/raid1/www/Hosts/bankrupt/TCR_Public/100228.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, February 28, 2010, Vol. 14, No. 58
Headlines
ABACUS 2005-2: S&P Downgrades Ratings on Class D Notes to 'D'
BANC OF AMERICA: S&P Downgrades Ratings on 15 Classes of CMBS
BAY MEDICAL: Moody's Withdraws 'Ba1' Ratings on Two Bonds
BERING CDO: Fitch Downgrades Ratings on Four Classes of Notes
CAM 2002-CAM2: S&P Affirms Ratings on 14 Classes of CMBS
CIFG ASSURANCE: S&P Withdraws 'CC' Rating on Eight Medium Notes
CITIGROUP INC: Moody's Downgrades Ratings on Junior Debt to 'Ba1'
CLARET TRUST: Moody's Upgrades Ratings on Seven 2006-1 Certs.
COMM 2005-FL11: Moody's Affirms Ratings on Eight Classes of Notes
COMM 2006-CNL2: S&P Downgrades Ratings on 16 Classes of CMBS
CONSECO FINANCE: S&P Downgrades Rating on Class B-1 Notes
CREDIT SUISSE: Moody's Confirms Ratings on Three 2003-CK2 Notes
CRYSTAL RIVER: Fitch Downgrades Ratings on Five 2005-1 Notes
CSFB MANUFACTURED: S&P Downgrades Ratings on Seven Certificates
CT CDO: Fitch Affirms Ratings on 14 Classes of Notes
CWCAPITAL COBALT: Moody's Downgrades Ratings on Eight Classes
DLJ MORTGAGE: Fitch Downgrades Ratings on Various Certificates
FINANSURE STUDENT: Fitch Maintains Ratings on Student Loans
FREEDOM CERTIFICATES: Moody's Raises Ratings on Two Certificates
G-FORCE 2005-RR2: Fitch Downgrades Ratings on 14 Classes of Notes
GE COMMERCIAL: Fitch Amends January 14 Press Release on Ratings
GTP TOWERS: Fitch Assigns Ratings on Two Classes of Notes
GUGGENHEIM STRUCTURED: Fitch Downgrades Ratings on Six Classes
INDEPENDENCE VI: Fitch Downgrades Ratings on Three Classes
JP MORGAN: Moody's Affirms Ratings on 15 Series 2005-LDP5 Certs.
JP MORGAN: Moody's Affirms Ratings on Nine 2007-LPD10 Certs.
LAKESIDE CDO: Fitch Downgrades Ratings on Two Classes of Notes
LANDMARK II: Moody's Upgrades Ratings on Class B Notes to 'B1'
LEXINGTON CAPITAL: Fitch Downgrades Ratings on Five Classes
LNR CDO: Moody's Downgrades Ratings on Two Classes of Notes
MERRILL LYNCH: S&P Downgrades Ratings on 15 2005-CKI1 Securities
MORGAN STANLEY: Moody's Downgrades Ratings on Hybrid Securities
MORGAN STANLEY: S&P Downgrades Ratings on 17 2006-HQ8 Securities
MORGAN STANLEY: S&P Raises Rating on $3.5 Mil. A-14 Notes to 'CCC'
NEWCASTLE CDO: Moody's Downgrades Ratings on Class I-MM to 'Ba2'
NEWCASTLE CDO: Moody's Downgrades Ratings on Eight Classes
PARCS MASTER: S&P Withdraws 'B-' Rating on 2007-25 Trust Unit
PRIMA CAPITAL: Fitch Downgrades Ratings on All Classes of Notes
RFC CDO: Fitch Downgrades Ratings on All Classes of Notes
SIERRA MADRE: Moody's Downgrades Ratings on Two Classes of Notes
SORIN REAL: Moody's Downgrades Ratings on Nine Classes of Notes
TALCOTT NOTCH: Fitch Affirms Ratings on Two Classes of Notes
TIERS MAINE: S&P Withdraws 'CCC-' Rating on 2007-24 Certificates
TW HOTEL: S&P Downgrades Ratings on 13 2005-LUX Certificates
VERMEER FUNDING: Moody's Downgrades Ratings on Two Classes
WASHINGTON MUTUAL: Moody's Affirms Ratings on Three 2007-SL3 Notes
WASHINGTON MUTUAL: Moody's Cuts Ratings on 14 2007-SL2 Certs.
