/raid1/www/Hosts/bankrupt/TCR_Public/091101.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, November 1, 2009, Vol. 13, No. 302
Headlines
280 FUNDING: Moody's Upgrades Ratings on Two Classes of Notes
ACAS BUSINESS: Moody's Downgrades Ratings on Four 2007-2 Notes
ALTERNATIVE LOAN: S&P Downgrades Ratings on Five 2008-1R Certs.
BANC OF AMERICA: Moody's Downgrades Ratings on 12 Tranches
BANC OF AMERICA: S&P Downgrades Ratings on 19 2007-4 Securities
BCAP LLC: S&P Downgrades Ratings on 13 2008-RR1 Certificates
BEAR STEARNS: S&P Downgrades Ratings on 20 2007-PWR15 Securities
C-BASS IV: Fitch Downgrades Ratings on Five Classes of Notes
C-BASS VII: Fitch Downgrades Ratings on Two Classes of Notes
CAPITALSOURCE COMMERCIAL: Moody's Downgrades Ratings on Notes
CAPITALSOURCE REAL: Moody's Retains Rating Review on 2006-A Notes
CAPMARK FINANCIAL: Chapter 11 Filing Won't Affect Fitch's Ratings
CAPMARK VII: Ch 11 Filing Cues Fitch to Keep Ratings on WatchNeg.
CARNEGIE HILL: Moody's Downgrades Rating on Series 2004-1 Notes
CBRE REALTY: S&P Downgrades Ratings on 12 Classes of 2007-1 CDOs
CD 2007-CD4: Moody's Reviews Ratings on 18 Classes of Certs.
COLUMBUSNOVA CLO: Moody's Withdraws 'B3' Rating on Class E Notes
CONTINENTAL AIRLINES: Moody's Assigns 'Ba2' Rating on Class B
CREDIT SUISSE: Moody's Affirms Ratings on Five 2006-C2 Certs.
CREDIT SUISSE: Moody's Reviews Ratings on Three 2007-TFL2 Certs.
CREDIT SUISSE: S&P Downgrades Rating on 2002-CKP1 Certs. to 'D'
CRESI FINANCE: Moody's Takes Rating Actions on 2006-A Notes
CREST G-STAR: Moody's Downgrades Ratings on Four 2001-1 Notes
EATON VANCE: Moody's Junks Ratings on Class A Floating Notes
EL PASO: S&P Raises Ratings on Two Housing Bonds From 'BB'
FMA CBO: Moody's Downgrades Ratings on Class B Notes to 'Ca'
GE COMMERCIAL: S&P Downgrades Ratings on 15 2005-C3 Securities
GOLDMAN SACHS: Moody's Downgrades Ratings on Class C to 'Ca'
GOLDMAN SACHS: Moody's Downgrades Ratings on Two Classes of Notes
INDUSTRIAL DEVELOPMENT: Fitch Cuts Ratings on $35 Mil. Bonds to D
INDYMAC MANUFACTURED: S&P Corrects Rating on Class M-1 to 'D'
JEFFERSON COUNTY: Moody's Cuts Ratings on 1999 Bonds to 'Ba3'
JP MORGAN: Moody's Reviews Ratings on 14 2004-CIBC10 Certificates
JPMORGAN CHASE: S&P Cuts Ratings on 21 2007-CIBC20 Securities
JPMORGAN CHASE: S&P Downgrades Ratings on 13 2004-PNC1 Securities
LB-UBS COMMERCIAL: Moody's Affirms Ratings on 10 2005-C3 Certs.
LB-UBS COMMERCIAL: S&P Downgrades Ratings on 2004-C6 Securities
MAVERICK COUNTY: Fitch Affirms 'BB' Ratings on Various Debts
MCG COMMERCIAL: Moody's Downgrades Ratings on Various 2006-1 Notes
MORGAN STANLEY: Moody's Cuts Ratings on Two 2007-1 Securities
MORGAN STANLEY: S&P Downgrades Ratings on 21 2007-HQ11 Securities
NORTH TEXAS: S&P Raises Ratings on 1984 Revenue Bonds From 'CCC'
NOVASTAR MORTGAGE: Moody's Cuts Ratings on Four 2007-1 Securities
PALISADES CDO: Moody's Downgrades Ratings on Three Classes
PERSEUS CDO: Moody's Downgrades Ratings on Four Classes of Notes
PINNACLE CBO: Moody's Downgrades Rating on Senior Notes to 'Caa3'
PORTICOES FUNDING: Moody's Downgrades Ratings on Two Classes
POTOMAC SYNTHETIC: Moody's Downgrades Ratings on 2007-1 Notes
PPM AMERICA: Moody's Downgrades Ratings on Class A-1 to 'Ca'
SAINT BARNABAS: Moody's Cuts Rating on $881.9 Mil. Bonds to 'Ba1'
SAXON ASSET: Moody's Downgrades Rating on Six 2007-4 Securities
SEAWALL SPC: S&P Downgrades Ratings on Various Classes of Notes
SIGNATURE 4: Moody's Downgrades Ratings on Two Classes of Notes
SKY HOLDING: Aserca Re-Lease Won't Affect Fitch's Ratings
TARRANT COUNTY: Moody's Affirms 'Ca' Rating on 2001A Revenue Bonds
TOWER HILL: Moody's Downgrades Ratings on 12 Classes of Notes
TRAINER WORTHAM: Moody's Downgrades Ratings on Three Classes
TRAINER WORTHAM: Moody's Downgrades Ratings on Five Classes
TROPIC CDO: Fitch Downgrades Ratings on Seven Classes of Notes
TRITON CDO: Moody's Downgrades Ratings on Three Classes of Notes
TROPIC CDO: S&P Downgrades Ratings on Three Tranches
TULSA HOUSING: Moody's Downgrades Ratings on 2001A Bonds to 'Ba1'
WATCHTOWER CLO: Moody's Upgrades Ratings on Three Classes of Notes
ZERMATT CBO: Moody's Downgrades Ratings on Class B Notes to 'Ca'
* Fitch Assigns Negative Outlooks on 126 Notes From 64 Bank CDOs
* Moody's Downgrades Ratings on Harrisburg's 1995 Bonds to 'Ba2'
* Moody's Reviews Ratings on 85 Classes From Five CMBS Deals
* S&P Downgrades Ratings on 121 Classes From 40 RMBS Transactions
* S&P Downgrades Ratings on 130 Classes From 10 RMBS Transactions
* S&P Downgrades Ratings on 146 Classes From 44 RMBS Transactions
* S&P Downgrades Ratings on 216 Tranches From 42 CLO Transactions
*********
280 FUNDING: Moody's Upgrades Ratings on Two Classes of Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by 280 Funding I Ltd.:
-- US$165,000,000 Series 2006-3 Class B Senior Secured
Deferrable Floating Rate Notes Due 2021, Upgraded to Baa2;
previously on March 17, 2009 Downgraded to Ba1 and Placed
Under Review for Possible Downgrade;
-- US$90,000,000 Series 2006-3 Class C Senior Secured Deferrable
Floating Rate Notes Due 2021, Upgraded to Ba2; previously on
March 17, 2009 Downgraded to B1 and Placed Under Review for
Possible Downgrade.
Moody's notes that the upgrade actions on the Class B and Class C
Notes consider updated analysis incorporating certain rating
stresses assumed by Moody's and credit deterioration (discussed
below), but reflect Moody's conclusion that the impact of these
factors on the ratings of the 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. Additionally, the actions consider
the positive implications of performance stabilization in several
deal collateral quality measurements over the previous year. In
particular, the weighted average rating factor has increased over
time and is currently 3052, but is lower than the test level of
3682, based on the last trustee report dated August 17, 2009.
According to the same report, the overcollateralization, spread
and diversity tests are also well within their covenant levels.
The current Class A OC Ratio is 163.44% versus a test level of
144% and the current weighted average spread of the portfolio is
4.13% versus a covenant of 4.00%.
Moody's rating analysis applies certain revised assumptions with
respect to default probability (including certain stresses
pertaining to credit estimates) and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated July 17, 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,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
280 Funding I Ltd., issued on June 28, 2006, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans of middle market issuer.
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.
ACAS BUSINESS: Moody's Downgrades Ratings on Four 2007-2 Notes
--------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by ACAS Business Loan Trust 2007-2:
-- US$300,500,000 Class A Floating Rate Asset Backed Notes Due
2019 (current balance of $231,574,114), Downgraded to Aa3;
previously on August 7, 2007 Assigned Aaa;
-- US$37,500,000 Class B Floating Rate Deferrable Asset Backed
Notes Due 2019 (current balance of $34,874,179), Downgraded
to Baa1; previously on March 4, 2009 Aa2 Placed Under Review
for Possible Downgrade;
-- US$63,000,000 Class C Floating Rate Deferrable Asset Backed
Notes Due 2019 (current balance of $58,588,620), Downgraded
to Ba2; previously on March 23, 2009 Downgraded to Ba1 and
Placed Under Review for Possible Downgrade;
-- US$31,500,000 Class D Floating Rate Deferrable Asset Backed
Notes Due 2019 (current balance of $29,294,310), Downgraded
to B2; previously on March 23, 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. 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 3704 versus a test
level of 3679 as of the last quarterly servicer report, dated July
2009. Based on the same report, defaulted securities currently
held in the portfolio total about $34 million, and securities
rated Caa1 or lower make up approximately 26.3% of the underlying
portfolio versus a covenant level of 17%. Moody's notes that
approximately 70% of the underlying portfolio consists of second
lien and subordinated loans.
The rating actions also reflect Moody's revised assumptions with
respect to default probability (including certain stresses
pertaining to credit estimates) and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for second lien loans and
subordinated loans will be below their historical averages,
consistent with Moody's research. Other assumptions used in
Moody's CLO monitoring are described in the publication "CLO
Ratings Surveillance Brief - Second Quarter 2009," dated July 17,
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, diversity score, and weighted average
recovery rate, may be different from the trustee's reported
numbers.
ACAS Business Loan Trust 2007-2, issued on August 7, 2007, is a
collateralized loan obligation backed primarily by a portfolio of
second lien and subordinated loans from middle market obligors.
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.
ALTERNATIVE LOAN: S&P Downgrades Ratings on Five 2008-1R Certs.
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of certificates from Alternative Loan Trust
Resecuritization 2008-1R, a U.S. residential mortgage-backed
securities real estate mortgage investment conduit transaction.
The downgrades reflect significant deterioration in performance of
the loans backing the underlying certificates. This performance
deterioration is so severe that the credit enhancement for CWALT
2008-1R is insufficient to maintain the ratings on the re-REMIC
classes.
CWALT 2008-1R, which closed in January 2008, is collateralized by
two underlying classes that support two independent groups within
the re-REMIC. The loans securing the two underlying classes,
which are included in two different trusts, consist predominately
of fixed-rate, Alternative-A mortgage loans.
Classes 1-A-1 and 1-A-2 from CWALT 2008-1R are supported by the 1-
A-2 class from Countrywide Home Loans Alternative Loan Trust 2007-
18CB (currently rated 'CCC'). The performance of the loans
securing this trust has declined precipitously in recent months.
This pool had experienced losses of 0.58% as of the September 2009
distribution, and currently had approximately 18.94% in delinquent
loans as a percentage of the current pool balance. Based on the
losses to date, the pool factor of 0.8086 (80.86%), which
represents the outstanding pool balance as a proportion of the
original balance, and the pipeline of delinquent loans, S&P's
current projected loss for this pool is 8.24%, which exceeds the
level of credit enhancement available to cover losses.
Classes 2-A-1, 2-A-2, and 2-A-3 from CWALT 2008-1R are supported
by the 1-A-20 class from Countrywide Home Loans Alternative Loan
Trust 2007-19 (currently rated 'CCC'). The performance of the
loans securing this trust has declined significantly in recent
months. This pool had experienced losses of 1.19% as of the
September 2009 distribution, and had approximately 32.30% in
delinquent loans. Based on the losses to date, the pool factor of
0.8599 (85.99%), and the pipeline of delinquent loans, S&P's
current projected loss for this pool is 20.51%, which exceeds the
level of credit enhancement available to cover losses.
Over the past two years, S&P has revised its RMBS default and loss
assumptions, and consequently its projected losses, to reflect the
continuing decline in mortgage loan performance and the housing
market. The performance deterioration of most U.S. RMBS has
continued to outpace the market's expectation.
Alternative Loan Trust Resecuritization 2008-1R
Series 2008-1R
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 02152LAA3 B- AAA
1-A-2 02152LAB1 CCC AAA
2-A-1 02152LAC9 CCC AAA
2-A-2 02152LAD7 CCC AAA
2-A-3 02152LAF2 CCC AAA
BANC OF AMERICA: Moody's Downgrades Ratings on 12 Tranches
----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 12
tranches issued by Banc of America Funding 2004-C Trust.
Additionally, Moody's has corrected and downgraded the rating on
the 4-A-3 tranche to Baa3 from prior ratings of Baa1 and A1 on the
4-A-3A and 4-A-3B components, respectively. The collateral
backing this transaction consists primarily of first-lien,
adjustable-rate, Alt-A residential mortgage loans.
These actions are a result of updated loss expectations on the
underlying collateral relative to available credit enhancement
In the press release dated May 26, 2009, Moody's had incorrectly
downgraded the 4-A-3A and the 4-A-3B component tranches to Baa1
and A1, respectively (both components were originally rated Aa1).
Even though the two components receive their primary payments from
different subgroups in the securitization, the two components are
not severable. Therefore, both components of the 4-A-3 bond
should have the same rating. When Moody's reviewed the
transaction with updated performance data, Moody's determined that
Baa3 was the appropriate rating for each of the components.
Moody's methodology for rating securities backed by more seasoned
Alt-A pools takes into account the annualized loss rate from the
prior 12 months and the projected loss rate over the next 12
months, and then translates these measures into lifetime losses
based on a deal's expected remaining life. Recent Losses are
calculated by assessing cumulative losses incurred over the prior
12-months as a percentage of the average pool factor in the last
year. For Pipeline Losses, Moody's uses an annualized roll rate
of 15%, 30%, 65% and 90% for loans that are delinquent 60-days,
90+ days, are in foreclosure, and REO respectively. Moody's then
applies deal-specific severity assumptions ranging from 40% to
55%. The results of these two calculations -- Recent Losses and
Pipeline Losses -- are weighted to arrive at the lifetime
cumulative loss projection. For deals with few remaining loans,
Moody's applies additional stresses based on loan count and
vintage to reflect increased volatility in the remaining mortgage
pool.
Once expected losses have been determined, Moody's assesses
available credit enhancement from subordination,
overcollateralization, excess spread and any external support
(mortgage insurance, pool policy, etc.). The available
enhancement is weighed against projected future losses to
ultimately arrive at an updated rating.
List of actions:
Issuer: Banc of America Funding 2004-C Trust
-- Cl. 1-A-1, Downgraded to A2; previously on Jan 3, 2005
Assigned Aaa
-- Cl. 2-A-1, Downgraded to Baa1; previously on May 26, 2009
Downgraded to Aa3
-- Cl. 2-A-2, Downgraded to Baa1; previously on May 26, 2009
Downgraded to Aa3
-- Cl. 2-X-1, Downgraded to Baa1; previously on May 26, 2009
Downgraded to Aa3
-- Cl. 3-A-1, Downgraded to Baa1; previously on May 26, 2009
Downgraded to Aa1
-- Cl. 4-A-2, Downgraded to A2; previously on May 26, 2009
Downgraded to Aa3
-- Cl. 4-A-3A, Downgraded to Baa3; previously on May 26, 2009
Downgraded to Baa1
-- Cl. 4-A-3B, Downgraded to Baa3; previously on May 26, 2009
Downgraded to A1
-- Cl. 4-M-1, Downgraded to B1; previously on May 26, 2009
Downgraded to Ba2
-- Cl. 4-M-2, Downgraded to C; previously on May 26, 2009
Downgraded to Caa3
-- Cl. 1-B-1, Downgraded to Baa2; previously on Jan 3, 2005
Assigned Aa2
-- Cl. 1-B-2, Downgraded to Ba3; previously on Jan 3, 2005
Assigned A2
-- Cl. 1-B-3, Downgraded to B2; previously on Jan 3, 2005
Assigned Baa2
-- Cl. 4-B-1, Downgraded to C; previously on May 26, 2009
Downgraded to Ca
BANC OF AMERICA: S&P Downgrades Ratings on 19 2007-4 Securities
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 19
classes of commercial mortgage-backed securities from Banc of
America Commercial Mortgage Trust 2007-4 and removed them from
CreditWatch with negative implications. In addition, S&P affirmed
its ratings on five classes from the same transaction.
The downgrades follow its analysis of the transaction using its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of the rating actions. The downgrades of the subordinate
and mezzanine classes also reflect credit support erosion S&P
anticipate will occur upon the eventual resolution of several
specially serviced loans and one credit-impaired loan. 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
1.38x and a loan-to-value ratio of 112.9%. S&P further stressed
the loans' cash flows under its 'AAA' scenario to yield a weighted
average DSC of 0.82x and an LTV of 158.5%. The implied defaults
and loss severity under the 'AAA' scenario were 86.6% and 45.5%,
respectively. All of the DSC and LTV calculations S&P noted above
exclude three ($52.1 million, 2.3%) of the seven specially
serviced loans and one credit-impaired loan ($106.8 million,
4.8%). S&P separately estimated losses for these loans, which S&P
included in its 'AAA' scenario implied default and loss figures.
The affirmation of the ratings on the principal and interest
certificates reflects subordination levels that adequately support
the outstanding ratings. S&P affirmed its rating on the class XW
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. After S&P finalize its criteria review,
S&P may revise its IO criteria, which may affect outstanding
ratings, including the rating on the IO certificates that S&P
affirmed.
Credit Concerns
As of the October 2009 remittance report, seven loans
($82.9 million, 3.7%) in the pool were with the special servicer,
Midland Loan Services Inc. A breakdown of the specially serviced
loans by payment status is: three are more than 90 days delinquent
($29.6 million, 1.3%), two are 30 days delinquent ($45.2 million,
2.1%), and two are current ($8.0 million, 0.4%). Three of the
specially serviced loans have appraisal reduction amounts in
effect totaling $11.5 million.
The largest loan with the special servicer is the Manzanita Gate
loan, which has a total exposure of $39.9 million (1.8%). The
loan was transferred to the special servicer on Oct. 1, 2008, due
to a default resulting from a violation of due-on-encumbrance
provisions. The borrower encumbered the property with additional
liens without lender consent. The loan is current and is secured
by a 324-unit multifamily property in Reno, Nev. For year-end
2007, the reported DSC was 1.18x, down from 1.40x at issuance.
Midland initiated a nonjudicial foreclosure action. At this time,
Standard & Poor's expects a moderate loss upon the resolution of
the loan.
The remaining specially serviced loans have balances that
individually represent less than 0.8% of the total pool balance.
In addition, S&P deemed the fifth-largest loan in the pool, the La
Jolla Executive Tower loan ($106.8 million, 4.8%), to be credit-
impaired. S&P discuss this loan in further detail in the Top 10
loan section below.
Transaction Summary
As of the October 2009 remittance report, the collateral pool
consisted of 143 loans with an aggregate trust balance of
$2.22 billion, which represents approximately 99.6% of the trust
balance at issuance. No loans have paid off or have been
liquidated since issuance. The master servicer for the
transaction, Bank of America N.A., provided financial information
for 99.4% of the pool; 97.0% of the financial information was
full-year 2008 data or interim-2009 data. S&P calculated a
weighted average DSC of 1.42x for the pool based on the reported
figures. S&P's adjusted DSC and LTV were 1.38x and 112.9%,
respectively. S&P's adjusted DSC and LTV figures exclude three of
the seven specially serviced loans ($52.1 million, 2.3%) and one
credit-impaired loan ($106.8 million, 4.8%). S&P separately
estimated losses for these four loans. Bank of America provided
DSC figures for all four of these loans, and based on these
figures, S&P calculated a weighted average DSC of 0.75x. Thirty-
six loans (19.4%) are on Bank of America's watchlist, including
two of the top 10 loans. Thirty-one loans ($315.6 million, 14.2%)
have a reported DSC of less than 1.10x, and 20 of these loans
($241.3 million, 10.9%) have a reported DSC of less than 1.0x.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$1.11 billion (49.8%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.45x for the top 10 loans.
Two of the top 10 loans ($147.6 million, 6.6%) appear on Bank of
America's watchlist, including one that S&P consider credit-
impaired. These two loans are discussed below. Excluding the
credit-impaired loan, its adjusted DSC and LTV for the top 10
loans are 1.37x and 117.3%, respectively.
The La Jolla Executive Tower loan is the fifth-largest loan in the
pool and is on the watchlist due to low DSC. S&P deemed it to be
credit-impaired because it presents increased default risk due to
low DSC and a significant drop in occupancy. The loan has a trust
balance of $106.8 million (4.8%) and is secured by a 231,512-sq.-
ft. office property in La Jolla, Calif. The reported DSC for the
trailing 12 months (TTM) ended June 30, 2009, was 0.63x, down from
0.70x for the TTM ended June 30, 2008. Occupancy as of the July
2009 rent roll was 55.8%, down from 84.1% as of the January 2009
rent roll. Based on the annualized July 2009 rent roll, Standard
& Poor's projects the DSC to decrease to 0.36x, which excludes
additional near-term roll totaling approximately 20% of the net
rentable area (NRA). If the loan defaults, Standard & Poor's
would expect a significant loss upon its resolution.
The East Market at Fair Lakes loan is the 10th-largest loan in the
pool and is on the master servicer's watchlist due to low DSC.
The loan is current and has a trust balance of $40.8 million
(1.8%). The loan is secured by an 87,889-sq.-ft. retail property
in Fairfax, Va. The reported DSC based on net cash flow for the
trailing six months ended June 30, 2009, was 0.95x, down from
1.15x at year-end 2008. The reported DSC based on net operating
income for the trailing six months ended June 30, 2009, was 0.97x.
Standard & Poor's stressed the loans in the pool according to its
updated conduit/fusion criteria. The resultant credit enhancement
levels support the lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Banc of America Commercial Mortgage Trust 2007-4
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-4 A+ AAA/Watch Neg 30.12
A-1A A+ AAA/Watch Neg 30.12
A-M BBB AAA/Watch Neg 20.08
A-J BB- AAA/Watch Neg 12.05
B B+ AA+/Watch Neg 11.04
C B+ AA/Watch Neg 10.16
D B+ AA-/Watch Neg 9.16
E B A+/Watch Neg 8.16
F B A/Watch Neg 7.53
G B A-/Watch Neg 6.78
H B- BBB+/Watch Neg 5.52
J CCC+ BBB/Watch Neg 4.52
K CCC BBB-/Watch Neg 3.64
L CCC- BB+/Watch Neg 3.01
M CCC- BB/Watch Neg 2.76
N CCC- BB-/Watch Neg 2.51
O CCC- B+/Watch Neg 2.26
P CCC- B/Watch Neg 2.01
Q CCC- B-/Watch Neg 1.76
Ratings Affirmed
Banc of America Commercial Mortgage Trust 2007-4
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.12
A-2 AAA 30.12
A-3 AAA 30.12
A-SB AAA 30.12
XW AAA N/A
N/A - Not applicable.
BCAP LLC: S&P Downgrades Ratings on 13 2008-RR1 Certificates
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 13
classes of certificates from BCAP LLC 2008-RR1 Trust a U.S.
residential mortgage backed securities re-securitized real estate
mortgage investment conduit transaction.
The downgrades reflect the significant deterioration in
performance of the loans backing the underlying certificate. This
performance deterioration is so severe that the credit enhancement
for BCAP 2008-RR1 is insufficient to maintain the 'AAA' ratings on
the re-REMIC classes.
BCAP 2008-RR1, which closed in March 2008, is collateralized by
one underlying class that supports the classes within the re-
REMIC. In addition, certain classes from BCAP 2008-RR1 benefit
from support classes within the re-REMIC. The loans securing the
underlying class consist predominately of long-reset adjustable-
rate Alternative-A mortgage loans.
The 13 classes from BCAP 2008-RR1 are supported by the III-1A-1
class from Bear Stearns Alt-A Trust 2006-3 (currently rated
'CCC'). The performance of the loans securing this trust has
declined precipitously in recent months. This pool had
experienced losses of 3.85% as of the September 2009 distribution
date, and it had approximately 34.37% in delinquent loans as a
percentage of the current pool balance. Based on the losses to
date, the pool factor of 0.5971 (59.71%), which represents the
outstanding pool balance as a proportion of the original balance,
and the pipeline of delinquent loans, S&P's current projected loss
for this pool is 18.48%, which exceeds the level of credit
enhancement available to cover losses to the III-1A-1 class.
Over the past two years S&P has revised its RMBS default and loss
assumptions, and consequently S&P's projected losses, to reflect
the continuing decline in mortgage loan performance and the
housing market. The performance deterioration of most U.S. RMBS
has continued to outpace the market's expectations.
Ratings Lowered
BCAP LLC 2008-RR1 Trust
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 05531DAA6 BBB+ AAA
A-2 05531DAB4 CCC AAA
A-3 05531DAC2 CCC AAA
A-4 05531DAD0 B+ AAA
A-5 05531DAE8 CCC AAA
A-6 05531DAF5 CCC AAA
A-7 05531DAG3 CCC AAA
A-8 05531DAH1 B- AAA
A-9 05531DAJ7 CCC AAA
A-10 05531DAK4 CCC AAA
A-11 05531DAL2 CCC AAA
A-12 05531DAM0 CCC AAA
A-13 05531DAN8 CCC AAA
BEAR STEARNS: S&P Downgrades Ratings on 20 2007-PWR15 Securities
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 20
classes of commercial mortgage-backed securities from Bear Stearns
Commercial Mortgage Securities Trust 2007-PWR15 and removed them
from CreditWatch with negative implications. In addition, S&P
affirmed its ratings on six classes from the same transaction.
The downgrades follow its analysis of the transaction using its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of the rating actions. The downgrades of the subordinate
and mezzanine classes also reflect anticipated credit support
erosion upon the eventual resolution of several specially serviced
loans and one credit-impaired loan. 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 1.33x and a loan-
to-value ratio of 137.4%. S&P further stressed the loans' cash
flows under its 'AAA' scenario to yield a weighted average DSC of
0.83x and an LTV of 200.6%. The implied defaults and loss
severity under the 'AAA' scenario were 85.2% and 43.9%,
respectively. All of the DSC and LTV calculations noted above
exclude one credit-impaired loan ($4.9 million, 0.2%) and five
($119.8 million, 4.3%) of the six specially serviced loans. S&P
separately estimated losses for these loans and included these
losses in its 'AAA' scenario implied default and loss figures.
The affirmation of the ratings on the principal and interest
certificates reflects subordination levels that adequately support
the outstanding ratings. S&P affirmed its ratings on the class X-
1 and X-2 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. After S&P finalizes its
criteria review, S&P may revise its IO criteria, which may affect
outstanding ratings, including the rating on the IO certificates
that S&P affirmed.
Credit Concerns
As of the October 2009 remittance report, six loans
($464.8 million, 16.8%) in the pool were with the special
servicer, Centerline Servicing Inc. (Centerline). The payment
status of the specially serviced loans is: three are more than 90
days delinquent ($96.4 million, 3.5%); one is 60 days delinquent
($1.0 million, 0.04%); one is less than 30 days delinquent
($22.4 million, 0.8%); and one is current ($345.0 million, 12.4%).
Three of the specially serviced loans have appraisal reduction
amounts in effect, totaling $6.5 million.
The World Market Center II loan is the largest loan with the
special servicer and the largest loan in the pool. The loan has a
trust balance of $345.0 million (12.4%) and is secured by a
1,431,510-sq.-ft. home furniture and furnishing accessories
showroom and design center in Las Vegas. The loan is current and
was transferred to the special servicer on Sept. 24, 2009, due to
an imminent default. For the six months ended June 30, 2009, the
reported occupancy and DSC were 75.0% and 0.85x, respectively.
For year-end 2008, the reported occupancy and DSC were 73.0% and
1.0x, respectively. The special servicer is expecting to receive
a workout proposal from the borrower. Given the loan's low DSC,
it defaulted in its 'AAA' scenario with a substantial loss.
The Sheraton Universal Hotel loan is the second-largest loan with
the special servicer and the sixth-largest loan in the pool. The
loan has a trust balance of $84.0 million (3.0%) and is secured by
a 436-room full-service hotel in Universal City, Calif. The loan
is more than 90 days delinquent and was transferred to the special
servicer on July 21, 2009, due to payment default. The servicer
reported negative net cash flow for the six months ended June 30,
2009. The reported DSC was 0.07x for year-end 2008, down from
1.58x at issuance. The special servicer has filed a judicial
foreclosure action with a request for a receiver. At this time,
Standard & Poor's expects a moderate loss upon the resolution of
this loan.
The remaining specially serviced loans have balances that
individually represent less than 0.8% of the total pool balance.
In addition to the specially serviced loans, S&P deemed the 320
Evesboro Medford Road loan ($4.9 million, 0.2%) to be credit-
impaired because it presents an increased default risk due to low
DSC and a drop in occupancy. The loan is 30 days delinquent and
is on the master servicer's watchlist. For year-end 2008, the
reported DSC was 1.18x and occupancy was 75%, down from 1.53x and
89%, respectively, at issuance. The period IO loan began to
amortize in February 2009. The borrower has stated that it will
no longer be making loan payments. Should the loan default,
Standard & Poor's expects a moderate loss upon the resolution of
the asset.
Transaction Summary
As of the October 2009 remittance report, the collateral pool
consisted of 205 loans with an aggregate trust balance of
$2.77 billion, which represents approximately 98.8% of the trust
balance at issuance. One realized loss ($1.9 million) has
occurred since issuance on a $3.1 million loan. The master
servicers for the transaction, Prudential Asset Resources Inc. and
Wells Fargo Bank N.A., provided financial information for 99.3% of
the pool, and 98.9% of the financial information was full-year
2008 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 1.33x and 137.4%, respectively. S&P's adjusted DSC and LTV
figures exclude one credit-impaired loan ($4.9 million, 0.2%) and
five of the six specially serviced loans ($119.8 million, 4.3%),
for which S&P separately estimated losses. The master servicers
provided DSC figures for all six of these loans, and based on the
servicer-reported DSC figures, S&P calculated a weighted average
DSC of 0.45x. Forty-three loans (22.6%) are on the master
servicers' watchlists, including two of the top 10 loans. Twenty-
four loans ($645.9 million, 23.3%) have a reported DSC of less
than 1.10x, and 13 of these loans ($164.7 million, 5.9%) have a
reported DSC of less than 1.0x.
Summary of Top 10 Loans
The top 10 loans have an aggregate outstanding balance of
$1.11 billion (39.9%). Using servicer-reported numbers, S&P
calculated a weighted average DSC for the top 10 loans of 1.29x.
Two top 10 loans ($230.5 million, 8.3%) are on the master
servicers' watchlists, and two top 10 loans ($429.0 million,
15.5%) are with the special servicer. S&P's adjusted DSC and LTV
for the top 10 loans are 1.25x and 122.5%, respectively. S&P's
adjusted DSC and LTV calculation excluded the Sheraton Universal
Hotel loan, one of two loans with the special servicer that S&P
discussed above.
The AMB-SGP L.P. Portfolio loan is the second-largest loan in the
pool and appears on the master servicer's watchlist due to pending
lease expirations. The loan is current and has a trust balance of
$153.0 million (5.5%). The loan is secured by a 20-property
industrial portfolio totaling 6.5 million sq. ft. The reported DSC
for year-end 2008 was 1.55x. Standard & Poor's adjusted the
portfolio's net cash flow for near-term lease expirations,
resulting in an adjusted DSC of 1.35x.
The Summit Place Office loan is the seventh-largest loan in the
pool and appears on the master servicer's watchlist due to reduced
DSC resulting from higher-than-anticipated operating expenses.
The loan is current and has a trust balance of $77.5 million
(2.8%). The loan is secured by a 647,344-sq.-ft. four-building
office property in West Allis, Wis. The property was built in
1905 and extensively renovated in 2003. The reported DSC for
year-end 2008 was 1.04x, down from 1.36x at issuance.
Standard & Poor's stressed the loans in the pool according to its
updated conduit/fusion criteria. The resultant credit enhancement
levels support the lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR15
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-4 A+ AAA/Watch Neg 30.28
A-4FL A+ AAA/Watch Neg 30.28
A-1A A+ AAA/Watch Neg 30.28
A-M BBB AAA/Watch Neg 20.17
A-MFL BBB AAA/Watch Neg 20.17
A-J BB AAA/Watch Neg 11.44
A-JFL BB AAA/Watch Neg 11.44
B BB- AA/Watch Neg 9.54
C B+ AA-/Watch Neg 8.53
D B+ A/Watch Neg 7.14
E B A-/Watch Neg 6.13
F B BBB+/Watch Neg 4.74
G B- BBB/Watch Neg 3.72
H B- BBB-/Watch Neg 2.71
J CCC+ BB+/Watch Neg 2.33
K CCC+ BB/Watch Neg 2.08
L CCC+ BB-/Watch Neg 1.70
M CCC+ B+/Watch Neg 1.57
N CCC B/Watch Neg 1.32
O CCC- B-/Watch Neg 1.07
Ratings Affirmed
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR15
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.28
A-2 AAA 30.28
A-3 AAA 30.28
A-AB AAA 30.28
X-1 AAA N/A
X-2 AAA N/A
N/A - Not applicable.
C-BASS IV: Fitch Downgrades Ratings on Five Classes of Notes
------------------------------------------------------------
Fitch Ratings has downgraded five classes of notes issued by C-
BASS IV, Ltd./Corp.
Due to the concentrated nature of the portfolio, Fitch's analysis
was primarily based on the comparison of the portion of the
portfolio considered performing (assets with a Fitch-derived
rating in the 'B' category and higher) and outstanding tranche
balances. Specifically, $15.2 million of the notional balance of
the performing assets covers the combined balance of $2.7 million
of class B-1 and B-2 (collectively, class B) notes 5.7 times.
Despite this high coverage ratio, Fitch also considered the
possibility of a future interest shortfall for class B, which is
rated to the probability of receiving timely interest and ultimate
principal repayment.
A substantial portion of the interest proceeds on the most recent
payment date in October was used to pay the hedge counterparty,
and more than half of the interest due to class B was paid out of
principal proceeds. The strike rate under the interest rate swap
in C-Bass IV is 5.8% and the notional, at $33.8 million as of
Oct. 1, is scheduled to increase to $49.2 million by January 2010
before it starts to slowly step down. The current notional is
significantly higher than the notional of fixed rate assets in the
portfolio net of fixed coupon liabilities.
Despite a large paydown of $9.5 million to class B on the last
payment date and corresponding reduction of interest due on the
future payment dates, in Fitch's opinion, the use of principal
proceeds to pay a portion of class B interest may continue, as
long as the hedge remains out of the money. In evaluating class
B's ability to receive timely interest in the future, Fitch
analyzed the ability of the performing portion of the portfolio to
generate enough interest to cover the administrative expenses,
management fees, and payment to the hedge counterparty. In
Fitch's assessment, this ability is commensurate with the 'A'
rating category.
In Fitch's opinion, there is a real possibility that timely
interest payments to class B would have to be partially funded
from the principal proceeds and therefore would depend on the
timing of the amortization of the underlying assets. Given a high
concentration and the barbell credit nature of the underlying
portfolio, Fitch expects an uneven pace in the amortization of the
underlying assets. Fitch has placed class B on Rating Watch
Negative to reflect a high degree of uncertainty with respect to
class B's future ability to receive timely interest.
In the event of the interest shortfall in any future periods,
class B will be downgraded to a 'D' rating. In the event that
class B receives its full interest due on the next payment date in
January 2010 and remains outstanding after that payment date, the
Rating Watch Negative status may be resolved if Fitch evaluates at
that time that the risk of missing future interest payments for
this class is remote.
Class C is rated to the ultimate receipt of interest and
principal. Given the composition of the portfolio, the ratio of
the performing assets to the notional balances of classes B and C,
the likelihood of using principal proceeds to partially pay
interest due on the notes, and potential swap payments, Fitch
evaluates the risk associated with this class to be at the 'BBB'
level. Given the uncertainty with respect to the potential use of
principal to pay interest, described above, Fitch assigns a
Negative Rating Outlook to this class.
The class B and C notes are assigned Loss Severity ratings of
'LS5'. The LS ratings indicate each tranche's potential loss
severity given default, as evidenced by the ratio of tranche size
to the base-case loss expectation for the collateral, as explained
in 'Criteria for Structured Finance Loss Severity Ratings'. The
LS rating should always be considered in conjunction with the
probability of default for tranches.
Classes D-1 and D-2 are currently not receiving any interest
payments. While they may eventually receive some payments, these
notes are unlikely to be paid in full and are subsequently
downgraded to 'C'.
C-BASS IV is a structured finance collateralized debt obligation
that closed on June 27, 2002. The portfolio is monitored by C-
BASS Investment Management LLC. The portfolio is composed
primarily of residential mortgage-backed securities 81.1% and CDOs
18.9%.
