/raid1/www/Hosts/bankrupt/TCR_Public/091206.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, December 6, 2009, Vol. 13, No. 337
Headlines
ALTERNATIVE LOAN: S&P Junks Rating on Class A 2005-58R Certs.
BANC OF AMERICA: S&P Corrects Ratings on 33 Classes of Notes
BRYAN COUNTY: Moody's Downgrades Ratings on 1990A Bonds to 'C'
CENTERLINE 2007-SRR5: S&P Downgrades Ratings on Nine Classes
CHOCTAW GENERATION: S&P Downgrades Rating on Certs. to 'BB-'
CLINTONDALE COMMUNITY: Moody's Cuts Rating on $26.4MM Bond to Ba2
COMM 2007-FL14: Moody's Reviews Ratings Three Rake Classes
FORD CREDIT: S&P Assigns Ratings on $1.6988 Bil. 2009-E Notes
GCO EDUCATION: Fitch Affirms Ratings on Senior Student Loans
IMPAC CMB: S&P Corrects Ratings on Two Classes of 2004-10 Notes
JP MORGAN: Fitch Takes Various Rating Actions on 2005-LDP5 Certs.
KEYCORP STUDENT: Fitch Downgrades Ratings on 15 Classes of Notes
KIMBERLITE CDO: Fitch Downgrades Ratings on Eight Classes of Notes
KNOWLEDGEFUNDING OF OHIO: Fitch Affirms Ratings on Student Loans
LEHMAN MORTGAGE: Fitch Changes Ratings on Four Classes of Notes
MARBLE FINANCE: S&P Corrects Rating on EUR8 Mil. Class A-1 Notes
NEW JERSEY HEALTH: Fitch Cuts Ratings on $22 Mil. Bonds to 'B-'
NCB FSB: Fitch Downgrades CMBS Master Servicer Rating to 'CMS3'
SORIN REAL: S&P Downgrades Ratings on Eight Classes of Notes
ST JOSEPH: Moody's Affirms 'Ba3' Rating on $18.6 Mil. Bonds
TAMPA HOME: Moody's Cuts Ratings on 1983 Series A Bonds to 'C'
WASHINGTON MUTUAL: Fitch Upgrades Ratings on Subordinate Classes
* S&P Downgrades Ratings on 28 Tranches From Seven CLO Deals
* S&P Downgrades Ratings on 226 Classes From 34 RMBS Transactions
*********
ALTERNATIVE LOAN: S&P Junks Rating on Class A 2005-58R Certs.
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A certificates from Alternative Loan Trust Resecuritization 2005-
58R, a U.S. residential mortgage-backed securities resecuritized
real estate mortgage investment conduit transaction, to 'CCC' from
'AAA'.
The downgrade reflects the significant deterioration in
performance of the loans backing the underlying certificates.
This performance deterioration is so severe that the credit
enhancement for CWALT 2005-58R is insufficient to maintain the
previous rating on the re-REMIC class
CWALT 2005-58R, which closed in November 2005, is collateralized
by two underlying classes that support the class A tranche. The
loans securing the underlying classes consist predominately of
option-arm Alternative-A mortgage loans.
Class A from CWALT 2005-58R is supported by the class 1-X
(currently rated 'CCC') and class P (currently rated 'NR') from
Countrywide Home Loans Alternative Loan Trust 2005-58. The
performance of the loans securing this trust has declined
precipitously in recent months. This pool had experienced losses
of 4.31% of the original pool balance as of the October 2009
distribution, and currently has approximately 55.53% of the
current pool balance in delinquent loans. Based on the losses to
date, the current pool factor of 0.6111 (61.11%), 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 30.88%, which exceeds the level of
credit enhancement available to cover losses.
Over the past two years, S&P have 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 expectation.
BANC OF AMERICA: S&P Corrects Ratings on 33 Classes of Notes
------------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on 33
classes issued by Banc of America Funding 2006-2 Trust by lowering
20 of the ratings and raising the remaining 13. S&P released the
previous ratings on these classes on Aug. 31, 2009, as part of a
larger U.S. prime jumbo residential mortgage-backed securities
review.
Banc of America Funding 2006-2 Trust consists of two separate and
distinct structures. One structure is rated and is made up of
five loan groups. The other structure, which is not rated, is
made up of one loan group. During S&P's analysis of this
transaction in August, S&P used incorrect loan groups when
determining the projected loss distribution among groups in the
rated structure, which resulted in the incorrect ratings released
on Aug. 31. S&P subsequently reanalyzed the rated structure using
the proper loan group loss distributions, which resulted in the
rating corrections.
Ratings Corrected
Banc of America Funding 2006-2 Trust
Rating
------
Class CUSIP Current Aug. 31 Pre-Aug. 31
----- ----- ------- ------- -----------
1-A-1 05949QAA3 AA- BBB AAA
1-A-2 05949QAB1 AA- BBB AAA
1-A-3 05949QAC9 AA- BBB AAA
1-A-4 05949QAD7 BBB CCC AAA
1-A-5 05949QAE5 AA- BBB AAA
2-A-1 05949QAG0 AA+ AAA AAA
2-A-2 05949QAH8 AA+ AAA AAA
2-A-3 05949QAJ4 AA+ AAA AAA
2-A-4 05949QAK1 AA+ AAA AAA
2-A-5 05949QAL9 AA+ AAA AAA
2-A-6 05949QAM7 AA+ AAA AAA
2-A-7 05949QAN5 AA+ AAA AAA
2-A-8 05949QAP0 AA+ AAA AAA
2-A-9 05949QAQ8 AA+ AAA AAA
2-A-10 05949QAR6 AA+ AAA AAA
2-A-14 05949QAV7 AA AAA AAA
2-A-16 05949QAX3 AA AAA AAA
2-A-17 05949QAY1 AA+ AAA AAA
2-A-18 05949QAZ8 AA+ AAA AAA
2-A-19 05949QBA2 AA+ AAA AAA
2-A-20 05949QBB0 AA+ AAA AAA
2-A-21 05949QBC8 AA+ AAA AAA
2-A-22 05949QBD6 AA+ AAA AAA
4-A-1 05949QBG9 BBB CCC AAA
4-A-2 05949QBH7 BBB+ AAA AAA
5-A-1 05949QBK0 BBB CCC AAA
5-A-2 05949QBL8 BBB CCC AAA
5-A-3 05949QBM6 BBB+ AAA AAA
6-A-1 05949QBN4 BBB CCC AAA
6-A-2 05949QBP9 AAA CCC AAA
6-A-3 05949QBQ7 BBB CCC AAA
6-A-4 05949QBR5 BBB CCC AAA
X-M-1 05949QBV6 B- CCC AA
BRYAN COUNTY: Moody's Downgrades Ratings on 1990A Bonds to 'C'
--------------------------------------------------------------
Moody's Investors Service has downgraded to C from Caa3 the rating
on the Bryan County Economic Development Authority, OK, Single
Family Mortgage Revenue Refunding Bonds, Series 1990A. The amount
of debt outstanding is $875,000.
The program consists of 32 loans with an aggregate principal
amount outstanding of $89,478 as of October 1, 2009 (un-audited).
The trustee reports that none of the loans are 60 days past due.
The C rating reflects the continued deterioration of the program's
financial strength. This is evidenced by the asset-to-debt ratio
(PADR) which is currently 0.496, down from 0.642 in April 2008 and
0.71 as of December 2006. Approximately 78% of the program's
assets are invested in guaranteed investment contracts whose rate
of return is less than the coupon on the bonds, resulting in
negative arbitrage.
Amount of bonds likely to be affected by a default is directly
tied to the prepayment speed of the remaining mortgage loans as
borrowers prepay on their mortgage loans, causing negative
revenues for the program. The faster the prepayment speed, the
greater percentage of outstanding bonds that will likely receive
less than the full principal and interest amount due.
The bonds are scheduled to mature on July 1, 2010.
CENTERLINE 2007-SRR5: S&P Downgrades Ratings on Nine Classes
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on nine
classes from Centerline 2007-SRR5 Ltd., a hybrid commercial real
estate collateralized debt obligation transaction. Seven of these
ratings remain on CreditWatch with negative implications, while
S&P removed the remaining two lowered ratings from CreditWatch
negative. At the same time, S&P affirmed its ratings on five
additional classes from this transaction.
The downgrades reflect S&P's analysis of the transaction following
S&P's rating actions on eight reference commercial mortgage-backed
securities classes. The securities are from eight transactions
($175 million; 22% of the pool balance). Seven ratings on
Centerline 2007-SRR5 remain on CreditWatch negative due to the
transaction's exposure to referenced CMBS collateral with ratings
on CreditWatch negative ($262.5 million, 33%).
According to the Nov. 23, 2009, trustee report, the collateral for
Centerline 2007-SRR5 consists of credit default swaps referencing
40 CMBS classes ($800 million, 100%) from 40 distinct transactions
issued between 2005 and 2007. The CDS counterparty is Morgan
Stanley Capital Services Inc. Centerline 2007-SRR5 has significant
exposure to recently downgraded CMBS classes from these
transactions:
* Credit Suisse Commercial Mortgage Trust Series 2006-C2 (class K;
$30 million, 3.75%);
* Bear Stearns Commercial Mortgage Securities Trust 2007-Top26
(class K;
* $25 million, 3.1%); and
* ML-CFC Commercial Mortgage Trust 2007-5 (class H; $20 million,
2.5%).
S&P will update or resolve the CreditWatch negative placements on
Centerline 2007-SRR5 in conjunction with S&P's CreditWatch
resolutions of the reference CMBS classes.
Ratings Lowered And Remaining On Creditwatch Negative
Centerline 2007-SRR5 Ltd.
Rating
------
Class To From
----- -- ----
A-1 BBB-/Watch Neg A-/Watch Neg
A-2 BB+/Watch Neg BBB+/Watch Neg
B BB+/Watch Neg BBB/Watch Neg
C BB/Watch Neg BBB-/Watch Neg
D B+/Watch Neg BB+/Watch Neg
E B-/Watch Neg BB/Watch Neg
F CCC/Watch Neg B+/Watch Neg
Ratings Lowered And Removed From Creditwatch Negative
Centerline 2007-SRR5 Ltd.
Rating
------
Class To From
----- -- ----
G CCC- CCC+/Watch Neg
H CCC- CCC/Watch Neg
Ratings Affirmed
Centerline 2007-SRR5 Ltd.
Class Rating
----- ------
J CCC-
K CCC-
L CCC-
M CCC-
N CCC-
CHOCTAW GENERATION: S&P Downgrades Rating on Certs. to 'BB-'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on U.S.
electricity generator Choctaw Generation L.P.'s amortizing pass-
through trust certificates due 2023 and 2030 (about $300 million
outstanding at June 30, 2009) to 'BB-' from 'BB'. The outlook is
negative.
The downgrade reflects the plant's continued high heat rate in the
months since its September-October 2008 scheduled outage for the
five-year major maintenance. The high heat rate results in
additional fuel costs beyond those paid by the electricity buyer
under Choctaw's power purchase agreement, and also increased
maintenance costs, which results in low debt service coverage.
The rating remains on negative outlook because the project has not
finalized sources of funding for this future major maintenance.
S&P expects the major maintenance to occur within about two years,
although its effect on average heat rates may not be apparent for
some time afterward.
CLINTONDALE COMMUNITY: Moody's Cuts Rating on $26.4MM Bond to Ba2
-----------------------------------------------------------------
Moody's Investors Service has downgraded to Ba2 from Baa3 the
rating assigned to Clintondale Community Schools' (MI)
$26.4 million of Moody's rated outstanding general obligation
unlimited tax debt and has assigned a negative outlook. The bonds
are secured by the district's unlimited ad valorem tax pledge.
The rating reflects the district's consecutive years of operating
deficits that are expected to continue, declining taxable
valuations with significant auto industry presence, and high debt
burden. The negative outlook reflects Moody's expectations that
the district's financial operation will remain challenged due to
continued budgetary pressures resulting from declining state aid
and taxable valuations and growing General Fund deficit.
Consecutive Years of Operating Deficits Leading To
Negative General Fund Balance;
Structurally Imbalanced Operations Expected To Continue
Moody's expects the district's financial position to remain
challenged in the near term due to consecutive years of operating
deficits, pressured revenues streams, and expected growing General
Fund deficit. The district has posted consecutive years of
operating deficits since fiscal 2004 mostly due to expenditures
outpacing revenue growth. As a result, the district's General
Fund declined from a modest $447,000 (1.3% of revenues) in fiscal
2004 to a negative $5.2 million (-16.2% of revenues) at the close
of fiscal 2009. Such limited liquidity leaves the district with
inadequate financial measures to absorb any unforeseen budgetary
expenditures. Per state law, the district has submitted a Deficit
Elimination Plan (DEP) in February 2009 to the state, stating a
goal of eliminating the district's deficit by fiscal 2013.