* Fitch Downgrades Ratings on 393 Bonds in 254 RMBS to 'D'
* S&P Downgrades Ratings on 17 Classes From Three RMBS Deals
* S&P Downgrades Ratings on 26 Tranches From Five CLO Deals
* S&P Downgrades Ratings on 34 Tranches From 14 Hybrid CDO Deals
* S&P Downgrades Ratings on 39 Tranches From 13 Hybrid CDOs
* S&P Downgrades Ratings on 52 Tranches From 14 CLO Transactions
* S&P Downgrades Ratings on 140 Classes From 45 RMBS Transactions
* S&P Downgrades Ratings on 104 Classes From Nine RMBS Deals
* S&P Downgrades Ratings on 707 Classes From 497 RMBS Deals
* S&P Puts Ratings on Three Tranches On CreditWatch Negative
*********
ABACUS 2005-2: S&P Downgrades Ratings on Class D Notes to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
D notes issued by ABACUS 2005-2 Ltd., a synthetic collateralized
debt obligation transaction, to 'D' from 'CCC-'.
The downgrade follows a number of recent credit events within the
transaction's underlying portfolio. Specifically, write-downs in
the underlying reference portfolio have caused the class D note to
incur a partial principal loss.
BANC OF AMERICA: S&P Downgrades Ratings on 15 Classes of CMBS
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 15
classes of commercial mortgage-backed securities from Banc of
America Commercial Mortgage Inc.'s series 2005-5 and removed them
from CreditWatch with negative implications. In addition, S&P
affirmed its ratings on seven other classes from the same
transaction.
The downgrades follow S&P's analysis of the transaction using its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of the rating actions. The downgrades of the mezzanine and
subordinate classes also reflect the credit support erosion S&P
anticipate will occur upon the eventual resolution of five
specially serviced loans. S&P's analysis included a review of the
credit characteristics of all of the loans in the pool. Using
servicer-provided financial information, S&P calculated an
adjusted debt service coverage of 1.58x and a loan-to-value ratio
of 102.6%. S&P further stressed the loans' cash flows under its
'AAA' scenario to yield a weighted average DSC of 0.96x and an LTV
of 133.8%. The implied defaults and loss severity under the 'AAA'
scenario were 77.0% and 34.6%, respectively. S&P's weighted
average DSC and LTV calculations exclude five specially serviced
loans ($97.0 million; 5.2%). S&P separately estimated losses for
these loans and included them in its 'AAA' scenario implied
default and loss figures. The calculations also exclude three
defeased loans ($30.8 million, 1.7%).
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels that are consistent with
the outstanding ratings. S&P affirmed its ratings on the class XP
and XC interest-only (IO) certificates based on its current
criteria. S&P published a request for comment proposing changes
to its IO criteria on June 1, 2009. Once S&P finalize the
criteria review, S&P may revise its current IO criteria, which may
affect outstanding ratings, including the ratings on the IO
certificates S&P affirmed.
Credit Considerations
As of the February 2010 remittance report, seven loans
($123.1 million; 6.6%) in the pool were with the special servicer,
Midland Loan Services Inc. The payment status of the specially
serviced loans is: three are in foreclosure (1.9%), one is 90-
plus-days delinquent (1.5%), one is late but within its grace
period (1.8%), and two are current (1.4%). There are five
appraisal reduction amounts in effect on five loans totaling
$45.3 million. One of the loans with an ARA in effect, the
Aboretum Apartments loan ($18.4 million; 1.0%), has been modified.
This loan is described further below. Excluding this loan, the
total ARA amount is $37.3 million.