Fitch has taken various rating actions on these classes of C-BASS
IV, Ltd./Corp.:
-- $1,765,006 class B-1 notes downgraded to 'A/LS5' from 'AAA';
Stable Outlook removed; placed on Rating Watch Negative;
-- $980,559 class B-2 notes downgraded to 'A/LS5' from 'AAA';
Stable Outlook removed; placed on Rating Watch Negative;
-- $5,025,875 class C Notes downgraded to 'BBB/LS5' from 'A';
Outlook revised to Negative from Stable;
-- $2,215,759 class D-1 notes downgraded to 'C' from 'CCC';
-- $12,775,223 class D-2 notes downgraded to 'C' from 'CCC'.
C-BASS VII: Fitch Downgrades Ratings on Two Classes of Notes
------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed two classes of notes
issued by C-BASS VII, Ltd./Corp.
These rating actions are the result of continued credit
deterioration in the portfolio since Fitch's last rating action in
May 2009. Approximately 35.4% of the portfolio has been
downgraded since the last review.
The downgrades to the portfolio have left approximately 39.4% of
the portfolio with a Fitch derived rating below investment grade
and 20.9% with a rating in the 'CCC' rating category or lower,
compared to 31.5% and 10.8%, respectively, at last review.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model for projecting future default levels
for the underlying portfolio. These default levels were then
compared to the breakeven levels generated by Fitch's cash flow
model of the CDO under the various default timing and interest-
rate stress scenarios, as described in the report 'Global Criteria
for Cash Flow Analysis in Corporate CDOs'.
Based on this analysis, the class A, B, C, and D notes' breakeven
rates are generally consistent with the ratings assigned below.
Given the expected further downgrades to the underlying assets,
Fitch assigned a Negative Outlook to all four classes.
The classes A and B notes are assigned Loss Severity ratings of
'LS4' and classes C and D notes are assigned 'LS5'. The LS
ratings indicate each tranche's potential loss severity given
default, as evidenced by the ratio of tranche size to the base-
case loss expectation for the collateral, as explained in
'Criteria for Structured Finance Loss Severity Ratings'. The LS
rating should always be considered in conjunction with the
probability of default for tranches.
C-BASS VII is a structured finance collateralized debt obligation
that closed on Oct. 28, 2002. The portfolio is monitored by C-
BASS Investment Management LLC. The portfolio is composed
primarily of residential mortgage-backed securities 77.6%, asset-
backed securities 15.9%, and CDOs 6.5%.
Fitch has affirmed, downgraded, assigned LS ratings, and revised
Outlooks as indicated:
C-BASS VII, Ltd./Corp.
-- $22,143,738 class A notes affirmed at 'AAA'; Outlook to
Negative from Stable; assigned 'LS4';
-- $20,000,000 class B notes affirmed at 'AAA'; Outlook to
Negative from Stable; assigned 'LS4';
-- $20,000,000 class C notes downgraded to 'A/LS5' from 'AA';
Outlook to Negative from Stable;
-- $14,575,580 class D notes downgraded to 'BB/LS5' from 'A';
Outlook to Negative from Stable.
CAPITALSOURCE COMMERCIAL: Moody's Downgrades Ratings on Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by CapitalSource Commercial Loan
Trust 2007-1:
-- US$586,000,000 Class A Floating Rate Asset Backed Notes
(current balance of $274,425,085), Downgraded to A3;
previously on April 18, 2007 Assigned Aaa;
-- US$20,000,000 Class B Floating Rate Deferrable Asset Backed
Notes (current balance of $11,530,614), Downgraded to Ba1;
previously on March 4, 2009 Aa2 Placed Under Review for
Possible Downgrade;
-- US$84,000,000 Class C Floating Rate Deferrable Asset Backed
Notes (current balance of $48,428,579), Downgraded to B2;
previously on March 23, 2009 Downgraded to Ba1 and Placed
Under Review for Possible Downgrade;
-- US$48,000,000 Class D Floating Rate Deferrable Asset Backed
Notes (current balance of $27,673,474), Downgraded to Caa3;
previously on March 23, 2009 Downgraded to B1 and Placed
Under Review for Possible Downgrade;
-- US$34,000,000 Class E Floating Rate Deferrable Asset Backed
Notes (current balance of $19,602,044), Downgraded to Ca;
previously on March 23, 2009 Downgraded to Caa1 and Placed
Under Review for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. Such
credit deterioration is observed through an increase in the dollar
amount of charged-off and delinquent loans, as well as increased
exposure to loans with low-speculative grade ratings or credit
estimate rating factors that equate to low-speculative grade
ratings. Based on the servicer report dated October 10, 2009,
delinquent loans currently held in the portfolio total about
$15.9 million, accounting for roughly 4.8% of the collateral
balance, and cumulative charge-offs total $57.5 million. New
charge-offs for the period between September 10, 2009 and
October 10, 2009, total $8.9 million. Moody's also noted that
since closing there has been a significant decline in the Moody's
calculated Diversity Score, with the collateral pool becoming
concentrated in a smaller number of industries and issuers.
The rating actions also reflect Moody's revised assumptions with
respect to default probability (including certain stresses
pertaining to credit estimates) and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated July 17, 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,
Diversity Score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
CapitalSource Commercial Loan Trust 2007-1, issued in 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans from middle market obligors.
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.
CAPITALSOURCE REAL: Moody's Retains Rating Review on 2006-A Notes
-----------------------------------------------------------------
Moody's Investors Service continues the review for possible
downgrade of 12 classes of CapitalSource Real Estate Loan Trust
2006-A. Moody's is keeping the bonds on review for possible
downgrade as Moody's seek greater clarification on the impact of
the occurrence of a Tax Event on June 18, 2009. Additionally,
Moody's in the process of finalizing Moody's analysis of credit
quality of the underlying whole loan and B-note debt as Moody's
collect and analyze year-end 2008 cash flows and updated
appraisals.
The classes were initially placed on review for possible downgrade
due to deterioration in the credit quality of the underlying
portfolio and the occurrence of a Tax Event on June 18, 2009. The
Tax Event was due to the decision by CapitalSource Inc., the
parent company of the Collateral Manager (CapitalSource Finance
LCC), to elect to revoke its Real Estate Investment Trust (REIT)
status. As a consequence, CapitalSource Real Estate Loan Trust
2006-A (the Issuer) is no longer treated as a qualified REIT
subsidiary (QRS) or other pass through entity for federal income
tax purposes. As a result of this change in status, all federal
and state income taxes are payable pursuant to Article 11,
Application of Monies, per the Indenture dated as of December 20,
2006. This will have a materially adverse impact on the
likelihood of the ultimate receipt of principal and interest by
the noteholders of each of the rated classes by the legal final
maturity date.
First and second quarter 2009 taxes due were approximately
$7.5 million. The Collateral Manager estimated that third quarter
taxes due will be approximately $3.5 million. Based upon the
October 14, 2009 Trustee Report, approximately $3.8 million of
$13.4 million in Scheduled Interest Receipts was classified as a
Tax, Filing, and Registration Fee.
As of the October 14, 2009 Trustee Report, the current collateral
includes 98% whole loan debt and 2% B-note debt.
Deterioration in the credit quality of the underlying portfolio is
observed through numerous factors including, but not limited to,
the failings of the Class A/B, Class C/D/E, and Class F/G/H Par
Value Test due to $113.2 million in defaulted collateral.
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior review is summarized in a
press release dated April 15, 2009.
Moody's rating action is:
-- Class A-1A, $63,972,269, Floating Rate Notes Due 2037,
currently rated Aa3, on review for possible downgrade;
previously placed on review for downgrade on 7/30/2009
-- Class A-1R, $200,000,000, Floating Rate Notes Due 2037,
currently rated Aa3, on review for possible downgrade;
previously placed on review for downgrade on 7/30/2009
-- Class A-2A, $443,137,377, Floating Rate Notes Due 2037,
currently rated Aa1, on review for possible downgrade;
previously placed on review for downgrade on 7/30/2009
-- Class A-2B, $125,000,000, Floating Rate Notes Due 2037,
currently rated A3, on review for possible downgrade;
previously placed on review for downgrade on 7/30/2009
-- Class B, $82,875,000, Floating Rate Notes Due 2037, currently
rated Baa3, on review for possible downgrade; previously
placed on review for downgrade on 7/30/2009
-- Class C, $62,682,146, Floating Rate Notes Due 2037, currently
rated Ba2, on review for possible downgrade; previously
placed on review for downgrade on 7/30/2009
-- Class D, $30,369,304, Floating Rate Notes Due 2037, currently
rated B1, on review for possible downgrade; previously placed
on review for downgrade on 7/30/2009
-- Class E, $30,376,945, Floating Rate Notes Due 2037, currently
rated B2, on review for possible downgrade; previously placed
on review for downgrade on 7/30/2009
-- Class F, $26,954,903, Floating Rate Notes Due 2037, currently
rated B3, on review for possible downgrade; previously placed
on review for downgrade on 7/30/2009
-- Class G, $33,562,432, Floating Rate Notes Due 2037, currently
rated Caa1, on review for possible downgrade; previously
placed on review for downgrade on 7/30/2009
-- Class H, $31,627,207, Floating Rate Notes Due 2037, currently
rated Caa2, on review for possible downgrade; previously
placed on review for downgrade on 7/30/2009
-- Class J, $49,224,047, Floating Rate Notes Due 2037, currently
rated Caa3, on review for possible downgrade; previously
placed on review for downgrade on 7/30/2009
CAPMARK FINANCIAL: Chapter 11 Filing Won't Affect Fitch's Ratings
-----------------------------------------------------------------
The Chapter 11 bankruptcy of Capmark Financial Group Inc., along
with the potential subsequent sale and servicing transfer, will
not adversely impact ratings on franchise loan asset-backed
securities serviced by Capmark, according to Fitch Ratings:
Capmark Finance Inc. is currently the servicer on several Fitch-
rated franchise loan asset-backed securities and is expected to be
sold to Berkadia Commercial Mortgage LLC.
On Oct. 26, Fitch Ratings downgraded Capmark's Issuer Default
Rating to 'D' from 'C' in response to the company's filing of a
voluntary petition seeking relief under Chapter 11 of the U.S.
Bankruptcy Code.
Capmark-serviced franchise loan ABS rated by Fitch are:
-- Atherton Franchise Loan Funding, series 1997-A;
-- Atherton Franchise Loan Funding, series 1998-A;
-- Atherton Franchise Loan Funding, series 1999-A;
-- EMAC Owner Trust, series 1998-1;
-- EMAC Owner Trust, series 1999-1;
-- EMAC Owner Trust, series 2000-1;
-- FMAC Loan Receivables Trust, series 1996-B.;
-- FMAC Loan Receivables Trust, series 1997-A;
-- FMAC Loan Receivables Trust, series 1997-B;
-- FMAC Loan Receivables Trust, series 1997-C;
-- FMAC Loan Receivables Trust, series 1998-A;
-- FMAC Loan Receivables Trust, series 1998-B;
-- FMAC Loan Receivables Trust, series 1998-C;
-- FMAC Loan Receivables Trust, series 1998-D.
On Sept. 2, 2009, Capmark entered into a put option agreement to
sell its servicing and origination operations to Berkadia, a
partnership between Berkshire Hathaway Inc. (long-term IDR rated
'AA+' with a Negative Outlook by Fitch) and Leucadia National
Corporation (long-term IDR rated 'BB+' with a Negative Outlook).
Currently, Capmark Financial Group is rated 'D' by Fitch. The
acquisition will bring financial stability to the servicing
platform. In addition, Berkadia will be capitalized with in
excess of $1 billion in available cash by Berkshire Hathaway.
Berkadia has indicated to Fitch that it expects to retain
substantially all of Capmark's servicing management and staff.
CAPMARK VII: Ch 11 Filing Cues Fitch to Keep Ratings on WatchNeg.
-----------------------------------------------------------------
Capmark VII remains on Rating Watch Negative by Fitch Ratings
following Capmark Financial Group's Chapter 11 bankruptcy filing
earlier this week. Downgrade risk remains for the transaction due
to continued underperformance. Fitch's Rating Watch review of
Capmark VII will incorporate potential implications of the
bankruptcy on the management of the CDO and on the loans with
future funding obligations.
Further, Fitch does not anticipate any servicing disruption of the
individual loans within the CDO serviced by Capmark Finance Inc.
On Oct. 26, 2009, Fitch Ratings downgraded Capmark Financial
Group's Issuer Default Rating to 'D' from 'C' in response to the
company's filing of a voluntary petition seeking relief under
Chapter 11 of the U.S. Bankruptcy Code. Capmark Finance Inc. is
currently the servicer for Capmark VII-CRE, Ltd. Capmark
Investments, L.P., the subsidiary that serves as manager of
Capmark VII, is not part of the bankruptcy filing.
Capmark VII is a $1,000,000,000 revolving CRE CDO that closed on
Aug. 24, 2006. All classes of Capmark VII are currently on Rating
Watch Negative. As of September 2009, the CDO was failing all
three of its Principal Coverage tests due to haircuts associated
with 11 defaulted loans. As long as these tests are failing,
interest and principal proceeds are redirected to pay down the
senior most notes. Fitch has finalized its CRE CDO surveillance
methodology and anticipates resolution of the rating watch in the
next few months.
Five loans included in Capmark VII are reported to maintain future
funding obligations totaling $18.3 million. Although these future
fundings are not direct obligations of the CDO, failure to advance
the funds to borrowers could negatively affect the performance of
these loans, which comprise 17.8% of the CDO collateral. It is
unclear at this time whether the funds for these future advances
have been set aside by any Capmark entity.
In anticipation of the bankruptcy action, Urdang Capital
Management, a real estate investment subsidiary of BNY Mellon
Asset Management, was named as a nondiscretionary subadvisor to
Capmark Investments, L.P., for Capmark VII. Urdang has hired
eight team members from Capmark Investments, L.P. to manage the
day to day operations of the CDO. Urdang, which is headquartered
in Philadelphia, PA, has approximately $2.5 billion in gross
private real estate investments under management.
Further, on Sept. 2, 2009, Capmark announced that it had entered
into a put option agreement to sell its servicing and origination
operations to Berkadia Commercial Mortgage LLC, a partnership
between Berkshire Hathaway Inc. and Leucadia National Corporation.
Berkadia has indicated to Fitch that it expects to retain
substantially all of Capmark's servicing management and staff.
CARNEGIE HILL: Moody's Downgrades Rating on Series 2004-1 Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
rating on notes issued by Carnegie Hill under Series 2004-1, a
collateralized debt obligation transaction referencing a static
portfolio of corporate entities.
The rating action is:
Issuer: Carnegie Hill, Series 2004-1
-- US$15M Notes due June 20, 2011 Notes, Downgraded to B3;
previously on March 13, 2009 Downgraded to B1
Moody's explained that the rating action taken is the result of
the deterioration of the credit quality of the reference
portfolio. The 10 year weighted average rating factor of the
portfolio, not adjusted with forward looking measures, has
deteriorated from 1580 from the last rating action to 1711,
equivalent to an average rating of the current portfolio of Ba3.
Since inception of the transaction, the subordination of the rated
tranche has been reduced due to credit events on Bowater
Incorporated, Quebecor World and Idearc Inc. These credit events
lead to a decrease of approximately 1% of the subordination of the
tranche. The portfolio has the highest industry concentrations in
Finance (9%), Retail (7%), Utilities: Electric (7%) and Energy:
Oil & Gas (6%).
Moody's monitors this transaction using primarily the methodology
for Corporate Synthetic Obligations as described in Moody's
Special Report below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (14 September 2009)
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 strength of the legal
framework as well as specific documentation features, and
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.
CBRE REALTY: S&P Downgrades Ratings on 12 Classes of 2007-1 CDOs
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 12
classes from CBRE Realty Finance CDO 2007-1 Ltd., also known as
RFC CDO 2006-1, a commercial real estate collateralized debt
obligation transaction. S&P removed three of the 12 ratings from
CreditWatch with negative implications after lowering them to
'CCC-', while the other nine lowered ratings and two additional
ratings remain on CreditWatch negative.
The downgrades reflect S&P's analysis of the transaction following
its downgrades of nine classes of commercial mortgage-backed
securities that serve as collateral for CBRE 2007-1. The
securities are from seven transactions and total $52.1 million
(5.6% of the total asset balance). The downgrades also reflect
the transaction's exposure to six defaulted assets ($95.6 million,
10.2%).
The negative CreditWatch placements on CBRE 2007-1 reflect
exposure to underlying CMBS assets with ratings on CreditWatch
negative ($89.2 million, 9.5%) or to assets related to CMBS loans,
such as subordinate and mezzanine loans, for which the senior loan
is held in one or more CMBS transactions with ratings on
CreditWatch negative ($66.4 million, 7.1%).
CBRE 2007-1 has significant exposure to these CMBS transactions
that Standard & Poor's has downgraded:
* GS Mortgage Securities Trust 2006-GG6 (classes H and J;
$18.4 million, 2%);
* Wachovia Bank Commercial Mortgage Trust series 2007-C32 (class
J; $10 million, 1.1%); and
* Banc of America Commercial Mortgage Inc. series 2006-2 (class H;
$6.7 million, 0.7%).
The Sept. 30, 2009, trustee report listed four loans
($86.9 million, 9.3%) and two securities ($8.7 million, 0.9%) in
CBRE 2007-1 as defaulted. The amount of defaulted assets caused
three par value test failures and three interest coverage test
failures. The defaulted assets include:
* The Crossings first mortgage loan ($38 million, 4.1%);
* The Riverton Apartments mezzanine loan ($25 million, 2.7%);
* The Resorts International B note ($13.4 million, 1.4%);
* The Mototown USA first mortgage loan ($10.5 million, 1.1%);
* The LNR CDO 2002-1 CDO security (class G; $5 million, 0.5%); and
* The Chase Commercial Mortgage Securities Corp. 2000-2 CMBS
security (class L; $3.7 million, 0.4%).
Excluding the defaulted assets, the transaction's current asset
pool includes these:
* Seventeen first mortgage loans ($443.3 million, 47.2%);
* Thirty-seven CMBS classes ($194.3 million, 20.7%);
* Seven B notes ($108.2 million, 11.5%);
* Five mezzanine loans ($89 million, 9.5%); and
* Four CRE CDO classes ($8 million, 0.9%).
S&P based its analysis of the transaction primarily on information
the collateral manager provided to us, as well as on the Sept. 30,
2009, trustee remittance report and data for the underlying CMBS
transactions.
S&P expects to update or resolve the CreditWatch negative
placements on CBRE 2007-1 in conjunction with S&P's resolution of
the CreditWatch placements on the underlying CMBS assets and as
S&P analyzes the credit characteristics of the remaining assets.
Ratings Lowered And Remaining On Creditwatch Negative
CBRE Realty Finance CDO 2007-1 Ltd.
Rating
------
Class To From
----- -- ----
A-2 AA-/Watch Neg AA+/Watch Neg
A-2R AA-/Watch Neg AA+/Watch Neg
B BBB+/Watch Neg AA-/Watch Neg
C BB+/Watch Neg A-/Watch Neg
D BB+/Watch Neg BBB+/Watch Neg
E BB/Watch Neg BBB/Watch Neg
F B+/Watch Neg BBB-/Watch Neg
G B/Watch Neg BB+/Watch Neg
H CCC+/Watch Neg BB/Watch Neg
Ratings Lowered And Removed From Creditwatch Negative
CBRE Realty Finance CDO 2007-1 Ltd.
Rating
------
Class To From
----- -- ----
J CCC- B+/Watch Neg
K CCC- B/Watch Neg
L CCC- B-/Watch Neg
Ratings Remaining On Creditwatch Negative
CBRE Realty Finance CDO 2007-1 Ltd.
Class Rating
----- ------
A-1 AAA/Watch Neg
A-1R AAA/Watch Neg
CD 2007-CD4: Moody's Reviews Ratings on 18 Classes of Certs.
------------------------------------------------------------
Moody's Investors Service placed 18 classes of CD 2007-CD4
Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series CD 2007-CD4 on review for possible downgrade
due to higher expected losses for the pool resulting from
anticipated losses from loans in special servicing and interest
shortfalls. Since Moody's prior review in February 2009, the
pool's exposure to specially serviced loans has increased from 4%
to 18%. The rating action is the result of Moody's on-going
surveillance of commercial mortgage backed securities
transactions.
As of the October 14, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by less than 1% to
$6.61 billion from $6.64 billion at securitization. The
Certificates are collateralized by 379 mortgage loans ranging in
size from less than 1% to 6% of the pool, with the top 10 loans
representing 40% of the pool.
Eighty-three loans, representing 32% of the pool, are on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of
the Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
Twenty-three loans, representing 18% of the pool, are currently in
special servicing. The special servicer has recognized an
aggregate appraisal reduction of $94.4 million for nine of the
specially serviced loans. Currently there are interest shortfalls
effecting Classes N through Q.
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-MFX, $594,982,000, currently rated Aaa, on review for
possible downgrade; previously assigned Aaa on 4/10/2007
-- Class A-MFL, $65,000,000, currently rated Aaa, on review for
possible downgrade; previously assigned Aaa on 4/10/2007
-- Class A-J, $585,733,000, currently rated A1, on review for
possible downgrade; previously downgraded to A1 from Aaa on
2/6/2009
-- Class B, $41,249,000, currently rated A2, on review for
possible downgrade; previously downgraded to A2 from Aa1 on
2/6/2009
-- Class C, $90,748,000, currently rated A3, on review for
possible downgrade; previously downgraded to A3 from Aa2 on
2/6/2009
-- Class D, $57,748,000, currently rated Baa1, on review for
possible downgrade; previously downgraded to Baa1 from Aa3 on
2/6/2009
-- Class E, $41,249,000, currently rated Baa3, on review for
possible downgrade; previously downgraded to Baa3 from A2 on
2/6/2009
-- Class F, $49,498,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from A3 on
2/6/2009
-- Class G, $65,999,000, currently rated Ba2, on review for
possible downgrade; previously downgraded to Ba2 from Baa1 on
2/6/2009
-- Class H, $74,248,000, currently rated B1, on review for
possible downgrade; previously downgraded to B1 from Baa2 on
2/6/2009
-- Class J, $65,998,000, currently rated B2, on review for
possible downgrade; previously downgraded to B2 from Baa3 on
2/6/2009
-- Class K, $74,248,000, currently rated B3, on review for
possible downgrade; previously downgraded to B3 from Ba1 on
2/6/2009
-- Class L, $24,749,000, currently rated Caa2, on review for
possible downgrade; previously downgraded to Caa2 from Ba3 on
2/6/2009
-- Class M, $16,499,000, currently rated Caa3, on review for
possible downgrade; previously downgraded to Caa3 from B1 on
2/6/2009
-- Class N, $16,500,000, currently rated Caa3, on review for
possible downgrade; previously downgraded to Caa3 from B2 on
2/6/2009
-- Class O, $16,500,000, currently rated Ca, on review for
possible downgrade; previously downgraded to Ca from Caa1 on
2/6/2009
-- Class P, $8,249,000, currently rated Ca, on review for
possible downgrade; previously downgraded to Ca from Caa2 on
2/6/2009
-- Class Q, $16,500,000, currently rated Ca, on review for
possible downgrade; previously confirmed at Ca on 2/6/2009
COLUMBUSNOVA CLO: Moody's Withdraws 'B3' Rating on Class E Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has withdrawn its
rating of these notes issued by ColumbusNova CLO IV Ltd. 2007-II:
-- US$11,250,000 Class E Deferrable Junior Notes due 2021, B3
Withdrawn; previously on September 22, 2009 Confirmed at B3.
Moody's has withdrawn its rating as a result of cancellation of
the Class E Deferrable Junior Notes in the transaction. As of
October 7, 2009, CN Credit Opportunities Fund 2007-1, Ltd., the
beneficial owner of the Class E Notes, surrendered for
cancellation on October 1, 2009, the entire $11,250,000 principal
amount of the Class E notes without receiving any payment in
exchange. The surrendered notes were cancelled upon receipt by
the trustee, and the related debt was extinguished by the issuer.
Prior to the cancellation of the notes, the Class E
overcollateralization test had been failing. As a result, the
Class A-1 Notes were delevering. Following the cancellation of
the notes, the Class E overcollateralization test will no longer
be applicable to the transaction. All overcollateralization tests
are now passing, effectively permitting the resumption of interest
payments to the Subordinated Notes, while averting required
redemptions of the Class A-1 Notes due to the failure of the Class
E overcollateralization test. On the next payment date, the Class
A-1 Notes are no longer expected to continue their delevering and
the Subordinated Notes are expected to start receiving interest
payments. The rating actions considered the impact of this cash
flow re-diversion on the entire capital structure of the deal.
Moody's determined that the current ratings of the Class A-1,
Class A-2, Class B, Class C, and Class D Notes were not affected
by the cancellation of the Class E Notes.
CONTINENTAL AIRLINES: Moody's Assigns 'Ba2' Rating on Class B
-------------------------------------------------------------
Moody's Investors Service assigned Baa2 and Ba2 ratings, to the
Class A and Class B Pass Through Certificates, respectively, of
the 2009-2 Pass Through Trusts to be issued by Continental
Airlines, Inc. The transaction documentation provides for the
possible issuance of one or more subordinated tranches of
certificates at a future date. The subordination provisions of
the inter-creditor agreement provide for the payment of interest
on the Class B Certificates before payments of principal on the
Class A Certificates. Amounts due under the Certificates will, in
any event, be subordinated to any amounts due on either of the
Class A or Class B Liquidity facilities, each of which provides
for three consecutive semi-annual interest payments due the
respective Certificate holders.
The Class A Equipment Notes and Class B Equipment Notes issued by
Continental and acquired with the proceeds of the Certificates
will be the sole assets of the Pass Through Trusts. The
Certificates' proceeds will fund a portion of the upcoming
February 2010 or May 2010 maturities of the 1999-1 and 2000-1
Enhanced Equipment Trust Certificates of Continental, and the
purchase of 11 new Boeing aircraft. Eight currently owned
aircraft will make up a portion of the collateral pool of the new
Notes. Continental's obligations under the indentures of the
Notes will be secured by the seventeen aircraft this transaction
will finance.
Rating Rationale
The ratings of the Certificates consider the credit quality of
Continental (Corporate Family Rating of B2, negative outlook) as
obligor under the Notes, Moody's opinion of the collateral
protection of the Notes, the credit support provided by the
Liquidity Facilities, and certain structural characteristics of
the Notes such as the cross-collateralization and cross-default
provisions and the protections of Section 1110 of Title 11 of the
United States Code. The assigned ratings of Baa2 and Ba2 on the
Class A and Class B tranches, respectively, reflect Moody's
opinion of the ability of the Pass Through Trustees to make timely
payment of interest and the ultimate payment of principal at a
date no later than May 10, 2021 for the A tranche and November 10,
2018 for the B tranche, each the final maturity dates. "Moody's
believes that the cross-default feature increases the likelihood
of affirmation by Continental of its obligations under the
Equipment Notes as each of the aircraft types that comprise this
transaction are core to Continental's mainline operations and
fleet strategy," said Moody's Analyst Jonathan Root.
Additionally, the cross-collateralization of the aircraft securing
each note underlying the transaction enhances the potential
recovery for investors in the event of a default by the Pass
Through Trusts of their respective Certificate obligations or of
the rejection of the aircraft by Continental in the event of a
bankruptcy event and pursuant to the provisions of the Code.
Any combination of future changes in the underlying credit quality
or ratings of Continental, material unexpected changes in the
value of the aircraft pledged as collateral, and/or changes in the
status or terms of the liquidity facilities or the credit quality
of the liquidity provider could cause Moody's' to change its
ratings of the Certificates.
General Structure of the Series 2009-2 EETC's
The proceeds of the Certificates will initially be held in escrow
and deposited with the Depositary, Bank of New York Mellon (short-
term rating of P-1), until the issuance of each of the nineteen
equipment notes upon either the maturities of the 1999-1 and 2000-
1 EETC's or the delivery of each new aircraft. The aircraft that
comprise the collateral pool will be all Boeing models; 12 B737-
800's, three B757-200's, one B767-400ER and three B777-200ER's.
Eight of these aircraft are currently-owned by Continental. Nine
of the B737-800's and two of the B777-200ER's will be new
deliveries, the last scheduled for June 2010. Moody's expects the
funds placed with the Depositary will be held in interest bearing
accounts. This interest and the scheduled payments on the
Equipment Notes will be sufficient to pay accrued interest on the
outstanding Certificates during the Delivery Period which expires
on November 10, 2010.
The Certificates issued to finance the aircraft are not
obligations of, nor are they guaranteed by, Continental. However,
the amounts payable by Continental under the Notes will be
sufficient to pay in full all principal and interest on the
Certificates when due. The Notes will be secured by a perfected
security interest in the aircraft. It is the opinion of counsel
to Continental that the Notes will be entitled to benefits under
Section 1110 of the U.S. Bankruptcy Code. Under Section 1110 of
the U.S. Bankruptcy Code, if Continental fails to pay its
obligations under the Notes, the collateral trustee has the right
to repossess any aircraft which have been rejected by Continental.
Scheduled interest payments on the Certificates will be supported
by the A tranche and B tranche liquidity facilities sized to pay
up to three respective consecutive semi-annual interest payments
in the event Continental defaults on its obligations under the
Notes. The liquidity facility does not provide for payments of
principal due, nor interest on the Certificate proceeds held in
escrow during the Delivery Period. The provider of each of the
liquidity facilities is Natixis S.A., New York Branch (Moody's
short-term rating of P-1). The liquidity provider has a priority
claim on proceeds from liquidation of the Equipment Notes and
other Trust collateral ahead of any of the holders of the
Certificates and is also the controlling party following default.
Cross-Collateralization
The ratings of the 2009-2 Certificates benefit from the cross-
collateralization of the Notes, a feature which Moody's believes
can enhance recovery in the event of a default. The structure
provides that, in the event any or all aircraft are sold, any
surplus proceeds are made available to cover shortfalls due under
the Notes related to the sale of any other aircraft. Importantly,
all surplus proceeds are retained until maturity of the Equipment
Notes financing or the indentures are cancelled.
Moody's considers the number of aircraft and the number of
different aircraft models that comprise the collateral pool when
assessing the amount of LTV benefit of a cross-collateralized EETC
structure. At 19 aircraft, the size of the collateral pool of
this transaction is modest. Additionally, although there are four
aircraft models, there are three or fewer aircraft for three of
the four models in the transaction. These two factors result in a
modest LTV benefit. However, the large proportion of new aircraft
relative to other recent EETC transactions that have come to
market and that the included models are integral to Continental's
short- and long-haul routes support the likelihood of affirmation
by Continental of its obligations under the related equipment
notes, thus minimizing the probability of the cross-
collateralization benefit being called upon by creditors over the
life of the transaction.
The last rating action was on June 30, 2009, when Moody's assigned
ratings to Continental's 2009-1 EETC.
Assignments:
Issuer: Continental Airlines, Inc.
-- Senior Secured Enhanced Equipment Trust - Class A, Assigned
Baa2
-- Senior Secured Enhanced Equipment Trust - Class B, Assigned
Ba2
Continental Airlines, Inc., based in Houston Texas, is the world's
5th largest passenger airline as measured by the number of
scheduled miles flown by revenue passengers in 2008.
CREDIT SUISSE: Moody's Affirms Ratings on Five 2006-C2 Certs.
-------------------------------------------------------------
Moody's Investors Service affirmed the ratings of five classes and
downgraded 15 classes of Commercial Mortgage Pass-Through
Certificates, Series 2006-C2 Credit Suisse Commercial Mortgage
Trust Series 2006-C2. The downgrades are due to higher expected
losses for the pool resulting from anticipated losses from loans
in special servicing. On August 31, 2009, Moody's placed 15
classes on review for possible downgrade due to credit concerns
regarding the Babcock & Brown FX1 Loan ($157.4 Million -- 11.2% of
the pool). This action concludes that review. The rating action
is the result of Moody's on-going surveillance of commercial
mortgage backed securities transactions.
As of the September 17, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 2% to
$1.41 billion from $1.44 billion at securitization. The
Certificates are collateralized by 193 mortgage loans ranging in
size from less than 1% to 11% of the pool, with the top ten loans
representing 33% of the pool.
Forty-five loans, representing 19% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
There are currently nine loans, representing 18% of the pool, in
special servicing. The largest specially serviced loan is the
Babcock & Brown FX1 Loan ($157.4 million -- 11.2%), which is
secured by 13 Class B multifamily properties with 4,990 units that
are located in Houston, Texas (8 properties), South Carolina (4),
and Alabama (1). The properties were built between 1962 and 1985.
The loan was transferred to special servicing on March 3, 2009 for
imminent default with several of the properties having deferred
maintenance. The properties were 90% occupied as of June 2009.
The special servicer appointed a receiver for the properties in
August, and is currently assessing the amount of capital required
for deferred maintenance. Moody's is concerned about the ultimate
resolution of this loan despite the relatively strong occupancy
rate, due to the high degree of uncertainly surrounding the cost
of curing the deferred maintenance and the significant decline in
the portfolio's performance since securitization.
The second largest specially serviced loan is the Fortunoff
Portfolio Loan ($72.3 million - 5.0%), which is secured by two
cross-collateralized and cross-defaulted loans encompassing two
stand-alone retail buildings which anchor regional malls located
in Woodbridge, New Jersey and Westbury, New York. The loan was
transferred to special servicing on January 14, 2009, and due to
the bankruptcy filing and subsequent liquidation of Fortunoff
Department Stores in February 2009, both properties are vacant.
The servicer recognized a $56.4 million appraisal reduction on
September 11, 2009.
The remaining seven specially serviced loans represent 1.9% of the
pool. Moody's estimates an aggregate $113.4 million loss for all
loans in special servicing (45% loss severity on average).
Moody's was provided with full-year 2008 operating results for 90%
of the pool. Moody's weighted average loan to value ratio,
excluding the specially serviced loans with estimated losses, is
112% compared to 136% at Moody's prior full review in February
2009. The prior review was part of Moody's first quarter 2009
ratings sweep of 2006-2008 vintage CMBS transactions.
Moody's stressed debt service coverage ratio is 0.96X compared to
0.82X 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 has a Herf of 43, the same as at last
review.
The three largest non-specially serviced loans comprise 9% of
the pool. The largest loan is the Lincoln Road Retail Loan
($49.0 million -- 3.5%), which is secured by three office and
retail buildings totaling 53,200 square feet located in Miami
Beach, Florida. The properties were 98% leased as of March 31,
2009. The loan is interest-only for the entire term. Moody's LTV
and stressed DSCR are 121% and 0.81X, respectively, compared to
150% and 0.68X at last review.
The second largest conduit loan is the Gettysburg Village Loan
($42.3 million -- 3.0%), which is secured by a 310,000 square foot
shopping center located in Gettysburg, Pennsylvania near the
Gettysburg National Park. The center was 89% leased as of June
2009 compared to 92% at securitization. Moody's LTV and stressed
DSCR are 113% and 0.96X, respectively, compared to 128% at last
and 0.87X at last review.
The third largest conduit loan is 75 Maiden Lane Loan
($30.3 million -- 2.2%), which is secured by a 172,000 square foot
office building in the Insurance District of New York City. The
property was 96% occupied as of July 2009, the same as at
securitization. There is a diverse tenant mix with staggered
lease termination dates in this building. Moody's LTV and
stressed DSCR are 117% and 0.88X, respectively, compared to 139%
and 0.78X at last review.
Moody's rating action is:
-- Class A-1, $30,692,706, affirmed at Aaa, previously on
5/17/2006 assigned Aaa
-- Class A-1-A, $512,452,366, affirmed at Aaa, previously on
5/17/2006 assigned Aaa
-- Class A-2, $66,000,000, affirmed at Aaa, previously on
5/17/2006 assigned Aaa
-- Class A-3, $364,878,000, affirmed at Aaa, previously on
5/17/2006 assigned Aaa
-- Class A-M, $ 143,946,000, downgraded to Aa3 from Aaa,
previously placed on review for possible downgrade on
8/31/2009
-- Class A-J, $100,762,000, downgraded to Baa3 from A1,
previously placed on review for possible downgrade on
8/31/2009
-- Class B, $30,588,000, downgraded to Ba3 from A3, previously
placed on review for possible downgrade on 8/31/2009
-- Class C, $12,595,000 downgraded to Caa1 from Baa1, previously
placed on review for possible downgrade on 8/31/2009
-- Class D, $23,391,000, downgraded to Caa3 from Baa3,
previously placed on review for possible downgrade on
8/31/2009
-- Class E, $17,944,000, downgraded to Ca from Ba1 previously
placed on review for possible downgrade on 8/31/2009
-- Class F, $16,193,000, downgraded to C from Ba3, previously
placed on review for possible downgrade on 8/31/2009
-- Class G, $19,793,000, downgraded to C from B2, previously
placed on review for possible downgrade on 8/31/2009
-- Class H, $16,194,000, downgraded to C from B3, previously
placed on review for possible downgrade on 8/31/2009
-- Class J, $5,398,000, downgraded to C from Caa2, previously
placed on review for possible downgrade on 8/31/2009
-- Class K, $5,398,000, downgraded to C from Caa2, previously
placed on review for possible downgrade on 8/31/2009
-- Class L, $5,398,000, downgraded to C from Caa3, previously
placed on review for possible downgrade on 8/31/2009
-- Class M, $1,799,00, downgraded to C from Caa3, previously
placed on review for possible downgrade on 8/31/2009
-- Class N, $7,197,000, downgraded to C from Ca, previously
placed on review for possible downgrade on 8/31/2009
-- Class O, $5,398,000, downgraded to C from Ca, previously
placed on review for possible downgrade on 8/31/2009
-- Class A-X, notional, affirmed at Aaa, previously on 5/17/2006
assigned Aaa
CREDIT SUISSE: Moody's Reviews Ratings on Three 2007-TFL2 Certs.