However, as property tax and state aid revenues continue to
decline, officials expect the deficit in fiscal 2010 may be
greater than originally budgeted and are planning to submit a
revised plan. Additionally, as the General Fund deficit has been
growing, the district has increased its amount of cash flow
borrowing. The district's cash flow borrowing nearly doubled from
$5.6 million in fiscal 2007 to $9.2 million in fiscal 2009. Cash
flow borrowing comprised a significant 29.7% of revenues in fiscal
2009, further signifying the district's weak financial
flexibility.
Typical of Michigan school districts, state aid comprises the
majority of general operating revenues (70.3% in fiscal 2009),
followed by local property taxes (22.1%). As state aid is per
pupil based, declining enrollment or a decrease in the per pupil
foundation allowance pressures the district's revenues. The State
of Michigan recently announced a reduction in the per pupil
foundation allowance, reducing the funding by $165 per pupil. As
a result, officials are expecting a loss of $750,000 in state aid
revenues in fiscal 2010. Furthermore, the state may reduce the
per pupil foundation allowance by another $127 per pupil,
potentially effective December 2010, further pressuring the
district's revenues and operations. Although the district's
enrollment has been modestly increasing (0.5% estimated increase
between 2009 and 2010) recently due to increased enrollment in the
adult and alternative education programs, continuing reductions in
state aid may put further pressure on the district's finances as
the district's revenue raising flexibility is limited. Reductions
in state aid combined with declining taxable valuations will
continue to pressure the district's future budgets. Moody's will
continue to monitor the district's General Fund position. Failure
to regain structural balance and eliminate the substantial General
Fund deficit could exert future downward pressure on the
district's overall credit profile.
Declining Tax Base In Southeastern Michigan
Moody's believes the district's modest $861 million tax base will
continue to decline in the near term reflecting the regional
contraction of the automotive industry and depreciation of
residential and commercial values. Located in Macomb County (GO
rated Aaa) northeast of Detroit (GO rated Ba3 with negative
outlook) the district's taxable and full valuations began
declining in 2008. Taxable valuation declined by 0.1% and full
valuation declined by 4.9% between 2007 and 2008. Taxable and
full valuations declined a steeper 2.2% and 9% between 2008 and
2009. Although officials report stable operations at the
district's local largest taxpayers and employers, of greater
concern is the significant automotive industry presence in the
regional economy, especially throughout Macomb County. As the
domestic automotive manufacturing sector continues to experience
negative trends, the district may be adversely impacted by job and
population losses that may lead to future declining enrollment.
Macomb County's unemployment level of 18.1% is significantly
higher than the state and national averages of 14.8% and 9.5%,
respectively for September 2009. District resident income levels
approximate state medians with per capita and median family
incomes at 99.9% and 103.8% of the state, respectively. Moody's
expects that valuations will continue to trend downward into the
near term.
High Debt Burden With No Additional Borrowing Planned
Moody's expects the district's debt levels to remain high given
the district's declining full valuations. The district's direct
debt burden of 8.1% is significantly higher than the median debt
burden for Moody's rated Michigan school districts of 2.1%. The
district has a total outstanding $45.3 million general obligation
bonds and $24.2 million borrowed from the State's School Bond Loan
Fund. Principal amortization is rapid, with 79.3% of all debt
retired in ten years. The district reports no major capital needs
and has no plans to issue debt in the near-term.
Outlook
The assignment of the negative outlook reflects Moody's
expectations that the district will continue to experience revenue
pressures, exacerbated by declining state aid, the district's
shrinking taxbase and lack of expenditure controls, resulting in a
further weakening of the district's already significantly
challenged financial operations. Future credit reviews will focus
on the district's ability to regain structural balance and
eliminate the General Fund deficit.
What could lead to a rating upgrade (or revise the outlook to
stable):
- Material operating surpluses, achieved through structurally
balanced financial solutions that will carry forward to future
budgets.
- Sustained economic improvement coupled with revenue
enhancements.
What could lead to a rating downgrade:
- Continued structural imbalance resulting from negative budget
variances yielding larger deficits in the General Fund.
- Further economic deterioration, and reductions in state aid
resulting in continued declining revenues and increasing
pressure on district operations.
Key Statistics
* 2000 Census population: 11,112
* 2008 Full valuation: $861 million
* 2008 Full value per capita: $80,201
* Macomb County unemployment (9/09): 18.1%
* District per capita income: 99.9%
* District median family income: 103.8%
* Average annual enrollment (2003 - 2008): -1.0%
* Fiscal 2008 General Fund balance: -$5.2 million (-16.2% of
General Fund revenues)
* Direct debt burden: 8.1%
* Principal payout (10 years): 79.3%
* Total general obligation unlimited tax debt outstanding:
$45.3 million
Moody's rated general obligation unlimited tax debt outstanding:
$26.4 million
The last rating action with respect to Clintondale Community
Schools (MI) was on January 24, 2004, when its Baa3 general
obligation unlimited tax rating was affirmed.
COMM 2007-FL14: Moody's Reviews Ratings Three Rake Classes
----------------------------------------------------------
Moody's Investors Service placed three rake classes of COMM 2007-
FL14 under review for possible downgrade due to the deterioration
in performance of the Carr California Portfolio Loan. The loan
represents a 50% pari passu interest with the Bear Stearns
Commercial Mortgage Securities Inc. Commercial Mortgage Pass-
Through Certificates, Series 2007-BBA8 transaction. Moody's
review will focus on the performance of the loan which is secured
by two suburban office buildings located in the San Jose office
market.
Moody's rating action is:
-- Class CA1, $964,900, Placed Under Review for Possible
Downgrade; previously downgraded to Baa3 from A2 on 2/24/09;
-- Class CA2, $578,940, Placed Under Review for Possible
Downgrade; previously downgraded to Ba1 from A3 on 2/24/09;
-- Class CA3, $385,960, Placed Under Review for Possible
Downgrade; previously downgraded to Ba2 from Baa1 on 2/24/09
FORD CREDIT: S&P Assigns Ratings on $1.6988 Bil. 2009-E Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Ford
Credit Auto Owner Trust 2009-E's $1.6988 billion asset-backed
notes series 2009-E.
The ratings reflect S&P's opinion of:
* The availability of approximately 17.57%, 14.52%, 12.42%, and
9.83% credit support to the class A, B, C, and D notes,
respectively, based on stressed break-even cash flow scenarios.
* These credit support levels provide more than 5x, 4x, 3x, and 2x
S&P's expected net loss range of 2.95%-3.25% to the class A, B,
C, and D notes, respectively;
* The transaction's ability to withstand more than 1.5x S&P's
expected net loss level in its "what-if" scenario analysis
before the notes become vulnerable to a negative CreditWatch
action and/or a potential downgrade;
* The timely interest and principal payments made under stressed
cash flow modeling scenarios appropriate to the assigned rating
categories;
* The characteristics of the pool being securitized;
* Ford Motor Credit Co. LLC's extensive securitization performance
history going back to 1989; and
* The transaction's payment and legal structures.
Ratings Assigned
Ford Credit Auto Owner Trust 2009-E
Interest Amount Expected legal
Class Rating Type rate (mil. $) final maturity date
----- ------ ---- -------- -------- -------------------
A-1 A-1+ Senior Fixed 455.00 December 2010
A-2 AAA Senior Fixed 328.00 March 2012
A-3 AAA Senior Fixed 602.00 January 2014
A-4 AAA Senior Fixed 197.30 November 2014
B AA Sub Fixed 49.90 April 2015
C A Sub Fixed 33.30 August 2015
D BB+ Sub Fixed 33.30 May 2016
GCO EDUCATION: Fitch Affirms Ratings on Senior Student Loans
------------------------------------------------------------
Fitch Ratings affirms the ratings on the senior student loan notes
and downgrades the subordinate and junior subordinate notes of the
GCO Education Loan Funding Master Trust II, removing any Rating
Watch Negative and assigning Stable Outlooks to all ratings. The
senior parity has been increasing, helped by redemption of the
senior notes. However, the trust's excess spread level has not
been meeting expectations, and the parities for the subordinate
and junior subordinate notes remain well below 100%. A complete
list of rating actions is at the end of this press release.
The subordinate and junior subordinate notes were placed on Rating
Watch Negative Oct. 31, 2008 as a result of disruptions in the
auction-rate market. A detailed review of the transactions,
applying Fitch's Global Structured Finance Rating Criteria,
revealed that the trust has not been producing sufficient excess
spread due to increased costs associated with the auction-rate
securities. The downgrades are the result of increased
uncertainty of parity build-up that will allow the full redemption
of the subordinate and junior subordinate notes. The parities for
the trust, as of September 2009, were 98.56%, 96.48%, and 103.84%
for the junior subordinate, subordinate, and senior notes. Stable
Outlooks are assigned because the ratings are expected to remain
stable for the next two years.
The collateral supporting GCO ELF Master Trust II notes consist
entirely of federally guaranteed student loans originated under
the Federal Family Education Loan Program. FFELP loans are
guaranteed at least 97% of principal and accrued interest,
depending on the loan origination date.
Fitch affirms the ratings and assigns Outlooks to these senior
classes of GCO ELF Master Trust II notes:
-- Class A-1AR notes at 'AAA/LS1'; Outlook Stable;
-- Class A-1L notes at 'AAA/LS1'; Outlook Stable;
-- Class A-1RRN notes at 'AAA/LS1'; Outlook Stable;
-- Class A-2AR notes at 'AAA/LS1'; Outlook Stable;
-- Class A-2L notes at 'AAA/LS1'; Outlook Stable;
-- Class A-3AR notes at 'AAA/LS1'; Outlook Stable;
-- Class A-3L notes at 'AAA/LS1'; Outlook Stable;
-- Class A-4AR notes at 'AAA/LS1'; Outlook Stable;
-- Class A-4L notes at 'AAA/LS1'; Outlook Stable;
-- Class A-5AR notes at 'AAA/LS1'; Outlook Stable;
-- Class A-5L notes at 'AAA/LS1'; Outlook Stable;
-- Class A-6AR notes at 'AAA/LS1'; Outlook Stable;
-- Class A-6L notes at 'AAA/LS1'; Outlook Stable;
-- Class A-7AR notes at 'AAA/LS1'; Outlook Stable;
-- Class A-7L notes at 'AAA/LS1'; Outlook Stable;
-- Class A-8AR notes at 'AAA/LS1'; Outlook Stable.
Fitch downgrades the ratings; removes from Rating Watch Negative;
and assigns Outlooks to these subordinate and junior subordinate
classes of GCO ELF Master Trust II notes:
-- Class B-1AR notes to 'BBB/LS3' from 'AA+/LS3'; Outlook
Stable;
-- Class B-2AR notes to 'BBB/LS3' from 'AA+/LS3'; Outlook
Stable;
-- Class B-3AR notes to 'BBB/LS3' from 'AA+/LS3'; Outlook
Stable;
-- Class C-1L notes to 'BB/LS3' from 'A-/LS3'; Outlook Stable.
IMPAC CMB: S&P Corrects Ratings on Two Classes of 2004-10 Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on
classes 1-A-2 and 2-A from Impac CMB Trust Series 2004-10 by
raising them to 'CC' from 'D'.
On Nov. 17, 2009, S&P incorrectly lowered its ratings on classes
1-A-2 and 2-A to 'D' based on the underlying ratings. Financial
Guaranty Insurance Co. provides bond insurance for these classes;
S&P withdrew its rating on FGIC on April 22, 2009. Following the
withdrawal, however, the bond insurer continued to cover losses
allocated to these classes. Therefore, S&P should not have
lowered its long-term ratings on these classes to 'D' because the
classes did not experience principal write-downs. The 'CC'
ratings reflect S&P's expectation of default without continued
credit support from FGIC. However, if FGIC stops making payments
under the insurance policy and the classes experience principal
write-downs, S&P will downgrade these classes to 'D'.
Ratings Corrected
Impac CMB Trust Series 2004-10
Rating
------
Class CUSIP Current 11/17/09 Pre-11/17/09
----- ----- ------- -------- ------------
1-A-2 45254NLK1 CC D CC
2-A 45254NLL9 CC D CC
JP MORGAN: Fitch Takes Various Rating Actions on 2005-LDP5 Certs.
