,000, currently rated Ba3, on review for possible downgrade; previously downgraded to Ba3 from Baa1 on 2/9/2009 -- Class J, $94,534,000, currently rated B2, on review for possible downgrade; previously downgraded to B2 from Baa2 on 2/9/2009 -- Class K, $75,628,000, currently rated B3, on review for possible downgrade; previously downgraded to B3 from Baa3 on 2/9/2009 -- Class L, $37,814,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from Ba1 on 2/9/2009 -- Class M, $18,907,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from Ba2 on 2/9/2009 -- Class N, $28,360,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from Ba3 on 2/9/2009 -- Class O, $18,907,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from B1 on 2/9/2009 -- Class P, $18,907,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B2 on 2/9/2009 -- Class Q, $18,907,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B3 on 2/9/2009 GSC CAPITAL: Moody's Downgrades Ratings on Various 2005-1 Notes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by GSC Capital Corp. Loan Funding 2005-1: -- US$ 25,500,000 Class B Floating Rate Notes Due 2020, Downgraded to Aa2; previously on 3/4/2009 Aa1 Placed Under Review for Possible Downgrade; -- US$ 16,500,000 Class C Floating Rate Notes Due 2020, Downgraded to A1; previously on 3/4/2009 Aa2 Placed Under Review for Possible Downgrade; -- US$ 16,200,000 Class F Deferrable Floating Rate Notes Due 2020, Downgraded to Caa3; previously on 3/17/2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$ 12,000,000 Class D Deferrable Floating Rate Notes Due 2020, Confirmed at Ba1; previously on 3/17/2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$ 21,300,000 Class E Deferrable Floating Rate Notes Due 2020, Confirmed at B1; previously on 3/17/2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," 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 Overcollateralization Tests. The weighted average rating factor has steadily increased over the last year and is currently 3534 versus a test level of 3200 as of the last trustee report, dated 7/22/2009. Based on the same report, defaulted securities total about $33 million, accounting for roughly 11% of the collateral balance, and securities rated Caa1 or lower make up approximately 25% 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. 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 Capital Corp. Loan Funding 2005-1, issued in 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. GSC INVESTMENT: Moody's Downgrades Ratings on Various Classes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by GSC Investment Corp. CLO 2007, Ltd.: -- US$296,000,000 Class A Floating Rate Senior Notes Due 2020, Downgraded to A1; previously on 1/25/2008 Assigned Aaa; -- US$22,000,000 Class B Floating Rate Senior Notes Due 2020, Downgraded to Baa2; previously on 3/4/2009 Aa2 Placed Under Review for Possible Downgrade; -- US$14,000,000 Class C Deferrable Floating Rate Notes Due 2020, Downgraded to Ba2; previously on 3/20/2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$16,000,000 Class D Deferrable Floating Rate Notes Due 2020, Downgraded to B3; previously on 3/20/2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$22,000,000 Class E Deferrable Floating Rate Notes Due 2020, Downgraded to Caa3; previously on 3/20/2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," 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 E Overcollateralization Test. The weighted average rating factor has steadily increased over the last year and is currently 3075 versus a test level of 2945 as of the last trustee report, dated July 20, 2009. Based on the same report, defaulted securities total about $31 million, accounting for roughly 8% 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. 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 ("CEs"). 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 Investment Corp. CLO 2007, Ltd., issued on January 22, 2008, 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. GSC PARTNERS: Moody's Confirms Ratings on Class A Notes ------------------------------------------------------- Moody's Investors Service announced that it has confirmed the rating of this note issued by GSC Partners Gemini Fund Limited: -- US$436,300,000 Class A Floating Rate Notes due 2012 (current balance of $349,792,912) Confirmed at Aa1; previously on March 21, 2009 Aa1 Placed Under Review for Possible Downgrade; Moody's has also upgraded the ratings of these notes: -- US$20,800,000 Class B Deferrable Floating Rate Notes due 2012, Upgraded to A3; previously on March 23, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$40,200,000 Class C Deferrable Floating Rate Notes due 2012, Upgraded to Ba1; previously on March 23, 2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade. The actions 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. 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. Moody's notes that the rating confirmations on the Class A Notes and the upgrade actions on the Class B and Class C Notes have incorporated the aforementioned stresses as well as credit deterioration in the underlying portfolio. However, the actions reflect updated analysis indicating that the impact of these factors on the ratings of the Class A, Class B, and Class C Notes is not as negative as previously assessed during Stage I of the deal review in March. The current conclusions stem from comprehensive deal-level analysis completed during Stage II of the ongoing CLO surveillance review, which included an in-depth assessment of results from Moody's quantitative CLO rating model along with an examination of deal-specific qualitative factors. By way of comparison, during Stage I Moody's took rating actions that were largely the result of a parameter-based approach (see press release dated March 4, 2009, titled "Moody's puts all but senior-most CLO tranches on review for downgrade"). Additionally, as of the last trustee report, dated July 3, 2009 the Class A Notes have had a nearly 19.8% pay down resulting in a higher Class A Par Value Ratio from the time the transaction was originally rated. The rating on Class A Notes reflects the actual underlying rating of the Class A Notes. This underlying rating is based solely on the intrinsic credit quality of the Class A Notes in the absence of the guarantee from Syncora Guarantee Inc., whose insurance financial strength rating was downgraded from Caa1 to Ca on March 9, 2009. The above actions is a result of, and is consistent with, Moody's modified approach to rating structured finance securities wrapped by financial guarantors as described in the press release dated November 10, 2008, titled "Moody's modifies approach to rating structured finance securities wrapped by financial guarantors." GSC Partners Gemini Fund Limited, issued in August 29, 2002, 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. GUARDIAN SAVINGS: Moody's Upgrades Ratings on Two Classes --------------------------------------------------------- Moody's Investors Service has upgraded the ratings of two classes of notes from two transactions issued by Guardian Savings & Loan due to the increased amount of credit enhancement available. 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: Guardian S&L Assn 1989-07 (Loans Remaining: 4) -- Cl. A, Current Balance: $73,128, Upgraded to Aa2; previously on 4/11/1996 Downgraded to B3 Issuer: Guardian S&L Assn 1989-10 (Loans Remaining: 4) -- Cl. A, Current Balance: $352,111, Upgraded to A1; previously on 4/11/1996 Downgraded to B3 HARBOURVIEW CLO: Moody's Downgrades Ratings on 2006-1 Notes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by HarbourView CLO 2006-1: -- US$337,000,000 Class A-1 Floating Rate Notes Due 2019 (current balance of $329,048,229), Downgraded to Aa1; previously on November 7, 2006 Assigned Aaa; -- US$23,000,000 Class A-2 Floating Rate Notes Due 2019, Downgraded to A2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$5,000,000 Class J Blended Securities (current rated balance of $4,034,345) Downgraded to Ba1; previously on March 4, 2009 A2 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$25,000,000 Class B Deferrable Floating Rate Notes Due 2019, Confirmed at Ba1; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$16,000,000 Class C Floating Rate Notes Due 2019, Confirmed at B1; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$14,000,000 Class D Floating Rate Notes Due 2019, Confirmed at Caa2; previously on March 17, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. 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 overcollateralization test. The amount of defaulted securities has increased over the last year and is currently about $25 million, accounting for roughly 6% of the collateral balance as of the last trustee report, dated July 15, 2009. Based on the same report, the weighted average rating factor is currently 2549 versus a test level of 2475, and securities rated Caa1 or lower make up approximately 5% 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. HarbourView CLO 2006-1, issued in November of 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of 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. HARLEY-DAVIDSON MOTORCYCLE: S&P Cuts Ratings on Class C Notes ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class C notes issued by Harley-Davidson Motorcycle Trust's series 2008-1 and removed them from CreditWatch, where they were placed with negative implications on April 21, 2009. In addition, S&P affirmed its ratings on the class B and C notes from Harley- Davidson Motorcycle Trust's series 2007-2 and 2007-3 and the class A and B notes from series 2008-1 and removed all of these ratings from CreditWatch, where they were placed with negative implications on April 21, 2009. Furthermore, S&P affirmed its ratings on the class A-3 and A-4 notes from series 2007-2 and 2007-3, respectively. Standard & Poor's has revised its loss expectations for series 2007-2 to a range of 6.75%-7.25%, down from 7.25%-7.75% in April 2009, when S&P last revised its loss expectations and placed 10 classes of notes on CreditWatch negative, and from 3.50%-3.75% at the deal's inception. Additionally, S&P revised its loss expectations for series 2007-3 and 2008-1 to a range of 6.35%- 6.85%, down from 7.25%-7.75% and 7.20%-7.70% in April 2009, respectively. At issuance, S&P's loss expectations for series 2007-3 and 2008-1 were 3.50%-3.75% and 3.60%-4.10%, respectively (see table 1). The slight decrease in revised cumulative net losses since April 2009 is based on S&P's view that the rate of increase in losses has begun to slow, fueled by a healthy uptick in recovery rates. The downgrade of the class C notes from series 2008-1 reflects S&P's current view of the weaker-than-expected collateral performance for the transaction, as evidenced by higher-than- expected default frequencies and lower-than-expected recovery rates compared with S&P's view of the collateral performance at the deal's inception. As of the June 2009 distribution month, series 2007-2 was seasoned 26 months and had experienced cumulative net losses of 4.31% of the initial pool balance, with a pool factor (percentage of the original pool balance remaining) of 43.59%. Series 2007-3 was seasoned 23 months and had experienced cumulative net losses of 3.75% of the initial pool balance, with a pool factor of 50.21%. Series 2008-1 was seasoned 17 months and had experienced cumulative net losses of 2.65% of the initial pool balance, with a pool factor of 56.54%. Table 1 Collateral Performance (As of the June 2009 distribution) Cumulative Former Revised Pool Current recovery lifetime lifetime Series Month Factor CNL (i) rate CNL exp. CNL exp. ------ ----- ------ ------- ---------- --------- --------- 2007-2 26 43.59% 4.31% 48.00% 7.25%-7.75% 6.75%-7.25% 2007-3 23 50.21% 3.75% 46.79% 7.25%-7.75% 6.35%-6.85% 2008-1 17 56.54% 2.65% 46.90% 7.20%-7.70% 6.35%-6.85% (i) CNL-cumulative net loss. All transactions have a sequential principal payment structure, which pays principal to the senior classes of notes in full before the subordinate classes receive principal. The issuer initially structured each transaction with credit enhancement in the form of subordination for the higher-rated tranches, a reserve account, and excess spread. In addition, series 2007-3 was structured with a yield-supplement account to cover interest payments on lower- yielding loans. Each transaction is structured with a reserve account funded initially with 0.25% of the initial collateral balance. The reserve accounts grow to a target of 1.5% of the current collateral balance for series 2007-2 and 2007-3 and a target of 2.25% of the current collateral balance for series 2008-1, with a floor of 1.0% of the initial collateral balance for each transaction. However, each deal is also structured with three performance triggers (average loss, average delinquency, and cumulative net loss) that, if breached, require additional trapping of excess spread, up to 6.0% of the current collateral balance. If at any point none of the three performance triggers are breached for three consecutive months, the transaction documents allow for all cash above and beyond the initial required target to be released back to the seller. Currently, according to the servicer reports for June 2009, series 2007-2 and 2007-3 are in violation of the cumulative net loss performance trigger specified in the transaction documents. As of the June 2009 performance month, cumulative net losses for series 2007-2 were 4.31%, which is now higher than the highest trigger threshold; as a result, the transaction documents provide that the breach of the trigger may not be cured for the remainder of the time the deal is outstanding. Given its current loss level and the pace at which it is incurring losses, S&P believes that the series 2007-3 transaction will not be able to cure the breach of the cumulative net loss trigger for the remainder of the outstanding deal; thus, S&P expects that the required reserve account amount will remain at 6.0% of the current collateral balance for the remainder of the time that the deal remains outstanding. As of the June 2009 performance month, series 2008-1 had cured the breach of its average net loss trigger, as S&P expected (and stated in S&P's April 2009 press release). The transaction has released back to the seller approximately $5.3 million that was trapped in the reserve account, the amount above 2.25% of the current pool balance. S&P believes that the deal will likely breach its cumulative net loss trigger next month but will take several months to build back the amount of cash that was released. For the class C notes, S&P believes the total available credit enhancement relative to remaining losses will not grow as quickly, over time, as that for the senior classes; thus, class C does not contain sufficient enhancement to maintain the current rating, in S&P's view. Table 2 Performance Trigger Information (As of the June 2009 distribution month) Current Initial Average Average Current reserve target net loss CNL delinq. required account Initial (% of trigger trigger trigger reserve (% of Series deposit current) violated violated violated account current) ------ ------- -------- -------- -------- -------- -------- -------- 2007-2 0.25% 1.5% No Yes No 6.0%(i) 3.88% 2007-3 0.25% 1.5% No Yes No 6.0%(i) 3.18% 2008-1 0.25% 2.25% No No No 2.25%(i) 2.25% (i) Percent of current pool balance. S&P's analysis of these Harley-Davidson transactions incorporated S&P's cash flow analysis, which took into account current and historical deal performance in order to estimate future performance for each transaction. S&P created a voluntary prepayment vector to account for the seasonality in Harley- Davidson's voluntary prepayments, which are higher in the warmer months and lower in the colder months. In addition, S&P used loss timing assumptions based on the historical Harley-Davidson loss curves. S&P's various cash flow scenarios and sensitivity analyses included assumptions on monthly prepayment speeds ranging between 1.0 to 1.3 ABS (absolute prepayment speed) based on actual prepayments S&P has observed, taking into account seasonal trends. The break-even cash flow results demonstrated that there remained adequate coverage of remaining losses at the respective rating levels for all classes that S&P affirmed. However, for the class C notes from series 2008-1, S&P's cash flow analysis exhibited remaining coverage that is no longer sufficient to maintain the current rating. The affirmed ratings reflect increases in credit enhancement as a percent of the amortizing pool balance for each transaction. In S&P's view, the classes with affirmed ratings are currently able to withstand stress scenarios at their current rating levels despite S&P's revised lifetime loss expectations. Standard & Poor's will continue to monitor the performance of each transaction to assess whether the credit enhancement remains sufficient, in S&P's view, to cover its revised cumulative net loss expectations under S&P's stress scenarios for each of the rated classes. Rating Lowered And Removed From Creditwatch Negative Harley-Davidson Motorcycle Trust Rating ------ Series Class To From ------ ----- -- ---- 2008-1 C BB+ BBB/Watch Neg Ratings Affirmed And Removed From Creditwatch Negative Harley-Davidson Motorcycle Trust Rating ------ Series Class To From ------ ----- -- ---- 2007-2 B A A/Watch Neg 2007-2 C BBB BBB/Watch Neg 2007-3 B A A/Watch Neg 2007-3 C BBB BBB/Watch Neg 2008-1 A-2 AAA AAA/Watch Neg 2008-1 A-3a AAA AAA/Watch Neg 2008-1 A-3b AAA AAA/Watch Neg 2008-1 A-4 AAA AAA/Watch Neg 2008-1 B A- A-/Watch Neg Ratings Affirmed Harley-Davidson Motorcycle Trust Series Class Rating ------ ----- ------ 2007-2 A-3 AAA 2007-2 A-4 AAA 2007-3 A-3 AAA 2007-3 A-4 AAA HOSPITAL AUTHORITY: Fitch Cuts Rating on $12.7 Mil. Bonds to 'BB-' ------------------------------------------------------------------ Fitch Ratings has downgraded the rating on approximately $12.7 million outstanding Hospital Authority of the City of Royston, GA's revenue anticipation certificates (Ty Cobb Healthcare System, Inc. Project) series 1999 to 'BB-' from 'BB'. The Rating Outlook is Stable. The rating downgrade is based on Ty Cobb Healthcare System's (Ty Cobb) worsened operating performance, weak debt service coverage, and flat utilization trends. Since Fitch's last review, Ty Cobb recorded a $5 million loss in fiscal 2008 (negative 8.7% margin) and has lost approximately $777,000 (negative 5% margin) through three months ending March 31, 2009. Fiscal 2008's operating performance deteriorated significantly from the prior three fiscal years, which is demonstrated by Ty Cobb's negative 0.9% operating EBITDA margin in 2008 - the lowest since fiscal 2004. Management states that the operating losses observed in fiscal 2008 and 2009 are directly related to the poor performing economy in Hart and Franklin counties. Consequently, in fiscal 2008 Ty Cobb violated its debt service coverage covenant as the system had 0.4 times (x) coverage. As a result from the coverage violation, Ty Cobb was required to engage a management consultant, which has focused on revenue-cycle enhancement. Through the three-month interim period, Ty Cobb had improved coverage of 2.2x. Since fiscal 2007, Ty Cobb has experienced flat inpatient utilization statistics, while outpatient procedures have slightly declined. For example, inpatient admissions fell to 3,019 in 2008 from 3,120 in 2007, while outpatient surgeries dropped to 1,328 in 2008 from 1,534 in 2007. An ongoing credit concern is Ty Cobb's weak payor mix. Located in northeast Georgia and operating in Hart and Franklin counties, Ty Cobb's two acute care facilities had a high percentage of gross revenues coming from Medicaid in fiscal 2008, 14.6%. Ty Cobb's high Medicaid load exposes the organization to further revenue pressure if reimbursement cuts are made at the state level. Ty Cobb's primary credit strengths are the organization's favorable liquidity position and strong market share. In fiscal 2008, Ty Cobb had 152.8 days cash on hand ($22.7 million in unrestricted cash), a cushion ratio of 12.0x, and cash to debt of 106.6%, which compare favorably for the rating category. As of March 31, 2009, Ty Cobb had approximately $24.5 million in unrestricted cash and investments. The organization maintains a dominant inpatient market position of approximately 65%-68% in its primary service area. Additionally, management is beginning the process of consolidating both hospital operations into one new hospital. On July 10, 2009, Ty Cobb's management team announced plans to partner with physicians to build and operate a new 56-bed hospital located in Lavonia, GA, which is approximately 15 miles away from both of Ty Cobb's current locations. The new hospital will replace Ty Cobb's two current facilities, Cobb Memorial Hospital and Hart County Hospital. Management estimates that there will be an approximate $5-$6 million positive impact to Ty Cobb's operating income after the consolidation occurs. Fitch will continue to monitor Ty Cobb's consolidation plan as the process moves forward. The Stable Rating Outlook is based on the strength of Ty Cobb's balance sheet metrics. Additionally, over the medium term, management expects hospital consolidation to occur, which will ultimately improve bottom-line performance. Negative rating pressure may be warranted if the organization's balance sheet declines, operational performance falls below management's expectations of an approximate $1 million loss from operations, and/or the organization fails to consolidate into one single facility. Ty Cobb Healthcare System consists of two hospitals (153 operated beds) and three long-term care facilities (350 operated beds). The two hospitals capture approximately 65%-68% of admissions in the service area. The system had $57.4 million in total operating revenue in fiscal 2008. While there is no covenant to do so in their bond documents, management discloses to the Nationally Recognized Municipal Securities Information Repositories quarterly and annual audited financial information. INDYMAC INDX: Moody's Downgrades Ratings on 2006-AR27 Securities ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one security issued by IndyMac INDX Mortgage Loan Trust 2006-AR27. The collateral backing the transaction consists primarily of first-lien, adjustable-rate Alt-A mortgage loans. The downgrade relates to structural features, such as sequential pay structures, whereby certain senior bonds are entitled to receive more than their pro-rata share of principal payments. In the event that subordinate bonds are written down entirely, these bonds are subject to 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 either of those cases, given the recent increase in the pace of credit support erosion relative to amortization of the bonds, there is an increased likelihood that the downgraded bond may not be completely paid off before subordinate bonds are completely written down. In its analysis, Moody's has considered current available credit enhancement and recent CPR, CDR, and severity trends. The cashflows were run on the basis of pool loss expectations in line with those published in Q1 2009, although Moody's incorporated short-term cashflow stresses to assess the resiliency of the bonds impacted in the actions. It should be noted that, in general, Alt-A and Option ARM delinquency trends in the past six months have closely tracked Moody's Q1 projections. If the pace of modifications picks up, delinquencies may be lower than Moody's projections. Severity trends, however, have worsened, with current severities trending higher than Moody's lifetime average severity assumptions by 5-9 percentage points in many pools. Given that recent data on the housing markets has been mixed and there are early indications of home prices potentially bottoming, it is unclear whether the recent higher severities represent peak severities, and to what extent they might alter the average lifetime expected severity. Complete Rating Actions are: Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR27 -- Cl. 1-A-1, Downgraded to Ba2; previously on 1/29/2009 Downgraded to Baa3 INTEGRAL FUNDING: Moody's Downgrades Ratings on Four Classes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Integral Funding Ltd.: -- US$232,000,000 Class A-2 Floating Rate Notes Due 2017, Downgraded to A1; previously on March 4, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$56,000,000 Class A-3 Floating Rate Notes Due 2017, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$42,000,000 Class C Deferrable Floating Rate Notes Due 2017, Downgraded to B3; previously on March 23, 2009 Downgraded to B1 and Placed Under Review for Downgrade; -- US$46,000,000 Class D Deferrable Floating Rate Notes Due 2017, Downgraded to Ca; previously on March 23, 2009 Downgraded to Caa2 and Placed Under Review for Downgrade. In addition, Moody's has confirmed the rating of this note: -- US$72,000,000 Class B Deferrable Floating Rate Notes Due 2017, Confirmed at Ba1; previously on March 23, 2009 Downgraded to Ba1 and Placed Under Review for Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class C Overcollateralization Test. The weighted average rating factor has steadily increased over the last year and as of the last trustee report, dated July 6, 2009, is 3024 versus a closing date level of 2352. Based on the same report, defaulted securities total about $102 million, accounting for roughly 7.5% of the collateral balance, and securities rated Caa1 or lower make up approximately 9.5% 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. Integral Funding 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. JP MORGAN: Fitch Takes Rating Actions on 25 2007-LDP10 Certs. ------------------------------------------------------------- Fitch Ratings downgrades, removes from Rating Watch Negative, and revises Rating Outlooks on 25 classes of commercial mortgage pass- through certificates from J.P. Morgan Chase Commercial Mortgage Securities Corp., series 2007-LDP10, commercial mortgage pass- through certificates. A detailed list of rating actions follows at the end of this press release. The downgrades are the result of loss expectations and reflect Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch foresees potential losses could reach as high as 14.8% for this transaction, should market conditions not recover. The rating actions are based on losses of 8.4%, including 100% of the term losses and 25% of the losses anticipated to occur at maturity; the 8.4% recognizes all of the losses anticipated in the next five years. Given the uncertainty surrounding macroeconomic conditions, commercial real estate fundamentals, interest rates, liquidity and property performance, Fitch's actions do not account for the full magnitude of possible maturity losses. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for 48.8% of the pool and, in certain cases, revised based on additional information and/or property characteristics. The deal consists of two loan groups, Group R and Group S. Loans are grouped according to whether they have a five to seven year maturities, or 10 year and greater maturities. Principal proceeds, including unscheduled proceeds from liquidations, are distributed according to their respective loan group: Group S pays down the class S certificates and Group R pays down the certificates not noted with an 'S.' Losses are allocated reverse sequentially, then pro rata to each loan group's corresponding class. Fitch incorporated an analysis of the structural features of this transaction, including the expected paydown of each loan group with unscheduled principal proceeds based on projected losses, into this review. Approximately 32.7% of the mortgages mature within the next five years: 5.8% in 2011, 15.8% in 2012, 7.2% in 2013, and 3.9% in 2014. All losses associated with these loans are recognized in the rating actions. Fitch identified 67 Loans of Concern (35.9%) within the pool, 17 of which (13.5%) are specially serviced (including one loan which will potentially be transferred and is expected to become delinquent). Of the specially serviced loans, six (7.7%) are current. Seven of the Fitch Loans of Concern (18.2%) are within the transaction's top 15 loans (41.8%) by unpaid principal balance. Three of the Loans of Concern (6.5%) within the top 15 loans are expected to default during the term, with loss severities ranging from 9% to 49%. The largest contributors to loss are: Solana (2.6% of the pool), Outrigger Guam (1.9%), and the Orchard at Saddleback (1.9%). Solana consists of 1,793,290 square feet (sf) of office space, 43,685 sf of retail, a 38,000 sf health club, and a full-service Marriott hotel. The property, located in Westlake, TX, was built in 1988 and most recently renovated in 2006. The most recent servicer reported debt service coverage ratio is 1.15 times (x) as of June 2008. The loan, sponsored by Maguire Partners, transferred to the special servicer in March 2009 for imminent default after a large tenant vacated a portion of their space. The tenant continues to occupy 375,000 sq with their lease expiration in 2011. Additionally, the borrower reported the Marriott hotel within the complex is underperforming expectations. The special servicer is discussing workout options with the borrower. Limited details are presently available on the workout and current valuation of the asset due to the loan's recent transfer to special servicing. The Outrigger Guam loan is secured by a full-service hotel consisting of 600-rooms and 37,215 sf of retail space in Tumon, Guam. The servicer reported year-end debt service coverage ratio (DSCR) was 1.07x, as compared to the issuer DSCR of 1.39x at origination. Occupancy was not reported. Based on current performance and anticipated declines, losses are expected prior to the loan's maturity. The Orchard at Saddleback is a two-phase community center located in Lake Forest, Orange County, California. The property's third largest tenant, Shoe Pavilion (23,000 sf, 8.3% NRA), filed for bankruptcy and liquidated in October 2008. One additional tenant filed for bankruptcy and two tenants have defaulted on their leases. Additionally, nine tenants requested rent reduction ranges of up to 50%. The loan will potentially be transferred to the special servicer and is expected to become delinquent. Per the July remittance report, the servicer advanced the loan's July debt service payment. Fitch downgrades and removes from Rating Watch Negative these classes: -- $200.7 million class A-J to 'BB' from 'AAA'; Outlook Negative; -- $145.8 million class A-JS to 'BB' from 'AAA'; Outlook Negative; -- $100.0 million class A-JFL to 'BB' from 'AAA'; Outlook Negative; -- $71.8 million class B to 'BB' from 'AA'; Outlook Negative; -- $34.8 million class B-S to 'BB' from 'AA'; Outlook Negative; -- $26.9 million class C to 'B' from 'AA-'; Outlook Negative; -- $13.1 million class C-S to 'B' from 'AA-'; Outlook Negative; -- $49.4 million class D to 'B-' from 'A'; Outlook Negative; -- $23.9 million class D-S to 'B-' from 'A'; Outlook Negative; -- $40.4 million class E to 'B-' from 'A-'; Outlook Negative; -- $19.6 million class E-S to 'B-' from 'A-'; Outlook Negative; -- $44.9 million class F to 'B-' from 'BBB+'; Outlook Negative; -- $21.8 million class F-S to 'B-' from 'BBB+'; Outlook Negative; -- $44.9 million class G to 'B-' from 'BBB-'; Outlook Negative; -- $21.8 million class G-S to 'B-' from 'BBB-'; Outlook Negative; -- $40.4 million class H to 'B-' from 'BB'; Outlook Negative; -- $19.6 million class H-S to 'B-' from 'BB'; Outlook Negative; -- $20.0 million class J to 'CCC/RR6' from 'BB-'; -- $20.0 million class K to 'CCC/RR6' from 'B'; -- $13.3 million class L to 'CCC/RR6' from 'B-'; -- $6.7 million class M to 'CCC/RR6' from 'B-'; -- $6.7 million class N to 'CCC/RR6' from 'CCC'; -- $13.3 million class P to 'CCC/RR6' from 'CCC'. Additionally, Fitch affirms these classes: -- $25.8 million class A-1 at 'AAA'; Outlook Stable; -- $197.9 million class A-1S at 'AAA'; Outlook Stable; -- $250.0 million class A-2 at 'AAA'; Outlook Stable; -- $688.9 million class A-2S at 'AAA'; Outlook Stable; -- $150.0 million class A-2SFL at 'AAA'; Outlook Stable; -- $1,714.1 million class A-3 at 'AAA'; Outlook Stable; -- $179.9 million class A-3S at 'AAA'; Outlook Stable; -- $505.9 million class A-1A at 'AAA'; Outlook Stable; -- Interest-only class X at 'AAA'; Outlook Stable; -- $359.0 million class A-M at 'AAA'; Outlook revised to Negative from Stable; -- $174.1 million class A-MS at 'AAA'; Outlook revised to Negative from Stable. Fitch does not rate the $66.6 million class NR. JP MORGAN: Fitch Takes Rating Actions on 2006-CIBC15 Certificates ----------------------------------------------------------------- Fitch Ratings has downgraded, removed from Rating Watch Negative, and assigned Rating Outlooks to 14 classes of commercial mortgage pass-through certificates from JP Morgan Chase Commercial Mortgage Securities Corp. series 2006-CIBC15. A detailed list of rating actions follows at the end of this release. The downgrades are the result of loss expectations on specially serviced loans as well as Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch foresees potential losses could reach as high as 10.1% for this transaction should market conditions not recover. The rating actions are based on losses of 7.5%, including 100% of the term losses and 25% of the losses anticipated to occur at maturity; the 7.5% recognizes all of the losses anticipated in the next five years. Given the significant term to maturity, Fitch's actions only account for 25% of the losses associated with maturities beyond five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for certain loans representing 71.7% of the pool and, in some cases, revised based on additional information and/or property characteristics. Approximately 4.2% of the mortgages mature within the next five years: 0.0% in 2010, 0.5% in 2011, 0.0% in 2012, 3.7% in 2013, and 0.0% in 2014. All losses associated with these loans are fully recognized in the rating actions. Fitch identified 23 Loans of Concern (25.6%) within the pool, nine of which (16.9%) are specially serviced. Of the specially serviced loans, four (10.6% of the pool) are current. Six of the Fitch Loans of Concern (18.5%) are within the transaction's top 15 loans by unpaid principal balance, four of which are in specially servicing (13.2%). Six of the loans within the top 15 (18.5%) are expected to default during their term with loss severities ranging from 10.7% to 46.6%. The largest contributors to recognized loss are: Lightstone Portfolio (3.5%), FPG Portfolio 1 (3.8%), and The Midwest Retail Portfolio (3.9%). The Lightstone Portfolio consists of four regional malls totaling 1,905,421 square feet (sf). The properties have experienced a significant decline in performance and transferred to the special servicer in October 2008. The properties are being marketed for sale by the receiver. Based on initial offers, losses are expected upon disposition. FPG Portfolio 1 is a portfolio of 12 industrial and office properties comprising approximately 1.8 million sf. The loan transferred to special servicing due to imminent default in June 2009 as several tenants have become delinquent in rental payments and additional vacancies are expected. Servicer is preparing the assets for sale and losses are expected upon disposition. The Midwest Retail Portfolio consists of 12 anchored and one shadow-anchored shopping centers comprising 1,457,129 sf located primarily throughout Nebraska. The loan transferred to special servicing in July 2009 due to a modification request. Most recent servicer reported occupancy and debt service coverage ratio (DSCR) is 84.9% and 1.26 times (x), respectively. Based on anticipated declines in performance a default is anticipated prior to the loan's maturity in 2016. Fitch has downgraded, removed from Rating Watch Negative and assigned Rating Outlooks to these classes: -- $164.2 million class A-J to 'BBB-' from 'AAA'; Outlook Negative; -- $37.1 million class B to 'BB' from 'AA'; Outlook Negative; -- $15.9 million class C to 'BB' from 'AA-'; Outlook Negative; -- $31.8 million class D to 'B-' from 'A' Outlook Negative; -- $26.5 million class E to 'B-'; from 'A-'; Outlook Negative. -- $29.1 million class F to 'CCC/RR6' from 'BBB+'; -- $26.5 million class G to 'CCC/RR6' from 'BBB'; -- $21.2 million class H to 'CC/RR6' from 'BBB-'; -- $7.9 million class J to 'CC/RR6' from 'BB+'; -- $10.6 million class K to 'CC/RR6' from 'BB'; -- $7.9 million class L to 'CC/RR6' from 'BB-'; -- $2.6 million class M to 'CC/RR6' from 'B+'; -- $5.3 million class N to 'CC/RR6' from 'B'; -- $5.3 million class P to 'CC/RR6' from 'B-'. Fitch has affirmed these classes: -- $50 million class A-1 at 'AAA',; Outlook Stable; -- $73.7 million class A-3 at 'AAA'; Outlook Stable; -- $1.00 billion class A-4 at 'AAA'; Outlook Stable; -- $101 million class A-SB at 'AAA'; Outlook Stable; -- $227.9 million class A-1A at 'AAA'; Outlook Stable; -- $211.8 million class A-M at 'AAA'; Outlook Stable; -- interest-only class X1 at 'AAA'; Outlook Stable; -- interest-only class X2 at 'AAA'; Outlook Stable. Fitch does not rate this class: -- $31.8 million class NR. JP MORGAN: Moody's Reviews Ratings on 14 2006-LDP8 Certificates --------------------------------------------------------------- Moody's Investors Service placed 14 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass- Through Certificates, Series 2006-LDP8 on review for possible downgrade due to the credit uncertainty surrounding Maguire Properties Inc., the sponsor of one loan representing 8% of the outstanding deal balance, and higher anticipated losses from loans in special servicing. Maguire continues to experience ongoing levels of high effective leverage, declining operating performance, and an inability to cover dividends from operating cash flow. Currently, Maguire has a low fixed coverage ratio of 0.87x (recurring EBITDA as a share of interest expense plus deferred dividends and capitalized interest) as of June 30, 2009, as well as high leverage (debt plus preferred equity as a share of gross assets) of 96.2% and high secured debt as a share of gross assets of 91.2%. As part of a plan to put the company back on track with a focus on a smaller core portfolio, Maguire announced on August 10, 2009 that they had disposed of one property and its associated debt from their wholly owned portfolio. In addition, Maguire announced that they had contacted the master servicer for six mortgage loans in commercial mortgage backed securities transactions and advised them that they would no longer fund cash shortfalls associated with the respective mortgages. The aforementioned loans are not part of this transaction. Most Maguire properties are located in California in either Los Angeles or Orange Counties, both of which have experienced significant rent and occupancy declines over the last year. Over the next two years, Torto Wheaton Research has forecasted Los Angeles County office rents to decline from $26.67 per square foot to $23.85 PSF and vacancy rates to increase from 14.4% to 19.0%. A similar outcome is forecast for Orange County where average rents are expected to decline from $25.10 to $20.75 PSF and vacancy rates are expected to increase from 19.1% to 20.2%. As of the July 15, 2009 distribution date, the pool has not experienced any losses. Currently there are six loans, representing 8% of the pool, in special servicing. Thirty loans, representing 8% of the pool, are on the master servicer's watchlist. Moody's will continue to monitor the performance of Maguire Properties Inc. as well as the overall credit quality of the deal. Moody's rating action is: -- Class A-J, $260,612,000, currently rated A1, on review for possible downgrade; previously downgraded to A1 from Aaa on 2/11/2009 -- Class B, $53,656,000, currently rated A3, on review for possible downgrade; previously downgraded to A3 from Aa2 on 2/11/2009 -- Class C, $22,995,000, currently rated Baa1, on review for possible downgrade; previously downgraded to Baa1 from Aa3 on 2/11/2009 -- Class D, $42,158,000, currently rated Baa3, on review for possible downgrade; previously downgraded to Baa3 from A2 on 2/11/2009 -- Class E, $34,492,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from A3 on 2/11/2009 -- Class F, $38,326,000, currently rated Ba3, on review for possible downgrade; previously downgraded to Ba3 from Baa1 on 2/11/2009 -- Class G, $30,660,000, currently rated B2, on review for possible downgrade; previously downgraded to B2 from Baa2 on 2/11/2009 -- Class H, $38,325,000, currently rated B3, on review for possible downgrade; previously downgraded to B3 from Baa3 on 2/11/2009 -- Class J, $11,498,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from Ba1 on 2/11/2009 -- Class K, $7,665,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from Ba2 on 2/11/2009 -- Class L, $11,498,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from Ba3 on 2/11/2009 -- Class M, $3,832,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from B1 on 2/11/2009 -- Class N, $11,498,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B2 on 2/11/2009 -- Class P, $11,497,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B3 on 2/11/2009 JP MORGAN: S&P Downgrades Ratings on Nine 2005-FL1 Certificates --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on nine classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Corp.'s series 2005- FL1. Concurrently, S&P affirmed its ratings on four classes from this series. At the same time, S&P removed all 13 ratings from CreditWatch with negative implications, where they were placed April 7, 2009 (see list). The reasons for the downgrades include: -- Higher vacancy rates and lower sales performance for the retail collateral properties since issuance, which, based on S&P's analysis, resulted in property valuations that were primarily between 8% and 16% below their levels at issuance; -- A revised valuation of the office loan, which considered actual and potential property performance declines, including a significant tenant vacating at lease expiration in February 2008; and -- Concerns regarding each borrower's ability to refinance its respective loan by the corresponding final maturity date (November 2009 or January 2010). The affirmations reflect credit enhancement levels that provide adequate support through various stress scenarios. S&P affirmed its rating on the X-2 interest-only certificates based on S&P's current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its current criteria. Any change in S&P's criteria may affect outstanding ratings, including the ratings on the IO certificates S&P affirmed. The Meadowood Mall loan is the largest remaining loan in the pool. This loan has a whole-loan balance of $182.0 million that consists of a $130.0 million senior participation and a $52.0 million junior participation that is held outside the trust. The fee interest in 404,876 sq. ft. of an 876,859-sq.