The largest loan with the special servicer is the Thunder Hollow
Apartments loan ($33.5 million; 1.8%). This loan was transferred
to the special servicer on Nov. 20, 2009, due to imminent default
and is currently within its grace period. The loan is secured by
a 301-unit multifamily property in Bensalem, Pa., built in 1974.
The reported DSC and occupancy as of the nine months ended
Sept. 30, 2009, were 1.00x and 82%, respectively, down from 1.42x
and 95% at issuance. This seven-year loan is currently in an
interest-only period and will begin to amortize in June 2010,
which will put further stress on the property's cash flow. The
borrower has requested a loan modification. Standard & Poor's
expects a moderate loss upon the resolution of this asset.
The second-largest loan with the special servicer is the
Livingston Shopping Center loan ($29.2 million; 1.5%). This loan
was transferred to the special servicer on April 27, 2009, due to
the borrower's failure to make debt service payments. This loan
is currently 90-plus-days delinquent. The loan is secured by a
122,000-sq.-ft. big box retail property in Livingston, N.J., built
in 1998. The property is currently 26% occupied due to the
closure of Linens 'n Things, Circuit City, and Old Navy.
Additionally, Borders, the sole remaining tenant, is paying
reduced rent pursuant to a co-tenancy clause. Standard & Poor's
expects a significant loss upon the resolution of this asset.
The third-largest loan with the special servicer is the Arboretum
Apartments loan ($18.4 million; 1.0%). The loan was transferred
on Feb. 22, 2008, due to the borrower's failure to pay property-
related expenses. This loan is currently 90-plus-days delinquent.
The loan is secured by a 240-unit garden style apartment complex
in Kalamazoo, Mich., built in 2001. A new borrower has assumed
ownership of the property and the loan was written down to
$13.0 million. This modification has resulted in a $5.7 million
principal loss that will affect the trust in the future. The loan
will be transferred back to the master servicer after the April 1,
2010, payment date.
The four remaining specially serviced loans ($43.2 million; 2.3%)
have balances that individually represent less than 1.0% of the
total pool balance. S&P estimated losses for three of these loans
resulting in weighted average loss severities ranging from 50.6%
to 60.6%. Midland expects that the fourth loan will be modified
($7.6 million; 0.4%).
Transaction Summary
As of the February 2010 remittance report, the aggregate trust
balance was $1.85 billion (101 loans), compared with $1.96 billion
(103 loans) at issuance. Two loans ($61.0 million) paid off in
April 2009. Bank of America N.A., the master servicer, provided
financial information for all of the nondefeased loans in the
pool. Ninety-two percent of the servicer-provided financial
information was either full-year 2008 or partial-year 2009 data
and 8% was full-year 2009 data. S&P calculated a weighted average
DSC of 1.60x for the nondefeased loans in the pool based on the
master servicer's reported figures. S&P's adjusted DSC and LTV
were 1.58x and 102.6%, respectively. S&P's adjusted DSC and LTV
figures exclude five specially serviced loans ($97.0 million;
5.2%) and three defeased loans ($30.8 million, 1.7%). S&P
separately estimated losses for the five specially serviced loans.
While the February 2010 remittance report indicates that the
transaction has not experienced any principal losses to date, as
noted above, it has incurred $5.7 million of losses in connection
with one of the specially serviced loans ($18.4 million; 1.4%)
that will affect the trust in the future. Sixteen loans are on
the master servicer's watchlist ($160.3 million; 8.6%). Four
loans ($50.6 million, 2.7%) have reported DSC between 1.0x and
1.1x, and six loans ($69.1 million, 3.7%) have reported DSC of
less than 1.0x.
Summary of Top 10 Loans
The top 10 loans secured by real estate have an aggregate
outstanding balance of $829.0 million (44.7%). Using servicer-
reported information, S&P calculated a weighted average DSC of
1.59x. S&P's adjusted DSC and LTV figures for these top 10 loans
were 1.50x and 106.2%, respectively.