-----------------------------------------------------------------
Fitch Ratings takes various rating actions on J.P. Morgan Chase
Commercial Mortgage Securities Corp., Series 2005-LDP5, commercial
mortgage pass-through certificates.
The downgrades are the result of loss expectations and reflect
Fitch's prospective views regarding commercial real estate market
value and cash flow declines. Fitch forecasts potential losses of
3.9% for this transaction, should market conditions not recover.
The rating actions are based on losses of 3.8%, including 100% of
the losses associated with term defaults and any losses associated
with maturities within the next five years. Fitch's actions
account for 25% of the losses associated with maturities beyond
five years. The bonds with Negative Outlooks indicate classes
that may be downgraded in the future.
To determine potential defaults for each loan, Fitch assumed cash
flow would decline by 10% from year-end 2008. That is consistent
with the analysis used in its review of recent vintage
transactions whereby cash flow was assumed to decline 15% from
year-end 2007 projected over a three-year period. If the stressed
cash flow would cause the loan to fall below 0.95 times debt
service coverage ratio, Fitch assumed the loan would default
during the term. To determine losses, Fitch used the above
stressed cash flow and applied a market cap rate by property type,
ranging between 7.5% and 10%, to derive a value. If the loan
balance at default is less than Fitch's derived value, the loan
would realize that amount of loss. These loss estimates were
reviewed in more detail for loans representing 62.8% of the pool
and, in certain cases, revised based on additional information
and/or property characteristics. Loss expectations attributed to
loans reviewed in detail represent approximately 82% of the 3.7%.
Approximately 81.1% of the mortgages mature within the next five
years: 10.9% in 2010, 1.5% in 2011 and 2.9% in 2012 and 62% in
2015.
Fitch identified 21 Loans of Concern (14%) within the pool, eight
of which (7.8%) are specially serviced. Of the specially serviced
loans, two (4.9% of the pool) are current. Three of the Fitch
Loans of Concern (8.1%) are within the transaction's top 15 loans,
and two (5.9%) are specially serviced.
One of the Loans of Concern (2.1%) within the top 15 loans is
assumed to default during the term, with a loss severity of
approximately 35%. Fitch expects that the remaining 14 of the top
15 loans may default at maturity based on an insufficient accrued
equity position as calculated in Fitch's refinance test. A loan
would pass the refinance test if the stressed cash flow would
achieve a 1.25x DSCR as calculated based on a 30-year amortization
schedule and an 8% coupon.
The largest contributors to loss are: DRA-CRT Portfolio (3.3%),
Hanover Mall (2.1%) and Raleigh Office Centre (0.8%).
The DRA-CRT portfolio is collateralized by a portfolio of 30
office properties located in Orlando, FL, Jacksonville, FL and
Memphis, TN. The portfolio has a broad mix of national and
regional tenants. Property performance has declined since
issuance. As of June 30, 2009 the portfolio was 78.9% occupied
compared to 88.3% at issuance while DSCR declined to 1.65x
compared to 1.73x at issuance. The decline in DSCR does not yet
reflect the full effect of the vacancies. Fitch expects that the
loan may default at maturity in October 2010 based on its
refinance test which stresses the cash flow and assumes
amortization and an 8% coupon versus the 5.35% interest rate in
place.
The Hanover Mall transferred to the special servicer in November
2009 for imminent default when the borrower informed the servicer
that it would cease making payments. The loan is currently 30
days delinquent. The loan is collateralized by a 706,005 square
foot anchored retail center located in Hanover, MA. Property
performance has declined over the past year. Circuit City, KB
Toys, Ritz Camera, and Zale's Jewelers all filed bankruptcy and
closed their stores at the property during the first half of 2009.
Revenues have also been under pressure from tenants requesting
rental rate concessions to keep their stores open at the property.
As of third-quarter 2009 (3Q'09) DSCR and occupancy were 1.14x and
92.8%, respectively, compared to 1.20x and 98.2% at issuance. As
of the 3Q'09 rent roll, base rental revenues have declined
approximately 22% compared to issuance underwriting.
The Raleigh Office Centre loan is collateralized by a 289,279 sf
office property in Southfield, MI. As of 2Q'09, occupancy and
DSCR were 67% and 0.71x, respectively. The property has struggled
with occupancy levels since issuance and has never performed above
a 1.0x DSCR. The largest tenant at the property, Metropolitan
Life Insurance (40% of net rentable area) has a lease which
expires at year-end 2009. A renewal is currently being
negotiated; however, Metropolitan Life's current rental rate is
approximately 33% above market according to the CBRE 3Q'09 Detroit
MarketView Report. Due to the depressed economic conditions in
the area it is likely that the property will continue to struggle.
Fitch has downgraded and assigned loss severity ratings to these
classes:
-- $299 million class A-J to 'AA/LS3' from 'AAA'; Outlook
Stable;
-- $26.2 million class B to 'AA/LS5' from 'AA+'; Outlook Stable.
Fitch has downgraded, removed from Rating Watch Negative, and
assigned Rating Outlooks and LS ratings to these classes:
-- $73.4 million class C to 'A/LS5' from 'AA'; Outlook Stable;
-- $42 million class D to 'A/LS5' from 'AA-'; Outlook Stable;
-- $21 million class E to 'A/LS5' from 'A+'; Outlook Stable;
-- $52.5 million class F to 'BBB/LS5' from 'A'; Outlook Stable;
-- $36.7 million class G to 'BB/LS5' from 'A-'; Outlook Stable;
-- $52.5 million class H to 'BB/LS5' from 'BBB+'; Outlook
Stable;
-- $42 million class J to 'BB/LS5' from 'BBB'; Outlook Stable;
-- $63 million class K to 'B-/LS5' from 'BB'; Outlook Negative;
-- $26.2 million class L to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $15.7 million class M to 'B-/LS5' from 'B+'; Outlook
Negative;
-- $15.7 million class N to 'B-/LS5' from 'B'; Outlook Negative.
Fitch has revised the RR rating on this class:
-- $10.5 million class Q to 'CCC/RR6' from 'CCC/RR1'.
Fitch has affirmed, removed from Rating Watch Negative, and
assigned Rating Outlooks and LS ratings to these classes:
-- $5.2 million class O 'B-/LS5'; Outlook Negative;
-- $5.2 million class P 'B-/LS5'; Outlook Negative.
Fitch also affirms these classes and assigns LS ratings as
indicated:
-- $193.5 million class A-1 'AAA/LS1'; Outlook Stable;
-- $200 million class A-2FL 'AAA/LS1'; Outlook Stable;
-- $297.5 million class A-2 'AAA/LS1'; Outlook Stable;
-- $171.5 million class A-3 'AAA/LS1'; Outlook Stable;
-- $1,395.9 million class A-4 'AAA/LS1'; Outlook Stable;
-- $169.5 million class A-SB 'AAA/LS1'; Outlook Stable;
-- $445.6 million class A-1A 'AAA/LS1'; Outlook Stable;
-- Interest only class X-1 at 'AAA'; Outlook Stable;
-- Interest only class X-2 at 'AAA'; Outlook Stable;
-- $419.7 million class A-M 'AAA/LS3'; Outlook Stable.
Fitch does not rate the $52.5 million class P or any of the rake
classes HG-1 through HG-5.
KEYCORP STUDENT: Fitch Downgrades Ratings on 15 Classes of Notes
----------------------------------------------------------------
Fitch Ratings downgrades 15 classes and affirms two classes from
four KeyCorp Student Loan Transactions. The downgrades reflect
significant deterioration of private student loan collateral.
Losses are accumulating at a faster pace than anticipated and the
loss multiples calculated were indicative of lower ratings for the
downgraded notes.
Fitch affirms the ratings on the top two senior tranches of 2004-A
because the loss multiples were higher, reflective of greater
seasoning. Fitch has removed all ratings from Rating Watch
Negative and assigned Negative Outlooks, reflecting Fitch's
concern that the collateral performance may continue to
deteriorate and Fitch's view on the private student loan sector in
general. The Global SF Criteria and U.S. Private SL ABS Criteria
were used to review the transaction.
Loss multiples based on the latest performance data were derived
to determine the appropriate ratings. The projected net loss
amounts were compared to available credit enhancement to determine
the loss multiples for each rating category. Fitch used both data
provided by KeyCorp and proxy data from other issuers to form a
loss timing curve representative of each pool depending on loan
composition. After giving credit for seasoning of loans in
repayment, Fitch applied the trust's current cumulative gross loss
level to this loss timing curve to derive the expected gross
losses over the projected remaining life. A recovery rate of 15%
was applied, which was the level assumed during the transaction's
initial review. The gross loss projections ranged from 13% to 23%
against the original pool balance between the transactions.
Credit enhancement for the transactions consists of excess spread,
overcollateralization for transactions with a parity ratio of
above 100%, a reserve account, and subordination for the senior
and mezzanine notes. Fitch assumed excess spread to be the lesser
of the average historical excess spread (earning on the assets
minus interest payments to bondholders and fees) and the most
recent 12-month average excess spread, and applied that same rate
over the remaining life.
The 2001-A transaction also benefits from a financial guaranty
provided by MBIA Insurance Corp., which is not rated by Fitch.
The analysis does not incorporate MBIA's guaranty, but MBIA still
remains obligated to insure timely interest and ultimate principal
payments on the note.
The private student loan collateral consists primarily of Key
Alternative Loans originated to undergraduate students. The
trusts may also include a combination of graduate student loans,
career loans, consolidation loans, and CampUS$oor loans marketed
through the direct to consumer channel. Additionally, a portion
of the collateral is guaranteed by The Education Resources
Institute. TERI filed for chapter 11 bankruptcy protection in
April 2008. No credit was given to the possibility of TERI making
any claim payments.
Fitch has taken these rating actions:
KeyCorp 2001-A Group II
-- II-A-2 downgraded to 'A+' from 'AAA'; Outlook Negative.
KeyCorp 2004-A Group II
-- II-A-2 affirmed at 'AAA'; Outlook Negative;
-- II-B affirmed at 'AA'; Outlook Negative;
-- II-C downgraded to 'A-' from 'A'; Outlook Negative;
-- II-D downgraded to 'BB+' from 'BBB-'; Outlook Negative.
KeyCorp 2005-A Group II
-- II-A-2 downgraded to 'AA' from 'AAA'; Outlook Negative;
-- II-A-3 downgraded to 'AA' from 'AAA'; Outlook Negative;
-- II-A-4 downgraded to 'AA' from 'AAA'; Outlook Negative;
-- II-B downgraded to 'BBB' from 'A; Outlook Negative;
-- II-C downgraded to 'BB' from 'BBB'; Outlook Negative.
KeyCorp 2006-A Group II
-- II-A-1 downgraded to 'A-' from 'AAA'; Outlook Negative;
-- II-A-2 downgraded to 'A-' from 'AAA'; Outlook Negative;
-- II-A-3 downgraded to 'A-' from 'AAA'; Outlook Negative;
-- II-A-4 downgraded to 'A-' from 'AAA'; Outlook Negative;
-- II-B downgraded to 'BB-' from 'A; Outlook Negative;
-- II-C downgraded to 'B-' from 'BBB'; Outlook Negative.
KIMBERLITE CDO: Fitch Downgrades Ratings on Eight Classes of Notes
------------------------------------------------------------------
Fitch Ratings has downgraded eight classes and removed from Rating
Watch Negative two classes issued by Kimberlite CDO I as a result
of significant negative credit migration of the commercial
mortgage backed securities collateral within the portfolio.
The transaction entered an Event of Default on Nov. 13, 2009 when
the ratio of the net outstanding portfolio balance over the sum of
the super senior notional amount and the outstanding amount of the
class A notes failed the 100% threshold. The test failure was due
to downgrades to the underlying collateral and the application of
the documented overcollateralization haircuts to assets rated
'BB-' and below. Noteholders have not given direction to
accelerate the notes or liquidate the portfolio at the time of
this review.
Since Fitch's last rating action in March 2009, approximately
43.2% of the portfolio has been downgraded, and 47.2% was placed
on Rating Watch Negative. Approximately 89.3% of the portfolio
has a Fitch derived rating below investment grade and 26.8% has a
rating in the 'CCC' rating category or lower, compared to 33.4%
and 0%, respectively, at last review. Defaulted securities, as
defined in the transaction's governing documents, now comprise
4.7% of the portfolio, compared to 0.7% at last review.
This transaction was analyzed 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. The degree of correlated default
risk of this collateral is high given the CMBS and vintage
concentrations. Further, in its review, Fitch analyzed the
structure's sensitivity to the default of the distressed
collateral ('CCC' category and lower).