-ft. regional mall in Reno, Nev., collateralizes this whole loan. The master servicer, Midland Loan Services Inc. (Midland), reported a debt service coverage of 3.42x for the 12 months ended Dec. 31, 2008. As of March 2009, in-line occupancy and rent were 82% and $52.44 per sq. ft, compared with 94% and $47.04, respectively, at issuance. Standard & Poor's adjusted value for this loan is down 8% from its level at issuance, driven by lower actual and projected sales figures at the property. The loan is scheduled to mature on Nov. 9, 2009, its final maturity date. The DRA Portfolio loan is the second-largest remaining loan in the pool, with a whole-loan balance of $54.4 million that consists of a $37.5 million senior participation and a $16.9 million nontrust junior participation. The fee interests in two anchored retail properties totaling 718,750 sq. ft. in San Diego, Calif., and Mesa, Ariz., collateralize this loan. At issuance, the fee interests in seven retail properties totaling 1,657,487 sq. ft. secured this loan; however, five of the properties have been released, and the balance of the senior participation has paid down by $63.5 million. For the two remaining properties, Standard & Poor's adjusted net cash flow is down 14% from its level at issuance, which was driven by Circuit City's bankruptcy filing and the company rejecting its lease for the 33,234 sq. ft. space at the Mesa property. The loan is scheduled to mature on Jan. 9, 2010, its final maturity date. The 57 West 57th Street (Leasehold) loan is the third-largest remaining loan in the pool, with a trust and whole-loan balance of $26.5 million. The leasehold interest in a 160,036-sq.-ft. office building in Midtown Manhattan secures this loan. While the collateral property is currently 55% occupied, as the largest tenant (39% of net rentable area) vacated the property in February 2008, Standard & Poor's stabilized value of the asset is comparable to its level at issuance. The loan is scheduled to mature on Nov. 9, 2009, its final maturity date. The smallest loan remaining in the pool has a balance of $8.5 million and is secured by the fee interest on the 57 West 57th Street property. The ground lease matures in 2012 and has two 24-year extension options. The loan is scheduled to mature on Nov. 9, 2009, its final maturity date. Ratings Lowered And Removed From Creditwatch Negative J.P. Morgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-FL1 Rating ------ Class To From Credit Enhancement (%) ----- -- ---- ---------------------- C AA+ AAA/Watch Neg 31.51 D AA AAA/Watch Neg 27.43 E AA- AAA/Watch Neg 23.73 F A+ AA+/Watch Neg 19.26 G A- AA-/Watch Neg 15.56 H BBB A/Watch Neg 11.67 J BBB- BBB+/Watch Neg 8.75 K BB+ BBB/Watch Neg 5.06 L B BBB-/Watch Neg N/A Ratings Affirmed And Removed From Creditwatch Negative J.P. Morgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-FL1 Rating ------ Class To From Credit Enhancement (%) ----- -- ---- ---------------------- A-1 AAA AAA/Watch Neg 96.60 A-2 AAA AAA/Watch Neg 42.60 B AAA AAA/Watch Neg 36.57 X-2 AAA AAA/Watch Neg N/A JPMORGAN CHASE: S&P Downgrades Ratings on 19 Classes of CMBS ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 19 classes of commercial mortgage-backed securities from JPMorgan Chase Commercial Mortgage Securities Trust 2007-C1 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on five other classes from the same transaction. The downgrades follow its analysis of the transaction using its recently released U.S. conduit and fusion CMBS criteria, which was the primary driver of the rating actions. Its analysis included a review of the credit characteristics of all the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.21x and a loan-to-value ratio of 113.4%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 0.86x and an LTV of 154.7%. The implied defaults and loss severity under the 'AAA' scenario were 72.1% and 41.2%, respectively. The lowered ratings on the mezzanine and subordinate classes also reflect its expectation that credit support will erode when the two specially serviced assets are resolved. S&P has lowered its ratings on classes M, N, P, Q, T, to 'D' to reflect recurring interest shortfalls resulting from two appraisal reduction amounts totaling $27.5 million in effect for the assets with the special servicer. S&P expects the shortfalls to recur for the foreseeable future. Classes K and L are susceptible to future shortfalls based on recent appraisals of the Westin portfolio loan (9%). The appraisal values may result in increased ARAs, which would prompt higher appraisal subordinate entitlement reduction amounts. The affirmed ratings on the principal and interest certificates reflect credit enhancement levels that, in its opinion, provide adequate support through various stress scenarios. S&P has affirmed its ratings on the interest-only certificates based on its current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009. Once the criteria review is finalized, S&P may revise its current criteria. Any change in its criteria may affect outstanding ratings, including the ratings on the IO certificates S&P affirmed. Credit Concerns Two assets ($113.4 million; 9.4%) in the pool are with the special servicer, Midland Loan Services Inc. Both loans are 90-plus days delinquent and have ARAs totaling $27.5 million. The larger of the two assets is the third-largest asset in the pool and is described further below. In addition S&P consider three loans ($88.9 million; 7.6%) to be credit impaired. These assets are current but have near-term default risk based on low DSC, vacancy, or negative cash flow. Transaction Summary As of the July 15, 2009, remittance report, the collateral pool consisted of 59 loans with an aggregate trust balance of $1.2 billion, down from 60 loans at issuance. Capmark Finance Inc., the master servicer, reported financial information for 91% of the pool; 99% of the financial information was full-year 2008 data. Financial information was not provided for the Westin portfolio loan ($105 million; 9%). S&P calculated a weighted average DSC of 1.32x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.21x and 113.4%, respectively, excluding the two delinquent loans with the special servicer and the three credit-impaired loans (17.0% in the aggregate). The transaction has not experienced any principal losses to date. Fourteen loans are on the servicer's watchlist ($324.5 million; 28%). Three loans ($25.9 million, 2.2%) have reported DSC between 1.10x and 1.0x, and six loans ($113.6 million, 9.7%) have reported DSC of less than 1.0x. Summary Of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $741.7 million (63.3%). Using servicer-reported information, S&P calculated a weighted average DSC of 1.36x for the top 10 loans (excluding one loan with the special servicer and one loan S&P consider credit impaired; 14.7%). One of the top 10 loans (3.3%) has a reported DSC above 2.0x, and one top 10 loan (5.8%) has a reported DSC of less than 1.0x. S&P's adjusted DSC and LTV for the top 10 loans were 1.12x and 118.0% (excluding the one loan with the special servicer and one loan considered credit impaired; 14.7%), respectively. The Westin portfolio loan ($105 million; 9.0%) is the third- largest loan in the pool and is the largest loan with Midland. In addition to the $105 million note contributed to the subject transaction, a $104 million pari passu note that was contributed to the JPMC 2008-C2 transaction. The loan is secured by the 487- room Westin La Paloma in Tucson, Ariz., built in 1984, and the 412-room Westin in Hilton Head, S.C., built in 1985. This loan was transferred to Midland on Oct. 16, 2008, and is currently 90- plus days delinquent. Currently, there is a $26.5 million ARA in effect on this loan; however, based on a recently updated appraisal, S&P expects the ARA to increase in the near future. If the ARA increases, the related interest shortfalls will likely cause classes K and L to experience interest shortfalls. The Stamford Marriott loan ($67.5 million; 5.8%) is the sixth- largest loan in the pool and is secured by a 507-room Marriott in Stamford, Conn., built in 1975 and recently renovated. The servicer reported DSC of 0.12x for the trailing-12-month period as of March 31, 2009, and this loan has no significant reserves. S&P consider this loan a credit concern and S&P estimate a moderate loss on this asset upon its resolution. Standard & Poor's stressed the loans with the special servicer and the remaining loans in the pool according to S&P's updated conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative JPMorgan Chase Commercial Mortgage Securities Trust 2007-C1 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-4 A- AAA/Watch Neg 30.16 A-SB A- AAA/Watch Neg 30.16 A-M BB AAA/Watch Neg 20.11 A-J B+ AAA/Watch Neg 15.58 B B+ AA+/Watch Neg 14.20 C B AA/Watch Neg 12.94 D B AA-/Watch Neg 11.94 E B- A+/Watch Neg 10.81 F B- A/Watch Neg 9.93 G B- A-/Watch Neg 8.80 H CCC+ BBB+/Watch Neg 7.54 J CCC BBB/Watch Neg 6.16 K CCC- BBB-/Watch Neg 5.03 L CCC- BB+/Watch Neg 4.40 M D BB/Watch Neg 3.64 N D BB-/Watch Neg 3.27 P D B+/Watch Neg 2.76 Q D B/Watch Neg 2.39 T D B-/Watch Neg 2.14 Ratings Affirmed JPMorgan Chase Commercial Mortgage Securities Trust 2007-C1 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 30.16 A-2 AAA 30.16 A-3 AAA 30.16 X-1 AAA N/A X-2 AAA N/A N/A - Not applicable. KATONAH III: Moody's Downgrades Ratings on Various Classes ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Katonah III, Ltd.: -- US$321,000,000 Class A Floating Rate Notes due 2015, Downgraded to Aa3; previously on April 18, 2002 Assigned Aaa; -- US$13,000,000 Class C-1 Floating Rate Notes due 2015, Downgraded to Caa2; previously on March 20, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$4,000,000 Class C-2 Fixed Rate Notes due 2015, Downgraded to Caa2; previously on March 20, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$12,000,000 Class D-1 Floating Rate Notes due 2015, Downgraded to Ca; previously on March 20, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade; -- US$2,500,000 Class D-2 Fixed Rate Notes due 2015, Downgraded to Ca; previously on March 20, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. Moody's has also confirmed the ratings of these notes: -- US$17,000,000 Class B-1 Floating Rate Notes due 2015, confirmed at Ba1; previously on March 20, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$23,000,000 Class B-2 Fixed Rate Notes due 2015, confirmed at Ba1; previously on March 20, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for 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 weighted average 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 increased over the last year and is currently 3022 versus a test level of 2505 as of the last trustee report, dated July 8, 2009. Based on the same report, defaulted securities total about $43 million, accounting for roughly 12.1% of the collateral balance, and securities rated Caa1 or lower make up approximately 13.1% 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. Katonah III, Ltd., issued in April of 2002, 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. KENT FUNDING: S&P Downgrades Ratings on Four Classes to 'D' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D' on four classes of notes issued by Kent Funding Ltd., a cash flow high-grade structured finance collateralized debt obligation transaction, following the liquidation of the collateral in the portfolio. S&P subsequently withdrew its ratings on these tranches. S&P lowered its ratings to 'D' because the proceeds from the liquidation have not been sufficient to make par payments to the noteholders. 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 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. Rating Actions Kent Funding Ltd. Rating ------ Class To Interim From ----- -- ------- ---- ABCP NR D CC A-1 NR D CC A-2 NR D CC B NR D CC NR - Not rated. LANDMARK CDO: Moody's Downgrades Ratings on Various Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Landmark CDO LTD.: -- $10,000,000 Class C-1 Third Priority Floating Rate Notes, Due 2013, Downgraded to Baa2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- $16,000,000 Class C-2 Third Priority Fixed Rate Notes, Due 2013, Downgraded to Baa2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- $7,000,000 Class D-1 Fourth Priority Floating Rate Notes, Due 2013, Downgraded to Caa3; previously on March 4, 2009 Baa2 Placed Under Review for Possible Downgrade; -- $2,000,000 Class D-2 Fourth Priority Fixed Rate Notes Due 2013, Downgraded to Caa3; previously on March 4, 2009 Baa2 Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured 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 Minimum Weighted Average Spread Test. The weighted average rating factor has increased over the last year and is currently 3554 versus a test level of 2220 as of the last trustee report, dated June 30, 2009. Based on the same report, defaulted securities total about $14.5 million, accounting for roughly 17.8% of the collateral balance, and securities rated Caa1 or lower make up approximately 29.9% 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. Landmark CDO LTD., issued in July of 2001, 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. LB-UBS COMMERCIAL: Fitch Downgrades Ratings on 2007-C2 Certs. ------------------------------------------------------------- Fitch Ratings downgrades and revises Rating Outlooks on 13 classes of commercial mortgage pass-through certificates from LB-UBS Commercial Mortgage Trust, series 2007-C2. A detailed list of rating actions follows at the end of this press release. The downgrades are the result of loss expectations and reflect Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch forecasts potential losses of 10.4% for this transaction, should market conditions not recover. The rating actions are based on losses of 7.6%, including 100% of the losses associated with term defaults and any losses associated with maturities within the next five years. Given the significant term to maturity, Fitch's actions only account for 25% of the losses associated with maturities beyond five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end (YE) 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for loans representing 65.4% of the pool and, in certain cases, revised based on additional information and/or property characteristics. Approximately 16.9% of the mortgages mature within the next five years: 3.7% in 2011 and 13.3% in 2012. In 2017, 74% of the pool is scheduled to mature. Fitch identified 27 Loans of Concern (14.7%) within the pool, 13 of which (11.4%) are specially serviced. Of the specially serviced loans, two (6.8% of the pool) are current. Four of the Fitch Loans of Concern (13.9%) are within the transaction's top 15 loans by unpaid principal balance. Four of the loans within the top 15 (13.9%) are expected to default during their term with loss severities ranging from 1.2% through 31.5%. Three of the top 15 loans (10.2%) are expected to default at maturity, with loss severities ranging from 13% to 22%. The largest contributors to loss are: Bethany Maryland Portfolio (6.1% of the pool), Watergate 600 (3.7% of the pool), Duke Cleveland East Suburban Portfolio (3.8% of the pool) and One Alliance Center (4.7% of the pool). The Bethany Maryland Portfolio is secured by three multifamily properties, totaling 1909 units. The properties are located across the Washington-Arlington-Alexandria Metropolitan Statistic Area (MSA) and the Baltimore MSA. The sponsor is a joint venture between Bethany Holdings Group, LLC, and CORE Realty Holdings, LLC. The loan transferred to the special servicer in April 2009 when the borrower made a request to modify payment terms for the B-note, which is held outside the trust. The borrower also requested a modification to the disbursement requirements for the reserve allocated for capital improvements at the property. In addition to the modification requests, the borrower has requested consent for the replacement of the sub-property management agreement. The Watergate 600 loan is secured by a 283,336 square foot (sf) office building, built in 1971, located in Washington, D.C. Based on the YE 2008 performance, the property continues to be 100% occupied, however, the servicer reported debt service coverage ratio has declined to 1.11 times (x) from 1.18x at issuance. The decline in DSCR is attributed to general increases in operating expenses since issuance. According to the July 2009 rent roll, there is no major rollover expected at the property until year 2018. The Duke Cleveland East Suburban Portfolio is secured by a portfolio of eight office properties totaling 895,487 sf located in the Cleveland-Elyria-Mentor MSA of Ohio. As of YE 2008 occupancy has slightly increased to 95% from 94% at issuance with servicer reported DSCR at 1.35x compared to 1.05 at issuance. The higher DSCR reflects leasing activity that was executed at higher rental rates post issuance. According to the July 2009 rent rolls, the portfolio has above average lease expirations with 205,129 sf (22.7%) expiring in 2010, 194,061 sf (18.2%) expiring in 2011, 253,969 sf (24.8%) expiring in 2012. The One Alliance Center loan is secured by a 20-story, 553,017 sf Class A office building located in the Buckhead submarket of Atlanta, GA. The occupancy and DSCR as of YE 2008 were 95% and 1.12x below 99.7% and 1.14x at issuance. Based on the April 2009 rent roll, the building has significant rollover risk with 49.2% of the net rentable area expiring in 2011. An additional 20.8% of the NRA expires in 2012. Fitch downgrades and assigns Outlooks to these classes: -- $315.5 million class A-J to 'BBB-' from 'AAA'; Outlook Negative; -- $26.7 million class B to 'BB' from 'AA+'; Outlook Negative; -- $53.3 million class C to 'B' from 'AA'; Outlook Negative; -- $40 million class D to 'B' from 'AA-'; Outlook Negative; -- $13.3 million class E to 'B' from 'A'; Outlook Negative; -- $26.7 million class F to 'B-' from 'A-'; Outlook Negative; -- $35.5 million class G to 'B-' from 'BBB'; Outlook Negative; -- $31.1 million class H to 'B-' from 'BBB-'; Outlook Negative; -- $35.5 million class J to 'B-' from 'BB+'; Outlook Negative; -- $40 million class K to 'CCC/RR6' from 'BB-'; -- $17.8 million class L to 'CCC/RR6' from 'B+'; -- $8.9 million class M to 'CCC/RR6' from 'B'; -- $4.4 million class N to 'CCC/RR6' from 'B-'. In addition, Fitch affirms these classes -- $20.1 million class A-1 at 'AAA'; Outlook Stable; -- $447 million class A-2 at 'AAA'; Outlook Stable; -- $78 million class A-AB at 'AAA'; Outlook Stable; -- $1.3 billion class A-3 at 'AAA'; Outlook Stable; -- $659.4 million class A-1A at 'AAA'; Outlook Stable; -- $355.4 million class A-M at 'AAA'; Outlook Stable; -- Interest only class X-CP at 'AAA'; Outlook Stable; -- Interest only class X-W at 'AAA'; Outlook Stable; -- Interest only class X-CL at 'AAA'; Outlook Stable. The $8.9 million class P, $4.4 million class Q, $13.3 million class S and $35.5 class T are not rated by Fitch. LB-UBS COMMERCIAL: Fitch Takes Rating Actions on 2007-C6 Certs. --------------------------------------------------------------- Fitch Ratings has taken various rating actions on 16 classes of LB-UBS Commercial Mortgage Trust 2007-C6 commercial mortgage pass- through certificates, series 2007-C6. In addition, Fitch has assigned Rating Outlooks, as applicable. A detailed list of rating actions follows at the end of this press release. The downgrades are the result of loss expectations and reflect Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch forecasts potential losses of 10.3% for this transaction, should market conditions not recover. The rating actions are based on losses of 6.8% including 100% of the losses associated with term defaults and any losses associated with maturities within the next five years. Given the significant term to maturity, Fitch's actions only account for 25% of the losses associated with maturities beyond five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end (YE) 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for loans representing 78.6% of the pool and, in certain cases, revised based on additional information and/or property characteristics. Approximately 27.4% of the mortgages are scheduled to mature within the next five years, with 20.5% maturing in 2012 and 6.5% maturing in 2014. In 2017, 69.7% of the pool is scheduled to mature. Fitch identified 37 Loans of Concern (32.3%) within the pool, six of which (2.1%) are specially serviced. None of the specially serviced loans are within the transaction's top 15 loans (65.7%) by unpaid principal balance and two of the specially serviced loans are current (0.9%). Five of the Fitch Loans of Concern (19.5%) are within the transaction's top 15 loans. Eleven of the top 15 loans (52%) are expected to default during the term or at maturity, with loss severities ranging from approximately 2% to 34%. Of the top 15 loans, the largest contributors to term losses by balance are: McCandless Towers (3.9% of the pool), Westview Shopping Center (1.9%) and Irish Hills Plaza (1.1%). McCandless Towers is collateralized by a two-building, 418,003 square foot office complex located in Santa Clara, CA. Occupancy as of June 2009 was 68.1%, compared to 95.5% at issuance, with a servicer reported YE 2008 debt service coverage ratio of 1.02x. At issuance, the loan was underwritten to a stabilized cash flow based on the expectation that below-market leases expiring during the term of the loan would be re-signed at higher rates, providing for potential upside in future cash flows; however, the property is behind the stabilization schedule. Based on current performance and anticipated declines in performance, losses are expected prior to the loan's maturity in 2017. Westview Shopping Center is collateralized by a 610,103 sf anchored-retail mall located in Baltimore, MD. Occupancy as of April 2009 was 78.6%, compared to 92.4% at issuance, with a servicer reported YE 2008 DSCR of 1.10x. Major tenants include Sam's Club, Ross Dress for Less and Lowe's. A large tenant, Value City, filed for bankruptcy in 2008 and closed all its stores. Based on current and anticipated declines in performance, losses are expected prior to the loan's maturity in 2017. Irish Hills Plaza is secured by a retail center located in San Luis Obispo, CA, totaling 139,856 sf. The property is shadow anchored by Costco and Home Depot. Circuit City, which occupied 22.6% of the net rentable area and Linens 'n Things, 20.2% of NRA, both closed after bankruptcy filings. As of June 2009, occupancy is at 57.2%, a decline from 100% in 2008 due to the store closures. The borrower has been working with prospective tenants on leasing the vacant space. Based on current and anticipated declines in performance, losses are expected prior to the loan's maturity in 2017. Fitch downgrades and removes from Rating Watch Negative, and assigns Outlooks to these classes: -- $156.4 million class A-J to 'AA' from 'AAA'; Outlook Negative; -- $33.5 million class B to 'A' from 'AA+'; Outlook Negative; -- $37.2 million class C to 'BBB' from 'AA'; Outlook Negative; -- $33.5 million class D to 'BBB-' from 'AA-'; Outlook Negative; -- $29.8 million class E to 'BB' from 'A+'; Outlook Negative; -- $29.8 million class F to 'BB' from 'A'; Outlook Negative; -- $33.5 million class G to 'BB' from 'A-'; Outlook Negative; -- $37.2 million class H to 'B' from 'BBB+'; Outlook Negative; -- $41 million class J to 'B-' from 'BBB'; Outlook Negative; -- $29.8 million class K to 'B-' from 'BBB-'; Outlook Negative; -- $44.7 million class L to 'B-' from 'BB+'; Outlook Negative; -- $14.9 million class M to 'B-' from 'BB'; Outlook Negative; -- $11.2 million class N to 'B-' from 'BB-'; Outlook Negative; -- $3.7 million class P to 'B-' from 'B+'; Outlook Negative; -- $7.4 million class Q to 'B-' from 'B'; Outlook Negative. Fitch has affirmed this class, removed it from Rating Watch Negative, and assigned it a Negative Outlook: -- $7.4 million class S at 'B-'. Additionally, Fitch affirms these classes, with a Stable Outlook: -- $18.7 million class A-1 at 'AAA'; -- $455 million class A-2 at 'AAA'; -- $40 million class A-2FL at 'AAA'; -- $169 million class A-3 at 'AAA'; -- $67 million class A-AB at 'AAA'; -- $910.4 million class A-4 at 'AAA'; -- $422.2 million class A-1A at 'AAA'; -- Interest-only class X at 'AAA'; -- $227.9 million class A-M at 'AAA'; -- $70 million class A-MFL at 'AAA'. Fitch does not rate the $44.7 million class T. LEHMAN BROS: S&P Downgrades Ratings on 19 2007-LLF C5 Certificates ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 19 classes of commercial mortgage pass-through certificates from Lehman Bros. Floating Rate Commercial Mortgage Trust's series 2007-LLF C5. Concurrently, S&P affirmed its ratings on four other classes from this transaction. Finally, S&P removed all 23 of its ratings from CreditWatch with negative implications. S&P affirmed its ratings on the interest-only certificates based on its current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its current criteria. Any change in its criteria may affect outstanding ratings, including the ratings on the IO certificates S&P affirmed. Based on its discussions with KeyBank Real Estate Capital Markets Inc., the master servicer, special servicing fees related to three loans are expected to affect the trust as of the August remittance report. As a result of these fees, interest shortfalls will likely affect class J. If S&P expects the shortfalls to continue for the foreseeable future, S&P will likely lower its rating on class J to 'D'. There are seven pooled loans that have raked certificates rated by Standard & Poor's. S&P downgraded the 'NOP', 'DMC', 'FTC', 'ONA', 'VIS', and 'HRH' raked certificates and affirmed its rating on the 'FBS' raked certificates. Details are: The Normandy Office Portfolio loan has a whole-loan balance of $109.9 million that consists of a $97.4 million senior pooled component and a $12.5 million subordinate nonpooled component that is raked to the 'NOP' certificates. In addition, the borrower's equity interests in the property secure a mezzanine loan totaling $66.1 million. Ten cross-collateralized and cross-defaulted office and industrial properties totaling 1,378,196 sq. ft. located throughout Massachusetts and New Jersey secure this loan. The portfolio was 67% occupied as of March 31, 2009, and its adjusted value is down 70% since issuance. The loan matures on Dec. 9, 2009, and has two 12-month extension options remaining. The Denver Marriott loan has a whole-loan balance of $46.8 million that consists of a $40.9 million senior pooled component and a $5.9 million subordinate nonpooled component that is raked to the 'DMC' certificates. In addition, the borrower's equity interests in the property secure a mezzanine loan totaling $45.0 million. A 613-room, full-service hotel in Denver, Colo., secures this loan. Its adjusted valuation has fallen 41% since issuance. The loan matures on July 9, 2010, and has two 12-month extension options remaining. The Fifth Third Center loan has a whole-loan balance of $37.0 million that consists of a $30.5 million senior pooled component and a $6.5 million subordinate nonpooled component that is raked to the 'FTC' certificates. In addition, the borrower's equity interests in the property secure a mezzanine loan totaling $18.5 million. A 489,592-sq.-ft. office building in Nashville, Tenn., secures this loan. The property was 60% occupied as of May 31, 2009, and its adjusted value is down 57% since issuance. The loan matures on March 9, 2010, and has two 12-month extension options remaining. The Omni Austin & Austin Centre loan has a whole-loan balance of $28.4 million that consists of a $26.7 million senior pooled component and a $1.8 million subordinate nonpooled component that is raked to the 'ONA' certificate. The Omni Austin portion of the loan has been released and the loan was partially paid down due to that release. A 360,686-sq.-ft. office building in Austin, Texas, secures this loan. Its adjusted value is down 14% since issuance. The loan matures on June 9, 2010, and has two 12-month extension options remaining. The Ventana Inn and Spa loan has a whole-loan balance of $26.0 million that consists of a $21.6 million senior pooled component and a $4.4 million subordinate nonpooled component that is raked to the 'VIS' certificate. In addition, the borrower's equity interests in the property secure a mezzanine loan totaling $28.8 million. A 60-room, luxury hotel in Big Sur, Calif., secures this loan. Its adjusted valuation has fallen 65% since issuance. The loan matures on June 9, 2010, and has two 12-month extension options remaining. Details of the three specially serviced loans in the pool are: The 120 Howard Street loan was transferred to the special servicer, TriMont Real Estate Advisors Inc., on May 14, 2009, due to a maturity default. According to TriMont, the extension terms of the loan required the borrower to provide additional funding into a debt service reserve escrow, which the borrower did not satisfy. This loan has a trust and whole loan balance of $23.9 million (1.1% of the pooled trust balance). In addition, the borrower's equity interests in the property secure a $49.2 million mezzanine loan. The master servicer reported that the property's net cash flow was slightly negative for the 12 months ending December 31, 2008. The loan was current as of the July 15, 2009, remittance report. Standard & Poor's expects a moderate loss upon the resolution of this loan. The Sienna at Riverview Apartments loan and the La Reserve loan were both transferred to TriMont on February 24, 2009, due to a maturity default. According to TriMont, the loans are sponsored by SJM Company, which is seeking to sell the properties prior to the August 18, 2009, foreclosure date. The Sienna at Riverview Apartments loan has a trust and whole loan balance of $17.99 million (0.8% of the pooled trust balance), and the borrower's equity interests in the property secure a $24.7 million mezzanine loan. The La Reserve loan has a trust and whole loan balance of $12.0 million (0.6% of the pooled trust balance), and the borrower's equity interests in the property secure a $16.3 million mezzanine loan. Standard & Poor's expects a moderate loss upon the resolution of these two loans. Office and industrial properties secure 21 loans (67% of the pool trust balance). The properties are geographically concentrated, with over 40% of the pool trust balance located in California. S&P based its analysis on a review of the borrowers' most recent operating statements as well as their 2009 budgets. The Calwest Industrial Portfolio loan is the largest loan secured by industrial properties and the largest loan in the pool. The loan is secured by the fee and leasehold interests in 95 cross- collateralized and cross-defaulted class A industrial properties comprising 23,307,379 sq. ft. and located in six states. The loan has a trust balance of $275 million (14% of the pooled trust balance) and a whole-loan balance of $1.1 billion. The whole-loan consists of the $275 million pari passu A-1 note that is included in this transaction and two pari passu notes totaling $825 million held outside of the trust. In addition, the borrower's equity interests in the properties secure a mezzanine loan totaling $1.4 billion. The master servicer, KeyBank, reported a debt service coverage of 2.82x for the 12 months ended December 31, 2008, with the portfolio 80% occupied. The loan matures on June 8, 2010, and has two one-year extension options remaining. Its adjusted valuation has fallen 20% since issuance. Hotel properties secure 12 loans totaling $521.4 million (24% of the pool trust balance). The largest property concentrations are in Texas (7% of the pool trust balance), California (5%), Colorado (5%), and New York (3%). S&P based its hotel analysis on a review of the borrowers' operating statements for the three months ended March 31, 2009, and the year ended Dec. 31, 2008, as well as their 2009 budgets. The lodging collateral performance has been significantly affected by the reduction in business and leisure travel. Its analysis factored in its assumption that average 2009 revenue per available room in the industry would decline between 14% and 16% and also considered local lodging market conditions. The details of its lodging forecast can be found in a recent article. The Whitehall/Highgate Hotel Portfolio loan is the largest loan secured by hotel properties and the fifth-largest loan in the pool. Nine hotels totaling 2,262 rooms and located in eight states secure this loan. The loan has a pooled trust balance of $102.8 million and a whole-loan balance of $108.4 million. The whole-loan consists of a senior $102.8 million component that is pooled and a subordinate $5.6 million nonpooled component that is raked to the 'WHH' certificate (not rated by Standard & Poor's). In addition, the borrower's equity interests in the properties secure a mezzanine loan totaling $91 million. According to the July 15, 2009, remittance report, pool statistics are: There are 35 loans in the pool, consisting of 13 whole loans, senior interests in 18 participated whole loans with nonpooled junior components included in the trust, three senior interests in A/B loans (two of which also have nonpooled junior components included in the trust), and one whole loan with pari passu companion loans held outside of the trust. All of the loans are indexed to one-month LIBOR. Near-term maturities (within the next three months and not discussed above) for the loans in the pool are: The PHOV Hotel Portfolio loan, the eighth-largest loan in the pool, has a trust balance of $82.9 million (4% of the pooled trust balance) and a $91.3 million whole-loan balance. In addition, the borrower's equity interests in the properties secure a mezzanine loan totaling $78.7 million. This loan, secured by three hotels totaling 1,132 units located in Burbank, Calif., Denver, and Pleasanton, Calif., matures September 9, 2009. The borrower has given notice that they will be extending the loan, and they have two 12-month extension options remaining. KeyBank reported a DSC of 1.88x for the 12 months ended March 31, 2009. Its adjusted valuation has fallen 45% since issuance. The Hyatt Regency Houston loan, the 10th-largest loan in the pool, has a trust balance of $54.1 million (3%) and a whole-loan balance of $57.0 million. The whole-loan includes the $54.1 million senior pooled component and a $2.9 million junior nonpooled component that secures the 'HRH' certificate. In addition, the borrower's equity interests in the property secure a mezzanine loan totaling $26.8 million. The loan, secured by a hotel with 977 rooms in Houston, matures November 9, 2009. The borrower has given notice that they will be extending the loan, and they have two 12-month extension options remaining. KeyBank reported a DSC of 4.69x for the 12 months ended March 31, 2009. Its adjusted valuation has fallen 19% since issuance. The Interstate North Office Park loan, the 11th-largest loan in the pool, has a trust balance of $53.1 million (3%) and a whole- loan balance of $56.1 million. In addition, the borrower's equity interests in the properties secure a mezzanine loan totaling $44.9 million. The loan, secured by 11 office buildings located in Atlanta, matures October 6, 2009. The borrower has given notice that it will extend the loan, and two 12-month extension options remain. KeyBank reported a 2.71x DSC for the 12 months ended March 31, 2009. Its adjusted valuation has fallen 33% since issuance. Ratings Lowered And Removed From Creditwatch Negative Lehman Bros. Floating Rate Commercial Mortgage Trust 2007-LLF C5 Commercial mortgage pass-through certificates Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-2 BBB AAA/Watch Neg 20.53 B BB+ AA/Watch Neg 13.85 C BB AA-/Watch Neg 11.41 D BB- A+/Watch Neg 9.81 E B+ A/Watch Neg 8.37 F B- A-/Watch Neg 6.93 G CCC+ BBB+/Watch Neg 5.48 H CCC BBB/Watch Neg 2.89 J CCC- BBB-/Watch Neg 0.00 NOP-1 CCC- A-/Watch Neg N/A NOP-2 CCC- BBB/Watch Neg N/A NOP-3 CCC- BBB-/Watch Neg N/A HRH B+ BBB-/Watch Neg N/A DMC-1 CCC- BBB/Watch Neg N/A DMC-2 CCC- BBB-/Watch Neg N/A FTC-1 CCC- A/Watch Neg N/A FTC-2 CCC- BBB-/Watch Neg N/A ONA CCC- BBB-/Watch Neg N/A VIS CCC- BBB-/Watch Neg N/A Ratings Affirmed And Removed From Creditwatch Negative Lehman Bros. Floating Rate Commercial Mortgage Trust 2007-LLF C5 Commercial mortgage pass-through certificates Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-1 AAA AAA/Watch Neg 44.26 FBS-1 BBB BBB/Watch Neg N/A FBS-2 BBB- BBB-/Watch Neg N/A X-2 AAA AAA/Watch Neg N/A LEHMAN BROS: S&P Downgrades Ratings on Five 2004-LLF C5 Certs. -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on five classes of multiclass pass-through certificates from Lehman Bros. Floating Rate Commercial Mortgage Trust's series 2004-LLF C5. Concurrently, S&P affirmed its 'AAA' ratings on seven other classes from this series. At the same time, S&P removed all 12 ratings from CreditWatch with negative implications, where they were placed April 7, 2009. The downgrades follow S&P's analysis of the Sheraton Chicago Hotel & Towers loan and the Hilton in the Walt Disney World Resort loan. Both loans are secured by hotel properties, which have been affected by the reduction in business and leisure travel. S&P's analysis factored in S&P's expectation that overall average 2009 revenue per available room in the lodging industry would decline between 14% and 16%, as S&P noted in a recent article and also considered conditions in the local lodging markets. According to Smith Travel, the Chicago and Orlando lodging markets posted significant declines in RevPAR of 27% and 21%, respectively, in the first six months of 2009 compared with 2008, whereas the general U.S. hotel industry reported a 19% decline in RevPAR. S&P affirmed its ratings on the interest-only certificates based on S&P's current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its current criteria. Any change in S&P's criteria may affect outstanding ratings, including the ratings on the IO certificates S&P affirmed. The largest loan remaining in