One of the top 10 exposures, the 150 Worth Avenue/151 Worth Avenue
loan ($82.0 million; 4.4%), consists of two cross-collateralized
and cross-defaulted loans. The loan secured by 151 Worth Avenue
property ($22.5 million; 1.2%) originally appeared on the master
servicer's watchlist due to a low DSC but will be removed from the
watchlist next month. The collateral properties for both loans
are located in Palm Beach, Fla. The 151 Worth Avenue property was
constructed in 2000, measures 49,661 sq. ft., and is 100% leased
to Neiman Marcus until May 31, 2026, on a triple-net-basis. For
year-end 2008 and the nine months ended Sept. 30, 2009, the
reported DSC for the property was 1.31x and 1.05x, respectively.
Neiman Marcus pays only property-related expenses and percentage
rent. The DSC is expected to improve for the full year 2009
because fourth-quarter percentage rents should be higher than the
prior quarter.
Standard & Poor's stressed the loans in the pool according to its
U.S. conduit/fusion criteria. The resultant credit enhancement
levels are consistent with S&P's lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2005-5
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M AA- AAA/Watch Neg 21.17
A-J BBB+ AAA/Watch Neg 14.69
B BBB AA/Watch Neg 12.44
C BBB- AA-/Watch Neg 11.38
D BB+ A/Watch Neg 9.39
E BB A-/Watch Neg 8.34
F BB- BBB+/Watch Neg 7.01
G B BBB/Watch Neg 5.56
H CCC+ BB+/Watch Neg 4.23
J CCC BB/Watch Neg 3.57
K CCC- B+/Watch Neg 2.91
L CCC- B/Watch Neg 2.65
M CCC- B-/Watch Neg 2.51
N CCC- CCC+/Watch Neg 2.38
O CCC- CCC/Watch Neg 1.98
Ratings Affirmed
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2005-5
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-2 AAA 31.76
A-3A AAA 31.76
A-3B AAA 31.76
A-SB AAA 31.76
A-4 AAA 31.76
XP AAA N/A
XC AAA N/A
N/A -- Not applicable.
BAY MEDICAL: Moody's Withdraws 'Ba1' Ratings on Two Bonds
---------------------------------------------------------
Moody's Investors Service has withdrawn the Ba1 bond ratings
assigned to Bay Medical Center's (FL) Series 2007A and 2007B
variable rate demand obligations ($126.4 million outstanding).
The Series 2007A & B bonds were jointly supported by Bay Medical
Center and a direct Letter of Credit from Regions Bank. The
Series 2007A and 2007B bonds were current refunded in full on
December 11, 2009, with a private loan with Regions Bank as the
lead bank. The Letter of Credits ratings have also been
withdrawn. Bay Medical Center has no rated bonds outstanding.
The last rating action was on August 13, 2009, when the Watchlist
for downgrade rating action was extended.
BERING CDO: Fitch Downgrades Ratings on Four Classes of Notes
-------------------------------------------------------------
Fitch Ratings has downgraded four classes and affirmed three
classes of notes issued by Bering CDO I, Ltd., as a result of
continued credit deterioration in the portfolio since Fitch's last
rating action in July 2008.
The transaction entered an Event of Default on Sept. 15, 2009, due
to the non-payment of interest to the class A-2 notes on the
Sept. 8, 2009 payment date. The class A-1S1, A-1S2, and A-1J
notes (together the class A-1 notes) subsequently defaulted on the
payment of interest. Although the defaulted interest on all
classes of notes was later repaid along with interest on defaulted
interest, the default on timely interest payments to either class
A-1 or A-2 constitutes the CDO's Event of Default. Fitch rates
these notes to the timely receipt of interest. Therefore, the
class A-1 and A-2 notes have been downgraded to 'D'. Noteholders
had not given direction to accelerate the notes at the time of
this review.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs'.
Due to the magnitude of the collateral deterioration, Fitch
believes that the likelihood of default for all classes of notes
can be assessed without using the Structured Finance Portfolio
Credit Model or performing cash flow model analysis under the
framework described in the 'Global Criteria for Cash Flow Analysis
in CDOs - Amended' report.