Fitch's loss expectation exceeds the credit enhancement available
to all classes. Given the high probability of default of the
underlying assets and the expected limited recovery prospects upon
default, all classes have been downgraded to 'C', indicating that
default is inevitable at maturity.
While the class A and B notes are receiving timely interest
distributions, the notional balance of the super senior notes
relative to the performing portion of the portfolio makes it
unlikely for the class A to receive any principal repayment. The
class C through H notes are receiving interest paid in kind
whereby the principal amount of the notes is written up by the
amount of interest due. Fitch does not expect these classes to
receive any future payments.
Kimberlite CDO I is a hybrid commercial real estate collateralized
debt obligation that closed on Sept. 28, 2006. Kimberlite CDO I
combines the use of synthetic and cash assets, as well as unfunded
and funded liabilities. The unfunded super senior class is senior
to the funded liabilities and is not rated by Fitch. The
portfolio is selected and managed by BlackRock Financial
Management, Inc.
Fitch has downgraded these classes as indicated:
-- $79,375,000 class A to 'C' from 'B;
-- $40,125,000 class B to 'C' from 'B;
-- $46,144,111 class C to 'C' from 'CCC';
-- $10,214,791 class D to 'C' from 'CCC';
-- $9,841,417 class E to 'C' from 'CCC';
-- $11,757,628 class F to 'C' from 'CCC';
-- $12,173,541 class G to 'C' from 'CCC';
-- $23,083,900 class H to 'C' from 'CCC'.
In addition, classes A and B have been removed from Rating Watch
Negative.
Fitch does not rate the super senior class.
KNOWLEDGEFUNDING OF OHIO: Fitch Affirms Ratings on Student Loans
----------------------------------------------------------------
Fitch Ratings affirms the ratings on the senior student loan notes
and downgrades the subordinate bonds of the KnowledgeFunding of
Ohio 2005 Indenture of Trust; removing any ratings from Negative
Watch and assigning Stable Outlooks to all ratings. The senior
parity has been increasing, helped by redemption of the senior
notes. However, the trust's excess spread level has not been
meeting expectations, and the parities for the subordinate bonds
remain well below 100%.
The subordinate bonds were placed on Rating Watch Negative on
Oct. 31, 2008, as a result of disruptions in the auction-rate
market. A detailed review of the transactions, applying Fitch's
Global Structured Finance Rating Criteria, revealed that the trust
has not been producing sufficient excess spread due to increased
costs associated with the auction-rate securities. The downgrades
are the result of increased uncertainty of parity build-up that
will allow the full redemption of the subordinate bonds. The
parities for the trust, as of September 2009, were 94.80% and
106.88% for the subordinate and senior bonds, respectively.
Stable Outlooks are assigned because the ratings are expected to
remain stable for the next two years.
The collateral supporting KnowledgeFunding of Ohio 2005 Indenture
of Trust consists entirely of federally guaranteed student loans
originated under the Federal Family Education Loan Program. FFELP
loans are guaranteed at least 97% of principal and accrued
interest, depending on the loan origination date.
Fitch affirms and assigns Outlooks to these senior classes of
KnowledgeFunding of Ohio 2005 Indenture of Trust bond:
-- 2005 class A-1 notes at 'AAA/LS1'; Outlook Stable;
-- 2005 class A-2 notes at 'AAA/LS1'; Outlook Stable;
-- 2005 class A-3 notes at 'AAA/LS1'; Outlook Stable;
-- 2006 class A-1 notes at 'AAA/LS1'; Outlook Stable;
-- 2006 class A-2 notes at 'AAA/LS1'; Outlook Stable;
-- 2006 class A-3 notes at 'AAA/LS1'; Outlook Stable.
Fitch downgrades and removes from Rating Watch Negative, and
assigns Outlooks to these subordinate classes of KnowledgeFunding
of Ohio 2005 Indenture of Trust notes:
-- 2005 class C-1 notes to 'BB/LS3' from 'A/LS3'; Outlook
Stable;
-- 2006 class C-1 notes to 'BB/LS3' from 'A/LS3'; Outlook
Stable.
LEHMAN MORTGAGE: Fitch Changes Ratings on Four Classes of Notes
---------------------------------------------------------------
Fitch Ratings has revised the ratings on classes 9A2, 10A4, 11A1,
and 12A4 of Lehman Mortgage Trust 2007-5.
These bonds were downgraded to 'D' on Oct. 6, 2009 following a
reported principal write-down as of the September 2009
distribution date. Fitch periodically downgrades RMBS bonds that
incur write-downs to 'D' as part of its ongoing surveillance
process. However, the allocation of losses to these bonds was
recently deemed incorrect and the distributions have since been
adjusted. Since these bonds have not incurred principal write-
downs as originally reported, Fitch is revising the bonds' ratings
back to the ratings that were in place prior to the Oct. 6
downgrades.
-- Class 9A2 revised to 'C/RR3' from 'D/RR3';
-- Class 10A4 revised to 'C/RR3' from 'D/RR3';
-- Class 11A1 revised to 'C/RR2' from 'D/RR2';
-- Class 12A4 revised to 'C/RR3' from 'D/RR3'.
The Recovery Rating scale is based upon the expected relative
recovery characteristics of an obligation. For structured
finance, Recovery Ratings are designed to estimate recoveries on a
forward-looking basis while taking into account the time value of
money. The methodology used to assign Recovery Ratings is
described in Fitch's Aug. 17, 2009 report, 'Criteria for
Structured Finance Recovery Ratings'.
MARBLE FINANCE: S&P Corrects Rating on EUR8 Mil. Class A-1 Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services corrected its rating on Marble
Finance Ltd. series 2002-4's EUR8.0 million class A-1 repackaged
note by lowering it to 'D' from 'A+'. S&P subsequently withdrew
the rating.
S&P's rating on the note is dependent on the lowest of the ratings
on (i) the underlying security, Landesbank Baden-Wurttember's 6M-
EURIBOR plus 0.04% notes due Oct. 9, 2012 ('AA+'); (ii) the
reference obligation, Marylebone Road CBO 3 B.V.'s floating-rate
class A-1 notes due Oct. 12, 2013 ('B/Watch Neg'); and (iii) the
swap guarantor, Lehman Bros. Holdings Inc.
The downgrade reflects a Nov. 27, 2008, payment default on the
note resulting from the failure of Lehman Bros. Holdings to meet
its swap obligations. The downgrade did not occur
contemporaneously with the payment default on the note due to an
administrative error.
NEW JERSEY HEALTH: Fitch Cuts Ratings on $22 Mil. Bonds to 'B-'
---------------------------------------------------------------
Fitch Ratings has downgraded to 'B-' from 'BBB' the outstanding
$22.7 million New Jersey Health Care Facilities Financing
Authority's revenue bonds, Deborah Heart and Lung Center, series
1993. The Rating Outlook is revised to Negative from Stable.
The major reasons for the downgrade include the continuing large
operating losses and a further significant erosion of in DHLC's
liquidity, which had historically been weak, caused by declining
utilization, employee retirement funding and recent capital
spending. On Sept. 30, 2009, DHLC had unrestricted cash and
investments of $4.1 million, equal to 12.2 days cash relative to
expenses, a decrease from $9.9 million as of Dec. 31, 2008, and an
outstanding balance of $3.6 million from a draw on lines of
credit. In December 2008, DHLC elected to request a $3 million
advance from the State's Health Care Subsidy Fund in order to be
able to pay a contractor and continues to have over 90 days in
current liabilities. Additionally, the Deborah Hospital
Foundation, which has guaranteed DHLC's payment of the 1993 bonds,
has seen a sharp decrease in its unrestricted investments to
$9 million on Sept. 30, 2009, from $33 million in 2006, both as a
result of transfers to DHLC and market losses. Also of concern is
the delay in the release of the audit for the fiscal year ending
Dec. 31, 2008, which is required to be completed 120 days after
the close of the fiscal year, but has not yet been officially
released (Fitch was provided a draft of the audit). Among the
reasons reported by management for the delay was a change in the
Director of Finance position and an issue regarding impairment of
the Center's assets in order to comply with FAS 144.
DHLC reported operating loss of $20.9 million for the fiscal
year ending Dec. 31, 2008 (a negative operating margin of
16.2%) and, after a $14 million contribution from the Foundation,
a bottom line loss of $15 million (a negative excess margin of
4.4%). Fitch excludes from the above calculations the impact
of an $8.8 million loss on impairment of assets. Management had
instituted a workforce reduction plan, including both early
retirement, as well as layoffs, resulting in a reduction of 92
Full Time Equivalents. Coverage of maximum annual debt service
for fiscal 2008 was 1.49 times based on the bond document
calculation, which includes contributions made by the Foundation
pursuant to a subsidy agreement, whereby the Foundation is
obligated to fund DHLC's cash flow requirements. For the nine-
month September 2009 period, operating loss was $7.4 million,
an improvement over the prior year loss for the period of
$13.9 million, but $6 million unfavorable to budget.
Despite DHLC's strong reputation as a provider of quality cardiac,
pulmonary, and vascular services in New Jersey, operations have
been affected by declining utilization leading to a decline in
revenues. Net patient revenues decreased by 5.4% in fiscal 2008
and a further 8.6% drop was reported for the nine-month interim
period. Overall discharges decreased by 3.3% in fiscal 2008 and
by 7.1% for the September interim period. Open heart volume
declined by 11% in fiscal 2008 and 23% for the interim period as
less invasive modalities are employed to treat patients and due to
loss of market share.
Fitch views positively the recently signed Binding Letter of
Intent from Our Lady of Lourdes Health System, part of Catholic
Healthcare East, to provide the funds to establish and operate a
Satellite Emergency Department at the DHLC site, which management
expects to bolster utilization by acting as a feeder for DHLC's
services. The addition of an emergency department is particularly
timely given the expected expansion of the nearby McGuire Air
Force Base, which is being converted to the nation's first Mega
Base, incorporating personnel and their families from the Army,
Navy and Coast Guard. Fitch also views positively the fact that
management had terminated two swaps prior to the market collapse,
thus avoiding further liquidity strain.
The Negative Outlook is based on Fitch's concern with the
continuing sizeable, albeit reduced, operating loss in 2009, and a
liquidity position that provides little flexibility to fund DHLC's
liabilities and ongoing capital needs.
Deborah Heart and Lung Center is a 161-bed tertiary care cardiac,
pulmonary, and vascular care facility, which is located in Browns
Mills, NJ (approximately 20 miles from Trenton). DHLC had total
revenues of approximately $129.7 million in fiscal 2008. DHLC
covenants to disclose only annual audited financial information
(within 120 days) to the Municipal Securities Rulemaking Board's
EMMA system, which Fitch views negatively. However, Fitch does
note that DHLC's bond covenants date back to documents produced in
1993 when the expectations for disclosure were not as thorough.
Currently, DHLC does provide quarterly and annual audited
information to the trustee and the New Jersey Health Care
Facilities Financing Authority as well as to bondholders upon
request.
NCB FSB: Fitch Downgrades CMBS Master Servicer Rating to 'CMS3'
---------------------------------------------------------------
Fitch Ratings downgrades NCB, FSB's commercial mortgage-backed
securities master servicer rating to 'CMS3' from 'CMS2-'.
Additionally, Fitch affirms NCB, FSB's CMBS primary servicer
rating of 'CPS2+' and National Cooperative Bank's CMBS special
servicer rating of 'CSS3'.
The master servicer rating downgrade is due to the financial
challenges facing National Consumer Cooperative Bank and its
subsidiary NCB, FSB. On Nov. 25, 2009, Fitch downgraded the long-
term Issuer Default Rating of NCCB and NCB, FSB to 'B' from 'BB-'
following the review of the company's recent financial disclosure
showing substantial asset quality deterioration. Both ratings
remain on Rating Watch Negative.
A company's financial condition is a particularly important factor
in the master servicer rating due to the advancing obligations
associated with CMBS master servicer responsibilities.
As of June 30, 2009, NCB, FSB's primary servicing portfolio
consisted of 4,199 loans, totaling $5.5 billion. As of the same
date, NCB, FSB was named master servicer on 37 securitized
transactions, totaling $4.7 billion. In addition, as of Sept. 30,
2009, the bank was named special servicer for 40 transactions
totaling $4.4 billion.
Fitch rates commercial mortgage primary, master, and special
servicers on a scale of 1 to 5, with 1 being the highest rating.
Within each of these rating levels, Fitch further differentiates
ratings by plus (+) and minus (-) as well as the flat rating.