the pool, the Sheraton Chicago Hotel & Towers loan, has a $157.0 million whole-loan balance that consists of a $141.7 million senior note that makes up 49% of the pooled trust balance (as of the July 15, 2009, trustee remittance report) and a $15.3 million nontrust subordinate B note. This loan is secured by a 34-story, 1,209-room, full-service convention-oriented hotel in Chicago. The master servicer, Wachovia Bank N.A., reported a debt service coverage of 4.79x for the 12 months ended December 31, 2008, and 78% occupancy for the period ended March 31, 2009. S&P based its analysis on the borrower's operating statements for the first three months of 2009, the 12 months ended December 31, 2008, and the borrower's 2009 budget. S&P's adjusted valuation has fallen 20% since S&P's last review, dated January 29, 2008. The loan's final maturity date is January 13, 2010. The borrower is currently seeking to refinance the loan. According to Wachovia, any special servicing and workout fees incurred on this loan will be absorbed by the nontrust subordinate B note first. The second-largest loan in the pool, the Hilton in the Walt Disney World Resort loan, has a trust and whole-loan balance of $100.0 million (35% of the pooled trust balance). In addition, the borrower's equity interests in the property secure a $30.0 million mezzanine loan. This loan is secured by an 814- room, full-service upscale resort hotel located within the Walt Disney World resort in Lake Buena Vista, Fla. Wachovia reported a 5.85x DSC for the 12 months ended March 31, 2009, and 85% occupancy as of May 2009. Standard & Poor's used the borrower's operating statements for the first five months of 2009, the 12 months ended December 31, 2008, and the borrower's 2009 budget to derive an adjusted valuation that has declined 32% from S&P's last review. The loan matures on October 13, 2009. The borrower has indicated that it plans to exercise its remaining one-year extension option. The smallest loan in the pool, the specially serviced Westin Oaks & Westin Galleria loan, has a whole-loan balance of $52.0 million that is split into a $47.1 million senior pooled component (16% of the pooled trust balance) and a $4.9 million subordinate nonpooled component that is raked to the class 'WO' certificates (not rated by Standard & Poor's). This loan is secured by two adjacent full- service hotels in Houston totaling 893 rooms. According to the special servicer, TriMont Real Estate Advisors Inc., this loan was paid in full on July 23, 2009. As part of the loan payoff, the borrower also paid the special servicing and liquidation fees. Wachovia indicated that the payoff of this loan may be reflected as early as the August 17, 2009, trustee remittance report. Ratings Lowered And Removed From Creditwatch Negative Lehman Bros. Floating Rate Commercial Mortgage Trust Multiclass pass-through certificates series 2004-LLF C5 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- F AA- AA+/Watch Neg 37.13 G BBB+ AA/Watch Neg 27.50 H BBB- A/Watch Neg 19.61 J BB BBB+/Watch Neg 10.92 K B BBB-/Watch Neg N/A Ratings Affirmed And Removed From Creditwatch Negative Lehman Bros. Floating Rate Commercial Mortgage Trust Multiclass pass-through certificates series 2004-LLF C5 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-2 AAA AAA/Watch Neg 98.00 B AAA AAA/Watch Neg 83.25 C AAA AAA/Watch Neg 67.81 D AAA AAA/Watch Neg 56.90 E AAA AAA/Watch Neg 47.14 X-2 AAA AAA/Watch Neg N/A X1-WO AAA AAA/Watch Neg N/A N/A - Not applicable. LEHMAN MANUFACTURED: Moody's Downgrades Ratings on Five Certs. -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on 5 certificates issued in Lehman Manufactured Housing Asset-Backed Trust 1998-1 resecuritized transaction. The certificates in the resecuritizations are backed by one or more securities, which in turn are backed by manufactured housing mortgage loans. These rating actions have been triggered by changes in performance and/or Moody's ratings on the underlying residential mortgage-backed securities (underlying securities). The ratings on the certificates in the resecuritization are based on: (i) The updated expected loss of the pool of loans backing the underlying securities portfolio and the updated ratings on the underlying securities portfolio (ii) The available credit enhancement on the underlying securities, and (iii) The structure of the resecuritization transaction. (1) Moody's first updated its loss assumptions on the underlying pool of mortgage loans (backing the underlying securities) and then arrived at updated ratings on the underlying securities. The ratings on the underlying securities are then used to derive a weighted average portfolio rating based on a weighted average rating factor. To determine the portfolio WARF, Moody's assigns the ratings on the underlying securities a Rating Factor based on Moody's published 10-yr idealized loss expectations. Weights are assigned to each Rating Factor based on the contribution (by outstanding pledged balance) of the underlying security to the resecuritized transaction. (2) Second, Moody's determines the weighted average credit enhancement available to the portfolio security by evaluating the loss coverage level consistent with the ratings on the underlying securities and the underlying mortgage pool losses and weighting them based on the outstanding pledged balance of the underlying securities. (3) Finally, the ratings on the bonds issued in the resecuritization are determined after taking into consideration additional structural aspects of the resecuritization. For transactions where only a single tranche is issued, the weighted average portfolio rating (as determined in step 1 above) is the rating assigned to the tranche. Where multiple securities are issued, the loss allocation and cash flow priority are taken into consideration. For instance where the certificates in the resecuritization are tranched into a super senior tranche and a support tranche, the support tranche is notched down to reflect a higher severity of loss to that tranche. The rating on the super senior tranche is determined based on the total credit enhancement available i.e. the credit enhancement assessed in step (2) and the additional enhancement from the support tranche. The probability of default for the junior-most certificate in the resecuritization is the same as the probability of default for the lowest rated underlying certificate. However, Moody's anticipates a higher loss severity on the junior-most class due to its subordinate position (both in terms of principal distribution and loss allocation) and smaller size (when compared to underlying certificate). Therefore, the ratings on junior certificates in the resecuritization are lower than the portfolio rating on the combined underlying bonds. Because the ratings on the certificates in the resecuritization are linked to the ratings on the underlying certificates and their mortgage pool performance, any rating action on the underlying certificates may trigger a further review of the ratings on the certificates in the resecuritization. The ratings on the certificates in the resecuritization address the ultimate payment of promised interest and principal and do not address any other amounts that may be payable on the certificates. For securities insured by a financial guarantor, the rating on the securities is equal to the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described above. Complete Rating Actions are: Issuer: Lehman Manufactured Housing Asset-Backed Trust 1998-1 -- I-A1, Downgraded to Baa1; previously on 12/13/2004 Downgraded to A1 -- I-IO, Downgraded to Baa1; previously on 12/13/2004 Downgraded to Aa3 -- II-A1, Downgraded to Caa1; previously on 12/13/2004 Downgraded to B3 -- II-A2, Downgraded to Caa2; previously on 12/13/2004 Downgraded to B3 -- II-IO, Downgraded to Caa1; previously on 12/13/2004 Downgraded to B2 LEHMAN XS: Moody's Downgrades Ratings on Two Securities ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two securities issued by two Lehman XS Trust deals. The collateral backing the transactions consists primarily of first-lien, fixed and adjustable-rate Alt-A mortgage loans. The downgrades relate to structural features, such as sequential pay structures, whereby certain senior bonds are entitled to receive more than their pro-rata share of principal payments. In the event that subordinate bonds are written down entirely, these bonds are subject to 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 either of those cases, given the recent increase in the pace of credit support erosion relative to amortization of the bonds, there is an increased likelihood that the downgraded bonds may not be completely paid off before subordinate bonds are completely written down. In its analysis, Moody's has considered current available credit enhancement and recent CPR, CDR, and severity trends. The cashflows were run on the basis of pool loss expectations in line with those published in Q1 2009, although Moody's incorporated short-term cashflow stresses to assess the resiliency of the bonds impacted in the actions. It should be noted that, in general, Alt-A and Option ARM delinquency trends in the past six months have closely tracked Moody's Q1 projections. If the pace of modifications picks up, delinquencies may be lower than Moody's projections. Severity trends, however, have worsened, with current severities trending higher than Moody's lifetime average severity assumptions by 5-9 percentage points in many pools. Given that recent data on the housing markets has been mixed and there are early indications of home prices potentially bottoming, it is unclear whether the recent higher severities represent peak severities, and to what extent they might alter the average lifetime expected severity. Complete Rating Actions are: Issuer: Lehman XS Trust 2006-17 -- Cl. WF-2, Downgraded to B2; previously on 2/4/2009 Downgraded to Baa3 Issuer: Lehman XS Trust Series 2006-5 -- Cl. 2-A1, Downgraded to B3; previously on 2/4/2009 Downgraded to Baa2 LIGHTPOINT CLO: Moody's Downgrades Ratings on Three Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Lightpoint CLO IV, Ltd.: -- Class A-1 Senior Secured Floating Rate Notes Due 2018, Downgraded to A1; previously on April 5, 2006 Assigned Aaa; -- Class A-2A Senior Secured Floating Rate Notes Due 2018, Downgraded to Aa2; previously on April 5, 2006 Assigned Aaa; -- Class A-2B Senior Secured Floating Rate Notes Due 2018, Downgraded to A3; previously on March 17, 2009 Aa1 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- Class B Senior Secured Deferrable Rate Notes Due 2018, Confirmed at Ba1; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- Class C Secured Floating Rate Notes Due 2018, Confirmed at B1; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook", and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs". Moody's analysis also reflects the expectation that recoveries for 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, and an increase in the proportion of securities from issuers rated Caa1 and below. The weighted average rating factor has increased over the last year and is currently 2687 as of the last trustee report, dated July 8, 2009. Based on the same report, defaulted securities total about $22.3 million, accounting for roughly 6.1% the collateral balance, and securities rated Caa1 or lower make up approximately 9.75% 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. Lightpoint CLO IV, Ltd., issued on April 5, 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. MAPS CLO: Moody's Upgrades Ratings on Various Classes of Notes -------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by MAPS CLO Fund I LLC: -- US$31,000,000 Class C Third Priority Senior Subordinate Deferrable Floating Rate Notes Due 2017, Upgraded to Baa1; previously on March 23, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$20,950,000 Class D-1 Fourth Priority Junior Subordinate Deferrable Floating Rate Notes Due 2017, Upgraded to Ba2; previously on March 23, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$6,800,000 Class D-2 Fourth Priority Junior Subordinate Deferrable Fixed Rate Notes Due 2017, Upgraded to Ba2; previously on March 23, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$17,000,000 Class E Fifth Priority Junior Subordinate Deferrable Floating Rate Notes due 2017, Upgraded to Caa1; previously on March 23, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the rating of these notes: -- US$32,000,000 Class B Second Priority Senior Floating Rate Notes Due 2017, Confirmed at Aa2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade. Moody's notes that the upgrade actions on the Class C, Class D-1, Class D-2 and Class E Notes, and the rating confirmation on the Class B Notes, largely reflect updated analysis indicating that the impact of certain assumption stresses incorporated in Moody's rating analysis is not as negative as previously assessed during Stage I of the deal review in March. The current conclusions stem from comprehensive deal-level analysis completed during Stage II of the ongoing CLO surveillance review, which included an in-depth assessment of results from Moody's quantitative CLO rating model along with an examination of deal-specific qualitative factors. By way of comparison, during Stage I Moody's took rating actions that were largely the result of a parameter-based approach (see press release dated March 4, 2009, titled "Moody's puts all but senior-most CLO tranches on review for downgrade"). Additionally, the actions consider the positive implications of performance stabilization in certain deal collateral quality measurements since the time of the previous rating actions. In particular, the weighted average rating factor has increased over the last year and is currently 3201, but is lower than the test level of 3440, based on the last trustee report dated July 10, 2009. According to the same report, the aggregate outstanding par amount of the collateral is $399.2 million, and the Class A/B overcollateralization test ratio is 139.47%, versus a par amount of $397.8 million and a Class A/B overcollateralization test ratio of 138.09%, respectively, as of the trustee report dated March 11, 2009. 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. According to Moody's, the rating actions also reflect Moody's revised assumptions as described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs," and the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Moody's also notes that a significant proportion of the collateral pool includes debt obligations whose credit quality has been assessed through Moody's Credit Estimates ("CEs"), and that Moody's analysis reflects the application of certain stresses with respect to the default probabilities associated with such CEs. For example, 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 was applied to a limited number of obligations in the pool with CEs provided between 6-12 months ago. MAPS CLO Fund I LLC, issued in December 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans issued by both large as well as small to medium size enterprises. 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. MASTR RESECURITIZATION: Moody's Downgrades Ratings on Four Certs. ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on 4 certificates issued in MASTR Resecuritization Trust 2007-1 resecuritized transaction. The certificates in the resecuritizations are backed by one or more securities, which in turn are backed by residential mortgage loans. These rating actions have been triggered by changes in performance and/or Moody's ratings on the underlying residential mortgage-backed securities (underlying securities). The ratings on the certificates in the resecuritization are based on: (i) The updated expected loss of the pool of loans backing the underlying securities portfolio and the updated ratings on the underlying securities portfolio (ii) The available credit enhancement on the underlying securities, and (iii) The structure of the resecuritization transaction. (1) Moody's first updated its loss assumptions on the underlying pool of mortgage loans (backing the underlying securities) and then arrived at updated ratings on the underlying securities. Certain resecuritizations may contain underlying securities that were not originally rated by Moody's. In this case, an expected loss is derived by comparing the non-rated deal to a Moody's-rated deal with similar current collateral and performance characteristics. An implicit rating is then determined by comparing current available credit enhancement for the non-rated tranche to the estimated expected loss for the deal. The ratings on the underlying securities are then used to derive a weighted average portfolio rating based on a weighted average rating factor. To determine the portfolio WARF, Moody's assigns the ratings on the underlying securities a Rating Factor based on Moody's published 10-yr idealized loss expectations. Weights are assigned to each Rating Factor based on the contribution (by outstanding pledged balance) of the underlying security to the resecuritized transaction. (2) Second, Moody's determines the weighted average credit enhancement available to the portfolio security by evaluating the loss coverage level consistent with the ratings on the underlying securities and the underlying mortgage pool losses and weighting them based on the outstanding pledged balance of the underlying securities. (3) Finally, the ratings on the bonds issued in the resecuritization are determined after taking into consideration additional structural aspects of the resecuritization. For transactions where only a single tranche is issued, the weighted average portfolio rating (as determined in step 1 above) is the rating assigned to the tranche. Where multiple securities are issued, the loss allocation and cash flow priority are taken into consideration. For instance where the certificates in the resecuritization are tranched into a super senior tranche and a support tranche, the support tranche is notched down to reflect a higher severity of loss to that tranche. The rating on the super senior tranche is determined based on the total credit enhancement available i.e. the credit enhancement assessed in step (2) and the additional enhancement from the support tranche. The probability of default for the junior-most certificate in the resecuritization is the same as the probability of default for the lowest rated underlying certificate. However, Moody's anticipates a higher loss severity on the junior-most class due to its subordinate position (both in terms of principal distribution and loss allocation) and smaller size (when compared to underlying certificate). Therefore, the ratings on junior certificates in the resecuritization are lower than the portfolio rating on the combined underlying bonds. Because the ratings on the certificates in the resecuritization are linked to the ratings on the underlying certificates and their mortgage pool performance, any rating action on the underlying certificates may trigger a further review of the ratings on the certificates in the resecuritization. The ratings on the certificates in the resecuritization address the ultimate payment of promised interest and principal and do not address any other amounts that may be payable on the certificates. For securities insured by a financial guarantor, the rating on the securities is equal to the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described above. Complete Rating Actions are: Issuer: MASTR Resecuritization Trust 2007-1 -- Cl. A1, Downgraded to B2; previously on 11/13/2007 Assigned Aaa -- Cl. A2, Downgraded to Ca; previously on 11/13/2007 Assigned Aaa -- Cl. A4, Downgraded to C; previously on 11/13/2007 Assigned Aaa -- Cl. A5, Downgraded to C; previously on 11/13/2007 Assigned Aa1 MERRILL LYNCH: Moody's Reviews Ratings on Series 2005-MCP1 Certs. ----------------------------------------------------------------- Moody's Investors Service placed 14 classes of Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-MCP1 on review for possible downgrade due to higher expected losses for the pool resulting from anticipated losses from loans in special servicing, increased loan concentration and a decline in the pool's overall credit quality. Since Moody's prior review in July 2008, the pool's exposure to specially serviced loans has increased from 6% to 9%. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the July 13, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 5% to $1.66 billion from $1.74 billion at securitization. The Certificates are collateralized by 109 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top 10 loans representing 47% of the pool. The pool includes three loans with underlying ratings, representing 15% of the pool. Four loans, representing 4% of the pool, have defeased and are collateralized by U.S. Government securities. Twenty four loans, representing 11% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has not experienced any losses to date. Eight loans, representing 9% of the pool, are currently in special servicing. The largest specially serviced loan is the HSA Industrial Portfolio ($61.3 million -- 3.7%), which is secured by nine industrial properties totaling 2.3 million square feet which are located in Ohio and Kentucky. The loan has been in special servicing since June 2008 due payment default. In July 2009 the special servicer recognized an appraisal reduction of $17.0 million for this loan. The special servicer has also recognized an aggregate appraisal reduction of $17.6 million for four other specially serviced loans. Moody's review will focus on the performance of the overall pool and potential losses from specially serviced loans. Moody's rating action is: -- Class A-J, $115,142,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 7/24/2008 -- Class B, $36,932,000, currently rated Aa2, on review for possible downgrade; previously affirmed at Aa2 on 7/24/2008 -- Class C, $15,208,000, currently rated Aa3, on review for possible downgrade; previously affirmed at Aa3 on 7/24/2008 -- Class D, $32,587,000, currently rated A2, on review for possible downgrade; previously affirmed at A2 on 7/24/2008 -- Class E, $19,553,000, currently rated A3, on review for possible downgrade; previously affirmed at A3 on 7/24/2008 -- Class F, $28,242,000, currently rated Baa1, on review for possible downgrade; previously affirmed at Baa1 on 7/24/2008 -- Class G, $17,380,000, currently rated Baa2, on review for possible downgrade; previously affirmed at Baa2 on 7/24/2008 -- Class H, $21,725,000, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 7/24/2008 -- Class J, $6,518,000, currently rated Ba1, on review for possible downgrade; previously affirmed at Ba1 on 7/24/2008 -- Class K, $8,690,000, currently rated Ba2, on review for possible downgrade; previously affirmed at Ba2 on 7/24/2008 -- Class L, $6,517,000, currently rated Ba3, on review for possible downgrade; previously affirmed at Ba3 on 7/24/2008 -- Class M, $4,345,000, currently rated B1, on review for possible downgrade; previously affirmed at B1 on 7/24/2008 -- Class N, $4,345,000, currently rated B2, on review for possible downgraded; previously affirmed at B2 on 7/24/2008 -- Class P, $8,690,000, currently rated B3, on review for possible downgrade; previously affirmed at B3 on 7/24/2008 MISSISSIPPI HIGHER: Moody's Reviews Ratings on Seven Securities --------------------------------------------------------------- Moody's Investors Service has placed under review for possible upgrade seven classes of subordinate securities issued by Mississippi Higher Education Assistance Corporation. The securities are auction rate and fixed-rate and the underlying pool consists of government guaranteed student loans. The subordinate securities were downgraded in December 2008 from A2 to B3. The action was prompted by the increase of funding costs due to the continuing and prolonged dislocation of the auction rate securities market and the trust's undercollateralization at the time. As most student loan collateral is indexed to the Financial Commercial Paper rate and the securities are primarily auction rate securities, the yield on the assets has not increased in tandem with the cost of the liabilities. Consequently, the trust has suffered significant excess spread compression. At the time of the December 2008 action, the subordinate securities were undercollateralized and the trust was expected to generate zero to slightly negative excess spread. Since the last rating action, the trust's parity levels have improved significantly as a result of the issuer purchasing securities at a discount in the secondary market and canceling them. The total parity, or the ratio of total assets to total liabilities, has increased from 99.62% to 103.32% from September 30, 2008, to June 30, 2009. The senior parity, or the ratio of total assets to total senior securities, increased from 109.21% to 115.47% during the same period. At the failed auction rate, the trust is expected to generate approximately 15bps of excess spread per annum. Although under Moody's stress scenarios the trust is expected to generate slightly negative excess spread, the current level of credit enhancement protecting the subordinate securities, including overcollateralization, reserve fund and other cash accounts, mitigates the impact of the negative excess spread. In other words, the subordinate securities would be able to sustain the stress of a higher rating level, which prompted us to place them under review for possible upgrade. The complete rating actions are: Issuer: Mississippi Higher Education Assistance Corporation (1999 Indenture) -- Student Loan Revenue Bonds, Subordinate Series 1999B-1, B3 Place on Review for possible Upgrade; previously on 12/5/2008 8/27/2008 Downgraded to B3 from A2 -- Student Loan Asset-Backed Notes, Subordinate Series 2000-B-1, B3 Place on Review for possible Upgrade; previously on 12/5/2008 8/27/2008 Downgraded to B3 from A2 -- Student Loan Revenue Bonds, Subordinate Series 2000-B-2, B3 Place on Review for possible Upgrade; previously on 12/5/2008 8/27/2008 Downgraded to B3 from A2 -- Student Loan Revenue Bonds, Subordinate Series 2000-B-3, B3 Place on Review for possible Upgrade; previously on 12/5/2008 8/27/2008 Downgraded to B3 from A2 -- Student Loan Asset-Backed Notes, Subordinate Series 2003-B-1, B3 Place on Review for possible Upgrade; previously on 12/5/2008 8/27/2008 Downgraded to B3 from A2 -- Student Loan Revenue Bonds, Subordinate Series 2005-B1, B3 Place on Review for possible Upgrade; previously on 12/5/2008 8/27/2008 Downgraded to B3 from A2 -- Student Loan Revenue Bonds, Subordinate Series 2006-B1, B3 Place on Review for possible Upgrade; previously on 12/5/2008 8/27/2008 Downgraded to B3 from A2 ML-CFC COMMERCIAL: Fitch Takes Rating Actions on 14 2006-C3 Certs. ------------------------------------------------------------------ Fitch Ratings has taken various actions on 14 classes of ML-CFC Commercial Mortgage Trust, series 2006-C3 commercial mortgage pass-through certificates. In addition, Fitch has assigned Rating Outlooks, as applicable. A detailed list of rating actions follows at the end of this press release. The downgrades are the result of loss expectations and reflect Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch forecasts potential losses of 3.8% for this transaction, should market conditions not recover. The rating actions are based on losses of 3.3%, including 100% of the losses associated with term defaults and any losses associated with maturities within the next five years. Given the significant term to maturity, Fitch's actions only account for 25% of the losses associated with maturities beyond five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end (YE) 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for loans representing 53% of the pool and, in certain cases, revised based on additional information and/or property characteristics. Approximately 9.3% of the mortgages mature within the next five years: 7.9% in 2011 and 1.5% in 2013. In 2016, 86.3% of the pool is scheduled to mature. Fitch identified 42 Loans of Concern (18.6%) within the pool, 15 of which (11.3%) are specially serviced. Of the specially serviced loans, two (7.3% of the pool) are current. Two of the Fitch Loans of Concern (7.7%) are within the transaction's top 15 loans (42.2%) by unpaid principal balance. Four of the loans within the top 15 (6%) are expected to default, with losses expected during the term for one (1.1%) loan, and maturity losses expected for the remaining three (4.9%) loans. Loss severities associated with these defaults range from 7% to 15%. The largest Loan of Concern, Stonestown Mall (6.6%), is sponsored by General Growth Properties and was transferred to the special servicer in April 2009 after GGP filed for bankruptcy and included the property in the filing. At a minimum, commercial mortgage- backed securities trusts which include GGP loans will incur additional servicing fees. The mall has experienced performance declines since origination. Occupancy as of December 2008 decreased to 81% from 96% at issuance. As a result, the net operating income DSCR has declined to 1.87 times (x) from 2.17x at issuance. GGP continues to face difficulty leasing vacant space. At issuance, the pooled shadow rating was 'A+', which was several notches above the standalone rating. Due to the challenges the property faces, the loan's standalone rating is no longer considered investment grade and therefore does not continue to receive pooling benefit. The largest contributors to loss by loan balance are: Howthorne Groves Apartments (1.1%), The Seasons (0.84%), and Northern Point Apartments (0.65%). Hawthorne Gardens (1.1%) consists of a class-A complex located in Orlando, FL, containing 41 two-story apartment buildings built in 2001. Although occupancy remains stable at 95%, the property's debt service coverage ratio is low, with a year-end 2008 value of 1.10x. Orlando is forecasted to be one of the most volatile apartment markets in the U.S. over the next five years, with employment declines expected to be almost twice as severe as the nation average, according to PPR. Based on current performance and anticipated declines, losses are expected prior to the loan's maturity in 2016. The Seasons (0.84%) is secured by a 142-unit multifamily property located in Tucson, AZ. The loan transferred to the special servicer in December 2008 due to payment default. The property has underperformed expectations since origination due to the bankruptcy of a tenant who was expected to lease more than 10% of the units. The borrower and special servicer continue to discuss workout options. Northern Point Apartments (0.65%) is secured by a 486-unit multifamily property located in Phoenix, AZ. The loan transferred to special servicing in November 2008 due to monetary default. A receiver was appointed in July 2009, and the special servicer is moving forward with foreclosure. Fitch downgrades and assigns Outlooks to these classes: -- $191 million class AJ to 'AA' from 'AAA'; Outlook Negative; -- $18.2 million class C to 'A' from 'AA-'; Outlook Negative; -- $48.5 million class D to 'BBB-' from 'A'; Outlook Negative; -- $21.2 million class E to 'BBB-' from 'A-'; Outlook Negative; -- $36.4 million class F to 'BB' from 'BBB+'; Outlook Negative; -- $24.3 million class G to 'B' from 'BBB'; Outlook Negative; -- $21.2 million class H to 'B-' from 'BB+'; Outlook Negative; -- $12.1 million class J to 'B-' from 'BB'; Outlook Negative; -- $6 million class K to 'B-' from 'BB-'; Outlook Negative; -- $9 million class L to 'CCC/RR6' from 'B+'; -- $6 million class M to 'CCC/RR6' from 'B'; -- $6 million class N to 'CC/RR6' from 'B-'; -- $3 million class P to 'CC/RR6' from 'B-'. Fitch also removes the above classes from Rating Watch Negative. In addition, Fitch affirms this class and assigns an Outlook: -- $48.5 million class B at 'AA'; Outlook Negative. Fitch also affirms these classes and Outlooks: -- $39 million class A-1 at 'AAA'; Outlook Stable; -- $163 million class A-2 at 'AAA'; Outlook Stable; -- $34 million class A-3 at 'AAA'; Outlook Stable; -- $118 million class ASB at 'AAA'; Outlook Stable; -- $971.8 billion class A-4 at 'AAA'; Outlook Stable; -- $319.1 million class A-1A at 'AAA'; Outlook Stable; -- $242.5 million class AM at 'AAA'; Outlook Stable; -- Interest-only class XC at 'AAA'; Outlook Stable; -- Interest-only class XP at 'AAA'; Outlook Stable. Fitch does not rate class Q. MORGAN STANLEY: S&P Downgrades Ratings on 10 2007-XLF Certificates ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 10 classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Inc.'s series 2007-XLF. Concurrently, S&P affirmed its rating on class A-1 from this series. At the same time, S&P removed all 11 ratings from CreditWatch with negative implications. The reasons for the downgrades included: * S&P's expectation that revenue per available room for the hotel properties will decline in 2009. Based on its analysis, its resulting property valuations were between 14% and 64% below its levels at issuance. * Depressed rental rates and higher vacancy rates for the office collateral properties since issuance, which, based on its analysis, resulted in property valuations that were primarily between 1% and 23% below issuance levels. * Hotel properties secure three loans in the pool totaling $311.4 million (40% of the pooled trust balance). These properties are located in Manhattan (20% of the pooled trust balance), Stamford, Conn. (5%), Norfolk, Va. (3%), Atlanta (3%), Cancun, Mexico (3%), Southfield, Mich. (3%), Santa Rosa, Calif. (2%), and Danbury, Conn. (1%). S&P based its hotel analysis on a review of the borrowers' available operating statements for 2009 and for the 12 months ended December 31, 2008, as well as their 2009 budgets. The reduction in business and leisure travel has significantly affected the lodging collateral performance. its analysis factored in its assumption that overall average 2009 RevPAR in the industry would decline between 14% and 16%, as S&P noted in a recent article and also considered conditions in the local lodging markets. According to Smith Travel, the New York City lodging market (the largest submarket concentration in this pool) posted a 33% decline in RevPAR in the first six months of 2009 compared with 2008, whereas the general U.S. hotel industry reported a 19% decline in RevPAR. The Crowne Plaza Times Square loan is the largest loan secured by a hotel property and the largest loan in the pool. The loan, secured by a 770-room full-service hotel in Manhattan, which also includes 180,300 sq. ft. of class A office space and 42,100 sq. ft. of retail space within the hotel, has a trust balance of $151.8 million (20% of the pooled trust balance) and a whole-loan balance of $184.0 million. In addition, the borrower's equity interests in the property secure three mezzanine loans totaling $147.0 million. The master servicer, Midland Loan Services Inc., reported a debt service coverage of 1.60x for the 12 months ended December 31, 2008. As of March 2009, occupancy rates were 68% for the hotel portion of the collateral and 100% for the commercial space. The loan matures on December 9, 2009, and has two one-year extension options. Its adjusted valuation has fallen 14% from its levels at issuance. Office properties secure five loans totaling $290.1 million (37% of the pooled trust balance). These properties are in various locations throughout the U.S. Most of the office properties have experienced lower rental rates and/or higher vacancies since issuance. The JPMorgan Office Portfolio loan, the fourth-largest loan in the pool, is the largest loan secured by office properties. Subsequent to issuance, 14 office properties have been released. The remaining collateral consists of 19 office properties totaling 3.27 million sq. ft. in various locations throughout the U.S. This loan currently has a whole-loan balance of $126.2 million that consists of a $101.2 million in-trust senior participation interest and a $25.0 million nontrust junior participation interest. The senior participation interest is further split into a $98.0 million senior pooled component (13% of the pooled trust balance) and a $3.2 million subordinate nonpooled component that is raked to the 'M-JPM' certificates (not rated by Standard & Poor's). The borrower's equity interests in the properties secure three mezzanine loans totaling $113.7 million. Midland reported a combined DSC of 1.26x for the 12 months ended Dec. 31, 2008, and 81% occupancy as of March 2009. The loan matures on Oct. 9, 2009. Midland stated that the borrower has submitted a request to exercise one of its two 12-month extension options. Its adjusted valuation has declined 13% since issuance, primarily due to lower rent income and/or lower occupancy at the remaining collateral properties. According to the July 15, 2009, trustee remittance report, pool statistics are: There are 10 loans in the pool, including senior participation interests in six floating-rate mortgage loans, three FR whole- mortgage loans, and one FR mortgage loan that is split into pari passu notes. There are mortgages on 35 office buildings; eight full-service hotels; three research and development buildings; three land parcels; and one telecommunications facility. All of the loans are indexed to one-month LIBOR. Details of the two specially serviced loans in the pool that previously prompted downgrades are: The HRO Hotel Portfolio loan is the largest loan with the special servicer, also Midland, and the second-largest loan in the pool. Six full-service hotels totaling 2,152 rooms in various locations throughout the U.S. secure this loan. This loan has a whole-loan balance of $146.7 million that is split into a $133.3 million senior pooled component (17% of the pooled trust balance) and a $13.4 million subordinate nonpooled component that is raked to the 'HRO' certificates (not rated by Standard & Poor's). In addition, the borrower's equity interests in the properties secure three mezzanine loans totaling $116.6 million. This loan, which is current, was transferred to Midland on April 14, 2009, due to imminent default. According to Midland, the borrower expressed difficulty in continuing to cover operating and debt service shortfalls. The June 2009 appraisals value the properties on an 'as is' basis at a level that exceeds the outstanding debt on the senior trust balance. According to Midland, one of the hotel properties is under contract for sale and is expected to close this month. Midland indicated that, although the borrower has not yet provided its plans regarding the loan's upcoming Oct. 9, 2009, maturity date, it is required to submit a request to exercise one of its remaining two 12-month extension options by Sept. 1, 2009. The Le Meridien Cancun loan is the other loan with the special servicer and the ninth-largest loan in the pool. A 213-room full- service hotel in Cancun, Mexico, secures this loan. The loan has a whole-loan balance of $56.2 million, which consists of a $26.3 million in-trust senior note (3% of the pooled trust balance), a $14.9 million nontrust subordinate B note, and a $15.0 million nontrust subordinate C note. This loan, which is currently 30- plus days delinquent, was transferred to Midland on March 27, 2009, due to imminent default. Near-term maturities (within the next three months) for the loans in the pool are: The Babcock Ranch loan, the third-largest loan in the pool, has a trust and whole-loan balance of $100.0 million (13% of the pooled trust balance). This loan, secured by a 17,900-acre parcel of vacant land in Charlotte County and Lee County, Fla., matures on August 9, 2009. Midland indicated that it has recently approved the borrower's request to exercise one of its two remaining 12- month extension options. The borrower is drawing down on its reserve balance to make debt service payments. Its adjusted valuation has fallen 49% since issuance. The Atlanta Tech Centre loan, the fifth-largest loan in the pool, has a whole-loan balance of $100.0 million that is split into two pari passu pieces, of which $80.0 million makes up 10% of the pooled trust balance. The other $20.0 million pari passu participation is held outside the trust. In addition, the borrower's equity interests in the property secure two mezzanine loans totaling $15.0 million. This loan, secured by a 376,000-sq.