As a result of principal writedowns and asset sales in the
portfolio, the collateral balance had decreased by $296.7 million
since last review and stood at $90.0 million at the end of January
2010. This compares to the $163.1 million balance of the most
senior class outstanding, class A-1S1. The A-1S1 notes have only
paid down $5.5 million since the last review. Given the
significant undercollateralization, further default on interest
and principal is inevitable for the class A-1 and A-2 notes.
The class A-3, B, and C notes are no longer receiving interest
distributions and are not expected to receive any proceeds going
forward. These classes of notes were rated to the ultimate
receipt of interest and therefore are affirmed at 'C'.
Bering is a cash flow structured finance collateralized debt
obligation that closed on Aug. 15, 2006. The portfolio was
initially selected by Terwin Money Management, LLC and is now
monitored by Aventine Hill Capital, LLC. The portfolio is
composed of prime residential mortgage-backed securities (89%) and
subprime RMBS (11%).
Fitch has downgraded and affirmed these ratings as indicated:
-- $163,114,389 class A-1S1 notes downgraded to 'D' from 'B';
-- $93,000,000 class A-1S2 notes downgraded to 'D' from 'CCC';
-- $42,000,000 class A-1J notes downgraded to 'D' from 'CC';
-- $40,000,000 class A-2 notes downgraded to 'D' from 'CC';
-- $14,906,988 class A-3 notes affirmed at 'C';
-- $17,260,321 class B notes affirmed at 'C';
-- $4,848,960 class C notes affirmed at 'C'.
CAM 2002-CAM2: S&P Affirms Ratings on 14 Classes of CMBS
--------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 14
classes of commercial mortgage-backed securities from CAM 2002-
CAM2 and removed seven of them from CreditWatch with negative
implications.
The affirmations follow S&P's analysis of the transaction using
its U.S. conduit and fusion CMBS criteria. The affirmed ratings
on the principal and interest certificates reflect subordination
levels that are consistent with the outstanding ratings. S&P's
analysis included a review of the credit characteristics of all of
the loans in the pool. The positive performance of the collateral
pool, when considered in the context of upcoming loan maturities,
the relative tranche thickness of the subordinate classes of
certificates, and the remaining loan count, supports the
affirmations of the ratings on the certificates and their removal
from CreditWatch. Using servicer-provided financial information,
Standard & Poor's calculated an adjusted debt service coverage of
1.40x and a loan-to-value ratio of 52.8%. No loans are currently
with the special servicer, Midland Loan Services Inc.
S&P affirmed its rating on the class X interest-only certificates
based on its current criteria. S&P published a request for
comment proposing changes to the IO criteria on June 1, 2009.
After S&P finalizes its criteria review, S&P may revise its
current IO criteria, which may affect outstanding ratings,
including the rating on the IO certificates S&P affirmed.
Credit Considerations
There are no delinquent or specially serviced loans as of the
February 2010 remittance date. Eight of the nondefeased loans in
the pool ($37.5 million, 43.3%) are scheduled to mature in 2010.
These loans have a servicer-reported weighted average debt service
coverage of 1.57x. All of these loans have a DSC above 1.20x,
except for one loan with a DSC of 0.65x. Despite these relatively
high DSC figures, due to current capital market conditions, S&P
has concerns about the ability of these loans to refinance and
will monitor the situation accordingly.
Transaction Summary
As of the February 2010 remittance report, the aggregate pooled
trust balance was $86.6 million, which represents 41.6% of the
aggregate pooled trust balance at issuance. There are 20 assets
in the pool, down from 35 at issuance. The master servicer for
the transaction is Midland Loan Services Inc. The master servicer
provided financial information for 100.0% of the pool, all of
which was full-year 2008 or interim-2009 data. This excludes two
defeased loans totaling $7.4 million, (8.47%). Based on this
information, S&P calculated a weighted average DSC of 1.47x for
the pool based on the reported figures. S&P's adjusted DSC and
LTV were 1.40x and 52.8%, respectively. To date, the transaction
has not realized any principal losses. Six loans ($36.5 million,
42.2%) are on the master servicer's watchlist, including the
largest loan, as well as the third-, fifth- and 10th-largest loans
in the pool, which S&P discuss in detail below. Three loans
($11.6 million, 13.4%) have a reported DSC of less than 1.0x. To
date, the trust has not realized any principal losses.