SORIN REAL: S&P Downgrades Ratings on Eight Classes of Notes
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes from Sorin Real Estate CDO IV Ltd. S&P removed one of
the ratings from CreditWatch and seven ratings remain on
CreditWatch negative. Concurrently, S&P affirmed its rating on
one class and removed it from CreditWatch negative.
The downgrades reflect S&P's analysis of the transaction
following its rating actions on the underlying commercial
mortgage-backed securities and collateralized debt obligations
assets ($81.3 million, 21.1%). Seven of the ratings remain on
CreditWatch with negative implications because of the tranches'
exposure to CMBS collateral with ratings on CreditWatch negative
($57.6 million, 14.9%). Sorin IV has significant exposure to
Standard & Poor's downgraded CMBS, including these:
* Wachovia Bank Commercial Mortgage Trust's series 2006-WHALE7
(classes WB, BH4, and KH2; $25.2 million, 6.5%);
* Wachovia Bank Commercial Mortgage Trust's series 2007-C30 (class
AM; $13 million, 3.4%);
* Wachovia Bank Commercial Mortgage Trust's series 2007-C33 (class
AM; $13 million, 3.4%); and
* Bear Stearns Commercial Mortgage Securities Trust 2007-BBA8
(class B; $10.8 million, 2.8%).
According to the Oct 21, 2009, trustee report, there are 10
defaulted assets ($91.4 million, 23.7%) in Sorin IV. The amount
of defaulted assets caused three overcollateralization and two
interest coverage test failures. The defaulted assets include:
* The Eastridge Mall B note ($20 million, 5.2%);
* Two Yellowstone Mountain Club loans totaling $16.9 million,
4.4%;
* The Rhodes Ranch loan ($13.5 million, 3.5%);
* The Chico Mall B note ($8.5 million, 2.2%);
* The Weststate Land Partners loan ($8 million, 2.1%);
* The Flag Luxury Properties loan ($4.5 million, 1.2%); and
* Three CDO securities totaling $20.2 million, 5.2%.
Excluding the defaulted assets, the transaction's current asset
pool includes the following:
* 16 CMBS certificates ($146.5 million, 38%);
* Four mezzanine loans ($73.5 million, 19%);
* Four subordinate interest loans ($49 million, 12.7%);
* Two senior interest loans ($17.9 million, 4.6%); and
* One CDO security ($6.8 million, 1.8%).
S&P's analysis of the transaction was based on information
provided to Standard & Poor's by the collateral manager, the
trustee remittance report, and data on the underlying CMBS deals.
S&P will update or resolve the CreditWatch negative placements on
Sorin IV in conjunction with S&P's resolution of the CreditWatch
placements on the CMBS assets and/or as S&P analyze the credit
characteristics of the remaining assets.
Ratings Lowered And Remaining On Creditwatch Negative
Sorin Real Estate CDO IV Ltd.
Rating
------
Class To From
----- -- ----
A-1 A+/Watch Neg AAA/Watch Neg
A-2 A-/Watch Neg AA+/Watch Neg
A-3 BBB+/Watch Neg AA/Watch Neg
B BBB/Watch Neg AA-/Watch Neg
C BB-/Watch Neg BBB-/Watch Neg
D B/Watch Neg BB+/Watch Neg
E CCC/Watch Neg BB-/Watch Neg
Rating Lowered And Removed From Creditwatch Negative
Sorin Real Estate CDO IV Ltd.
Rating
------
Class To From
----- -- ----
F CCC- CCC/Watch Neg
Rating Affirmed And Removed From Creditwatch Negative
Sorin Real Estate CDO IV Ltd.
Rating
------
Class To From
----- -- ----
G CCC- CCC-/Watch Neg
ST JOSEPH: Moody's Affirms 'Ba3' Rating on $18.6 Mil. Bonds
-----------------------------------------------------------
Moody's Investors Service has affirmed St. Joseph Health Services
of Rhode Island's Ba3 bond rating. The outlook remains negative.
The rating action affects approximately $18.6 million of Series
1999 bonds outstanding.
Legal Security: The Series 1999 bonds are secured by a pledge of
gross receipts of SJHS and a first priority mortgage and security
interest on certain of SJHS' property, including land and
buildings.
Interest Rate Derivatives: None
Challenges
* Although improved, operating performance remains thin and below
budget in unaudited fiscal year 2009 with an operating deficit
of $3.2 million (-1.8% operating margin) and operating cash flow
of $4.2 million (2.3% operating cash flow margin) up from an
operating deficit of $9.8 million (-5.5% operating margin) and
negative operating cash flow of $2.4 million (-1.3% operating
cash flow margin) in FY 2008
* Liquidity has held steady but remains below average at unaudited
fiscal year end 2009 with an unrestricted cash balance of
$15.3 million (31.5 days cash on hand) up from $14.0 million
(27.9 days cash on hand) at FYE 2008
* Competitive environment in Providence and greater Rhode Island
area, leading to challenging trends in inpatient and certain
outpatient services (9% decline in inpatient admissions and 5.5%
decline in outpatient surgeries in FY 2009)
* Pension plan under funded by approximately $50 million but as a
Church Plan is not bound by ERISA regulations and therefore not
required to make contributions to the plan although pension
expense is expected to increase in FY 2010
Strengths
* Near completion of consolidation of the system's two campuses
into the Fatima Campus (consolidation expected to be completed
December 7th, 2009); management currently has some potential
buyers of the St. Joseph's campus but a final sale price has
not been established
* Conservative investment policy with unrestricted cash invested
in a money market fund and all fixed rate debt; net payment of
$4 million made to the state for prior Medicaid overpayments in
FY 2009; repayment to the state to be completed in FY 2010 with
a $1 million remaining payment
* Presence of a fully funded debt reserve fund
* SJHS recently announced an affiliation agreement with Roger
Williams Hospital effective January 4, 2010, whereby the two
hospitals will operate under a single corporate parent called
Charter Care and will retain its individual hospital licenses.
Senior management team is currently being assembled for the new
corporate parent. Senior management teams of the two hospitals
have has thus far identified $7 million in combined savings
related to consolidation of certain shared services and
personnel and is finalizing additional savings with the help of
consultants. Moody's believe that over the longer-term the
affiliation should have favorable benefits for SJHS.
Recent Developments/Results
In October 2009, SJHS and Roger Williams Hospital (not rated by
Moody's) announced that it has entered into an affiliation
agreement under a new corporate parent called Charter Care
effective January 4, 2010. Under the terms of the agreement, both
hospitals will retain their individual hospital licenses and all
assets, liabilities, and revenues will not be commingled. The new
corporate parent will join each of the hospitals obligated groups
but there are no plans to consolidate or refinance the existing
debt of the two hospitals. The current CEO of Roger Williams will
be the CEO of Charter Care and the CEO of SJHS will be the COO of
Charter Care while retaining their respective roles as CEO at each
hospital. The remainder of the Charter Care senior management
team is currently being assembled. At this time, approximately
$15 million in combined savings have been identified related to
consolidation of staff and certain shared services, improved rate
increases from commercial payors and improved group purchasing
contracts which is expected to be realized over the next two
years. At this time, the affiliation agreement was not
incorporated into the rating as the full impact of the affiliation
is not clear. When the agreement takes effect and specifics of
Charter Care's improvement strategies are known in detail, Moody's
will review the rating. However, the debt obligations of each
hospital will remain separately secured.
SJHS is also near completion of the consolidation of its campus
into the Fatima facility and management expects the project to be
completed by December 7, 2009. Only the clinic remains open at
the St. Joseph's facility and there currently are some potential
buyers of the property. The potential sale price has not been
confirmed but if the property is sold, management may use the
proceeds to build a new clinic or enter into a operating lease
agreement.
SJHS recorded improved operating performance in unaudited FY 2009
with operating deficit of $3.2 million (-1.8% operating margin)
and operating cash flow of $4.2 million (2.3% operating cash flow
margin) up from an operating deficit of $9.8 million (-5.5%
operating margin) and negative operating cash flow of $2.4 million
(-1.3% operating cash flow margin) in FY 2008. The improvement in
performance in FY 2009 was driven by various turn around
initiatives including the reduction of 120 FTEs, reduction in
overtime pay, changing of health benefits, improved supply
purchasing rates, rate increases from one of the larger payors and
application of productivity tools. However, Moody's note that
operating performance was under budget by $1 million due to
$1.6 million pension curtailment expense, below budget outpatient
volumes, and a delay in the implementation of FTE reductions.
Patient volumes were also below budget and below prior year levels
with a significant 9% decline in medical/surgical inpatient
admissions (6,980 admissions in FY 2009 from 7,833 admissions in
FY 2008) and a 5% decline in outpatient surgeries (12,583
surgeries in FY 2009 from 13,316 admissions in FY 2008).
According to management, the decline in admissions was driven by
the current recession and campus consolidation efforts. In FY
2010, management is budgeting to have break even performance with
an operating income of $507 thousand (0.3% operating margin) and
operating cash flow of $7.9 million (4.3% operating cash flow
margin). The continued improvement will be driven by rate
increases from commercial payors; volume growth particularly in
psychiatry, rehab, and ED visits; benefits from the completion of
the campus consolidation project; and improved productivity. The
budget does not include any potential benefits from the
affiliation agreement with Roger Williams. Management is
confident the budget will be achieved with the near completion of
the campus consolidation project and the absence of upcoming union
negotiations but volume recovery will remain a challenge as the
state of Rhode Island has been one of the hardest hit states by
the current recession (unemployment rate of 12.9% as of October
2009).
After three consecutive years of liquidity declines, unrestricted
cash and investments at unaudited FYE 2009 has improved slightly
from FYE 2008 levels with an unrestricted cash balance of
$15.3 million (31.5 days cash on hand) at unaudited FYE 2009 up
from $14.0 million (27.9 days cash on hand) at FYE 2008 driven by
improved operating cash flow levels, capital spending below
depreciation, and a conservative investment allocation (all
investments in money market funds). In FY 2009, approximately
$4 million in net payments to the state were maid for prior years
Medicaid overpayments made to the system and currently has
$1 million left to pay in FY 2010. Cash to debt remains thin at
65.4% at FYE 2009 but in line for the rating category (Median cash
to debt was 62.9% in FY 2008) and up from 55.2% at FYE 2008.
Moody's also note favorably that SJHS's debt is all fixed rate.
SJHS decided to no longer keep its $4 million line of credit after
the local bank required collateral equal to the line of credit
available and the fact that the line has never been drawn on.
According to management, the defined benefit pension plan was
$50 million under funded at FYE 2009 but as a Church Plan, SJHS is
not required to make pension contributions. However, pension
expense is expected to increase to $5.4 million in FY 2010 from
$3.6 million in FY 2009, but would have been higher if the plan
was not frozen for new employees. While there is no required
funding by ERISA, the need to fund adequately the pension is an
obligation of the hospital.
Outlook
Moody's negative outlook reflects concerns over the challenges
management faces in reversing negative volume trends of recent
years and the ability to reach the FY 2010 budget.
What could change the rating -- UP
Significant gains in operating performance and rapid growth in
liquidity excluding funds due to Medicaid; patient volume gains;
successful implementation of initiatives related to the
affiliation with Roger Williams
What could change the rating -- DOWN
Decline in liquidity; continued decline in volumes; continued weak
operating cash flow
Key Indicators
Assumptions & Adjustments:
-- Based on financial statements for St. Joseph Health Services
of Rhode Island
-- First number reflects audit year ended September, 30, 2008
-- Second number reflects unaudited financial statements ended
September 30, 2009
-- Investment returns normalized at 6% unless otherwise noted
* Inpatient admissions: 7,633; 6,980 (medical/surgical admissions
only)
* Total operating revenues: $189.9 million; $180.1 million
* Moody's-adjusted net revenue available for debt service:
$-1.5 million; $5.2 million
* Total debt outstanding: $25.4 million; $23.4 million
* Maximum annual debt service: $3.5 million; $3.5 million
* Moody's-adjusted MADS Coverage with normalized investment
income: -0.44 times; 1.49 times
* Debt-to-cash flow: -8.67 times; 6.08 times
* Days cash on hand: 27.9 days; 31.5 days (excluding amounts due
to State: 16.2 days; 27.9 days respectively)
* Cash-to-debt: 55.2%; 65.4% (excluding amounts due to State: 32%;
61% respectively)
* Operating margin: -5.5%; -1.8%
* Operating cash flow margin: -1.3%; 2.3%
The last rating action was on December 17, 2008, when the bond
rating of St. Joseph Health Services of Rhode Island was confirmed
at Ba3 and taken off of Watchlist for further downgrade with a
negative outlook.