-ft. telecommunications facility in Suwanee, Ga., matures on October 9, 2009. According to Midland, the borrower has requested to exercise one of its three remaining 12-month extension options. Midland reported a 4.82x DSC for the 12 months ended December 31, 2008, and 94% occupancy as of March 2009. Its adjusted valuation has increased significantly from issuance due to greater electrical power capacity at the property. The Capitol Records Tower loan, the smallest loan in the pool, has a trust balance of $21.9 million (3% of the pooled trust balance) and a $46.4 million whole-loan balance. Two office buildings totaling 105,700 sq. ft. and two development parcels used as parking lots totaling 57,100 sq. ft. in Hollywood, Calif., secure this loan, which matures on October 9, 2009. According to Midland, the borrower has not yet indicated if it intends to exercise one of its two remaining 12-month extension options. Midland reported a 1.03x DSC and 100% occupancy for the 12 months ended December 31, 2008. Its adjusted valuation is comparable to its levels at issuance. Ratings Lowered And Removed From Creditwatch Negative Morgan Stanley Capital I Inc. Commercial mortgage pass-through certificates series 2007-XLF Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-2 AA+ AAA/Watch Neg 33.74 B A+ AA+/Watch Neg 28.47 C BBB+ AA/Watch Neg 23.20 D BBB AA-/Watch Neg 19.97 E BBB- A+/Watch Neg 16.46 F BB+ A/Watch Neg 13.10 G BB A-/Watch Neg 9.70 H BB- BBB+/Watch Neg 7.97 J B BBB/Watch Neg 5.34 K CCC+ BBB-/Watch Neg 2.70 Ratings Affirmed And Removed From Creditwatch Negative Morgan Stanley Capital I Inc. Commercial mortgage pass-through certificates series 2007-XLF Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-1 AAA AAA/Watch Neg 63.14 MORGAN STANLEY: Moody's Downgrades Ratings on 16 Securities ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 16 securities issued by Morgan Stanley. The collateral backing the transactions consists primarily of first-lien, fixed and adjustable-rate Alt-A mortgage loans. The downgrades relate to structural features, such as sequential pay structures, whereby certain senior bonds are entitled to receive more than their pro-rata share of principal payments. In the event that subordinate bonds are written down entirely, these bonds are subject to 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 either of those cases, given the recent increase in the pace of credit support erosion relative to amortization of the bonds, there is an increased likelihood that the downgraded bonds may not be completely paid off before subordinate bonds are completely written down. In its analysis, Moody's has considered current available credit enhancement and recent CPR, CDR, and severity trends. The cashflows were run on the basis of pool loss expectations in line with those published in Q1 2009, although Moody's incorporated short-term cashflow stresses to assess the resiliency of the bonds impacted in the actions. In the Morgan Stanley Mortgage Loan Trust 2006-6AR transaction, the Cl. 1-A-2 bond has a tranche factor of 1.6%. The tranche has benefited from a sequential pay structure where it receives the combined share of principal proceeds due to Cl. A-3, Cl. A-4 and Cl. A-5. However, in recent months, the realized losses in this transaction have depleted the credit enhancement at a fast pace. In the event that the monthly loss trend continues, Cl. 1-A-2 may have a small outstanding balance at the credit support depletion date, and may suffer a principal shortfall, as principal distribution will go pro rata after mezzanine certificates are completely written down. It should be noted that, in general, Alt-A and Option ARM delinquency trends in the past six months have closely tracked Moody's Q1 projections. If the pace of modifications picks up, delinquencies may be lower than Moody's projections. Severity trends, however, have worsened, with current severities trending higher than Moody's lifetime average severity assumptions by 5-9 percentage points in many pools. Given that recent data on the housing markets has been mixed and there are early indications of home prices potentially bottoming, it is unclear whether the recent higher severities represent peak severities, and to what extent they might alter the average lifetime expected severity. For securities insured by a financial guarantor, the rating on the securities is equal to the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described above. Complete Rating Actions are: Issuer: Morgan Stanley Mortgage Loan Trust 2006-12XS -- Cl. A-1, Downgraded to A2; previously on 10/12/2006 Assigned Aaa -- Cl. A-2A, Downgraded to Ba2; previously on 2/4/2009 Downgraded to Baa2 -- Cl. A-2B, Downgraded to Ca; previously on 2/4/2009 Downgraded to Baa3 -- Cl. A-3, Downgraded to Caa2; previously on 2/4/2009 Downgraded to B2 Issuer: Morgan Stanley Mortgage Loan Trust 2006-15XS -- Cl. A-1, Downgraded to Baa2; previously on 2/4/2009 Downgraded to Aa2 -- Cl. A-2-A, Downgraded to B3; previously on 2/4/2009 Downgraded to Ba1 -- Cl. A-2-B, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba1 -- Current Underlying Rating: Downgraded to B3; previously on 2/4/2009 Downgraded to Ba1 -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) Issuer: Morgan Stanley Mortgage Loan Trust 2006-17XS -- Cl. A-1, Downgraded to Ba3; previously on 2/4/2009 Downgraded to Baa1 -- Cl. A-2-A, Downgraded to B3; previously on 2/4/2009 Downgraded to Ba2 -- Cl. A-2-B, Downgraded to Ca; previously on 2/4/2009 Downgraded to Ba3 Issuer: Morgan Stanley Mortgage Loan Trust 2006-6AR -- Cl. 1-A-2, Downgraded to Baa3 and Placed Under Review for further Possible Downgrade; previously on 2/4/2009 Downgraded to Aa2 -- Cl. 1-A-3, Downgraded to Caa2; previously on 2/4/2009 Downgraded to B3 Issuer: Morgan Stanley Mortgage Loan Trust 2006-7 -- Cl. 5-A-1, Downgraded to Ba2; previously on 2/4/2009 Downgraded to Aa2 -- Cl. 5-A-2, Downgraded to Caa2; previously on 2/4/2009 Downgraded to B3 Issuer: Morgan Stanley Mortgage Loan Trust 2006-9AR -- Cl. A-3, Downgraded to Caa1; previously on 2/4/2009 Downgraded to Baa2 Issuer: Morgan Stanley Mortgage Loan Trust 2007-3XS -- Cl. 2-A-1-B, Downgraded to Caa3; previously on 2/4/2009 Downgraded to B2 MORGAN STANLEY: Moody's Reviews Ratings on 10 2004-TOP13 Certs. --------------------------------------------------------------- Moody's Investors Service placed 10 classes of Morgan Stanley Capital I Trust 2004-TOP13, Commercial Mortgage Pass-Through Certificates, Series 2004-TOP13 on review for possible downgrade due to the credit uncertainty surrounding Maguire Properties Inc., the sponsor of one loan representing 7% of the outstanding deal balance. Maguire continues to experience ongoing levels of high effective leverage, declining operating performance, and an inability to cover dividends from operating cash flow. Currently, Maguire has a low fixed coverage ratio of 0.87x (recurring EBITDA as a percentage of interest expense plus deferred dividends and capitalized interest) as of June 30, 2009, as well as high leverage (debt plus preferred equity as a share of gross assets) of 96.2% and high secured debt as a share of gross assets of 91.2%. As part of a plan to put the company back on track with a focus on a smaller core portfolio, Maguire announced on August 10, 2009, that they had disposed of one property and its associated debt from their wholly owned portfolio. In addition, Maguire announced that they had contacted the master servicer for six mortgage loans in commercial mortgage backed securities transactions and advised them that they would no longer fund cash shortfalls associated with the respective mortgages. The aforementioned loans are not part of this transaction. Most Maguire properties are located in California in either Los Angeles or Orange Counties, both of which have experienced significant rent and occupancy declines over the last year. Over the next two years, Torto Wheaton Research has forecasted Los Angeles County office rents to decline from $26.67 per square foot (PSF) to $23.85 PSF and vacancy rates to increase from 14.4% to 19.0%. A similar outcome is forecast for Orange County where average rents are expected to decline from $25.10 to $20.75 PSF and vacancy rates are expected to increase from 19.1% to 20.2%. As of the July 13, 2009 distribution date, the pool has not experienced any losses and there are no loans in special servicing. Fifteen loans, representing 10% of the pool, are on the master servicer's watchlist. Fourteen loans, representing 17% of the pool balance, have defeased and are collateralized by U.S. Government securities. Moody's will continue to monitor the performance of Maguire Properties Inc. as well as the overall credit quality of the deal. Moody's rating action is: -- Class E, $12,109,000, currently rated A3, on review for possible downgrade; previously affirmed at A3 on 2/14/2007 -- Class F, $9,083,000, currently rated Baa1, on review for possible downgrade; previously affirmed at Baa1 on 2/14/2007 -- Class G, $10,596,000, currently rated Baa2, on review for possible downgrade; previously affirmed at Baa2 on 2/14/2007 -- Class H, $9,082,000, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 2/14/2007 -- Class J, $9,083,000, currently rated Ba1, on review for possible downgrade; previously affirmed at Ba1 on 2/14/2007 -- Class K, $3,027,000, currently rated Ba2, on review for possible downgrade; previously affirmed at Ba2 on 2/14/2007 -- Class L, $3,028,000, currently rated Ba3, on review for possible downgrade; previously affirmed at Ba3 on 2/14/2007 -- Class M, $3,027,000, currently rated B1, on review for possible downgrade; previously affirmed at B1 on 2/14/2007 -- Class N, $4,542,000, currently rated B2, on review for possible downgrade; previously affirmed at B2 on 2/14/2007 -- Class O, $3,027,000, currently rated B3, on review for possible downgrade; previously affirmed at B3 on 2/14/2007 MOUNTAIN CAPITAL: Moody's Downgrades Ratings on Four Classes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Mountain Capital CLO VI Ltd.: -- US$301,500,000 Class A Floating Rate Senior Notes due April 2019, Downgraded to Aa3; previously on March 28, 2007 Assigned Aaa; -- US$24,000,000 Class B Floating Rate Senior Notes due April 2019, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$15,000,000 Class D Floating Rate Mezzanine Deferrable Notes due April 2019, Downgraded to B3; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$11,000,000 Class E Floating Rate Junior Deferrable Notes due April 2019, Downgraded to Ca; previously on March 13, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the rating of these notes: -- US$18,000,000 Class C Floating Rate Mezzanine Deferrable Notes due April 2019, Confirmed at Ba1; previously on March 13, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured 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 Class E Overcollateralization Test. The weighted average rating factor has increased over the last year and is currently 2917 versus a test level of 2750 as of the last trustee report, dated July 17, 2009. Based on the same report, defaulted securities total about $21.5 million, accounting for roughly 5.5% of the collateral balance, and securities rated Caa1 or lower make up approximately 7.1% of the underlying portfolio. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, may be different from the trustee's reported numbers. Mountain Capital CLO VI 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 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. MOUNTAIN CAPITAL: Moody's Downgrades Ratings on Four Notes ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Mountain Capital CLO IV Ltd.: -- US$134,000,000 Class A-1L Floating Rate Notes due 2018, Downgraded to Aa2; previously on December 20, 2005 Assigned Aaa; -- US$9,000,000 Class A-1LB Floating Rate Notes due 2018, Downgraded to Aa3; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- US$21,000,000 Class A-2L Floating Rate Notes due 2018, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$12,000,000 Class B-2L Floating Rate Notes due 2018, Downgraded to Caa3; previously on March 18, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$15,000,000 Class A-3L Floating Rate Notes due 2018, Confirmed at Ba1; previously on March 18, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$13,500,000 Class B-1L Floating Rate Notes due 2018, Confirmed at B1; previously on March 18, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," the application of certain stresses with respect to the default probabilities associated with certain Moody's credit estimates, and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class B-2L Overcollateralization Test. The weighted average rating factor has steadily increased over the last year and is currently 2881 versus a test level of 2600 as of the last trustee report, dated July 2, 2009. Based on the same report, defaulted securities total about $21 million, accounting for roughly 7% of the collateral balance, and securities rated Caa1 or lower make up approximately 11% of the underlying portfolio. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, may be different from the trustee's reported numbers. Mountain Capital CLO IV Ltd., issued on December 20, 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of 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. MOUNTAIN CAPITAL: Moody's Downgrades Ratings on Various Classes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Mountain Capital CLO III Ltd.: -- US$51,000,000 Class A-1LB Notes due 2016, Downgraded A2; previously on March 4, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$18,500,000 Class A-2L Notes due 2016, Downgraded Ba1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$13,500,000 Class A-3L Notes due 2016, Downgraded B2; previously on March 18, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$6,000,000 Class A-3F Notes due 2016, Downgraded B2; previously on March 18, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$15,000,000 Class B-1L Notes due 2016, Downgraded Ca; previously on March 18, 2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," 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 B-1L Overcollateralization Test. The weighted average rating factor has increased over the last year and is currently 2688 versus a test level of 2400 as of the last trustee report, dated July 2, 2009. Based on the same report, defaulted securities total about $25 million, accounting for roughly 8% of the collateral balance, and securities rated Caa1 or lower make up approximately 10% of the underlying portfolio. Moody's also assessed the collateral pool's elevated concentration risk in debt obligations of companies in the banking, finance, real estate, and insurance industries, which Moody's views to be more strongly correlated in the current market environment. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, may be different from the trustee's reported numbers. Mountain Capital CLO III Ltd., issued on May 26, 2004, is a collateralized loan obligation, backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of 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. MT WILSON: Moody's Downgrades Ratings on Two Classes of Notes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Mt. Wilson CLO II, Ltd.: -- US$60,000,000 Class A-2 Floating Rate Notes Due 2020, Downgraded to A2; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- US$32,000,000 Class D Floating Rate Deferrable Notes Due 2020, Downgraded to Caa3; previously on March 13, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. Additionally, Moody's has confirmed the ratings of these notes: -- US$18,000,000 Class B Floating Rate Notes Due 2020, Confirmed at Baa3; previously on March 13, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$24,000,000 Class C Floating Rate Deferrable Notes Due 2020, Confirmed at B1; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, and an increase in the proportion of securities from issuers rated Caa1 and below. The weighted average rating factor has increased over the last year and is currently 3065 versus a test level of 2605 as of the last trustee report, dated July 2, 2009. Based on the same report, defaulted securities total about $22.2 million, accounting for roughly 5.6% of the collateral balance, and securities rated Caa1 or lower make up approximately 9.7% 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. Mt. Wilson CLO II, Ltd., issued in July 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 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. NEW CENTURY: Moody's Downgrades Ratings on Four Securities ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 4 securities issued by New Century Alternative Mortgage Loan Trust. The collateral backing the transactions consists primarily of first-lien, fixed-rate Alt-A mortgage loans. The downgrades relate to structural features, such as sequential pay structures, whereby certain senior bonds are entitled to receive more than their pro-rata share of principal payments. In the event that subordinate bonds are written down entirely, these bonds are subject to 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 either of those cases, given the recent increase in the pace of credit support erosion relative to amortization of the bonds, there is an increased likelihood that the downgraded bonds may not be completely paid off before subordinate bonds are completely written down. In its analysis, Moody's has considered current available credit enhancement and recent CPR, CDR, and severity trends. The cashflows were run on the basis of pool loss expectations in line with those published in Q1 2009, although Moody's incorporated short-term cashflow stresses to assess the resiliency of the bonds impacted in the actions. It should be noted that, in general, Alt-A and Option ARM delinquency trends in the past six months have closely tracked Moody's Q1 projections. If the pace of modifications picks up, delinquencies may be lower than Moody's projections. Severity trends, however, have worsened, with current severities trending higher than Moody's lifetime average severity assumptions by 5-9 percentage points in many pools. Given that recent data on the housing markets has been mixed and there are early indications of home prices potentially bottoming, it is unclear whether the recent higher severities represent peak severities, and to what extent they might alter the average lifetime expected severity. Complete rating actions are: Issuer: New Century Alternative Mortgage Loan Trust 2006-ALT1 -- Cl. AF-2, Downgraded to B3; previously on 1/29/2009 Downgraded to Baa3 -- Cl. AF-3, Downgraded to Caa2; previously on 1/29/2009 Downgraded to Caa1 Issuer: New Century Alternative Mortgage Loan Trust 2006-ALT2 -- Cl. AF-2, Downgraded to B3; previously on 1/29/2009 Downgraded to A3 -- Cl. AF-3, Downgraded to Caa2; previously on 1/29/2009 Downgraded to Caa1 NOMURA ASSET: Moody's Downgrades Ratings on Nine Securities ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 9 securities issued by 3 Nomura Asset Acceptance Corporation, Alternative Loan Trust deals. The collateral backing the transactions consists primarily of first-lien, fixed and adjustable-rate Alt-A mortgage loans. The downgrades relate to structural features, such as sequential pay structures, whereby certain senior bonds are entitled to receive more than their pro-rata share of principal payments. In the event that subordinate bonds are written down entirely, these bonds are subject to 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 either of those cases, given the recent increase in the pace of credit support erosion relative to amortization of the bonds, there is an increased likelihood that the downgraded bonds may not be completely paid off before subordinate bonds are completely written down. In its analysis, Moody's has considered current available credit enhancement and recent CPR, CDR, and severity trends. The cashflows were run on the basis of pool loss expectations in line with those published in Q1 2009, although Moody's incorporated short-term cashflow stresses to assess the resiliency of the bonds impacted in the actions. It should be noted that, in general, Alt-A and Option ARM delinquency trends in the past six months have closely tracked Moody's Q1 projections. If the pace of modifications picks up, delinquencies may be lower than Moody's projections. Severity trends, however, have worsened, with current severities trending higher than Moody's lifetime average severity assumptions by 5-9 percentage points in many pools. Given that recent data on the housing markets has been mixed and there are early indications of home prices potentially bottoming, it is unclear whether the recent higher severities represent peak severities, and to what extent they might alter the average lifetime expected severity. Complete Rating Actions are: Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2006-AF1 -- Cl. I-A-1A, Downgraded to B2; previously on 2/4/2009 Downgraded to Aa3 -- Cl. I-A-1B, Downgraded to B2; previously on 2/4/2009 Downgraded to Aa3 -- Cl. I-A-IO, Downgraded to B2; previously on 2/4/2009 Downgraded to Aa3 Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2006-AF2 -- Cl. I-A-1, Downgraded to B3; previously on 2/4/2009 Downgraded to A3 -- Cl. I-A-2, Downgraded to Caa2; previously on 2/4/2009 Downgraded to B1 -- Cl. I-A-3, Downgraded to Caa3; previously on 2/4/2009 Downgraded to Caa2 -- Cl. I-A-6, Downgraded to Caa3; previously on 2/4/2009 Downgraded to Caa2 Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2006-WF1 -- Cl. A-2, Downgraded to Ba2; previously on 2/4/2009 Downgraded to A3 -- Cl. A-3, Downgraded to Caa1; previously on 2/4/2009 Downgraded to B3 NORTHWOODS CAPITAL: Moody's Downgrades Ratings on Eight Classes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Northwoods Capital V, Limited: -- US$251,750,000 Class A-1a Senior Secured Floating Rate Notes Due 2020, Downgraded to Aa3; previously on December 28, 2005 Assigned Aaa; -- US$100,000,000 Class A-1b Senior Secured Revolving Floating Rate Notes Due 2020, Downgraded to Aa3; previously on December 28, 2005 Assigned Aaa; -- US$31,500,000 Class A-2 Senior Secured Floating Rate Notes Due 2020, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$24,300,000 Class C-1 Senior Secured Deferrable Floating Rate Notes Due 2020, Downgraded to Caa2; previously on March 18, 2009 Downgraded to B2 and Placed Under Review for Possible Downgrade; -- US$20,000,000 Class C-2 Senior Secured Deferrable Discount Notes Due 2020, Downgraded to Caa2; previously on March 18, 2009 Downgraded to B2 and Placed Under Review for Possible Downgrade; -- US$12,800,000 Type I Composite Obligations Due 2020, Downgraded to Baa3; previously on March 4, 2009 A2 Placed Under Review for Possible Downgrade; -- US$20,000,000 Type II Composite Obligations Due 2020, Downgraded to Caa2; previously on March 4, 2009 Baa3 Placed Under Review for Possible Downgrade; -- US$17,550,000 Type III Composite Obligations Due 2020, Downgraded to Ba3; previously on March 4, 2009 Baa2 Placed Under Review for Possible Downgrade. Additionally, Moody's has confirmed the ratings of these notes: -- US$38,850,000 Class B Senior Secured Deferrable Floating Rate Notes Due 2020, Confirmed at Ba1; previously on March 18, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds 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 Reinvestment Diversion Ratio Test. The weighted average rating factor has increased over the last year and is currently 3165 versus a test level of 2993 as of the last trustee report, dated July 10, 2009. Based on the same report, defaulted securities total about $44.7 million, accounting for roughly 8.7% of the collateral balance, and securities rated Caa1 or lower make up approximately 19.5% 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. Northwoods Capital V, Limited, issued in 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of 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. NORTHWOODS CAPITAL: Moody's Downgrades Ratings on Various Classes ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Northwoods Capital IV, Limited: -- US$260,000,000 Class A-1a Senior Secured Floating Rate Notes Due 2018, Downgraded to Aa2; previously on May 19, 2004 Assigned Aaa; -- US$73,000,000 Class A-1b Senior Secured Revolving Floating Rate Notes Due 2018, Downgraded to Aa2; previously on May 19, 2004 Assigned Aaa; -- US$32,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2018, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$16,500,000 Class C-1 Senior Secured Deferrable Floating Rate Notes Due 2018, Downgraded to B3; previously on March 18, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$8,500,000 Class C-2 Senior Secured Deferrable Fixed Rate Notes Due 2018, Downgraded to B3; previously on March 18, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade. Additionally, Moody's has confirmed the rating of this note: -- US$38,000,000 Class B Senior Secured Deferrable Floating Rate Notes Due 2018, Confirmed at Ba1; previously on March 18, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds 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 Overcollateralization Ratio Threshold Test. The weighted average rating factor has increased over the last year and is currently 3098 versus a test level of 2900 as of the last trustee report, dated July 24, 2009. Based on the same report, defaulted securities total about $53.8 million, accounting for roughly 10.7% of the collateral balance, and securities rated Caa1 or lower make up approximately 15.1% 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. Northwoods Capital IV, Limited, issued in 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of 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. NYLIM FLATIRON: Moody's Downgrades Ratings on 2006-1 Notes ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by NYLIM Flatiron CLO 2006-1 Ltd.: -- US$301,000,000 Class A-1 Floating Rate Senior Notes Due 2020, Downgraded to Aa2; previously on July 28, 2006 Assigned Aaa; -- US$15,000,000 Class A-2B Floating Rate Senior Notes Due 2020, Downgraded to Aa3; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- US$19,500,000 Class A-3 Floating Rate Senior Notes Due 2020, Downgraded to A1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$17,500,000 Class D Deferrable Floating Rate Subordinate Notes Due 2020, Downgraded to Caa2; previously on March 17, 2009 Downgraded to B3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. The downgrade actions taken on the Class A-1, A-2B, A-3, and D Notes reflect the adverse impact of the aforementioned stresses, as well as credit deterioration in the underlying portfolio. Such credit deterioration 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, and an increase in the proportion of securities from issuers rated Caa1 and below. In particular, the weighted average rating factor has increased over the last year and is currently 2606 versus a test level of 2305 as of the last trustee report, dated August 10, 2009. Based on the same report, defaulted securities total about $24.3 million, accounting for roughly 4.15% of the collateral balance, and securities rated Caa1 or lower make up approximately 13% 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.) Additionally, Moody's has upgraded the ratings of these notes: -- US$28,500,000 Class B Deferrable Floating Rate Senior Notes Due 2020, Upgraded to Baa1; previously on March 17, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade. Finally, Moody's has confirmed the ratings of these notes: -- US$36,500,000 Class C Deferrable Floating Rate Senior Subordinate Notes Due 2020, Confirmed at Ba3; previously on March 17, 2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade. Moody's notes that the upgrade actions on the Class B Notes and the rating confirmation on the Class C Notes have incorporated the aforementioned stresses as well as credit deterioration in the underlying portfolio. However, the actions reflect updated analysis indicating that the impact of these factors on the ratings of the Class B Notes and Class C Notes is not as negative as previously assessed during Stage I of the deal review in March. The current conclusions stem from comprehensive deal-level analysis completed during Stage II of the ongoing CLO surveillance review, which included an in-depth assessment of results from Moody's quantitative CLO rating model along with an examination of deal-specific qualitative factors. By way of comparison, during Stage I Moody's took rating actions that were largely the result of a parameter-based approach. In concluding its Stage II review of the deal, Moody's stated that after the actions, the current ratings on all the rated notes are consistent with the credit risk posed to holders of the notes as indicated by the updated analysis. NYLIM Flatiron CLO 2006-1, Ltd., issued on July 25, 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. NYLIM STRATFORD: Moody's Downgrades Ratings on Two 2001-1 Notes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of two classes of notes issued by NYLIM Stratford CDO 2001-1, Ltd. The notes affected by the rating action are: -- US$312,000,000 Class A Floating Rate Notes, Due 2031, Downgraded to A1; previously on 2/26/2009 Downgraded to Aa2 -- US$40,000,000 Class B Floating Rate Notes, Due 2036, Downgraded to Ba1; previously on 2/26/2009 Downgraded to Baa3 NYLIM Stratford CDO 2001-1, Ltd. is a collateralized debt obligation backed by a diversified portfolio with the highest concentrations in REITs (31.7%) and Residential Mortgage Backed Securities (19%). The underlying collateral pool has significant concentration in 2001 vintage securities. The rating downgrade actions reflect deterioration in the credit quality of the underlying portfolio due to the recent rating actions taken with respect to seasoned (pre-2005) RMBS. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by an increase in 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 ratings of approximately 13% of the underlying assets have been downgraded since Moody's last review of the transaction in February 2009. The trustee reports that the WARF of the portfolio is 1190 as of July 20, 2009 and also reports defaulted assets in the amount of $3.5million. Securities rated Caa1 or lower make up approximately 7.9% of the underlying portfolio. Coverage tests are failing, including the Class A/B Interest Coverage Test. The actions also take into consideration the risk of the transaction experiencing an Event of Default. As provided in Section II of the Trust Deed dated April 12, 2001 during the occurrence and continuance of an Event of Default, certain parties to the transaction may be entitled to direct the Trustee to take particular actions with respect to the Collateral and the Notes, including the sale and liquidation of the assets. The severity of losses of certain tranches may be different depending on the timing and outcome of liquidation. 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. OPTEUM MORTGAGE: Moody's Downgrades Ratings on Three Securities --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of three securities issued by Opteum. The collateral backing the transactions consists primarily of first-lien, fixed and adjustable-rate Alt-A mortgage loans. The downgrades relate to structural features, such as sequential pay structures, whereby certain senior bonds are entitled to receive more than their pro-rata share of principal payments. In the event that subordinate bonds are written down entirely, these bonds are subject to 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 either of those cases, given the recent increase in the pace of credit support erosion relative to amortization of the bonds, there is an increased likelihood that the downgraded bonds may not be completely paid off before subordinate bonds are completely written down. In its analysis, Moody's has considered current available credit enhancement and recent CPR, CDR, and severity trends. The cashflows were run on the basis of pool loss expectations in line with those published in Q1 2009, although Moody's incorporated short-term cashflow stresses to assess the resiliency of the bonds impacted in the actions. It should be noted that, in general, Alt-A and Option ARM delinquency trends in the past six months have closely tracked Moody's Q1 projections. If the pace of modifications picks up, delinquencies may be lower than Moody's projections. Severity trends, however, have worsened, with current severities trending higher than Moody's lifetime average severity assumptions by 5-9 percentage points in many pools. Given that recent data on the housing markets has been mixed and there are early indications of home prices potentially bottoming, it is unclear whether the recent higher severities represent peak severities, and to what extent they might alter the average lifetime expected severity. Complete Rating Actions are: Issuer: Opteum Mortgage Acceptance Corporation Asset Backed Pass- Through Certificates 2006-1 -- Cl. I-A1B, Downgraded to B2; previously on 2/4/2009 Downgraded to Baa3 Issuer: Opteum Mortgage Acceptance Corporation Asset Backed Pass- Through Certificates 2006-2 -- Cl. A1A, Downgraded to B2; previously on 2/4/2009 Downgraded to Baa1 -- Cl. A1B, Downgraded to Caa3; previously on 2/4/2009 Downgraded to Caa2 PARCS MASTER: Moody's Downgrades Rating on Class 2006-16 Units -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its rating of the Class 2006-16 JAYHAWKS Fixed Recovery Units issued by PARCS (SM) Master Trust, a collateralized debt obligation transaction referencing a portfolio of corporate obligations. Moody's explained that the rating action taken is primarily due to the deterioration of the credit quality of the transaction's reference portfolio. 19% of the assets in the reference portfolio are rated at a non investment grade level (Ba1 or below) versus 9% by the time of the previous rating action on March 20, 2009. In particular, the recent rating migration of Ambac Financial Group Inc. and CIT Group Inc. to Ca was greater than had been anticipated by their forward looking measures in the previous rating action. Ambac, CIT and Thomson S.A. are modeled at Ca and represent approximately 3.3% of the notional of the portfolio. As the CDS of the transaction is forward starting on September 20, 2009, i.e. the credit protection is effective on and after this date, only a potential occurrence of a credit event on these entities after this date will have a material impact on the transaction. On the other hand, a credit event triggered before this date would be beneficial to the noteholders by removing the credit risk of these entities from the reference portfolio. Moody's initially analyzed and continues to monitor this transaction using primarily the methodology for CSOs as described in Moody's Special Report below: -- Moody's Approach to Rating Corporate Collateralized Synthetic Obligations (December 2008) The rating action is: Class Description: Class 2006-16 JAYHAWKS Fixed Recovery Units -- Current Rating: Caa2 -- Prior Rating Action: Downgrade to B3 from Baa1 -- Prior Rating Action Date: March 20, 2009 PREFERREDPLUS TRUST: S&P Affirms 'BB-' Ratings on $48 Mil. Certs. ----------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'BB-' ratings on PreferredPLUS Trust Series ALL-1's $48 million class A and B trust certificates. The ratings on the certificates are dependent solely on the rating on the underlying security, Hanover Insurance Group Inc.'s 8.207% debentures series B due February 3, 2027 ('BB-'). The rating actions reflect the July 31, 2009, withdrawal of the rating on the original underlying securities, AFC Capital Trust I's 8.207% capital securities due February 3, 2027, issued by Hanover Insurance Group Inc. and the substitution of the underlying securities with Hanover Insurance Group Inc.'s 8.207% debentures series B due February 3, 2027. SATURN VENTURES: Moody's Downgrades Ratings on Three Classes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the rating of three classes of notes issued by Saturn Ventures I, Ltd. The notes affected by the rating action are: -- Class A-1 Floating Rate Senior Notes, Downgraded at A1; previously on 3/6/2009 Confirmed to Aa2 -- Class A-2 Floating Rate Senior Notes, Downgraded to B2; previously on 3/6/2009 Downgraded to Baa1 -- Class A-3 Floating Rate Senior Notes, Downgraded to Ca; previously on 3/6/2009 Downgraded to Caa1 Saturn Ventures I, Ltd., is a collateralized debt obligation backed primarily by a portfolio of commercial mortgage backed securities, residential mortgage backed securities and other types of assets backed securities. The rating downgrade actions reflect deterioration in the credit quality of the underlying portfolio. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by an increase in the weighted average rating factor) and a failure of one or more coverage tests, among other measures. Moody's notes that in the case of Saturn Ventures I more than 18% of its assets have been the subject of ratings downgrade since Moody's last review of the transaction in March 2009. The trustee reports the WARF of the portfolio has increased to 981 from 391 since March 2009. In addition, the Trustee reports that the transaction is currently failing all of its coverage tests. Moody's explained that in addition to the quantitative factors that are explicitly modeled, qualitative factors are part of the Moody's rating committee considerations. These qualitative factors include but are not limited to the structural protections in the transaction, the recent performance of the transaction in the current market environment, how legal risks and issues are addressed in transaction documentation, 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 PRIMUS CLO: Moody's Downgrades Ratings on Five Classes of Notes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Primus CLO I, Ltd.: -- US$56,000,000 Class A-1-B Floating Rate Notes Due 2019, Downgraded to A3; previously on March 4, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$29,000,000 Class A-2 Floating Rate Notes Due 2019, Downgraded to A1; previously on December 19, 2006 Assigned Aaa; -- US$14,000,000 Class B Floating Rate Notes Due 2019, Downgraded to Baa3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$23,000,000 Class C Floating Rate Deferrable Notes Due 2019, Downgraded to B1; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$28,000,000 Class D Floating Rate Deferrable Notes Due 2019, Downgraded to Ca; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. 