----------------------------------------------------------------
Moody's Investors Service placed three additional commercial
mortgage backed securities classes on review for downgrade and
continues the review of ten pooled classes and two non-pooled, or
rake classes of Credit Suisse First Boston Mortgage Securities
Corp. Commercial Mortgage Pass-Through Certificates, Series 2007-
TFL2. Moody's is taking this action due to the potential for
higher expected losses for the pool resulting from losses from
loans in special servicing.
Currently, three loans totaling 62% of the pool balance are in
special servicing. The largest loan, Planet Hollywood, is secured
by a hotel-casino in Las Vegas which has experienced declining
performance due to significant market deterioration. The other
troubled loans are the Resorts Atlantic City hotel-casino loan and
the Biscanye Landing land development loan. Both of these loans
are anticipated to become real estate owned in the near future.
Moody's review will focus on potential losses from specially
serviced loans and the performance of the overall pool.
Moody's rating action is:
-- Class A1, $518,062,825, currently rated Aaa, on review for
possible downgrade; previously assigned Aaa on 8/17/07
-- Class A2, $100,000,000, currently rated Aaa, on review for
possible downgrade; previously assigned Aaa on 8/17/07
-- Class A3, $207,000,000, currently rated A1, on review for
possible downgrade; previously downgraded to A1 from Aaa on
3/4/09
-- Class B, $45,700,000, currently rated A2, on review for
possible downgrade; previously placed on review for downgrade
on 7/30/09
-- Class C, $42,600,000, currently rated A3, on review for
possible downgrade; previously placed on review for downgrade
on 7/30/09
-- Class D, $33,500,000 currently rated Baa1, on review for
possible downgrade; previously placed on review for downgrade
on 7/30/09
-- Class E, $36,600,000, currently rated Baa3, on review for
possible downgrade; previously placed on review for downgrade
on 7/30/09
-- Class F, $36,500,000, currently rated Ba1, on review for
possible downgrade; previously placed on review for downgrade
on 7/30/09
-- Class G, $33,500,000, currently rated Ba2, on review for
possible downgrade; previously placed on review for downgrade
on 7/30/09
-- Class H, $39,600,000, currently rated B1, on review for
possible downgrade, previously placed on review for downgrade
on 7/30/09
-- Class J, $36,600,000, currently rated B2, on review for
possible downgrade, previously placed on review for downgrade
on 7/30/09
-- Class K, $39,600,000, currently rated Caa1, on review for
possible downgrade, previously placed on review for downgrade
on 7/30/09
-- Class L, $33,467,897, currently rated Caa3, on review for
possible downgrade; previously placed on review for downgrade
on 7/30/09
-- Class BSL-A, $8,900,000, currently rated Caa2, on review for
possible downgrade; previously placed on review for downgrade
on 7/30/09
-- Class BSL-B, $9,000,000, currently rated Caa3, on review for
possible downgrade; previously placed on review for downgrade
on 7/30/09
The largest loan, Planet Hollywood Resort and Casino
($460.0 million - 38% of the pooled trust balance) is secured by a
40-story hotel-casino property, with 2,519 rooms on the Strip in
Las Vegas, Nevada. The property was constructed in 2000 as the
Aladdin Hotel and Casino. The current sponsors (Robert Earl, Bay
Harbor, and Starwood) completed a $178.4 million renovation
project to re-brand the property as the Planet Hollywood Hotel &
Casino in 2006. However, the slowing U.S. economy has led to
reduced convention bookings and lower leisure/gaming demand. As a
result, initial cash flow projections have not been reached. The
asset's debt service reserve became fully depleted in July 2009.
The Resorts Atlantic City Loan ($175.0 million -- 15% of the
pooled trust balance) is secured by a hotel-casino with 310 feet
of Boardwalk frontage at the northern end of the Atlantic City New
Jersey Boardwalk. On November 11 2008, the master servicer sent a
notice of monetary default to the borrower with a cure date of
November 26, 2008. The borrower subsequently indicated that it
would not cure the monetary default and the loan was transferred
to special servicing on December 1, 2008. It is anticipated that
the loan will become REO in the near future.
Biscayne Landing ($110.0 million - 9% of the pooled trust balance
and six rake classes) is secured by a 188-acre site located in
North Miami, Florida and was intended to fund pre-development of
the parcel to accommodate a mixed-use project. The original plan
called for a heavy residential component with completion prior to
a smaller commercial component. In December 2007, the borrower,
Boca Developers, failed to make a $20.0 million amortization
payment which was required if release proceed targets were not
met. In March of 2008, the loan was moved to special servicing.
Since the monetary default, the borrower explored a revised plan
calling for a much larger commercial development followed by a
smaller residential component when market conditions improve.
However, the Borrower's revised strategy was unsuccessful and the
lender group is now preparing for foreclosure.
CREDIT SUISSE: S&P Downgrades Rating on 2002-CKP1 Certs. to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
P commercial mortgage pass-through certificate from Credit Suisse
First Boston Mortgage Securities Corp.'s series 2002-CKP1 to 'D'
from 'CCC-' and removed it from CreditWatch with negative
implications, where it was placed June 26, 2009. The ratings on
seven other classes remain on CreditWatch negative, where they
were also placed on June 26, 2009.
The downgrade of class P reflects a $2,282,559 loss to the
outstanding principal balance of the security, according to the
remittance report dated Oct. 19, 2009. The principal loss
resulted from the liquidation of one asset that was previously
with the special servicer, LNR Partners Inc. S&P will resolve the
remaining CreditWatch placements following a full review of the
transaction using S&P's updated conduit/fusion criteria.
The liquidated asset, the Bruton Oaks Apartments, is a 304-unit,
multifamily property in Dallas, Texas, that had a total exposure
of $10.5 million, including fees, advances and expenses totaling
$3.2 million, and an unpaid principal balance of $7.3 million.
The asset was transferred to the special servicer on June 6, 2007,
for imminent default. The property reported occupancy of 67.0%
and had negative net cash flow as of Dec. 31, 2008. The trust
incurred an $8.2 million realized loss when the asset was
liquidated on Sept. 22, 2009, which was reflected in the October
remittance report.
Rating Lowered And Removed From Creditwatch Negative
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-CKP1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
P D CCC-/Watch Neg N/A
Ratings Remaining On Creditwatch Negative
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-CKP1
Class Rating
----- ------
G A+/Watch Neg
H A/Watch Neg
K-Z BBB/Watch Neg
L BBB-/Watch Neg
N B/Watch Neg
O CCC/Watch Neg
P CCC-/Watch Neg
CRESI FINANCE: Moody's Takes Rating Actions on 2006-A Notes
-----------------------------------------------------------
Moody's Investors Service upgrades one class of Notes and
downgrades one class of Notes of CRESI Finance Limited Partnership
2006-A and downgrades one class of Notes of CRESIX Finance Limited
Credit Linked Notes, Series 2006-A. CRESI is a synthetic
commercial real estate collateralized debt obligation, referencing
certain notes backed by floating rate commercial mortgage whole
loans. The credit-linked notes of CRESIX are structured to
synthetically replicate the aggregate cash flows of the Class F
and Class G certificates issued by CRESI.
The upgrade to CRESI is due to overall credit improvement of the
underlying reference loans. The downgrades to CRESI and CRESIX
are due to estimated losses on specially serviced loans, concerns
about the refinancing risk associated with loans approaching
maturity in an adverse environment, increased loan concentration
on the underlying reference obligations, and revised modeling
parameters, as outlined below. These actions are the result of
Moody's on-going surveillance of CRE CDO transactions.
As of the October 26, 2009 distribution date, the transaction's
aggregate reference obligation balance has decreased, through pay
downs and amortization, by approximately 62% to $456 million from
$1.19 billion at securitization. The reference obligations
consist of 35 mortgage loans ranging in size from less than 1% to
7.4% of the pool, with the top ten loans representing 59% of the
reference obligations.
Moody's was provided with full-year 2007 and 2008 operating
results for 100% and 86% of the underlying reference obligations,
respectively. Moody's average weighted loan to value ratio for
the reference obligations, excluding the specially serviced loan,
watchlisted loans, and refinance risk loans, is 68% compared to
82% at securitization. In addition, the reference obligations
have experienced improved LTV dispersion since securitization.
Based on Moody's analysis, 14% of the reference obligations have
an LTV in excess of 100% compared to 24% at securitization.
Moody's stressed Debt Service Coverage Ratio for the reference
obligations is 1.76X compared to 1.35X 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.
The underlying reference obligations have not experienced any
losses since securitization. There is currently one loan,
representing 2% of the reference obligations, in special
servicing. Moody's estimates a $5.2 million loss (61% severity)
on this specially serviced loan.
Three loans, representing 6% of the reference obligations, are on
the servicer's watchlist. 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. None of
the loans on the watchlist are currently delinquent.
Additionally, Moody's is concerned about the refinancing risk
associated with loans with approaching maturity. Moody's
identified five loans, representing 17% of the reference
obligations, which mature in the next 24 months and have a Moody's
stressed DSCR below 1.00X.
Moody's uses the Herfindahl index to measure diversity of loan
size. The pool has a Herfindah Index of 22 compared to 78 at last
review. The credit neutral herf score is 40.
Moody's review also incorporated updated asset correlation
assumptions for the commercial real estate sector consistent with
one of Moody's CDO rating models, CDOROM v2.5, which was released
on February 3, 2009. These correlations were updated in light of
the systemic seizure of credit markets and to reflect higher
inter- and intra-industry asset correlations.
For non-CUSIP collateral (treated in CDOROM v2.5 as secured
corporate debt), the updated asset correlations are approximately
30% compared to 15% previously. The updated asset correlations
for non-CUSIP collateral reflect a reduction in the maximum over-
concentration stress by half in CDOROM v2.5 due to the diversity
of tenants, property types and geographic locations inherent in
the collateral pools.
Default probability is typically captured in the collateral WARF.
For non-CUSIP collateral, the additional default probability
stress applied to corporate debt was eliminated as Moody's expect
the underlying non-CUSIP collateral to experience lower default
rates and higher recovery rates compared to corporate debt due to
the nature of the secured real estate collateral.
It is Moody's understanding that the Class A and B tranche
exposures will not be issued and sold as securities.
The ratings are derived from an analysis of the current portfolio.
In addition, the ratings of the Notes are also based on the senior
unsecured rating (Aa3/P-1 on review for possible upgrade) of Bank
of America, National Association (Cayman Island Branch) as the
swap counterparty and the rating of the Collateral as defined in
documentation for the Notes. The ratings do not address any
payments that investors may be required to make upon early
termination of a swap.
The rating actions is:
CRESI Finance Limited Partnership 2006-A
-- Class A, $290,188,340, Tranche Exposure Due 2017, affirmed at
Aaa; previously on 7/27/2006 assigned at Aaa
-- Class B, $28,206,000, Tranche Exposure Due 2017, upgraded to
Aa1 from Aa2; previously on 7/27/2006 assigned at Aa2
-- Class C, $31,174,000, Floating Rate Notes Due 2017, upgraded
to A1 from A2; previously on 7/27/2006 assigned at A2
-- Class D, $8,907,000, Floating Rate Notes Due 2017, affirmed
at A3; previously on 7/27/2006 assigned at A3
-- Class E, $19,298,000, Floating Rate Notes Due 2017, affirmed
at Baa2; previously on 7/27/2006 assigned at Baa2
-- Class F, $29,689,000, Floating Rate Notes Due 2017, affirmed
at Ba2; previously on 7/27/2006 assigned at Ba2
-- Class G, $19,299,000, Floating Rate Notes Due 2017,
downgraded to Caa1 from B2; previously on 7/27/2006 assigned
at B2
CRESIX Finance Limited Credit Linked Notes, Series 2006-A
-- Class F, $29,689,000, Credit Linked Notes Due 2017, affirmed
at Ba2; previously on 7/27/2006 assigned at Ba2
-- Class G, $19,299,000, Credit Linked Notes Due 2017,
downgraded to Caa1 from B2; previously on 7/27/2006 assigned
at B2
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
Moody's monitors transactions both on a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. This is Moody's first full review since
securitization.
CREST G-STAR: Moody's Downgrades Ratings on Four 2001-1 Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of four classes of notes issued by Crest G-Star 2001-1,
LP. The notes affected by the rating action are:
-- US$360,000,000 Class A Senior Secured Floating Rate Term
Notes, Due 2016, Downgraded to A1; previously on 3/10/2009
Downgraded to Aa3;
-- US$60,000,000 Class B-1 Second Priority Fixed Rate Term
Notes, Due 2035, Downgraded to Baa3; previously on 3/10/2009
Downgraded to Baa1;
-- US$15,000,000 Class B-2 Second Priority Floating Rate Term
Notes, Due 2035, Downgraded to Baa3; previously on 3/10/2009
Downgraded to Baa1;
-- US$20,000,000 Class C Third Priority Fixed Rate Term Notes,
Due 2034, Downgraded to B1; previously on 3/10/2009
Downgraded to Ba3.
Crest G-Star 2001-1, LP, is a collateralized debt obligation
backed primarily by a portfolio of Real Estate Investment Trust
Bonds and Commercial Mortgaged Backed Securities. REIT Bonds and
CMBS comprise approximately 52% and 48%, respectively, of the
underlying portfolio, the majority of which is from the 2000 and
2001 vintage.
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 an increase in the proportion of securities
rated Caa1 and below. The Moody's ratings of approximately 5% 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 1,056 as of September 30, 2009.
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.
EATON VANCE: Moody's Junks Ratings on Class A Floating Notes
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Eaton Vance CDO II Ltd.:
-- US $286,600,000 Class A Floating Rate Notes Due July 15, 2012
(current balance of $6,372,447), Downgraded to Caa3;
previously on December 21, 2006 Downgraded to B2
According to Moody's, the rating actions taken on the notes
reflects Moody's concerns about the insufficient collateralization
of the notes. In particular, the Class A Overcollateralization
Test was reported at 7.87% versus a test level of 131.57%, as
reported in the most recent trustee report dated September 16,
2009. There are very few assets left in the collateral portfolio,
which consists in part of equity securities with volatile market
values assigned a value of zero for purposes of calculating the
overcollateralization ratios. Based on the most recent trustee
report, the Moody's Diversity Score of the underlying collateral
pool is 4.5, with the assets heavily concentrated in a small
number of obligors. As a result, any material change in one
obligor will have a significant impact on the rated notes. While
the Class A Notes have delevered significantly, Moody's believes
that there is a significant likelihood that the issuer will
default on its obligation to repay the current outstanding balance
of the notes at their maturity, and that such a default will
result in significant losses to holders of the notes.
Eaton Vance CDO II Ltd., issued on June 15, 2000, is a
collateralized bond obligation backed primarily by a portfolio of
senior unsecured bonds.
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.
EL PASO: S&P Raises Ratings on Two Housing Bonds From 'BB'
----------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on El Paso
County, Colorado's taxable multifamily housing revenue bonds
(Lynmar Apartments) series 1997A and 1997B to 'AA+' from 'BB'.
The bonds are secured by a mortgage loan that is insured by FHA
under section 221(d)4 of the National Housing Act.
"The upgrade follows S&P's view of the availability of sufficient
funds to cover any credit shortfall that may occur if the mortgage
notes default," said Standard & Poor's credit analyst Renee J.
Berson.
The rating reflects S&P's view of the extremely high credit
quality of the FHA-insured mortgage loan collateral; the
sufficiency of assets and revenues to pay debt service and
expenses; a debt service reserve fund sized at eight months' debt
service on the bonds; the extremely strong investment quality; and
an asset-to-liability position of 101.25% as of Oct. 19, 2009.
FMA CBO: Moody's Downgrades Ratings on Class B Notes to 'Ca'
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by FMA CBO Funding II:
-- US$47,000,000 Class B Second Priority Senior Floating Rate
Notes due 2011 (current balance of $16,868,189), Downgraded
to Ca; previously on October 21, 2008 Downgraded to Caa3
According to Moody's, the rating actions taken on the notes
reflects Moody's concerns about the insufficient collateralization
of the notes. In particular, the Class A/B Overcollateralization
Test was reported at 67.6% versus a test level of 125%, as
reported in the most recent trustee report dated September 18,
2009. There are very few assets left in the collateral portfolio.
Based on the most recent trustee report, the Moody's Diversity
Score of the underlying collateral pool is 2, with the assets
heavily concentrated in a small number of obligors. As a result,
any material change in one obligor will have a significant impact
on the rated notes. While the Class B Notes have delevered
significantly, Moody's believes that there is a significant
likelihood that the issuer will default on its obligation to repay
the current outstanding balance of the notes at their maturity,
and that such a default will result in significant losses to
holders of the notes.
FMA CBO Funding II, issued on September 15, 1999, is a
collateralized bond obligation backed primarily by a portfolio of
senior unsecured bonds.
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 15 2005-C3 Securities
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 15
classes of commercial mortgage-backed securities from GE
Commercial Mortgage Corp.'s series 2005-C3 and removed them from
CreditWatch with negative implications. In addition, S&P affirmed
its ratings on 13 other classes from the same transaction and
removed six of them from CreditWatch negative.
The downgrades follow S&P's analysis of the transaction using its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of S&P's 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 1.76x and a loan-to-value ratio
of 97.9%. S&P further stressed the loans' cash flows under S&P's
'AAA' scenario to yield a weighted average DSC of 1.02x and an LTV
of 127.3%. The implied defaults and loss severity under the 'AAA'
scenario were 71.6% and 30.7%, respectively. All of the DSC and
LTV calculations noted above exclude six defeased loans
($77.9 million 3.8%) and one of the four specially serviced loans
($2.2 million 0.10%). S&P separately estimated a loss for the
specially serviced loan, which is included in the 'AAA' scenario
implied default and loss figures.
The affirmation of the ratings on the principal and interest
certificates reflects subordination levels that adequately support
the outstanding ratings. S&P affirmed its ratings on the class X-
C and X-P interest-only certificates based on S&P's current
criteria. S&P published a request for comment proposing changes
to its IO criteria on June 1, 2009. After S&P finalize its
criteria review, S&P may revise its IO criteria, which may affect
outstanding ratings, including the ratings on the IO certificates
that S&P affirmed.
Credit Concerns
Four loans ($133.4 million, 6.5%) in the pool are with the special
servicer, Midland Loan Services Inc. (Midland), including one top
10 loan, which S&P discuss in detail below. A breakdown of the
specially serviced loans by payment status is as follows: one is
more than 90 days delinquent ($2.2 million, 0.10%), one is less
than 30 days delinquent ($50.0 million, 2.4%), and two are in
their grace periods ($81.3 million, 3.9%). None of the specially
serviced loans have appraisal reduction amounts in effect at this
time.
The eighth-largest loan in the pool, and the largest with the
special servicer, is a General Growth Properties (GGP) loan. The
11th-largest loan in the pool, the 125 West 55th Street loan, with
a reported year-end 2008 DSC of 1.86x, was transferred to the
special servicer on Sept. 25, 2009. The borrower is requesting a
loan modification while seeking refinancing. The loan has a trust
balance of $50 million (2.4%) and is scheduled to mature in March
2010.
Transaction Summary
As of the October 2009 remittance report, the collateral pool
balance was $2.068 billion, down slightly from $2.116 billion at
issuance. The number of loans in the pool, at 132, is unchanged
since issuance. The master servicer for the transaction is also
Midland. As of the October 2009 remittance report, Midland
provided financial information for 99% of the nondefeased loans,
and 97% of the servicer-provided information was full-year 2008 or
interim-2009 data. S&P calculated a weighted average DSC of 1.79x
for the pool based on the reported figures. S&P's adjusted DSC
and LTV were 1.76x and 97.9%, respectively. S&P's adjusted DSC
and LTV figures exclude the six defeased loans and one of the four
specially serviced loans ($2.2 million, 0.1%), for which S&P
separately estimated losses. The transaction has not experienced
any principal losses to date. Twelve loans (28.1% of the pooled
trust balance), including four of the top 10 loans, will reach
their final maturity or anticipated maturity date in 2010. These
12 loans have a reported weighted average DSC of 2.25x. Sixteen
loans ($280.2 million, 13.6%) are on Midland's watchlist,
including two of the top 10 loans, which are discussed below.
Twelve loans ($231.5 million, 11.2%) have a reported DSC below
1.10x, and eight of these loans ($198.3 million, 9.6%) have a
reported DSC of less than 1.0x.
Summary Of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$900 million (43.5%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.91x for the top 10 loans.
One of the top 10 loans ($70.1 million, 3.4%) is with the special
servicer, and two of the top 10 loans ($160.5 million, 7.8%)
appear on Midland's watchlist, which S&P discuss in detail below.
S&P's adjusted DSC and LTV for the top 10 loans were 1.89x and
95.7%, respectively.
Oglethorpe Mall is the eighth-largest loan in the pool and the
largest loan with the special servicer. The loan has a trust
balance of $70.1 million (3.4%) and a whole-loan balance of
$140.1 million. The loan is secured by 631,244 sq. ft. of a
947,000-sq.-ft. mall in Savannah, Ga. The reported DSC for the
property as of year-end 2008 was 1.44x, up from 1.30x at issuance.
The loan was transferred to the special servicer on April 28,
2009, due to GGP's bankruptcy filing. The servicer reported the
loan to be current in its payments on the October 2009 remittance
report. S&P will continue to monitor developments relating to
this loan and will take rating actions on this transaction as
necessary.
Garden City Plaza is the third-largest loan in the pool and is the
largest loan on the servicer's watchlist. The loan has a trust
balance of $92.6 million (4.5%) and is secured by a 583,017-sq.-
ft. office building in Garden City, N.Y. The property was built
in phases in 1971 and 1988 and was renovated most recently in
2004. The loan appears on the servicer's watchlist due to low
DSC, and it was less than 30 days delinquent as of the October
2009 remittance report. DSC was 0.91x and occupancy was 90% as of
year-end 2008, down from 1.20x and 97.0%, respectively, at
issuance.
One Main Place is the ninth-largest loan in the pool and the
second-largest loan on the servicer's watchlist. The loan has a
trust balance of $67.9 million (3.3%) and a whole-loan balance of
$71.9 million. The loan, which is secured by a 1.01 million-sq.-
ft. office property in Dallas, Texas, appears on the watchlist due
to low DSC. The property was built in 1968 and renovated in 2002.
The servicer reported a 0.94x DSC for the trailing-12-months ended
June 30, 2009, down significantly from 1.68x at issuance.
Standard & Poor's stressed the loans in the pool according to its
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-C3
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-7B AA+ AAA/Watch Neg 20.47
A-1A AA+ AAA/Watch Neg 20.47
A-J A AAA/Watch Neg 12.66
B A- AA+/Watch Neg 12.02
C BBB+ AA/Watch Neg 10.62
D BBB AA-/Watch Neg 9.59
E BBB- A/Watch Neg 7.93
F BB+ A-/Watch Neg 7.04
G BB BBB+/Watch Neg 5.88
H BB- BBB/Watch Neg 4.86
J B+ BBB-/Watch Neg 3.33
K B+ BB+/Watch Neg 2.94
L B BB/Watch Neg 2.56
M B BB-/Watch Neg 2.05
N B- B/Watch Neg 1.92
Ratings Affirmed And Removed From Creditwatch Negative
GE Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2005-C3
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-4 AAA AAA/Watch Neg 20.47
A-5 AAA AAA/Watch Neg 20.47
A-6 AAA AAA/Watch Neg 20.47
A-AB AAA AAA/Watch Neg 20.47
O B- B-/Watch Neg 1.54
P CCC+ CCC+/Watch Neg 1.15
Ratings Affirmed
GE Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2005-C3
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 20.47
A-2 AAA 20.47
A-3FL AAA 20.47
A-3FX AAA 20.47
A-7A AAA 30.41
X-C AAA N/A
X-P AAA N/A
N/A - Not applicable.
GOLDMAN SACHS: Moody's Downgrades Ratings on Class C to 'Ca'
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of these notes issued by Goldman Sachs Asset Management CBO
Ltd.:
-- US$16,000,000 Class C Floating Rate Notes Due 2011,
Downgraded to Ca; previously on January 16, 2006 Downgraded
to Caa3.
According to Moody's, the rating action taken on the Class C notes
reflects Moody's concerns about the insufficient collateralization
of these notes. In particular, the Class C Par Value Ratio is
53.58% versus a test level of 104.5%, as reported in the most
recent trustee report dated September 15, 2009. Moody's believes
that there is a significant likelihood that the issuer will likely
default on its obligation to repay the current outstanding balance
of the Class C notes at their maturity, and that such a default
could result in significant losses to holders of the notes.
The downgrade action taken on the Class C notes also reflects
Moody's revised assumptions with respect to default probability
and the calculation of the Diversity Score. These revised
assumptions are described in the publication "Moody's Approach to
Rating Collateralized Loan Obligations," dated August 12, 2009.
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds will be below their historical
averages, consistent with Moody's research. Other assumptions
used in Moody's CLO monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
July 17, 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, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
In addition, Moody's has upgraded the rating of these notes:
-- US$40,000,000 Class B Floating Rate Notes Due 2011 (current
balance of $2,196,926), Upgraded to A1; previously on
January 16, 2006 Upgraded to Ba1.
According to Moody's, the rating action on the Class B notes
reflects the increased overcollateralization and continued paydown
of the Class B notes. The principal balance of the Class B Notes
has been reduced by about 94% since the closing date. Moody's
notes that the upgrade action on the Class B notes has also
incorporated the aforementioned stresses as well as credit
deterioration in the underlying portfolio.
Goldman Sachs Asset Management CBO Ltd., issued in June 1999, is a
collateralized bond obligation backed primarily by a portfolio of
senior unsecured bonds.
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.
GOLDMAN SACHS: 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 Goldman Sachs Specialty Lending
CLO-1, Ltd.:
-- US$420,000,000 Class A-2 Floating Rate Second Priority
Delayed Draw Senior Secured Term Notes due 2018, Downgraded
to Aa1; previously on March 4, 2009 Aaa Placed Under Review
for Possible Downgrade;
-- US$150,000,000 Class B Floating Rate Third Priority Delayed
Draw Senior Secured Term Notes due 2018, Downgraded to Aa3;
previously on March 4, 2009 Aa2 Placed Under Review for
Possible Downgrade.
The downgrade actions taken on the Class A-2 and Class B Notes
reflect Moody's revised assumptions with respect to default
probability and the calculation of the Diversity Score. These
revised assumptions are described in the publication "Moody's
Approach to Rating Collateralized Loan Obligations," dated
August 12, 2009. Moody's analysis also reflects the expectation
that recoveries for second lien loans will be below their
historical averages, consistent with Moody's research. Other
assumptions used in Moody's CLO monitoring are described in the
publication "CLO Ratings Surveillance Brief - Second Quarter
2009," dated July 17, 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, diversity
score, and weighted average recovery rate, may be different from
the trustee's reported numbers.
In addition, Moody's has upgraded the rating of these notes:
-- US$300,000,000 Class C Deferrable Floating Rate Fourth
Priority Delayed Draw Senior Secured Term Notes due 2018,
Upgraded to Baa1; previously on March 23, 2009 Downgraded to
Ba3 and Placed Under Review for Possible Downgrade.
Moody's notes that the upgrade action on the Class C Notes has
incorporated the aforementioned stresses. However, the action
reflects updated analysis indicating that the impact of these
stresses on the rating of the 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 its analysis, Moody's also
considered the positive implications stemming from the lower
leveraged capital structure under which the transaction is
currently operating.
Goldman Sachs Specialty Lending CLO-I, Ltd., issued in September
of 2006, is a collateralized loan obligation backed primarily by a
portfolio of senior secured loans of middle market issuers.
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.
INDUSTRIAL DEVELOPMENT: Fitch Cuts Ratings on $35 Mil. Bonds to D
-----------------------------------------------------------------
Fitch Ratings has downgraded to 'D' from 'B' the rating on the
$35 million convention center facilities excise tax revenue bonds,
series 2005 (taxable) of the Industrial Development Authority of
the County of Yavapai, Arizona. Fitch originally assigned an 'A-'
rating to the bonds on Nov. 1, 2005, and subsequently downgraded
the bonds to 'B' on May 30, 2008. Bond proceeds were used to
construct a 5,000-seat convention and events center in Prescott
Valley.
The 'D' rating indicates failure to make payment of principal
and/or interest under the contractual terms of the rated
obligation. Fitch will maintain this rating for 30 days, at which
time Fitch may withdraw the rating if there has been no change in
the payment status on the bonds.
Fitch takes this action in response to non-payment of interest due
to investors on Oct. 1, 2009, as reported by Well Fargo Bank, NA
serving as trustee. The trustee did not make the payment despite
the fact that sufficient funds had been transmitted. The trustee
took this action at the direction of the majority bondholder,
Allstate Life Insurance Company, so that counsel for the
bondholders and the trustee can use these funds to pursue legal
action related to the series 2005 offering. Allstate, Wells
Fargo, and the retail bondholders have filed separate lawsuits
against the various parties associated with the series 2005 bonds
(including the authority, the Town of Prescott Valley, the project
developers and legal and financial consultants), charging, among
other things, misrepresentation and failure to disclose material
facts regarding the feasibility of the project.
On May 30, 2008, Fitch downgraded the series 2005 bonds to 'B'
from 'A-' as a result of a technical default. Prescott Valley
Events Center LLC (the borrower) did not transmit funds required
for the Oct. 1, 2007 debt service payment on the bonds. The
trustee then drew upon the debt service reserve fund in the amount
of $1.17 million to make the required payment. The trustee
reported these events to bondholders, along with the borrower's
reported failure regarding other obligations. According to the
trustee, sufficient funds were transferred for the April 1, 2008,
Oct. 1, 2008, and April 1, 2009 debt service payment on the bonds.
However, the debt service reserve fund has not been replenished.
INDYMAC MANUFACTURED: S&P Corrects Rating on Class M-1 to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services corrected its rating on the
class M-1 certificates from Indymac Manufactured Housing Contract
Pass-Through Trust 1998-2 by lowering it to 'D' from 'CCC-'.
The lowered rating reflects a payment default, which resulted from
an interest shortfall experienced by this class on the October
2007 payment date. The rating change did not occur
contemporaneously with the payment default due to a delay in S&P's
analytical process.
Standard & Poor's will continue to monitor the other outstanding
ratings associated with this transaction.
JEFFERSON COUNTY: Moody's Cuts Ratings on 1999 Bonds to 'Ba3'
-------------------------------------------------------------
Moody's Investors Service has downgraded the rating on $610,000 of
outstanding Jefferson County Assisted Housing Corporation, First
Mortgage Refunding Housing Revenue Bonds (Spring Gardens Project)
Series 1999 to Ba3 from Ba2. The outlook on the bonds remains
negative.
Spring Gardens is a 100-unit housing property located in Jefferson
County, Alabama. The property contains 98 one-bedroom apartments
and 2 two-bedroom apartments, and is intended for low-income
elderly and disabled tenants. In October 2005, a fire destroyed
the property's community center. Insurance proceeds from the fire
are being held by the Jefferson County Assisted Housing
Corporation. The insurance proceeds are not pledged to Series
1999 bondholders. Spring Gardens' property managers intend to use
the insurance proceeds and $2 million from the Jefferson
Affordable Housing Initiative to rebuild and expand the community
center in the near future. The Jefferson Affordable Housing
Initiative also funds the full-time positions of a register nurse
and social worker for the benefit of Spring Gardens residents.
Strengths
* Fully funded debt service reserve fund as of October 2009
* 95% occupancy rate as of October 2009
* Relatively short time until bond maturity in 12/1/2011
* Rental rates are well below Fair Market Rent, making future
increases in rental rates possible. Property management reports
that the property received a rate increase from HUD in 2008 and
expects to request an additional rent increase in 2009.
Challenges
* Debt service coverage levels are deteriorating. Audited
financial statements show debt service coverage levels have
declined from 1.00x (FY2006) to 0.82 (FY2007) to 0.69x (FY2008).
The most recent debt service coverage level is in line with
other Moody's-rated properties in the Ba3 rating category.
* FY2008 rental income is approximately the same as FY2007 rental
income, which shows that rents have not increased in an amount
to return debt service coverage levels above 1.00x
* HAP contract expires before bond maturity. Preserving the
balance in the debt service reserve fund takes on additional
importance when the HAP contract expires before maturity and the
debt service coverage is below 1.00x. Though the HAP contract
is expected to be renewed by HUD, the current HAP contract
expires five months before bond maturity. The expiration of the
current contract could reduce rental revenue if not renewed in a
timely manner.
Outlook
The outlook on the bonds remains negative due to the steady
decline in debt service coverage and the potential for draws on
the debt service reserve fund. In the event of a draw on the debt
service reserve fund, the bonds would likely experience another
downgrade.
Key Statistics
* Current Occupancy: 95%
* Bond Maturity: 12/1/2011
* HAP Expiration: 6/30/2011
* Debt Service Coverage (FY2008): 0.69x
* Average Rent as % of FMR: 66%
The last rating action for this program was taken on April 8,
2008, when the rating was downgraded to Ba2 from Baa1 and the
outlook was revised to negative.
JP MORGAN: Moody's Reviews Ratings on 14 2004-CIBC10 Certificates
-----------------------------------------------------------------
Moody's Investors Service placed 14 classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp., Commercial Mortgage Pass-
Through Certificates, Series 2004-CIBC10 on review for possible
downgrade due to higher expected losses for the pool resulting
from losses from loans in special servicing, concerns about
refinancing risk associated with loans approaching maturity and
increased leverage for the remainder of the pool. The pool's two
largest loans, the Continental Plaza Loan ($88 million -- 5% of
the pool) and the ABB Building Loan ($50 million -- 3% of the
pool), are in special servicing due to imminent maturity default.
Currently, there are eight loans, representing 10% of the pool, in
special servicing. The rating action is the result of Moody's on-
going surveillance of commercial mortgage backed securities
transactions.
As of the October 13, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 13%
to $1.72 billion from $1.96 billion at securitization. The
Certificates are collateralized by 195 mortgage loans ranging in
size from less than 1% to 5% of the pool, with the top ten loans
representing 49% of the pool.
Fifty one loans, representing 20% 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. Not all loans on the
watchlist are delinquent or have significant issues.
Moody's review will focus on potential losses from specially
serviced loans and the performance of the overall pool.
Moody's rating action is:
-- Class B, $61,323,000, Aa2 Placed Under Review for Possible
Downgrade; previously on Dec. 7, 2004 assigned Aa2
-- Class C, $17,170,000, Aa3 Placed Under Review for Possible
Downgrade; previously on Dec. 7, 2004 assigned Aa3
-- Class D, $14,717,000, A1 Placed Under Review for Possible
Downgrade; previously on Dec. 7, 2004 assigned at A1
-- Class E, $17,171,000, A2 Placed Under Review for Possible
Downgrade; previously on Dec. 7, 2004 assigned A2
-- Class F, $22,076,000, A3 Placed Under Review for Possible
Downgrade; previously on Dec. 7, 2004 assigned A3
-- Class G, $26,982,000, Baa1 Placed Under Review for Possible
Downgrade; previously on Dec. 7, 2004 assigned Baa1
-- Class H, $22,076,000, Baa2 Placed Under Review for Possible
Downgrade; previously on Dec. 7, 2004 assigned Baa2
-- Class J, $26,982,000, Baa3 Placed Under Review for Possible
Downgrade; previously on Dec. 7, 2004 assigned Baa3
-- Class K, $4,905,000, Ba1 Placed Under Review for Possible
Downgrade; previously on Dec. 7, 2004 assigned Ba1
-- Class L, $7,359,000, Ba2 Placed Under Review for Possible
Downgrade; previously on Dec. 7, 2004 assigned Ba2
-- Class M, $12,265,000, Ba3 Placed Under Review for Possible
Downgrade; previously on Dec. 7, 2004 assigned Ba3
-- Class N, $4,905,000, B1 Placed Under Review for Possible
Downgrade; previously on Dec. 7, 2004 assigned B1
-- Class P, $7,359,000, B2 Placed Under Review for Possible
Downgrade; previously on Dec. 7, 2004 assigned B2
-- Class Q, $2,453,000, B3 Placed Under Review for Possible
Downgrade; previously on Dec. 7, 2004 assigned B3
JPMORGAN CHASE: S&P Cuts Ratings on 21 2007-CIBC20 Securities
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 21
classes of commercial mortgage-backed securities from JPMorgan
Chase Commercial Mortgage Securities Trust 2007-CIBC20 and removed
them from CreditWatch with negative implications. In addition,
S&P affirmed its ratings on five classes from the same
transaction.