TAMPA HOME: Moody's Cuts Ratings on 1983 Series A Bonds to 'C'
--------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the Tampa
Home Mortgage Revenue Bonds, 1983 Series A to C from Caa3. The
rating downgrade affects approximately $2.73 million in
outstanding bonds. The rating outlook is stable.
The C rating reflects the program's continuing financial
deterioration as evidenced by a program-asset-to-debt ratio of
0.47 as of November 16, 2009 (unaudited), down from 0.68, as of
August 1, 2005 (unaudited). The continued financial erosion is
the result of the negative spread between the interest rate earned
on the mortgage loans, reserves and the rate accruing on the
outstanding debt.
The outstanding bonds are municipal multipliers maturing 2014 with
mandatory sinking funds that started in April 2004. The C rating
reflects Moody's expectation that a portion of the remaining debt
outstanding will default. The amount of bonds likely to be
affected by a default is directly tied to the prepayment speed of
the remaining mortgage loans. A slow prepayment speed will mean
more of the remaining bonds will be paid in full but those
remaining bondholders who are not paid in full will get very
little, while a rapid prepayment speed will mean that more of the
remaining bonds will default (assuming no outside infusion of
money) but that recovery could be as high as the current rate of
forty-seven cents on each dollar of remaining bond accretion
amount.
WASHINGTON MUTUAL: Fitch Upgrades Ratings on Subordinate Classes
----------------------------------------------------------------
Fitch Ratings has upgraded the ratings on the subordinate classes
of WaMu Card Series notes issued from the Washington Mutual Master
Note Trust. Fitch had placed these ratings on Rating Watch
Positive after all accounts originated by Washington Mutual Bank
were removed in a non-random manner on May 19, 2009, leaving the
trust with only Chase Bank USA, N.A. (Chase Bank USA)-originated
receivables. That removal also removed delinquent loans, which
caused a significant increase in excess spread. For more details
please refer to the press release, 'Fitch Places 14 Classes of
Washington Mutual Master Note Trust on Watch Positive', dated
May 29, 2009.
However, the WMMNT no longer receives sale treatment for GAAP
purposes and is considered an on-balance sheet trust from an
accounting perspective. As a result, the recent clarification by
the FDIC on the safe harbor issue is not applicable. There is
risk that there could be a stay applied against trust assets in
the event of a takeover of the originating entity, Chase Bank USA,
by the FDIC, which would disrupt cash flow to investors. There
are no structural provisions in the trust that would mitigate such
a stay. Hence, Fitch's ratings on the class A notes are
unchanged, reflecting alignment between the asset-backed
securities rating and that of Chase Bank USA (rated 'AA-/F1+' by
Fitch). Fitch's rating actions are listed at the end of this
press release.
Fitch's rating actions on the subordinated notes are driven
primarily by the change in the collateral composition relative to
the available credit enhancement in WMMNT. In its analysis, Fitch
considered the current and expected performance for a fully
seasoned pool of Chase collateral with similar characteristics,
which was used as a proxy to determine the performance for WMMNT
in the future. According to the November 2009 remittance report,
the trust reported a 60+ day delinquency rate of 2.66% and net
chargeoffs of 2.12%. While current chargeoff performance is
exceptionally better than Fitch's Prime Credit Card Index, Fitch
expects a normalization of delinquencies and chargeoffs over the
next few months, which will compress excess spread to levels seen
on other prime trusts.
The monthly payment rate for the month for the November
distribution date was 17.51% and gross yield was at 14.91%. One-
month and three-month average excess spread registered at 9.89%
and 10.6%, respectively.
Fitch has taken these rating actions on the WaMu Card Series
notes:
-- Class 2006-A2 affirmed at 'AA-'; Outlook Stable;
-- Class 2007-A1 affirmed at 'AA-'; Outlook Stable;
-- Class 2007-A2 affirmed at 'AA-'; Outlook Stable;
-- Class 2007-A4 affirmed at 'AA-'; Outlook Stable;
-- Class 2007-A5 affirmed at 'AA-'; Outlook Stable;
-- Class 2007-B1 upgraded to 'A+' from 'BBB'; Outlook Stable;
-- Class 2006-C1 upgraded to 'BBB' from 'BB+'; Outlook Stable;
-- Class 2006-C2 upgraded to 'BBB' from 'BB+'; Outlook Stable;
-- Class 2007-C1 upgraded to 'BBB' from 'BB+'; Outlook Stable;
-- Class 2005-D2 upgraded to 'BB-' from 'B'; Outlook Stable.
In addition, Fitch has removed all class A notes from Rating Watch
Positive.
* S&P Downgrades Ratings on 28 Tranches From Seven CLO Deals
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 28
tranches from seven U.S. collateralized loan obligation
transactions and removed them from CreditWatch with negative
implications. The affected tranches had a total issuance amount
of $1.991 billion. S&P also affirmed its ratings on 19 tranches
from six transactions and removed them from CreditWatch negative.
The downgrades reflect two primary factors:
* The application of S&P's new corporate collateralized debt
obligation 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.
The downgrades of four classes from three transactions resulted
from S&P's application of the largest-obligor default test, which
is one of the supplemental stress tests that S&P introduced as
part of its criteria update.
S&P will continue to review the remaining transactions placed on
CreditWatch following its corporate CDO criteria update and
resolve the CreditWatch status of the affected tranches.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
Clydesdale Strategic CLO I, Ltd. A-1 AA+ AAA/Watch Neg
Clydesdale Strategic CLO I, Ltd. A-2 A+ AA/Watch Neg
Clydesdale Strategic CLO I, Ltd. B BBB+ A/Watch Neg
Clydesdale Strategic CLO I, Ltd. C-1 B+ BBB/Watch Neg
Clydesdale Strategic CLO I, Ltd. C-2 B+ BBB/Watch Neg
Clydesdale Strategic CLO I, Ltd. D CCC- BB/Watch Neg
Denali Capital CLO IV Ltd A AA AAA/Watch Neg
Denali Capital CLO IV Ltd B BBB+ A/Watch Neg
Denali Capital CLO IV Ltd C BB+ BBB/Watch Neg
Denali Capital CLO IV Ltd D B+ BB/Watch Neg
Goldentree Loan Opportunties IV, Ltd A-1a AA+ AAA/Watch Neg
Goldentree Loan Opportunties IV, Ltd A-1b AA+ AAA/Watch Neg
Goldentree Loan Opportunties IV, Ltd A-1cJ AA+ AAA/Watch Neg
Goldentree Loan Opportunties IV, Ltd A-1cS AA+ AAA/Watch Neg
Goldentree Loan Opportunties IV, Ltd C BBB- BBB/Watch Neg
Landmark IX CDO Ltd A-2 AA AAA/Watch Neg
Landmark IX CDO Ltd B A+ AA/Watch Neg
Landmark IX CDO Ltd C BBB A/Watch Neg
Landmark IX CDO Ltd D BB+ BBB/Watch Neg
Landmark IX CDO Ltd E B BB/Watch Neg
Marathon CLO I, Ltd. D BB+ BBB/Watch Neg
Oak Hill Credit Partners V Ltd A-1 AA+ AAA/Watch Neg
Oak Hill Credit Partners V Ltd B A- A/Watch Neg
Oak Hill Credit Partners V Ltd C BB+ BBB-/Watch Neg
Silverado CLO 2006-I Limited A-1 AA+ AAA/Watch Neg
Silverado CLO 2006-I Limited A-1-J AA+ AAA/Watch Neg
Silverado CLO 2006-I Limited C BBB- BBB/Watch Neg
Silverado CLO 2006-I Limited D B+ BB/Watch Neg
Ratings Affirmed And Removed From Creditwatch Negative
Rating
------
Transaction Class To From
----------- ----- -- ----
Goldentree Loan Opportunties IV, Ltd A-2 AA AA/Watch Neg
Goldentree Loan Opportunties IV, Ltd B A A/Watch Neg
Goldentree Loan Opportunties IV, Ltd D BB BB/Watch Neg
Landmark IX CDO Ltd A-1 AAA AAA/Watch Neg
LightPoint CLO 2004-1, Ltd A-1A AAA AAA/Watch Neg
LightPoint CLO 2004-1, Ltd A-1B BBB BBB/Watch Neg
LightPoint CLO 2004-1, Ltd B BB BB/Watch Neg
LightPoint CLO 2004-1, Ltd C B- B-/Watch Neg
LightPoint CLO 2004-1, Ltd D CCC CCC/Watch Neg
LightPoint CLO 2004-1, Ltd X B+ B+/Watch Neg
Marathon CLO I, Ltd. A-1 AAA AAA/Watch Neg
Marathon CLO I, Ltd. A-2 AAA AAA/Watch Neg
Marathon CLO I, Ltd. B AA AA/Watch Neg
Marathon CLO I, Ltd. C A A/Watch Neg
Marathon CLO I, Ltd. E BB BB/Watch Neg
Oak Hill Credit Partners V Ltd A-2 AA AA/Watch Neg
Silverado CLO 2006-I Limited A-1-S AAA AAA/Watch Neg
Silverado CLO 2006-I Limited A-2 AA AA/Watch Neg
Silverado CLO 2006-I Limited B A A/Watch Neg
Other Ratings
Transaction Class Rating
----------- ----- ------
LightPoint CLO 2004-1, Ltd E CC
* S&P Downgrades Ratings on 226 Classes From 34 RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 226
classes from 34 residential mortgage-backed securities
transactions backed by U.S. Alternative-A mortgage loan collateral
issued between 2002 and 2004. S&P removed 55 of the lowered
ratings from CreditWatch with negative implications. S&P also
affirmed its ratings on 235 classes from the 34 downgraded
transactions and four additional Alt-A deals. S&P removed 19 of
the affirmed ratings from CreditWatch with negative implications.
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, because of
increases in delinquencies and the current negative condition of
the housing market.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. For
mortgage pools that continue to report increasing delinquencies,
S&P increased its cash flow stresses to account for potential
increases in monthly losses. In order to maintain a 'B' rating on
a class, 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 its 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 115% of its
base-case loss assumptions to maintain a 'BB' rating, while S&P
would assess whether a different class could withstand
approximately 125% of its 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.
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.
A combination of subordination, excess spread, and
overcollateralization provide credit support for the affected
transactions. The underlying collateral for these deals consists
of fixed- and adjustable-rate U.S. Alt-A mortgage loans secured by
first liens on one- to four-family residential properties.