Summary of Top 10 Loans
The top 10 exposures secured by real estate have an aggregate
outstanding balance of $64.6 million (74.6%). Using servicer-
reported numbers, S&P calculated a weighted average DSC of 1.51x
for the top 10 loans. S&P's adjusted DSC and LTV for the top 10
loans were 1.44x and 52.7%, respectively. Four of the top 10
loans appear on the master servicer's watchlist. Details are:
The 1100 15th Street NW loan ($13.0 million, 15.1%) is the largest
loan in the pool and is secured by a 136,893-sq.-ft. office
building in Washington D.C. The loan appears on the master
servicer's watchlist due to a revenue decline. The decline
followed a major tenant's decision to vacate the property after
its lease expired in April 2009. As of Sept. 30, 2009, the
property had a DSC of 1.83x with 69.7% occupancy.
The Eastlake Center loan ($9.3 million, 10.7%) is the third-
largest loan in the pool and is secured by an 88,493-sq.-ft.
office building in Seattle, Wash. The loan appears on the master
servicer's watchlist due to its upcoming scheduled maturity on
April 1, 2010. As of Dec. 31, 2009, the property had a DSC of
1.24x. As of August 2009, occupancy was 82.4%.
The Santa Monica Gateway loan ($7.3 million, 8.4%) is the fifth-
largest loan in the pool and is secured by a 74,507-sq.-ft. office
building in Santa Monica, Calif. The loan appears on the master
servicer's watchlist due to low DSC. As of Dec. 31, 2008, the
property had a reported DSC of 0.86x. The property is master
leased to ING Direct, an affiliate of the property's owner on a
triple-net basis; 10.5% of this space is subleased. The reported
financial data does not fully account for rent attributable to the
ING Direct space. Consequently, S&P does not believe the reported
DSC adequately reflects the property's operating performance,
which is likely materially better than the reported figures.
The Oakbrook Plaza Office Building loan ($2.7 million, 3.1%) is
the 10th-largest loan in the pool and is secured by a 80,539-sq.-
ft. office building in Norcross, Ga. The loan appears on the
master servicer's watchlist due to low DSC and its upcoming
scheduled maturity in March 2010. As of Dec. 31, 2008, the
property had a DSC of 0.65x. As of May 1, 2009, occupancy was
82.6%.
Standard & Poor's stressed the loans in the pool according to its
updated conduit/fusion criteria. The resultant credit enhancement
levels support the affirmed ratings.
Ratings Affirmed And Removed From Creditwatch Negative
CAM 2002-CAM2
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
H BB+ BB+/Watch Neg 11.98
J BB BB/Watch Neg 10.78
K BB- BB-/Watch Neg 9.58
L B+ B+/Watch Neg 7.79
M B B/Watch Neg 6.59
N B- B-/Watch Neg 5.39
X AAA AAA/Watch Neg N/A
Ratings Affirmed
CAM 2002-CAM2
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-2 AAA 43.13
B AA+ 35.94
C AA 29.35
D A+ 26.36
E A- 22.76
F BBB+ 21.56
G BBB- 17.97
N/A -- Not applicable.
CIFG ASSURANCE: S&P Withdraws 'CC' Rating on Eight Medium Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'CC' ratings on
eight medium-term note issues supported by CIFG Assurance North
America Inc. guarantee insurance policies.
The ratings on the MTNs were based solely on the full financial
guarantee insurance policies that CIFG Assurance North America
(not rated) had provided, which guaranteed the timely payment of
interest and principal according to each transaction's terms.
The rating actions follow the Feb. 16, 2010, withdrawal of S&P's
ratings on CIFG Assurance North America at the company's request.