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, and an increase in the proportion of securities from issuers rated Caa1 and below. In particular, the weighted average rating factor has increased over the last year and is currently 2997 versus a test level of 2581 as of the last trustee report, dated July 7, 2009. Based on the same report, defaulted securities total about $2.8 million, accounting for roughly 0.8% of the collateral balance, and securities rated Caa1 or lower make up approximately 18.1% 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. Primus CLO I, Ltd., issued in December of 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of 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 Downgrades Rating on 2006-QS13 Security ------------------------------------------------------------ Moody's Investors Service has downgraded the rating of one security issued by RALI Series 2006-QS13 Trust. The collateral backing the transactions consists primarily of first-lien, fixed- rateAlt-A mortgage loans. The downgrade relates to structural features, such as sequential pay structures, whereby certain senior bonds are entitled to receive more than their pro-rata share of principal payments. In the event that subordinate bonds are written down entirely, these bonds are subject to 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 either of those cases, given the recent increase in the pace of credit support erosion relative to amortization of the bonds, there is an increased likelihood that the downgraded bond may not be completely paid off before subordinate bonds are completely written down. In its analysis, Moody's has considered current available credit enhancement and recent CPR, CDR, and severity trends. The cashflows were run on the basis of pool loss expectations in line with those published in Q1 2009, although Moody's incorporated short-term cashflow stresses to assess the resiliency of the bonds impacted in the actions. In general, Alt-A and Option ARM delinquency trends in the past six months have closely tracked Moody's Q1 projections. If the pace of modifications picks up, delinquencies may be lower than Moody's projections. Severity trends, however, have worsened, with current severities trending higher than Moody's lifetime average severity assumptions by 5-9 percentage points in many pools. Given that recent data on the housing markets has been mixed and there are early indications of home prices potentially bottoming, it is unclear whether the recent higher severities represent peak severities, and to what extent they might alter the average lifetime expected severity. Complete Rating Actions are: Issuer: RALI Series 2006-QS13 Trust -- Cl. I-A-8, Downgraded to Ba2; previously on 2/26/2009 Downgraded to Baa2 RIVERSIDE PARK: Moody's Downgrades Ratings on Class A Notes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Riverside Park CLO Ltd.: -- US$380,250,000 Class A Floating Rate Notes Due 2018, Downgraded to Aa2; previously on April 15, 2008 Assigned Aaa. In addition, Moody's has upgraded the rating of these notes: -- US$32,500,000 Class B Floating Rate Deferrable Notes Due 2018, Upgraded to Baa2; previously on March 20, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$13,000,000 Class C Floating Rate Deferrable Notes Due 2018, Upgraded to Ba1; previously on March 20, 2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade; -- US$13,000,000 Class D Floating Rate Deferrable Notes Due 2018, Upgraded to B1; previously on March 20, 2009 Downgraded to B3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions 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. The downgrade action taken on the Class A Notes reflects the adverse impact of the foregoing stresses, as well as credit deterioration in the underlying portfolio, which is offset to some extent by the additional Subordinated Notes issuance. Such 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, and an increase in the proportion of securities from issuers rated Caa1 and below. The weighted average rating factor has increased over the last year and is currently 2547 as of the last trustee report, dated July 16, 2009. Based on the same report, defaulted securities total about $20.3 million, accounting for roughly 4.2% of the collateral balance, and securities rated Caa1 or lower make up approximately 5.5% 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 taking action on the Class A Notes, Moody's also assessed the collateral pool's elevated concentration risk in debt obligations of companies in the banking, finance, real estate, and insurance industries, which Moody's views to be more strongly correlated in the current market environment. The upgrade actions on the Class B Notes, Class C Notes and Class D Notes are largely a result of the issuance of additional Subordinated Notes in the aggregate principal amount of $37,396,093 at a purchase price of 36.5% of par on July 15, 2009, which provides the positive benefit of increased collateralization. Riverside Park CLO Ltd., issued on April 15, 2008, 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. RYLAND MORTGAGE: Moody's Downgrades Ratings on 11 Certificates -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 11 certificates from eight transactions issued by Ryland Mortgage Securities. Six of the transactions are supported by pool insurance policies provided by Genworth Mortgage Insurance Corporation. The transactions are backed by small number of loans. Should a default occur on any of those loans, protection from loss to the subordinate bond is completely dependant on payments made from the pool policy provided by Genworth Mortgage Insurance Corporation (Baa2). Due to the low likelihood of default given the long pay history of the remaining borrowers, Moody's concludes that the joint probability of default and loss given default for those deals is consistent with a Baa1 rating. The rating is based on the methodology applied to all transactions with small pool factors. Moody's defines low pool factor deals as those that meet one of these two criteria: (1) the outstanding collateral balance is less than $1 million, and the pool factor is less than 5% or (2) the pool has fewer than 50 loans remaining Moody's uses These methodology to estimate losses on low pool factor deals First, gross defaults are determined by applying assumed lifetime roll-rates (probabilities of transition to default) to the transactions' current delinquency buckets and a pipeline multiplier. The pipeline multiplier accounts for further possible defaults that might arise from borrowers that are current. The pipeline multiplier differs for each deal based on the number of loans remaining in the pool -- greater the number of loans remaining the higher the multiplier. The estimated defaults are subject to a floor -- a minimum default. The minimum default also differs based on the number 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: Ryland-American Home Funding Trust 1988-1 (Loans Remaining: 13) -- Cl. A, Current Balance: $676,132, Downgraded to Baa1; previously on 8/30/1995 Upgraded to Aaa Ryland Mortgage Securities 1990-05 (Loans Remaining: 1) -- Cl. B-1, Current Balance: $63,523, Downgraded to Baa1; previously on 12/20/1990 Assigned Aaa -- Cl. B-2, Current Balance: $10, Downgraded to Baa1; previously on 12/20/1990 Assigned Aaa Ryland Mortgage Securities 1991-14 (Loans Remaining: 1) -- Cl. 14-B-1, Current Balance: $46,439, Downgraded to Baa1; previously on 8/29/1991 Assigned Aaa Ryland Mortgage Securities 1991-15 (Loans Remaining: 8) -- Cl. B, Current Balance: $789,463, Downgraded to Baa1; previously on 9/29/1995 Downgraded to A3 Ryland Mortgage Securities 1991-16 (Loans Remaining: 12) -- Cl. B, Current Balance: $1,055,824, Downgraded to Baa1; previously on 9/29/1995 Downgraded to A3 -- Cl. I, Current Balance: $184, Downgraded to Baa1; previously on 9/29/1995 Downgraded to A3 Ryland Mortgage Securities 1991-19 (Loans Remaining: 12) -- Cl. B, Current Balance: $985,015, Downgraded to Baa1; previously on 9/29/1995 Downgraded to A3 Ryland Mortgage Securities 1992-04 (Loans Remaining: 16) -- Cl. B, Current Balance: $1,592,530, Downgraded to Baa1; previously on 9/29/1995 Downgraded to A3 Ryland-FBS 1992-1 (Loans Remaining: 1) -- Cl. F, Current Balance: $215,930, Downgraded to Aa3; previously on 3/25/1992 Assigned Aaa -- Cl. M, Current Balance: $23,951, Downgraded to Ba2; previously on 3/25/1992 Assigned Aa1 SEAWALL SPC: S&P Downgrades Rating on Class D-2 2007-1 D2 Notes --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class D-2 notes issued by Seawall SPC's series 2007-1 D2 (CDO bond). The collateralized debt obligation transaction is a total return swap that is directly linked to the rating on the class D-2 notes issued by Seawall 2007-1 Ltd., which Standard & Poor's lowered to 'CCC' and left on CreditWatch with negative implications on August 7, 2009. Rating Lowered And Remaining On Creditwatch Negative Seawall SPC Series 2007-1 D2 (CDO bond) Rating ------ Class To From ----- -- ---- D-2 CCC/Watch Neg B-/Watch Neg SHASTA CLO: Moody's Downgrades Ratings on Various Classes of Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Shasta CLO I Ltd.: -- US$296,000,000 Class A-1L Floating Rate Notes Due April 2021, Downgraded to Aa2; previously on January 24, 2007 Assigned Aaa; -- US$45,000,000 Class A-1LV Floating Rate Revolving Notes Due April 2021, Downgraded to Aa2; previously on January 24, 2007 Assigned Aaa; -- US$38,000,000 Class A-2L Floating Rate Notes Due April 2021, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$18,000,000 Class B-1L Floating Rate Notes Due April 2021, Downgraded to B2; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$18,000,000 Class B-2L Floating Rate Notes Due April 2021, Downgraded to Caa3; previously on March 13, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. Additionally, Moody's has confirmed the ratings of these notes: -- US$26,000,000 Class A-3L Floating Rate Notes Due April 2021, Confirmed at Ba1; previously on March 13, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," 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 will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class B-2L Overcollateralization Test. The weighted average rating factor has increased over the last year and is currently 2934 versus a test level of 2500 as of the last trustee report, dated July 9, 2009. Based on the same report, defaulted securities total about $41.08 million, accounting for roughly 8.7% of the collateral balance, and securities rated Caa1 or lower make up approximately 14.2% 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 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. Shasta CLO I Ltd., issued in January 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 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. SIERRA CLO: Moody's Downgrades Ratings on Various Classes of Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Sierra CLO II Ltd.: -- US$260,000,000 Class A-1L Floating Rate Notes Due January 2021 (current balance of $256,033,487), Downgraded to Aa2; previously on November 21, 2006 Assigned Aaa; -- US$40,000,000 Class A-1LV Floating Rate Revolving Notes Due January 2021 (current balance of $38,792,952), Downgraded to Aa2; previously on November 21, 2006 Assigned Aaa; -- US$34,000,000 Class A-2L Floating Rate Notes Due January 2021, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$23,000,000 Class A-3L Floating Rate Notes Due January 2021, Downgraded to Ba2; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$15,500,000 Class B-1L Floating Rate Notes Due January 2021, Downgraded to B3; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$16,000,000 Class B-2L Floating Rate Notes Due January 2021, Downgraded to Caa3; previously on March 17, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for will be below their historical averages, consistent with Moody's research. The rating actions reflect the adverse impact of the aforementioned stresses, as well as credit deterioration in the underlying portfolio. Such credit deterioration 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 Class B-2L Overcollateralization Test. In particular, the weighted average rating factor has increased over the last year and is currently 3007 versus a test level of 2475 as of the last trustee report, dated July 13, 2009. Based on the same report, defaulted securities total about $33.5 million, accounting for roughly 8% of the collateral balance, and securities rated Caa1 or lower make up approximately 15.97% 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.) Sierra CLO II Ltd., issued on November 21, 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. SILVERADO CLO: Moody's Downgrades Ratings on Various Classes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Silverado CLO 2006-I Limited: -- US$144,000,000 Class A-1 Senior Secured Floating Rate Notes due 2020, Downgraded to Aa1, previously on April 11, 2006 Assigned Aaa; -- US$7,500,000 Class A-1-J Senior Secured Floating Rate Notes due 2020, Downgraded to Aa3, previously on March 4, 2009 Aa1 Place Under Review for Possible Downgrade; -- US$15,000,000 Class A-2 Senior Secured Floating Rate Notes due 2020, Downgraded to A2, previously on March 4, 2009 Aa2 Place Under Review for Possible Downgrade; -- US$6,375,000 Type I Composite Notes due 2020 (current Rated Balance of $4,856,077), Downgraded to A1, previously on March 4, 2009 Aa2 Place Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$16,500,000 Class B Senior Secured Deferrable Floating Rate Notes due 2020, Confirmed at Ba1, previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$15,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2020, Confirmed at B1, previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$9,000,000 Class D Secured Deferrable Floating Rate Notes due 2020, Confirmed at Caa2, previously on March 17, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. The rating actions reflect the adverse impact of the aforementioned stresses, as well as credit deterioration in the underlying portfolio. Such credit deterioration 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, and an increase in the proportion of securities from issuers rated Caa1 and below. In particular, the weighted average rating factor has increased over the last year and is currently 2800 as of the last trustee report, dated June 15, 2009. Based on the same report, defaulted securities total about $10 million, accounting for roughly 4% of the collateral balance, and securities rated Caa1 or lower make up approximately 12% of the underlying portfolio. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, may be different from the trustee's reported numbers. Moody's also assessed the collateral pool's elevated concentration risk in debt obligations of companies in the banking, finance, real estate, and insurance industries, which Moody's views to be more strongly correlated in the current market environment. Silverado CLO 2006-I Limited, issued on April 11, 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. SOUNDVIEW HOME: Moody's Downgrades Ratings on 20065-WF1 Securities ------------------------------------------------------------------ Moody's Investors Service has downgraded the rating of one security issued by Soundview Home Loan Trust 2006-WF1. The collateral backing the transaction consists primarily of first- lien, fixed and adjustable-rate Alt-A mortgage loans. The downgrade relates to structural features, such as sequential pay structures, whereby certain senior bonds are entitled to receive more than their pro-rata share of principal payments. In the event that subordinate bonds are written down entirely, these bonds are subject to 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 either of those cases, given the recent increase in the pace of credit support erosion relative to amortization of the bonds, there is an increased likelihood that the downgraded bond may not be completely paid off before subordinate bonds are completely written down. In its analysis, Moody's has considered current available credit enhancement and recent CPR, CDR, and severity trends. The cashflows were run on the basis of pool loss expectations in line with those published in Q1 2009, although Moody's incorporated short-term cashflow stresses to assess the resiliency of the bonds impacted in the actions. In general, Alt-A and Option ARM delinquency trends in the past six months have closely tracked Moody's Q1 projections. If the pace of modifications picks up, delinquencies may be lower than Moody's projections. Severity trends, however, have worsened, with current severities trending higher than Moody's lifetime average severity assumptions by 5-9 percentage points in many pools. Given that recent data on the housing markets has been mixed and there are early indications of home prices potentially bottoming, it is unclear whether the recent higher severities represent peak severities, and to what extent they might alter the average lifetime expected severity. Complete Rating Actions are: Issuer: Soundview Home Loan Trust 2006-WF1 -- Cl. A-2, Downgraded to B1; previously on 2/2/2009 Downgraded to Baa2 ST JAMES: 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 St. James River CLO, Ltd: -- US$50,000,000 Class A-R First Priority Senior Secured Floating Rate Revolving Notes Due 2021, Downgraded to Aa2; previously on July 12, 2007 Assigned Aaa; -- US$255,500,000 Class A-T First Priority Senior Secured Floating Rate Term Notes Due 2021, Downgraded to Aa2; previously on July 12, 2007 Assigned Aaa; -- US$27,500,000 Class B Second Priority Senior Secured Floating Rate Notes Due 2021, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade. Moody's has also confirmed the ratings of these notes: -- US$15,500,000 Class C Third Priority Senior Secured Deferrable Floating Rate Notes Due 2021, Confirmed at Ba1; previously on March 13, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$15,500,000 Class D Fourth Priority Mezzanine Secured 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$16,000,000 Class E Fifth Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2021, Confirmed at Caa2; previously on March 13, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class E overcollateralization test. The weighted average rating factor has increased over the last year and is currently 2685 versus a test level of 2475 as of the last trustee report, dated July 2, 2009. Based on the same report, defaulted securities total about $4.3 million, accounting for roughly 1.1% of the collateral balance, and securities rated Caa1 or lower by Moody's or CCC+ or lower by S&P make up approximately 10.4% 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. St. James River CLO, Ltd., issued in July 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. STARTS LTD: S&P Withdraws 'B+' Rating on Series 2007-30 Notes ------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its rating on the notes issued by STARTS (Cayman) Ltd.'s series 2007-30, a synthetic corporate investment-grade collateralized debt obligation transaction. The rating withdrawal follows the repurchase of the notes according to the repurchase notice dated August 3, 2009. Rating Withdrawn STARTS (Cayman) Ltd. Maple Hill II managed synthetic CDO Rating ------ Series Class To From ------ ----- -- ---- 2007-30 B3-J3 NR B+ NR - Not rated. VERMEER FUNDING: Moody's Downgrades Ratings on Two Classes ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of two classes issued by Vermeer Funding, Limited. The notes affected by the rating action are: -- Class A-1 Senior Secured Floating Rate Notes, Due 2039, Downgraded to A3; previously on 12/22/2008 Downgraded to Aa2 Placed Under Review for Possible Downgrade -- Class A-2 Senior Secured Floating Rate Notes, Due 2039, Downgraded to Ba1; previously on 3/20/2009 Downgraded to Baa2 Vermeer Funding, Limited is a collateralized debt obligation backed primarily by a portfolio of Residential ABS Securities. RMBS are approximately 53% of the underlying portfolio, of which the majority are from 2004 vintage. The rating downgrade actions reflect deterioration in the credit quality of the underlying portfolio due to the recent actions taken upon seasoned (pre-2005) RMBS. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by an increase in 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. More than 30% of the underlying assets have been downgraded since Moody's last review of the transaction in March 2009. The trustee reports that the WARF of the portfolio is 1,377 as of June 30, 2009, and also reports defaulted assets in the amount of $25.6 million. Securities rated Caa1 or lower make up approximately 23.4% of the underlying portfolio. The Class A/B and Class C Overcollateralization Tests are currently failing. The actions also take into consideration the risk of the transaction experiencing an Event of Default. As provided in Article V of the Indenture during the occurrence and continuance of an Event of Default, certain parties to the transaction may be entitled to direct the Trustee to take particular actions with respect to the Collateral and the Notes, including the sale and liquidation of the assets. The severity of losses of certain tranches may be different depending on the timing and outcome of a liquidation. 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. WACHOVIA AUTO: Moody's Reviews Ratings on Class B 2005-B Notes -------------------------------------------------------------- Moody's has placed the Class B notes from the Wachovia Auto Owner Trust 2005-B transaction on review for possible upgrade. The transaction is sponsored and serviced by Wachovia Bank, which, as of December 31, 2008, became a wholly-owned subsidiary of Wells Fargo & Company. The action reflects the stronger credit profile of the security based on the actual performance of the transaction and credit enhancement relative to expected future losses in the underlying receivables pool. Although Moody's currently projects the transaction to incur cumulative lifetime net losses between 2.00% and 2.25% versus initial expectation of 1.00% to 1.50%, hard credit enhancement (excluding excess spread and a yield supplement account) relative to future expected losses has increased substantially as the transaction has paid down and a significant portion of the expected lifetime losses have already been incurred. Hard credit support at closing for the class B was 1.50% of the initial pool balance compared to future expected losses of 1.00%-1.50%. Currently, hard credit support is approximately 1.00% compared to future expected losses of approximately 0.25%-0.50%, both measured as a percentage of the initial pool balance. The pool factor of the transaction is approximately 15% and both the overcollateralization and the reserve account are at or close to the required floor levels. Principal payments are allocated sequentially between the Class A and B notes to maintain the Class B at approximately 4.00% of the outstanding pool balance. Within the Class A notes, principal is further allocated sequentially between the Class A-4 and A-5. During its review, Moody's will continue to refine its assessment of the transaction relative to the credit enhancement available. The principal methodology used in taking these actions was "Moody's Approach to Rating U.S. Auto Loan-Backed Securities", which can be found at www.moodys.com in the Credit Policy & Methodologies directory, in the Ratings Methodologies subdirectory. Other methodologies and factors that may have been considered in the process of monitoring this issue can also be found in the Credit Policy & Methodologies directory. Complete Rating Action: Issuer: Wachovia Auto Owner Trust 2005-B -- Cl. B, Baa3 Placed Under Review for Possible Upgrade; previously on 10/8/2005 Assigned Baa3 WACHOVIA AUTO: Moody's Reviews Ratings on Various Tranches ---------------------------------------------------------- Moody's has placed certain subordinate tranches from the Wachovia Auto Loan Owner Trust 2006-1 and Wachovia Auto Loan Owner Trust 2006-2 near-prime auto loan transactions on review for possible upgrade. The transactions are serviced by Wachovia Bank, which, as of December 31, 2008, became a wholly-owned subsidiary of Wells Fargo & Company. The actions reflect the stronger credit profile of the securities, based on the actual performance of the transactions and the build up of credit enhancement relative to expected future losses in the underlying receivable pools. The actions were prompted by Moody's updated cumulative lifetime loss expectations of 7.50%-8.50% for the two transactions, which are at the lower end of Moody's range of 8.00%-9.50% previously published in February 2009. Six additional months of performance for the underlying pools have demonstrated signs of stabilization in both delinquencies and losses. Cumulative losses as a percentage of the pool that has liquidated (original pool balance - current pool balance), an indicator of projected lifetime loss trajectories, have also shown signs of leveling off for both transactions. While these trends are positive, part of the improvement can be attributed to seasonality and the rebound in the used car market. During its review, Moody's will continue to closely monitor performance as well as used car recoveries, and refine its assessment of these transactions relative to the credit enhancement available. The principal methodology used in taking these actions was "Moody's Approach to Rating U.S. Auto Loan- Backed Securities", which can be found at www.moodys.com in the Credit Policy & Methodologies directory, in the Ratings Methodologies subdirectory. Other methodologies and factors that may have been considered in the process of monitoring this issue can also be found in the Credit Policy & Methodologies directory. Complete rating actions are: Issuer: Wachovia Auto Loan Owner Trust 2006-1 -- Cl. B, Aa2 Placed on Review for Possible Upgrade; previously on 9/29/2006 Assigned Aa2 -- Cl. C, Baa3 Placed on Review for Possible Upgrade; previously on 2/20/2009 Downgraded to Baa3 from A1 Issuer: Wachovia Auto Loan Owner Trust 2006-2 -- Cl. B, Aa2 Placed on Review for Possible Upgrade; previously on 10/20/2006 Assigned Aa2 -- Cl. C, Baa1 Placed on Review for Possible Upgrade; previously on 2/20/2009 Downgraded to Baa1 from A1 -- Cl. D, Ba3 Placed on review for Possible Upgrade; previously on 2/20/2009 Downgraded to Ba3 from Baa2 WACHOVIA BANK: Moody's Reviews Ratings on 14 2005-C18 Certificates ------------------------------------------------------------------ Moody's Investors Service placed 14 classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-C18 on review for possible downgrade due to the credit uncertainty surrounding Maguire Properties Inc., the sponsor of one loan representing 7% of the outstanding deal balance. Maguire continues to experience ongoing levels of high effective leverage, declining operating performance, and an inability to cover dividends from operating cash flow. Currently, Maguire has a low fixed coverage ratio of 0.87x (recurring EBITDA as a share of interest expense plus deferred dividends and capitalized interest) as of June 30, 2009, as well as high leverage (debt plus preferred equity as a share of gross assets) of 96.2% and high secured debt as a share of gross assets of 91.2%. As part of a plan to put the company back on track with a focus on a smaller core portfolio, Maguire announced on August 10, 2009 that they had disposed of one property and its associated debt from their wholly owned portfolio. In addition, Maguire announced that they had contacted the master servicer for six mortgage loans in commercial mortgage backed securities transactions and advised them that they would no longer fund cash shortfalls associated with the respective mortgages. One of the six aforementioned loans, representing 7% of the outstanding deal balance, is part of this transaction. As a result of imminent default, this loan (Park Place II) is likely to be transferred into special servicing. Most Maguire properties are located in California in either Los Angeles or Orange Counties, both of which have experienced significant rent and occupancy declines over the last year. Over the next two years, Torto Wheaton Research has forecasted Los Angeles County office rents to decline from $26.67 per square foot (PSF) to $23.85 PSF and vacancy rates to increase from 14.4% to 19.0%. A similar outcome is forecast for Orange County where average rents are expected to decline from $25.10 to $20.75 PSF and vacancy rates are expected to increase from 19.1% to 20.2%. As of the July 17, 2009 distribution date, the pool has not experienced any losses. Currently there are two loans, representing 1% of the pool, in special servicing. Upon the transfer of the additional Maguire loan into special servicing, there will be three loans (8% of the pool balance) in special servicing. Four loans, representing 8% of the pool, are on the master servicer's watchlist. Six loans, representing 14% of the pool balance, have defeased and are collateralized by U.S. Government securities. Moody's will continue to monitor the performance of Maguire Properties Inc. as well as the overall credit quality of the deal. Moody's rating action is: -- Class A-J-2, $89,592,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 5/4/2007 -- Class B, $31,621,000, currently rated Aa2, on review for possible downgrade; previously affirmed at Aa2 on 5/4/2007 -- Class C, $12,297,000, currently rated Aa3, on review for possible downgrade; previously affirmed at Aa3 on 5/4/2007 -- Class D, $28,107,000, currently rated A2, on review for possible downgrade; previously affirmed at A2 on 5/4/2007 -- Class E, $14,054,000, currently rated A3, on review for possible downgrade; previously affirmed at A3 on 5/4/2007 -- Class F, $19,324,000, currently rated Baa1, on review for possible downgrade; previously affirmed at Baa1 on 5/4/2007 -- Class G, $12,297,000, currently rated Baa2, on review for possible downgrade; previously affirmed at Baa2 on 5/4/2007 -- Class H, $24,594,000, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 5/4/2007 -- Class J, $5,270,000, currently rated Ba1, on review for possible downgrade; previously affirmed at Ba1 on 5/4/2007 -- Class K, $7,027,000, currently rated Ba2, on review for possible downgrade; previously affirmed at Ba2 on 5/4/2007 -- Class L, $5,270,000, currently rated Ba3, on review for possible downgrade; previously affirmed at Ba3 on 5/4/2007 -- Class M, $3,514,000, currently rated B1, on review for possible downgrade; previously affirmed at B1 on 5/4/2007 -- Class N, $3,513,000, currently rated B2, on review for possible downgrade; previously affirmed at B2 on 5/4/2007 -- Class O, $5,270,000, currently rated B3, on review for possible downgrade; previously affirmed at B3 on 5/4/2007 WACHOVIA BANK: Moody's Reviews Ratings on 15 2006-C28 Certs. ------------------------------------------------------------ Moody's Investors Service placed fifteen classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-C28 on review for possible downgrade due to the credit uncertainty surrounding Maguire Properties Inc., the sponsor of one loan representing 6% of the outstanding deal balance, and higher anticipated losses from loans in special servicing. Maguire continues to experience ongoing levels of high effective leverage, declining operating performance, and an inability to cover dividends from operating cash flow. Currently, Maguire has a low fixed coverage ratio of 0.87x (recurring EBITDA as a percentage of interest expense plus deferred dividends and capitalized interest) as of June 30, 2009, as well as high leverage (debt plus preferred equity as a share of gross assets) of 96.2% and high secured debt as a share of gross assets of 91.2%. As part of a plan to put the company back on track with a focus on a smaller core portfolio, Maguire announced on August 10, 2009 that they had disposed of one property and its associated debt from their wholly owned portfolio. In addition, Maguire announced that they had contacted the master servicer for six mortgage loans in commercial mortgage backed securities transactions and advised them that they would no longer fund cash shortfalls associated with the respective mortgages. The aforementioned loans are not part of this transaction. Most Maguire properties are located in California in either Los Angeles or Orange Counties, both of which have experienced significant rent and occupancy declines over the last year. Over the next two years, Torto Wheaton Research has forecasted Los Angeles County office rents to decline from $26.67 per square foot to $23.85 PSF and vacancy rates to increase from 14.4% to 19.0%. A similar outcome is forecast for Orange County where average rents are expected to decline from $25.10 to $20.75 PSF and vacancy rates are expected to increase from 19.1% to 20.2%. As of the July 17, 2009 distribution date, the pool has not experienced any losses. Currently there are seven loans, representing 3% of the pool, in special servicing. Forty-seven loans, representing 28% of the pool, are on the master servicer's watchlist. Moody's will continue to monitor the performance of Maguire Properties Inc. as well as the overall credit quality of the deal. Moody's rating action is: -- Class A-J, $278,628,000, currently rated A1, on review for possible downgrade; previously downgraded to A1 from Aaa on 2/10/2009 -- Class B, $22,470,000, currently rated A2, on review for possible downgrade; previously downgraded to A2 from Aa1 on 2/10/2009 -- Class C, $58,422,000, currently rated A3, on review for possible downgrade; previously downgraded to A3 from Aa2 on 2/10/2009 -- Class D, $31,458,000, currently rated Baa1, on review for possible downgrade; previously downgraded to Baa1 from Aa3 on 2/10/2009 -- Class E, $49,433,000, currently rated Baa3, on review for possible downgrade; previously downgraded to Baa3 from A2 on 2/10/2009 -- Class F, $40,446,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from A3 on 2/10/2009 -- Class G, $40,446,000, currently rated Ba3, on review for possible downgrade; previously downgraded to Ba3 from Baa1 on 2/10/2009 -- Class H, $40,446,000, currently rated B2, on review for possible downgrade; previously downgraded to B2 from Baa2 on 2/10/2009 -- Class J, $44,940,000, currently rated B3, on review for possible downgrade; previously downgraded to B3 from Baa3 on 2/10/2009 -- Class K, $17,976,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from Ba1 on 2/10/2009 -- Class L, $8,988,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from Ba2 on 2/10/2009 -- Class M, $13,482,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from Ba3 on 2/10/2009 -- Class N, $4,494,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B1 on 2/10/2009 -- Class O, $8,988,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B2 on 2/10/2009 -- Class P, $8,988,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B3 on 2/10/2009 WACHOVIA BANK: S&P Downgrades Ratings on 10 2005-C20 Securities --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 10 classes of commercial mortgage-backed securities from Wachovia Bank Commercial Mortgage Trust's series 2005-C20 and removed them from CreditWatch with negative implications, where they were place June 26, 2009. In addition, S&P affirmed its ratings on 10 classes from the same transaction. The downgrades follow S&P's analysis of the transaction using S&P's recently released U.S. conduit and fusion CMBS criteria, which was the primary driver of the rating actions. S&P's analysis included a review of the credit characteristics of all the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.80x and a loan-to-value ratio of 89.1%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 1.11x and an LTV of 123%. The implied defaults and loss severity under the 'AAA' scenario were 63.6% and 32.4%, respectively. The DSC and LTV calculations exclude one of three specially serviced assets (4.1%). S&P estimated losses for these loans, which are factored into the 'AAA' scenario implied default and loss figures. S&P affirmed the ratings on the interest-only certificates based on S&P's current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its current criteria. Any change in S&P's criteria may affect outstanding ratings, including the ratings on the IO certificates S&P affirmed. Credit Concerns Three assets ($148.5 million, 4.5%) in the pool, including the fifth-largest exposure, were with the special servicer, CWCapital Asset Management LLC, as of the July 17, 2009, remittance date. Two of the three assets with the special servicer ($142.2 million, 4.3%) are more than 90-plus-days delinquent, and one ($7.4 million, 0.2%) is less than 30 days delinquent. The largest specially serviced loan has an appraisal reduction amount in effect totalling $113.7 million and represents 4% of the total pool balance. Subsequent to the July remittance date, an additional loan ($2.5 million) was transferred to the special servicer due to imminent monetary default. Transaction Summary As of the July 17, 2009, remittance report, the collateral pool consisted of 206 loans with an aggregate trust balance of $3.3 billion, compared with $3.7 billion at issuance. The master servicer, Wachovia Bank N.A., provided financial information for 93.8% of the pool; 92.5% of the available financial information was full-year 2008 data. S&P calculated a weighted average DSC of 1.88x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.80x and 89.1%, respectively. The transaction has not experienced any principal losses to date. There are 28 loans on the master servicer's watchlist, including two of the top 10 loans. Eighteen ($194 million, 5.9%) have a reported DSC below 1.10x, and 11 of these loans ($76.4 million, 2.3%) have a reported DSC of less than 1.0x. Summary Of Top 10 Loans The top 10 exposures have an aggregate outstanding trust balance of $1.3 billion (39.4%). Using servicer-reported numbers and excluding the Macon & Burlington Mall Pool loan, S&P calculated a weighted average DSC of 2.17x for the top 10 loans, compared with 1.90x at issuance. The sixth-largest ($113.4 million, 3.4%) and 10th-largest ($85.0 million, 2.6%) loans in the pool appear on the master servicers' watchlist. Details are: The Public Square loan is the sixth-largest loan and is secured by a 1.3 million-sq.-ft. office building in the central business district of Cleveland. The loan appears on the watchlist due to a low DSC. As of the trailing 12 months ended March 31, 2009, the DSC was 1.16x and occupancy was 78%. The Forum at Carlsbad is the 10th-largest loan and is secured by a 233,056-sq.-ft. retail center built in 2003 in Carlsbad, Calif. The loan appears on the watchlist because it is 30-plus days delinquent. As of year-end December 31, 2008, the DSC was 1.47x and occupancy was 100%. Details regarding the specially serviced exposures are: The fifth-largest loan, the Macon and Burlington Mall Pool loan, has a total exposure of $147.8 million and unpaid principal balance of $135.8 million. The loan was transferred to CWCapital on February 28, 2008, due to imminent default. The loan is secured by the fee and leasehold interests in two cross- collateralized and cross-defaulted regional malls. The Burlington Mall is a 419,194-sq.-ft. mall in Burlington, N.C., and the Macon Mall is a 762,398-sq.-ft. mall in Macon, Ga. A third-party receiver was put in place at both properties in June 2008. An ARA of $113.6 million is in effect related to this loan. The related appraisal subordinate entitlement reduction reported in the July 17, 2009, remittance report was $462,551. CWCapital has commenced foreclosure. Standard & Poor's expects a significant loss to the trust upon the liquidation of this asset. The two remaining loans with the special servicer are the Country Inn & Suites loan the Azalea Hill Apartments loan. The Country Inn & Suites loan has a total exposure of $7.4 million and is secured by a 101-room limited-service hotel, built in 2003 in Sarasota, Fla. The loan was transferred to the special servicer in April 2009 due to nonpayment of its monthly reserve. The borrower has brought the reserves current, and the loan has been returned to the master servicer. The Azalea Hill Apartments loan has a total exposure of $6.5 million and is secured by a 144-unit multifamily property in Montgomery, Ala. The loan was transferred to the special servicer in March 2009 due to monetary default. The property was 90% occupied as of June 30, 2009, and CWCapital expects the borrower to satisfy its past-due payments to third-party vendors by the end of September. CWCapital is negotiating with the borrower for a possible loan modification and forbearance. The Kelly Garden Apartments loan has an unpaid principal balance of $2.5 million and is secured by a 66-unit student housing apartment property built in 1970 in New Britain, Ct. The loan was transferred to the special servicer after the July remittance date due to imminent monetary default. As of December 31, 2008, occupancy was 83% and the reported cash flow was negative. Standard & Poor's stressed the loans in the pool according to S&P's updated conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-C20 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-MFL A+ AAA/Watch Neg 22.05 A-MFX A+ AAA/Watch Neg 22.05 A-J BBB- AAA/Watch Neg 13.78 B BB AA/Watch Neg 11.44 C BB- AA-/Watch Neg 10.61 D B+ A-Watch Neg 8.55 E B BBB+/Watch Neg 7.31 F B- BBB/Watch Neg 6.06 G CCC+ BB+/Watch Neg 5.10 H CCC- B-/Watch Neg 3.86 Ratings Affirmed Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-C20 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-3SF AAA 33.08 A-4 AAA 33.08 A-5 AAA 33.08 A-6A AAA 33.08 A-6B AAA 33.08 A-PB AAA 33.08 A-7 AAA 33.08 A-1A AAA 33.08 X-P AAA N/A X-C AAA N/A N/A - Not applicable. WAMU MORTGAGE: Moody's Downgrades Ratings on Four 2006-5 Certs. --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of four securities issued by WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-5 Trust. The collateral backing the transaction consists primarily of first-lien, fixed-rate Alt-A mortgage loans. The downgrades relate to structural features, such as sequential pay structures, whereby certain senior bonds are entitled to receive more than their pro-rata share of principal payments. In the event that subordinate bonds are written down entirely, these bonds are subject to 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 either of those cases, given the recent increase in the pace of credit support erosion relative to amortization of the bonds, there is an increased likelihood that the downgraded bonds may not be completely paid off before subordinate bonds are completely written down. In its analysis, Moody's has considered current available credit enhancement and recent CPR, CDR, and severity trends. The cashflows were run on the basis of pool loss expectations in line with those published in Q1 2009, although Moody's incorporated short-term cashflow stresses to assess the resiliency of the bonds impacted in the actions. In general, Alt-A and Option ARM delinquency trends in the past six months have closely tracked Moody's Q1 projections. If the pace of modifications picks up, delinquencies may be lower than Moody's projections. Severity trends, however, have worsened, with current severities trending higher than Moody's lifetime average severity assumptions by 5-9 percentage points in many pools. Given that recent data on the housing markets has been mixed and there are early indications of home prices potentially bottoming, it is unclear whether the recent higher severities represent peak severities, and to what extent they might alter the average lifetime expected severity. Complete Rating Actions are: Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-5 Trust -- Cl. 3-A-1A, Downgraded to Ba2; previously on 2/11/2009 Downgraded to Baa1 -- Cl. 3-A-1B, Downgraded to Ba2; previously on 2/11/2009 Downgraded to Baa1 -- Cl. 3-A-6, Downgraded to Caa2; previously on 2/11/2009 Downgraded to B1 -- Cl. 3-A-7, Downgraded to Caa2; previously on 2/11/2009 Downgraded to B1 XVIII LEVERAGED: Moody's Downgrades Rating on Class B Notes to 'C' ------------------------------------------------------------------ Moody's Investors Service announced that it downgraded the rating of this note issued by XVIII Leveraged Loan 2007 Limited: -- US$14,000,000 Class B Secured Deferrable Floating Rate Notes due 2019, Downgraded to C; previously on March 13, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," the application of certain stresses with respect to the default probabilities associated with certain Moody's credit estimates, and the calculation of the Diversity Score. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured 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 Class A Par Value Test and Class B Par Value Test. The weighted average rating factor has steadily increased over the last year and is currently 2628 versus a test level of 2600 as of the last trustee report, dated June 12, 2009. Based on the same report, defaulted securities total about $30 million, accounting for roughly 7.9% of the collateral balance, and securities rated Caa1 or lower make up approximately 13% of the underlying portfolio. Additionally, interest payments on the Class B Notes are presently being deferred as a result of the failure of the Class A Par Value Test. 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. The rating actions also reflect increased concerns about the uncertainties arising from the potential for acceleration of the Notes or liquidation of the collateral should an Event of Default occur and continue. As provided in Section 5 of the Indenture, during the occurrence and continuance of an Event of Default, a Majority of the Controlling Class directing acceleration may vote to accelerate the payments on the Notes by declaring the principal of all the Notes to be immediately due and payable. In addition, the Class A Lender may direct the trustee to proceed with the sale and liquidation of the collateral. The severity of any potential losses to the Notes may depend on the timing and choice of these remedies following an Event of Default. As a result of these uncertainties, the Class B Notes were downgraded. In concluding its review, Moody's expects to analyze the likelihood of an Event of Default that results in subsequent acceleration and liquidation. Dryden XVIII Leveraged Loan 2007 Limited, issued in October 11, 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. * Moody's Cuts Ratings on 13 Certs. From Three Resecuritizations ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on 13 certificates issued in three resecuritized RMBS transactions from 1992 and 1997. The certificates in the resecuritizations are backed by one or more securities, which in turn are backed by residential mortgage loans. These rating actions have been triggered by changes in performance and/or Moody's ratings on the underlying residential mortgage-backed securities (underlying securities). The ratings on the certificates in the resecuritization are based on: (i) The updated expected loss of the pool of loans backing the underlying securities portfolio and the updated ratings on the underlying securities portfolio (ii) The available credit enhancement on the underlying securities, and (iii) The structure of the resecuritization transaction. (1) Moody's first updated its loss assumptions on the underlying pool of mortgage loans (backing the underlying securities) and then arrived at updated ratings on the underlying securities. Certain resecuritizations may contain underlying securities that were not originally rated by Moody's. In this case, an expected loss is derived by comparing the non-rated deal to a Moody's-rated deal with similar current collateral and performance characteristics. An implicit rating is then determined by comparing current available credit enhancement for the non rated tranche to the estimated expected loss for the deal. The ratings on the underlying securities are then used to derive a weighted average portfolio rating based on a weighted average rating factor. To determine the portfolio WARF, Moody's assigns the ratings on the underlying securities a Rating Factor based on Moody's published 10-yr idealized loss expectations. Weights are assigned to each Rating Factor based on the contribution (by outstanding pledged balance) of the underlying security to the resecuritized transaction. (2) Second, Moody's determines the weighted average credit enhancement available to the portfolio security by evaluating the loss coverage level consistent with the ratings on the underlying securities and the underlying mortgage pool losses and weighting them based on the outstanding pledged balance of the underlying securities. (3) Finally, the ratings on the bonds issued in the resecuritization are determined after taking into consideration additional structural aspects of the resecuritization. For transactions where only a single tranche is issued, the weighted average portfolio rating (as determined in step 1 above) is the rating assigned to the tranche. Where multiple securities are issued, the loss allocation and cash flow priority are taken into consideration. For instance where the certificates in the resecuritization are tranched into a super senior tranche and a support tranche, the support tranche is notched down to reflect a higher severity of loss to that tranche. The rating on the super senior tranche is determined based on the total credit enhancement available i.e. the credit enhancement assessed in step (2) and the additional enhancement from the support tranche. The probability of default for the junior-most certificate in the resecuritization is the same as the probability of default for the lowest rated underlying certificate. However, Moody's anticipates a higher loss severity on the junior-most class due to its subordinate position (both in terms of principal distribution and loss allocation) and smaller size (when compared to underlying certificate). Therefore, the ratings on junior certificates in the resecuritization are lower than the portfolio rating on the combined underlying bonds. Because the ratings on the certificates in the resecuritization are linked to the ratings on the underlying certificates and their mortgage pool performance, any rating action on the underlying certificates may trigger a further review of the ratings on the certificates in the resecuritization. The ratings on the certificates in the resecuritization address the ultimate payment of promised interest and principal and do not address any other amounts that may be payable on the certificates. For securities insured by a financial guarantor, the rating on the securities is equal to the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described above. Complete Rating Actions are: CS First Boston Mortgage Securities Corp 1997-1R -- 1-B1, Downgraded to Caa2; previously on 8/21/1997 Assigned Ba2 -- 1-B2, Downgraded to C; previously on 8/21/1997 Assigned Ba3 -- 1-B3, Downgraded to C; previously on 5/18/2005 Downgraded to B3 -- 1-B4, Downgraded to C; previously on 5/18/2005 Downgraded to Caa2 Prudential Home Mtg Co 1992-A -- B2-4, Downgraded to Caa2; previously on 10/10/1994 Downgraded to A1 -- B3-1, Downgraded to C; previously on 12/14/1998 Downgraded to Ca -- B3-2, Downgraded to C; previously on 12/14/1998 Downgraded to Ca -- B3-3, Downgraded to C; previously on 12/14/1998 Downgraded to Ca -- B3-4, Downgraded to C; previously on 12/14/1998 Downgraded to Ca Prudential Home Mtg Co 1992-C -- B2, Downgraded to Baa3; previously on 12/5/1996 Upgraded to Aaa -- B3, Downgraded to Caa2; previously on 12/5/1996 Upgraded to Aaa -- B4, Downgraded to Ca; previously on 7/24/1997 Upgraded to Aaa -- B5, Downgraded to C; previously on 10/11/2000 Downgraded to Baa2 * Moody's Downgrades Ratings on 92 Tranches From 17 MV CLO Deals ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of 92 tranches across 17 market value collateralized loan obligation transactions and confirmed the rating of three tranches of two MV CLOs. Moody's said the rating actions reflect the implementation of more conservative parameter estimates for price volatility and illiquidity following the extreme turbulence experienced by global debt markets since 2007. Moody's first proposed the revised volatility and liquidity parameters in a request for comment, "Moody's Proposes Revision to Its Parameters for Corporate Assets Held in Market Value CDO Transaction", published in April 2009. After incorporating market participants' comments, the revised modeling assumptions and revised monitoring approach were published in the Moody's report "Moody's Modifies Its Modeling Assumptions for Market-Value Collateralized Loan Obligations" on July 9, 2009. In market value transactions, noteholders' protection against losses are built upon advance rates, which determine the minimum amount of cushion required before a transaction has to be delevered. In Moody's analysis, advance rates are assessed so that the expected loss to a class of noteholders is consistent with the idealized expected loss of a desired rating level. The primary drivers of advance rates are historical volatility and the liquidity profile of the assets. While loan prices have improved over recent months, the volatility and illiquidity parameters outlined in the July report are appropriate to assess the cushions required for various target rating levels. They ensure that the risk of market turbulence of similar or somewhat worse magnitude as that experienced over the past two years is adequately accounted for in the rating analysis, The revised, more conservative volatility and liquidity assumptions imply that lower advance rates are required in order to achieve the same target rating levels for any given transaction. Advance rates that were set at issuance for transactions prior to the extreme conditions the market has witnessed since 2007 are therefore no longer adequate to maintain existing rating levels. Accordingly, the rating actions are based on consideration of (i) quantitative analysis focusing on the new and more conservative advance rates and maintenance of collateral cushions in excess of those implied by existing advance rates and (ii) qualitative factors that might be relevant to assess a transaction, such as manager strategy and deal structural features. The quantitative analysis mainly focuses on several scenarios where market value overcollateralization with the existing advance rates is set at either 110% or 100% (i.e., 10% cushion or no cushion, respectively). Many managers have managed their portfolios defensively through the most recent crisis by paying down liabilities, accumulating significant portions of cash, and maintaining market value cushions well above what is required by deal advance rates. However, Moody's remains concerned that there is no contractual obligation for managers to keep all excess overcollateralization in their transactions. Therefore, for deals that have maintained overcollateralization levels consistently above 110%, using the existing advance rates to calculate the cushion, Moody's starts by assuming that the transactions will benefit from a 10% cushion. Moody's also analyzes the scenario where no cushion is available (i.e., 100% overcollateralization). Specifically, to arrive at the scenario of a portfolio with 10% or no cushion, (i) the liabilities are assumed to be fully drawn and cash is reinvested in a hypothetical portfolio that is based on the composition of a deal's existing portfolio until the market value overcollateralization is at 110% or 100% or (ii) the liabilities are assumed to remain at their current levels and cash is distributed to equity holders until the market value overcollateralization is at 110% or 100%. These scenarios, in combination with revised advance rates, produced a range of ratings outcomes that were considered by Moody's rating committees. To arrive at the final rating levels, the rating committees also considered factors such as i) a manager's behavior and deal performance during the most recent credit crisis; ii) the controlling rights of certain classes of noteholders and the potential implications of exercising those rights under various scenarios including events of default; iii) current and potential portfolio composition; iv) existing advance rates in the transaction and v) the maturity of the transaction. Furthermore, Moody's took into consideration the fact that subordinated tranches without the control rights may not fully benefit from the market value cushion implied by the advance rates during liquidation. This is because the controlling parties may seek to maximize their returns without regard for the returns to subordinated classes and because there is inherent "cherry picking" in the liquidation process that may protect the interests of the controlling parties while exposing subordinated classes to greater losses. Moody's found that the risks posed to such subordinated tranches in these transactions were not consistent with investment grade ratings. Moody's notes that the MV CLOs that are the subjects of the rating actions are primarily backed by portfolios of bank loans and corporate bonds. Moody's has downgraded 92 debt tranches and confirmed three debt tranches: Anchorage Crossover Credit Finance, Ltd. -- US$160,000,000 Class A-1a First Senior Secured Floating Rate Delayed Draw Notes Due 2013, Downgraded to A3; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- US$120,000,000 Class A-1b First Senior Secured Floating Rate Notes Due 2013, Downgraded to A3; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade Ares Enhanced Credit Opportunities Fund Ltd. -- US$675,000,000 Class A-1a First Senior Secured Multi-Currency Variable Funding Notes due 2014, Downgraded to A1; previously on 10/24/2008 Aaa Placed Under Review for Possible Downgrade -- US$50,000,000 Class A-1b First Senior Secured Variable Funding Swingline Notes due 2014, Downgraded to A1; previously on 10/24/2008 Aaa Placed Under Review for Possible Downgrade -- US$450,000,000 Class A-2 First Senior Secured Floating Rate Notes due 2014, Downgraded to A1; previously on 10/24/2008 Aaa Placed Under Review for Possible Downgrade -- US$225,000,000 Class A-3 First Senior Secured Variable Funding Notes due 2014, Downgraded to A1; previously on 10/24/2008 Aaa Placed Under Review for Possible Downgrade -- US$40,000,000 Class B-1 Second Senior Secured Floating Rate Notes due 2014, Downgraded to Ba2; previously on 10/24/2008 Aa2 Placed Under Review for Possible Downgrade -- US$40,000,000 Class C-1 Mezzanine Secured Floating Rate Notes due 2014, Downgraded to B2; previously on 10/24/2008 A2 Placed Under Review for Possible Downgrade -- Up to US$35,000,000 in loans under the Second Senior Credit Agreement, Downgraded to Ba2; previously on 10/24/2008 Aa2 Placed Under Review for Possible Downgrade -- Up to US$35,000,000 in loans under the Mezzanine Credit Agreement, Downgraded to B2; previously on 10/24/2008 A2 Placed Under Review for Possible Downgrade Avoca Credit Opportunities PLC -- EUR70,000,000 Class A-1 Senior Secured Floating Rate Notes due 2014, Downgraded to A3; previously on 10/14/2008 Aaa Placed Under Review for Possible Downgrade -- EUR200,000,000 VF-1 Senior Secured Variable Funding Notes due 2014, Downgraded to A3; previously on 10/14/2008 Aaa Placed Under Review for Possible Downgrade -- EUR8,750,000 Class C-1 Third Senior Secured Floating Rate Notes due 2014, Downgraded to B3; previously on 10/14/2008 A2 Placed Under Review for Possible Downgrade -- EUR4,500,000 Class D-1 Fourth Senior Secured Floating Rate Notes due 2014, Downgraded to Caa1; previously on 10/14/2008 Baa2 Placed Under Review for Possible Downgrade Denali Capital Credit Opportunity Fund Financing Ltd. -- Class A-1 First Senior Secured Floating Rate Notes, Downgraded to A1; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Class A-2 First Senior Secured Variable Funding Notes, Downgraded to A1; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Class B-1 Second Senior Secured Floating Rate Notes, Downgraded to Ba3; previously on 7/9/2009 Aa2 Placed Under Review for Possible Downgrade -- Class C-1 Mezzanine Secured Floating Rate Notes, Downgraded to B3; previously on 7/9/2009 A2 Placed Under Review for Possible Downgrade -- First Senior Secured Revolving Loans, Downgraded to A1; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Second Senior Term Loans, Downgraded to Ba3; previously on 7/9/2009 Aa2 Placed Under Review for Possible Downgrade Geer Mountain Financing, Ltd. -- $180,000,000 Class A-1 First Senior Secured Floating Rate Notes Due 2014, Downgraded to A1; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- $180,000,000 Class A-2 First Senior Secured Variable Funding Notes Due 2014, Downgraded to A1; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- $40,000,000 Class B-1 Second Senior Secured Floating Rate Notes Due 2014, Downgraded to B1; previously on 7/9/2009 Aa2 Placed Under Review for Possible Downgrade GoldenTree Credit Opportunities Second Funding, Ltd. -- US$250,000,000 Class A-1 First Senior Secured Floating Rate Notes due 2014, Downgraded to Aa3; previously on 10/15/2008 Aaa Placed Under Review for Possible Downgrade -- US$25,000,000 Class A-2 First Senior Secured Floating Rate Notes due 2014, Downgraded to Aa3; previously on 10/15/2008 Aaa Placed Under Review for Possible Downgrade GoldenTree Credit Opportunities Financing I, Ltd. -- Class A-1 First Senior Secured Floating Rate Notes, Downgraded to Aa1; previously on 10/15/2008 Aaa Placed Under Review for Possible Downgrade -- Class B-1 Second Senior Secured Floating Rate Notes, Confirmed at Aa2; previously on 10/15/2008 Aa2 Placed Under Review for Possible Downgrade -- Class C-1 Senior Subordinated Floating Rate Notes, Confirmed at A2; previously on 10/15/2008 A2 Placed Under Review for Possible Downgrade -- Class A-2 First Senior Secured Floating Rate Notes, Downgraded to A3; previously on 10/15/2008 Aaa Placed Under Review for Possible Downgrade -- Class A-3 First Senior Secured Floating Rate Notes, Downgraded to A3; previously on 10/15/2008 Aaa Placed Under Review for Possible Downgrade -- Class A-4 First Senior Secured Variable Funding Notes, Downgraded to A3; previously on 10/15/2008 Aaa Placed Under Review for Possible Downgrade -- Class A-5 First Senior Secured Variable Funding Swingline Notes-1, Downgraded to A3; previously on 10/15/2008 Aaa Placed Under Review for Possible Downgrade -- US$100,000,000 Class A-6 First Senior Secured Floating Rate Notes due 2013, Downgraded to A3; previously on 10/15/2008 Assigned Aaa and Placed Under Review for Possible Downgrade -- US$300,000,000 Class A-7 First Senior Secured Variable Funding Dual Currency Notes due 2013, Downgraded to A3; previously on 10/15/2008 Assigned Aaa and Placed Under Review for Possible Downgrade -- US$35,000,000 Class C-2 Senior Subordinated Secured Floating Rate Notes due 2013, Downgraded to B3; previously on 10/15/2008 Assigned A2 and Placed Under Review for Possible Downgrade -- US$5,000,000 Class C-3 Senior Subordinated Secured Fixed Rate Notes due 2013, Downgraded to B3; previously on 10/15/2008 Assigned A2 and Placed Under Review for Possible Downgrade -- Senior Secured Credit Revolving Facility, Downgraded to A3; previously on 10/15/2008 Aaa Placed Under Review for Possible Downgrade -- 2005-1 Second Senior Secured Loans, Downgraded to B1; previously on 10/15/2008 Aa2 Placed Under Review for Possible Downgrade -- US$20,000,000 Mezzanine Secured Term Loans, Downgraded to B3; previously on 10/15/2008 A2 Placed Under Review for Possible Downgrade GoldenTree Leverage Loan Financing I, Ltd. -- US$250,000,000 Class A-1 First Senior Secured Floating Rate Notes due 2013, Downgraded to A1; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade Jay Street Market Value CLO I Ltd. -- Class A Variable Funding Notes, Downgraded to Aa1; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Class B Term Notes, Downgraded to Ba3; previously on 7/9/2009 A2 Placed Under Review for Possible Downgrade Kinney Hill Credit Opportunities Fund, Ltd. -- US$385,000,000 Class A-1 Senior Secured Variable Funding Notes Due 2015, Downgraded to A1; previously on 10/22/2008 Downgraded to Aa3 and remains on Review for Possible Downgrade -- US$16,500,000 Class B-1 Secured Floating Rate Notes Due 2015, Downgraded to Ba1; previously on 10/22/2008 Downgraded to A2 and remains on Review for Possible Downgrade -- US$19,250,000 Class C-1 Secured Floating Rate Notes Due 2015, Downgraded to B1; previously on 10/22/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade -- US$19,250,000 Class D-1 Secured Floating Rate Notes Due 2015, Downgraded to Caa1; previously on 10/22/2008 Downgraded to B3 and remains on Review for Possible Downgrade McDonnell Loan Opportunity Ltd. 2006-2 -- Class A-5 First Senior Secured Floating Rate Notes, Downgraded to Aa3; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Class A-6 First Senior Secured Variable Funding Notes, Downgraded to Aa3; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Class A-7 First Senior Secured Variable Funding Swingline Notes, Downgraded to Aa3; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Class B-1 Second Senior Secured Floating Rate Notes, Downgraded to Ba2; previously on 7/9/2009 Aa2 Placed Under Review for Possible Downgrade -- Class C-2 Mezzanine Secured Floating Rate Notes, Downgraded to Caa2; previously on 10/10/2008 A2 Placed Under Review for Possible Downgrade -- 2006-2 Second Senior Credit, Downgraded to Ba2; previously on 7/9/2009 Aa2 Placed Under Review for Possible Downgrade -- 2006-2 Mezzanine Credit, Downgraded to Caa2; previously on 10/10/2008 A2 Placed Under Review for Possible Downgrade McDonnell Loan Opportunity Ltd. -- Class A-1 First Senior Secured Floating Rate Notes, Downgraded to Aa3; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Class A-2 First Senior Secured Variable Funding Notes, Downgraded to Aa3; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Class A-3 First Senior Secured Variable Funding Swingline Notes, Downgraded to Aa3; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Class C-1 Mezzanine Secured Floating Rate Notes, Downgraded to Caa2; previously on 10/10/2008 A2 Placed Under Review for Possible Downgrade -- Second Senior Credit, Downgraded to Ba2; previously on 7/9/2009 Aa2 Placed Under Review for Possible Downgrade -- Mezzanine Credit, Downgraded to Caa2; previously on 10/10/2008 A2 Placed Under Review for Possible Downgrade Oak Hill Credit Opportunities Financing, Ltd. -- $487,500,000 Class A-1 First Senior Secured Floating Rate Notes, due 2013, Downgraded to A2; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- $450,000,000 Class A-2a First Senior Secured Multi-currency Variable Funding Notes, due 2013, Downgraded to A2; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- $25,000,000 Class A-2b First Senior Secured Variable Funding Swingline Notes due 2013, Downgraded to A2; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- $46,000,000 Class B-1 Second Senior Secured Floati, Downgraded to Ba2; previously on 7/9/2009 Aa2 Placed Under Review for Possible Downgrade -- $47,000,000 Class C-1 Mezzanine Secured Floating Rate Notes, due 2013, Downgraded to B3; previously on 7/9/2009 A2 Placed Under Review for Possible Downgrade -- $48,000,000 Second Senior Term Loans, Downgraded to Ba2; previously on 7/9/2009 Aa2 Placed Under Review for Possible Downgrade -- $46,500,000 Mezzanine Term Loans, Downgraded to B3; previously on 7/9/2009 A2 Placed Under Review for Possible Downgrade OHA Finlandia Credit Fund -- $450,000,000 Class A-1 First Senior Secured Variable Funding Notes Due 2015, Confirmed at A2; previously on 7/9/2009 A2 Placed Under Review for Possible Downgrade OHSF Financing, Ltd. -- US$$89,000,000 Class A-1 First Senior Secured Floating Rate Notes due 2013, Downgraded to A1; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- US$$17,500,000 Class B-1 Second Senior Secured Floating Rate Notes due 2013, Downgraded to Ba1; previously on 7/9/2009 Aa2 Placed Under Review for Possible Downgrade -- US$$7,250,000 Class C-1 Mezzanine Secured Floating Rate Notes due 2013, Downgraded to B2; previously on 7/9/2009 A2 Placed Under Review for Possible Downgrade -- US$$10,000,000 Class C-2 Mezzanine Secured Fixed Rate Notes due 2013, Downgraded to B2; previously on 7/9/2009 A2 Placed Under Review for Possible Downgrade -- Senior Revolving Credit Facility, Downgraded to A1; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade OHSF II Financing, Ltd. -- US$$210,000,000 Class A-1 First Senior Secured Floating Rate Notes due 2013, Downgraded to A1; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- US$$230,000,000 Class A-2a First Senior Secured Multi- currency Variable Funding Notes due 2013, Downgraded to A1; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- US$$10,000,000 Class A-2b First Senior Secured Variable Funding Swingline Notes due 2013, Downgraded to A1; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- US$$6,500,000 Class B-1 Second Senior Secured Floating Rate Notes due 2013, Downgraded to Ba1; previously on 7/9/2009 Aa2 Placed Under Review for Possible Downgrade -- US$$14,000,000 Class C-1 Mezzanine Secured Floating Rate Notes due 2013, Downgraded to B2; previously on 7/9/2009 A2 Placed Under Review for Possible Downgrade -- US$$10,000,000 Class C-2 Mezzanine Secured Fixed Rate Notes due 2013, Downgraded to B2; previously on 7/9/2009 A2 Placed Under Review for Possible Downgrade -- Senior Term Loan, Downgraded to A1; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Second Senior Term Loan, Downgraded to Ba1; previously on 7/9/2009 Aa2 Placed Under Review for Possible Downgrade -- Mezzanine Term Loan, Downgraded to B2; previously on 7/9/2009 A2 Placed Under Review for Possible Downgrade Shiprock Finance, SPC SF-3 Segregated Portfolio -- US$150,000,000 Variable Funding Notes, Downgraded to Aa2; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade Stone Tower Credit Funding I Ltd. -- Series 2006-1 Revolving Notes, Downgraded to A3; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Series 2006-2 Term Notes, Downgraded to A3; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Series 2006-3 Delayed Funding Notes, Downgraded to A3; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Series 2006-4 Delayed Funding, Downgraded to A3; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Series 2007-1 Senior Secured Delayed Funding Notes due 2016, Downgraded to A3; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Series 2007-2 Senior Secured Delayed Funding Notes due 2016, Downgraded to A3; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade -- Series 2007-3 Senior Secured Revolving Notes due 2016, Downgraded to A3; previously on 7/9/2009 Aaa Placed Under Review for Possible Downgrade Symphony Credit Opportunities Fund Ltd. -- $364,000,000 Class A Senior Secured Variable Funding Notes Due 2015, Downgraded to Aa1; previously on 10/29/2008 Aaa Placed Under Review for Possible Downgrade -- $8,000,000 Class B Secured Floating Rate Notes Due 2015, Downgraded to Ba1; previously on 10/29/2008 Aa2 Placed Under Review for Possible Downgrade -- $5,000,000 Class C Secured Floating Rate Notes Due 2015, Downgraded to B1; previously on 10/29/2008 A2 Placed Under Review for Possible Downgrade -- $19,000,000 Class D Secured Floating Rate Notes Due 2015, Downgraded to Caa1; previously on 10/29/2008 Downgraded to B2 and Placed Under Review for Possible Downgrade -- $10,000,000 Loans under the Second Senior Credit Agreement, Downgraded to Ba1; previously on 10/29/2008 Aa2 Placed Under Review for Possible Downgrade -- $10,000,000 Loans under the Mezzanine Credit Agreement, Downgraded to B1; previously on 10/29/2008 A2 Placed Under Review for Possible Downgrade * S&P Downgrades Ratings on 37 Classes From Three RMBS Deals ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 37 classes from three residential mortgage-backed securities transactions backed by U.S. prime jumbo, Alternative-A, and subprime mortgage loan collateral issued in 2004 and 2006. S&P removed 22 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 13 classes from the same transactions. The downgrades, affirmations, and CreditWatch resolutions incorporate S&P's assessment of current losses as well as projected losses based on S&P's methodology and assumptions. The lowered ratings reflect S&P's belief that the amount of credit enhancement available for the downgraded classes is not sufficient to cover losses at the previous rating levels. Although cumulative losses were generally low compared with S&P's projected lifetime losses for the transactions reviewed, S&P is projecting an increase in losses due to increases in delinquencies and the current negative condition of the U.S. housing market. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for the classes is sufficient to cover losses associated with the existing rating levels. For a list of articles detailing how S&P derived its lifetime losses for the transactions S&P reviewed, see the "Related Research" section below. To maintain a 'AAA' rating for classes in Alt-A and subprime RMBS transactions, S&P considers whether a bond is able to withstand approximately 150% of S&P's base-case loss assumptions, subject to individual caps and qualitative factors assumed on specific transactions. For a class for which we've affirmed a 'B' rating, S&P consider whether a bond is able to withstand S&P's base-case loss assumptions. Other rating categories are dispersed, approximately equally, between these two loss assumptions. For example, to maintain a 'BB' rating on one class, S&P may consider whether the class is able to withstand approximately 110% of S&P's base-case loss assumptions, while, in connection with a different class, S&P may consider whether it is able to withstand approximately 120% of S&P's base-case loss assumptions to maintain a 'BBB' rating. For a class in a prime jumbo RMBS transaction to maintain a rating higher than 'B', S&P assessed whether, in its view, a bond could absorb losses in excess of the base-case loss assumptions S&P assumed in its analysis. For example, S&P assessed whether one class could, in its view, withstand approximately 130% of S&P's base-case loss assumptions in order to maintain a 'BB' rating, while S&P assessed whether a different class could withstand 155% of S&P's base-case loss assumption to maintain a 'BBB' rating. Each class that has an affirmed 'AAA' rating can, in S&P's view, withstand approximately 235% of S&P's base-case loss assumptions under S&P's analysis. The subordination of more-junior classes within each applicable structure, as well as excess interest for some structures, provides credit support for the affected transactions. In addition, some of the reviewed transactions may be collateralized by loans that are generally insured by third parties that cover a certain amount, up to a maximum, based on the insurer's regulations. The collateral backing these transactions originally consisted predominantly of fixed- or adjustable-rate, Alt-A, prime jumbo, or subprime residential mortgage loans secured by one- to four-family properties. S&P monitors these transactions to incorporate updated performance information to assess whether, in S&P's view, the applicable credit enhancement is sufficient to support the current ratings. S&P will continue to monitor these transactions and take additional rating actions as S&P thinks appropriate. Rating Actions CHL Mortgage Pass-Through Trust 2004-12 Series 2004-12 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12669FL76 BBB AAA/Watch Neg 1-A-2 12669FL84 BB AAA/Watch Neg 2-A-1 12669FL92 BB AAA/Watch Neg 3-A-1 12669FM26 BB AAA/Watch Neg 4-A-1 12669FM34 BB AAA/Watch Neg 5-A-1 12669FM42 BB AAA/Watch Neg 6-A-1 12669FM59 BB AAA/Watch Neg 7-A-1 12669FM67 BB AAA/Watch Neg 7-A-2 12669FM75 BB AAA/Watch Neg 8-A-1 12669FM83 BB AAA/Watch Neg 8-A-2 12669FM91 BB AAA/Watch Neg 9-A-1 12669FN25 BB AAA/Watch Neg 9-A-2 12669FN33 BB AAA/Watch Neg 10-A-1 12669FN41 BB AAA/Watch Neg 11-A-1 12669FN58 BB AAA/Watch Neg 11-A-2 12669FN66 BBB AAA/Watch Neg 11-A-3 12669FN74 BB AAA/Watch Neg 12-A-1 12669FN82 BB AAA/Watch Neg 13-A-1 12669FN90 BB AAA/Watch Neg I-M 12669FP23 CCC AA/Watch Neg II-M 12669FQ30 A AA I-B-1 12669FP31 CC A/Watch Neg II-B-1 12669FQ48 B A I-B-2 12669FP49 CC BBB/Watch Neg II-B-2 12669FQ55 CCC BBB II-B-3 12669FU92 CC B Citigroup Mortgage Loan Trust Inc. Series 2004-HYB4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-M 17307GMP0 A AA+ 2-B2 17307GMF2 CCC B 1-B3 17307GMA3 D CC Fieldstone Mortgage Investment Trust Series 2006-2 Series 2006-2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 31659EAA6 BB BBB 2-A2 31659EAC2 B BBB 2-A3 31659EAD0 B BBB M1 31659EAE8 CC B M2 31659EAF5 CC CCC M4 31659EAH1 D CC M5 31659EAJ7 D CC M6 31659EAK4 D CC Ratings Affirmed CHL Mortgage Pass-Through Trust 2004-12 Series 2004-12 Class CUSIP Rating ----- ----- ------ 14-A-1 12669FP56 AAA 14-A-3 12669FP72 AAA 15-A-1 12669FP80 AAA 16-A-1 12669FP98 AAA 16-A-2 12669FV42 AAA II-X 12669FQ22 AAA Citigroup Mortgage Loan Trust Inc. Series 2004-HYB4 Class CUSIP Rating ----- ----- ------ H-AI 17307GLW6 AAA H-AII 17307GLX4 AAA A-A 17307GMC9 AAA A-X 17307GMD7 AAA 1-B1 17307GLY2 CCC 2-B1 17307GME5 AA Fieldstone Mortgage Investment Trust Series 2006-2 Series 2006-2 Class CUSIP Rating ----- ----- ------ 2-A1 31659EAB4 AAA * S&P Downgrades Ratings on 74 Tranches From 34 Hybrid CDOs ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 74 tranches from 34 U.S. cash flow and hybrid collateralized debt obligation transactions. At the same time, S&P removed 63 of the lowered ratings from CreditWatch with negative implications. The ratings on seven of the downgraded tranches are on CreditWatch with negative implications, indicating a significant likelihood of further downgrades. S&P withdrew one short-term rating because the commercial paper program has been placed with the liquidity bank. S&P also withdrew other short-term ratings on tranches from transactions that have converted to long-term notes. The CDO downgrades reflect a number of factors, including credit deterioration and recent negative rating actions on U.S. subprime residential mortgage-backed securities. The CreditWatch placements primarily affect transactions for which a significant portion of the collateral assets currently have ratings on CreditWatch with negative implications or have significant exposure to assets rated in the 'CCC' category. The 74 downgraded U.S. cash flow and hybrid tranches have a total issuance amount of $26.104 billion. Eighteen of the 34 affected transactions are mezzanine structured finance CDOs of asset-backed securities, which are collateralized in large part by mezzanine tranches of RMBS and other SF securities. The other sixteen 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 New World Funding 2008-1 Ltd. and, based on the current credit support available to the tranche, has left the rating at its current level. Standard & Poor's will continue to monitor the CDO transactions it rates and take rating actions, including CreditWatch placements, when appropriate. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- ACA ABS 2003-1 Ltd. A-R CC BB-/Watch Neg ACA ABS 2003-1 Ltd. A-T CC BB-/Watch Neg BFC Genesee CDO Ltd. A-1LA CC B/Watch Neg BFC Genesee CDO Ltd. A-1LB CC CCC-/Watch Neg Blue Edge ABS CDO Ltd. A-1 CC BB/Watch Neg Blue Edge ABS CDO Ltd. A-2 CC CCC+/Watch Neg Blue Edge ABS CDO Ltd. A-3 CC CCC-/Watch Neg Blue Edge ABS CDO Ltd. B-1 CC CCC-/Watch Neg Blue Edge ABS CDO Ltd. B-2 CC CCC-/Watch Neg Broderick CDO 1 Ltd. A-1NVA CC BB+/Watch Neg Broderick CDO 1 Ltd. A-1NVB CC BB+/Watch Neg Broderick CDO 1 Ltd. A-1V CC BB+/Watch Neg Broderick CDO 1 Ltd. A-2 CC CCC-/Watch Neg Buckingham CDO Ltd. ACP CC/NR BBB-/A-3/WatchNeg Buckingham CDO Ltd. B CC B+/Watch Neg Buckingham CDO II Ltd. A LT CC/NR BB/B/Watch Neg Buckingham CDO II Ltd. B CC CCC+/Watch Neg Capella Funding Ltd. 1 BB+ A Capella Funding Ltd. A NR AAA Capella Funding Ltd. B BBB AA C-BASS CBO XIX Ltd. A-1 CC B/Watch Neg Crystal Cove CDO Ltd. A1 CC B-/Watch Neg Duke Funding VII Ltd. I-A1 CCC-/Watch Neg BB/Watch Neg Duke Funding VII Ltd. I-A2 CCC-/Watch Neg BB/Watch Neg Duke Funding VII Ltd. I-A2v CCC-/Watch Neg BB/Watch Neg Gemstone CDO V Ltd. A-1 CC BB-/Watch Neg Harp High Grade CDO I Ltd. A-1 CC BB/Watch Neg Kent Funding III Ltd. A-1 CC B-/Watch Neg Klio II Funding Ltd. A LT B-/NR/Watch Neg B-/B/Watch Neg Klio III Funding Ltd. A-1 CC B+/Watch Neg Klio III Funding Ltd. A-2 CC CCC-/Watch Neg Klio III Funding Ltd. ABCP CCC-/NR BBB/A-2/Watch Neg Lexington Capital Funding A-1ANV CCC- B/Watch Neg Lexington Capital Funding A-1AV CCC- B/Watch Neg Lexington Capital Funding A-1B CCC- B/Watch Neg Libertas Preferred Funding I Ltd. A-1 CC B+/Watch Neg Libertas Preferred Funding I Ltd A-2 CC CCC-/Watch Neg Liberty Harbour II CDO Ltd. ACP NR/NR CCC/C Marathon Structured Funding I LLC A-1 CC B/Watch Neg McKinley Funding Ltd. ABCP CC/NR BB/B/Watch Neg McKinley Funding Ltd. A-1 CC B-/Watch Neg Mercury CDO III Ltd. A-1 CC B-/Watch Neg Mercury CDO III Ltd. A-2 CC CCC-/Watch Neg Millstone III CDO Ltd. A-1A CC BB+/Watch Neg Millstone III CDO Ltd. A-1B CC B-/Watch Neg Millstone III CDO Ltd. A-2 CC CCC+/Watch Neg Millstone III CDO Ltd. B CC CCC-/Watch Neg MKP CBO III Ltd. B BBB/Watch Neg A+ MKP CBO III Ltd. B/C Combo CCC+/Watch Neg B+ MKP CBO III Ltd. C CC CCC- Monroe Harbor CDO 2005-1 A-1A CC B+/Watch Neg Monroe Harbor CDO 2005-1 A-1B CC B+/Watch Neg Monroe Harbor CDO 2005-1 A-2 CC CCC/Watch Neg Northlake CDO I Ltd. I-A CC B/Watch Neg Northlake CDO I Ltd. I-MM A-/NR/Watch Neg AAA/A-1+ Pinnacle Point Funding Ltd. A-1 CC CCC-/Watch Neg Pinnacle Point Funding Ltd. ABCP B-/NR/Watch Neg AA-/A-1+/WatchNeg RFC CDO IV Ltd. A-2 CC CCC/Watch Neg Ridgeway Court Funding I A1M CC B/Watch Neg Ridgeway Court Funding I A1Q CC B/Watch Neg Saturn Ventures II Ltd. A-1 AA/NR/Watch Neg AA/A-1+/Watch Neg Sherwood Funding CDO II A-1 CC B/Watch Neg South Coast Funding I Ltd. A-1 CC B/Watch Neg South Coast Funding III A 1B CC B-/Watch Neg South Coast Funding III A-1A CC B-/Watch Neg South Coast Funding III A-2 CC CCC-/Watch Neg Stack 2006-1 Ltd. I CC B-/Watch Neg Stack 2006-1 Ltd. II CC CCC/Watch Neg Summer Street 2005-1 Ltd. A-1 CC BB+/Watch Neg Summer Street 2005-1 Ltd. A-2 CC CCC- Tazlina Funding CDO I Ltd. A-1 CC B-/Watch Neg Tazlina Funding CDO I Ltd. A-2 CC CCC-/Watch Neg Topanga CDO Ltd. A-1 CC BB-/Watch Neg Topanga CDO Ltd. A-2 CC CCC+/Watch Neg West Trade Funding CDO I A-1 CC B/Watch Neg West Trade Funding CDO I A-2 CC CCC+/Watch Neg West Trade Funding CDO I B CC CCC/Watch Neg West Trade Funding CDO I C CC CCC-/Watch Neg Whitehawk CDO Funding Ltd. A-1MT-g NR AA Other Ratings Reviewed Transaction Class Rating ----------- ----- ------ ACA ABS 2003-1 Ltd. A-M CC ACA ABS 2003-1 Ltd. B CC ACA ABS 2003-1 Ltd. C CC ACA ABS 2003-1 Ltd. D CC BFC Genesee CDO Ltd. A-2L CC BFC Genesee CDO Ltd. A-3L CC BFC Genesee CDO Ltd. B-1L CC Blue Edge ABS CDO Ltd. C CC Blue Edge ABS CDO Ltd. D-1 CC Blue Edge ABS CDO Ltd. D-2 CC Blue Edge ABS CDO Ltd. E CC Broderick CDO 1 Ltd. B CC Broderick CDO 1 Ltd. C CC C-BASS CBO XIX Ltd. A-2 CC C-BASS CBO XIX Ltd. B CC C-BASS CBO XIX Ltd. C CC C-BASS CBO XIX Ltd. D CC Crystal Cove CDO Ltd. A2 CC Crystal Cove CDO Ltd. B CC Crystal Cove CDO Ltd. C1 CC Crystal Cove CDO Ltd. C2 CC Duke Funding VII Ltd. II CC Duke Funding VII Ltd. III-A CC Duke Funding VII Ltd. III-B CC Duke Funding VII Ltd. IV-A CC Duke Funding VII Ltd. IV-B CC Gemstone CDO V Ltd. A-2 CC Gemstone CDO V Ltd. A-3 CC Gemstone CDO V Ltd. A-4 CC Gemstone CDO V Ltd. B CC Gemstone CDO V Ltd. C CC Gemstone CDO V Ltd. D CC Gemstone CDO V Ltd. E CC Harp High Grade CDO I Ltd. A-2 CC Harp High Grade CDO I Ltd. B CC Harp High Grade CDO I Ltd. C CC Harp High Grade CDO I Ltd. D CC Kent Funding III Ltd. A-2 CC Kent Funding III Ltd. A-3 CC Kent Funding III Ltd. B CC Kent Funding III Ltd. C CC Kent Funding III Ltd. D CC Klio III Funding Ltd. B CC Klio III Funding Ltd. C CC Klio III Funding Ltd. Pref Shrs CC Lexington Capital Funding A-2 CC Lexington Capital Funding B CC Lexington Capital Funding C CC Lexington Capital Funding D CC Lexington Capital Funding E CC Libertas Preferred Funding I Ltd. B CC Libertas Preferred Funding I Ltd. C CC Libertas Preferred Funding I Ltd. D CC Libertas Preferred Funding I Ltd. E CC Libertas Preferred Funding I Ltd. F CC Libertas Preferred Funding I Ltd. G CC Mercury CDO III Ltd. B CC Mercury CDO III Ltd. C CC Mercury CDO III Ltd. D CC Millstone III CDO Ltd. C CC Millstone III CDO Ltd. D-1 CC Millstone III CDO Ltd. D-2 CC MKP CBO III Ltd. A Combo AAA MKP CBO III Ltd. A-1 AAA MKP CBO III Ltd. A-2 AAA Monroe Harbor CDO 2005-1 B CC New World Funding 2008-1 A-1S AA Northlake CDO I Ltd. II CC Northlake CDO I Ltd. III CC Pinnacle Point Funding Ltd. A-2 CC Pinnacle Point Funding Ltd. B CC RFC CDO IV Ltd. A-3 CC RFC CDO IV Ltd. B CC RFC CDO IV Ltd. C CC RFC CDO IV Ltd. D CC Ridgeway Court Funding I A2 CC Ridgeway Court Funding I A3 CC Ridgeway Court Funding I A4 CC Ridgeway Court Funding I B CC Ridgeway Court Funding I C CC Ridgeway Court Funding I Q CC Sherwood Funding CDO II A-2 CC Sherwood Funding CDO II B CC Sherwood Funding CDO II C CC Sherwood Funding CDO II D CC South Coast Funding I Ltd. A-2 CC South Coast Funding III A-3A CC South Coast Funding III A-3B CC South Coast Funding III B CC South Coast Funding III C CC Stack 2006-1 Ltd. III CC Stack 2006-1 Ltd. IV CC Stack 2006-1 Ltd. V CC Stack 2006-1 Ltd. VI CC Stack 2006-1 Ltd. VII CC Summer Street 2005-1 Ltd. A-3 CC Summer Street 2005-1 Ltd. B CC Summer Street 2005-1 Ltd. C CC Tazlina Funding CDO I Ltd. B CC Tazlina Funding CDO I Ltd. C CC Tazlina Funding CDO I Ltd. D CC Topanga CDO Ltd. B CC Topanga CDO Ltd. C CC West Trade Funding CDO I D CC West Trade Funding CDO I E CC * S&P Downgrades Ratings on 1,050 Classes From 72 RMBS Deals ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 1,050 classes from 72 U.S. prime jumbo and Alterative-a residential mortgage-backed securities transactions issued from 2005 to 2007 and removed 717 of the ratings from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on 285 classes from 37 of these transactions, as well as two additional transactions, and removed 122 of the ratings from CreditWatch negative. The downgrades reflect S&P's opinion that the projected credit support for the affected classes is insufficient to maintain the previous ratings, given S&P's current projected losses. For more information about the methodology S&P used to review these transactions, see the "Related Research" section at the end of this press release. To assess the creditworthiness of each class, S&P review the respective transaction's ability to withstand additional credit deterioration, and the impact that projected losses will have on each class. In order to maintain a 'B' rating on a class, S&P assesses whether the class can withstand the base-case loss assumptions S&P uses in its analysis. For transactions backed by prime-jumbo collateral, to maintain an 'AAA' rating, S&P assesses whether the class can withstand approximately 235% of S&P's base- case loss assumptions, subject to individual caps and qualitative factors applied to specific transactions. To maintain a rating in categories between 'B' (the base case) and 'AAA', S&P assesses whether the class can withstand losses exceeding the base-case assumption at a percentage specific to each rating category, up to 235% for a 'AAA' rating. For example, S&P would assesses whether one class could withstand approximately 130% of S&P's base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 155% of S&P's base-case loss assumptions to maintain a 'BBB' rating. For transactions backed by Alt-A collateral, to maintain a 'AAA' rating, S&P assesses whether the class can withstand approximately 150% of S&P's base-case loss assumptions, subject to individual caps and qualitative factors applied to specific transactions. To maintain a rating in categories between 'B' (the base case) and 'AAA', S&P assess whether the class can withstand losses exceeding the base-case assumption at a percentage specific to each rating category, up to 150% for a 'AAA' rating. For example, S&P would assess whether one class could withstand approximately 110% of S&P's base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 120% of S&P's base-case loss assumptions to maintain a 'BBB' rating. S&P also lowered its ratings on certain senior classes due to principal shortfalls/write-downs in the final period of particular cash flow scenarios. These classes may not have experienced any principal shortfalls/write-downs in any of the prior periods of the particular stress scenario; however, the structural mechanics of the transaction created circumstances in which one or more classes within a transaction may have relied on principal proceeds to satisfy interest amounts due in earlier periods, thus resulting in a write-down in the final period. The use of principal to satisfy interest obligations is generally created within structures that utilize cross-collateralization and contain multiple loan groups. Based on certain stress scenarios, if a particular group is performing worse than another group or set of groups, that group can become undercollateralized when S&P compare the group collateral balance with the related senior class balance(s). Based on the defined interest amount needed to satisfy the interest liability of the related class(es), interest shortfalls may occur due to a group collateral balance that is insufficient to produce the necessary interest obligations of the related liabilities. Generally, cross-collateralization is designed to allow overcollateralized groups to provide cash flow to undercollateralized groups in order to mitigate this issue. However, if the overcollateralized group has a pass-through rate that is lower than the pass-through rate of the undercollateralized group, available interest may not be sufficient to satisfy the undercollateralized group's interest requirement. Therefore, the principal portion of available funds may be used to satisfy interest obligations based on the interest-principal payment priority within the structure. In the final period, a situation may occur in which available funds are not sufficient to satisfy the interest and principal requirements necessary to pay the bond in full, as principal in prior periods was used to satisfy interest obligations. Additionally, in some cases, even super-senior certificates can be exposed to this issue due to the fact that structures may pay principal pro rata with senior support classes. Although the senior class was not exposed to a write-down in any of the prior periods, the senior class could be susceptible to a write-down in the final period due to the aforementioned issues. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. Subordination provides credit support for the affected transactions. The underlying pool of loans backing these transactions consists of fixed- and adjustable-rate, first-lien, prime jumbo and Alt-A mortgage loans. Rating Actions Banc of America Funding 2005-3 Trust Series 2005-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05946XVH3 AAA AAA/Watch Neg 1-A-2 05946XVJ9 AAA AAA/Watch Neg 1-A-3 05946XVK6 AAA AAA/Watch Neg 1-A-4 05946XVL4 AAA AAA/Watch Neg 1-A-5 05946XVM2 AAA AAA/Watch Neg 1-A-6 05946XVN0 AAA AAA/Watch Neg 1-A-7 05946XVP5 AAA AAA/Watch Neg 1-A-8 05946XVQ3 AAA AAA/Watch Neg 1-A-9 05946XVR1 AAA AAA/Watch Neg 1-A-10 05946XVS9 AAA AAA/Watch Neg 1-A-13 05946XVV2 AAA AAA/Watch Neg 1-A-14 05946XVW0 AAA AAA/Watch Neg 1-A-15 05946XVX8 AAA AAA/Watch Neg 1-A-16 05946XVY6 AAA AAA/Watch Neg 1-A-17 05946XVZ3 AAA AAA/Watch Neg 1-A-18 05946XWA7 AAA AAA/Watch Neg 1-A-19 05946XWB5 AAA AAA/Watch Neg 1-A-20 05946XWC3 AAA AAA/Watch Neg 1-A-21 05946XWD1 AAA AAA/Watch Neg 1-A-22 05946XWE9 AAA AAA/Watch Neg 1-A-23 05946XWF6 AAA AAA/Watch Neg 1-A-24 05946XWG4 AAA AAA/Watch Neg 1-A-25 05946XWH2 AAA AAA/Watch Neg 30-PO 05946XWM1 AAA AAA/Watch Neg B-1 05946XWX7 AA AA/Watch Neg B-2 05946XWY5 BBB A/Watch Neg B-3 05946XWZ2 B BBB/Watch Neg B-4 05946XXA6 CCC BB/Watch Neg B-5 05946XXB4 CC B/Watch Neg Banc of America Funding 2006-7 Trust Series 2006-7 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05951KAB9 BBB AAA 1-A-2 05951KAC7 CCC AAA 1-A-3 05951KAD5 BBB AAA/Watch Neg 1-A-4 05951KAE3 BBB AAA 1-A-5 05951KAF0 CCC AAA 1-A-7 05951KAH6 BBB AAA 1-A-8 05951KAJ2 BBB AAA 1-A-9 05951KAK9 CCC AAA 1-A-10 05951KAL7 CCC AAA 1-A-11 05951KAM5 CCC AAA 1-A-12 05951KAN3 CCC AAA 30-IO 05951KAP8 BBB AAA 30-PO 05951KAQ6 CCC AAA T2-A-1 05951KAX1 CC B/Watch Neg T2-A-2 05951KAY9 CC B/Watch Neg T2-A-3 05951KAZ6 CC B/Watch Neg T2-A-4 05951KBA0 CC B/Watch Neg T2-A-5 05951KBB8 CCC BB/Watch Neg T2-A-6 05951KBC6 CC B/Watch Neg T2-A-7 05951KBD4 CCC AA/Watch Neg T2-A-8 05951KBE2 CC B/Watch Neg T2-A-A 05951KBF9 CC B/Watch Neg T2-A-B 05951KBG7 CC B/Watch Neg T2-M-1 05951KBH5 CC CCC T2-M-2 05951KBJ1 CC CCC T2-M-3 05951KBK8 CC CCC T2-M-4 05951KBL6 D CCC T2-M-5 05951KBM4 D CCC T2-M-6 05951KBN2 D CCC Banc of America Mortgage 2006-3 Trust Series 2006-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-13 05950LAN2 BBB+ AA 1-A-15 05950LAQ5 BBB+ AA 30-IO 05950LAT9 BBB+ AA Banc of America Mortgage 2007-3 Trust Series 2007-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05954CAA6 CCC BBB 1-A-2 05954CAB4 CCC B 1-PO 05954CAD0 CCC B 2-A-1 05954CAE8 B- BBB 2-A-2 05954CAF5 B- BBB 2-A-3 05954CAG3 CCC B 2-A-4 05954CAH1 B- BBB 2-A-5 05954CAJ7 B- BBB 2-A-6 05954CAK4 B- BBB 2-A-7 05954CAL2 B- BBB 2-A-8 05954CAM0 CCC BBB 2-A-9 05954CAN8 CCC B 2-A-10 05954CAP3 B- BBB 2-A-11 05954CAQ1 B- BBB 2-A-12 05954CAR9 B- BBB 2-A-13 05954CAS7 B- BBB 2-A-14 05954CAT5 B- BBB 2-A-15 05954CAU2 B- BBB 2-A-16 05954CAV0 B- BBB 2-A-17 05954CAW8 B- BBB 2-A-18 05954CAX6 B- BBB 2-A-19 05954CAY4 B- BBB 2-A-20 05954CAZ1 B- BBB 2-A-21 05954CBA5 B- BBB 2-A-22 05954CBB3 B- BBB 2-A-23 05954CBC1 B- BBB 2-IO 05954CBD9 B- BBB Banc of America Mortgage Securities Inc Series 2005-L Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05949CPD2 CCC AAA/Watch Neg 1-A-2 05949CPE0 CCC AAA/Watch Neg 2-A-1 05949CPG5 B- AAA/Watch Neg 2-A-2 05949CPH3 CCC AAA/Watch Neg 2-A-3 05949CPJ9 B AAA/Watch Neg 2-A-4 05949CPK6 B AAA/Watch Neg 2-A-5 05949CPL4 B AAA/Watch Neg 3-A-1 05949CPM2 AAA AAA/Watch Neg 3-A-2 05949CPN0 BB- AAA/Watch Neg 4-A-1 05949CPP5 AAA AAA/Watch Neg 4-A-2 05949CPQ3 BB AAA/Watch Neg Chase Mortgage Finance Trust Series 2005-A1 Series 2005-A-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 16162WPB9 BB+ AAA/Watch Neg 1-A2 16162WPC7 CCC AAA/Watch Neg 2-A1 16162WPD5 B- AAA/Watch Neg 2-A2 16162WPE3 B- AAA/Watch Neg 2-A3 16162WPF0 B- AAA/Watch Neg 2-A4 16162WPG8 B- AAA/Watch Neg 2-A5 16162WPH6 CCC AAA/Watch Neg 3-A1 16162WPJ2 B+ AAA/Watch Neg 3-A2 16162WPK9 B+ AAA/Watch Neg 3-A3 16162WPL7 B+ AAA/Watch Neg 3-A4 16162WPM5 CCC AAA/Watch Neg Chase Mortgage Finance Trust Series 2006-S3 Series 2006-S3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 16162XAA5 CCC BBB/Watch Neg 1-A2 16162XAB3 CCC BBB/Watch Neg 1-A3 16162XAC1 CCC BBB/Watch Neg 1-A4 16162XAD9 CCC AAA/Watch Neg 1-A5 16162XAE7 CCC BBB/Watch Neg 1-A6 16162XAF4 CCC BBB/Watch Neg 1-A7 16162XAG2 CCC BBB/Watch Neg 1-AX 16162XAL1 CCC AAA/Watch Neg 2-A1 16162XAH0 CCC BBB/Watch Neg 2-A2 16162XAJ6 B- AA/Watch Neg 2-A3 16162XAK3 CCC BBB/Watch Neg 2-AX 16162XAM9 B- AA/Watch Neg A-P 16162XAW7 CCC BBB/Watch Neg A-M 16162XAP2 CCC BB/Watch Neg Chase Mortgage Finance Trust Series 2007-S2 Series 2007-S2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 16163EAA6 CCC AAA/Watch Neg 1-A2 16163EAB4 CCC A/Watch Neg 1-A3 16163EAC2 CCC A/Watch Neg 1-A4 16163EAD0 CCC A/Watch Neg 1-A5 16163EAE8 CCC A/Watch Neg 1-A6 16163EAF5 CCC A/Watch Neg 1-A7 16163EAG3 BB+ AAA/Watch Neg 1-A8 16163EAH1 CCC A/Watch Neg 1-A9 16163EAJ7 CCC AAA/Watch Neg 1-AX 16163EAK4 BB+ AAA/Watch Neg 2-A1 16163EAL2 CCC A/Watch Neg 2-A2 16163EAM0 CCC A/Watch Neg 2-A3 16163EAN8 CCC A/Watch Neg 2-AX 16163EAT5 CCC A/Watch Neg A-P 16163EAU2 CCC A/Watch Neg A-M 16163EAW8 CCC BBB/Watch Neg CHL Mortgage Pass-Through Trust 2005-17 Series 2005-17 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12669G5M9 B AAA/Watch Neg 1-A-2 12669G5N7 B AAA/Watch Neg 1-A-3 12669G5P2 B AAA 1-A-4 12669G5Q0 B AAA/Watch Neg 1-A-5 12669G5R8 B AAA/Watch Neg 1-A-6 12669G5S6 B AAA/Watch Neg 1-A-7 12669G5T4 BBB+ AAA/Watch Neg 1-A-8 12669G5U1 BBB+ AAA/Watch Neg 1-A-9 12669G5V9 B AAA/Watch Neg 1-A-10 12669G5W7 B AAA/Watch Neg 1-A-11 12669G5X5 B AAA/Watch Neg 1-A-12 12669G5Y3 B AAA PO 12669G6B2 B AAA/Watch Neg 2-A-1 12669G5Z0 BBB- AAA/Watch Neg 2-A-2 12669G6A4 B AAA/Watch Neg CHL Mortgage Pass-Through Trust 2005-HYB5 Series 2005-HYB5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12669GX97 B+ AAA/Watch Neg 1-A-2 12669GY21 B- AAA/Watch Neg 1-A-IO 12669GY39 B+ AAA 2-A-1 12669GY47 BB+ AAA/Watch Neg 2-A-2 12669GY54 B- AAA/Watch Neg 2-A-IO 12669GY62 BB+ AAA 3-A-1 12669GY70 B- AAA/Watch Neg 4-A-1 12669G6K2 BB- AAA/Watch Neg 4-A-2 12669G6L0 B- AAA/Watch Neg 4-A-IO 12669G6M8 BB- AAA M 12669GZ20 CCC AA/Watch Neg B-1 12669GZ38 CCC A/Watch Neg B-2 12669GZ46 CC BBB/Watch Neg CHL Mortgage Pass-Through Trust 2006-10 Series 2006-10 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 126694Z76 CCC B 1-A-2 126694Z84 CCC B 1-A-3 126694Z92 CCC B 1-A-4 1266942A5 CCC B 1-A-5 1266942B3 CCC B 1-A-6 1266942C1 CCC B 1-A-7 1266942D9 CCC B 1-A-9 1266942F4 CCC B 1-A-11 1266942H0 CCC B 1-A-12 1266942J6 CCC B 1-A-13 1266942K3 CCC B 1-A-14 1266942L1 CCC B 1-A-15 1266942M9 CCC B 1-A-16 1266942N7 CCC B 2-A-1 1266942Q0 CCC B 2-A-2 1266943A4 CCC B 2-X 1266942R8 CCC B PO 1266942S6 CCC B Citicorp Mortgage Securities Trust Series 2007-4 Series 2007-4 Rating ------ Class CUSIP To From ----- ----- -- ---- IA-11 17312XAL8 AAA AAA/Watch Neg Citicorp Mortgage Securities Trust, Series 2006-4 Series 2006-4 Rating ------ Class CUSIP To From ----- ----- -- ---- IA-4 17310DAD2 AA AAA IA-5 17310DAE0 AA AAA IA-9 17310DAJ9 AA AAA Citicorp Mortgage Securities Trust, Series 2007-3 Series 2007-3 Rating ------ Class CUSIP To From ----- ----- -- ---- IA-3 17312FAC7 BB+ AAA/Watch Neg Citigroup Mortgage Loan Trust Inc. Series 2005-7 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A-1B 17307GD62 B BB 2-A-2A 17307GB72 B+ AA 2-A-2B 17307GD70 B BB 2-A-3A 17307GB80 B- AA 2-A-3B 17307GD88 CCC BB 2-A4 17307GB98 B BB 2-A-5A 17307GC22 B+ AA 2-A-5B 17307GD96 B BB Citigroup Mortgage Loan Trust Inc. Series 2005-10 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A1A 17307GT40 CCC AAA/Watch Neg I-A2A 17307GT57 CCC AAA/Watch Neg I-A12B 17307GT65 CCC AAA/Watch Neg I-A3A 17307GT73 CCC AAA/Watch Neg I-A4A 17307GT81 CCC AAA/Watch Neg I-A34B 17307GT99 CCC AAA/Watch Neg I-A5A 17307GU22 CCC AAA/Watch Neg I-A5B 17307GU30 CCC AAA/Watch Neg I-B1 17307GU48 CC BBB/Watch Neg CSMC Mortgage Backed Trust 2006-7 Series 2006-7 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A-1 22942KAD2 B BBB+ 3-A-1 22942KAK6 CCC B 3-A-2 22942KAL4 CCC B 3-A-4 22942KAN0 CCC B D-X 22942KCQ1 B BBB+ DB3 22942KCX6 D CC CSMC Mortgage-Backed Trust Series 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 225470UH4 B- B 1-A-2 225470UJ0 B- B 1-A-3 225470UK7 B- B 1-A-6 225470UN1 B- B 1-A-7 225470UP6 B- B 2-A-1 225470UQ4 B- BBB 2-A-2 225470VN0 B- B 5-A-1 225470WC3 B- AAA 5-A-2 225470WD1 B- B D-X 225470WF6 BBB+ AAA A-P 225470WG4 B- B 3-A-1 225470UR2 BB+ AA 3-A-2 225470US0 BB+ AA 3-A-3 225470UT8 BB+ AA 3-A-4 225470UU5 BB+ AA 3-A-5 225470UV3 BB+ AA 3-A-6 225470UW1 BB+ AA 3-A-7 225470UX9 BB+ AA 3-A-8 225470UY7 BB+ AA 3-A-9 225470UZ4 BB+ AA 3-A-10 225470VA8 BB+ AA 3-A-11 225470VB6 BB+ AA 3-A-12 225470VC4 BB+ AA 3-A-13 225470VD2 BB+ AA 3-A-14 225470VE0 BB+ AA 3-A-15 225470VF7 BB+ AA 3-A-16 225470VG5 BB+ AA 3-A-17 225470VH3 BB+ AA 3-A-18 225470VJ9 BB+ AA 3-A-19 225470VK6 BB+ AA 3-A-21 225470VM2 BB+ AA 4-A-1 225470VQ3 BB+ AA 4-A-2 225470VR1 BB+ AA 4-A-3 225470VS9 BB+ AA 4-A-4 225470VT7 BB+ AA 4-A-5 225470VU4 BB+ AA 4-A-6 225470VV2 BB+ AA 4-A-7 225470VW0 BB+ AA 4-A-8 225470VX8 BB+ AA 4-A-9 225470VY6 BB+ AA 4-A-10 225470VZ3 BB+ AA 4-A-11 225470WA7 BB+ AA 4-A-12 225470WB5 BB+ AA 4-A-13 225470VP5 BB+ AA 4-A-14 225470WW9 BB+ AA D-B-2 225470WN9 CC CCC D-B-3 225470WP4 D CC First Horizon Mortgage Pass Through Trust 2006-3 Series 2006-3 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-4 32052RAD2 AAA AAA/Watch Neg I-A-5 32052RAE0 BBB- AAA/Watch Neg I-A-6 32052RAF7 BBB- AAA/Watch Neg I-A-7 32052RAG5 AAA AAA/Watch Neg I-A-8 32052RAH3 AAA AAA/Watch Neg I-A-10 32052RAK6 AAA AAA/Watch Neg I-A-11 32052RAL4 AAA AAA/Watch Neg I-A-12 32052RAM2 AAA AAA/Watch Neg I-A-13 32052RAN0 AAA AAA/Watch Neg I-A-14 32052RAP5 AAA AAA/Watch Neg I-A-15 32052RAQ3 BBB- AAA/Watch Neg I-A-PO 32052RAT7 BBB- AAA/Watch Neg II-A-1 32052RAV2 AAA AAA/Watch Neg II-A-PO 32052RAW0 AAA AAA/Watch Neg First Horizon Mortgage Pass Through Trust 2007-4 Series 2007-4 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 32056CAA7 B AAA/Watch Neg I-A-2 32056CAB5 CCC AAA/Watch Neg I-A-3 32056CAC3 B AAA/Watch Neg I-A-4 32056CAD1 CCC AAA/Watch Neg I-A-5 32056CAE9 B AAA/Watch Neg I-A-6 32056CAF6 B AAA/Watch Neg I-A-7 32056CAG4 CCC AAA/Watch Neg I-A-8 32056CAH2 B+ AAA/Watch Neg I-A-9 32056CAJ8 CCC AAA/Watch Neg I-A-10 32056CAK5 A- AAA/Watch Neg I-A-11 32056CAL3 CCC AAA/Watch Neg I-A-13 32056CAN9 CCC AAA/Watch Neg I-A-14 32056CAP4 B AAA/Watch Neg I-A-15 32056CAQ2 CCC AAA/Watch Neg I-A-16 32056CAR0 A- AAA/Watch Neg I-A-17 32056CAS8 A- AAA/Watch Neg I-A-PO 32056CAT6 CCC AAA/Watch Neg II-A-1 32056CAV1 AAA AAA/Watch Neg II-A-2 32056CAW9 CCC AAA/Watch Neg GMACM Mortgage Loan Trust 2005-AR3 Series 2005-AR3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 36185N6Y1 B- AAA/Watch Neg 2-A-1 36185N6Z8 BB- AAA/Watch Neg 2-A-2 36185N7A2 BB- AAA/Watch Neg 3-A-1 36185N7B0 A AAA/Watch Neg 3-A-2 36185N7C8 A AAA/Watch Neg 3-A-3 36185N7D6 AA AAA/Watch Neg 3-A-4 36185N7E4 A AAA/Watch Neg 4-A-1 36185N7F1 AA AAA/Watch Neg 4-A-2 36185N7G9 AAA AAA/Watch Neg 4-A-5 36185N7K0 AAA AAA/Watch Neg 5-A-1 36185N7L8 AAA AAA/Watch Neg 5-A-2 36185N7M6 AA AAA/Watch Neg M-1 36185N7P9 CCC AA/Watch Neg M-2 36185N7Q7 CCC A/Watch Neg M-3 36185N7R5 CC BBB/Watch Neg 4-A-3 36185N7H7 AAA AAA/Watch Neg GMACM Mortgage Loan Trust 2005-AR4 Series 2005-AR4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 76112BUD0 BB- AAA/Watch Neg 2-A-1 76112BUE8 B+ AAA/Watch Neg 2-A-2 76112BUF5 B+ AAA/Watch Neg 3-A-1 76112BUG3 BBB AAA/Watch Neg 3-A-2 76112BUH1 BBB AAA/Watch Neg 4-A-1 76112BUJ7 AAA AAA/Watch Neg 4-A-2 76112BUK4 A AAA/Watch Neg 5-A-1 76112BUL2 AAA AAA/Watch Neg 5-A-2 76112BUM0 A AAA/Watch Neg M-1 76112BUP3 B AA/Watch Neg M-2 76112BUQ1 CCC A/Watch Neg M-3 76112BUR9 CC BBB/Watch Neg GMACM Mortgage Loan Trust 2005-AR5 Series 2005-AR5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 76112BXX3 CCC AAA/Watch Neg 1-A-2 76112BXY1 CCC AAA/Watch Neg 2-A-1 76112BXZ8 CCC AAA/Watch Neg 2-A-2 76112BYA2 CCC AAA/Watch Neg 3-A-1 76112BYB0 BB- AAA/Watch Neg 3-A-2 76112BYC8 BB- AAA/Watch Neg 4-A-1 76112BYD6 AA AAA/Watch Neg 4-A-2 76112BYE4 BB AAA/Watch Neg 5-A-1 76112BYF1 BB AAA/Watch Neg GMACM Mortgage Loan Trust 2005-AR6 Series 2005-AR6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 36185MBG6 B- AAA/Watch Neg 1-A-2 36185MBH4 B- AAA/Watch Neg 2-A-1 36185MBJ0 BB AAA/Watch Neg 2-A-2 36185MBK7 B- AAA/Watch Neg 3-A-1 36185MBL5 AA- AAA/Watch Neg 3-A-2 36185MBM3 B- AAA/Watch Neg 4-A-1 36185MBN1 A+ AAA/Watch Neg 4-A-2 36185MBP6 B- AAA/Watch Neg M-1 36185MBR2 CCC AA/Watch Neg M-2 36185MBS0 CC A/Watch Neg M-3 36185MBT8 CC BBB/Watch Neg GMACM Mortgage Loan Trust 2006-AR2 Series 2006-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 36185MET5 CCC AAA/Watch Neg 1-A-2 36185MEU2 CCC A/Watch Neg 2-A-1 36185MEV0 CCC AAA/Watch Neg 2-A-2 36185MEW8 CCC A/Watch Neg 3-A-1 36185MEX6 CCC AAA/Watch Neg 3-A-2 36185MEY4 CCC A/Watch Neg 4-A-1 36185MEZ1 BBB AAA/Watch Neg 4-A-2 36185MFA5 CCC A/Watch Neg 5-A-1A 36185MFB3 A AAA/Watch Neg 5-A-1B 36185MFC1 A AAA/Watch Neg 5-A-2 36185MFD9 CCC A/Watch Neg M-1 36185MFE7 CC B/Watch Neg M-2 36185MFF4 CC CCC GMACM Mortgage Loan Trust 2006-J1 Series 2006-J1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 36185MEB4 B BB A-2 36185MEC2 B BB A-3 36185MED0 B- BB A-4 36185MEE8 B BB A-6 36185MEG3 AA- AAA A-7 36185MEH1 B- BB PO 36185MEJ7 B- BB IO 36185MEK4 AA- AAA GSR Mortgage Loan Trust 2005-4F Series 2005-4F Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1 36242DV91 AAA AAA/Watch Neg 2A-1 36242DW25 AAA AAA/Watch Neg 3A-1 36242DW33 AAA AAA/Watch Neg 4A-1 36242DW41 AAA AAA/Watch Neg 4A-2 36242DW58 AAA AAA/Watch Neg 4A-3 36242DW66 AAA AAA/Watch Neg 4-A4 36242DW74 AAA AAA/Watch Neg 4-A5 36242DW82 AAA AAA/Watch Neg 4A-6 36242DW90 AAA AAA/Watch Neg 4A-7 36242DX24 AAA AAA/Watch Neg 4A-8 36242DX32 AAA AAA/Watch Neg 4A-9 36242DX40 AAA AAA/Watch Neg 4A-10 36242DX57 AAA AAA/Watch Neg 4A-11 36242DX65 AAA AAA/Watch Neg 4A-12 36242DX73 AAA AAA/Watch Neg 4A-13 36242DX81 AAA AAA/Watch Neg 5A-1 36242DX99 AAA AAA/Watch Neg 5A-2 36242DY23 AAA AAA/Watch Neg 6A-1 36242DY31 AAA AAA/Watch Neg A-P 36242DY56 AAA AAA/Watch Neg B1 36242DY64 AA AA/Watch Neg B2 36242DY72 CCC A/Watch Neg B3 36242DY80 CCC BBB/Watch Neg B4 36242DZ48 CCC BB/Watch Neg B5 36242DZ55 CC B/Watch Neg GSR Mortgage Loan Trust 2005-AR2 Series 2005-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A1 36242DH48 BBB- AAA/Watch Neg 1A2 36242DH55 BBB- AAA/Watch Neg 1A3 36242DH63 BBB- AAA/Watch Neg 2A1 36242DH71 BBB- AAA/Watch Neg 3A1 36242DH89 BBB- AAA/Watch Neg 4A1 36242DH97 BBB- AAA/Watch Neg 5A1 36242DJ20 AAA AAA/Watch Neg 2B1 36242DJ61 BBB- AA+/Watch Neg 1B1 36242DJ38 B- AA/Watch Neg 2B2 36242DJ79 CCC BBB/Watch Neg 1B2 36242DJ46 CCC A+/Watch Neg 2B3 36242DJ87 CC CCC 1B3 36242DJ53 CC BBB/Watch Neg 1B4 36242DK44 CC B/Watch Neg GSR Mortgage Loan Trust 2005-AR3 Series 2005-AR3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A1 36242D4R1 AAA AAA/Watch Neg 3A1 36242D4T7 BB AAA/Watch Neg 3A2 362341AL3 BB AAA/Watch Neg 4A1 36242D4U4 BB AAA/Watch Neg 5A1 36242D4V2 BB AAA/Watch Neg 6A1 36242D4W0 BBB+ AAA/Watch Neg 6A2 36242D4X8 BB AAA/Watch Neg 7A1 36242D4Y6 BB AAA/Watch Neg 8A1 36242D4Z3 AAA AAA/Watch Neg 8A2 36242D5A7 BB AAA/Watch Neg 2B1 36242D5F6 CCC AA/Watch Neg 1B1 36242D5C3 BBB- AA+/Watch Neg 2B2 36242D5G4 CCC A/Watch Neg 1B2 36242D5D1 B- A+/Watch Neg 1B3 36242D5E9 CCC BBB/Watch Neg 2B3 36242D5H2 CC BBB/Watch Neg 1B4 36242D5M1 CCC BB/Watch Neg 2B4 36242D5Q2 D BB/Watch Neg GSR Mortgage Loan Trust 2006-5F Series 2006-5F Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1 36297XAA1 B- AAA/Watch Neg 2A-1 36297XAB9 B- AAA/Watch Neg 2A-2 36297XAC7 B- AAA/Watch Neg 2A-3 36297XAD5 B- AAA/Watch Neg 2A-4 36297XAE3 B- AAA/Watch Neg 2A-5 36297XAF0 B- AAA/Watch Neg 2A-6 36297XAW3 B- AAA/Watch Neg 3A-1 36297XAG8 BBB- AAA/Watch Neg 3A-2 36297XAH6 B- AAA/Watch Neg 3A-3 36297XAX1 BBB- AAA/Watch Neg 3A-4 36297XAY9 BBB- AAA/Watch Neg 3A-5 36297XAZ6 BBB- AAA/Watch Neg 3A-6 36297XBA0 BBB- AAA/Watch Neg 3A-7 36297XBB8 BBB- AAA/Watch Neg 4A-1 36297XAJ2 B- AAA/Watch Neg 4A-2 36297XBC6 B- AAA/Watch Neg 5A-1 36297XAK9 B- AAA/Watch Neg A-P 36297XAL7 B- AAA/Watch Neg GSR Mortgage Loan Trust 2006-AR2 Series 2006-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- 2A1 36297TAB8 A AAA 2A2 36297TAC6 B- BBB 2A3 36297TAD4 CCC B 3A1 36297TAE2 B- BBB 3A2 36297TAF9 CCC B 4A1 36297TAG7 B- BBB 4A2 36297TAH5 CCC B 5A2 36297TAK8 CCC B 2B1 36297TAQ5 CC CCC 1B2 36297TAN2 B BBB 2B4 36297TAY8 D CC HarborView Mortgage Loan Trust 2005-4 Series 2005-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 41161PMV2 BBB- AAA/Watch Neg 2-A 41161PMW0 BBB- AAA/Watch Neg 3-A1 41161PMX8 BBB+ AAA/Watch Neg 3-A2 41161PMY6 BBB- AAA/Watch Neg 4-A 41161PMZ3 BBB- AAA/Watch Neg 5-A 41161PNA7 BBB- AAA/Watch Neg B-1 41161PNC3 B- AA/Watch Neg B-2 41161PND1 CCC A/Watch Neg B-3 41161PNE9 CC BBB/Watch Neg B-4 41161PNF6 CC BB/Watch Neg JPMorgan Mortgage Trust 2005-A3 Series 2005-A3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 466247PV9 AAA AAA/Watch Neg 2-A-1 466247PW7 AAA AAA/Watch Neg 3-A-1 466247PX5 AAA AAA/Watch Neg 3-A-2 466247PY3 AAA AAA/Watch Neg 3-A-3 466247PZ0 AAA AAA/Watch Neg 3-A-4 466247QA4 AAA AAA/Watch Neg 3-A-5 466247QB2 AAA AAA/Watch Neg 4-A-1 466247QC0 AAA AAA/Watch Neg 4-A-2 466247QD8 AAA AAA/Watch Neg 5-A-1 466247QE6 AAA AAA/Watch Neg 5-A-3 466247QG1 AAA AAA/Watch Neg 6-A-1 466247QH9 AAA AAA/Watch Neg 6-A-2 466247QJ5 AAA AAA/Watch Neg 6-A-3 466247QK2 AAA AAA/Watch Neg 6-A-4 466247QL0 AAA AAA/Watch Neg 6-A-5 466247QM8 AAA AAA/Watch Neg 6-A-6 466247RM7 AAA AAA/Watch Neg 6-A-7 466247QN6 AAA AAA/Watch Neg 7CA1 466247QP1 AA+ AAA/Watch Neg 7CA2 466247QQ9 A AAA/Watch Neg 8JA1 466247QR7 AAA AAA/Watch Neg 8JA2 466247QS5 A AAA/Watch Neg 9CA1 466247QT3 AAA AAA/Watch Neg 9CA2 466247QU0 A AAA/Watch Neg 10-J-1 466247QV8 AAA AAA/Watch Neg 10-J-2 466247QW6 A AAA/Watch Neg 11-A-1 466247QX4 AAA AAA/Watch Neg 11-A-2 466247QY2 AAA AAA/Watch Neg 11-A-3 466247QZ9 AAA AAA/Watch Neg 11-A-4 466247RA3 AAA AAA/Watch Neg I-B-1 466247RC9 BB+ AA/Watch Neg II-BA-1 466247RF2 B AA/Watch Neg III-B-1 466247RJ4 AA AA/Watch Neg I-B-2 466247RD7 CCC A/Watch Neg II-BA-2 466247RG0 CCC A/Watch Neg III-B-2 466247RK1 A A/Watch Neg I-B-3 466247RE5 CCC BBB/Watch Neg II-BA-3 466247RH8 CCC BBB/Watch Neg III-B-3 466247RL9 BBB BBB/Watch Neg I-B-4 466247PL1 CCC BB/Watch Neg II-BA-4 466247PP2 CCC BB/Watch Neg III-B-4 466247PS6 BB BB/Watch Neg I-B-5 466247PM9 CC B/Watch Neg II-BA-5 466247PQ0 CCC B/Watch Neg III-B-5 466247PT4 B B/Watch Neg JPMorgan Mortgage Trust 2005-A8 Series 2005-A8 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 466247YH0 AAA AAA/Watch Neg 1-A-2 466247YJ6 B+ AAA/Watch Neg 1-A-3 466247YK3 AAA AAA/Watch Neg 1-A-4 466247YL1 B+ AAA/Watch Neg 2-A-1 466247YM9 BBB AAA/Watch Neg 2-A-2 466247YN7 BBB AAA/Watch Neg 2-A-3 466247YP2 BBB AAA/Watch Neg 2-A-5 466247YR8 AAA AAA/Watch Neg 2-A-6 466247YS6 BBB AAA/Watch Neg 2-A-7 466247YT4 BBB AAA/Watch Neg 2-A-8 466247YU1 B+ AAA/Watch Neg 3-A-1 466247YV9 AA- AAA/Watch Neg 3-A-2 466247YW7 AA- AAA/Watch Neg 3-A-3 466247YX5 AA- AAA/Watch Neg 3-A-4 466247YY3 B+ AAA/Watch Neg 4-A-1 466247YZ0 B+ AAA/Watch Neg 6-A-1 466247ZB2 BBB- AAA/Watch Neg 6-A-2 466247ZC0 BBB- AAA/Watch Neg 6-A-3 466247ZD8 BBB- AAA/Watch Neg 6-A-4 466247ZE6 B+ AAA/Watch Neg B-1 466247ZF3 CCC AA/Watch Neg B-2 466247ZG1 CCC A/Watch Neg B-3 466247ZH9 CC BBB/Watch Neg B-4 466247ZJ5 CC BB/Watch Neg JPMorgan Mortgage Trust 2005-S2 Series 2005-S2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 466247UM3 BBB AAA/Watch Neg 1-A-2 466247UN1 BBB AAA/Watch Neg 1-A-3 466247UP6 BBB AAA/Watch Neg 1-A-4 466247UQ4 BBB AAA/Watch Neg 1-A-5 466247UR2 BBB AAA 1-A-6 466247US0 BBB AAA 2-A-1 466247UT8 BBB AAA/Watch Neg 2-A-2 466247UU5 BBB AAA/Watch Neg 2-A-3 466247UV3 BBB AAA/Watch Neg 2-A-4 466247UW1 BBB AAA/Watch Neg 2-A-5 466247UX9 BBB AAA/Watch Neg 2-A-6 466247UY7 BBB AAA/Watch Neg 2-A-7 466247UZ4 BBB AAA/Watch Neg 2-A-8 466247VA8 BBB AAA/Watch Neg 2-A-9 466247VB6 BBB AAA/Watch Neg 2-A-10 466247VC4 BBB AAA/Watch Neg 2-A-11 466247VD2 BBB AAA/Watch Neg 2-A-12 466247VE0 BBB AAA/Watch Neg 2-A-13 466247VF7 BBB AAA/Watch Neg 2-A-14 466247VG5 BBB AAA/Watch Neg 2-A-15 466247VH3 BBB AAA/Watch Neg 2-A-16 466247VJ9 BBB AAA/Watch Neg 2-A-X 466247VK6 BBB AAA A-P 466247VL4 BBB AAA/Watch Neg 3-A-1 466247VM2 BBB AAA/Watch Neg 4-A-1 466247VN0 B- AAA/Watch Neg 4-A-2 466247VP5 B- AAA/Watch Neg 4-A-3 466247VQ3 B- AAA/Watch Neg 4-A-4 466247VR1 B- AAA/Watch Neg 4-A-P 466247VT7 B- AAA/Watch Neg 4-A-X 466247VS9 B- AAA 4-B-1 466247VX8 CCC AA/Watch Neg 4-B-2 466247VY6 CC A/Watch Neg 4-B-3 466247VZ3 CC BBB/Watch Neg 4-B-4 466247WE9 CC B/Watch Neg 4-B-5 466247WF6 CC CCC JPMorgan Mortgage Trust 2006-S3 Series 2006-S3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 46629AAA9 CCC BBB/Watch Neg 1-A-2 46629AAB7 CCC BBB/Watch Neg 1-A-3 46629AAC5 CCC BBB/Watch Neg 1-A-4 46629AAD3 CCC BBB/Watch Neg 1-A-7 46629AAG6 CCC BBB/Watch Neg 1-A-8 46629AAH4 CCC BBB/Watch Neg 1-A-9 46629AAJ0 CCC BBB/Watch Neg 1-A-10 46629AAK7 CCC BBB/Watch Neg 1-A-11 46629AAL5 CCC BBB/Watch Neg 1-A-12 46629AAM3 CCC BBB/Watch Neg 1-A-13 46629AAN1 CCC BBB/Watch Neg 1-A-14 46629AAP6 CCC BBB/Watch Neg 1-A-15 46629AAQ4 CCC BBB/Watch Neg 1-A-16 46629AAR2 CCC BBB/Watch Neg 1-A-17 46629AAS0 CCC BBB/Watch Neg 1-A-18 46629AAT8 CCC BBB/Watch Neg 1-A-19 46629AAU5 CCC BBB/Watch Neg 1-A-21 46629AAW1 CCC AAA/Watch Neg 1-A-22 46629AAX9 CCC AAA/Watch Neg 1-A-23 46629AAY7 CCC BBB/Watch Neg 1-A-24 46629AAZ4 CCC AAA/Watch Neg 1-A-25 46629ABA8 CCC BBB/Watch Neg 1-A-26 46629ABB6 CCC AAA/Watch Neg 1-A-27 46629ABC4 CCC BBB/Watch Neg 1-A-28 46629ABD2 CCC AAA/Watch Neg 1-A-29 46629ABE0 CCC BBB/Watch Neg 1-A-30 46629ABF7 CCC BBB/Watch Neg 1-A-31 46629ABG5 CCC BBB/Watch Neg 2-A-1 46629ABR1 CCC BBB/Watch Neg 2-A-2 46629ABS9 CCC BBB/Watch Neg 2-A-3 46629ABT7 CCC BBB/Watch Neg 2-A-4 46629ABU4 CCC BBB/Watch Neg 2-A-5 46629ABV2 CCC BBB/Watch Neg 2-A-6 46629ABW0 CCC BBB/Watch Neg 2-A-7 46629ABX8 CCC BBB/Watch Neg 2-A-8 46629ABY6 CCC BBB/Watch Neg A-X 46629ABZ3 CCC AAA/Watch Neg A-P 46629ACA7 CCC BBB/Watch Neg JPMorgan Mortgage Trust 2007-A2 Series 2007-A2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 46630PAA3 B- AAA/Watch Neg 1-A-1M 46630PAB1 B- AAA/Watch Neg 1-A-1S 46630PAC9 B- AAA/Watch Neg 1-A-2 46630PAD7 CCC AAA/Watch Neg 2-A-1 46630PAE5 B+ AAA/Watch Neg 2-A-2 46630PAF2 B+ AAA/Watch Neg 2-A-3 46630PAG0 B+ AAA/Watch Neg 2-A-3M 46630PAH8 B+ AAA/Watch Neg 2-A-3S 46630PAJ4 B+ AAA/Watch Neg 2-A-3L 46630PAK1 B+ AAA/Watch Neg 2-A-3F 46630PAL9 B+ AAA/Watch Neg 2-A-4 46630PAM7 CCC AAA/Watch Neg 2-A-5 46630PAN5 B+ AAA/Watch Neg 2-A-5M 46630PBS3 B+ AAA/Watch Neg 2-A-5S 46630PBT1 B+ AAA/Watch Neg 3-A-1 46630PAP0 BBB+ AAA/Watch Neg 3-A-2 46630PAQ8 BBB+ AAA/Watch Neg 3-A-3 46630PAR6 BBB+ AAA/Watch Neg 3-A-3M 46630PAS4 BBB+ AAA/Watch Neg 3-A-3S 46630PAT2 BBB+ AAA/Watch Neg 3-A-3L 46630PAU9 BBB+ AAA/Watch Neg 3-A-3F 46630PAV7 BBB+ AAA/Watch Neg 3-A-4 46630PAW5 CCC AAA/Watch Neg 3-A-5 46630PAX3 BBB+ AAA/Watch Neg 4-A-1 46630PAY1 BBB- AAA/Watch Neg 4-A-1M 46630PAZ8 BBB- AAA/Watch Neg 4-A-1S 46630PBA2 BBB- AAA/Watch Neg 4-A-2 46630PBB0 BBB- AAA/Watch Neg 4-A-2M 46630PBC8 BBB- AAA/Watch Neg 4-A-2S 46630PBD6 BBB- AAA/Watch Neg 4-A-2L 46630PBE4 BBB- AAA/Watch Neg 4-A-2F 46630PBF1 BBB- AAA/Watch Neg 4-A-3 46630PBG9 CCC AAA/Watch Neg 4-A-4 46630PBH7 BBB- AAA/Watch Neg 4-A4-M 46630PBU8 BBB- AAA/Watch Neg 4-A-4S 46630PBV6 BBB- AAA/Watch Neg JPMorgan Mortgage Trust 2007-A5 Series 2007-A5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-2 46632BAD6 CCC B 2-A-1 46632BAE4 CCC BBB- 2-A-2 46632BAF1 CCC B 2-A-X 46632BAG9 CCC BBB- 3-A-1 46632BAH7 CCC BBB- 3-A-2 46632BAJ3 CCC B 3-A-X 46632BAK0 CCC BBB- 4-A-1 46632BAP9 AA- AAA 4-A-1M 46632BAQ7 AA- AAA 4-A-1S 46632BAR5 AA- AAA 4-A-2 46632BAS3 CCC B B-2 46632BAX2 CC CCC B-3 46632BAY0 CC CCC B-4 46632BBA1 D CC JPMorgan Mortgage Trust 2007-S1 Series 2007-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 46630RAA9 CCC A/Watch Neg 1-A-2 46630RAB7 CCC A/Watch Neg 1-A-3 46630RAC5 CCC A/Watch Neg 1-A-4 46630RAD3 CCC A/Watch Neg 2-A-1 46630RAE1 CCC AAA/Watch Neg 2-A-2 46630RAF8 CCC A/Watch Neg 2-A-3 46630RAG6 CCC AAA/Watch Neg 2-A-4 46630RAH4 CCC A/Watch Neg 2-A-5 46630RAJ0 CCC A/Watch Neg 2-A-6 46630RAK7 CCC A/Watch Neg 2-A-7 46630RAL5 CCC A/Watch Neg 2-A-8 46630RAM3 CCC A/Watch Neg 2-A-9 46630RAN1 CCC A/Watch Neg 2-A-10 46630RAP6 CCC A/Watch Neg 2-A-11 46630RAQ4 CCC A/Watch Neg 2-A-12 46630RAR2 CCC A/Watch Neg 2-A-13 46630RAS0 CCC A/Watch Neg 2-A-14 46630RAT8 CCC A/Watch Neg 2-A-15 46630RAU5 CCC A/Watch Neg 2-A-16 46630RAV3 CCC A/Watch Neg 2-A-17 46630RAW1 CCC A/Watch Neg 2-A-18 46630RAX9 CCC A/Watch Neg 2-A-19 46630RAY7 CCC A/Watch Neg 2-A-20 46630RAZ4 CCC A/Watch Neg 2-A-21 46630RBA8 CCC A/Watch Neg 2-A-22 46630RBB6 CCC A/Watch Neg 2-A-23 46630RBC4 CCC A/Watch Neg A-P 46630RBD2 CCC A/Watch Neg JPMorgan Mortgage Trust 2007-S2 Series 2007-S2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-4 46630WAD2 CCC BBB 1-A-5 46630WAE0 CCC BBB 1-A-8 46630WAH3 CCC B 1-A-2 46630WAB6 CCC B 1-A-9 46630WAJ9 CCC BB 1-A-11 46630WAL4 CCC BB A-X 46630WBE9 CCC BBB Lehman Mortgage Trust Series 2005-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A3 52520MAC7 B BB 2-A1 52520MAD5 B BB 2-A2 52520MAE3 BBB+ AAA 2-A3 52520MAF0 BBB+ AAA 2-A4 52520MAG8 BBB+ AAA 2-A5 52520MAH6 B BB 3-A1 52520MAJ2 B BB 4-A1 52520MAK9 B BB 4-A2 52520MAL7 B BB 4-A3 52520MAM5 B BB 4-A4 52520MAN3 B BB 4-A5 52520MAP8 B BB 4-A6 52520MAQ6 BBB+ AAA 4-A7 52520MAR4 B BB 4-A8 52520MAS2 B BB 4-A9 52520MAT0 BBB+ AAA 4-A10 52520MAU7 B BB 5-A1 52520MAV5 A- AAA 5-A2 52520MAW3 B BB 6-A1 52520MAX1 B BB 7-A1 52520MAY9 B BB AP 52520MAZ6 B BB B5 52520MBH5 D CC MASTR Adjustable Rate Mortgage Trust 2005-6 Series 2005-6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 576433ZX7 B- B 1-A-X 576433ZY5 B- B 2-A-1 576433ZZ2 CCC B 2-A-X 576433A22 CCC B 3-A-1 576433A30 CCC B 3-A-2 576433C46 CCC B 3-A-X 576433A48 CCC B 4-A-1 576433A55 CCC BB 4-A-2 576433A63 CCC B 5-A-1 576433A71 B- B 5-A-2 576433C53 B- B 5-A-X 576433A97 B- B 6-A-1 576433A89 B- B 7-A-1 576433B21 B- B MASTR Adjustable Rate Mortgage Trust 2005-7 Series 2005-7 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 576433D29 BB- AAA/Watch Neg 1-A-2 576433D37 CCC AAA/Watch Neg 2-A-1 576433D45 BB- AAA/Watch Neg 2-A-2 576433E36 CCC AAA/Watch Neg 3-A-1 576433D52 CCC AAA/Watch Neg 3-A-2 576433E44 CCC AAA/Watch Neg B-1 576433D86 CCC A/Watch Neg B-2 576433D94 CC BB/Watch Neg MASTR Asset Securitization Trust 2007-2 Series 2007-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 57646NAA7 B AAA A-2 57646NAB5 B+ AAA A-3 57646NAC3 B+ AAA A-4 57646NAD1 CCC BBB A-5 57646NAE9 CCC BBB A-P 57646NAG4 CCC BBB A-X 57646NAH2 B+ AAA B-I 57646NAJ8 CCC B B-1 57646NAK5 CCC B B-4 57646NAN9 CC CCC B-5 57646NAP4 CC CCC Merrill Lynch Mortgage Investors Trust Series 2005-A9 Series 2005-A9 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 59020UV77 BB+ AAA/Watch Neg 1-A-2 59020UV85 CCC AAA/Watch Neg 2-A-1A 59020UV93 BBB AAA/Watch Neg 2-A-1B 59020UZ40 BB+ AAA/Watch Neg 2-A-1C 59020UZ57 BB+ AAA/Watch Neg 2-A-1D 59020U2G9 B+ AAA/Watch Neg 2-A-1E 59020U2H7 B+ AAA/Watch Neg 2-A-2 59020UZ32 CCC AAA/Watch Neg 3-A-1 59020UW27 CCC AAA/Watch Neg 3-A-2 59020UW35 CCC AAA/Watch Neg 4-A-1 59020UW43 CCC AAA/Watch Neg 4-A-2 59020UW50 CCC AAA/Watch Neg 5-A-1 59020UW68 BBB AAA/Watch Neg 5-A-2 59020UW76 CCC AAA/Watch Neg M-1 59020UW92 CCC AA/Watch Neg M-2 59020UX26 CC A/Watch Neg M-3 59020UX34 CC BBB/Watch Neg B-1 59020UX42 CC BB/Watch Neg Morgan Stanley Mortgage Loan Trust 2005-4 Series 2005-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 61748HJV4 BBB- AAA/Watch Neg 1-A-X 61748HJW2 BBB- AAA 1-A-P 61748HJX0 BBB- AAA/Watch Neg 2-A-1 61748HJY8 BB+ AAA/Watch Neg 2-A-2 61748HJZ5 BB+ AAA/Watch Neg 3-A-1 61748HKA8 AA AAA/Watch Neg 3-A-2 61748HKB6 BB+ AAA/Watch Neg 4-A 61748HKC4 BB+ AAA/Watch Neg 5-A-1 61748HKD2 AA AAA/Watch Neg 5-A-2 61748HKE0 BB+ AAA/Watch Neg 5-A-3 61748HKF7 AA AAA/Watch Neg 5-A-4 61748HKG5 AAA AAA/Watch Neg 5-A-5 61748HKH3 BB+ AAA/Watch Neg 5-A-6 61748HKJ9 BB+ AAA/Watch Neg 5-A-P 61748HKK6 BB+ AAA/Watch Neg 6-A-1 61748HKL4 BB+ AAA/Watch Neg 6-A-2 61748HKM2 BB+ AAA B-1 61748HKN0 CCC AA/Watch Neg B-2 61748HKP5 CC A/Watch Neg B-3 61748HKQ3 CC BBB/Watch Neg B-4 61748HKS9 CC BB/Watch Neg Morgan Stanley Mortgage Loan Trust 2005-7 Series 2005-7 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 61748HNR8 BB- A/Watch Neg 1-A-X 61748HNS6 BB- A 1-A-P 61748HNT4 BB- A/Watch Neg 2-A-1 61748HNU1 AA- AAA/Watch Neg 2-A-2 61748HNV9 BB- A/Watch Neg 3-A-1 61748HNW7 A AAA/Watch Neg 3-A-2 61748HNX5 BB- A/Watch Neg 4-A-1 61748HNY3 BB- A/Watch Neg 4-A-2 61748HNZ0 AA+ AAA/Watch Neg 4-A-3 61748HPA3 BB- A/Watch Neg 4-A-4 61748HPB1 BB- A/Watch Neg 4-A-P 61748HPD7 BB- A/Watch Neg 5-A 61748HPE5 BB- A/Watch Neg 6-A-1 61748HPF2 BB- A/Watch Neg 6-A-2 61748HPG0 BB- A/Watch Neg 6-A-3 61748HPH8 BB- A/Watch Neg 6-A-X 61748HPJ4 BB- A 6-A-P 61748HPK1 BB- A/Watch Neg 7-A-1 61748HPL9 BB- A/Watch Neg 7-A-2 61748HPM7 BB- A/Watch Neg 7-A-3 61748HPN5 BB- A/Watch Neg 7-A-4 61748HPP0 AAA AAA/Watch Neg 7-A-5 61748HPQ8 AA+ AAA/Watch Neg 7-A-6 61748HPR6 AAA AAA/Watch Neg 7-A-7 61748HPS4 AA+ AAA/Watch Neg 7-A-8 61748HPT2 BB A/Watch Neg 7-A-9 61748HPU9 AAA AAA/Watch Neg 7-A-10 61748HPV7 BB- A/Watch Neg 7-A-P 61748HPX3 BB- A/Watch Neg B-1 61748HPY1 CCC B/Watch Neg B-2 61748HPZ8 CC CCC RFMSI Series 2005-SA2 Trust Series 2005-SA2 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A 76111XVE0 BB- AAA/Watch Neg II-A-1 76111XVF7 AAA AAA/Watch Neg II-A-2 76111XVG5 AAA AAA/Watch Neg III-A-1 76111XVH3 AAA AAA/Watch Neg III-A-3 76111XVK6 AAA AAA/Watch Neg IV-A 76111XVL4 AAA AAA/Watch Neg V-A 76111XVM2 BBB AAA/Watch Neg VI-A-1 76111XVN0 A+ AAA/Watch Neg VI-A-2 76111XVP5 A+ AAA/Watch Neg M-1 76111XVS9 B AA/Watch Neg M-2 76111XVT7 CCC A/Watch Neg M-3 76111XVU4 CC BBB+/Watch Neg M-4 76111XVV2 CC BBB-/Watch Neg III-A-2 76111XVJ9 AAA AAA/Watch Neg RFMSI Series 2005-SA3 Trust Series 2005-SA3 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A 76111XVZ3 CCC AAA/Watch Neg II-A-1 76111XWA7 BB+ AAA/Watch Neg II-A-2 76111XWB5 BB AAA/Watch Neg II-A-3 76111XWC3 BB AAA III-A 76111XWD1 BB+ AAA/Watch Neg IV-A 76111XWE9 BB+ AAA/Watch Neg M-1 76111XWF6 CCC AA/Watch Neg M-2 76111XWG4 CCC A+/Watch Neg M-3 76111XWH2 CCC BBB/Watch Neg RFMSI Series 2005-SA4 Trust Series 2005-SA4 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A1 76111XYC1 CCC AAA/Watch Neg I-A2-1 76111XYD9 CCC AAA/Watch Neg I-A2-2 76111XYE7 CCC AAA/Watch Neg I-A3-1 76111XYF4 B+ AAA/Watch Neg I-A3-2 76111XYG2 CCC AAA/Watch Neg II-A1 76111XYH0 BBB+ AAA/Watch Neg II-A2 76111XYJ6 BBB+ AAA/Watch Neg I-M-1 76111XYN7 CCC AA+/Watch Neg II-M-1 76111XYR8 CCC AA/Watch Neg I-M-3 76111XYQ0 CCC BB+/Watch Neg II-M-3 76111XYT4 CCC BBB/Watch Neg I-M-2 76111XYP2 CCC AA-/Watch Neg II-M-2 76111XYS6 CCC A/Watch Neg RFMSI Series 2006-S5 Trust Series 2006-S5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 74957EAA5 B BBB A-2 74957EAB3 B BBB A-10 74957EAK3 BB BBB A-16 74957EAR8 BB BBB RFMSI Series 2006-S8 Trust Series 2006-S8 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 74957XAA3 CCC A+/Watch Neg A-2 74957XAB1 CCC A+/Watch Neg A-3 74957XAC9 CCC A+/Watch Neg A-4 74957XAD7 A+ A+/Watch Neg A-5 74957XAE5 CCC A+/Watch Neg A-6 74957XAF2 BBB AAA/Watch Neg A-7 74957XAG0 CCC A+/Watch Neg A-8 74957XAH8 A+ A+/Watch Neg A-9 74957XAJ4 A+ A+/Watch Neg A-10 74957XAK1 CCC A+/Watch Neg A-11 74957XAL9 CCC A+/Watch Neg A-12 74957XAM7 CCC A+/Watch Neg A-13 74957XAN5 CCC A+/Watch Neg A-14 74957XAP0 CCC A+/Watch Neg A-15 74957XAQ8 CCC A+/Watch Neg A-16 74957XAR6 CCC A+/Watch Neg A-P 74957XAV7 CCC A+/Watch Neg A-V 74957XAW5 A+ AAA/Watch Neg RFMSI Series 2006-SA1 Trust Series 2006-SA1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 76111XG72 A AAA I-A-2 76111XG80 CCC B II-A-1 76111XG98 A+ AAA II-A-2 76111XH22 CCC B M-1 76111XH48 CC CCC Sequoia Mortgage Trust 2007-1 Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 81744HAA1 CCC AAA/Watch Neg 1-A2 81744HAB9 CCC BBB/Watch Neg 2-A1 81744HAD5 B+ AAA/Watch Neg 2-A2 81744HAE3 CCC BBB/Watch Neg 3-A1 81744HAF0 B+ AAA/Watch Neg 3-A2 81744HAG8 CCC BBB/Watch Neg 4-A1 81744HAH6 BB AAA/Watch Neg 4-A2 81744HAJ2 CCC BBB/Watch Neg 5-A1 81744HAK9 A+ AAA/Watch Neg 5-A2 81744HAL7 CCC BBB/Watch Neg STARM Mortgage Loan Trust 2007-4 Series 2007-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A1 78473WAA1 B- A 1A2 78473WAB9 CCC B 2A1 78473WAC7 B A 2A2 78473WAE3 B A 2A3 78473WAU7 CCC B 2X 78473WAD5 B A 3A1 78473WAF0 B+ A 3A2 78473WAG8 CCC B 4A1 78473WAH6 BB+ A 4A2 78473WAJ2 CCC B B2 78473WAM5 CC CCC B3 78473WAN3 CC CCC B4 78473WAR4 CC CCC B5 78473WAS2 D CCC Structured Adjustable Rate Mortgage Loan Trust Series 2005-17 Series 2005-17 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 863579VH8 AA AAA/Watch Neg 1-A2 863579VJ4 B AAA/Watch Neg 2-A1 863579VK1 BB- AAA/Watch Neg 2-A2 863579VL9 B AAA/Watch Neg 3-A1 863579VM7 BBB+ AAA/Watch Neg 3-A2 863579VN5 B AAA/Watch Neg B1-I 863579VY1 CCC AA+/Watch Neg B2-I 863579VZ8 CCC AA/Watch Neg B3-I 863579WA2 CC BBB/Watch Neg 4-A1 863579VP0 BBB AAA/Watch Neg 4-A2 863579VQ8 AAA AAA/Watch Neg 4-A3 863579VR6 AA AAA/Watch Neg 