Rating Actions
Alternative Loan Trust 2004-15
Series 2004-15
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 12667FPV1 BBB- AAA
1-A-2 12667FPW9 CCC AAA
2-A-1 12667FPX7 BB AAA
2-A-2 12667FPY5 CCC AAA
M 12667FQA6 CC CCC
B-1 12667FQB4 CC CCC
Alternative Loan Trust 2004-17CB
Series 2004-17CB
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 12667FNW1 B+ AAA
2-A-1 12667FNX9 B+ AAA
3-A-1 12667FNY7 BBB+ AAA
A-M 12667FNZ4 B+ AA+
M 12667FPB5 CCC BBB
B-1 12667FPC3 CC CCC
B-2 12667FPD1 CC CCC
Alternative Loan Trust 2004-33
Series 2004-33
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 12667FA21 AA- AAA
2-A-1 12667FA39 AA- AAA
3-A-1 12667FA47 B- AAA
3-A-2 12667FA54 B AAA
3-A-3 12667FC52 B- AAA
3-X 12667FA62 B AAA
4-A-1 12667FA70 B- AAA
I-M-1 12667FA96 CC B
II-M-1 12667FB46 CC CCC
I-B-1 12667FB20 CC CCC
Banc of America Alternative Loan Trust 2003-1
Series 2003-1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 05948KAN9 BB- BBB+
Banc of America Funding 2004-4 Trust
Series 2004-4
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-3 05946XKR3 AA AAA
30-B-2 05946XLF8 B- A
30-B-3 05946XLG6 CCC BBB
30-B-4 05946XLL5 CC BB
30-B-5 05946XLM3 CC CCC
Banc of America Funding 2004-B Trust
Series 2004-B
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 05946XHV8 A- AAA/Watch Neg
1-A-2 05946XHW6 A- AAA/Watch Neg
2-A-1 05946XHZ9 AAA AAA/Watch Neg
2-A-2 05946XJA2 AAA AAA/Watch Neg
3-A-1 05946XJB0 BB+ AAA/Watch Neg
3-A-2 05946XJC8 BB+ AAA/Watch Neg
4-A-1 05946XJJ3 A AAA/Watch Neg
4-A-2 05946XJK0 A AAA/Watch Neg
5-A-1 05946XJN4 A AAA/Watch Neg
6-A-1 05946XJP9 CCC AAA/Watch Neg
7-A-1 05946XJR5 AAA AAA/Watch Neg
1-X-1 05946XHX4 A- AAA/Watch Neg
1-X-2 05946XHY2 A- AAA/Watch Neg
3-X-1 05946XJG9 BB+ AAA/Watch Neg
3-X-2 05946XJH7 BB+ AAA/Watch Neg
4-X-1 05946XJL8 A AAA/Watch Neg
4-X-2 05946XJM6 A AAA/Watch Neg
CB-1 05946XJS3 CCC AA/Watch Neg
CB-2 05946XJT1 CC A/Watch Neg
CB-3 05946XJU8 CC BBB/Watch Neg
DB-1 05946XJV6 CC AA/Watch Neg
DB-2 05946XJW4 CC A/Watch Neg
6-B-1 05946XJY0 CCC AA/Watch Neg
6-B-2 05946XJZ7 CC A/Watch Neg
6-B-3 05946XKA0 CC BBB/Watch Neg
7-M-1 05946XKB8 AA AA/Watch Neg
7-M-2 05946XKC6 BBB- A/Watch Neg
7-M-3 05946XKD4 CCC BBB/Watch Neg
Banc of America Funding 2004-C Trust
Series 2004-C
Rating
------
Class CUSIP To From
----- ----- -- ----
2-A-1 05946XLW1 AA AAA/Watch Neg
2-A-2 05946XLX9 AA AAA/Watch Neg
3-A-1 05946XLZ4 AAA AAA/Watch Neg
CB-1 05946XMG5 CCC AA/Watch Neg
CB-2 05946XMH3 CC A/Watch Neg
CB-3 05946XMJ9 CC BBB/Watch Neg
4-A-1 05946XMA8 A AAA
4-A-2 05946XMB6 AA- AAA
4-A-3 05946XMC4 BB AAA
4-M-1 05946XMK6 CCC AA
4-M-2 05946XML4 CC A
4-B-1 05946XMM2 CC BBB
4-B-2 05946XMN0 CC BBB-
Bella Vista Mortgage Trust 2004-2
Series 2004-2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 07820QAY1 BB+ AAA/Watch Neg
A-2 07820QAZ8 AA+ AAA/Watch Neg
A-3 07820QBJ3 BB+ AAA/Watch Neg
A-4 07820QBK0 CCC AAA/Watch Neg
X 07820QBA2 AA+ AAA/Watch Neg
M 07820QBB0 CCC AA/Watch Neg
B-1 07820QBC8 CC A/Watch Neg
B-2 07820QBD6 CC BBB/Watch Neg
CHL Mortgage Pass-Through Trust 2004-25
Series 2004-25
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-2 12669GJZ5 BBB+ AAA
1-A-4 12669GKB6 BBB+ AAA
1-A-5 12669GKC4 BBB+ AAA
1-A-6 12669GKD2 CCC AAA
2-A-2 12669GKG5 BBB AAA
2-A-3 12669GKH3 BBB AAA
2-A-4 12669GKJ9 CCC AAA
3-A-1 12669GKL4 CCC AAA
M-X 12669GKN0 CCC AAA
M-1 12669GKY6 CCC AA+
M-2 12669GKZ3 CCC AA+
M-3 12669GLA7 CCC AA
M-4 12669GLB5 CCC AA
M-5 12669GLC3 CC A
M-6 12669GLD1 CC BB
M-7 12669GLE9 CC B
M-8 12669GLF6 CC CCC
B-1 12669GKP5 CC CCC
B-2 12669GKQ3 CC CCC
Credit Suisse First Boston Mortgage Securities Corp.
Series 2002-AR13
Rating
------
Class CUSIP To From
----- ----- -- ----
V-B 22540VX56 CCC BBB
Credit Suisse First Boston Mortgage Securities Corp.
Series 2002-AR21
Rating
------
Class CUSIP To From
----- ----- -- ----
C-B-1 22540V5C2 CC AAA
C-B-2 22540V5D0 CC AA+
C-B-3 22540V5E8 CC BBB+
IV-B 22540V5F5 CC BBB
Credit Suisse First Boston Mortgage Securities Corp.
Series 2002-AR28
Rating
------
Class CUSIP To From
----- ----- -- ----
C-B-1 22541NPA1 CC AAA
C-B-2 22541NPB9 CC AA+
C-B-3 22541NPC7 CC A-
III-M-2 22541NNZ8 CC A+
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-AR5
Rating
------
Class CUSIP To From
----- ----- -- ----
III-M-2 22541NC23 CC BBB
C-B-1 22541NC31 BB AAA
C-B-2 22541NC49 CCC BBB
C-B-3 22541NC56 CC B
C-B-4 22541NC72 CC CCC
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-AR20
Rating
------
Class CUSIP To From
----- ----- -- ----
IV-M-2 22541QLE0 BBB+ A+
IV-M-3 22541QLF7 CCC A-
C-B-1 22541QLG5 BB AA+
C-B-2 22541QLH3 CCC A+
C-B-3 22541QLJ9 CC BBB+
C-B-4 22541QLL4 CC BB+
C-B-5 22541QLN0 CC B
Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-AR2
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 22541Q6Y3 AAA AAA/Watch Neg
II-A-1 22541Q6Z0 AAA AAA/Watch Neg
III-A-1 22541Q7A4 AAA AAA/Watch Neg
IV-A-1 22541Q7B2 AAA AAA/Watch Neg
V-A-1 22541Q7C0 AAA AAA/Watch Neg
C-B-1 22541Q7L0 CCC AA/Watch Neg
VI-M-2 22541Q7J5 BBB A+
VI-M-3 22541Q7K2 CC A
C-B-2 22541Q7M8 CC A/Watch Neg
C-B-3 22541Q7N6 CC BBB/Watch Neg
Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-AR7
Rating
------
Class CUSIP To From
----- ----- -- ----
6-A-1 22541SRT7 AAA AAA/Watch Neg
6-A-2 22541SRU4 AAA AAA/Watch Neg
6-A-4 22541SRW0 AAA AAA/Watch Neg
6-A-5 22541SRX8 AAA AAA/Watch Neg
C-B-1 22541SSC3 BB AA
C-B-1X 22541SSF6 BB AA
C-B-2 22541SSD1 B A
C-B-3 22541SSE9 CC BBB-
C-B-4 22541SRJ9 CC B
6-M-1 22541SRY6 CCC A/Watch Neg
Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2004-1
Series 2004-1
Rating
------
Class CUSIP To From
----- ----- -- ----
III-M-1 251563CD2 BB AA
III-M-2 251563CE0 CCC A+
III-M-3 251563CF7 CC BBB+
GSAA Trust 2004-CW1
Series 2004-CW1
Rating
------
Class CUSIP To From
----- ----- -- ----
B1 36228FT97 BBB AA
B2 36228FU20 CCC A
B3 36228FU38 CC CCC
HarborView Mortgage Loan Trust 2004-10
Series 2004-10
Rating
------
Class CUSIP To From
----- ----- -- ----
X-3 41161PJR5 B- AAA
B-1 41161PJT1 B- AA+
B-2 41161PJU8 CC BB
B-3 41161PJV6 CC CCC
HarborView Mortgage Loan Trust 2004-11
Series 2004-11
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 41161PJX2 BB- AA
2-A1A 41161PJY0 BB- A
2-A1B 41161PJZ7 CCC BBB
2-A2B 41161PKB8 CCC BBB
2-A3 41161PKC6 CCC BBB
3-A1A 41161PKD4 BB- AA
3-A1B 41161PKE2 CCC BBB
3-A2B 41161PKG7 CCC BBB
3-A3 41161PKH5 CCC BBB
3-A4 41161PKJ1 CCC BBB
X-1 41161PKK8 BB- AA
X-3 41161PKM4 A AA
X-B 41161PKN2 CC CCC
B-1 41161PKQ5 CC CCC
B-2 41161PKR3 CC CCC
B-3 41161PKS1 CC CCC
Impac CMB Trust 2004-5
Series 2004-5
Rating
------
Class CUSIP To From
----- ----- -- ----
1-M-5 45254NJP3 BBB+ AA
1-M-6 45254NJQ1 B AA-
IndyMac INDX Mortgage Loan Trust 2004-AR14
Series 2004-AR14
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1A 45660LAA7 B- A
1-A-1B 45660LAB5 CCC B
2-A-1A 45660LAC3 B- AA
2-A-1B 45660LAD1 CCC B
2-A-2A 45660LAE9 BB AAA
2-A-2B 45660LAF6 CCC B
A-X-2 45660LAH2 CCC AAA
B-1 45660LAK5 CC CCC
B-2 45660LAL3 CC CCC
IndyMac INDX Mortgage Loan Trust 2004-AR7
Series 2004-AR7
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 45660NT88 B+ AAA/Watch Neg
A-2 45660NT96 BBB+ AAA/Watch Neg
A-3 45660NU29 B+ AAA/Watch Neg
A-5 45660NU45 B+ AAA/Watch Neg
A-X 45660NY82 BBB+ AAA/Watch Neg
B-1 45660NU52 CCC AA/Watch Neg
B-2 45660NU60 CC A/Watch Neg
B-3 45660NU78 CC BBB/Watch Neg
IndyMac INDX Mortgage Loan Trust 2004-AR8
Series 2004-AR8
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 45660N2H7 CCC B
2-A-1 45660N2L8 CCC B
2-A-2A 45660N2J3 BB BBB
2-A-2B 45660N2K0 CCC B
A-X-2 45660N2N4 CCC BBB
B-1 45660N2Q7 CC CCC
B-2 45660N2R5 CC CCC
MASTR Adjustable Rate Mortgages Trust 2003-7
Series 2003-7
Rating
------
Class CUSIP To From
----- ----- -- ----
B-4 576433HY5 CCC BB
MASTR Alternative Loan Trust 2003-4
Series 2003-4
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 576434EW0 BBB- AA+
B-2 576434EX8 BB AA-
B-3 576434EY6 B- BBB+
B-4 576434EZ3 CCC BB
B-5 576434FA7 CC B
MASTR Alternative Loan Trust 2004-6
Series 2004-6
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 576434SW5 B AA
B-2 576434SX3 CCC A
B-3 576434SY1 CC BBB
B-4 576434SZ8 CC BB
B-5 576434TA2 CC CCC
MortgageIT Trust 2004-2
Series 2004-2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 61913PAM4 B AAA
M-2 61913PAN2 CCC AA
B-1 61913PAK8 CC A
B-2 61913PAL6 CC BBB
Nomura Asset Acceptance Corporation Alternative Loan Trust
Series 2004-AR2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 65535VEW4 BBB AA
M-2 65535VEX2 CCC BBB
M-3 65535VEY0 CC BB+
M-4 65535VEZ7 CC B
RALI Series 2004-QA4 Trust
Series 2004-QA4
Rating
------
Class CUSIP To From
----- ----- -- ----
NB-I-1 76110HZF9 A- AAA
M-1 76110HZP7 A- AA
M-2 76110HZQ5 CCC A
M-3 76110HZR3 CC CCC
RALI Series 2004-QA5 Trust
Series 2004-QA5
Rating
------
Class CUSIP To From
----- ----- -- ----
A-I 76110HC72 B- AAA
A-II 76110HC98 A AAA
A-III-1 76110HD22 BBB AAA
A-III-IO-1 76110HD30 BBB AAA
A-III-2 76110HD48 BBB AAA
A-III-3 76110HD55 BBB AAA
A-III-IO-2 76110HD63 BBB AAA
M-1 76110HD97 CCC AA
M-2 76110HE21 CC CCC
RALI Series 2004-QA6 Trust
Series 2004-QA6
Rating
------
Class CUSIP To From
----- ----- -- ----
CB-1 76110HG94 B- AAA
NB-1 76110HH28 CCC AAA
CB-II 76110HH36 BBB- AAA
NB-II 76110HH44 B+ AAA
NB-III-1 76110HH51 B- AAA
NB-III-2 76110HH69 B- AAA
NB-III-3 76110HH77 B- AAA
NB-IV 76110HH85 BB+ AAA
M-1 76110HJ26 CCC BBB
M-2 76110HJ34 CC CCC
Structured Asset Securities Corp.