Ratings Withdrawn
Republic Holdings Texas II L.P.
$17 mil CAPCO nts med-term nts ser 2008-A due 03/01/2015
Rating
------
CUSIP To From
----- -- ----
760488AB2 NR CC
$5.717 mil CAPCO nts med-term nts ser 2008-B due 03/01/2015
Rating
------
CUSIP To From
----- -- ----
760488AD8 NR CC
$1.922 mil med-term nts ser 2008-C due 03/01/2015
Rating
------
CUSIP To From
----- -- ----
760488AF3 NR CC
Whitecap New York Growth Fund LLC
$4.518 mil gtd med-term nts ser 2004 due 03/01/2015
Rating
------
CUSIP To From
----- -- ----
96466TAA9 NR CC
Whitecap New York Growth Fund II LLC
$5.361 mil sr struct gtd nts med-term nts ser 2005 due 03/01/2016
Rating
------
CUSIP To From
----- -- ----
96466QAA5 NR CC
Whitecap Texas Opportunity Fund L.P.
$23.413 mil med-term nts ser 2005 due 03/01/2012
Rating
------
CUSIP To From
----- -- ----
96466VAA4 NR CC
Whitecap Texas Opportunity Fund II L.P.
$4.107 mil CAPCO nts med-term nts ser 2008A due 08/01/2015
Rating
------
CUSIP To From
----- -- ----
96466YAA8 NR CC
$23.271 mil CAPCO nts med-term nts ser 2008B due 08/01/2015
Rating
------
CUSIP To From
----- -- ----
96466YAB6 NR CC
NR - Not rated.
CITIGROUP INC: Moody's Downgrades Ratings on Junior Debt to 'Ba1'
-----------------------------------------------------------------
Moody's Investors Service lowered its ratings on Citigroup's
junior-subordinated TRUPS and Enhanced TruPS securities to Ba1
from Baa3. It also lowered to Ba2 from Ba1 the rating on the
cumulative preferred securities issued by Egg Banking plc that are
guaranteed by Citigroup Inc. These actions are in line with
Moody's revised Guidelines for Rating Bank Hybrids and
Subordinated Debt published in November 2009 and conclude the
reviews for possible downgrade initiated on November 18th, 2009.
The list of Citigroup's rating changes can be found below.
Moody's also raised the ratings on the non-cumulative preferred
stock issued by Citigroup Inc., which were positioned based on an
expected loss analysis, to Caa1 from Ca. The upgrades reflect
Moody's greater confidence that the coupons suspended beginning in
September 2009 will eventually be resumed.
All other ratings on Citigroup and its subsidiaries were
unchanged. These include Moody's unsupported Bank Financial
Strength Rating of C-, which translates to a Baseline Credit
Assessment of Baa2 for Citibank N.A. The A1 rating on the bank
for deposits incorporates four notches of lift because of Moody's
assumption that Citibank N.A. benefits from very high systemic
support. The A3 rating on the senior unsecured notes issued by
the holding company also remains unchanged and incorporates three
notches of lift given Moody's systemic support assumptions. The
short-term ratings for Citibank N.A. and Citigroup Inc. are Prime
-1. The rating outlooks on Citibank N.A. and Citigroup for short-
term obligations, long-term deposits, senior debt and senior-
subordinated debt are stable. The rating outlook on its BFSR of
C- and Citigroup's hybrid ratings remains negative.
Revised Hybrid Guidelines Motivated Downgrades On Junior-
Subordiated And Cumulative Preferred Securities.
Moody's said that, under the revised methodology, hybrid
securities with coupon skip mechanisms will be anchored from the
bank's Adjusted Baseline Credit Assessment (Adjusted BCA) as
opposed to Citibank N.A.'s supported deposit and senior debt
ratings. The Adjusted BCA is determined by adding parental and/or
cooperative support to the bank's BCA, if applicable. In Citibank
N.A.'s case, since neither parental nor cooperative support
applies, the Adjusted BCA is Baa2, the same as the bank's BCA.