The downgrades follow S&P's analysis of the transaction using
S&P's U.S. conduit and fusion CMBS criteria, which was the primary
driver of the rating actions. The downgrades of the subordinate
and mezzanine classes also reflect the credit support erosion S&P
anticipate will occur upon the eventual resolution of several
specially serviced loans. 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 1.32x and a loan-to-value ratio
of 115.2%. S&P further stressed the loans' cash flows under S&P's
'AAA' scenario to yield a weighted average DSC of 0.84x and an LTV
of 157.5%. The implied defaults and loss severity under the 'AAA'
scenario were 96.0% and 37.7%, respectively. All of the DSC and
LTV calculations noted above exclude nine ($68.8 million, 2.7%) of
the 13 specially serviced loans and one credit-impaired loan
($41.5 million, 1.6%). S&P separately estimated losses for these
loans, which are included in its 'AAA' scenario implied default
and loss figures.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels that adequately support
the outstanding ratings. S&P affirmed its ratings on the class X-
1 and X-2 interest-only certificates based on S&P's current
criteria. S&P published a request for comment proposing changes
to its IO criteria on June 1, 2009. After S&P finalize its
criteria review, S&P may revise its IO criteria, which may affect
outstanding ratings, including the rating on the IO certificates
that S&P affirmed.
Credit Concerns
Thirteen loans ($111.1 million, 4.4%) in the pool are with the
special servicer, Centerline Servicing Inc. (Centerline). A
breakdown of the specially serviced loans by payment status is as
follows: nine loans are 90-plus-days delinquent ($67.4 million,
2.7%), one is 60 days delinquent ($8.5 million, 0.3%), two are 30
days delinquent ($15.2 million, 0.6%), and one loan was reported
as bankrupt ($20.0 million, 0.8%). Seven of the specially
serviced loans have appraisal reduction amounts in effect totaling
$17.9 million.
The largest loan with the special servicer is the Berkeley Place
loan, which has an exposure totaling $25.3 million (0.9%). The
loan was transferred to the special servicer on Oct. 31, 2008, and
it is 90-plus-days delinquent. The reported DSC for the trailing
12 months ended Sept. 30, 2009, was 0.73x, down from 1.23x at
issuance. The special servicer is moving ahead with foreclosure
proceedings at this time. The remaining specially serviced loans
have balances that individually represent less than 0.9% of the
total pool balance.
In addition to the specially serviced loans, S&P deem the Baldwin
Park Retail loan ($41.5 million, 1.6%) to be credit-impaired.
This is the 10th-largest loan in the pool, and S&P discuss it in
the Top 10 section below.
Transaction Summary
As of the October 2009 remittance report, the collateral pool had
an aggregate trust balance of $2.53 billion, which is down
slightly from $2.54 billion at issuance. The pool consists of 143
loans, which is unchanged since issuance. The master servicer for
the transaction, Midland Loan Services Inc. (Midland), provided
financial information for 95.9% of the pool; 92.7% of the
financial information was full-year 2008 data or interim 2009
data. S&P calculated a weighted average DSC of 1.42x for the pool
based on the reported figures. S&P's adjusted DSC and LTV were
1.32x and 115.2%, respectively. S&P's adjusted DSC and LTV
figures exclude nine of the 13 specially serviced loans and one
credit-impaired loan. S&P estimated losses separately for these
10 loans ($110.3 million, 4.4%). Based on the servicer-reported
DSC figures, S&P calculated a weighted average DSC of 0.76x for
the 10 loans. The transaction has not experienced any losses to
date. Thirty-three loans (22.0%) are on the master servicer's
watchlist, including three of the top 10 loans, which S&P discuss
below. Thirty-seven loans ($588.9 million, 23.3%) have a reported
DSC below 1.10x, and 22 of these loans ($291.1 million, 11.5%)
have a reported DSC of less than 1.0x.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$1.2 billion (47.6%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.44x for the top 10 loans.
Three of the top 10 loans ($231.6 million, 9.2%) appear on the
master servicer's watchlist and are discussed below. S&P's
adjusted DSC and LTV for the top 10 loans are 1.32x and 113.2%,
respectively.
The North Hills Mall loan ($141.2 million, 5.6%) is the third-
largest loan in the pool and the largest loan on the watchlist.
The loan was current in its debt service payments as of the
October 2009 remittance report. The loan appears on the master
servicer's watchlist because of the low reported DSC (1.07x) as of
year-end 2008 resulting from higher-than-anticipated expenses.
The loan is secured by a first mortgage encumbering the fee
interest on a 585,798-sq.-ft. lifestyle center in Raleigh, N.C.
The property was constructed in 1960 and redesigned in 2004. As
of the July 31, 2009, rent roll, the property was 98% occupied.
The STF Portfolio loan ($49.0 million, 1.9%) is the ninth-largest
loan in the pool and the second-largest loan on the watchlist.
The loan was current in its debt service payments as of the
October 2009 remittance report. The loan appears on the
servicer's watchlist because of the low reported DSC (0.87x) as of
year-end 2008. The loan is secured by a portfolio of 19
industrial flex and warehouse/distribution properties totaling
1.2 million sq. ft. Seventeen properties are in Texas, and two
are in New MexiCo. The properties were built between 1982 and
2001.
The Baldwin Park Retail loan ($41.5 million, 1.6%) is the 10th-
largest loan in the pool and the third-largest loan on the
watchlist. The loan is secured by a first mortgage encumbering
the fee interest in a 182,463-sq.-ft. Publix-anchored retail
property in Orlando, Fla. The loan appears on the master
servicer's watchlist because of the low reported DSC (0.93x) as of
June 2008. The loan's debt service payment was reported to be in
its grace period as of the October 2009 remittance report.
Occupancy at the property had dropped to 79.4% as of November 2008
compared with 88% at issuance. Because the IO period for this
loan also ends this month, S&P deemed this loan to be credit-
impaired.
Standard & Poor's stressed the loans in the pool according to its
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 Securities Trust 2007-CIBC20
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-4 A+ AAA/Watch Neg 30.12
A-SB A+ AAA/Watch Neg 30.12
A-1A A+ AAA/Watch Neg 30.12
A-M BBB AAA/Watch Neg 20.08
A-MFX BBB AAA/Watch Neg 20.08
A-J BB+ AAA/Watch Neg 14.06
B BB AA+/Watch Neg 12.80
C BB- AA/Watch Neg 11.80
D B+ AA-/Watch Neg 10.67
E B+ A+/Watch Neg 9.79
F B+ A/Watch Neg 8.91
G B+ A-/Watch Neg 7.91
H B BBB+/Watch Neg 6.53
J B BBB/Watch Neg 5.27
K B- BBB-/Watch Neg 4.14
L CCC+ BB/Watch Neg 2.89
M CCC+ BB-/Watch Neg 2.51
N CCC B+/Watch Neg 2.26
P CCC- B-/Watch Neg 1.51
Q CCC- CCC+/Watch Neg 1.38
T CCC- CCC/Watch Neg 1.00
Ratings Affirmed
JPMorgan Chase Commercial Securities Trust 2007-CIBC20
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.12
A-2 AAA 30.12
A-3 AAA 30.12
X-1 AAA N/A
X-2 AAA N/A
N/A - Not applicable.
JPMORGAN CHASE: S&P Downgrades Ratings on 13 2004-PNC1 Securities
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 13
classes of commercial mortgage-backed securities from JPMorgan
Chase Commercial Mortgage Securities Corp.'s series 2004-PNC1 and
removed them from CreditWatch with negative implications. In
addition, S&P affirmed its ratings on five classes from the same
transaction.
The downgrades follow its analysis of the transaction using its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of the rating actions. The downgrades of the mezzanine and
subordinate classes also reflect credit support erosion S&P
anticipate will occur upon the eventual resolution of the
specially serviced loans. S&P lowered its ratings on classes L,
M, N, and P to 'D' to reflect recurring interest shortfalls
resulting from appraisal subordinate entitlement reductions.
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
1.89x and a loan-to-value ratio of 80.40%. S&P further stressed
the loans' cash flows under its 'AAA' scenario to yield a weighted
average DSC of 1.26x and an LTV of 101.79%. The implied defaults
and loss severity under the 'AAA' scenario were 25.50% and 40.07%,
respectively. The DSC and LTV calculations excluded 16 defeased
loans ($218.9 million, 23%) and three of the six specially
serviced loans ($73.5 million, 7.7%). S&P separately estimated
losses for the specially serviced loans and included the related
losses in the 'AAA' scenario implied default and loss figures.
The affirmations of the principal and interest certificates
reflect subordination levels that adequately support the
outstanding ratings. S&P affirmed the rating 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 finalizes its criteria review, S&P may
revise its current IO criteria, which may affect outstanding
ratings, including the rating on the IO certificates S&P affirmed.
Credit Concerns
Six loans ($136.7 million, 14.3%) in the pool, including the
second-, fourth-, and fifth-largest loans, are currently with the
special servicer, Midland Loan Services Inc. The payment status
of the specially serviced loans is: one asset is in bankruptcy
($17.1 million), two are 90-plus-days delinquent ($56.4 million),
one is less than 30 days delinquent ($49.0 million), and two
($14.2 million) are current. Three appraisal reduction amounts
totaling $28.2 million are in effect. The three top 10 loans with
the special servicer all have balances exceeding 2.5% of the pool
and are discussed below in the top 10 section. One additional
specially serviced loan has a balance greater than 1% of the total
pool balance, while the remaining two loans have balances that are
less than 1% of the total pool balance.
Transaction Summary
As of the October 2009 remittance report, the collateral pool had
an aggregate trust balance of $953.3 million, which is
approximately 87% of the aggregate trust balance at issuance.
There are 96 loans in the pool, down from 100 at issuance. The
master servicer for the transaction is Midland Loan Services Inc.
The master servicer provided financial information for 92.8% of
the nondefeased loans, and 91.5% of the servicer-provided
information was full-year 2008 or interim-2009 data. S&P
calculated a weighted average DSC of 1.91x for the nondefeased
loans based on the reported figures. S&P's adjusted DSC and LTV
were 1.89x and 80.40%, respectively. The DSC and LTV calculations
excluded three of the specially serviced loans ($73.5 million,
7.7%), for which S&P separately estimated losses. Based on the
servicer-reported DSC figures, S&P calculated a weighted average
DSC of 0.83x for two of the three loans; no financial information
was available for the third loan.
Four loans ($76.7 million, 8.0%) in the pool are delinquent, and
six are currently with the special servicer. The transaction has
experienced one principal loss to date ($3.6 million, 0.33%).
Eleven loans ($47.7 million, 5.0%) are on the master servicer's
watchlist. Eleven loans ($93.5 million, 9.8%) have reported DSCs
below 1.10x, and eight of these loans ($53.0 million, 5.6%) have
reported DSCs of less than 1.0x. Six loans, with a balance of
$88.2 million (9.3%), are scheduled to mature through 2011. Three
of these loans matured during 2009 and are currently with the
special servicer ($63.3 million, 6.6%). The remaining three loans
with near-term maturity dates ($24.9 million, 2.6%) mature during
the months of April and May of 2011.
Summary of Top 10 Loans
The top 10 exposures secured by real estate have an aggregate
outstanding balance of $372.1 million (39%). Using servicer-
reported numbers, S&P calculated a weighted average DSC of 2.20x
for the top 10 loans. S&P's adjusted DSC and LTV for the top 10
loans were 2.15x and 75.4%, respectively. The adjusted DSC and
LTV calculations exclude one of the three top 10 loans (the fifth-
largest loan in the pool; $32.0 million, 3.4%) with the special
servicer), for which S&P separately estimated a loss. Recent
financial data for the fifth-largest loan was not available.
The Galileo Retail Portfolio is the second-largest exposure in the
pool and the largest exposure with the special servicer. The loan
has an outstanding balance of $49.0 million (5%). The loan was
transferred to the special servicer on July 7, 2008, after the
servicer received a letter from the borrower noting that it would
not be able to pay off the loan on its maturity date of Feb. 1,
2009, due to liquidity and refinancing issues surrounding the
borrower's ultimate parent, Centro Properties Group Ltd. The loan
was subsequently extended through Feb. 1, 2010. The loan was
secured by four anchored and two unanchored retail centers at the
time of its transfer to special servicing. Since the time of its
transfer, two of the properties have been sold, resulting in an
aggregate principal reduction of $4.5 million. The four retail
centers that remain comprise 594,273 sq. ft. and were built
between 1988 and 2003. Two of the remaining properties are in
Hickory, N.C., one is in Waterford, Conn., and the other is in
Nashua, N.H. The combined portfolio occupancy was 81% as of June
30, 2009, and the DSC was 2.11x as of Dec. 31, 2008. Standard &
Poor's does not expect a loss upon the resolution of this loan.
The Billerica-Wilmington office loan is the fourth-largest loan in
the pool and the second-largest exposure with the special
servicer. The loan has an outstanding balance of $32.0 million
(3%) and was 90-plus days delinquent as of the October 2009
remittance report. The loan was transferred to the special
servicer on March 5, 2009, for payment default. The loan is
secured by four office buildings and one industrial building built
between 1979 and 1987 and comprising 525,340 sq. ft. of space.
Two of the buildings are in Wilmington, Mass., one is in
Billerica, Miss., one is in Lowell, Mass., and one is in Nashua,
N.H. The combined occupancy was 28.0% as of Sept. 18, 2009, and
the DSC was 1.07x as of Dec. 31, 2008. Standard & Poor's expects
a moderate loss upon the resolution of this loan.
The 538 Broadhollow office loan is the fifth-largest loan in the
pool and the third-largest exposure with the special servicer.
The loan has an outstanding balance of $24.4 million (3%), and the
borrower was more than 90 days delinquent as of the October 2009
remittance report. The loan was transferred to the special
servicer on Aug. 14, 2007, because the principal of the borrower
and guarantor under the loan documents filed for bankruptcy. The
loan is secured by a 182,322-sq.-ft. office building built in 1987
in Melville, N.Y. No financial information was available for this
loan. Standard & Poor's expects a moderate loss upon the
resolution of this loan.
Standard & Poor's stressed the loans with the special servicer and
the remaining loans in the pool according to its 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 Corp.
Commercial mortgage pass-through certificates series 2004-PNC1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
B AA- AA/Watch Neg 13.29
C A+ AA-/Watch Neg 11.85
D BBB A/Watch Neg 9.98
E BB+ A-/Watch Neg 8.83
F BB BBB+/Watch Neg 7.10
G B+ BBB/Watch Neg 5.95
H CCC+ BBB-/Watch Neg 3.80
J CCC BB+/Watch Neg 3.51
K CCC- BB/Watch Neg 2.79
L D BB-/Watch Neg 2.36
M D B+/Watch Neg 1.78
N D B-/Watch Neg 1.49
P D CCC+/Watch Neg 1.21
Ratings Affirmed
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2004-PNC1
Class Rating Credit enhancement (%)
----- ------ ----------------------
A2 AAA 16.31
A3 AAA 16.31
A4 AAA 16.31
A1A AAA 16.31
X AAA N/A
N/A - Not applicable.
LB-UBS COMMERCIAL: Moody's Affirms Ratings on 10 2005-C3 Certs.
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 10 classes and
downgraded 17 classes of LB-UBS Commercial Mortgage Securities
Trust Commercial Mortgage Pass-Through Certificates, Series 2005-
C3. The downgrades are due to higher expected losses for the pool
resulting from anticipated losses from loans in special servicing,
increased leverage of the conduit component, downward credit
quality migration of a number of loans with underlying ratings and
concerns about refinancing risk associated with five-year loans
approaching maturity in an adverse environment. Four loans,
representing 6% of the pool, mature within the next year and have
a Moody's stressed debt service coverage ratio below 1.00X.
On October 16, 2009 Moody's placed sixteen classes on review for
possible downgrade due to higher expected losses for the pool
resulting from a decline in the pool's overall credit quality.
This action concludes Moody's review of the transaction. The
rating action is the result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
As of the October 19, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 5% to
$1.86 billion from $1.97 billion at securitization. The
Certificates are collateralized by 110 mortgage loans ranging in
size from less than 1% to 15% of the pool, with the top ten loans
representing 49% of the pool. The pool contains three loans,
representing 17% of the pool, with investment grade underlying
ratings. At securitization seven additional loans, representing
29% of the pool, had underlying ratings. Their performance has
declined since securitization and they are now analyzed as part of
the conduit pool because of increased leverage. Three loans,
representing 11% of the pool, have defeased and are collateralized
with U.S. Government securities.
Twenty eight loans, representing 14% 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. Not all loans on the
watchlist are delinquent or have significant issues.
The pool has not experienced any losses since securitization. Six
loans, representing 2% of the pool, are currently in special
servicing. The largest specially serviced loan is the Estates at
Eagle Pointe ($20.4 million -- 1% of the pool), which is secured
by a 450 unit multifamily complex in Peru, Indiana. The loan was
transferred to special servicing in November 2007 and is currently
in foreclosure. A January 2009 appraisal valued the property at
$7 million (compared to $28.1 million at securitization), leading
the special servicer to recognize a $16.4 million appraisal
reduction in September 2009.
Of the remaining five specially serviced loans, two are 90+ days
delinquent, two are either real estate owned or in the process of
foreclosure and one is current. Moody's estimates an aggregate
loss for all the specially serviced loans of $31.5 million (71%
loss severity on average).
Moody's was provided with full-year 2008 operating results for 98%
of the pool. Moody's weighted average loan to value (LTV) ratio
for the conduit pool is 120.5% compared to 105.2% at last review.
In addition to the overall increase in leverage, the pool has
experienced increased credit quality dispersion since last review.
Based on Moody's analysis, 42% of the pool has a LTV ratio in
excess of 100% compared to 27% at last review. Approximately 26%
of the pool has a LTV ratio in excess of 120% compared to 6% at
last review.
Moody's stressed DSCR for the conduit pool is 0.93X compared to
1.02X 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
is 40. The pool has a Herf of 19 compared to 49 at last review.
The largest loan with an underlying rating is the 200 Park Avenue
Loan ($278.5 million -- 15% of the pool), which represents a pari
passu interest in a $900 million first mortgage loan secured by a
2.9 million square foot Class A office building located near the
Grand Central Terminal in New York City. Based on the leasable
area, the office component represents 96% of the property and
retail represents 4%. The property is primarily tenanted by
legal, finance and insurance companies. The largest tenant is The
Dreyfus Corporation, which occupies 12% of the NRA through March
2019. The property was 99% occupied as of June 2009, essentially
the same since last review. Performance has been stable. Moody's
underlying rating and stressed DSCR are Baa2 and 1.17X,
respectively, compared to Baa2 and 1.20X at last review. The
first mortgage loan includes a $51.2 million junior non pool
component which is the security for non-pooled Classes ML-1 and
ML-2. Moody's current underlying ratings of the junior non-pooled
component are Baa2 and Baa3, respectively, the same as at
securitization.
The second loan with an underlying rating is the 101 Avenue of the
Americas Loan ($84.4 million -- 5%), which represents a pari passu
interest in a $140.7 million first mortgage loan secured by a
leasehold mortgage on a 411,100 square foot office building
located in New York City. The building is 100% leased by Service
Employees International Union Building Services Local 32B-J and
affiliated operations under a lease which expires in December
2011. Performance has remained stable since last review. Moody's
underlying rating and stressed DSCR are Baa3 and 1.24X,
respectively, compared to Baa3 and 1.25X at last review.
The remaining two loans with underlying ratings represent 2% of
the pool. The Wachovia Portfolio Loan ($16.8 million -- 0.9%) is
secured by a portfolio of 131 office properties, operations
centers, retail bank branches and parking garages totaling
6.6 million square feet and located in ten states. In 2007, the
loan was split and $155.6 million was defeased. Moody's
underlying rating is Aa2, the same as at last review.
The 1919 Park Avenue Loan ($15.0 million -- 0.8%) is secured by a
208,600 square foot office building located in Weehawken, New
Jersey. Moody's underlying rating and stressed DSCR are Aaa and
2.46X, respectively, compared to Aaa and 2.37X at last review.
The largest loan that previously had an underlying rating is the
900 North Michigan Avenue Loan ($203 million -- 11%), which is
secured by a mixed use property consisting of a vertical mall
(475,400 square feet), office tower (349,900 square feet) and
garage (1,660 spaces) located in the northern end of Chicago's
Magnificent Mile. The collateral is part of a larger complex
which includes a 343-room Four Seasons Hotel and 106 residential
condominium units. As of September 2009, the property was 95%
occupied compared to 96% at last review. The largest tenants are
Bloomingdales (30% of NRA; lease expiration September 2013) and
JMB Realty Corp (10% of NRA; lease expiration June 2018).
Performance has declined due to higher expenses and unrecognized
revenue growth. Moody's LTV and stressed DSCR are 98% and 0.86X,
respectively, compared to 69% and 1.22X at last review.
The second loan that previously had an underlying rating is the
Courtyard by Marriott Portfolio Loan ($121.5 million -- 6%), which
represents a participation interest in a $550 million first
mortgage loan secured by a portfolio of 64 limited service hotels
located in 29 states. Moody's considers this loan at high risk of
default. Occupancy and revenue per available room for the
trailing twelve months dated June 2009 was 66% and $73,
respectively, compared to 70% and $83 at year end 2008. Moody's
LTV and stressed DSCR are 168% and 0.61X, respectively, compared
to 73% and 1.41X at last review.
The third loan that previously had underlying rating is the
Lakeside Commons Loan ($46.5 million -- 2%), which is secured by a
Class A office complex totaling 513,7000 square feet located in
Atlanta, Georgia.. As of June 2009, the property was 82% occupied
compared to 91% at last review. The largest tenants are Porsche
(11% of NRA; lease expiration February 2010) and Argosy Education
Group (11% of NRA; lease expiration January 2015). Moody's LTV
and stressed DSCR are 91% and 1.07X, respectively, compared to 79%
and 1.18X at last review.
The fourth loan that previously had an underlying rating is the
Macquarie DDR Portfolio III Loan ($39.3 million -- 2%), which is
secured by the borrower's interest in three retail properties
totaling 1.2 million square feet and located in Georgia, Colorado
and Michigan. As of June 2009, the overall occupancy was 80%
occupied compared to 95% at last review. Moody's LTV and stressed
DSCR are 116% and 0.82X, respectively, compared to 73% and 1.22X
at last review.
The fifth loan that previously had an underlying rating is the
Decorative Center of Houston Loan ($32.9 million -- 2%) which is
secured by a 508,900 square foot office and design center complex
located in Houston, Texas. As of June 2009, the overall occupancy
was 81% occupied compared to 72% at last review. Moody's LTV and
stressed DSCR are 89% and 1.13X, respectively, compared to 75% and
1.25X at last review.
The sixth loan that previously had an underlying rating is Inn at
Fox Hollow Loan ($16.5 million -- 1%) which is secured by a 145-
room hotel located in Woodbury, New York. The loan is on the
watchlist for low DSCR. Occupancy and revenue per available room
for 2008 was 59% and $105, respectively, compared to 72% and $135
in 2007. Moody's LTV and stressed DSCR are 164% and 0.67X,
respectively, compared to 76% and 1.53X at last review.
The three largest conduit loans represent 11% of the pool. The
largest conduit loan is the Crossroads Towne Center Loan
($50.4 million -- 3%), which is secured by the borrower's interest
in a 1.3 million square foot regional retail center located in
Gilbert, Arizona. The property was 88% occupied as of June 2009
compared to 95% at last review. The loan is currently on the
watchlist due to Linens 'N Things vacating. The largest tenants
are Ross Stores, Barnes & Noble and Michaels. Moody's LTV and
stressed DSCR are 116% and 0.84X, respectively, compared to 106%
and 0.89X at last review.
The second largest conduit loan is the Pacific Pointe Loan
($40.3 million -- 2%), which is secured by a 256,100 square foot
office building located in Los Angeles, California. The property
was 90% occupied as of June 2009 compared to 85% at last review.
The largest tenants are Northrop-Grumman Federal Credit Union,
Bowman and Brooke LLP and Corporate Office Centers. Moody's LTV
and stressed DSCR are 147% and 0.71X, respectively, compared to
153% and 0.65X at last review.
The third largest conduit loan is the Medlock Crossing Loan
($32.3 million -- 2%), which is secured by a 159,000 retail center
located in Duluth, Georgia. The property was 88% occupied as of
June 2009 compared to 99% at last review. Moody's LTV and
stressed DSCR are 141% and 0.68X, respectively compared to 99% and
0.92X at last review.
Moody's rating action is:
-- Class A-2, $130,735,546, affirmed at Aaa; previously assigned
Aaa on 7/26/2005
-- Class A-3, $269,000,000, affirmed at Aaa; previously assigned
Aaa on 7/26/2005
-- Class A-4, $100,000,000, affirmed at Aaa; previously assigned
Aaa on 7/26/2005
-- Class A-AB, $80,000,000, affirmed at Aaa; previously assigned
Aaa on 7/26/2005
-- Class A-5, $691,686,000, affirmed at Aaa; previously assigned
Aaa on 7/26/2005
-- Class A-M, $196,670,000, affirmed at Aaa; previously assigned
Aaa on 7/26/2005
-- Class A-J, $184,378,000, downgraded to A2 from Aaa; placed on
review for possible downgrade on 10/15/2009
-- Class B, $22,125,000, downgraded to A3 from Aa1; placed on
review for possible downgrade on 10/15/2009
-- Class C, $19,667,000, downgraded to Baa2 from Aa2; placed on
review for possible downgrade on 10/15/2009
-- Class D, $19,667,000, downgraded to Baa3 from Aa3; placed on
review for possible downgrade on 10/15/2009
-- Class E, $12,292,000, downgraded to Ba3 from A1; placed on
review for possible downgrade on 10/15/2009
-- Class F, $19,667,000, downgraded to B3 from A2; placed on
review for possible downgrade on 10/15/2009
-- Class G, $14,750,000, downgraded to Caa1 from A3; placed on
review for possible downgrade on 10/15/2009
-- Class H, $22,125,000, downgraded to Caa3 from Baa1 placed on
review for possible downgrade on 10/15/2009
-- Class J, $19,667,000, downgraded to C from Baa2; placed on
review for possible downgrade on 10/15/2009
-- Class K, $19,667,000, downgraded to C from Baa3; placed on
review for possible downgrade on 10/15/2009
-- Class L, $7,375,000, downgraded to C from Ba1 placed on
review for possible downgrade on 10/15/2009
-- Class M, $2,459,000, downgraded to C from Ba2; placed on
review for possible downgrade on 10/15/2009
-- Class N, $2,458,000, downgraded to C from Ba3; placed on
review for possible downgrade on 10/15/2009
-- Class CBM-1, $4,214,385, downgraded to C from Baa1; placed on
review for possible downgrade on 10/15/2009
-- Class CBM-2, $16,500,000, downgraded to C from Baa2; placed
on review for possible downgrade on 10/15/2009
-- Class CBM-3, $20,800,000, downgraded to C from Baa3; placed
on review for possible downgrade on 10/15/2009
-- Class ML-1, $7,536,204, affirmed at Baa2; previously assigned
Baa2 on 7/26/2005
-- Class ML-2, $43,700,000, affirmed at Baa3; previously
assigned Baa3 on 7/26/2005
-- Class X-CBM, $41,514,385, downgraded to C from Baa1;
previously assigned Baa1 on 7/26/2005
-- Class X-CL, $1,861,431,069, affirmed at Aaa; previously
assigned Aaa on 7/26/2005
-- Class X-CP, $1,335,242,000, affirmed at Aaa; previously
assigned Aaa on 7/26/2005
LB-UBS COMMERCIAL: S&P Downgrades Ratings on 2004-C6 Securities
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered it rating on one class
of commercial mortgage-backed securities from LB-UBS Commercial
Mortgage Trust 2004-C6 and removed it from CreditWatch with
negative implications. In addition, S&P affirmed its ratings on
22 classes from the same transaction and removed 20 of them from
CreditWatch negative.
The rating actions follow its analysis of the transaction using
its U.S. conduit and fusion CMBS criteria. The downgrade of the
class S certificates reflects the credit support erosion S&P
anticipate will occur upon the eventual resolution of three of the
specially serviced loans, as well as potential interest shortfalls
that may affect that class. 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 1.55x and a loan-to-value ratio
of 78.5%. S&P further stressed the loans' cash flows under its
'AAA' scenario to yield a weighted average DSC of 1.35x and an LTV
of 100.5%. The implied defaults and loss severity under the 'AAA'
scenario were 36.8% and 26.9%, respectively. All of the above DSC
and LTV calculations excluded three specially serviced loans
($18.4 million, 1.9%) and five defeased loans ($100.8 million,
10.1%). S&P separately estimated losses for the specially
serviced loans, and included these losses in the 'AAA' scenario
implied default and loss figures.
The affirmation of the ratings on the principal and interest
certificates reflects subordination levels that adequately support
the outstanding ratings. S&P affirmed its ratings on the class X-
CL and X-CP 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 finalizes its
criteria review, S&P may revise its current IO criteria, which may
affect outstanding ratings, including the ratings on the IO
certificates S&P affirmed.
Credit Concerns
Thirteen loans ($62.9 million, 6.3%) in the pool, including the
seventh-largest exposure in the pool, are with the special
servicer, LNR Partners Inc. (LNR). Twelve of these loans
($58.0 million, 5.8%) are matured balloons, and one ($4.9 million,
0.5%) is in foreclosure; however, it has been brought current and
will be returned to the master servicer.
The Harrisonburg Crossing loan ($26.7 million, 2.7%) is the
seventh-largest loan in the pool and is secured by a 203,007-sq.-
ft. anchored retail center in Harrisonburg, Va. The loan was
transferred to LNR on Dec. 16, 2008, due to a maturity default.
An extension is currently under negotiation. The property was
83.7% occupied as of July 14, 2009, and the asset had a reported
DSC of 1.65x as of Dec. 31, 2008. Standard & Poor's does not
anticipate a loss upon resolution of this asset.
Transaction Summary
As of the October 2009 remittance report, the aggregate trust
balance was $995.8 million, which represents 74.0% of the
aggregate trust balance at issuance. There are 86 loans in the
pool, down from 94 at issuance. The master servicer for the
transaction is Wachovia Bank N.A. Wachovia provided financial
information for 97.9% of the nondefeased loans, and 95.1% of the
servicer-provided information was full-year 2008 or interim 2009
data. S&P calculated a weighted average DSC of 1.56x for the pool
based on the reported figures. S&P's adjusted DSC and LTV were
1.55x and 78.5%, respectively. To date, the transaction has
realized a loss of $29,543 in connection with one loan. Fifteen
loans ($128.3 million, 12.9%) are on the master servicer's
watchlist, including two of the top 10 loans. Thirteen loans
($56.6 million, 5.7%) have a reported DSC of less than 1.10x, and
10 of these loans ($48.0 million, 4.8%) have a reported DSC of
less than 1.0x.
Summary Of Top 10 Loans
The top 10 exposures secured by real estate have an aggregate
outstanding balance of $557.0 million (55.9%). Using servicer-
reported numbers, S&P calculated a weighted average DSC of 1.62x
for the top 10 loans. The seventh-largest loan in the pool
($26.7 million, 2.7%) is with the special servicer. The fourth-
and eighth-largest loans in the pool ($58.7 million, 5.7%) appear
on the master servicer's watchlist. S&P's adjusted DSC and LTV
for the top 10 loans were 1.58x and 75.5%, respectively.
The Northridge Business Park loan ($36.2 million, 3.6%), the
fourth-largest loan in the pool, is secured by a 471,034-sq.-ft.
office building in Atlanta. The loan appears on the watchlist due
to a decline in DSC, which resulted from increased expenses
associated with tenant turnover. Occupancy was 82.9% as of
June 25, 2009, and DSC was 1.25x as of Dec. 31, 2008.
The Stockdale Tower loan ($22.4 million, 2.3%), the eighth-largest
loan in the pool, is secured by a 176,144-sq.-ft. office building
in Bakersfield, Calif. The loan appears on the watchlist due to
delinquent payments and deferred maintenance issues. As of
Dec. 31, 2008, the property was 87.0% occupied with a 1.10x DSC.
Standard & Poor's stressed the loans in the pool according to its
updated conduit/fusion criteria. The resultant credit enhancement
levels support the lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
LB-UBS Commercial Mortgage Trust 2004-C6
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
S CCC+ B-/Watch Neg 1.52
Ratings Affirmed And Removed From Creditwatch Negative
LB-UBS Commercial Mortgage Trust 2004-C6
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-2 AAA AAA/Watch Neg 16.56
A-3 AAA AAA/Watch Neg 16.56
A-4 AAA AAA/Watch Neg 16.56
A-5 AAA AAA/Watch Neg 16.56
A-6 AAA AAA/Watch Neg 16.56
A-1A AAA AAA/Watch Neg 16.56
B AA+ AA+/Watch Neg 15.21
C AA AA/Watch Neg 12.84
D AA- AA-/Watch Neg 11.32
E A+ A+/Watch Neg 9.97
F A A/Watch Neg 8.45
G A- A-/Watch Neg 7.27
H BBB+ BBB+/Watch Neg 6.08
J BBB BBB/Watch Neg 5.24
K BBB- BBB-/Watch Neg 3.55
L BB+ BB+/Watch Neg 3.38
M BB BB/Watch Neg 2.70
N BB- BB-/Watch Neg 2.20
P B+ B+/Watch Neg 1.86
Q B B/Watch Neg 1.52
Ratings Affirmed
LB-UBS Commercial Mortgage Trust 2004-C6
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
X-CL AAA N/A
X-CP AAA N/A
MAVERICK COUNTY: Fitch Affirms 'BB' Ratings on Various Debts
------------------------------------------------------------
Fitch Ratings affirms at 'BB' and subsequently withdraws its
ratings on this Maverick County, TX debt:
-- Combination limited tax and revenue certificates of
obligation, series 2004;
-- Combination limited tax and revenue certificates of
obligation, series 2000;
-- Combination limited tax and revenue certificates of
obligation, series 1998;
-- Combination limited tax and revenue certificates of
obligation, series 1997;
-- Combination limited tax and revenue certificates of
obligation, series 1996-B;
-- Tax notes, series 2003-A.
The Rating Outlook is Negative.
Fitch withdraws its ratings on all above debt due to the issuer's
stated intention not to provide any further financial updates to
Fitch. All of the debt listed above, except for series 2004, will
be refunded with bonds (not rated by Fitch) which sold on Oct. 15,
2009, and close on Oct. 27, 2009.
The Negative Outlook reflects the potential for added financial
pressure on the county's weakened general operations as the result
of debt obligations issued by the county's public finance
corporation for a criminal detention center that may require
additional financial support under certain scenarios. The 'BB'
rating reflects the county's chronic deficit general fund balance
position and poor liquidity. The county has posted negative
general fund balances in five out of the last six fiscal years
along with thin to negative fund balances in other major funds.
Some progress is evident in the county's financial recovery plan,
which set aside a portion of property tax revenues for deficit
reduction in fiscal 2008 and 2009.
Success of the plan is partly contingent on the timely receipt of
community impact payments from the private operator of a new
detention center whose own revenues can experience lags in
payment. In 2007, the county's PFC issued $43 million in lease
revenue bonds (secured by project revenues and not rated by Fitch)
for a 688-bed detention facility that opened in December 2008 and
houses primarily U.S. Marshalls Services prisoners. The failure
of the detention center to attain sufficient inmate capacity could
threaten the PFC's ability to make timely base rental payments,
further complicating the county's prospects for stabilizing its
credit profile. The concurrent restructuring of most of the
county's outstanding debt is part of the county's financial
recovery plan; although it incurs a high present value loss, the
restructuring will provide some needed operations and maintenance
taxing margin needed to rebuild the general fund balance. The
county continues to experience healthy tax base and sales tax
growth, although the county's economic base is limited with
exposure to economic fluctuations in Mexico. In addition, the
area's wealth levels are very low and unemployment has increased
in recent months.
Consecutive operating losses, due mostly to delayed federal
reimbursements for court costs and public safety spending
pressures, led to an accumulated negative fund balance of
$3.6 million in fiscal 2006, equal to a very high 33% of spending.
Significant budget actions in fiscal 2007 and 2008 reversed the
negative trend, reducing the deficit by $928,000 and $431,000,
respectively, resulting in a still large but smaller $2.4 million
deficit fund balance, equal to 22% of spending. Notably, the
fiscal 2009 budget allocated a portion of the O&M tax levy for
additional deficit reduction purposes in the general fund and
other major county funds. Unaudited fiscal 2009 results point to
another $500,000 reduction in the deficit, resulting in a
$1.9 million deficit fund balance. In fiscal 2010, this deficit
will be further reduced with a $1.5 million reimbursement for pay-
go capital outlays from the county's recent tax note issuance.
However, the budget also anticipates $400,000 in community impact
payments from the private operator of the detention center which
opened in December 2008. Delays in such payments would prolong
the county's financial recovery plan past its estimated fiscal
2011 timeframe.
Located on the U.S.-Mexico border, Maverick County encompasses an
expansive 1,300 square miles; its population has increased
steadily during the past decade. Over half of the county's
estimated 2009 population of 55,000 live in the City of Eagle
Pass, the county seat. Area wealth levels as measured by per
capita income are very low. Increasing North American Free Trade
Agreement international trade activity has spurred
commercial/retail development, resulting in solid annual tax base
growth since fiscal 2004 of almost 8%. However, job growth has
slowed in the current downturn, increasing the county's
unemployment rate to a high 14% in Aug. 2009.