Series 2004-23XS
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A3A 86359BT68 AAA AAA/Watch Neg
1-A3B 86359BT76 AAA AAA/Watch Neg
1-A3C 86359BT84 AAA AAA/Watch Neg
1-A3D 86359BT92 AAA AAA/Watch Neg
1-A4 86359BU25 AAA AAA/Watch Neg
2-A1 86359BU33 BBB+ AAA/Watch Neg
2-A2 86359BU41 A+ AAA/Watch Neg
2-A3 86359BU58 BBB+ AAA/Watch Neg
2-AIO 86359BU66 A+ AAA/Watch Neg
M1 86359BU74 CCC AA/Watch Neg
M2 86359BU82 CC A/Watch Neg
Structured Asset Securities Corporation
Series 2004-21XS
Rating
------
Class CUSIP To From
----- ----- -- ----
1-M1 86359BQ20 CCC AA
1-M2 86359BQ38 CC B
Ratings Affirmed
Banc of America Alternative Loan Trust 2003-1
Series 2003-1
Class CUSIP Rating
----- ----- ------
A-1 05948KAA7 AAA
A-2 05948KAB5 AAA
A-3 05948KAC3 AAA
A-4 05948KAD1 AAA
A-5 05948KAE9 AAA
A-6 05948KAF6 AAA
A-WIO 05948KAJ8 AAA
A-PO 05948KAK5 AAA
B-1 05948KAL3 AA+
B-2 05948KAM1 A+
Banc of America Funding 2004-4 Trust
Series 2004-4
Class CUSIP Rating
----- ----- ------
1-A-1 05946XKP7 AAA
1-A-2 05946XKQ5 AAA
1-A-4 05946XKS1 AAA
1-A-5 05946XKT9 AAA
1-A-6 05946XKU6 AAA
1-A-7 05946XKV4 AAA
30-IO 05946XKW2 AAA
2-A-1 05946XKZ5 AAA
3-A-1 05946XLA9 AAA
15-IO 05946XLB7 AAA
X-PO 05946XLC5 AAA
15-PO 05946XLD3 AAA
30-B-1 05946XLE1 AA
15-B-1 05946XLH4 AA
15-B-3 05946XLK7 BBB
Banc of America Funding 2004-C Trust
Series 2004-C
Class CUSIP Rating
----- ----- ------
1-A-1 05946XLS0 AAA
1-B-1 05946XMD2 AA
1-B-2 05946XME0 A
1-B-3 05946XMF7 BBB
1-B-4 05946XMP5 BB
1-B-5 05946XMQ3 B
CHL Mortgage Pass-Through Trust 2004-25
Series 2004-25
Class CUSIP Rating
----- ----- ------
1-A-1 12669GJY8 AAA
1-A-3 12669GKA8 AAA
1-X 12669GKE0 AAA
2-A-1 12669GKF7 AAA
2-X 12669GKK6 AAA
Credit Suisse First Boston Mortgage Securities Corp.
Series 2002-AR17
Class CUSIP Rating
----- ----- ------
1-A-1 22540VS78 AAA
2-A-1 22540VS94 AAA
1-X 22540VS86 AAA
2-X 22540VT36 AAA
C-B-1 22540VT51 AAA
C-B-2 22540VT69 AAA
C-B-3 22540VT77 AA+
Credit Suisse First Boston Mortgage Securities Corp.
Series 2002-AR13
Class CUSIP Rating
----- ----- ------
I-A 22540VW24 AAA
II-A 22540VW32 AAA
III-A 22540VW40 AAA
III-X 22540VW73 AAA
IV-A 22540VW57 AAA
C-B-1 22540VX23 AAA
C-B-2 22540VX31 AA+
C-B-3 22540VX49 AA-
V-M-2 22540VW99 AA
Credit Suisse First Boston Mortgage Securities Corp.
Series 2002-AR21
Class CUSIP Rating
----- ----- ------
I-A-1 22540V4R0 AAA
II-A-1 22540V4S8 AAA
III-A-3 22540V4V1 AAA
I-X 22540V4X7 AAA
II-X 22540V4Y5 AAA
III-X 22540V4Z2 AAA
IV-M-2 22540V5B4 AA+
Credit Suisse First Boston Mortgage Securities Corp.
Series 2002-AR28
Class CUSIP Rating
----- ----- ------
I-A-1 22541NNM7 AAA
I-A-2 22541NNN5 AAA
II-A-1 22541NNP0 AAA
II-A-2 22541NNQ8 AAA
II-A-3 22541NNR6 AAA
II-A-4 22541NPJ2 AAA
I-X 22541NNV7 AAA
II-X 22541NNW5 AAA
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-AR5
Class CUSIP Rating
----- ----- ------
I-A-1 22541NA90 AAA
I-A-2 22541NB24 AAA
II-A-1 22541NB32 AAA
II-A-2 22541NB40 AAA
II-A-3 22541NB57 AAA
I-X 22541NB73 AAA
II-X 22541NB81 AAA
III-M-1 22541NB99 AA+
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-AR20
Class CUSIP Rating
----- ----- ------
I-A-1 22541QKW1 AAA
II-A-1 22541QKX9 AAA
II-A-2 22541QKY7 AAA
II-A-3 22541QKZ4 AAA
II-A-4 22541QNF5 AAA
III-A-1 22541QLA8 AAA
IV-A-1 22541QLB6 AAA
II-X 22541QLC4 AAA
IV-M-1 22541QLD2 AA
Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-AR2
Class CUSIP Rating
----- ----- ------
VI-M-1 22541Q7H9 AA+
Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-AR7
Class CUSIP Rating
----- ----- ------
1-A-1 22541SRN0 AAA
2-A-1 22541SRP5 AAA
3-A-1 22541SRQ3 AAA
4-A-1 22541SRR1 AAA
5-A-1 22541SRS9 AAA
Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2004-1
Series 2004-1
Class CUSIP Rating
----- ----- ------
I-A-1 251563CG5 AAA
I-A-X 251563CH3 AAA
I-A-PO 251563CJ9 AAA
II-A-1 251563CK6 AAA
II-A-2 251563CV2 AAA
II-A-3 251563CW0 AAA
II-A-X 251563CL4 AAA
II-A-PO 251563CM2 AAA
III-A-5 251563CA8 AAA
III-A-6 251563CB6 AAA
M 251563CN0 AA
B-1 251563CP5 A
B-2 251563CQ3 BBB
B-3 251563DA7 BB
B-4 251563DC3 B
GSAA Trust 2004-CW1
Series 2004-CW1
Class CUSIP Rating
----- ----- ------
I-A-1 36228FT48 AAA
II-A-1 36228FT55 AAA
II-A-2 36228FT63 AAA
II-A-3 36228FV45 AAA
A-P 36228FT71 AAA
A-X 36228FT89 AAA
HarborView Mortgage Loan Trust 2004-10
Series 2004-10
Class CUSIP Rating
----- ----- ------
1-A-1 41161PJH7 AAA
1-A-2A 41161PJJ3 AAA
1-A-2B 41161PJW4 AAA
2-A 41161PJK0 AAA
3-A-1A 41161PJL8 AAA
3-A-1B 41161PJM6 AAA
4-A 41161PJN4 AAA
X-1 41161PJP9 AAA
X-2 41161PJQ7 AAA
HarborView Mortgage Loan Trust 2004-11
Series 2004-11
Class CUSIP Rating
----- ----- ------
2-A2A 41161PKA0 AAA
3-A2A 41161PKF9 A
X-2 41161PKL6 AAA
Impac CMB Trust 2004-3
Series 2004-3
Class CUSIP Rating
----- ----- ------
3-A 45254NHN0 AAA
3-M-1 45254NHP5 AA
3-M-2 45254NHQ3 A
3-B 45254NHR1 BBB
Impac CMB Trust 2004-5
Series 2004-5
Class CUSIP Rating
----- ----- ------
1-A-1 45254NJG3 AAA
I-A-2 45254NJH1 AAA
1-A-3 45254NJJ7 AAA
1-M-1 45254NJK4 AAA
1-M-2 45254NJL2 AA+
1-M-3 45254NJM0 AA+
1-M-4 45254NJN8 AA
2-A 45254NJR9 AAA
Impac CMB Trust Series 2003-11
Series 2003-11
Class CUSIP Rating
----- ----- ------
1-A-1 45254NFY8 AAA
1-A-2 45254NFZ5 AAA
2-A-1 45254NGA9 AAA
1-M-1 45254NGB7 AA+
1-M-2 45254NGC5 AA
1-M-3 45254NGD3 AA
2-M-1 45254NGE1 AA
2-M-2 45254NGF8 A
2-B-1 45254NGG6 BBB
Impac CMB Trust Series 2003-8
Series 2003-8
Class CUSIP Rating
----- ----- ------
1-A-1 45254NFA0 AAA
1-A-2 45254NFB8 AA+
2-A-1 45254NFG7 AAA
1-M-1 45254NFC6 AA
1-M-2 45254NFD4 A+
1-M-3 45254NFE2 A
1-M-4 45254NFF9 A
2-M-1 45254NFH5 AA
2-M-2 45254NFJ1 A
2-B-1 45254NFK8 BBB
MASTR Adjustable Rate Mortgages Trust 2003-7
Series 2003-7
Class CUSIP Rating
----- ----- ------
1-A-1 576433HF6 AAA
1-A-X 576433HG4 AAA
2-A-1 576433HH2 AAA
2-A-X 576433HJ8 AAA
3-A-1 576433HK5 AAA
3-A-X 576433HL3 AAA
4-A-1 576433HM1 AAA
4-A-X 576433HN9 AAA
B-1 576433HV1 AAA
B-2 576433HW9 AA-
B-3 576433HX7 A-
5-M-1 576433HS8 AAA
MASTR Alternative Loan Trust 2003-4
Series 2003-4
Class CUSIP Rating
----- ----- ------
1-A-1 576434EJ9 AAA
2-A-1 576434EK6 AAA
3-A-1 576434EL4 AAA
4-A-1 576434EM2 AAA
5-A-1 576434EQ3 AAA
15-A-X 576434ER1 AAA
15-PO 576434ES9 AAA
30-PO 576434EU4 AAA
4-A-2 576434EN0 AAA
4-A-3 576434EP5 AAA
30-A-X 576434ET7 AAA
MASTR Alternative Loan Trust 2004-6
Series 2004-6
Class CUSIP Rating
----- ----- ------
1-A-1 576434SC9 AAA
1-A-2 576434SD7 AAA
2-A-1 576434SE5 AAA
3-A-1 576434SF2 AAA
4-A-1 576434SG0 AAA
5-A-1 576434SH8 AAA
6-A-1 576434SJ4 AAA
7-A-1 576434SK1 AAA
8-A-1 576434SL9 AAA
9-A-1 576434SM7 AAA
10-A-1 576434SN5 AAA
15-PO 576434SP0 AAA
30-PO 576434SQ8 AAA
15-A-X 576434SR6 AAA
30-AX-1 576434SS4 AAA
30-AX-2 576434ST2 AAA
MortgageIT Trust 2004-2
Series 2004-2
Class CUSIP Rating
----- ----- ------
A-1 61913PAG7 AAA
A-2 61913PAH5 AAA
Nomura Asset Acceptance Corporation Alternative Loan Trust
Series 2004-AR2
Class CUSIP Rating
----- ----- ------
I-A 65535VER5 AAA
III-A-1 65535VET1 AAA
III-A-2 65535VEU8 AAA
III-A-3 65535VEV6 AAA
RALI Series 2004-QA4 Trust
Series 2004-QA4
Class CUSIP Rating
----- ----- ------
CB-I 76110HZE2 AAA
NB-II-1 76110HZH5 AAA
NB-II-2 76110HZJ1 AAA
NB-II-3 76110HZK8 AAA
NB-III 76110HZL6 AAA
Structured Asset Securities Corporation
Series 2004-21XS
Class CUSIP Rating
----- ----- ------
1-A3 86359BN56 AAA
1-A4 86359BN64 AAA
1-A5 86359BN72 AAA
2-A3 86359BP39 AAA
2-A4A 86359BP47 AAA
2-A4B 86359BP54 AAA
2-A5A 86359BP62 AAA
2-A5B 86359BP70 AAA
2-A6A 86359BP88 AAA
2-6B 86359BP96 AAA
2-M1 86359BQ46 CCC
2-M2 86359BQ53 CCC
*********
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. Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Howard
C. Tolentino, Joseph Medel C. Martirez, Denise Marie Varquez,
Philline Reluya, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R.
Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G.
Patalinghug, and Peter A. Chapman, Editors.
Copyright 2009. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $775 for 6 months delivered via e-
mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Christopher
Beard at 240/629-3300.
*** End of Transmission ***