4-A4 863579VS4 BBB AAA/Watch Neg 4-A5 863579VT2 BBB- AAA/Watch Neg 5-A1 863579VV7 BBB AAA/Watch Neg 5-A2 863579VW5 BBB AAA/Watch Neg 5-A3 863579VX3 BBB AAA/Watch Neg 5-AX 863579WY0 BBB AAA B1-II 863579WD6 B- AA+/Watch Neg B2-II 863579WE4 CCC AA/Watch Neg B3-II 863579WF1 CCC A/Watch Neg B4-II 863579WG9 CC BBB/Watch Neg B5-II 863579WH7 CC BBB-/Watch Neg B6-II 863579WN4 CC BB/Watch Neg Structured Adjustable Rate Mortgage Loan Trust Series 2005-18 Series 2005-18 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 863579WZ7 BBB AA+ 1-A2 863579XA1 B- B 2-A 863579XB9 B- B 3-A1 863579XC7 BB BBB 3-A2 863579XD5 B- B 4-A1 863579XE3 B- B 4-A2 863579XF0 BB+ BBB 4-A3 863579XG8 B- B 5-A1 863579XH6 BBB+ AA+ 5-A2 863579XJ2 B- B 6-A1 863579XK9 BB- BBB 6-A2 863579XL7 B- B B4-I 863579YB8 D CC 8-A1 863579XR4 AA+ AAA 9-A2 863579XU7 A- AAA 9-A3 863579XV5 BBB+ AAA B1-II 863579YD4 B- B Structured Adjustable Rate Mortgage Loan Trust Series 2005-20 Series 2005-20 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 863579ZE1 CCC AAA/Watch Neg 1-A2 863579ZF8 CCC AAA/Watch Neg 2-A1 863579ZG6 B AAA/Watch Neg 2-A2 863579ZH4 CCC AAA/Watch Neg 3-A1 863579ZJ0 BB+ AAA/Watch Neg 3-A2 863579ZK7 BB+ AAA/Watch Neg 3-A3 863579ZL5 BB+ AAA/Watch Neg 3-AX 863579ZN1 BB+ AAA 4-A1 863579ZP6 BB+ AAA/Watch Neg 4-A2 863579ZQ4 BB+ AAA/Watch Neg B1-I 863579ZR2 CC A/Watch Neg B2-I 863579ZS0 CC BB/Watch Neg B1-II 863579ZW1 CCC AA+/Watch Neg B2-II 863579ZX9 CCC BBB/Watch Neg B3-II 863579ZY7 CC B/Watch Neg B4-II 863579ZZ4 CC CCC Structured Adjustable Rate Mortgage Loan Trust Series 2005-21 Series 2005-21 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 863579B23 CCC AAA/Watch Neg 2-A 863579B31 CCC AAA/Watch Neg 3-A1 863579B49 B- AAA/Watch Neg 3-A2 863579B56 CCC AAA/Watch Neg 4-A-1 863579B64 B AAA/Watch Neg 4-A-2 863579F37 CCC AAA/Watch Neg 5-A1 863579B72 BBB- AAA/Watch Neg 5-A2 863579B80 B AAA/Watch Neg 6-A1 863579B98 B AAA/Watch Neg 6-A2 863579C22 B AAA/Watch Neg 6-A3 863579C30 A AAA/Watch Neg 6-A4 863579C48 B AAA/Watch Neg 6-AX 863579C55 A AAA 7-A1 863579C63 B AAA/Watch Neg 7-A2 863579C71 B AAA/Watch Neg B1-II 863579D70 CCC AA+/Watch Neg B1-I 863579C89 CC A-/Watch Neg B2-I 863579C97 CC BBB/Watch Neg B2-II 863579D88 CC A/Watch Neg B3-I 863579D21 D BB/Watch Neg B3-II 863579D96 CC BB-/Watch Neg B5-II 863579E38 D CCC B4-II 863579E20 CC B-/Watch Neg Structured Asset Securities Corporation Trust 2005-16 Series 2005-16 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 86359DQK6 AA+ AAA/Watch Neg 1-A2 86359DQL4 AA+ AAA/Watch Neg 1-A3 86359DQM2 AA+ AAA/Watch Neg 1-A4 86359DQN0 B+ AAA/Watch Neg 2-A1 86359DQP5 AAA AAA/Watch Neg 2-A2 86359DQQ3 B+ AAA/Watch Neg 2-A3 86359DQR1 B+ AAA/Watch Neg 3-A1 86359DQS9 B+ AAA/Watch Neg 3-A2 86359DQT7 B+ AAA/Watch Neg AX 86359DQW0 B+ AAA PAX 86359DQX8 B+ AAA 4-A1 86359DQU4 B+ AAA/Watch Neg AP 86359DQV2 B+ AAA/Watch Neg B1 86359DQY6 CCC AA/Watch Neg B2 86359DQZ3 CCC AA-/Watch Neg B3 86359DRA7 CC A/Watch Neg B4 86359DRB5 CC A-/Watch Neg B5 86359DRC3 CC BBB/Watch Neg B6 86359DRD1 D BB/Watch Neg TBW Mortgage-Backed Trust Series 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 225470S87 CCC BB/Watch Neg 1-A-2 225470S95 CCC BB/Watch Neg 1-A-3 225470T29 A A/Watch Neg 1-A-4 225470T37 AA AA/Watch Neg 1-A-5 225470T45 CCC BB/Watch Neg 1-A-6 225470T52 CCC BB/Watch Neg 2-A-1 225470T60 CCC BB/Watch Neg 3-A-1 225470T78 B A/Watch Neg 3-A-2 225470T86 CCC BB/Watch Neg 4-A-1 225470T94 CCC BB/Watch Neg 5-A-1 225470U27 CCC A/Watch Neg 5-A-2 225470U35 CCC BB/Watch Neg 6-A-1 225470U43 CCC BB/Watch Neg 7-A-1 225470U50 CCC BB/Watch Neg A-X 225470U68 AA AA/Watch Neg D-X 225470U76 B A/Watch Neg A-P 225470U84 CCC BB/Watch Neg D-P 225470U92 CCC BB/Watch Neg C-B-1 225470V26 CC CCC C-B-2 225470V34 CC CCC C-B-5 225470V75 D CC Thornburg Mortgage Securities Trust 2006-4 Series 2006-4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 88522AAA9 B+ AAA/Watch Neg A-2A 88522AAB7 B AAA/Watch Neg A-2B 88522AAC5 A AAA/Watch Neg A-2C 88522AAD3 B AAA/Watch Neg A-X 88522AAE1 A AAA/Watch Neg B-1 88522AAG6 CCC AA/Watch Neg B-2 88522AAH4 CCC BBB/Watch Neg B-3 88522AAJ0 CC BB/Watch Neg B-4 88522AAK7 CC CCC B-5 88522AAL5 CC CCC Thornburg Mortgage Securities Trust 2007-4 Series 2007-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1 88522YAA7 BBB+ AAA 1A-2 88522YAQ2 B AA 2A-1 88522YAB5 A+ AAA 2A-2 88522YAL3 B AA 3A-2 88522YAN9 B AA B-1 88522YAE9 CCC BB+ B-2 88522YAF6 CCC B B-4 88522YAH2 CC CCC B-5 88522YAJ8 CC CCC Wachovia Mortgage Loan Trust, LLC Series 2005-A Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 92977YAA9 B AAA/Watch Neg 2-A-1 92977YAC5 B AAA/Watch Neg 2-A-2 92977YAM3 B AAA/Watch Neg 3-A-1 92977YAD3 B AAA/Watch Neg 3-A-2 92977YAN1 B AAA/Watch Neg 4-A-1 92977YAE1 BBB AAA/Watch Neg 4-A-2 92977YAP6 B AAA/Watch Neg B-1 92977YAF8 CCC AA/Watch Neg B-2 92977YAG6 CC A/Watch Neg B-3 92977YAH4 CC BBB/Watch Neg Wachovia Mortgage Loan Trust, LLC Series 2006-A Trust Series 2006-A Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 92977TAA0 BB AAA/Watch Neg 1-A2 92977TAB8 BB- AAA/Watch Neg 2-A1 92977TAC6 BB+ AAA/Watch Neg 2-A2 92977TAD4 BB- AAA/Watch Neg 3-A1 92977TAE2 AAA AAA/Watch Neg 3-A2 92977TAF9 BB- AAA/Watch Neg 4-A1 92977TAG7 AA+ AAA/Watch Neg 4-A2 92977TAH5 BB- AAA/Watch Neg B-1 92977TAK8 CCC BBB/Watch Neg B-2 92977TAL6 CC B/Watch Neg B-3 92977TAM4 CC CCC Wamu Mortgage Pass-Through Certificates Series 2005-AR14 Trust Series 2005-AR14 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 92922F4A3 A+ AAA/Watch Neg 1-A2 92922F4B1 BB AAA/Watch Neg 1-A3 92922F4C9 BB AAA/Watch Neg 1-A4 92922F4D7 A+ AAA/Watch Neg 1-A5 92922F4E5 BB AAA/Watch Neg 2-A1 92922F4F2 AAA AAA/Watch Neg 2-A2 92922F4G0 BB AAA/Watch Neg B-1 92922F4H8 CCC AA/Watch Neg B-2 92922F4J4 CCC A/Watch Neg B-3 92922F4K1 CC BBB/Watch Neg B-4 92922F5J3 CC BB/Watch Neg B-5 92922F5K0 D B/Watch Neg WaMu Mortgage Pass-Through Certificates Series 2006-AR2 Trust Series 2006-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 92925CDQ2 BB AAA/Watch Neg 1-A2 92925CDR0 BB AAA/Watch Neg 2-A1 92925CDS8 AA+ AAA/Watch Neg 2-A2 92925CDT6 BB AAA/Watch Neg B-1 92925CDU3 CCC BBB/Watch Neg B-2 92925CDV1 CCC BB/Watch Neg B-3 92925CDW9 CC B-/Watch Neg B-4 92925CDY5 CC CCC WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust Series 2007-HY4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 933636AA0 CCC B 2-A1 933636AC6 CCC B 2-A2 933636AD4 CCC B 2-A3 933636AE2 CCC B 3-A1 933636AG7 BB- A- 4-A1 933636AJ1 B+ BBB- 4-A2 933636AK8 CCC B 5-A1 933636AL6 CCC BBB- 5-A2 933636AM4 CCC B WaMu Mortgage Pass-Through Certificates, Series 2006-AR8 Trust Series 2006-AR8 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 93362FAA1 CCC BB+ 1-A2 93362FAB9 CCC BB 1-A3 93362FAC7 CCC BB 1-A4 93362FAD5 CCC BB 1-A5 93362FAE3 CCC B 1-B-1 93362FAN3 CC CCC 2-A1 93362FAF0 BB- A 2-A2 93362FAG8 BB- A 2-A3 93362FAH6 CCC B 3-A1 93362FAJ2 BB- A 3-A2 93362FAK9 BB- A 3-A3 93362FAL7 BB- A 3-A4 93362FAM5 CCC B Washington Mutual MSC Mortgage Pass-Through Certificates Series 2005-RA1 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 9393364G5 A- AAA/Watch Neg 2-A 9393364H3 A- AAA/Watch Neg L-B-1 9393364K6 CC BBB-/Watch Neg L-B-2 9393364L4 CC CCC 3-A 9393364J9 BB- AAA/Watch Neg 3-B-1 9393364N0 CCC AA/Watch Neg 3-B-2 9393364P5 CCC A/Watch Neg 3-B-3 9393364Q3 CC BBB/Watch Neg 3-B-4 9393364V2 CC BB/Watch Neg 3-B-5 9393364W0 CC B/Watch Neg Wells Fargo Mortgage Backed Securities 2006-AR4 Trust Series 2006-AR4 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 94983PAA6 A+ AAA/Watch Neg I-A-2 94983PAB4 BB AAA/Watch Neg II-A-1 94983PAC2 AA AAA/Watch Neg II-A-2 94983PAD0 AA+ AAA/Watch Neg II-A-3 94983PAE8 AA AAA/Watch Neg II-A-4 94983PAF5 AA AAA/Watch Neg II-A-5 94983PAG3 AA AAA/Watch Neg II-A-6 94983PAH1 BB AAA/Watch Neg Wells Fargo Mortgage Backed Securities 2007-1 Trust Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 94984WAA0 CCC BBB A-2 94984WAB8 CCC BBB A-3 94984WAC6 CCC B A-4 94984WAD4 CCC BBB A-5 94984WAE2 CCC B A-6 94984WAF9 CCC B A-7 94984WAG7 CCC B A-8 94984WAH5 CCC BBB A-9 94984WAJ1 CCC B A-10 94984WAK8 CCC B A-PO 94984WAL6 CCC B Wells Fargo Mortgage Backed Securities 2007-8 Trust Series 2007-8 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 94986AAA6 CCC AAA/Watch Neg I-A-2 94986AAB4 CCC AAA/Watch Neg I-A-3 94986AAC2 BB AAA/Watch Neg I-A-4 94986AAD0 CCC AAA/Watch Neg I-A-5 94986AAE8 CCC AAA/Watch Neg I-A-6 94986AAF5 CCC AAA/Watch Neg I-A-7 94986AAG3 CCC AAA/Watch Neg I-A-8 94986AAH1 CCC AAA/Watch Neg I-A-9 94986AAJ7 CCC AAA/Watch Neg I-A-10 94986AAK4 B AAA/Watch Neg I-A-11 94986AAL2 CCC AAA/Watch Neg I-A-12 94986AAM0 CCC AAA/Watch Neg I-A-13 94986AAN8 BB AAA/Watch Neg I-A-14 94986AAP3 BB AAA/Watch Neg I-A-15 94986AAQ1 CCC AAA/Watch Neg I-A-16 94986AAR9 BB AAA/Watch Neg I-A-17 94986AAS7 CCC AAA/Watch Neg I-A-18 94986AAT5 CCC AAA/Watch Neg I-A-19 94986AAU2 CCC AAA/Watch Neg I-A-20 94986AAV0 CCC AAA/Watch Neg I-A-21 94986AAW8 CCC AAA/Watch Neg I-A-22 94986AAX6 BB AAA/Watch Neg I-A-23 94986AAY4 CCC AAA/Watch Neg II-A-1 94986ABA5 CCC AAA/Watch Neg II-A-3 94986ABC1 CCC AAA/Watch Neg II-A-4 94986ABD9 CCC AAA/Watch Neg II-A-5 94986ABE7 CCC AAA/Watch Neg II-A-6 94986ABF4 CCC AAA/Watch Neg II-A-7 94986ABG2 A AAA/Watch Neg II-A-8 94986ABH0 A AAA/Watch Neg II-A-9 94986ABJ6 A AAA/Watch Neg II-A-10 94986ABK3 CCC AAA/Watch Neg II-A-11 94986ABL1 A AAA/Watch Neg II-A-12 94986ABM9 A AAA/Watch Neg II-A-14 94986ABP2 CCC AAA/Watch Neg II-A-15 94986ABQ0 CCC AAA/Watch Neg II-A-16 94986ABR8 A AAA/Watch Neg A-PO 94986ABS6 CCC AAA/Watch Neg I-A-PO BBB AAA/Watch Neg II-A-PO CCC AAA/Watch Neg II-A-2 94986ABB3 A AAA/Watch Neg Ratings Affirmed Banc of America Funding 2005-3 Trust Series 2005-3 Class CUSIP Rating ----- ----- ------ 1-A-11 05946XVT7 AAA 1-A-12 05946XVU4 AAA 30-IO 05946XWL3 AAA Banc of America Mortgage 2006-3 Trust Series 2006-3 Class CUSIP Rating ----- ----- ------ 1-A-1 05950LAA0 CCC 1-A-2 05950LAB8 CCC 1-A-3 05950LAC6 CCC 1-A-4 05950LAD4 CCC 1-A-5 05950LAE2 CCC 1-A-6 05950LAF9 CCC 1-A-7 05950LAG7 B 1-A-8 05950LAH5 B 1-A-9 05950LAJ1 CCC 1-A-10 05950LAK8 CCC 1-A-11 05950LAL6 CCC 1-A-12 05950LAM4 CCC 1-A-14 05950LAP7 CCC 1-A-16 05950LAR3 CCC 30-PO 05950LAU6 CCC Banc of America Mortgage 2007-3 Trust Series 2007-3 Class CUSIP Rating ----- ----- ------ B-1 05954CBE7 CCC B-2 05954CBF4 CCC CHL Mortgage Pass-Through Trust 2006-10 Series 2006-10 Class CUSIP Rating ----- ----- ------ 1-A-8 1266942E7 B 1-A-10 1266942G2 BB 1-X 1266942P2 BB M-1 1266942U1 CCC Citicorp Mortgage Securities Inc. Series 2005-8 Class CUSIP Rating ----- ----- ------ IA-1 1729733Y3 BBB IA-2 1729733Z0 BBB IA-3 1729734A4 BBB IA-4 1729734B2 AAA IA-5 1729734C0 BBB IA-6 1729734D8 BBB IA-7 1729734E6 BBB IA-8 1729734F3 BBB IIA-1 1729734G1 BBB IIA-2 1729734H9 BBB IIA-3 1729734J5 BBB A-PO 1729734K2 BBB Citigroup Mortgage Loan Trust Inc. Series 2005-7 Class CUSIP Rating ----- ----- ------ 2-A-1A 17307GB64 AA 2-B1 17307GC30 CCC CSMC Mortgage Backed Trust 2006-7 Series 2006-7 Class CUSIP Rating ----- ----- ------ 1-A-1 22942KAA8 CCC 1-A-2 22942KAB6 CCC 1-A-3 22942KAC4 CCC 2-A-2 22942KAE0 CCC 2-A-3 22942KAF7 CCC 2-A-4 22942KAG5 CCC 2-A-5 22942KAH3 CCC 2-A-6 22942KAJ9 CCC 3-A-3 22942KAM2 CCC 3-A-5 22942KAP5 CCC 3-A-6 22942KAQ3 CCC 3-A-7 22942KAR1 CCC 3-A-8 22942KAS9 CCC 3-A-9 22942KAT7 CCC 3-A-10 22942KAU4 CCC 3-A-11 22942KAV2 CCC 3-A-12 22942KAW0 CCC 4-A-1 22942KAX8 CCC 5-A-1 22942KAY6 CCC 5-A-2 22942KAZ3 CCC 5-A-3 22942KBA7 CCC D-P 22942KCR9 CCC 6-A-1 22942KBB5 CCC 6-A-2 22942KBC3 CCC 6-A-3 22942KBD1 CCC 7-A-1 22942KBE9 CCC 7-A-2 22942KBF6 CCC 7-A-3 22942KBG4 CCC 7-A-4 22942KBH2 CCC 7-A-5 22942KBJ8 CCC 7-A-6 22942KDR8 CCC 7-A-7 22942KDS6 CCC 8-A-1 22942KBK5 CCC 8-A-2 22942KBL3 CCC 8-A-3 22942KBM1 CCC 8-A-4 22942KBN9 CCC 8-A-5 22942KBP4 CCC 8-A-6 22942KBQ2 CCC 8-A-7 22942KBR0 CCC 8-A-8 22942KBS8 CCC 8-A-9 22942KBT6 CCC 8-A-10 22942KBU3 CCC 8-A-11 22942KBV1 CCC 8-A-12 22942KBW9 CCC 9-A-1 22942KBX7 CCC 9-A-2 22942KBY5 CCC 9-A-3 22942KBZ2 CCC 9-A-4 22942KCA6 CCC 9-A-5 22942KCB4 CCC 10-A-1 22942KCC2 CCC 10-A-2 22942KCD0 CCC 10-A-3 22942KCE8 CCC 10-A-4 22942KCF5 CCC 10-A-6 22942KCH1 CCC 11-A-1 22942KCK4 CCC 11-A-2 22942KCL2 CCC 11-A-3 22942KCM0 CCC 11-A-4 22942KCN8 CCC 12-A-1 22942KCP3 CCC DB1 22942KCV0 CCC 10-A-5 22942KCG3 CCC CSMC Mortgage-Backed Trust Series 2006-1 Series 2006-1 Class CUSIP Rating ----- ----- ------ 1-A-4 225470UL5 BBB 3-A-20 225470VL4 AAA A-X 225470WE9 AAA D-B-1 225470WM1 CCC GSR Mortgage Loan Trust 2005-4F Series 2005-4F Class CUSIP Rating ----- ----- ------ A-X 36242DY49 AAA GSR Mortgage Loan Trust 2005-AR3 Series 2005-AR3 Class CUSIP Rating ----- ----- ------ 2A1 36242D4S9 AAA X 36242D5B5 AAA GSR Mortgage Loan Trust 2006-AR2 Series 2006-AR2 Class CUSIP Rating ----- ----- ------ 1A1 36297TAA0 AAA 1X 36297TAL6 AAA 5A1 36297TAJ1 BBB 1B1 36297TAM4 AA 1B3 36297TAP7 CCC JPMorgan Mortgage Trust 2007-A5 Series 2007-A5 Class CUSIP Rating ----- ----- ------ 1-A-1 46632BAA2 BBB 1-A-1M 46632BAB0 BBB 1-A-1S 46632BAC8 BBB B-1 46632BAW4 CCC Lehman Mortgage Trust Series 2005-1 Class CUSIP Rating ----- ----- ------ 1-A1 52520MAA1 AAA 1-A2 52520MAB9 AAA AX 52520MBB8 AAA PAX 52520MBC6 AAA B1 52520MBD4 CCC B2 52520MBE2 CCC MASTR Adjustable Rate Mortgage Trust 2005-6 Series 2005-6 Class CUSIP Rating ----- ----- ------ B-1 576433B54 CCC MASTR Asset Securitization Trust 2007-2 Series 2007-2 Class CUSIP Rating ----- ----- ------ B-2 57646NAL3 CCC B-3 57646NAM1 CCC Morgan Stanley Mortgage Loan Trust 2005-7 Series 2005-7 Class CUSIP Rating ----- ----- ------ 4-A-X 61748HPC9 A 7-A-X 61748HPW5 A RFMSI Series 2006-S5 Trust Series 2006-S5 Class CUSIP Rating ----- ----- ------ A-3 74957EAC1 CCC A-4 74957EAD9 CCC A-5 74957EAE7 BBB A-6 74957EAF4 BBB A-7 74957EAG2 CCC A-9 74957EAJ6 CCC A-11 74957EAL1 BBB A-12 74957EAM9 CCC A-13 74957EAN7 CCC A-14 74957EAP2 CCC A-15 74957EAQ0 CCC A-17 74957EAS6 CCC A-18 74957EAT4 CCC A-P 74957EAW7 CCC A-V 74957EAX5 BBB STARM Mortgage Loan Trust 2007-4 Series 2007-4 Class CUSIP Rating ----- ----- ------ M 78473WAK9 CCC B1 78473WAL7 CCC Structured Adjustable Rate Mortgage Loan Trust Series 2005-17 Series 2005-17 Class CUSIP Rating ----- ----- ------ 4-AX 863579VU9 AAA Structured Adjustable Rate Mortgage Loan Trust Series 2005-18 Series 2005-18 Class CUSIP Rating ----- ----- ------ B1-I 863579XY9 CCC B2-I 863579XZ6 CCC 7-A1 863579XM5 BB 7-A2 863579XN3 BB 7-A3 863579XP8 BB 7-AX 863579XQ6 BB 8-A2 863579XS2 BB 9-A1 863579XT0 AAA 9-A4 863579XW3 BB 9-AX 863579XX1 AAA B2-II 863579YE2 CCC Thornburg Mortgage Securities Trust 2007-4 Series 2007-4 Class CUSIP Rating ----- ----- ------ 3A-1 88522YAC3 AAA B-3 88522YAG4 CCC WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust Series 2007-HY4 Class CUSIP Rating ----- ----- ------ 1-A2 933636AB8 CCC 2-A4 933636AF9 CCC 3-A2 933636AH5 CCC M-B-1 933636AU6 CCC WaMu Mortgage Pass-Through Certificates, Series 2006-AR8 Trust Series 2006-AR8 Class CUSIP Rating ----- ----- ------ L-B-1 93362FAR4 CCC L-B-2 93362FAS2 CCC * S&P Downgrades Ratings on 232 Classes From 16 Alt-A RMBS Deals ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 232 classes from 16 U.S. Alternative A residential mortgage-backed securities transactions issued in 2005 through 2007. S&P removed 165 of the lowered ratings from CreditWatch with negative implications. Additionally, S&P affirmed its ratings on 21 classes from three of these transactions and removed one of the affirmed ratings from CreditWatch negative. The downgrades, affirmations, and CreditWatch resolutions incorporate S&P's current and projected losses based on the dollar amounts of loans currently in the transactions' delinquency, foreclosure, and real estate owned pipelines, as well as S&P's projection of future defaults. S&P also incorporated cumulative losses to date in S&P's analysis when assessing rating outcomes. S&P derived its loss assumptions using S&P's criteria listed in the "Related Research" section. As part of its analysis, S&P considered the characteristics of the underlying mortgage collateral, as well as macroeconomic influences. For example, the risk profile of the underlying mortgage pools influences S&P's default projections, while S&P's outlook for housing price declines and the health of the housing market influence S&P's loss severity assumptions. Furthermore, S&P adjusted its loss expectations for each deal based on upward trends in delinquencies. To maintain a 'AAA' rating, S&P consider whether a class is able to withstand approximately 150% of S&P's base-case loss assumptions, subject to individual caps and qualitative factors assumed on specific transactions. For a class for which we've affirmed a 'B' rating, S&P consider whether a bond is able to withstand S&P's base-case loss assumptions. To maintain a rating in categories between 'B' (the base case) and 'AAA', S&P assess whether the class can withstand losses exceeding the base-case assumption at a percentage specific to each rating category, up to 150% for a 'AAA' rating. For example, S&P would assess whether one class could withstand approximately 110% of S&P's base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 120% of S&P's base-case loss assumptions to maintain a 'BBB' rating. The lowered ratings reflect S&P's belief that the amount of credit enhancement available for the downgraded classes is not sufficient to cover losses at the previous rating levels, given S&P's current projected losses. The affirmations reflect S&P's belief that there is sufficient credit enhancement to support the ratings at their current levels. Certain senior classes also benefit from senior-support classes that would provide support to a certain extent before any applicable losses could affect the super-senior certificates. The subordination of classes within each structure provides credit support for the affected transactions. The collateral backing these deals originally consisted predominantly of Alt-A, first-lien, fixed-rate, adjustable-rate, or negative-amortization residential mortgage loans secured by one- to four-family properties. S&P monitors these transactions to incorporate updated losses and delinquency pipeline performance to assess whether, in S&P's view, the applicable credit enhancement features are sufficient to support the current ratings. S&P will continue to monitor these transactions and take additional rating actions as S&P deem appropriate. Rating Actions American Home Mortgage Assets Trust 2007-2 Series 2007-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 026930AA5 BBB- AAA A-2-A 026930AC1 CCC AA A-2-B 026930AR8 CCC AA A-3 026930AS6 CCC B/Watch Neg M-1 026930AD9 CC CCC M-2 026930AE7 CC CCC M-3 026930AF4 CC CCC M-4 026930AG2 CC CCC M-5 026930AH0 CC CCC M-8 026930AL1 D CC American Home Mortgage Investment Trust 2007-1 Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1-A 026932AA1 BBB AAA A-1-B 026932AB9 B AAA A-1-C 026932AC7 B AAA A-2 026932AD5 CCC B A-3 026932AE3 CC CCC IO-P 026932AF0 BBB AAA M-1 026932AG8 CC CCC Banc of America Funding 2007-A Trust Series 2007-A Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05952DAA6 CCC AAA/Watch Neg 2-A-1 05952DAB4 B AAA/Watch Neg 2-A-2 05952DAC2 CCC AAA/Watch Neg 2-A-3 05952DAP3 BB AAA/Watch Neg 2-A-4 05952DAQ1 B AAA/Watch Neg 2-A-5 05952DAR9 B AAA/Watch Neg M-1 05952DAD0 CCC AAA/Watch Neg M-2 05952DAE8 CCC AA+/Watch Neg M-3 05952DAF5 CC AA+/Watch Neg M-4 05952DAG3 CC AA/Watch Neg M-5 05952DAH1 CC A/Watch Neg M-6 05952DAJ7 CC BB/Watch Neg M-7 05952DAK4 CC CCC Banc of America Funding 2007-D Trust Series 2007-D Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05952GAA9 B AAA/Watch Neg 1-A-2 05952GAB7 CCC AAA/Watch Neg 1-A-3 05952GAC5 B AAA/Watch Neg 1-A-4 05952GAD3 B AAA/Watch Neg 1-A-5 05952GAE1 B AAA/Watch Neg M-1 05952GAF8 CC AA-/Watch Neg M-2 05952GAG6 CC A/Watch Neg M-3 05952GAH4 CC BBB/Watch Neg M-4 05952GAJ0 CC BB/Watch Neg M-5 05952GAK7 CC B/Watch Neg M-6 05952GAL5 CC CCC M-7 05952GAM3 CC CCC 2-A-1 05952GAR2 CCC AAA/Watch Neg 3-A-1 05952GAT8 CCC AAA/Watch Neg 3-A-2 05952GAU5 CCC AAA/Watch Neg 3-A-3 05952GAV3 CCC AAA/Watch Neg 3-A-4 05952GAW1 CCC AAA/Watch Neg 3-A-5 05952GAX9 CCC AAA/Watch Neg X-B-1 05952GAY7 CC AA/Watch Neg X-B-5 05952GBD2 D B-/Watch Neg Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 16678XAA2 CCC AA/Watch Neg A-2 16678XAB0 CCC B/Watch Neg A-1I CCC B/Watch Neg A-2I CCC B/Watch Neg A-NA CCC AA/Watch Neg IO CCC AA/Watch Neg NIO CCC AA/Watch Neg Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 16679AAA1 CCC AAA/Watch Neg A-1I CCC AAA/Watch Neg A-2 16679AAB9 CCC AAA/Watch Neg A-2I CCC AAA/Watch Neg A-NA CCC AAA/Watch Neg IO CCC AAA/Watch Neg NIO CCC AAA/Watch Neg B-1 16679AAC7 CCC A/Watch Neg B-1I CCC A/Watch Neg B-1NA CCC A/Watch Neg B-2 16679AAD5 CC B/Watch Neg B-2I CC B/Watch Neg B-2NA CC B/Watch Neg B-3 16679AAE3 CC CCC B-3I CC CCC B-3NA CC CCC B-5 16679AAG8 D CC Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2007-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 16679BAA9 CCC AAA/Watch Neg A-1I CCC AAA/Watch Neg A-2 16679BAB7 CCC AAA/Watch Neg A-2I CCC AAA/Watch Neg A-NA CCC AAA/Watch Neg IO CCC AAA/Watch Neg NIO CCC AAA/Watch Neg B-1 16679BAC5 CCC BBB/Watch Neg B-1I CCC BBB/Watch Neg B-1NA CCC BBB/Watch Neg B-2 16679BAD3 CC B/Watch Neg B-2I CC B/Watch Neg B-2NA CC B/Watch Neg B-3 16679BAE1 CC CCC B-3I CC CCC B-3NA CC CCC GreenPoint Mortgage Funding Trust Series 2007-AR1 Series 2007-AR1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1A 39539KAA1 CCC AAA/Watch Neg 1-A1B 39539KBD4 CCC AAA/Watch Neg 1-A2A 39539KAB9 CCC AAA/Watch Neg 1-A3 39539KAC7 CCC AAA/Watch Neg 2-A1A 39539KAD5 A AAA 2-A1B 39539KAE3 CCC AAA/Watch Neg M1-I 39539KAJ2 CC AA+/Watch Neg M2-I 39539KAK9 CC AA/Watch Neg 3-A1 39539KAF0 B AAA/Watch Neg 3-A2 39539KAG8 CCC AAA/Watch Neg 3-A3 39539KAH6 CCC AAA/Watch Neg 3-A4 39539KBC6 CCC AAA/Watch Neg M1-II 39539KAT0 CC AA+/Watch Neg M2-II 39539KAU7 CC AA/Watch Neg M3-II 39539KAV5 CC AA-/Watch Neg M4-II 39539KAW3 CC A+/Watch Neg M5-II 39539KAX1 CC A/Watch Neg M6-II 39539KAY9 CC A-/Watch Neg M7-II 39539KAZ6 CC BBB+/Watch Neg Harborview Mortgage Loan Trust 2005-16 Series 2005-16 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1A 41161PA52 CCC AAA 1-A1B 41161PYV9 CCC AAA/Watch Neg 2-A1A 41161PYW7 CCC AAA 2-A1B 41161PYX5 CCC AAA/Watch Neg 2-A1C 41161PYY3 CCC AAA/Watch Neg 3-A1A 41161PYZ0 CCC AAA 3-A1B 41161PZA4 CCC AAA/Watch Neg 3-A1C 41161PZB2 CCC AAA/Watch Neg 4-A1A 41161PZC0 CCC AAA 4-A1B 41161PZD8 CCC AAA/Watch Neg X-1 41161PZE6 CCC AAA X-2 41161PZF3 CCC AAA X-3 41161PZG1 CCC AAA X-4 41161PZH9 CCC AAA X-B 41161PZJ5 CC AAA PO-1 41161PZK2 CCC AAA/Watch Neg PO-2 41161PZL0 CCC AAA/Watch Neg PO-3 41161PZM8 CCC AAA/Watch Neg PO-4 41161PZN6 CCC AAA/Watch Neg PO-B 41161PZP1 CCC AAA/Watch Neg B-1 41161PZR7 CC AA+/Watch Neg B-2 41161PZS5 CC AA/Watch Neg B-3 41161PZT3 CC AA-/Watch Neg B-4 41161PZU0 CC A+/Watch Neg B-5 41161PZV8 CC BB/Watch Neg B-6 41161PZW6 CC B/Watch Neg B-7 41161PZX4 CC B-/Watch Neg B-8 41161PZY2 CC CCC Lehman XS Trust 2007-14H Series 2007-14H Rating ------ Class CUSIP To From ----- ----- -- ---- A1-1 52525LAQ3 CC B+/Watch Neg A1-2 52525LAR1 CC B+/Watch Neg A2-1-1 52525LAT7 CCC BB-/Watch Neg A2-1-2 52525LAU4 CC B+/Watch Neg A2-2 52525LAS9 CCC B+/Watch Neg A3 52525LAC4 D B/Watch Neg A4 52525LAD2 CC B+/Watch Neg AIO 52525LAP5 CCC AA Lehman XS Trust Series 2007-7N Series 2007-7N Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1A 52524GAA0 B AAA 1-A1B 52524GAB8 CCC AAA/Watch Neg 1-A2 52524GAC6 CCC AAA/Watch Neg 1-A3 52524GAW2 CCC BBB-/Watch Neg 2-A1A 52524GAH5 CCC AAA/Watch Neg 2-A1B 52524GAJ1 CCC BBB-/Watch Neg 2-A2A 52524GAK8 CCC AAA/Watch Neg 2-A2B 52524GAL6 CCC BBB-/Watch Neg M1 52524GAM4 CC BB/Watch Neg M2 52524GAN2 CC B/Watch Neg M3 52524GAP7 CC B-/Watch Neg M4 52524GAQ5 CC CCC M5 52524GAR3 CC CCC M6 52524GAS1 CC CCC M7 52524GAT9 CC CCC M8 52524GAU6 CC CCC M9 52524GAV4 CC CCC MASTR Adjustable Rate Mortgages Trust 2007-1 Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-1A 576431AA8 CCC B/Watch Neg I-2A3 576431AD2 CCC A/Watch Neg I-M1 576431BG4 CC CCC I-M2 576431BH2 CC CCC I-M3 576431BJ8 CC CCC I-M4 576431BK5 CC CCC I-M6 576431BM1 D CC II-A-1 576431AJ9 CCC AAA/Watch Neg II-A-2 576431AK6 CCC AAA/Watch Neg II-B-1 576431BP4 CC BB/Watch Neg II-B-2 576431BQ2 D B/Watch Neg II-A-3 576431AL4 CCC AAA/Watch Neg II-A-3X 576431AM2 CCC AAA/Watch Neg II-A-4 576431AN0 CCC AAA/Watch Neg II-A-4X 576431AP5 CCC AAA/Watch Neg II-A-5 576431AQ3 CCC AAA/Watch Neg II-A-5X 576431AR1 CCC AAA/Watch Neg II-A-6 576431AS9 CCC AAA/Watch Neg II-A-6X 576431AT7 CCC AAA/Watch Neg II-A-7 576431AU4 CCC AAA/Watch Neg II-A-7X 576431AV2 CCC AAA/Watch Neg II-A-8 576431AW0 CCC AAA/Watch Neg II-A-9 576431AX8 CCC AAA/Watch Neg II-A-10 576431AY6 CCC AAA/Watch Neg II-A-11 576431AZ3 CCC AAA/Watch Neg II-A-12 576431BA7 CCC AAA/Watch Neg II-A-13 576431BB5 CCC AAA/Watch Neg II-A-14 576431BC3 CCC AAA/Watch Neg II-A-15 576431BD1 CCC AAA/Watch Neg MASTR Adjustable Rate Mortgages Trust 2007-2 Series 2007-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 576429AA2 B AAA/Watch Neg A-2 576429AB0 B AAA/Watch Neg A-3 576429AC8 B AAA/Watch Neg A-4 576429AD6 CCC A/Watch Neg M-1 576429AE4 CCC BB/Watch Neg M-2 576429AF1 CCC B+/Watch Neg M-3 576429AG9 CCC B/Watch Neg M-4 576429AH7 CC B-/Watch Neg M-5 576429AJ3 CC CCC M-6 576429AK0 CC CCC MASTR Adjustable Rate Mortgages Trust 2007-3 Series 2007-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-1A1 57645NAA8 B AAA 1-2A1 57645NAC4 B AAA 1-AIO 57645NAE0 B AAA 2-1A1 57645NAM2 B AAA 2-2A1 57645NAP5 AAA AAA/Watch Neg 2-2A2 57645NAQ3 CCC A/Watch Neg 2-2A4 57645NAS9 CCC A/Watch Neg 2-2A5 57645NAT7 CCC A/Watch Neg 2-2AIO 57645NAV2 B AAA 2-M7 57645NBC3 D CC RALI Series 2007-QH1 Trust Series 2007-QH1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 74922HAA0 A AAA A-2 74922HAB8 CCC AA/Watch Neg A-3 74922HAC6 CCC B/Watch Neg M-1 74922HAD4 CC CCC M-2 74922HAE2 CC CCC M-3 74922HAF9 CC CCC M-5 74922HAH5 D CC Structured Asset Mortgage Investments II Trust 2007-AR2 Series 2007-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 86363DAA9 BBB AAA/Watch Neg I-A-2 86363DAB7 CCC AAA/Watch Neg I-A-3 86363DAC5 CCC AAA/Watch Neg I-B-1 86363DAD3 CC BB/Watch Neg I-B-2 86363DAE1 CC B/Watch Neg II-A-1 86363DAH4 BBB AAA II-A-2 86363DAJ0 CCC AAA/Watch Neg II-A-3 86363DAK7 CCC AAA/Watch Neg II-X 86363DAL5 BBB AAA II-MX 86363DAM3 CCC AA II-B-1 86363DAN1 CCC AA/Watch Neg II-B-2 86363DAP6 CC A/Watch Neg II-B-3 86363DAQ4 CC BBB/Watch Neg II-B-4 86363DAU5 CC B/Watch Neg II-B-5 86363DAV3 CC CCC Ratings Affirmed Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-4 Trust Series 2006-4 Class CUSIP Rating ----- ----- ------ B-1 16678XAC8 CCC B-1I CCC B-1NA CCC MASTR Adjustable Rate Mortgages Trust 2007-1 Series 2007-1 Class CUSIP Rating ----- ----- ------ I-2A1 576431AB6 AAA I-2A2 576431AC4 AAA I-2A4 576431AE0 AAA I-X-1 576431AF7 AAA I-X-2 576431AG5 AAA I-X-3 576431AH3 AAA MASTR Adjustable Rate Mortgages Trust 2007-3 Series 2007-3 Class CUSIP Rating ----- ----- ------ 1-1A2 57645NAB6 AAA 1-2A2 57645NAD2 AAA 2-1A2 57645NAN0 AAA 2-2A3 57645NAR1 AAA 2-2A6 57645NAU4 AAA 2-M1 57645NAW0 CCC 2-M2 57645NAX8 CCC 2-M3 57645NAY6 CCC 2-M4 57645NAZ3 CCC 2-M5 57645NBA7 CCC 2-M6 57645NBB5 CCC * S&P Downgrades Ratings on Four U.S. Asset-Backed Securities ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four U.S. asset-backed securities classes and removed one of these ratings from CreditWatch negative, where it was placed on July 8, 2009. The three other ratings remain on CreditWatch negative. At the same time, S&P affirmed its ratings on 232 U.S. ABS classes. Furthermore, 45 U.S. ABS ratings remain on CreditWatch with negative implications, where they were placed on July 8, 2009. The rating actions follow the July 28, 2009, lowering of the financial strength rating on Ambac Assurance Corp. (CC/Developing/--). The lowered ratings affect three rental car classes and one auto loan class. The affirmations affect 209 student loan ratings, 11 auto loan ratings, and 12 manufactured housing ratings. Of the ratings that remain on CreditWatch, 36 affect student loan ratings and nine affect rental car ratings. Standard & Poor's is currently reviewing its outstanding ratings on approximately 90 other U.S. ABS classes that benefit from full financial guarantees from Ambac. Student loan collateral backs many of these classes, and any rating actions related to these classes will be discussed in a separate press release. For each affected class, Ambac provides a full financial guarantee insurance policy guaranteeing full payments of principal and interest to the noteholders. Under S&P's criteria, the issue credit rating on a fully credit-enhanced bond issue is the higher of the rating on the credit enhancer or the Standard & Poor's underlying rating on the class. A SPUR is S&P's opinion of the stand-alone creditworthiness of an obligation -- that is, the capacity to pay debt service on a debt issue in accordance with its terms -- without considering an otherwise applicable bond insurance policy. Ratings Lowered And Remaining On Creditwatch Negative Cendant Rental Car Funding LLC Rating ------ Collateral Series Class To From ---------- ------ ----- -- ---- Rental Car 2005-4 A-1 B+/Watch Neg BBB/Watch Neg Rental Car 2005-4 A-2 B+/Watch Neg BBB/Watch Neg Rental Car 2005-4 A-3 B+/Watch Neg BBB/Watch Neg Rating Lowered And Removed From Creditwatch Negative Triad Automobile Receivables Trust 2006-A Rating ------ Collateral Series Class To From ---------- ------ ----- -- ---- Auto Loan A-4 BBB- BBB/Watch Neg Ratings Remaining On Creditwatch Negative ARG Funding Corp. Collateral Series Class Rating ---------- ------ ----- ------ Rental Car 2005-2 A-4 BBB/Watch Neg Rental Car 2005-2 A-5 BBB/Watch Neg Avis Budget Rental Car Funding (AESOP) LLC Collateral Series Class Rating ---------- ------ ----- ------ Rental Car 2007-2 A-1 BBB/Watch Neg Hertz Vehicle Financing LLC Collateral Series Class Rating ---------- ------ ----- ------ Rental Car 2005-2 A-3 BBB/Watch Neg Rental Car 2005-2 A-4 BBB/Watch Neg Rental Car 2005-2 A-5 BBB/Watch Neg Rental Car 2005-2 A-6 BBB/Watch Neg Rental Car 2005-3 A-2 BBB/Watch Neg National Collegiate Master Student Loan Trust I (The) Collateral Series Class Rating ---------- ------ ----- ------ Student Loan NCT-2002 AR-6 A/Watch Neg Student Loan NCT-2002 AR-7 A/Watch Neg Student Loan NCT-2002 AR-8 A/Watch Neg Student Loan NCT-2002 AR-9 A/Watch Neg Student Loan NCT-2002 AR-10 A/Watch Neg Student Loan NCT-2003 AR-11 A/Watch Neg Student Loan NCT-2003 AR-12 A/Watch Neg Student Loan NCT-2003 AR-13 A/Watch Neg Student Loan NCT-2003 AR-14 A/Watch Neg Student Loan NCT-2005AR AR-15 A/Watch Neg Student Loan NCT-2005AR AR-16 A/Watch Neg National Collegiate Student Loan Trust 2007-3 (The) Collateral Series Class Rating ---------- ------ ----- ------ Student Loan 2007-3 A-1-L BBB+/Watch Neg Student Loan 2007-3 A-2-AR-1 BBB+/Watch Neg Student Loan 2007-3 A-2-AR-2 BBB+/Watch Neg Student Loan 2007-3 A-2-AR-3 BBB+/Watch Neg Student Loan 2007-3 A-2-AR-4 BBB+/Watch Neg Student Loan 2007-3 A-3-L BBB+/Watch Neg Student Loan 2007-3 A-3-AR-1 BBB+/Watch Neg Student Loan 2007-3 A-3-AR-2 BBB+/Watch Neg Student Loan 2007-3 A-3-AR-3 BBB+/Watch Neg Student Loan 2007-3 A-3-AR-4 BBB+/Watch Neg Student Loan 2007-3 A-3-AR-5 BBB+/Watch Neg Student Loan 2007-3 A-3-AR-6 BBB+/Watch Neg Student Loan 2007-3 A-3-AR-7 BBB+/Watch Neg National Collegiate Student Loan Trust 2007-4 (The) Collateral Series Class Rating ---------- ------ ----- ------ Student Loan 2007-4 A-2-AR-1 BBB+/Watch Neg Student Loan 2007-4 A-2-AR-2 BBB+/Watch Neg Student Loan 2007-4 A-2-AR-3 BBB+/Watch Neg Student Loan 2007-4 A-2-AR-4 BBB+/Watch Neg Student Loan 2007-4 A-3-L BBB+/Watch Neg Student Loan 2007-4 A-3-AR-1 BBB+/Watch Neg Student Loan 2007-4 A-3-AR-2 BBB+/Watch Neg Student Loan 2007-4 A-3-AR-3 BBB+/Watch Neg Student Loan 2007-4 A-3-AR-4 BBB+/Watch Neg Student Loan 2007-4 A-3-AR-5 BBB+/Watch Neg Student Loan 2007-4 A-3-AR-6 BBB+/Watch Neg Student Loan 2007-4 A-3-AR-7 BBB+/Watch Neg Rental Car Finance Corp. Collateral Series Class Rating ---------- ------ ----- ------ Rental Car 2006-1 A BBB/Watch Neg Ratings Affirmed AmeriCredit Automobile Receivables Trust 2005-D-A Collateral Class Rating ---------- ----- ------ Auto Loan A-4 AAA California Education Facilities Authority Collateral Class Rating ---------- ----- ------ Student Loan 1998 Sr BBB Capital One Auto Finance Trust Collateral Class Rating ---------- ----- ------ Auto Loan 2006-A A-4 BBB Auto Loan 2007-A A-3-A BBB Auto Loan 2007-A A-3-B BBB Auto Loan 2007-A A-4 BBB CountryPlace Manufactured Housing Contract Trust Collateral Class Rating ---------- ----- ------ Manufactured Housing 2005-1 A-2 BBB Manufactured Housing 2005-1 A-3 BBB Manufactured Housing 2005-1 A-4 BBB Manufactured Housing 2007-1 A-2 BBB+ Manufactured Housing 2007-1 A-3 BBB+ Manufactured Housing 2007-1 A-4 BBB+ Industrial Commission of North Dakota Collateral Class Rating ---------- ----- ------ Student Loan 2000-B Series B AA- Iowa Std Loan Liquidity Corp. Collateral Class Rating ---------- ----- ------ Student Loan 1998 K A Student Loan 1998 L A Student Loan 2001 2001-R A Student Loan 2001 2001S-I A Student Loan 2001 2001S-II A Student Loan 2001 2001S-III A Student Loan 2002 2002U A Student Loan 2002 2002V-I A Student Loan 2002 2002V-II A Student Loan 2002 2002V-III A Student Loan 2002 2002V-IV A Student Loan 2003 W A Student Loan 2003 X A Student Loan 2003 Y-I A Student Loan 2003 Y-II A Student Loan 2003 Y-III A Student Loan 2003 Y-IV A Student Loan 2003 Y-V A Student Loan 2003 Y-VI A Student Loan 1988B A Student Loan 1995-B A Student Loan 1995-C A Student Loan 1995-D A Student Loan 1996-E A A Student Loan 1996-H Ser H A Student Loan 1999-M Series M A Student Loan 1999-N Series N A Student Loan 1999-O Series O A Iowa Student Loan Liquidity Corp. Collateral Class Rating ---------- ----- ------ Student Loan 2005 C-I A Student Loan 2005 C-II A Student Loan 2007 D A Student Loan 2007 E-I A Student Loan 2007 E-II A Student Loan 2007 E-III A Student Loan 2004 A & B 2004-A A Student Loan 2004 A & B 2004-B-I A Student Loan 2004 A & B 2004-B-II A Student Loan 2004 A & B 2004-B-III A Student Loan 2004 A & B 2004-B-IV A Student Loan 2004 A & B 2004-B-V A Student Loan 2004 A & B 2004-B-VI A Student Loan 2004 A & B 2004-B-VII A KeyCorp Student Loan Trust 2002-A Collateral Class Rating ---------- ----- ------ Student Loan II-A-2 A Madison Avenue Manufactured Housing Contract Trust 2002-A Collateral Class Rating ---------- ----- ------ Manufactured Housing A-1 AA Maine Ed Loan Marketing Corp. Collateral Class Rating ---------- ----- ------ Student Loan 1997-A A-2 A Student Loan 1999-A 2 A Student Loan 1999-A 3 A Maine Finance Authority Collateral Class Rating ---------- ----- ------ Student Loan 2003 A A Student Loan 2005 A & B A-1 A Student Loan 2005 A & B A-2 A Student Loan 2007A A-1 A Student Loan 2007A A-2 A Student Loan 2007A A-3 A Massachusetts Ed Fin Auth Collateral Class Rating ---------- ----- ------ Student Loan 1999-A 1999-A AA Student Loan 2001 2001-A AA Student Loan 2001 2001-A AA Student Loan 2001 2001-A AA Student Loan 2001 2001-A AA Student Loan 2001 2001-B AA Student Loan 2002 2002-A AA Student Loan 2002 2002-A AA Student Loan 2002 2002-A AA Student Loan 2002 2002-A AA Student Loan 2002 2002-A AA Student Loan 2002 2002-B AA Student Loan 2002 2002-C AA Student Loan 2002 2002-D AA Student Loan 2002 2002-E AA Student Loan 2003 A AA Student Loan 2003 B AA Student Loan 2003 E AA Student Loan 2004 2004A AA Student Loan 2004 2004B AA Student Loan 2005 A AA Student Loan 2005 B AA Student Loan 2006 A-1 AA Student Loan 2006 A-2 AA Student Loan 2006 C AA Student Loan 2006 D AA Student Loan 2007 A AA Student Loan 2007 A AA Student Loan 2007 A AA Student Loan 2007 B AA Student Loan 2007 C AA Student Loan 2007 D AA Student Loan 2007 E AA Michigan Hgr Ed Std Ln Auth Collateral Class Rating ---------- ----- ------ Student Loan J AA Student Loan K-1 AA Student Loan K-2 AA Student Loan K-3 AA Student Loan K-4 AA Student Loan K-5 AA Student Loan K-6 AA Student Loan K-7 AA Student Loan L AA Student Loan XII Z1 AA Student Loan XII Z2 AA Student Loan XII Z3 AA Student Loan XII-T AA Student Loan XII-U AA Student Loan XII-W XII-W AA Student Loan XVII-F XVII-F AA Student Loan XVII-G XVII-G AA Student Loan XVII-G XVII-G AA Student Loan XVII-H-6 XVII-H-1 AA Student Loan XVII-H-6 XVII-H-2 AA Student Loan XVII-H-6 XVII-H-3 AA Student Loan XVII-H-6 XVII-H-4 AA Student Loan XVII-H-6 XVII-H-5 AA Student Loan XVII-H-6 XVII-H-6 AA Student Loan XVII-I XVII-I AA Student Loan XVII-I XVII-I AA Student Loan XVII-I XVII-I AA Student Loan XVII-I XVII-I AA Student Loan XVII-O M-1 AA Student Loan XVII-O M-2 AA Student Loan XVII-O N-1 AA Student Loan XVII-O N-2 AA Student Loan XVII-O N-3 AA Student Loan XVII-O N-4 AA Student Loan XVII-O N-5 AA Student Loan XVII-O N-6 AA Student Loan XVII-O N-7 AA Student Loan XVII-O O AA Student Loan XVII-P XVII-P AA Student Loan XVII-P XVII-P AA Student Loan XVII-P XVII-P AA Student Loan XVII-Q AA Student Loan XVII-Q AA Student Loan XVII-Q AA Missouri Hgr Ed Ln Auth Collateral Class Rating ---------- ----- ------ Student Loan 1988A 1988-A BBB Student Loan 1995-A A A Student Loan 1995-B A A Student Loan 1995-C A A Student Loan 1995-D A A Student Loan 1996-H A A Student Loan 2006-I & J 2006-I A Student Loan 2006-I & J 2006-J A National Collegiate Student Loan Trust 2007-3 (The) Collateral Class Rating ---------- ----- ------ Student Loan 2007-3 A-IO BBB+ National Collegiate Student Loan Trust 2007-4 (The) Collateral Class Rating ---------- ----- ------ Student Loan 2007-4 A-IO BBB+ Origen Manufactured Housing Contract Trust 2006-A Collateral Class Rating ---------- ----- ------ Manufactured Housing 2006-A A-1 BBB Manufactured Housing 2006-A A-2 BBB Origen Manufactured Housing Contract Trust 2007-A Collateral Class Rating ---------- ----- ------ Manufactured Housing 2007-A A-1 BBB Manufactured Housing 2007-A A-2 BBB Origen Manufactured Housing Contract Trust 2007-B Collateral Class Rating ---------- ----- ------ Manufactured Housing 2007-B A BBB Rhode Island Std Loan Auth Collateral Class Rating ---------- ----- ------ Student Loan 2006 Series 1 A Student Loan 2006 Series 2 A Student Loan 2006 Series 3 A Student Loan 2006 Series 3 A Student Loan 2006 Series 3 A Student Loan 2004-A 2004-A1 A Student Loan 2004-A 2004-A2 A Student Loan 2004-A 2004-A3 A Student Loan 2004-A 2004-A3 A Student Loan 2004-A 2004-A3 A Student Loan 2004-A 2004-A3 A Student Loan 2004-A 2004-A3 A Student Loan 2004-A 2004-A3 A Student Loan 2004-A 2004-A3 A Student Loan 2004-A 2004-A3 A Student Loan 2004-A 2004-A3 A South Carolina Student Loan Corp. Collateral Class Rating ---------- ----- ------ Student Loan 2004-A A-1 A Student Loan 2004-A A-2 A Student Loan 2006-A A-1 A Student Loan 2006-A A-2 A State of Ohio (Ohio Centric Student Loan Program) Collateral Class Rating ---------- ----- ------ Student Loan 2001&2002 2001A A Student Loan 2001&2002 2001B A Student Loan 2001&2002 2002A-1 A Student Loan 2001&2002 2002A-2 A Student Loan 2001&2002 2002B A Student Loan 2006A 2006A A Student Loan Funding LLC Collateral Class Rating ---------- ----- ------ Student Loan 1995-B B-1 A Student Loan 1995-B B-2 A Student Loan 1995-B B-3 A Student Loan 1995-B B-4 A Student Loan 1995-B B-5 A Triad Automobile Receivables Trust 2005-A Collateral Class Rating ---------- ----- ------ Auto Loan A-4 A Triad Automobile Receivables Trust 2006-C Collateral Class Rating ---------- ----- ------ Auto Loan A-3 BBB Auto Loan A-4 BBB UPFC Auto Receivables Trust Collateral Class Rating ---------- ----- ------ Auto Loan 2006-B A-3 BBB Auto Loan 2007-B A-2 BBB Auto Loan 2007-B A-3 BBB Utah St Brd of Regents Collateral Class Rating ---------- ----- ------ Student Loan 1994-K K AA Student Loan 2003-V V AA Student Loan T Series T AA Student Loan U Series U AA Vermont Std Asst Corp. Collateral Class Rating ---------- ----- ------ Student Loan 2001 2001AA A Student Loan 2001 2001V A Student Loan 2001 2001W A Student Loan 2001 2001X A Student Loan 2001 2001Y A Student Loan 2001 2001Z A Student Loan 2003 FF A Student Loan 2003 GG A Student Loan 2003 HH A Student Loan 2003 II A Student Loan 2003 JJ A Student Loan 2003 KK A Student Loan 2003 LL A Student Loan 2004 MM A Student Loan 2004 NN A Student Loan 2004 OO A Student Loan 2004 PP A Student Loan 2005 RR A Student Loan 2005 SS A Student Loan 1995A A A Student Loan 1995B A A Student Loan 1995C A A Student Loan 1996F A A Student Loan 1996G A A Student Loan 1996H A A Student Loan 2006-TT UU VV UU A Student Loan 2006-TT UU VV VV A Student Loan 2002BB 2002BB A Student Loan 2002CC 2002CC A Student Loan 2002DD 2002DD A Student Loan 2007 - WW,XX YY 2007WW A Student Loan 2007 - WW,XX YY 2007XX A Student Loan 2007 - WW,XX YY 2007YY A ********* 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. Danilo Munnoz, Joseph Medel C. Martirez, Denise Marie Varquez, Philline Reluya, 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 ***