MCG COMMERCIAL: Moody's Downgrades Ratings on Various 2006-1 Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of these notes issued by MCG Commercial Loan Trust 2006-1:
-- US$58,750,000 Class B Second Priority Senior Notes due 2018,
Downgraded to A1 and Placed Under Review for Possible
Downgrade; previously on March 4, 2009 Aa2 Placed Under
Review for Possible Downgrade.
In addition, Moody's has placed under review for possible
downgrade the ratings of these notes:
-- US$106,250,000 Class A-1 First Priority Senior Notes due
2018, Aaa Placed Under Review for Possible Downgrade,
previously on April 18, 2006 Assigned Aaa;
-- US$50,000,000 Class A-2 First Priority Senior Notes due 2018
(currently unfunded), Aaa Placed Under Review for Possible
Downgrade, previously on April 18, 2006 Assigned Aaa;
-- US$85,000,000 Class A-3 First Priority Senior Delayed Draw
Notes due 2018, Aaa Placed Under Review for Possible
Downgrade, previously on April 18, 2006 Assigned Aaa.
Moody's also notes that these notes, which had previously been
placed under review for possible downgrade, remain under review
for possible downgrade:
-- US$45,000,000 Class C Third Priority Senior Subordinate
Deferrable Notes due 20 18, Ba1 Remains on Review for
Possible Downgrade; previously on March 23, 2009 Downgraded
to Ba1 and Placed Under Review for Possible Downgrade;
-- US$47,500,000 Class D Fourth Priority Junior Subordinate
Deferrable Notes due 2018, B1 Remains on Review for Possible
Downgrade; previously on March 23, 2009 Downgraded to B1 and
Placed Under Review for Possible Downgrade.
The rating actions reflect Moody's revised assumptions with
respect to default probability, including certain stresses
pertaining to credit estimates, and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for second lien loans
will be below their historical averages, consistent with Moody's
research. Based on the last trustee report, dated September 25,
2009, second lien loans make up approximately 42% of the
underlying portfolio. Other assumptions used in Moody's CLO
monitoring are described in the publication "CLO Ratings
Surveillance Brief - Second Quarter 2009," dated July 17, 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, diversity score, and weighted average recovery
rate, may be different from the trustee's reported numbers.
According to Moody's, all of the rated notes have been placed on
review or remain on review for possible downgrade because the
transaction is exposed to a significant proportion of collateral
whose default probabilities are assessed through Moody's credit
estimates provided more than twelve months ago. These credit
estimates remain subject to updates intended to reflect changes in
credit market conditions that have occurred since the time of the
last updates. To update credit estimates, Moody's relies in part
on transaction sponsors to provide it with current credit and
financial information on the related obligors. Conclusion of the
notes' rating reviews will likely be impacted by forthcoming
credit estimate updates, or in the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, by any default probability stresses Moody's
may assume in lieu of updated credit estimates.
MCG Commercial Loan Trust 2006-1, issued on April 18, 2006, is a
collateralized loan obligation backed primarily by a portfolio of
loans from middle market obligors.
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.
MORGAN STANLEY: Moody's Cuts Ratings on Two 2007-1 Securities
-------------------------------------------------------------
Moody's Investors Service has downgraded the rating of two
securities issued by Morgan Stanley Structured Trust I 2007-1.
Each of these deals is primarily backed by first-lien fixed- and
adjustable-rate subprime residential mortgage loans. These
actions are part of an ongoing review of subprime RMBS
transactions.
The ratings downgrades announced are attributable to persistent
deterioration in both the level of delinquency and the severity of
loss on defaulted loans relative to Moody's prior assumptions. As
a result of this deterioration and updated modeling assumptions,
Moody's has increased its loss expectations on this transaction
from 44% of its original balance to 52%. Additionally, the Class
A1 bonds are no longer expected to be paid off before supporting
subordinate bonds are completely written down and are now expected
to incur substantial principal impairments. In the event that
subordinate bonds are written down entirely, this deal has
structural features that redirect principal payments pro-rata
toward all senior bonds.
Complete rating actions are:
Issuer: Morgan Stanley Structured Trust I 2007-1
* Pool current expected loss: 52% of original balance
-- Cl. A-1, Downgraded to Caa3; previously on March 13, 2009
Downgraded to B2
-- Cl. A-2, Downgraded to Ca; previously on March 13, 2009
Downgraded to B3
MORGAN STANLEY: S&P Downgrades Ratings on 21 2007-HQ11 Securities
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 21
classes of commercial mortgage-backed securities from Morgan
Stanley Capital I Trust 2007-HQ11 and removed them from
CreditWatch with negative implications. In addition, S&P affirmed
its ratings on six classes from the same transaction.
The downgrades follow S&P's analysis of the transaction using its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of the rating actions. The downgrades of the mezzanine and
subordinate classes also reflect anticipated credit support
erosion upon the eventual resolution of several of the
transaction's 11 specially serviced assets. S&P's analysis
included a review of the credit characteristics of all of the
assets in the pool. Using servicer-provided financial
information, S&P calculated an adjusted debt service coverage of
1.33x and a loan-to-value ratio of 119.9%. S&P further stressed
the loans' cash flows under S&P's 'AAA' scenario to yield a
weighted average DSC of 0.77x and an LTV of 167.0%. The implied
defaults and loss severity under the 'AAA' scenario were 94.6% and
44.8%, respectively. All of the DSC and LTV calculations noted
above exclude eight ($59.6 million, 2.5%) of the 11 specially
serviced assets. S&P estimated losses for these eight assets
separately and included them in the 'AAA' scenario implied default
and loss figures.
The affirmations on the principal and interest certificates
reflect subordination levels that adequately support the
outstanding ratings. S&P affirmed its rating on the class X
interest-only certificate 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 finalizes its criteria
review, S&P may revise its current IO criteria, which may affect
outstanding ratings, including the rating on the IO certificate
S&P affirmed.
Credit Concerns
As of the October 2009 remittance report, 11 assets
($73.6 million, 3.1%) in the pool are with the special
servicer, J.E. Robert Co. Inc. The specially serviced assets
by payment status are: two ($13.7 million, 0.6%) are in
foreclosure; six ($30.5 million, 1.3%) are 90-plus days
delinquent; two ($23.4 million, 1.0%) are 60 days delinquent;
and one ($6.0 million, 0.3%) is 30 days delinquent. Appraisal
reduction amounts are in effect against three of the specially
serviced assets. The largest loan with the special servicer is
the Foothill Ranch loan, which has a balance of $14.6 million
(0.6%). The loan was transferred to the special servicer on
Aug. 14, 2009, and is 60 days delinquent. The reported DSC was
1.20x as of year-end 2008. The remaining specially serviced
assets have balances that individually represent less than 0.4% of
the total pool balance.
Transaction Summary
As of the October 2009 remittance report, the collateral pool had
an aggregate trust balance of $2.40 billion, which is 99% of the
aggregate trust balance at issuance. The pool includes 171 loans,
unchanged since issuance. The master servicer for the transaction
is Capmark Finance Inc., which provided financial and other loan
performance data that S&P used in its review. Capmark Financial
Group Inc., the master servicer's parent, filed for Chapter 11
bankruptcy protection on Oct. 25, 2009. If S&P removes Capmark
from the Select Servicer List at some point in the future and it
is not replaced in the transaction with an approved master
servicer, it could result in a downgrade, qualification, or
withdrawal of the ratings in this transaction. It is also
possible that fees and expenses associated with the bankruptcy
filing could affect the trust and prompt future rating actions.
Capmark provided financial information for 99.6% of the pool,
and 97.7% of the servicer-provided information was full-year
2008 or interim 2009 data. S&P calculated a weighted average
DSC of 1.35x for the pool based on the reported figures. S&P's
adjusted DSC and LTV were 1.33x and 119.9%, respectively. S&P's
adjusted DSC and LTV figures exclude eight ($59.6 million, 2.5%)
of the 11 specially serviced assets. S&P separately estimated
losses for these eight assets. Servicer-reported financial
information was available for seven of these assets, and based
on this information, S&P calculated a weighted average DSC of
1.12x for these exposures. The master servicer reported a
watchlist of 40 loans ($645.8 million, 26.9%), including two of
the top 10 loans, which S&P discuss in detail below. Forty-one
loans ($682.1 million, 28.4%) in the pool have a reported DSC
below 1.10x, and 25 loans ($390.7 million, 16.3%) have a reported
DSC of less than 1.00x.
Summary Of Top 10 Loans
The top 10 loan exposures have an aggregate outstanding balance of
$1.14 billion (47.7%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.34x for the top 10 loans.
S&P's adjusted DSC and LTV for the top 10 loans are 1.31x and
125.5%, respectively. Two ($271.5 million, 11.3%) of the top 10
loans appear on the master servicer's watchlist and are discussed
below.
The RREEF Portfolio loan is the third-largest loan in the pool and
the largest loan on the master servicer's watchlist. The loan has
a trust balance of $138.5 million (5.8%) and is secured by eight
multifamily properties comprising 1,220 units in Virginia and
Maryland. The loan appears on the watchlist due to low DSC. At
year-end 2008, DSC and occupancy were 1.04x and 95.0%,
respectively.
The Galleria at Pittsburgh Mills loan is the fifth-largest loan in
the pool and the second-largest loan on the master servicer's
watchlist. The loan has a trust balance of $133.0 million (5.6%)
and is secured by an 887,000-sq.-ft. retail center in Tarentum,
Pa. The asset appears on the watchlist due to low DSC. DSC was
0.97x at year-end 2008, while occupancy was 80.3% at June 2009.
Standard & Poor's stressed the loans in the pool according to its
U.S. conduit/fusion criteria. The resultant credit enhancement
levels support S&P's lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Morgan Stanley Capital I Trust 2007-HQ11
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-1A A AAA/Watch Neg 30.21
A-4 A AAA/Watch Neg 30.21
A-4FL A AAA/Watch Neg 30.21
A-M BBB AAA/Watch Neg 20.13
A-MFL BBB AAA/Watch Neg 20.13
A-J BB AAA/Watch Neg 12.20
B BB- AA+/Watch Neg 11.44
C B+ AA/Watch Neg 9.93
D B+ AA-/Watch Neg 8.92
E B+ A+/Watch Neg 8.42
F B A/Watch Neg 7.53
G B A-/Watch Neg 6.53
H B- BBB+/Watch Neg 5.39
J B- BBB/Watch Neg 4.38
K CCC+ BBB-/Watch Neg 3.00
L CCC+ BB+/Watch Neg 2.62
M CCC+ BB/Watch Neg 2.37
N CCC B+/Watch Neg 1.99
O CCC B/Watch Neg 1.86
P CCC- B-/Watch Neg 1.49
Q CCC- CCC+/Watch Neg 1.11
Ratings Affirmed
Morgan Stanley Capital I Trust 2007-HQ11
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.21
A-2 AAA 30.21
A-3-1 AAA 30.21
A-3-2 AAA 30.21
A-AB AAA 30.21
X AAA N/A
N/A - Not applicable.
NORTH TEXAS: S&P Raises Ratings on 1984 Revenue Bonds From 'CCC'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on North
Texas Housing Finance Corp.'s single-family mortgage revenue bonds
series 1984 to 'BBB+' from 'CCC'. The outlook remains stable.
The bonds are secured by single-family mortgages.
"In July 2008, the trustee inadvertently reported an incorrect
mortgage balance, which resulted, in S&P's view, in insufficient
assets to pay bondholders in full. This has been corrected," said
Standard & Poor's credit analyst Renee Berson.
As of July 31, 2009, the A/L ratio of 115.4% consisted of total
assets of $67,628 and total liabilities of $58,598. Current total
assets earn more than the total cost of liabilities. In S&P's
view, the asset-to-liability ratio should continue to improve as
mortgage prepayments are used to call the capital accumulator
bonds due 2016.
NOVASTAR MORTGAGE: Moody's Cuts Ratings on Four 2007-1 Securities
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of four
securities issued by NovaStar Mortgage Funding Trust 2007-1. This
deal is primarily backed by first-lien fixed- and adjustable-rate
subprime residential mortgage loans. These actions are part of an
ongoing review of subprime RMBS transactions.
The ratings downgrades announced are attributable to persistent
deterioration in both the level of delinquency and the severity of
loss on defaulted loans relative to Moody's prior assumptions. As
a result of this deterioration and updated modeling assumptions
Moody's has increased its loss expectations on this transaction
from 42% of original balance to 46%. Additionally the Class A-2A1
& Class A-2A2 bonds are at higher risk of losses in the event that
they are not paid off before supporting subordinate bonds are
completely written down. In the event that subordinate bonds are
written down entirely, this deal has structural features that
redirect principal payments pro-rata toward all senior bonds.
Issuer: NovaStar Mortgage Funding Trust 2007-1
* Pool current expected loss: 46% of original balance
-- Cl. A-1A, Downgraded to Caa3; previously on March 13, 2009
Downgraded to B2
-- Cl. A-2A1, Downgraded to B3; previously on March 13, 2009
Downgraded to A2
-- Cl. A-2A2, Downgraded to B3; previously on March 13, 2009
Downgraded to A2
-- Cl. A-2B, Downgraded to Ca; previously on March 13, 2009
Downgraded to B3
PALISADES CDO: Moody's Downgrades Ratings on Three Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of three classes of Notes issued by Palisades CDO, Ltd.
The Notes affected by the rating action are:
-- US$366,000,000 CLASS A-1A FLOATING RATE NOTES DUE JULY 2039
(current balance of $276,253,028), Downgraded to Caa1;
previously on March 20, 2009 Downgraded to Baa1
-- US$6,000,000 CLASS A-1B 4.69% NOTES DUE JULY 2039 (current
balance of $4,528,738), Downgraded to Caa1; previously on
March 20, 2009 Downgraded to Baa1
-- US$88,500,000 CLASS A-2 FLOATING RATE NOTES DUE JULY 2039,
Downgraded to Ca; previously on March 20, 2009 Downgraded to
Caa1
Palisades CDO is a collateralized debt obligation backed primarily
by a portfolio of residential mortgage backed securities and other
types of asset 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). Moody's notes that in the case of Palisades CDO,
more than 32% of its assets have been the subject of ratings
downgrade since Moody's last review of the transaction in March
2009. The Trustee reports that each OC test is failing and the
degree of failure has increased over time. In the latest trustee
report defaults totaled $171,901,322 and WARF was 1285 as compared
to $92,571,618 of defaults and a WARF of 930 as reported in the
February 2009 trustee report.
The action also takes into consideration the risk of the
transaction experiencing an Event of Default. An Event of Default
may occur due to a missed interest payment on any Class A Note or
Class B Note. 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.
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
PERSEUS CDO: 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 Perseus CDO I, Limited:
-- $6,500,000 Class B-1 Floating Rate Notes Due 2011 (current
balance of $960,545), Downgraded to C; previously on
March 11, 2003 Downgraded to Caa3;
-- $49,500,000 Class B-2 Fixed Rate Notes Due 2011 (current
balance of $12,500,811), Downgraded to C; previously on
March 11, 2003 Downgraded to Caa3;
-- $16,200,000 Class C-1 Floating Rate Notes Due 2011 (current
balance of $25,145,518), Downgraded to C; previously on
May 15, 2002 Downgraded to Ca;
-- $7,500,000 Class C-2 Floating Rate Notes Due 2011 (current
balance of $14,181,447), Downgraded to C; previously on
May 15, 2002 Downgraded to Ca.
According to Moody's, the rating actions taken on the notes
reflect Moody's concerns about the insufficient collateralization
of the notes. In particular, the Class B Par Value Ratio Test was
reported at 18.5% versus a test level of 106.4%, and the Class C
Par Value Ratio Test was reported at 5.5% versus a test level of
103.0%, based on the most recent trustee report, dated October 7,
2009. While the Class B Notes have delevered significantly,
Moody's believes that there is a high likelihood that the issuer
will likely default on its obligation to repay the current
outstanding balance of the notes at their maturity, and that such
a default will result in significant losses to holders of the
notes.
Perseus CDO I, Limited, issued in April of 1999, is a
collateralized bond obligation backed primarily by a portfolio of
senior unsecured bonds.
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.
PINNACLE CBO: Moody's Downgrades Rating on Senior Notes to 'Caa3'
-----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of these notes issued by Pinnacle CBO, Limited:
-- US$239,500,000 Senior Secured Fixed Rate Notes due 2009
(current balance of $984,171), Downgraded to Caa3; previously
on August 29, 2006 Downgraded to B3.
According to Moody's, the rating action taken on the notes
reflects Moody's concerns about the insufficient collateralization
of the notes. In particular, the Senior Par Value Test was
reported at 81.5% versus a test level of 129.0%, based on the most
recent trustee report dated, September 18, 2009. While the Senior
Secured Notes have delevered significantly, Moody's believes that
there is a high likelihood that the issuer will likely default on
its obligation to repay the current outstanding balance of the
notes at their maturity, and that such a default will result in
significant losses to holders of the notes. Moody's also notes
that the portfolio includes two securities that mature after the
maturity date of the notes. These investments potentially expose
the notes to market risk in the event of liquidation at the time
of the notes' maturity.
Pinnacle CBO, Limited, issued in November of 1997, is a
collateralized bond obligation backed primarily by a portfolio of
senior unsecured bonds.
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.
PORTICOES FUNDING: Moody's Downgrades Ratings on Two Classes
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Porticoes Funding, Ltd.:
-- US$14,000,000 Class C-1 Fixed Rate Third Priority Senior
Secured Notes Due 2010 (current balance of $679,095),
Downgraded to Ca; previously on September 18, 2002 Downgraded
to B1;
-- US$30,000,000 Class C-2 Floating Rate Third Priority Senior
Secured Notes Due 2010 (current balance of $1,455,203),
Downgraded to Ca; previously on September 18, 2002 Downgraded
to B1.
According to Moody's, the deal has delevered significantly and
there are only few assets left in the pool, majority of which are
reported as defaulted. The weighted average rating factor is
currently 10000 versus a test level of 2700 as of the last trustee
report, dated September 30, 2009. The underlying performing
assets are concentrated in one obligor. Any material change in
the credit profile of this one obligor will have a significant
impact on the rated notes. The rating actions taken on the notes
also reflect Moody's concerns about the insufficient
collateralization of the notes. In particular, the Class C
Overcollateralization Ratio Test was reported at 93.84% versus a
test level of 105.5% in the same trustee report. While the Class
C Notes have delevered significantly, Moody's believes that there
is a high likelihood that the issuer will likely default on its
obligation to repay the current outstanding balance of the notes
at their maturity, and that such a default will result in
significant losses to holders of the notes
Porticoes Funding, Ltd., issued on December 22, 1998, is a
collateralized bond obligation backed primarily by a portfolio of
senior unsecured bonds.
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.
POTOMAC SYNTHETIC: Moody's Downgrades Ratings on 2007-1 Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
rating on notes issued by Potomac Synthetic CDO 2007-1, a
collateralized debt obligation transaction referencing a managed
portfolio of corporate entities.
The rating action is:
Issuer: Potomac Synthetic CDO 2007-1
-- US$31,000,000 Class 10 B-1 Floating Rate Notes Due 2017
Notes, Downgraded to Caa3; previously on Feb 12, 2009
Downgraded to Caa1
Moody's explained that the rating action taken is the result of
the deterioration of the credit quality of the reference
portfolio. The 10 year weighted average rating factor of the
portfolio, not adjusted with forward looking measures, has
deteriorated from 625 from the last rating action to 814,
equivalent to an average rating of the current portfolio of Ba1.
Since the last rating action, assets rated Caa and below went from
1% to 4.5%% of the total referenced portfolio. The reference
portfolio includes an exposure to CIT Group, Inc. which has
experienced substantial credit migration in the past few months,
and is now rated Ca. Since inception of the transaction, the
subordination of the rated tranche has been reduced due to credit
events on Lehman Brothers Holdings Inc, Washington Mutual, Federal
Home Loan Mortgage Corporation, Federal National Mortgage
Association Glitnir banki and Landsbanki Islands. These credit
events lead to a decrease of approximately 3% of the subordination
of the tranche. The portfolio has the highest industry
concentrations in Real Estate (11%), Telecommunications (11%),
Finance (10%) and Banking (10%).
Moody's monitors this transaction using primarily the methodology
for Corporate Synthetic Obligations as described in Moody's
Special Report below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (14 September 2009)
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 strength of the legal
framework as well as specific documentation features, and
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.
PPM AMERICA: Moody's Downgrades Ratings on Class A-1 to 'Ca'
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of these notes issued by PPM America High Yield CBO I:
-- US$448,800,000 Class A-1 Senior Secured Floating Rate Notes
due 2011 (current balance of $39,252,672), Downgraded to Ca;
previously on February 8, 2007 Downgraded to Caa3.
According to Moody's, the rating action taken on the notes
reflects Moody's concerns about the insufficient collateralization
of the notes. In particular, the Overcollateralization Test was
reported at 8.62% versus a test level of 116.00%, as reported in
the most recent trustee report dated September 16, 2009. While
the Class A-1 Notes have delevered significantly, Moody's believes
that there is a high likelihood that the issuer will likely
default on its obligation to repay the current outstanding balance
of the notes at their maturity, and that such a default will
result in significant losses to the holders of the notes.
PPM America High Yield CBO I, issued on March 2, 1999, is a
collateralized bond obligation backed primarily by a portfolio of
senior unsecured bonds.
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.
SAINT BARNABAS: Moody's Cuts Rating on $881.9 Mil. Bonds to 'Ba1'
-----------------------------------------------------------------
Moody's Investors Service has downgraded to Ba1 from Baa2 the
ratings assigned to Saint Barnabas Health Care System's
$881.9 million of outstanding bonds issued through New Jersey
Health Care Facilities Financing Authority and New Jersey Economic
Development Authority. The rating is being placed on Watchlist
for possible further downgrade. The downgrade to below investment
grade reflects the effects of Saint Barnabas' weakened balance
sheet and poor financial management. A further rating downgrade
is precluded at this time due to the positive effects brought
about by a new financial management team through the first nine
months of FY 2009, an increase in liquidity since December 2008
and the long-term engagement of a professional turnaround team.
Most significantly, Saint Barnabas has employed a new system Chief
Financial Officer who brings significant system turnaround
experience to this $2.4 billion organization. The Watchlist
action speaks to the near-term expiration dates (February 1, 2010
and March 15, 2010) on the Forbearance and Waiver Agreements that
Saint Barnabas will need to either extend or negotiate new
expiration dates on the underlying 364-day credit agreement (with
Wachovia Bank, NA) and Letter of Credit agreement (with JP Morgan
Chase Bank, NA). The Watchlist also speaks to near-term risks to
the system in the event that mutually-agreed upon terms can not be
reached with its two nursing unions or that negotiated terms add
significantly to costs. Finally, interim performance is unaudited
and as the organization rebuilds its financial infrastructure
Moody's believe the possibility exists for more year-end
adjustments.
Legal Security: Gross revenue pledge of the obligated group;
mortgage on Saint Barnabas Medical Center, Monmouth Medical
Center, Clara Mass Medical Center, Community Medical Center,
Kimball Medical Center and Newark Beth Israel Medical Center.
During the forbearance period, the liquidity covenant has been
reduced to 30 days on hand at the obligated group and 1.0 times
debt service coverage ratio; the next measurement date is
December 31, 2009. When not in a forbearance period, the
covenants will return to a "warning level" of 75 days (consultant
is required) and 60 days for an event of default; 1.25 times debt
service coverage test (consultant required) and 1.0 times for
event of default; both are measured semiannually. The 364-day
credit agreement with Wachovia Bank is parity to the outstanding
bonds.
Interest Rate Derivatives: none
Challenges:
* The inability of Saint Barnabas to negotiate extensions of the
Forbearance Agreements or favorable extension terms with the
banks, or the decision by the banks to terminate the credit
agreement and letter of credit agreement represents the largest
near term risk to the organization given its liquidity position;
in particularly the $107.6 million outstanding on the Wachovia
credit agreement whose Forbearance Agreement expires on
February 1, 2010, currently represents a substantial amount of
current liquidity
* Weak balance sheet metrics for a system of this size with 43.3
days cash on hand at the system as of September 30, 2009; cash
to debt is very weak at 26.0% (Moody's calculations exclude the
$107.6 million credit agreement, $131 million of off-shore self-
insurance funds and $20.4 million of supplemental retirement
benefits)
* Large operating loss in FY 2008 which included unanticipated
year-end adjustments for current and prior years and resulted in
a debt service coverage violation; the negotiating of the
Forbearance Agreements with the banks and lenders delayed the
release of the audit for several months and underscores the need
for the system to build credibility with lenders and bondholders
* Upcoming contract negotiations with two large nursing unions (at
Saint Barnabas Medical Center and Kimball Medical Center)
represent near-term risk to the organization
* Minimal capital investment in the facilities (less than 1.0x
capital spending ratio in FY 2008, average age of plant is
unfavorable at 15.3 years); Saint Barnabas has used more
operating leases as a means to fund capital and upgrade
equipment; operating leases represents just over $100 million of
debt (using a net present value analysis)
Strengths:
* Unaudited financial performance through the first nine months
ending September 30, 2009, shows good improvement with breakeven
operating income and an operating cash flow margin of 6.4%, on
track with the budget
* Near-term expectations for a material increase in liquidity with
the transfer of $25 million in unrestricted foundations funds
and $75 million in off-shore captive funds to the obligated
group (all necessary verbal approvals received) which should
increase liquidity to over 50 days by December 31, 2009; cash is
more conservatively invested than in the past to increase
liquidity
* Recent decision by the board to freeze the defined benefit plan
is viewed favorably
* A long-term engagement of an outside turnaround firm and a
permanent, new Chief Financial Officer that brings turnaround
experience to the system are viewed very favorably; expenses
have been reduced through FTE layoffs and revenues have
increased through better revenue realization and contract
renegotiations during FY 2008; it appears that progress is being
made on building a better financial infrastructure at the system
office, improving the reporting lines from hospitals to the
system office and increasing the financial depth at each of the
local hospitals
* A nearly all fixed-rate bonded-debt structure with no interest
rate derivative products
Recent Developments/Results
Saint Barnabas' downgrade to below investment grade system
reflects several factors. FY 2008 results were well below
expectations and the material losses resulted in a debt service
coverage violation. FY 2008 operating loss reached $161 million
or negative 7.1% operating margin and rarely-seen negative
operating cash flow (Moody's restates all investment income/losses
as non-operating revenues). The release of the FY 2008 audit
(with a new auditing firm) was delayed several months as
management endeavored to negotiate Forbearance Agreements with its
lenders. The large operating loss in FY 2008 includes several
one-time adjustments for FY 2008 and prior years' performance
($66 million in total). Some of the adjustments taken in FY 2008
were a result of triggering events that happened in 2009.
Management attributes the weak financial performance and the
unexpected year-end adjustments to several factors including:
1) poor financial infrastructure at the system office and the
inadequate and untimely information flow between the system
office and the hospitals; 2) weak internal revenue realization
processes to adequately reflect patient revenues and receivables;
3) inability to measure commercial payments against the terms of
managed care contracts and efficiently process Medicare claims
(which lead to a high re-submission rate); 4) absence of a system
CFO for nearly two years; and 5) a protracted process of
centralizing most of the financial functions at the system's
central office.
In November 2008, the board hired a national consulting firm to
turnaround operations. In May 2009, a new system CFO with
significant turnaround experience joined the system. Under the
auspices of the turnaround firm and new CFO, Saint Barnabas has
reduced FTEs at all facilities (over 400 FTEs by the end of
December 2009 and another 300 planned in FY 2010) and enacted
other expense reductions. On the revenue front, management had
already negotiated many of its contracts during FY 2008 with
favorable rates but inefficient internal processes that did not
allow Saint Barnabas to realize higher revenues as had been
negotiated.
Unaudited results through the first nine months of FY 2009
ending September 30, 2009, are encouraging with breakeven
operations (after $18 million in creditor negotiation expenses)
and $116 million of operating cash flow producing a more
acceptable 6.4% operating cash flow margin. Net patient
revenues per adjusted admissions are up 2% while expenses per
adjusted admissions are down 5% through the year to date period.
Another factor for the downgrade is the liquidity position of this
large $2.2 billion system. As of September 30, 2009, the system
has $281 million in unrestricted cash and investments or 43 days
cash on hand (Moody's excludes $130.9 million in off-shore self
insurance funds; $20.4 million in supplemental retirement benefits
and $107.6 million drawn under the credit agreement). This level
represents an increase from system liquidity at the end of FY 2008
which stood at $183 million or 28.3 days cash on hand. Saint
Barnabas fully expects to clear the temporary 30 days cash on hand
covenant during the forbearance period (measured at December 31,
2009).
In addition to improved performance, management plans to increase
cash by $100 million before December 31, 2009. $25 million in
unrestricted foundation funds will be transferred to the obligated
group representing about 4 days cash on hand. Management also
intends to transfer $75 million in off-shore self insurance funds
to unrestricted cash by year end (bondholder and regulatory verbal
approvals received), representing another twelve to thirteen days
cash. Likewise the sale of four nursing homes and Union Hospital
will bring in net proceeds of approximately $40 million although
these funds must be used for capital needs or debt service
reduction. The rebuilding of cash balances and sustaining these
balances while investing in the plant will be a factor in future
rating upgrades.
After months of negotiations, Saint Barnabas received extensions
and forbearance agreements from JP Morgan Chase Bank (LOC provider
on the Series 2001A bonds, $34.4 million outstanding) and Wachovia
Bank, NA, who provides a 364-day credit agreement ($108.6 million
outstanding). The agreements expire March 15, 2010, and
February 1, 2010, respectively. Moody's believe that the
inability of Saint Barnabas to negotiate new extension agreements
or the decision by either bank to not renew their commitments
represents immediate risk to the system given its liquidity
position and is a key driver to the Watchlist.
Capital spending has been limited with less than one times capital
spending ratio for the past two years. Management is endeavoring
to increase cash flow in order to build liquidity and more
adequately invest in the plant. The average age of plant is very
high at over 15 years (national median is 9.8 years). As an
expensive alternative, Saint Barnabas executed more operating
leases for equipment. On a debt equivalent basis, the system has
just over $100 million in operating leases. Projected capital
spending increases to $80 million in FY 2010 although is still
below deprecation expense. Saint Barnabas also has $88 million in
equal payments left on the 2005 settlement with the Department of
Justice; the obligation runs through 2012 and represents another
demand on liquidity.
Very recently the board has decided to freeze the defined benefit
pension plan which should reduce long-term liabilities. The
unfunded ratio was a very weak 54% in FY 2008. Pension expense
will increase to over $55 million in FY 2009; the pension
contribution of $35 million is made quarterly and already
reflected in the current cash position. Moody's view the decision
to freeze the plan favorably but may be an issue given the
upcoming contract negotiations with the nurses at Saint Barnabas
Medical Center and Kimball Medical Center.
Saint Barnabas' facilities have good clinical reputations in their
local markets most of which are populated with competing
facilities, especially in central New Jersey. All six hospitals'
performance through September 30, 2009 report results that are
favorable to budgeted expectations. Some of the hospitals have
seen unfavorable shifts in their payer mix as other nearby
hospitals have closed but have removed expenses to mitigate the
changes. Kimball Medical Center continues to struggle financially
and management is considering various long-term strategies for
this market.
Outlook
The Watchlist action represents the short-term risk facing Saint
Barnabas given its current cash position in the event that it
cannot negotiate extensions on the operating credit agreement with
Wachovia or the letter of credit with JP Morgan Chase and would
need to immediately repay these amounts to the banks. The
negative outlook also reflects the current negotiations with the
two nursing unions and the need to reach mutually agreed upon
terms.
What could change the rating -- UP
Improvement in financial performance and liquidity that is
sustainable; successful extensions of the credit agreement and
letter of credit
What could change the rating -- DOWN
Inability to reach projected FY 2009 performance; unexpected
negative year-end adjustments; erosion of liquidity; inability to
extend the credit agreement and letter of credit agreement
Key Indicators
Assumptions & Adjustments:
* Based on financial statements for Saint Barnabas Health Care
System
* First number reflects audit year ended December 31, 2008
* Second number reflects nine month performance ending
September 30, 2009, where applicable
* $59 million of investments and other-than-temporary losses have
been restated as non-operating income in FY 2008
* $108.6 million of the operating credit agreement has been
deducted from unrestricted cash and investments (FY 2008);
$107.6 million as of September 30, 2009
* $132.8 million of self-insurance funds have been deducted from
unrestricted cash and investments (FY 2008); $130.2 million as
of September 30, 2009
* $19.3 million of supplemental retirement benefits have been
deducted from unrestricted cash and investments (FY 2008);
$20.4 million as of September 30, 2009
* Interest expense on DOJ settlement is included in interest
expense
* Investment returns normalized at 6% unless otherwise noted
* Total operating revenues: $2.285 million; $1.821 million
* Moody's-adjusted net revenue available for debt service:
-$12.5 million; $134.4 million
* Total debt outstanding: $1.223 billion; $1.081 billion
* Maximum annual debt service (MADS): $57.7 million; $57.7 million
* MADS Coverage with reported investment income: -1.87 times; NA
* Moody's-adjusted MADS Coverage with normalized investment
income: -0.22 times, NA
* Debt-to-cash flow: =-19.4 times; NA
* Days cash on hand: 28.3 days; 43.3 days
* Cash-to-debt: 14.9%; 26.0%
* Operating margin: -7.1%; 0.0%
* Operating cash flow margin: -1.0%; 6.4%
Rated Debt (debt outstanding as of December 31, 2008):
* Series 2006A; 63.1 million; Ba1 rating; fixed rate
* Series 2008B, $139.4 million; Ba1 rating; fixed rate
* Series 2001A, $34.4 million outstanding, Ba1 underlying; LOC
from JP Morgan Chase Bank, N.A. primary rating is Aa2/VMIG1;
expiration date of March 15, 2010
* Series 2001B, $68.5 million, Ba1 underlying, FSA insured (rated
Aa3 and on Watchlist for downgrade); fixed rate
* Series 1998 (Community Medical Center/Kimball Medical Center,
Kensington Manor Care Center), $30.0 million, Ba1 underlying,
FSA insured (rated Aa3 and on Watchlist for downgrade); fixed
rate
* Series 1998A (Saint Barnabas/West Hudson Hospital),
$34.6 million, Ba1 underlying, MBIA insured (rated Baa1); fixed
rate
* Series 1998B, $381.7 million, Ba1 underlying, MBIA insured
(rated Baa1); fixed rate
* Series 1998C, $10.4 million, Ba1 underlying, MBIA insured (rated
Baa1); fixed rate
* Series 1997, (Shoreline) $11.9 million outstanding, Ba1
underlying, MBIA insured (rated Baa1); fixed rate
* Series 1997A (NJ Economic Development Authority) $69.8 million,
Ba1 underlying, MBIA insured (rated Baa1); fixed rate
* Series 1996C (NJ Economic Development Authority - Clara Maas),
$38.7 million outstanding, Ba1 underlying, FSA insured (rated
Aa3 and on watchlist for downgrade); fixed rate
Moody's last report date on Saint Barnabas Health Care System was
November 19, 2008, when the Baa2 rating was affirmed and the
outlook revised to negative from stable.
SAXON ASSET: Moody's Downgrades Rating on Six 2007-4 Securities
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating of six
securities issued by Saxon Asset Securities Trust 2007-4. This
deal is primarily backed by first-lien fixed- and adjustable-rate
subprime residential mortgage loans. These actions are part of an
ongoing review of subprime RMBS transactions.
The ratings downgrades announced are attributable to persistent
deterioration in both the level of delinquency and the severity of
loss on defaulted loans relative to Moody's prior assumptions. As
a result of this deterioration and updated modeling assumptions
Moody's has increased its loss expectations on this transaction
from 38%% of original balance to 45%.
Issuer: Saxon Asset Securities Trust 2007-4
* Pool current expected loss: 45% of original balance
-- Cl. A-1, Downgraded to B2; previously on March 13, 2009
Downgraded to Ba1
-- Cl. A-2, Downgraded to Caa1; previously on March 13, 2009
Downgraded to Ba2
-- Cl. M-1, Downgraded to C; previously on March 13, 2009
Downgraded to B1
-- Cl. M-2, Downgraded to C; previously on March 13, 2009
Downgraded to B3
-- Cl. M-3, Downgraded to C; previously on March 13, 2009
Downgraded to Caa2
-- Cl. M-4, Downgraded to C; previously on March 13, 2009
Downgraded to Ca
SEAWALL SPC: S&P Downgrades Ratings on Various Classes of Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
notes issued by Seawall SPC's series JPMCC 2007-CB20, 2008 CMBS
CDO-11, and MSC2007-IQ15 and removed two of them from CreditWatch
negative. All three deals are U.S. synthetic collateralized debt
obligation transactions.
S&P's rating on the tranche from Seawall SPC's series JPMCC 2007-
CB20 is directly linked to its rating on the class A-J
certificates from JPMorgan Chase Commercial Mortgage Securities
Trust 2007-CIBC20, a U.S. commercial mortgage-backed securities
transaction. The ratings on the tranches from Seawall SPC's
series 2008 CMBS CDO-11 and MSC2007-IQ15 are directly linked to
the rating on the class A-J certificates from Morgan Stanley
Capital I Trust 2007-IQ15, another U.S. CMBS transaction.
The actions follow its downgrades of the related CMBS classes on
Oct. 23, 2009, and Oct. 27, 2009, respectively.
Rating Actions
Seawall SPC
$31,062,982 series JPMCC 2007-CB20 class AJ floating-rate notes
Rating
------
Class To From
----- -- ----
Notes BB+ AAA/Watch Neg
Seawall SPC
$62,125,964 series 2008 CMBS CDO-11 class A floating-rate notes
Rating
------
Class To From
----- -- ----
Notes B+ BB-
Seawall SPC
$31,062,983 series MSC2007-IQ15 class AJ floating-rate notes
Rating
------
Class To From
----- -- ----
Notes B+ AAA/Watch Neg
SIGNATURE 4: 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 Signature 4 Limited:
-- US$64,500,000 Class B Fixed Rate Notes, Due 2014 (current
balance of $40,437,536), Downgraded to Caa3; previously on
March 12, 2003 Downgraded to Caa1;
-- US$19,000,000 Class C Fixed Rate Notes, Due 2014 (current
balance of $55,432,159), Downgraded to C; previously on
October 1, 2002 Downgraded to Ca.
According to Moody's, the deal has delevered significantly and
there are only a few assets left in the pool. The underlying
assets are concentrated in a few obligors and any material change
in the credit profile of any of these obligors poses a significant
risk to the rated notes. Moody's also notes that the Class B Par
Value Test is currently failing. As of the last trustee report,
dated September 11, 2009, the Class B Par Value Test was reported
at 106.1% versus a test level of 108%. In addition, the rating
action taken on the Class C Notes reflects Moody's concerns about
the insufficient collateralization of the notes. In particular,
the Class C Par Value Test was reported at 44.75% versus a test
level of 104.25% based on the same trustee report. Moody's
believes that there is a high likelihood that the issuer will
default on its obligation to repay the current outstanding balance
of the notes at their maturity, and that such a default will
result in significant losses to holders of the notes.
The rating actions also reflect Moody's revised assumptions with
respect to default probability including certain stresses
pertaining to credit estimates and the calculation of the
Diversity Score. These revised assumptions are described in the
publication "Moody's Approach to Rating Collateralized Loan
Obligations," dated August 12, 2009. Moody's analysis also
reflects the expectation that recoveries for high-yield corporate
bonds will be below their historical averages, consistent with
Moody's research. Other assumptions used in Moody's CLO
monitoring are described in the publication "CLO Ratings
Surveillance Brief - Second Quarter 2009," dated July 17, 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, diversity score, and weighted average recovery
rate, may be different from the trustee's reported numbers.
Signature 4 Limited, issued in December of 1999, is a
collateralized bond obligation backed primarily by a portfolio of
senior unsecured bonds.
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.
SKY HOLDING: Aserca Re-Lease Won't Affect Fitch's Ratings
---------------------------------------------------------
Sky Holding Company, LLC, the servicer for the Pegasus Aviation
Lease Securitization I & III transactions, is proposing to re-
lease a 1988 MD-83 in PALS I to Aserca Airlines and a 1996 B767-
300ER in PALS III to Santa Barbara Airlines, both domiciled in
Venezuela. The placement of these aircraft with each of the
proposed lessees would exceed various concentration limits as
defined by the transaction documents. Both aircraft are currently
off lease. Fitch Ratings does not anticipate that these actions,
in and of themselves, would adversely impact Fitch's ratings on
either of the trusts.
Fitch currently rates the trusts:
Pegasus Aviation Lease Securitization
-- Class A-1 and A-2 notes rated 'CC/DR4';
-- Class B-1, C-1, and D-1 notes rated 'C/DR6'.
Pegasus Aviation Lease Securitization III
-- Class A-1, A-2, and A-3 notes rated 'B/DR2';
-- Class B-1, B-2, C-1, C-2, and D-1 rated 'C/DR6'.
TARRANT COUNTY: Moody's Affirms 'Ca' Rating on 2001A Revenue Bonds
------------------------------------------------------------------
Moody's Investor's Service has affirmed the underlying Ca rating
on Tarrant County Housing Finance Corporation's Multifamily
Housing Revenue Bonds (Crossroads Apartment Project d/b/a The
Brentwood Apartments) Senior Series 2001A. The senior series
bonds continue to be insured by National Public Finance Guarantee
Corporation, formerly known as MBIA. Moody's also affirms the C
rating on the Subordinate Series 2001C bonds. The outlook on both
series of debt remains stable.
Legal Security:
Special obligation of the issuer; bonds are secured by rental
revenue and any funds pledged to bondholders under the trust
indenture.
Recent Developments:
The property owner, PWA Coalition of Dallas, the property manager,
Pacific West Management, and the senior series bond insurer,
National Public Finance Guarantee Corporation, continue to work to
revive the property. Fiscal year 2008 financial statements
indicate an improvement in debt service coverage from prior years.
In 2008, coverage on the Series 2001A bonds was 0.24x, as compared
to 0.064x in fiscal year 2007. Coverage on the Series 2001C bonds
was 0.21x, as compared to 0.056x in fiscal year 2007. Despite the
improvement in the operating performance of the property, the
bonds remain in default. The Debt Service Reserve Fund for both
series of bonds remains unfunded.
Outlook
The outlook on the bonds remains stable.
What could change the rating - Up
* Sustained and significant improvement in debt service coverage
ratio
* Replenishing the Debt Service Reserve Funds and Replacement
Reserve Fund
What could change the rating - Down
* n/a
The last rating action on the bonds was taken on January 3, 2008
when the ratings were affirmed and the outlook on each class of
bonds was revised to stable.
TOWER HILL: Moody's Downgrades Ratings on 12 Classes of Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of twelve classes of Notes issued by Tower Hill CDO II,
Ltd. Moody's received notification dated October 15, 2009, that,
following an Event of Default with regard to the Issuer, the
Trustee scheduled a public auction at which it sold all of the
Cash Assets held by the Issuer. The Trustee also reported that it
designated October 15, 2009, as the date on which the Trustee will
make a distribution of all of the proceeds from the liquidation.
Moody's also received a notice of final distribution from the
Trustee.The rating action taken reflects the final liquidation
distribution and changes in severity of loss associated with the
downgraded classes of notes.
-- US$0 Class A-1 Senior Secured Funded Notes Due 2023,
Downgraded to C; previously on July 17, 2009 Downgraded to B3
and Remained On Review for Possible Downgrade
-- US$300,000,000 Class A-1 Senior Secured Unfunded Notes Due
2023, Downgraded to C; previously on July 17, 2009 Downgraded
to B3 and Remained On Review for Possible Downgrade
-- US$9,415,000 Class A-X Notes Due 2023, Downgraded to C;
previously on July 17, 2009 Downgraded to Ba3 and Remained On
Review for Possible Downgrade
-- US$0 Class A-2 Senior Secured Funded Notes Due 2023,
Downgraded to C; previously on July 17, 2009 Downgraded to
Caa2 and Remained On Review for Possible Downgrade
-- US$45,000,000 Class A-2 Senior Secured Unfunded Notes Due
2023, Downgraded to C; previously on July 17, 2009 Downgraded
to Caa2 and Remained On Review for Possible Downgrade
-- US$11,000,000 Class B Type 1 Senior Secured Funded Notes Due
2023, Downgraded to C; previously on July 17, 2009 Downgraded
to Caa2 and Remained On Review for Possible Downgrade
-- US$0 Class B Type 2 Senior Secured Funded Notes Due 2023,
Downgraded to C; previously on July 17, 2009 Downgraded to
Caa2 and Remained On Review for Possible Downgrade
-- US$20,000,000 Class B Type 2 Senior Secured Unfunded Notes
Due 2023, Downgraded to C; previously on Jul y 17, 2009
Downgraded to Caa2 and Remained On Review for Possible
Downgrade
-- US$50,000,000 Class C Type 1 Secured Funded Deferrable Notes
Due 2023, Downgraded to C; previously on July 17, 2009
Downgraded to Ca
-- US$0 Class C Type 2 Secured Funded Deferrable Notes Due 2023,
Downgraded to C; previously on July 17, 2009 Downgraded to Ca
-- US$25,000,000 Class C Type 2 Secured Unfunded Deferrable
Notes Due 2023, Downgraded to C; previously on July 17, 2009
Downgraded to Ca
-- US$53,000,000 Class D Secured Floating Rate Deferrable Notes
Due 2023, Downgraded to C; previously on July 17, 2009
Downgraded to Ca
TRAINER WORTHAM: Moody's Downgrades Ratings on Three Classes
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of three classes of notes issued by Trainer Wortham First
Republic CBO IV, Limited. The notes affected by the rating action
are:
-- US$220,000,000 Class A Senior Secured Floating Rate Notes,
Due 2034 (current balance of $41,313,838), Downgraded to
Baa3; previously on 2/6/2009 Downgraded to A1;
-- US$32,000,000 Class B Senior Secured Floating Rate Notes, Due
2038, Downgraded to Caa2; previously on 2/6/2009 Downgraded
to Ba1;
-- US$12,000,000 Class C Secured Floating Rate Notes, Due 2038
(current balance of $8,125,699), Downgraded to Ca; previously
on 2/6/2009 Downgraded to B1.
Trainer Wortham First Republic CBO IV, Limited, is a
collateralized debt obligation backed primarily by a portfolio of
Residential Mortgage Backed Securities. RMBS comprises
approximately 74% of the underlying portfolio of which the
majority is from the 2003 vintage.
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), an increase in the dollar amount of defaulted
securities, and an increase in the proportion of securities rated
Caa1 and below. The ratings of approximately 25% 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 653 as of October 1, 2009, and also
reports defaulted assets in the amount of $9.6 million.
Securities rated Caa1 or lower are approximately 11% of the
underlying portfolio. The trustee reports that currently the
Class C Overcollateralization Ratio Test is failing.
The actions also take into consideration the risk of the
transaction experiencing an Event of Default. 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.
TRAINER WORTHAM: Moody's Downgrades Ratings on Five Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of five classes of notes issued by Trainer Wortham First
Republic CBO V Ltd. The notes affected by the rating action are:
-- US$255,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2040, Downgraded to Caa2; previously
on February 6, 2009 Downgraded to A3
-- US$34,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2040, Downgraded to Ca; previously on
February 6, 2009 Downgraded to Ba3
-- US$28,000,000 Class B Third Priority Senior Secured Floating
Rate Notes,Due 2040, Downgraded to Ca; previously on
February 6, 2009 Downgraded to B3
-- US$10,000,000 Class C Mezzanine Secured Floating Rate Notes
Due 2040, Downgraded to C; previously on February 6, 2009
Downgraded to Caa2
-- US$11,000,000 Class D Mezzanine Secured Floating Rate Notes
Due 2040, Downgraded to C; previously on February 6, 2009
Downgraded to Ca
Trainer Wortham First Republic CBO V, Ltd., is a collateralized
debt obligation backed primarily by a portfolio of Residential
Mortgage-Backed Securities. RMBS is approximately 79% of the
underlying portfolio of which the majority is from a 2004 vintage.
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), an increase in the dollar amount of defaulted
securities, and an increase in the proportion of securities rated
Caa1 and below. The ratings of approximately 53% of the
underlying assets have been downgraded since Moody's last review
of the transaction in February 2009. Currently the WARF of the
underlying portfolio is 2,986 and defaulted assets total
$80.7 million. Securities rated Caa1 or lower comprise
approximately 27.9% of the underlying portfolio. The Trustee
reports that certain coverage tests are failing, including the
Class A/B Overcollateralization Test.
The actions also take into consideration the risk of the
transaction experiencing an Event of Default. 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 Collateral. The
severity of losses of certain tranches may be different depending
on the timing and outcome of liquidation.
In addition to the factors noted above, the rating action as to
the Class A-1 and Class A-2 Notes reflects a correction of a
previously overstated par amount for these securities. Moody's
does not include the notional amount of an "Interest Only"
security when determining the performing par amount of a
transaction's underlying asset portfolio. However, Moody's last
review of this transaction in February 2009 erroneously included
the full notional amount of IO securities in the performing par
calculation. The error and subsequent correction do not affect
the ratings of other Classes of Notes issued in this transaction.
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 and specific
documentation features. 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.
TROPIC CDO: Fitch Downgrades Ratings on Seven Classes of Notes
--------------------------------------------------------------
Fitch Ratings downgrades seven classes of notes issued by Tropic
CDO V Ltd. and removes these notes from Rating Watch Negative. A
full list of the rating actions is included at the end of this
release.
The downgrades incorporate the transaction's non-payment of the
full interest due to the class A-1L1, A-1L2 and A-1LB notes
(collectively, the class A-1L notes) on the Oct. 15, 2009 payment
date. All available proceeds went to pay partial interest to the
class A-1L notes, pro rata. In aggregate, the class A-1L notes
received only 77.8% of their $1.1 million interest due.
Tropic V entered into an Event of Default on Oct. 22, 2009 as a
result of the partial non-payment of interest to the class A-1L
notes.
The rating actions are attributable to a decreased amount of
interest proceeds to service the notes due to continued credit
deterioration on the underlying portfolio and a failed interest
rate hedging strategy. As of the Oct. 15, 2009 trustee report
date, seven issuers representing $88 million were defaulted and an
additional 23 issuers representing $181.5 million were deferring.
The total amount of lost interest proceeds from defaulted and
deferring securities was $3.2 million per payment period, or
approximately 38% of the Tropic V expected interest from the
collateral portfolio.
Approximately 81.6% of the available interest proceeds were paid
to the hedge counterparties according to the last Trustee report.
Interest-rate hedging strategies employed at the onset of the deal
have moved into deep 'out-of-the-money' positions as three-month
LIBOR has dropped to nearly 30 basis points. As such, the CDO
must owe the respective hedge counterparties increasingly large
swap payments each quarter.
The combined impact of decreased interest proceeds from remaining
collateral debt securities, as well as increased payments to the
swap counterparties led to an interest shortfall to the senior
notes in Tropic V as of the Oct. 15, 2009 payment date.
All of the Tropic V overcollateralization and interest coverage
tests were failing their respective performance triggers as of the
October trustee report. The senior OC ratio was at 104.86% and
the senior IC ratio was at 77.84% compared to a test trigger of
127% for both.
Fitch has taken these rating actions:
-- $210,807,686 class A-1L1, downgraded to 'D' from 'A', Watch
Negative;
-- $212,479,016 class A-1L2, downgraded to 'D' from 'BBB', Watch
Negative;
-- $94,000,000 class A-1LB, downgraded to 'D' from 'B', Watch
Negative;
-- $51,000,000 class A-2L, downgraded to 'C' from 'CCC', Watch
Negative;
-- $62,000,000 class A-3F, downgraded to 'C' from 'CC', Watch
Negative;
-- $45,000,000 class A-3L, downgraded to 'C' from 'CC', Watch
Negative;
-- $50,000,000 class B-1L, downgraded to 'C' from 'CC', Watch
Negative;
-- $8,000,000 class B-2L, remains at 'C'.
TRITON CDO: Moody's Downgrades Ratings on Three Classes of Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Triton CDO IV, Limited:
-- US$26,750,000 Class B Second Priority Senior Floating Rate
Notes Due 2010 (current balance of $5,951,570), Downgraded to
Ca; previously on June 15, 2006 Downgraded to Caa2;
-- US$12,500,000 Class C-1 Mezzanine Floating Rate Notes Due
2010 (current balance of $20,257,259), Downgraded to C;
previously on January 26, 2005 Downgraded to Ca;
-- US$5,000,000 Class C-2 Mezzanine Fixed Rate Notes Due 2010
(current balance of $10,806,769), Downgraded to C; previously
on January 26, 2005 Downgraded to Ca.
According to Moody's, the rating action taken on the notes
reflects Moody's concerns about the insufficient collateralization
of the notes. In particular, the Class A/B overcollateralization
test was reported at 33.60% versus a test level of 121.00%, as
reported in the most recent trustee report dated September 30,
2009. Based on the same trustee report, the Class C
overcollateralization test was reported at 8.53% versus a test
level of 111.50%. Moody's believes that there is a high
likelihood that the issuer will likely default on its obligation
to repay the current outstanding balance of the notes at their
maturity, and that such a default will result in significant
losses to holders of the notes.
Triton CDO IV, Limited, issued on December 15, 1999, is a
collateralized bond obligation backed primarily by a portfolio of
senior unsecured bonds.
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.
TROPIC CDO: S&P Downgrades Ratings on Three Tranches
----------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on three
tranches issued by Tropic CDO V Ltd., a cash flow collateralized
debt obligation transaction collateralized predominately by bank
trust preferred securities issued by small- to mid-size bank
holding companies. S&P downgraded classes A-1La2 and A-lLb to 'D'
due to missed interest payments on the notes. The ratings on
class A-1La2 and A-lLb were previously on CreditWatch negative.
S&P lowered the rating on the class A-1La1 notes to 'CCC'; the
rating remains on CreditWatch negative. In addition, the 'CCC-'
rating on class A-2L remains on CreditWatch with negative
implications. At the same time, S&P affirmed its 'AAA' ratings on
the class P-1 and P-2 combo notes, backed by U.S. treasury strips.
S&P placed the ratings on classes A-1La1, A-lLa2, A-1Lb, and A-2L
on CreditWatch with negative implications on Sept. 17, 2009, due
to an update to S&P's global criteria for corporate cash flow
CDOs. Since that time, S&P received notice from the trustee, U.S.
Bank N.A., that the transaction had triggered an event of default
(EOD) on Oct. 22, 2009, due to missed interest payments on the
class A-1La2 and A-1Lb notes. Because the interest payments on
these two classes are nondeferrable, the missed payments caused
the transaction to trigger an EOD, according to the transaction
documents. S&P downgraded these classes to 'D' following the
missed payments.
The rating actions follow an update to the criteria S&P uses to
assess ratings assigned to CDO transactions that have triggered an
EOD and may be subject to acceleration or liquidation.
Standard & Poor's will continue to monitor the rated tranches of
the transaction and take rating actions, including CreditWatch
placements, when appropriate.
Rating Actions
Tropic CDO V Ltd.
Rating
------
Class To From
----- -- ----
A-1La1 CCC/Watch Neg BB+/Watch Neg
A-1La2 D BB-/Watch Neg
A-1Lb D B-/Watch Neg
Rating Remaining On Creditwatch Negative
Tropic CDO V Ltd.
Class Rating
----- ------
A-2L CCC-/Watch Neg
Ratings Affirmed
Tropic CDO V Ltd.
Class Rating
----- ------
P-1 combo AAA
P-2 combo AAA
TULSA HOUSING: Moody's Downgrades Ratings on 2001A Bonds to 'Ba1'
-----------------------------------------------------------------
Moody's Investors Service has downgraded $1,410,000 of outstanding
Tulsa Housing Assistance Corporation First Lien Revenue Bonds,
Refunding Series 2001A to Ba1 from Baa3. The outlook on the bonds
has been changed to negative from stable. The rating change
primarily reflects the continuing decline in debt service
coverage.
Legal Security
The bonds are a special obligation of Tulsa Housing Assistance
Corporation. Bonds are secured by revenue derived from operations
of the Murdock Villa property, Section 8 HAP payments and funds
pledged under the bond indenture. Murdock Villa is a 144-unit,
six-story apartment building located in Tulsa, intended to be
occupied by elderly and handicapped tenants.
Credit Strengths
* High physical and economic occupancy rates for the past four
fiscal years; vacancy expense constituted only 1.2% of rental
revenue in fiscal year 2008
* The existence of a Rate Stabilization Fund, which can be drawn
upon in the event of a debt service shortfall. Forty-five
thousand dollars (45,000) can be released to THAC from the rate
stabilization fund annually if the property meets a 1.05x debt
service coverage test. This coverage test was not met in fiscal
year 2007 or fiscal year 2008. The Trustee reports that the
Rate Stabilization Fund currently has approximately $288,000.
* Strong REAC score of 92b as of August 2008
* Short time until bond maturity, on July 1, 2011
Credit Weaknesses
* Moody's-adjusted debt service coverage ratios of 0.90x in fiscal
year 2008 and 1.00x in fiscal year 2007 are in line with other
Ba-rated Section 8 - subsidized credits
* Oversized principal payment at maturity intended to be funded by
the Debt Service Reserve Fund; reliance on the Debt Service
Reserve Fund to make the final debt service payment reduces the
security to bondholders that the reserve typically provides
Outlook
The outlook on the bonds has been changed to negative from stable.
Given the downward trend in the debt service coverage level and
need for the Debt Service Reserve Fund at maturity, credit
pressure on the bonds may persist in the near term.
WATCHTOWER CLO: Moody's Upgrades Ratings on Three Classes of Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by Watchtower CLO I PLC:
-- US$52,000,000 Class B Senior Notes due 2017, Upgraded to
Aaa; previously on March 4, 2009 Aa2 Placed Under Review for
Possible Downgrade;
-- US$66,000,000 Class C Deferrable Mezzanine Notes due 2017,
Upgraded to A1; previously on March 18, 2009 Downgraded to
Baa3 and Remained On Review for Possible Downgrade;
-- US$34,000,000 Class D Deferrable Mezzanine Notes due 2017,
Upgraded to Baa2; previously on March 18, 2009 Downgraded to
Ba3 and Remained On Review for Possible Downgrade.
The actions reflect updated analysis indicating that the impact of
Moody's revised assumptions on the ratings of the Class B Notes,
Class C Notes and Class D 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.
Additionally, the actions consider the positive implications of
performance in certain deal collateral quality measurements.
According to the latest trustee report, the aggregate net
outstanding portfolio collateral balance is $717 million, and the
Class A/B overcollateralization ratio is 142%. The current WARF
of 3338 is currently failing the test level of 3200, but the deal
also has a large amount of cash held as principal proceeds. In
Moody's view, the cash in conjunction with excess spread and a
large initial amount of equity in the structure counteracts the
negative impact from the revised assumption stresses and the
decline in certain measured portfolio characteristics. Moody's
also considered the implications of the early termination of the
reinvestment period by the collateral manager, which will cause
all principal proceeds in the deal to flow through the waterfall
and pay down the notes, starting with the senior note holders, at
the next payment date. Additionally, the end of the reinvestment
period prevents the issuer from obtaining exposure to riskier
assets otherwise originally permitted by the transaction documents
via currently unused or under-utilized baskets.
The upgrade actions taken on the notes incorporate Moody's revised
assumptions with respect to default probability and the
calculation of the Diversity Score. These revised assumptions are
described in the publication "Moody's Approach to Rating
Collateralized Loan Obligations," dated August 12, 2009. Other
assumptions used in Moody's CLO monitoring are described in the
publication "CLO Ratings Surveillance Brief - Second Quarter
2009," dated July 17, 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, diversity
score, and weighted average recovery rate, may be different from
the trustee's reported numbers.
Watchtower CLO I PLC, issued in April 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.
ZERMATT CBO: Moody's Downgrades Ratings on Class B Notes to 'Ca'
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of these notes issued by Zermatt CBO Limited:
-- US$51,000,000 Class B Senior Secured Fixed Rate Notes Due
2013 (current balance of $13,714,104), Downgraded to Ca;
previously on December 16, 2005 Downgraded to Caa1.
According to Moody's, the rating action taken on the notes
reflects Moody's concerns about the insufficient collateralization
of the notes. In particular, the Class B overcollateralization
test was reported at 56.90% versus a test level of 104.00%, as
reported in the most recent trustee report, dated October 7, 2009.
While the Class B Notes have delevered significantly, Moody's
believes that there is a high likelihood that the issuer will
likely default on its obligation to repay the current outstanding
balance of the notes at their maturity, and that such a default
will result in significant losses to holders of the notes.
Zermatt CBO LImited, issued on September 2, 1998, is a
collateralized bond obligation backed primarily by a portfolio of
senior unsecured bonds.
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.
* Fitch Assigns Negative Outlooks on 126 Notes From 64 Bank CDOs
----------------------------------------------------------------
Fitch Rating has assigned Negative Rating Outlooks to 126 notes
from 64 bank trust preferred collateralized debt obligations to
reflect the likelihood that increased defaults of bank TruPS over
the next one- to two-year period will exceed Fitch's previous
projections. The level of distress for regional banks that
financed through TruPS CDOs is expected to continue through 2010
because of increased bank seizures and increased "cease and
desist" activity by regulators. These Outlooks are also
reflective of concerns related to structural challenges and
unanticipated market behavior.
According to FDIC data, 99 U.S. banks have failed in 2009 at an
estimated cost of over $24.5 billion to the Deposit Insurance
Fund. This negative trend is expected to continue through 2009
and 2010 as evidenced by the FDIC's recent announcement increasing
the estimated cost of bank failures to $100 billion over the next
four years with a majority of costs expected to be incurred by the
end of 2010. Additionally, "cease and desist" orders by the FDIC
have increased from 80 in the six months prior to March 2009 to
140 in the six months since then. A significant percentage of the
banks that have failed are among underlying bank TruPS issuers,
which has contributed to the rising trend in defaults and
deferrals for TruPS CDOs.
Many bank TruPS CDOs also face structural challenges that may lead
to future rating action. Interest-rate hedging strategies
employed at the onset of the deals have moved into deep "out-of-
the-money" positions as three-month LIBOR has dropped to nearly 30
basis points. As such, TruPS CDOs owe their respective hedge
counterparties increasingly large swap payments each quarter.
Coupled with the loss of interest income from growing defaulted
and deferring TruPS, the "out-of-the-money" hedge positions have
further decreased the amount of interest available to service the
notes and excess interest to paydown senior notes in the event of
a performance test failure. Fitch is currently evaluating the
combined impact on the interest proceeds from increases to default
and deferral activity and hedging strategies on each TruPS CDO.
Following this review Fitch will assign Rating Watches to notes
where the combined loss of interest may put regular interest
payments to senior notes at risk.
Finally, TruPS CDOs have recently been subject to unsolicited
offers to purchase assets from the structure at discounts to the
par amount. The most concerning examples include deep discounts
that would cause CDOs to realize 95% losses on certain assets and
include payments to specific noteholders outside the CDO
structure. While exchanges of this sort have had limited success
to date, the existence of these offers indicates an increasing
trend of attempts to exploit ambiguities in the CDO structures.
These attempts may produce losses to the structure that do not
reflect Fitch's fundamental credit loss expectations and were not
originally contemplated in Fitch's previous analysis.
At this time the junior-most tranches in many of the TruPS CDO
structures have and are absorbing losses from defaults and
deferrals, yet Fitch believes the spill-over effect of future
increased defaults could impact the credit strength of the senior
notes. Eight tranches issued by bank TruPS CDOs remain with a
Stable Outlook as a result of their priority of payment and
significant credit enhancement to protect against future losses.
The large increase in relative credit enhancement resulted from
underlying TruPS pre-payments and excess interest diversions
paying down these notes.
Fitch assigns Rating Outlooks to bonds rated 'B' and better to
reflect the likely direction of any rating change over a one- to
two-year period. Future rating actions on these notes will be
largely driven by performance in terms of additional deferrals and
defaults of the banks underlying these transactions.
* Moody's Downgrades Ratings on Harrisburg's 1995 Bonds to 'Ba2'
----------------------------------------------------------------
Moody's Investors Service has downgraded to Ba2 from Baa2 the City
of Harrisburg's (PA) long-term general obligation bond rating,
affecting the Moody's rated 1995 Capital Appreciation Bonds,
Series A. The rating remains on watchlist for possible downgrade.
The downgrade to Ba2 reflects the city's significantly narrowed
financial position marked by the depletion of its General Fund
reserves due to the multiple debt service payments the city has
made in 2009 on the Harrisburg Authority's incinerator debt, which
the city has guaranteed with a pledge of its ad-valorem property
taxing power. The downgrade further reflects the city's non-
payment on its GO guaranty of multiple incinerator bond series in
the latter half of 2009, resulting in a technical default and the
unplanned use of multiple Debt Service Reserve Funds, which the
city has covenanted to replenish in 2010, and the activation of
Dauphin County's second guaranty for net swap payments, for which
the county currently seeks reimbursement from the authority and/or
the city. The downgrade also reflects Moody's belief that the
authority's and city's current plan to address the ongoing
incinerator problems, replenish the Debt Service Reserve Funds in
2010, and continue to pay debt service on the significant GO
guaranteed incinerator debt obligations is uncertain, and may
likely result in the city's ongoing non-payment on its GO guaranty
of the incinerator bonds. The rating also incorporates the city's
overleveraged and stagnant tax base with a notable tax exempt
component, low income and wealth levels, and a high poverty rate.
The Ba2 rating remains on watch for possible downgrade. The city
is currently in the process of drafting its 2010 budget, which
must be adopted by year end, and is expected to incorporate the
city's plans to replenish the Debt Service Reserve Funds of the
guaranteed incinerator bonds, address the incinerator's annual
deficits, fund guaranteed incinerator debt service payments in
2010, refinance the authority's substantial $35.8 million city
guaranteed working capital loan due in December 2010. The budget
must also fund the city's ongoing operations, which have
historically relied on the annual appropriation of fund balance
that is no longer available. Resolution of the Watchlist will
reflect Moody's evaluation of the city's adopted 2010 budget and
the feasibility of the proposed solutions to the aforementioned
financial challenges.
The City's Liquidity Deteriorates In 2009
Due To Poor Incinerator Performance And Unfavorable Arbitration;
Substantial Liability Remains
The Harrisburg Authority, a component unit of the city, owns both
the city's water and solid waste (incinerator) facilities, but
only operates the solid waste facility as the city operats the
water system. The authority has approximately $220 million of
city-guaranteed solid waste bonds outstanding. When including all
guaranteed debt obligations, Harrisburg's direct debt burden is an
estimated 24.7% of full valuation as of fiscal 2007, somewhat
skewed upward by the city's property tax base, which includes tax
exempt property as the state capitol and county seat. In 2003,
when the majority of the authority's debt was issued to retrofit
and upgrade the city's incinerator, Dauphin County entered into a
waste management agreement with the authority, wherein the county
agreed to direct its solid waste to the authority's incinerator in
exchange for control over rate increases charged to the haulers of
county-originated trash, except in the case of "uncontrollable
circumstances," the definition of which remains disputed. The
county's trash accounts for approximately two-thirds of the waste
processed at the incinerator, with the city's trash accounting for
the other one-third. Notably, the authority retains the ability
to raise the rates charged to haulers of city-originated trash.
The incinerator retrofit project was not completed on time and ran
over budget, resulting in the need for additional debt issued in
late 2007 to fund the final repairs, reimburse the city and county
for monies advanced to the authority, fund the 2008 debt service
payments on the city guaranteed incinerator bonds, and provide
working capital for the authority. One of the two borrowings, a
loan in the amount of $35.8 million, is due on December 15, 2010,
and the city and authority will likely have to rely on issuing
additional debt to refinance it as the city and the authority will
not have sufficient funds to retire the debt.
In 2008, the authority requested a significant $100 per ton rate
increase on county haulers (to be effective in 2009) due to
"uncontrollable circumstances," which the authority defined as the
confluence of issues related to the retrofit project. The county
denied the rate increase leading the authority and the county into
arbitration in late 2008. The arbitration ended unfavorably for
the authority as the arbitrator awarded a modest $1.58 per ton
rate increase versus the $100 per ton rate the authority
requested. As a result, the authority continued to have deficit
operations in 2009, which lead to the draw on the city GO guaranty
on the incinerator bonds to pay debt service. The city's debt
service payments on these bonds depleted its liquidity and city
officials project a very narrow year-end General Fund balance at
zero to slightly positive. The authority is expected to continue
to add to its accumulated deficit at year-end 2009.
Pending 2009 Incinerator Debt Service Payments Require
Transfer From Sewer Utility Fund
The city is currently awaiting the final city council adoption of
a resolution authorizing a one-time transfer of up to $3.2 million
of cash to the General Fund from the Sewer Enterprise Fund. The
transfer is actually a one-time administrative fee charged to the
sewer enterprise for additional costs the city has incurred
related to the sewer operations and its GO guaranteed sewer debt.
Moody's believes this transfer is likely to occur and will provide
needed liquidity.
Uncertain Plan To Replenish $10.1 Million Reserve Funds
Per the city's guaranty agreements related to the incinerator
bonds, it is required to replenish any utilized Debt Service
Reserve Funds in the subsequent fiscal year of their original use.
It is estimated that by year-end 2009, the city may need to
replenish the Debt Service Reserve Funds by as much as
$10.1 million. The city's current plan to replenish these funds
is to sell city-owned land to the parking authority (5th lien
revenue bonds rated Baa2), which currently operates multiple
parking garages on city-owned land. The lands are appraised in
the $9 million to $11 million range and the parking authority
would need to issue additional debt to finance the purchase. If
the sale is successful, the city intends to redraw down the
replenished Debt Service Reserve Funds to pay the incinerator debt
throughout 2010.
Dauphin County Litigation Outcome May Be Unfavorable
Dauphin County provides a secondary guarantee on the authority's
Resource Recovery Revenue Bonds, 2003 Series D-1, D-2, and E, as
well as their associated swaps and on the 2007 working capital
loan. The authority is currently in litigation with Dauphin
County regarding the county's request for reimbursement of the
swap payment ($776,000) it made in May 2009 after the city did not
pay on its first guaranty. The county is also requesting that the
drawn Debt Service Reserve Funds related to the outstanding county
guaranteed debt obligations be refilled by the city in 2010, as
required in the city guaranty agreement.
Long-Term Plan To Deal With Incinerator Remains Undetermined
The authority, city, and county continue to work together to
resolve the incinerator problems, but no viable solution that all
parties agree upon has been proposed and the city may revert to
selling some of its assets to address the problem in the long-
term. It remains uncertain if the county will implement future
rate increases absent new arbitration directing the county to do
so. City rate and or property tax increases appear unlikely and
asset sales in the current economic environment will be difficult.
Given the need for resolution on these factors, Moody's believes
the city will continue to face significant challenges to meeting
its obligations under the guaranty agreements in 2010. Should no
feasible resolution be outlined in the authority or the city 2010
budgets, Moody's believes the city's credit quality could further
deteriorate. Of note, the city has applied to the state's Early
Intervention Program, allowing for the development of a multi-year
financial and economic plan, but has not applied distressed city
status from the Pennsylvania Department of Community and Economic
Development under the Municipal Financial Recovery Act, also known
as the Financially Distressed Municipalities Act or Act 47. The
city does not intend to file for bankruptcy.
Key Statistics:
* 2008 Population: 47,148 (3.7% decrease since 2000)
* 2008 Full Value: $2.2 billion
* 2008 Full Value Per Capita: $47,347
* 1999 Per capital income (as % of PA and US): $15,787 (76% and
73%)
* 1999 Median family income (as % of PA and US): $29,556 (60% and
59%)
* 2000 Poverty rate: 24.6%
* Unemployment Rate (August 2009): 10.8% (8.5% for PA and 9.6% for
US)
* Direct Debt Burden: 24.7%
* Overall Debt Burden: 33.7%
* Payout of Principal (10 years): 62.6%
* 2007 General Fund balance: $14.3 million (19.9% of General Fund
revenues)
* 2007 Unreserved, undesignated General Fund balance: $3.9 million
(5.4% of General Fund revenues)
* City and city guaranteed debt outstanding as of 12/31/2007:
$567.6 million
The last rating action was on October 19, 2009, when the City of
Harrisburg's (PA) Baa2 general obligation rating was put on watch
for possible downgrade.
* Moody's Reviews Ratings on 85 Classes From Five CMBS Deals
------------------------------------------------------------
Moody's Investors Service continued a review for possible
downgrade of 85 classes from five commercial mortgage-backed
securities transactions that have exposure to the Peter Cooper
Village and Stuyvesant Town Loan. Yesterday's decision by New
York State's highest court to affirm an adverse intermediate
appeals court ruling may place significant additional financial
burden on the property sponsors in the short term, and will hinder
the property sponsor's ability to increase cash flow in the long
run. The high court's unfavorable ruling was one of the possible
outcomes considered when Moody's placed the bonds on review for
possible downgrade on July 14, 2009. Moody's maintains the review
for possible downgrade while Moody's finalize Moody's analysis.
The rating action is the result of Moody's on-going surveillance
of CMBS transactions.
The 85 classes were initially placed on review for possible
downgrade due to the significant credit uncertainty surrounding
the ultimate resolution of the PCV/ST Loan. Stagnant collateral
performance, weakening multifamily market fundamentals, and the
potential court ruling requiring a refund of past rent increases
to tenants and limiting future market rent increases prompted the
July 2009 action.
In March 2009, the Appellate Division of the New York State
Supreme Court had ruled that the property owner should not have
been deregulating apartments and then raising regulated rents to
market while receiving "J-51" tax abatements. Later, the property
owner was granted the right to appeal the decision to the New York
State Court of Appeals. On October 22, 2009, the New York Court
of Appeals, the state's highest court, upheld the decision by
Appellate Division.
The total potential rent overcharges and damages owed to tenants,
while significant, is less of a concern than the ramifications of
limited future rent increases, and, ultimately, its impact on
value and expected loss. The varying degrees of exposure to this
loan in the five CMBS transactions, along with the performance of
the remaining loans in the respective pools, will determine the
impact of Moody's rating actions.
The PCV/ST Loan represents a $3.0 billion pari passu first
mortgage spread among five CMBS deals. The loan is secured by two
adjacent multifamily apartment complexes totaling 11,230 units
located on the east side of Manhattan. The borrower purchased the
property for $5.4 billion in 2006 and planned to increase the
value through a comprehensive renovation of the property and
conversion to market rent of rent regulated units. However, the
conversion process has been slower than expected. As of October
2009, just 40% of the apartments were at market rate compared to a
projected 56% by the appraiser at the time of securitization. At
the various times of securitization, less than 30% of the units
were market rate. In addition, the softening Manhattan rental
market has contributed to lower effective rents on the market rent
units, with concessions being offered to maintain a high occupancy
rate.
At origination, a $400 million interest reserve and a $190 million
general reserve were established to cover interest shortfalls.
The reserve will most likely be depleted by the end of the year.
Moody's expects the loan to be transferred to special servicing at
the latest when the interest reserve runs out.
Moody's will continue to monitor the performance of the loan and
the impact of the current ruling. Moody's rating action is:
Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2007-C30 (19% exposure):
-- Class A-M, $540,349,000, currently rated Aaa, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class A-MFL, $250,000,000, currently rated Aaa, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class A-J, $671,798,000, currently rated A2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class B, $49,397,000, currently rated A3, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class C, $79,035,000, currently rated Baa1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class D, $69,155,000, currently rated Baa2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class E, $59,277,000, currently rated Baa3, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class F, $69,155,000, currently rated Ba1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class G, $98,794,000, currently rated Ba2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class H, $79,035,000, currently rated B1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class J, $88,914,000, currently rated B3, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class K, $79,035,000, currently rated Caa1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class L, $39,518,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class M, $19,759,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class N, $29,638,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class O, $19,758,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class P, $9,880,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class Q, $19,759,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
Moody's prior full review is summarized in a Press Release dated
February 12, 2009.
ML-CFC Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2007-5 (18% exposure)
-- Class A-M, $341,702,000, currently rated Aaa, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class AM-FL, $100,000,000, currently rated Aaa, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class A-J, $211,490,000, currently rated A2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class AJ-FL, $175,000,000, currently rated A2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class B, $77,297,000, currently rated Baa1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class C, $33,128,000, currently rated Baa2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class D, $77,298,000, currently rated Ba1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class E, $38,649,000, currently rated Ba2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class F, $55,213,000, currently rated B1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class G, $49,691,000, currently rated B3, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class H, $49,692,000, currently rated Caa1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class M, $11,042,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class P, $11,043,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
Moody's prior full review is summarized in a press release dated
February 6, 2009.
COBALT CMBS Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2007-C2 (10% exposure)
-- Class A-MFX, $221,947,000, currently rated Aaa, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class A-MFL, $20,000,000, currently rated Aaa, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class A-JFX, $102,630,000, currently rated A2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class A-JFL, $100,000,000, currently rated A2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class B, $21,171,000, currently rated A3, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class C, $27,219,000, currently rated Baa1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class D, $21,170,000, currently rated Baa2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class E, $15,122,000, currently rated Baa3, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class F, $18,146,000, currently rated Ba1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class G, $30,243,000, currently rated Ba2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class H, $24,195,000, currently rated B1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class J, $24,194,000, currently rated B2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class K, $30,244,000, currently rated Caa1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class L, $12,097,000, currently rated Caa3, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class M, $3,024,000, currently rated Caa3, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class N, $9,073,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class O, $6,049,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class P, $3,024,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class Q, $6,049,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
Moody's prior full review is summarized in a Press Release dated
February 6, 2009.
ML-CFC Commercial Mortgage Trust Commercial Mortgage Pass-Through
Certificates, Series 2007-6 (9% exposure)
-- Class AM, $214,593,000, currently rated Aaa, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class AJ, $107,403,000, currently rated A2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class AJ-FL, $75,000,000, currently rated A2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class B, $42,919,000, currently rated Baa1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class C, $16,094,000, currently rated Baa2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class D, $34,872,000, currently rated Ba1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class E, $18,776,000, currently rated Ba2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class F, $24,142,000, currently rated B1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class G, $24,142,000, currently rated B3, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class H, $26,824,000, currently rated Caa1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class J, $5,365,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class K, $5,365,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class L, $5,364,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class M, $5,365,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class N, $5,365,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class P, $5,365,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
Moody's prior full review is summarized in a Press Release dated
February 10, 2009.
Wachovia Bank Commercial Mortgage Trust, Commercial Pass-Through
Certificates, Series 2007-C31 (4% exposure)
-- Class A-M, $584,547,000, currently rated Aaa, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class A-J, $460,331,000, currently rated A2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class B, $36,534,000, currently rated A3, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class C, $73,068,000, currently rated Baa1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class D, $73,069,000, currently rated Baa2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class E, $29,227,000, currently rated Baa3, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class F, $51,148,000, currently rated Ba1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class G, $58,454,000, currently rated Ba2, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class H, $80,376,000, currently rated B1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class J, $51,147,000, currently rated B3, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class K, $65,762,000, currently rated Caa1, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class L, $29,227,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class M, $14,614,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class N, $21,921,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class O, $14,614,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class P, $14,613,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class Q, $14,614,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class S, $7,306,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
-- Class T, $14,614,000, currently rated Ca, on review for
possible downgrade; previously placed on review for downgrade
on 7/14/2009
Moody's prior full review is summarized in a Press Release dated
February 11, 2009.
* S&P Downgrades Ratings on 121 Classes From 40 RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 121
classes from 40 residential mortgage-backed securities
transactions backed by U.S. subprime mortgage loan collateral
issued in 2002 and 2003. S&P removed two of the lowered ratings
from CreditWatch with negative implications. S&P also downgraded
one of these classes to 'D'. In addition, S&P affirmed its
ratings on 97 classes from 32 of the downgraded transactions, as
well as two additional deals and removed one of the affirmed
ratings from CreditWatch negative.
The downgrades reflect S&P's opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings, given S&P's current projected losses.
S&P downgraded class M-4 from ACE Securities Corp. Home Equity
Loan Trust Series 2003-TC1 to 'D' because the affected class has
consistently sustained interest shortfalls during previous
remittance periods.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. In order to
maintain a 'B' rating, S&P assessed whether, in S&P's view, a
class could absorb the base-case loss assumptions S&P used in its
analysis. In order to maintain a rating higher than 'B', S&P
assessed whether the class could withstand losses exceeding S&P's
base-case loss assumptions at a percentage specific to each rating
category, up to 150% for a 'AAA' rating. For example, in general,
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. Each class with an affirmed 'AAA'
rating can, in S&P's view, withstand approximately 150% of S&P's
base-case loss assumptions under its analysis.
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. In addition, some classes also benefit from
overcollateralization (prior to its depletion) and excess spread.
The underlying pool of loans backing these transactions consist of
fixed- and adjustable-rate U.S. subprime mortgage loans that are
secured by first and second liens on one- to four-family
residential properties.
Rating Actions
ABFC 2003-AHL1 Trust
Series 2003-AHL1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 04542BCM2 A- AAA
M-3 04542BCN0 B- BBB+
M-4 04542BCP5 CC BB
M-5 04542BDA7 CC CCC
ABFC 2003-WF1 Trust
Series 2003-WF1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 04542BCF7 A- A+
ABFS Mortgage Loan Trust 2002-4
Series 2002-4
Rating
------
Class CUSIP To From
----- ----- -- ----
A 000759CZ1 AAA AAA/Watch Neg
M-1 000759DB3 BBB+ AA/Watch Neg
M-2 000759DC1 CC A/Watch Neg
ACE Securities Corp. Home Equity Loan Trust, Series 2003-TC1
Series 2003-TC1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 004421CA9 CC A
M-3 004421CB7 CC A-
M-4 004421CC5 D CCC
Ameriquest Mortgage Securities Inc.
Series 2002-D
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 03072SEB7 BBB A
M-2 03072SEC5 CC BBB
Ameriquest Mortgage Securities Inc.
Series 2003-AR1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-4 03072SEM3 CCC BBB-
Ameriquest Mortgage Securities Inc.
Series 2003-2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 03072SES0 AA AA+
M-2 03072SET8 CCC B+
Ameriquest Mortgage Securities Inc.
Series 2003-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 03072SEY7 BBB AA+
M-2 03072SEZ4 CCC BBB
Ameriquest Mortgage Securities Inc.
Series 2003-6
Rating
------
Class CUSIP To From
----- ----- -- ----
M-5 03072SGT6 CC CCC
Argent Securities Inc.
Series 2003-W3
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 040104BG5 A- A
M-3 040104BH3 BB- A-
M-4 040104BJ9 CCC BBB+
M-5 040104BK6 CC BB-
MV-6 040104BL4 CC CCC
MF-6 040104BM2 CC CCC
Asset Backed Securities Corporation Home Equity Loan Trust
Series 2003-HE2
Rating
------
Class CUSIP To From
----- ----- -- ----
M4 04541GDV1 B- BBB
M5 04541GDW9 CC B
CDC Mortgage Capital Trust 2003-HE2
Series 2003-HE2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 12506YBF5 CC BB
Centex Home Equity Loan Trust 2002-D
Series 2002-D
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 152314GD6 AA- AA+
M-2 152314GE4 CC A
Centex Home Equity Loan Trust 2003-A
Series 2003-A
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 152314GT1 B- BBB+
B 152314GU8 CC BBB
Centex Home Equity Loan Trust 2003-B
Series 2003-B
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 152314HE3 BBB- A
M-3 152314HF0 CC B
B 152314HG8 CC CCC
Chase Funding Trust, Series 2003-2
Series 2003-2
Rating
------
Class CUSIP To From
----- ----- -- ----
IM-1 161546ES1 A+ AA
IM-2 161546ET9 CCC A
IB 161546EU6 CC BB
CitiFinancial Mortgage Securities Inc.
Series 2003-1
Rating
------
Class CUSIP To From
----- ----- -- ----
MF-3 17306UAV0 CC BBB
MV-3 CCC BBB
MF-4 17306UAW8 CC BBB-
Citigroup Home Equity Loan Trust Series 2003-HE1
Series 2003-HE1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 79549AXK0 AA AA+
M-3 79549AXL8 B- A+
M-4 79549AXM6 CCC BBB
M-5 79549AXN4 CC CCC
Equity One Mortgage Pass-Through Trust 2003-1
Series 2003-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 294751BX9 BBB+ AA
M-2 294751BY7 CCC A
B 294751BZ4 CC BBB
Fremont Home Loan Trust 2003-1
Series 2003-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 35729PAS9 A+ AA
M-2 35729PAT7 B- BBB
M-4 35729PAV2 CC B+
M-5 35729PAW0 CC B
M-3 35729PAU4 CCC BB
GSAMP Trust 2003-HE2
Series 2003-HE2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 36228FVV5 BBB AA
M-3 36228FVW3 B+ A-
M-4 36228FVX1 CCC BB
B-1 36228FVY9 CC BB-
GSAMP Trust 2003-NC1
Series 2003-NC1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 36228FMC7 CC CCC
Home Equity Asset Trust 2003-1
Series 2003-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 22541NZD4 A AA
M-2 22541NZE2 B A+
M-3 22541NZF9 CCC BBB-
B-1 22541NZG7 CC CCC
Home Equity Asset Trust 2003-3
Series 2003-3
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 22541N3S6 AA- AA
M-2 22541N3T4 CC BB-
M-3 22541N5J4 CC B-
Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2003-A
Series SPMD2003-A
Rating
------
Class CUSIP To From
----- ----- -- ----
MF-1 456606DX7 B- AA
MF-2 456606DY5 CCC A
BF 456606DZ2 CC CCC
MV-1 456606EC2 BBB+ A
MV-2 456606ED0 B- BB-
MV-3 456606EE8 CCC B+
MV-4 456606EF5 CC B
MV-5 456606EG3 CC CCC
BV 456606EH1 CC CCC
Long Beach Mortgage Loan Trust 2003-3
Series 2003-3
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 542514EA8 BBB AA
M-2 542514EB6 CC B
Long Beach Mortgage Loan Trust 2003-4
Series 2003-4
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 542514EJ9 B+ A
M-3 542514EK6 B- BBB-
M-4A 542514EL4 CC BB
M4-F 542514EM2 CC BB
M-5A 542514EN0 CC B
M-5F 542514EP5 CC B
M-6 542514EQ3 CC CCC
Morgan Stanley ABS Capital I Inc. Trust 2002-NC6
Series 2002-NC6
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 61746RAG6 BBB A
M-2 61746RAH4 CC B
Morgan Stanley ABS Capital I Inc. Trust 2003-HE2
Series 2003-HE2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 61746RDB4 BBB+ A
M-3 61746RDC2 B+ A-
B-1 61746RDD0 B- BBB+
B-2 61746RDE8 CC BB
B-3 61746RDF5 CC B
Morgan Stanley ABS Capital I Inc. Trust 2003-NC6
Series 2003-NC6
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 61746RBP5 B- B
B-2 61746RBQ3 CC CCC
Morgan Stanley ABS Capital I Inc. Trust 2003-NC7
Series 2003-NC7
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 61746RCT6 BB- BB
B-1 61746RCU3 CC B
B-2 61746RCV1 CC CCC
Morgan Stanley Dean Witter Capital I Inc. Trust 2003-NC3
Series 2003-NC3
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 61745MPN7 CCC BB
M-3 61745MPP2 CC B
B-1 61745MPQ0 CC CCC
B-2 61745MPR8 CC CCC
Morgan Stanley Dean Witter Capital I Inc. Trust 2003-NC4
Series 2003-NC4
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 61746WF62 BBB- A
M-3 61746WF70 B- BBB-
B-1 61746WF88 CC B
B-2 61746WF96 CC CCC
B-3 61746WG20 CC CCC
New Century Home Equity Loan Trust, Series 2003-4
Series 2003-4
Rating
------
Class CUSIP To From
----- ----- -- ----
M-6 64352VDQ1 B+ BBB-
RASC Series 2003-KS2 Trust
Series 2003-KS2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-I-1 76110WQT6 A AA
M-I-2 76110WQU3 CCC BBB+
M-I-3 76110WQV1 CC BB-
Saxon Asset Securities Trust 2003-1
Series 2003-1
Rating
------
Class CUSIP To From
----- ----- -- ----
BF 805564NE7 CC BBB
BV 805564NF4 CC BBB
Saxon Asset Securities Trust 2003-2
Series 2003-2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 805564NT4 CCC BBB+
B 805564NU1 CC BBB
Saxon Asset Securities Trust 2003-3
Series 2003-3
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 805564PF2 A- A
M-3 805564PG0 B A-
M-4 805564PH8 CCC BBB+
M-5 805564PJ4 CCC BBB
M-6 805564PK1 CC BBB-
Structured Asset Securities Corp.
Series 2003-BC2
Rating
------
Class CUSIP To From
----- ----- -- ----
M2 86359APZ0 B+ A
M3 86359AQA4 CCC B
M4 86359AQB2 CC CCC
Terwin Mortgage Trust, Series TMTS 2003-2HE
Series TMTS2003-2HE
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 881561AT1 A- AA
B 881561AU8 B- A-
Ratings Affirmed
ABFC 2003-AHL1 Trust
Series 2003-AHL1
Class CUSIP Rating
----- ----- ------
AI 04542BCJ9 AAA
M-1 04542BCL4 AAA
ABFC 2003-WF1 Trust
Series 2003-WF1
Class CUSIP Rating
----- ----- ------
A-2 04542BCD2 AAA
M-1 04542BCE0 AA+
M-3 04542BCG5 CCC
ACE Securities Corp. Home Equity Loan Trust, Series 2003-TC1
Series 2003-TC1
Class CUSIP Rating
----- ----- ------
M-1 004421BZ5 AA+
American General Mortgage Loan Trust 2003-1
Series 2003-1
Class CUSIP Rating
----- ----- ------
A-3 02639MAC0 AAA
M-1 02639MAD8 AA
M-2 02639MAE6 A
Ameriquest Mortgage Securities Inc.
Series 2003-AR1
Class CUSIP Rating
----- ----- ------
M-2 03072SEK7 A
M-3 03072SEL5 BBB
Ameriquest Mortgage Securities Inc.
Series 2003-6
Class CUSIP Rating
----- ----- ------
M-2 03072SGQ2 A
M-3 03072SGR0 A-
M-4 03072SGS8 BBB+
Argent Securities Inc.
Series 2003-W3
Class CUSIP Rating
----- ----- ------
M-1 040104BF7 AA
Asset Backed Securities Corporation Home Equity Loan Trust
Series 2003-HE2
Class CUSIP Rating
----- ----- ------
M1 04541GDS8 AA
M2 04541GDT6 A
M3 04541GDU3 A-
CDC Mortgage Capital Trust 2003-HE2
Series 2003-HE2
Class CUSIP Rating
----- ----- ------
M-1 12506YBE8 AA
Centex Home Equity Loan Trust 2002-D
Series 2002-D
Class CUSIP Rating
----- ----- ------
AF-4 152314FZ8 AAA
AF-5 152314GA2 AAA
AF-6 152314GB0 AAA
Centex Home Equity Loan Trust 2003-A
Series 2003-A
Class CUSIP Rating
----- ----- ------
AF-4 152314GL8 AAA
AF-5 152314GM6 AAA
AF-6 152314GN4 AAA
M-1 152314GR5 AA+
M-2 152314GS3 A
Centex Home Equity Loan Trust 2003-B
Series 2003-B
Class CUSIP Rating
----- ----- ------
AF-4 152314GZ7 AAA
AF-5 152314HA1 AAA
AF-6 152314HB9 AAA
M-1 152314HD5 AA+
Chase Funding Trust, Series 2003-2
Series 2003-2
Class CUSIP Rating
----- ----- ------
IA-5 161546EQ5 AAA
IA-6 161546ER3 AAA
IIA-2 161546EW2 AAA
IIM-1 161546EX0 B
IIM-2 161546EY8 CCC
CitiFinancial Mortgage Securities Inc.
Series 2003-1
Class CUSIP Rating
----- ----- ------
AF-4 17306UAP3 AAA
AF-5 17306UAQ1 AAA
AF-PT 17306UAR9 AAA
MF-1 17306UAT5 AA
MF-2 17306UAU2 A
Citigroup Home Equity Loan Trust Series 2003-HE1
Series 2003-HE1
Class CUSIP Rating
----- ----- ------
A 79549AXH7 AAA
M-1 79549AXJ3 AAA
Equity One Mortgage Pass-Through Trust 2003-1
Series 2003-1
Class CUSIP Rating
----- ----- ------
AV-1A 294751BW1 AAA
AV-1B 294751CA8 AAA
GSAMP Trust 2003-HE2
Series 2003-HE2
Class CUSIP Rating
----- ----- ------
A-1A 36228FVQ6 AAA
A-1B 36228FVR4 AAA
A-2 36228FVS2 AAA
A-3A 36228FVT0 AAA
A-3C 36228FWE2 AAA
M-1 36228FVU7 AA+
GSAMP Trust 2003-NC1
Series 2003-NC1
Class CUSIP Rating
----- ----- ------
M-1 36228FLX2 AAA
M-2 36228FLY0 A+
M-3 36228FMA1 A-
B-1 36228FMB9 B-
Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2003-A
Series SPMD2003-A
Class CUSIP Rating
----- ----- ------
AF-4 456606DV1 AAA
AF-5 456606DW9 AAA
AV-2 456606EB4 AAA
Long Beach Mortgage Loan Trust 2003-4
Series 2003-4
Class CUSIP Rating
----- ----- ------
AV-1 542514EE0 AAA
M-1 542514EH3 AA
Morgan Stanley ABS Capital I Inc. Trust 2003-HE2
Series 2003-HE2
Class CUSIP Rating
----- ----- ------
M-1 61746RDA6 AA
Morgan Stanley ABS Capital I Inc. Trust 2003-NC6
Series 2003-NC6
Class CUSIP Rating
----- ----- ------
M-1 61746RBL4 AA+
M-2 61746RBM2 A
M-3 61746RBN0 BB
Morgan Stanley ABS Capital I Inc. Trust 2003-NC7
Series 2003-NC7
Class CUSIP Rating
----- ----- ------
M-1 61746RCR0 AA+
M-2 61746RCS8 A
Morgan Stanley Dean Witter Capital I Inc. Trust 2003-NC3
Series 2003-NC3
Class CUSIP Rating
----- ----- ------
M-1 61745MPM9 A
Morgan Stanley Dean Witter Capital I Inc. Trust 2003-NC4
Series 2003-NC4
Class CUSIP Rating
----- ----- ------
M-1 61746WF54 AA+
New Century Home Equity Loan Trust, Series 2003-4
Series 2003-4
Class CUSIP Rating
----- ----- ------
M-1 64352VDK4 AA
M-2 64352VDL2 A
M-3 64352VDM0 A-
M-4 64352VDN8 BBB+
M-5 64352VDP3 BBB
RASC Series 2003-KS2 Trust
Series 2003-KS2
Class CUSIP Rating
----- ----- ------
A-I-5 76110WQQ2 AAA
A-I-6 76110WQR0 AAA
Saxon Asset Securities Trust 2003-1
Series 2003-1
Class CUSIP Rating
----- ----- ------
AF-5 805564MT5 AAA
AF-6 805564MU2 AAA
AF-7 805564MV0 AAA
M-1 805564NB3 AA
M-2 805564NC1 A
M-3 805564ND9 BBB+
Saxon Asset Securities Trust 2003-2
Series 2003-2
Class CUSIP Rating
----- ----- ------
AF-5 805564NL1 AAA
AF-6 805564NM9 AAA
M-1 805564NR8 AA
M-2 805564NS6 A
Saxon Asset Securities Trust 2003-3
Series 2003-3
Class CUSIP Rating
----- ----- ------
AF-5 805564PA3 AAA
AF-6 805564PB1 AAA
AV-2 805564PD7 AAA
M-1 805564PE5 AA
Structured Asset Securities Corp.
Series 2003-BC2
Class CUSIP Rating
----- ----- ------
M1 86359APY3 AA
Structured Asset Securities Corp.
Series 2003-AM1
Class CUSIP Rating
----- ----- ------
M1 86359ATL7 AA
M2 86359ATM5 A
M3 86359ATN3 A-
B2 86359ATS2 BB+
Terwin Mortgage Trust, Series TMTS 2003-2HE
Series TMTS2003-2HE
Class CUSIP Rating
----- ----- ------
A 881561AR5 AAA
M-1 881561AS3 AAA
* S&P Downgrades Ratings on 130 Classes From 10 RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 130
classes from 10 residential mortgage-backed securities
transactions backed by U.S. subprime, Alternative-A, and prime
jumbo mortgage loan collateral issued from 2004 through 2007. S&P
removed 36 of the lowered ratings from CreditWatch with negative
implications. S&P downgraded two of the affected classes to 'D'.
In addition, S&P affirmed its ratings on 46 classes from five of
the downgraded transactions and removed four of the affirmed
ratings from CreditWatch negative.
Standard & Poor's has established loss projections for each
transaction rated in 2005, 2006, and 2007. S&P derived these
losses using the criteria that S&P outlined in "Standard & Poor's
Revises U.S. Subprime And Alternative-A RMBS Loss Assumptions For
Transactions Issued In 2005, 2006, And 2007," published July 6,
2009, as well as in "S&P Provides Revised Loss Projections For
U.S. Prime Jumbo RMBS Transactions Issued in 2005, 2006, And
2007," published June 17, 2009. S&P's lifetime projected losses
have changed for several of the transactions in this release:
Orig. bal. Lifetime
Transaction (mil. $) exp. loss (%)
----------- ---------- -------------
Bear Stearns ABS I Trust 2005-AC5 375 13.25
Lehman Mortgage Trust 2006-1 (Structure 3) 223 7.74
Lehman Mortgage Trust 2006-1 (Structure 11) 284 16.78
WMALT Pass-Through 2006-5 Trust (Structure 5) 780 17.67
SASCO Mortgage Loan Trust 2007-TC1 179 13.38
The downgrades reflect S&P's opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings, given S&P's current projected losses.
S&P downgraded classes B3(1-2) and B4(1-2) from Lehman Mortgage
Trust 2006-1 to 'D' because of principal write-downs on these
classes during the recent remittance period.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. In order to
maintain a 'B' rating on a class, S&P assessed whether, in its
view, a class could absorb the base-case loss assumptions S&P used
in its analysis. In order to maintain a rating higher than 'B',
S&P assessed whether the class could withstand losses exceeding
S&P's base-case loss assumptions at a percentage specific to each
rating category, up to 150% for an 'AAA' rating. For example, in
general, 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. Each class with an
affirmed 'AAA' rating can, in S&P's view, withstand approximately
150% of its base-case loss assumptions under its analysis.
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 (or classes),
interest shortfalls may occur if a group collateral balance 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 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 risk because 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. In addition, some classes also benefit from
overcollateralization (prior to its depletion) and excess spread.
The underlying pool of loans backing these transactions consists
of fixed- and adjustable-rate U.S. subprime, Alt-A, and prime
jumbo mortgage loans that are secured by first and second liens on
one- to four-family residential properties.
Rating Actions
Bear Stearns Asset Backed Securities I Trust 2005-AC5
Series 2005-AC5
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 073879ZW1 B AAA
I-A-2 073879ZX9 B AAA
I-A-3 073879ZY7 B AAA
I-A-4 073879ZZ4 B AAA
I-A-5 073879A24 B AAA
I-M-1 073879A32 CCC AA
I-M-2 073879A40 CCC A/Watch Neg
I-M-3 073879A57 CC A-/Watch Neg
I-B-1 073879A65 CC BB+/Watch Neg
I-B-2 073879A73 CC B/Watch Neg
I-B-3 073879A81 CC CCC
II-A-1 073879A99 CCC AAA/Watch Neg
II-A-2 073879B23 CCC AAA/Watch Neg
II-A-3 073879B31 CCC AAA/Watch Neg
II-A-4 073879B49 CCC AAA
II-X-1 073879B56 CCC AAA
II-X-2 073879B64 CCC AAA
II-PO 073879B72 CCC AAA/Watch Neg
Citigroup Mortgage Loan Trust Inc.
Series 2005-HE4
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 17307GP69 CC AA+
M-2 17307GP77 CC AA
M-3 17307GP85 CC A
M-4 17307GP93 CC BBB
M-5 17307GQ27 CC B
M-6 17307GQ35 CC CCC
First Horizon Alternative Mortgage Securities Trust 2004-FA2
Series 2004-FA2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 32051GDH5 CCC AA
B-2 32051GDJ1 CC A
B-3 32051GDK8 CC BBB
B-4 32051GDL6 CC BB
HarborView Mortgage Loan Trust 2005-8
Series 2005-8
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1A 41161PQS5 B+ AAA/Watch Neg
1-A1B 41161PQT3 CCC AAA/Watch Neg
1-A2A 41161PQU0 BBB+ AAA
1-A2B 41161PQV8 B- AAA/Watch Neg
1-A2C 41161PQW6 CCC AAA/Watch Neg
1-X 41161PQX4 BBB+ AAA
1-PO 41161PQY2 CCC AAA/Watch Neg
2-A1A 41161PRN5 CCC AAA
2-A1B 41161PRP0 CCC AAA/Watch Neg
2-A2A 41161PRQ8 B+ AAA
2-A2B 41161PRR6 CCC AAA/Watch Neg
2-A2 41161PRS4 CCC AAA/Watch Neg
2-A3 41161PRT2 CCC AAA/Watch Neg
2-XA1 41161PRU9 CCC AAA
2-XA2 41161PRV7 B+ AAA
2-XB 41161PRW5 CCC AAA
2-PO1 41161PRX3 CCC AAA/Watch Neg
2-PO2 41161PRY1 CCC AAA/Watch Neg
2-POB 41161PRZ8 CC AAA/Watch Neg
1-B1 41161PRA3 CCC AA+/Watch Neg
1-B2 41161PRB1 CCC BBB/Watch Neg
1-B3 41161PRC9 CC B/Watch Neg
2-B1 41161PSB0 CCC BB/Watch Neg
1-B4 41161PRD7 CC CCC
1-B5 41161PRE5 CC CCC
2-B2 41161PSC8 CC CCC
1-B6 41161PRF2 CC CCC
1-B7 41161PRG0 CC CCC
1-B8 41161PRH8 CC CCC
Harborview Mortgage Loan Trust 2006-CB1
Series 2006-CB1
Rating
------
Class CUSIP To From
----- ----- -- ----
2-A1A 41161PF65 CCC BBB
2-A1B 41161PF73 CCC BBB
2-A1C 41161PF81 CCC BBB
2-A2 41161PE41 CC B
2-X 41161PE58 CCC BBB
2-PO 41161PE66 CC B
2-B1 41161PE82 CC CCC
Lehman Mortgage Trust 2006-1
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 52520MEX7 CC AAA/Watch Neg
1-A2 52520MEY5 CC AAA
1-A3 52520MEZ2 CC AAA/Watch Neg
1-A4 52520MFA6 CCC AAA/Watch Neg
1-A5 52520MFB4 CCC AAA/Watch Neg
1-A6 52520MFC2 CC AAA/Watch Neg
2-A1 52520MFE8 CCC AAA/Watch Neg
2-A2 52520MFF5 CC AAA/Watch Neg
3-A1 52520MFG3 B AAA
3-A2 52520MFH1 B AAA
3-A3 52520MFJ7 CCC BB
3-A4 52520MFK4 B AAA
3-A5 52520MFL2 B AAA
3-A6 52520MFM0 CCC BB
4-A1 52520MFN8 B+ AAA
4-A2 52520MFP3 B AAA
AP 52520MFQ1 CC AAA/Watch Neg
AX 52520MFR9 CCC AAA
PAX 52520MFS7 CCC AAA
B1(1-2) 52520MFT5 CC AA/Watch Neg
3B1 52520MGD9 CC CCC
B2(1-2) 52520MFU2 CC A/Watch Neg
B3(1-2) 52520MFV0 D BBB/Watch Neg
B4(1-2) 52520MFX6 D BBB-/Watch Neg
Structured Asset Mortgage Investments II Trust 2007-AR7
Series 2007-AR7
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 86364KAA2 CCC BBB+
I-A-2 86364KAB0 CCC BB-
I-X-1 86364KAC8 CCC BBB+
I-X-2 86364KAD6 CCC BBB+
II-A-1 86364KAE4 CCC BB-
II-X-1 86364KAF1 CCC BB-
III-A-2 86364KAH7 CCC B
III-X-2 86364KAK0 CCC B
A-4 86364KAL8 CC B
X-4 86364KAM6 CCC B
B-1 86364KAN4 CC CCC
B-2 86364KAP9 CC CCC
B-3 86364KAQ7 CC CCC
B-4 86364KAR5 CC CCC
B-5 86364KAS3 CC CCC
B-6 86364KAT1 CC CCC
Structured Asset Securities Corp. Mortgage Loan Trust 2007-TC1
Series 2007-TC1
Rating
------
Class CUSIP To From
----- ----- -- ----
A 86364GAA1 AAA AAA/Watch Neg
A-IO 86364GAB9 AAA AAA/Watch Neg
M1 86364GAC7 A+ A+/Watch Neg
M2 86364GAD5 BBB BBB/Watch Neg
B 86364GAH6 CC CCC
WaMu Mortgage Pass-Through Certificates Series 2006-AR19 Trust
Series 2006-AR19
Rating
------
Class CUSIP To From
----- ----- -- ----
1A 933638AA6 CCC AAA
1A-1A 933638AB4 CCC AAA
1A-1B 933638AC2 CCC AAA
1X-PPP 933638AG3 CCC AAA
1X-2 933638AH1 CCC AAA
2A 933638AD0 CCC AAA
2A-1B 933638AE8 CCC AAA
2X-PPP 933638AJ7 CCC AAA
CA-1C 933638AF5 CC CCC
B-1 933638AK4 CC CCC
B-2 933638AL2 CC CCC
B-3 933638AM0 CC CCC
B-4 933638AN8 CC CCC
B-5 933638AP3 CC CCC
B-6 933638AQ1 CC CCC
Washington Mutual Mortgage Pass-Through Certificates WMALT
Series 2006-5
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-2 93934NAB1 CCC B-
1-A-8 93934NAH8 CCC B
1-A-10 93934NAK1 CCC B
1-A-12 93934NAM7 CCC B
2-CB-6 93934NAV7 CCC B-
2-CB-7 93934NAW5 CCC B-
3-M-1 93935BAK6 CC CCC
4-A-1 93934NAZ8 CCC B-
C-X 93934NBB0 CCC B
3-A-2 93935BAC4 CCC BB
Ratings Affirmed
Citigroup Mortgage Loan Trust Inc.
Series 2005-HE4
Class CUSIP Rating
----- ----- ------
A-1 17307GQ84 AAA
A-2C 17307GP44 AAA
A-2D 17307GP51 AAA
First Horizon Alternative Mortgage Securities Trust 2004-FA2
Series 2004-FA2
Class CUSIP Rating
----- ----- ------
I-A1 32051GDA0 AAA
I-A-PO 32051GDB8 AAA
II-A-1 32051GDD4 AAA
II-A-PO 32051GDE2 AAA
III-A-1 32051GDF9 AAA
III-A-PO 32051GDG7 AAA
Structured Asset Mortgage Investments II Trust 2007-AR7
Series 2007-AR7
Class CUSIP Rating
----- ----- ------
III-A-1 86364KAG9 B
III-X-1 86364KAJ3 B
Structured Asset Securities Corp. Mortgage Loan Trust 2007-TC1
Series 2007-TC1
Class CUSIP Rating
----- ----- ------
M3 86364GAE3 CCC
M4 86364GAF0 CCC
M5 86364GAG8 CCC
Washington Mutual Mortgage Pass-Through Certificates WMALT
Series 2006-5
Class CUSIP Rating
----- ----- ------
1-A-1 93934NAA3 CCC
1-A-3 93934NAC9 CCC
1-A-4 93934NAD7 CCC
1-A-5 93934NAE5 CCC
1-A-6 93934NAF2 CCC
1-A-7 93934NAG0 CCC
1-A-9 93934NAJ4 CCC
1-A-11 93934NAL9 CCC
1-A-13 93934NAN5 CCC
1-A-14 93934NAP0 CCC
2-CB-1 93934NAQ8 CCC
2-CB-2 93934NAR6 CCC
2-CB-3 93934NAS4 CCC
2-CB-4 93934NAT2 CCC
2-CB-5 93934NAU9 CCC
2-CB-8 93934NAX3 CCC
3-A-7 93935BAJ9 CCC
2-CB-9 93934NAY1 CCC
2-CB-P 93934NBD6 CCC
4-A-2 93934NBA2 CCC
C-P 93934NBC8 CCC
3-A-1A 93935BAA8 A
3-A-1B 93935BAB6 A
3-A-3 93935BAD2 CCC
3-A-4A 93935BAE0 CCC
3-A-4B 93935BAF7 CCC
3-A-5 93935BAG5 CCC
3-A-6 93935BAH3 CCC
* S&P Downgrades Ratings on 146 Classes From 44 RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 146
classes from 44 U.S. residential mortgage-backed securities
transactions backed primarily by scratch-and-dent mortgage loan
collateral issued in 2001 through 2007. S&P removed 47 of the
lowered ratings from CreditWatch with negative implications.
Additionally, S&P affirmed its ratings on 140 classes from 35
transactions and removed 38 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 (REO) pipelines, as well as
S&P's projection of future defaults. S&P also incorporated
cumulative losses to date in S&P's analysis when assessing rating
outcomes.
S&P derived its loss assumptions using its criteria listed in the
"Related Research" section below. 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 its loss
severity assumptions. Furthermore, S&P adjusted its loss
expectations for each deal based on upward trends in
delinquencies.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. In order to
maintain a 'B' rating, S&P assessed whether, in its view, a class
could absorb the base-case loss assumptions S&P used in its
analysis. In order to maintain a rating higher than 'B', S&P
assessed whether the class could withstand losses exceeding the
base-case loss assumptions at a percentage specific to each rating
category, up to 150% for a 'AAA' rating. For example, in general,
S&P would assess whether one class could withstand approximately
110% of its 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. Each class with an affirmed 'AAA' rating can, in
its view, withstand approximately 150% of its base-case loss
assumptions under S&P's analysis.
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 reperforming, outside-the-guidelines, and
document-deficient first-lien fixed- and adjustable-rate
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
C-BASS Mortgage Loan Asset Backed Certificates, Series 2002-CB5
Series 2002-CB5
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 12489WFS8 AAA AAA/Watch Neg
M-2 12489WFT6 BB BBB/Watch Neg
B-1 12489WFU3 CC CCC
ACE Securities Corp. Home Equity Loan Trust, Series 2006-SD2
Series 2006-SD2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 00442MAB3 CCC AA+
M-2 00442MAC1 CC CCC
Bayview Financial Mortgage Pass-Through Trust, Series 2005-B
Series 2005-B
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A5 07325NAS1 AAA AAA/Watch Neg
B-2 07325NBD3 BB BBB
Bayview Financial Mortgage Pass-Through Trust, Series 2005-D
Series 2005-D
Rating
------
Class CUSIP To From
----- ----- -- ----
A-F2 07325NBZ4 AAA AAA/Watch Neg
A-F3 07325NCA8 AAA AAA/Watch Neg
A-IO 07325NBW1 AAA AAA/Watch Neg
M-1 07325NCD2 AA+ AA+/Watch Neg
M-2 07325NCE0 AA AA/Watch Neg
M-3 07325NCF7 AA- AA-/Watch Neg
M-4 07325NCG5 A+ A+/Watch Neg
M-5 07325NCH3 BBB A/Watch Neg
M-6 07325NCJ9 BB A-/Watch Neg
B-1 07325NCK6 B BBB+/Watch Neg
B-2 07325NCL4 CCC BB/Watch Neg
A-F4 07325NCB6 AAA AAA/Watch Neg
Bear Stearns Asset Backed Securities Trust 2006-1
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 07384YUU8 B AA
M-2 07384YUV6 CCC AA-
M-3 07384YUW4 CCC A
M-4 07384YUX2 CC A-
M-5 07384YUY0 CC BBB+
M-6 07384YUZ7 CC BBB
M-7 07384YVA1 CC BBB-
Bear Stearns Asset Backed Securities Trust 2006-SD2
Series 2006-SD2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 07388EAA4 BB AAA
A-3 07388EAK2 B AAA
M-1 07388EAB2 CCC AA
M-2 07388EAC0 CCC A
M-3 07388EAD8 CC BBB
M-4 07388EAE6 CC BBB-
Bear Stearns Asset Backed Securities Trust 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 073860AA6 B- AAA/Watch Neg
A-2 073860AB4 B- AAA/Watch Neg
A-3 073860AC2 B- AAA/Watch Neg
M-1 073860AD0 CCC AA/Watch Neg
M-2 073860AE8 CCC AA-/Watch Neg
M-3 073860AF5 CC CCC
Bear Stearns Asset Backed Securities Trust 2007-2
Series 2007-2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 07400TAA5 B AAA
A-2 07400TAB3 CCC AA
A-3 07400TAC1 CCC A
M-1 07400TAD9 CCC B
M-3 07400TAF4 CC CCC
M-4 07400TAG2 CC CCC
M-5 07400TAH0 CC CCC
Citigroup Mortgage Loan Trust Inc.
Series 2006-SHL1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 17309UAB1 A AA+
M-2 17309UAC9 CCC AA-
M-3 17309UAD7 CCC A
M-4 17309UAE5 CCC A-
M-5 17309UAF2 CCC BBB
M-6 17309UAG0 CC BBB-
Citigroup Mortgage Loan Trust Inc.
Series 2007-SHL1
Rating
------
Class CUSIP To From
----- ----- -- ----
A 17312WAA4 B AAA
M-1 17312WAB2 CCC AA
M-2 17312WAC0 CCC A
M-3 17312WAD8 CC A-
M-4 17312WAE6 CC BBB+
M-5 17312WAF3 CC BBB
M-6 17312WAG1 CC BBB-
Countrywide Home Loan Trust 2004-SD2
Series 2004-SD2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 1266717A8 BB BBB+
B-2 1266717B6 B BBB-
CWABS Asset-Backed Notes Trust 2005-SD2
Series 2005-SD2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-4 1266734Z2 B A
M-5 1266735A6 CCC BBB
B-1 1266735B4 CC BBB-
CWABS Asset-Backed Notes Trust 2005-SD3
Series 2005-SD3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 126670FS2 A AAA
A-1-C 126670FV5 A AAA
A-2 126670FW3 BBB AAA
M-1 126670FX1 CCC AA+
M-2 126670FY9 CCC AA
M-3 126670FZ6 CC A+
M-4 126670GA0 CC BB
M-5 126670GB8 CC B
M-6 126670GC6 CC CCC
CWABS Asset-Backed Notes Trust 2006-SD3
Series 2006-SD3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 23244AAA3 BB AAA/Watch Neg
M-1 23244AAB1 CCC AA+/Watch Neg
M-2 23244AAC9 CCC AA/Watch Neg
M-3 23244AAD7 CC A+/Watch Neg
M-4 23244AAE5 CC A/Watch Neg
EMC Mortgage Loan Trust 2003-B
Series 2003-B
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 268668CL2 A AA
M-2 268668CM0 BB BBB
B 268668CN8 CCC B
EMC Mortgage Loan Trust 2005-A
Series 2005-A
Rating
------
Class CUSIP To From
----- ----- -- ----
A 268668EK2 AAA AAA/Watch Neg
M-1 268668EM8 B AA/Watch Neg
M-2 268668EP1 CCC BB/Watch Neg
EMC Mortgage Loan Trust 2005-B
Series 2005-B
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 268668EX4 B- AA
M-2 268668EY2 CCC A
B 268668EZ9 CC BBB
EMC Mortgage Loan Trust 2006-A
Series 2006-A
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 268668FE5 B AA
M-2 268668FF2 CCC A
B 268668FG0 CCC BBB
Fannie Mae REMIC Trust 2004-W3
Series 2004-W3
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 31393XD87 B BB
GSAMP Trust 2004-SD1
Series 2004-SD1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 36242DAX1 AA AA/Watch Neg
M-2 36242DAY9 A A/Watch Neg
B-1 36242DAZ6 CCC BBB+/Watch Neg
B-2 36242DBA0 CCC BBB/Watch Neg
GSAMP Trust 2006-SD2
Series 2006-SD2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 362405AA0 AA AAA
A-2 362405AB8 CCC AAA
A-3 362405AP7 CCC BBB
M-1 362405AC6 CC CCC
GSAMP Trust Series 2006-SEA1
Series 2006-SEA1
Rating
------
Class CUSIP To From
----- ----- -- ----
A 36244LAA1 A AAA/Watch Neg
M-1 36244LAB9 CCC AA/Watch Neg
M-2 36244LAC7 CC A/Watch Neg
B-1 36244LAD5 CC BBB+/Watch Neg
B-2 36244LAE3 CC BBB/Watch Neg
GSRPM Mortgage Loan Trust 2003-1
Series 2003-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 36228FLK0 AA AA/Watch Neg
A-3 36228FLL8 AA AA/Watch Neg
B-3 36228FLQ7 CCC B
GSRPM Mortgage Loan Trust 2003-2
Series 2003-2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 36228FWK8 B A
B-1 36228FWL6 CC BBB-
B-2 36228FWM4 CC B
GSRPM Mortgage Loan Trust 2004-1
Series 2004-1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 36242DGM9 B BB
B-3 36242DGN7 CCC B
Merrill Lynch Mortgage Investors Trust, Series 2005-SD1
Series 2005-SD1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 59020UJ22 AAA AAA/Watch Neg
M-1 59020UJ30 BB AA/Watch Neg
M-2 59020UJ48 CC A/Watch Neg
Merrill Lynch Mortgage Investors Trust, Series 2006-SD1
Series 2006-SD1
Rating
------
Class CUSIP To From
----- ----- -- ----
A 59023JAA5 B AAA/Watch Neg
M-1 59023JAB3 CCC AA+/Watch Neg
MESA Trust 2001-5
Series 2001-5
Rating
------
Class CUSIP To From
----- ----- -- ----
A 68400XAA8 A A/Watch Neg
M-1 68400XAC4 BB BBB
RAAC Series 2007-SP2 Trust
Series 2007-SP2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 74919XAD4 B+ AAA
A-2 74919XAE2 CCC AAA
A-3 74919XAF9 CCC AAA
M-1 74919XAG7 CCC AA
M-2 74919XAH5 CCC A+
M-3 74919XAJ1 CC A-
M-4 74919XAK8 CC BBB+
RAMP Series 2007-RS1 Trust
Series 2007-RS1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-3 74923RAC3 B AA
A-4 74923RAD1 CCC B+/Watch Neg
A-5 74923RAE9 CC B/Watch Neg
RBSGC Mortgage Loan Trust
Series 2005-RP1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-F 74927UAA6 AAA AAA/Watch Neg
I-SF 74927UAB4 AAA AAA/Watch Neg
I-SB 74927UAC2 AA AA/Watch Neg
I-B-1 74927UAD0 AA AA/Watch Neg
I-B-2 74927UAE8 A A/Watch Neg
II-B-4 74927UAP3 CCC B
II-B-5 74927UAQ1 CC CCC
RFSC Series 2002-RP1 Trust
Series 2002-RP1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 760985JD4 CCC BB/Watch Neg
SACO I Trust 2007-VA1
Series 2007-VA1
Rating
------
Class CUSIP To From
----- ----- -- ----
A 78386KAA3 BB AAA
M 78386KAB1 CCC BBB
SASCO Mortgage Loan Trust Series 2005-GEL2
Series 2005-GEL2
Rating
------
Class CUSIP To From
----- ----- -- ----
M2 86359DAY3 BBB A
M4 86359DBA4 CCC BBB
B 86359DBB2 CC BBB-
M3 86359DAZ0 CCC BBB+
Security National Mortgage Loan Trust 2006-1
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 81441LAE0 BB AA
M-2 81441LAF7 CCC A
B-1 81441LAG5 CCC BBB
B-2 81441LAH3 CC BBB-
Security National Mortgage Loan Trust 2006-2
Series 2006-2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 81441NAD8 BB AA
M-2 81441NAE6 B A
B 81441NAF3 CCC BBB
Security National Mortgage Loan Trust 2006-3
Series 2006-3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 81441WAA4 AAA AAA/Watch Neg
A-2 81441WAB2 AAA AAA/Watch Neg
A-3 81441WAC0 B AAA/Watch Neg
M-1 81441WAD8 CCC AA/Watch Neg
M-2 81441WAE6 CC A/Watch Neg
Statewide Mortgage Loan Trust 2006-1
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 85765LAA7 A AAA/Watch Neg
A-2 85765LAB5 CCC AAA/Watch Neg
M 85765LAC3 CC AA/Watch Neg
Structured Asset Securities Corp.
Series 2003-BC1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 86359AMB6 A A/Watch Neg
B-1 86359AMC4 B BB/Watch Neg
Structured Asset Securities Corp.
Series 2005-RF3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 86359DMC8 AAA AAA/Watch Neg
1-AIO 86359DMD6 AAA AAA/Watch Neg
2-A 86359DME4 AAA AAA/Watch Neg
B1 86359DMF1 A AA/Watch Neg
B2 86359DMG9 CCC A/Watch Neg
B3 86359DMH7 CCC BBB/Watch Neg
B4 86359DMJ3 CC BB/Watch Neg
Structured Asset Securities Corporation
Series 2005-RF2
Rating
------
Class CUSIP To From
----- ----- -- ----
A 86359DEX1 AAA AAA/Watch Neg
AIO 86359DEY9 AAA AAA/Watch Neg
B1 86359DEZ6 AA AA/Watch Neg
B2 86359DFA0 A A/Watch Neg
B3 86359DFB8 CCC BBB/Watch Neg
B4 86359DFC6 CC BB/Watch Neg
Structured Asset Securities Corporation
Series 2005-RF7
Rating
------
Class CUSIP To From
----- ----- -- ----
A 86359DWT0 AAA AAA/Watch Neg
AIO 86359DWU7 AAA AAA/Watch Neg
B1 86359DWV5 AA AA/Watch Neg
B2 86359DWW3 BB A/Watch Neg
B3 86359DWX1 CCC BBB/Watch Neg
Structured Asset Securities Corporation Mortgage Loan Trust
Series 2005-GEL3
Rating
------
Class CUSIP To From
----- ----- -- ----
M3 86359DJC2 BBB A+
M4 86359DJD0 CCC A-
M5 86359DJE8 CC BB
Truman Capital Mortgage Loan Trust 2004-1
Series 2004-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 897896AN6 AAA AAA/Watch Neg
A-2 897896AP1 AAA AAA/Watch Neg
M-1 897896AR7 AA AA/Watch Neg
M-2 897896AS5 B A/Watch Neg
Ratings Affirmed
2002-CB5 Trust
Series 2002-CB5
Class CUSIP Rating
----- ----- ------
AF-3 12489WFP4 AAA
AV-2 12489WFW9 AAA
ACE Securities Corp. Home Equity Loan Trust, Series 2006-SD2
Series 2006-SD2
Class CUSIP Rating
----- ----- ------
A 00442MAA5 AAA
Bayview Financial Mortgage Pass-Through Trust, Series 2005-B
Series 2005-B
Class CUSIP Rating
----- ----- ------
1-A3 07325NAQ5 AAA
1-A4 07325NAR3 AAA
1-A6 07325NAT9 AAA
2-A3 07325NAW2 AAA
A-IO 07325NAX0 AAA
M-1 07325NAY8 AA
M-2 07325NAZ5 AA-
M-3 07325NBA9 A
M-4 07325NBB7 A-
B-1 07325NBC5 BBB
Bear Stearns Asset Backed Securities Trust 2006-1
Series 2006-1
Class CUSIP Rating
----- ----- ------
A 07384YUT1 AAA
Bear Stearns Asset Backed Securities Trust 2006-SD2
Series 2006-SD2
Class CUSIP Rating
----- ----- ------
A-2 07388EAJ5 AAA
Bear Stearns Asset Backed Securities Trust 2007-2
Series 2007-2
Class CUSIP Rating
----- ----- ------
M-2 07400TAE7 CCC
Citigroup Mortgage Loan Trust Inc.
Series 2006-SHL1
Class CUSIP Rating
----- ----- ------
A 17309UAA3 AAA
Countrywide Home Loan Trust 2004-SD2
Series 2004-SD2
Class CUSIP Rating
----- ----- ------
A-1 1266716W1 AAA
A-2 1266716X9 AAA
M-1 1266716Y7 AA+
M-2 1266716Z4 AA
CWABS Asset-Backed Notes Trust 2005-SD2
Series 2005-SD2
Class CUSIP Rating
----- ----- ------
A-1-C 1266734U3 AAA
A-2 1266734V1 AAA
M-1 1266734W9 AA+
M-2 1266734X7 AA
M-3 1266734Y5 A+
EMC Mortgage Loan Trust 2003-B
Series 2003-B
Class CUSIP Rating
----- ----- ------
A-1 268668CJ7 AAA
A-2 268668CK4 AAA
EMC Mortgage Loan Trust 2005-B
Series 2005-B
Class CUSIP Rating
----- ----- ------
A 268668EW6 AAA
EMC Mortgage Loan Trust 2006-A
Series 2006-A
Class CUSIP Rating
----- ----- ------
A 268668FD7 AAA
Fannie Mae REMIC Trust 2004-W3
Series 2004-W3
Class CUSIP Rating
----- ----- ------
A-3 31393XVF1 AAA
A-4 31393XWQ6 AAA
A-5 31393XVG9 AAA
A-6 31393XVH7 AAA
A-7 31393XVJ3 AAA
A-8 31393XVK0 AAA
A-11 31393XWR4 AAA
A-15 31393XWV5 AAA
A-16 31393XVN4 AAA
A-18 31393XVQ7 AAA
A-20 31393XWW3 AAA
A-21 31393XVS3 AAA
A-28 31393XVZ7 AAA
A-29 31393XWA1 AAA
A-30 31393XWB9 AAA
A-31 31393XWC7 AAA
A-32 31393XWD5 AAA
A-33 31393XWE3 AAA
A-34 31393XWF0 AAA
A-36 31393XWY9 AAA
A-37 31393XWZ6 AAA
A-38 31393XXA0 AAA
A-39 31393XXB8 AAA
IO-1 31393XWH6 AAA
IO-2 31393XE37 AAA
IO-3 31393XE45 AAA
PO 31393XWJ2 AAA
2A-IO 31393XWK9 AAA
3A-1 31393XWL7 AAA
M 31393U7L1 AA
B-1 31393XWM5 A
B-2 31393XD79 BBB
GSRPM Mortgage Loan Trust 2003-1
Series 2003-1
Class CUSIP Rating
----- ----- ------
M-1 36228FLM6 A
B-1 36228FLN4 BBB+
B-2 36228FLP9 BB
GSRPM Mortgage Loan Trust 2003-2
Series 2003-2
Class CUSIP Rating
----- ----- ------
A-1 36228FWH5 AAA
M-1 36228FWJ1 AA
GSRPM Mortgage Loan Trust 2004-1
Series 2004-1
Class CUSIP Rating
----- ----- ------
A-1 36242DGH0 AAA
A-2 36242DGS6 AAA
A-3 36242DGT4 AAA
M-1 36242DGJ6 AA
M-2 36242DGK3 A
B-1 36242DGL1 BBB+
Lake Country Mortgage Loan Trust 2006-HE1
Series 2006-HE1
Class CUSIP Rating
----- ----- ------
A-2 50820TAB5 AAA
A-3 50820TAC3 AAA
A-4 50820TAD1 AAA
M-1 50820TAE9 AA+
M-2 50820TAF6 AA
M-3 50820TAG4 AA
M-4 50820TAH2 AA-
M-5 50820TAJ8 A+
M-6 50820TAK5 A
M-7 50820TAL3 A-
M-8 50820TAM1 BBB
RAMP Series 2007-RS1 Trust
Series 2007-RS1
Class CUSIP Rating
----- ----- ------
A-1 74923RAA7 AAA
A-2 74923RAB5 AAA
RBSGC Mortgage Loan Trust
Series 2005-RP1
Class CUSIP Rating
----- ----- ------
II-A 74927UAK4 AAA
II-B-1 74927UAL2 AA
II-B-2 74927UAM0 A
II-B-3 74927UAN8 BBB
SASCO Mortgage Loan Trust Series 2005-GEL2
Series 2005-GEL2
Class CUSIP Rating
----- ----- ------
A 86359DAW7 AAA
M1 86359DAX5 AA
Security National Mortgage Loan Trust 2006-1
Series 2006-1
Class CUSIP Rating
----- ----- ------
1-A-1 81441LAA8 AAA
1-A-2 81441LAB6 AAA
1-A-3 81441LAC4 AAA
2-A 81441LAD2 AAA
Security National Mortgage Loan Trust 2006-2
Series 2006-2
Class CUSIP Rating
----- ----- ------
A-1 81441NAA4 AAA
A-2 81441NAB2 AAA
A-3 81441NAC0 AAA
Structured Asset Securities Corporation Mortgage Loan Trust
Series 2005-GEL3
Class CUSIP Rating
----- ----- ------
A 86359DHZ3 AAA
M1 86359DJA6 AAA
M2 86359DJB4 AA+
* S&P Downgrades Ratings on 216 Tranches From 42 CLO Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 216
tranches from 42 U.S. collateralized loan obligation transactions
and removed them from CreditWatch with negative implications. The
affected tranches had a total issuance amount of $16.71 billion.
S&P also affirmed its ratings on 24 tranches from 13 transactions
and removed 21 of them from CreditWatch negative.
The downgrades reflect two primary factors:
* The application of S&P's new corporate CDO criteria; and
* For some of the transactions, deterioration in the credit
quality of the collateral supporting the CLO tranches due to
increased exposure to obligors that have either defaulted or
experienced downgrades into the 'CCC' range.
Of the tranches S&P lowered, 40 tranche ratings downgrades from 24
transactions were due to the application of the largest-obligor
default test, which is one of the supplemental stress tests S&P
introduced as part of S&P's criteria update.
S&P will continue to review the remaining transactions under the
corporate CDO criteria and resolve the CreditWatch statuses on the
tranches from these deals.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
AMMC VII Limited A AA+ AAA/Watch Neg
AMMC VII Limited B A+ AA/Watch Neg
AMMC VII Limited C BBB+ A/Watch Neg
AMMC VII Limited D CCC+ BB/Watch Neg
AMMC VII Limited E CCC- B/Watch Neg
Atrium CDO A AA AAA/Watch Neg
Atrium CDO B-1 BBB+ A-/Watch Neg
Atrium CDO B-2 BBB+ A-/Watch Neg
Atrium CDO C-1 B+ BBB/Watch Neg
Atrium CDO C-2 B+ BBB/Watch Neg
Atrium CDO D-1 CCC BB/Watch Neg
Atrium CDO D-2 CCC BB/Watch Neg
Babson CLO Ltd 2008-II A-1 AA+ AAA/Watch Neg
Babson CLO Ltd 2008-II A-2 AA+ AAA/Watch Neg
Babson CLO Ltd 2008-II B AA- AA/Watch Neg
Babson CLO Ltd 2008-II C BBB+ A/Watch Neg
Babson CLO Ltd 2008-II D BBB- BBB/Watch Neg
Babson CLO Ltd 2008-II E B+ BB/Watch Neg
Belhurst CLO Ltd A-1 AA- AAA/Watch Neg
Belhurst CLO Ltd A-2 AA- AAA/Watch Neg
Belhurst CLO Ltd A-3 AA- AAA/Watch Neg
Belhurst CLO Ltd B A+ AA/Watch Neg
Belhurst CLO Ltd C(dfrble) BBB- A/Watch Neg
Belhurst CLO Ltd D(dfrble) B+ BBB/Watch Neg
Belhurst CLO Ltd E(dfrble) CCC- BB/Watch Neg
Black Diamond CLO 2005-1 Ltd A-1 AA+ AAA/Watch Neg
Black Diamond CLO 2005-1 Ltd A-1B AA+ AAA/Watch Neg
Black Diamond CLO 2005-1 Ltd B AA- AA/Watch Neg
Black Diamond CLO 2005-1 Ltd D-1 BB+ BBB/Watch Neg
Black Diamond CLO 2005-1 Ltd D-2 BB+ BBB/Watch Neg
Black Diamond CLO 2005-1 Ltd E CCC+ BB/Watch Neg
BlackRock Senior Income Series A AA+ AAA/Watch Neg
BlackRock Senior Income Series B-1 A- A/Watch Neg
BlackRock Senior Income Series B-2 A- A/Watch Neg
BlackRock Senior Income Series C B+ BBB/Watch Neg
BlackRock Senior Income Series D-1 CCC- BB/Watch Neg
BlackRock Senior Income Series D-2 CCC- BB/Watch Neg
Bridgeport CLO Ltd A-1 AA+ AAA/Watch Neg
Bridgeport CLO Ltd A-2 AA- AA/Watch Neg
Bridgeport CLO Ltd B A- A/Watch Neg
Bridgeport CLO Ltd C BBB- BBB/Watch Neg
Bridgeport CLO Ltd D B+ BB/Watch Neg
Carlyle Credit Partners Financing I Ltd A AA+ AAA/Watch Neg
Carlyle High Yield Partners X Ltd A-1 AA- AAA/Watch Neg
Carlyle High Yield Partners X Ltd A-2A AA+ AAA/Watch Neg
Carlyle High Yield Partners X Ltd A-2B AA- AAA/Watch Neg
Carlyle High Yield Partners X Ltd B A+ AA/Watch Neg
Carlyle High Yield Partners X Ltd C BBB+ A/Watch Neg
Carlyle High Yield Partners X Ltd D B+ BBB/Watch Neg
Carlyle High Yield Partners X Ltd E CCC- BB-/Watch Neg
Castle Hill III CLO, Limited A-1a AA+ AAA/Watch Neg
Castle Hill III CLO, Limited A-1b AA+ AAA/Watch Neg
Castle Hill III CLO, Limited B BB+ A/Watch Neg
Cent CDO 12 Limited A AA+ AAA/Watch Neg
Cent CDO 12 Limited B A+ AA/Watch Neg
Cent CDO 12 Limited C BBB+ A/Watch Neg
Cent CDO 12 Limited D BB+ BBB/Watch Neg
Cent CDO 12 Limited E B+ BB/Watch Neg
Cent CDO 15 Limited A-1 AA- AAA/Watch Neg
Cent CDO 15 Limited A-2a AA+ AAA/Watch Neg
Cent CDO 15 Limited A-2b AA- AAA/Watch Neg
Cent CDO 15 Limited A-3 A AA/Watch Neg
Cent CDO 15 Limited B BBB A/Watch Neg
Cent CDO 15 Limited C BB+ BBB/Watch Neg
Cent CDO 15 Limited D B BB/Watch Neg
Cent CDO XI Limited A-1 AA- AAA/Watch Neg
Cent CDO XI Limited A-2 A AA/Watch Neg
Cent CDO XI Limited B BBB- A/Watch Neg
Cent CDO XI Limited C B- BBB/Watch Neg
Centurion CDO 9 Limited A-1A AA AAA/Watch Neg
Centurion CDO 9 Limited A-1B AA AAA/Watch Neg
Centurion CDO 9 Limited A-2 A+ AA/Watch Neg
Centurion CDO 9 Limited B BBB- A/Watch Neg
Centurion CDO 9 Limited C B+ BBB/Watch Neg
Centurion CDO 9 Limited D-1 CCC+ BB/Watch Neg
Centurion CDO 9 Limited D-2 CCC+ BB/Watch Neg
Clydesdale CLO 2004, Ltd. A-1 AA AAA/Watch Neg
Clydesdale CLO 2004, Ltd. A-2 A+ AA/Watch Neg
Clydesdale CLO 2004, Ltd. B-1 BBB- A/Watch Neg
Clydesdale CLO 2004, Ltd. B-2 BBB- A/Watch Neg
Clydesdale CLO 2004, Ltd. C-1 B+ BBB-/Watch Neg
Clydesdale CLO 2004, Ltd. C-2 B+ BBB-/Watch Neg
Clydesdale CLO 2004, Ltd. D CCC- B/Watch Neg
Clydesdale CLO 2007, Ltd. A-1 AA+ AAA/Watch Neg
Clydesdale CLO 2007, Ltd. A-2 A+ AAA/Watch Neg
Clydesdale CLO 2007, Ltd. A-3 A- AA/Watch Neg
Clydesdale CLO 2007, Ltd. B BBB- A/Watch Neg
Clydesdale CLO 2007, Ltd. C BB+ BBB/Watch Neg
Clydesdale CLO 2007, Ltd. D CCC+ BB/Watch Neg
Eaton Vance CDO VIII, Ltd. A AA AAA/Watch Neg
Eaton Vance CDO VIII, Ltd. B BBB+ A/Watch Neg
FIRST 2004-I CLO, Ltd. A-2 AA+ AAA/Watch Neg
FIRST 2004-I CLO, Ltd. A-3 AA+ AAA/Watch Neg
FIRST 2004-I CLO, Ltd. B BBB+ A/Watch Neg
FIRST 2004-I CLO, Ltd. C B+ BBB/Watch Neg
Flatiron CLO 2007-1 Ltd. A-1a AA+ AAA/Watch Neg
Flatiron CLO 2007-1 Ltd. A-1b AA+ AAA/Watch Neg
Flatiron CLO 2007-1 Ltd. B A+ AA/Watch Neg
Flatiron CLO 2007-1 Ltd. C BBB+ A/Watch Neg
Flatiron CLO 2007-1 Ltd. D BB+ BBB/Watch Neg
Flatiron CLO 2007-1 Ltd. E CCC+ B+/Watch Neg
Galaxy VIII CLO Ltd A AA+ AAA/Watch Neg
Galaxy VIII CLO Ltd B A+ AA/Watch Neg
Galaxy VIII CLO Ltd C BBB+ A/Watch Neg
Galaxy VIII CLO Ltd D B+ BBB/Watch Neg
Galaxy VIII CLO Ltd E CCC+ BB/Watch Neg
Granite Ventures III Ltd A-1 AA+ AAA/Watch Neg
Granite Ventures III Ltd A-2 AA- AA/Watch Neg
Granite Ventures III Ltd B A- A/Watch Neg
Granite Ventures III Ltd C BB+ BBB/Watch Neg
Granite Ventures III Ltd D B+ BB/Watch Neg
Hewett's Island CLO I-R, Ltd. A A+ AAA/Watch Neg
Hewett's Island CLO I-R, Ltd. B BBB+ AA/Watch Neg
Hewett's Island CLO I-R, Ltd. C BB+ A/Watch Neg
Hewett's Island CLO I-R, Ltd. D CCC- BB+/Watch Neg
Hewett's Island CLO I-R, Ltd. E CCC- B/Watch Neg
Hewett's Island CLO VI Ltd. A-R A+ AAA/Watch Neg
Hewett's Island CLO VI Ltd. A-T A+ AAA/Watch Neg
Hewett's Island CLO VI Ltd. B BBB+ AA/Watch Neg
Hewett's Island CLO VI Ltd. C B+ A/Watch Neg
Hewett's Island CLO VI Ltd. D CCC- BBB/Watch Neg
Hewett's Island CLO VI Ltd. E CCC- BB/Watch Neg
ING Investment Management CLO IV Ltd A-1 A+ AAA/Watch Neg
ING Investment Management CLO IV Ltd A-2 A+ AA/Watch Neg
ING Investment Management CLO IV Ltd B BBB A/Watch Neg
ING Investment Management CLO IV Ltd C BB+ BBB/Watch Neg
ING Investment Management CLO IV Ltd D B+ BB/Watch Neg
ING Investment Management CLO V Ltd A-1a AA+ AAA/Watch Neg
ING Investment Management CLO V Ltd A-1b A+ AAA/Watch Neg
ING Investment Management CLO V Ltd A-2 BBB+ AA/Watch Neg
ING Investment Management CLO V Ltd B BB+ A/Watch Neg
ING Investment Management CLO V Ltd C B+ BBB/Watch Neg
ING Investment Management CLO V Ltd D B BB/Watch Neg
Magnetite V CLO, Limited A A+ AAA/Watch Neg
Magnetite V CLO, Limited B BBB- A/Watch Neg
Magnetite V CLO, Limited C CCC- BBB/Watch Neg
Magnetite V CLO, Limited D CCC- BB/Watch Neg
Mayport CLO Ltd. A-1L AA+ AAA/Watch Neg
Mayport CLO Ltd. A-1LV AA+ AAA/Watch Neg
Mayport CLO Ltd. A-2L A+ AA/Watch Neg
Mayport CLO Ltd. A-3L BBB+ A/Watch Neg
Mayport CLO Ltd. B-1L BB+ BBB-/Watch Neg
Mayport CLO Ltd. B-2L CCC- B+/Watch Neg
MSIM Peconic Bay Ltd A-1-A AA+ AAA/Watch Neg
MSIM Peconic Bay Ltd A-1-B A+ AAA/Watch Neg
MSIM Peconic Bay Ltd B BBB+ AA/Watch Neg
MSIM Peconic Bay Ltd C BB+ A/Watch Neg
MSIM Peconic Bay Ltd D B BBB/Watch Neg
MSIM Peconic Bay Ltd E CCC- BB/Watch Neg
Octagon Investment Partners VI, Ltd. A-1L AA+ AAA/Watch Neg
Octagon Investment Partners VI, Ltd. A-1LB AA+ AAA/Watch Neg
Octagon Investment Partners VI, Ltd. A-2L A+ AA/Watch Neg
Octagon Investment Partners VI, Ltd. A-3L BBB+ A-/Watch Neg
Octagon Investment Partners VI, Ltd. B-1L BB BBB/Watch Neg
Octagon Investment Partners VI, Ltd. B-2L B+ BB/Watch Neg
Octagon Investment Partners VII, Ltd. A-1L AA+ AAA/Watch Neg
Octagon Investment Partners VII, Ltd. B-1L BBB- BBB/Watch Neg
Pacifica CDO II Ltd. A-1 AA+ AAA/Watch Neg
Pacifica CDO II Ltd. A-2 A+ AAA/Watch Neg
Pacifica CDO II Ltd. B-1 BB+ A-/Watch Neg
Pacifica CDO II Ltd. B-2 BB+ A-/Watch Neg
Pacifica CDO II Ltd. C-1 CCC+ BBB/Watch Neg
Pacifica CDO II Ltd. C-2 CCC+ BBB/Watch Neg
Pacifica CDO II Ltd. D CCC- BB/Watch Neg
Rampart CLO 2006-I Ltd. A-1 AA+ AAA/Watch Neg
Rampart CLO 2006-I Ltd. A-2 AA- AA/Watch Neg
Rampart CLO 2006-I Ltd. B A- A/Watch Neg
Rampart CLO 2006-I Ltd. C B+ BBB/Watch Neg
Rampart CLO 2006-I Ltd. D CCC+ BB/Watch Neg
Riverside Park CLO Ltd A AA+ AAA/Watch Neg
Saturn CLO Ltd A-1 AA AAA/Watch Neg
Saturn CLO Ltd A-1J AA AAA/Watch Neg
Saturn CLO Ltd A-1S AA+ AAA/Watch Neg
Saturn CLO Ltd A-2 A+ AA/Watch Neg
Saturn CLO Ltd B BBB+ A/Watch Neg
Saturn CLO Ltd C BB+ BBB/Watch Neg
Saturn CLO Ltd D CCC- BB/Watch Neg
Silverado CLO 2006-II Limited A-1 AA+ AAA/Watch Neg
Silverado CLO 2006-II Limited A-1J AA+ AAA/Watch Neg
Silverado CLO 2006-II Limited A-1S AA+ AAA/Watch Neg
Silverado CLO 2006-II Limited A-2 AA- AA/Watch Neg
Silverado CLO 2006-II Limited B BBB+ A/Watch Neg
Silverado CLO 2006-II Limited C BB+ BBB-/Watch Neg
Silverado CLO 2006-II Limited D CCC- BB/Watch Neg
Stanfield McLaren CLO, Ltd. A-1L AA+ AAA/Watch Neg
Stanfield McLaren CLO, Ltd. A-1LV AA+ AAA/Watch Neg
Stanfield McLaren CLO, Ltd. A-2L A+ AA/Watch Neg
Stanfield McLaren CLO, Ltd. A-3L BBB+ A/Watch Neg
Stanfield McLaren CLO, Ltd. B-1L B+ BBB/Watch Neg
Stanfield McLaren CLO, Ltd. B-2L CCC- BB/Watch Neg
Stone Tower CLO II Ltd. D B+ BB/Watch Neg
Symphony CLO III Ltd A-1a AA+ AAA/Watch Neg
Symphony CLO III Ltd A-1b AA- AAA/Watch Neg
Symphony CLO III Ltd A-2a AA- AAA/Watch Neg
Symphony CLO III Ltd A-2b AA- AAA/Watch Neg
Symphony CLO III Ltd B A+ AA/Watch Neg
Symphony CLO III Ltd C BBB A/Watch Neg
Symphony CLO III Ltd D B+ BBB/Watch Neg
Symphony CLO III Ltd E CCC+ BB/Watch Neg
Symphony CLO IV Ltd A A+ AAA/Watch Neg
Symphony CLO IV Ltd B BBB+ AA/Watch Neg
Symphony CLO IV Ltd C BB+ A/Watch Neg
Symphony CLO IV Ltd D BB- BBB/Watch Neg
Symphony CLO IV Ltd E CCC+ BB/Watch Neg
Symphony CLO VI, Ltd. A-1 AA AAA/Watch Neg
Symphony CLO VI, Ltd. A-2 A+ AA/Watch Neg
Symphony CLO VI, Ltd. B BBB+ A/Watch Neg
Symphony CLO VI, Ltd. C BB+ BBB/Watch Neg
Symphony CLO VI, Ltd. D B+ BB/Watch Neg
Veer Cash Flow CLO Limited Sr Rt Nts A+ AAA/Watch Neg
Veer Cash Flow CLO Limited Mez Dfd Nt BB+ BBB+/Watch Neg
Venture IX CDO Ltd A A+ AAA/Watch Neg
Venture IX CDO Ltd B BBB+ AA/Watch Neg
Venture IX CDO Ltd C BB+ A/Watch Neg
Venture IX CDO Ltd D BB- BBB/Watch Neg
Venture IX CDO Ltd E B- BB/Watch Neg
Rating Affirmed And Removed From Creditwatch Negative
Rating
------
Transaction Class To From
----------- ----- -- ----
Black Diamond CLO 2005-1 Ltd A-1A AAA AAA/Watch Neg
Black Diamond CLO 2005-1 Ltd C A- A-/Watch Neg
Carlyle Credit Partners Financing I Ltd B AA AA/Watch Neg
Carlyle Credit Partners Financing I Ltd C BBB BBB/Watch Neg
COA CLO Financing, LTD. A AAA AAA/Watch Neg
Eaton Vance CDO VIII, Ltd. C BBB BBB/Watch Neg
Eaton Vance CDO VIII, Ltd. D BB BB/Watch Neg
FIRST 2004-I CLO, Ltd. A-1 AAA AAA/Watch Neg
Mayport CLO Ltd. X AAA AAA/Watch Neg
Octagon Investment Partners VI, Ltd. A-1LA AAA AAA/Watch Neg
Octagon Investment Partners VII, Ltd. A-2L AA AA/Watch Neg
Octagon Investment Partners VII, Ltd. A-3L A- A-/Watch Neg
Octagon Investment Partners VII, Ltd. B-2L BB BB/Watch Neg
Riverside Park CLO Ltd B A A/Watch Neg
Riverside Park CLO Ltd C BBB BBB/Watch Neg
Riverside Park CLO Ltd D BB BB/Watch Neg
Stanfield McLaren CLO, Ltd. X AAA AAA/Watch Neg
Stone Tower CLO II Ltd. A-1 AAA AAA/Watch Neg
Stone Tower CLO II Ltd. A-2 AAA AAA/Watch Neg
Stone Tower CLO II Ltd. B AA AA/Watch Neg
Stone Tower CLO II Ltd. C BBB BBB/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Belhurst CLO Ltd Princ Nts AAA
Black Diamond CLO 2005-1 Ltd X AAA
Castle Hill III CLO, Limited Rmkd Certs AAA
*********
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. Howard C. Tolentino, Joseph Medel C. Martirez, Denise Marie
Varquez, Philline Reluya, Joy A. Agravante, Marites M. Claro,
Rousel Elaine C. Tumanda, 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 ***