For hybrids issued by the holding company, an additional one notch
adjustment is made to capture the risk of structural
subordination. All of Citigroup's hybrids are either issued by
the holding company -- Citigroup Inc. -- or guaranteed by
Citigroup Inc.
In summary, Moody's rated Citigroup's junior-subordinated debt
securities with deferral features Ba1, which is two notches below
the bank's Adjusted BCA of Baa2 and also includes an adjustment
for structural subordination of the holding company. Meanwhile,
Egg Banking plc's cumulative preferred securities guaranteed by
Citigroup Inc. were rated Ba2, which is three notches below the
Adjusted BCA after taking structural subordination of the holding
company into account.
Non-Cumulative Preferred Ratings Are Upgraded
Moody's raised the ratings on non-cumulative preferred securities
issued by Citigroup to Caa1 from Ca. The ratings were downgraded
to Ca in late February 2009 after Citigroup announced plans to
suspended dividends on these securities to provide an incentive
for investors to accept Citigroup's offer to exchange the
securities for its common stock. Moody's viewed the offer as a
distressed exchange, which was an important factor in the previous
Ca rating. As a result of Citigroup's exchange offer, the company
increased its tangible common equity by approximately $62 billion,
and it raised an incremental $19 billion of common equity in
December 2009. Moody's said that the ratings upgrade to Caa1 from
Ca reflects Citigroup's enlarged capital base, which increases the
possibility of eventual restoration of the preferred dividends
within three years of their initial suspension.
Latest Rating Actions And Rating Methodologies
Moody's last rating action on Citigroup was on November 18, 2009,
when its hybrid securities were placed on review for possible
downgrade.
Citigroup Inc. is headquartered in New York, New York. Its
reported assets were $1.9 trillion as of December 31, 2009.
Issuer: Citigroup Capital III
Downgrades:
-- US$200M Preferred Stock Due 2036, CUSIP 17305HAA6, Downgraded
to Ba1 from Baa3
Issuer: Citigroup Capital VII
Downgrades:
-- US$925M Preferred Stock Due 2031, CUSIP 17306N203, Downgraded
to Ba1 from Baa3
-- US$1000M Preferred Stock Shelf, SEC Registration 333-27155,
Downgraded to (P)Ba1 from (P)Baa3
-- US$1000M Preferred Stock Shelf, SEC Registration 333-42575,
Downgraded to (P)Ba1 from (P)Baa3
-- US$6000M Preferred Stock Shelf, SEC Registration 333-68949,
Downgraded to (P)Ba1 from (P)Baa3
-- US$25000M Preferred Stock Shelf, SEC Registration 333-68949,
Downgraded to (P)Ba1 from (P)Baa3
Issuer: Citigroup Capital VIII
Downgrades:
-- US$1125M Preferred Stock Due 2031, CUSIP 17306R204,
Downgraded to Ba1 from Baa3
-- US$6000M Preferred Stock Shelf, SEC Registration 333-68949,
Downgraded to (P)Ba1 from (P)Baa3
-- US$25000M Preferred Stock Shelf, SEC Registration 333-49442,
Downgraded to (P)Ba1 from (P)Baa3
Issuer: Citigroup Capital IX
Downgrades:
-- US$873M Preferred Stock Due 2033, CUSIP 173066200, Downgraded
to Ba1 from Baa3
-- US$6000M Preferred Stock Shelf, SEC Registration 333-68949,
Downgraded to (P)Ba1 from (P)Baa3
-- US$25000M Preferred Stock Shelf, SEC Registration 333-49442,
Downgraded to (P)Ba1 from (P)Baa3
Issuer: Citigroup Capital X
Downgrades:
-- US$380M Preferred Stock Due 2033, CUSIP 173064205, Downgraded
to Ba1 from Baa3
-- US$6000M Preferred Stock Shelf, SEC Registration 333-68949,
Downgraded to (P)Ba1 from (P)Baa3
-- US$25000M Preferred Stock Shelf, SEC Registration 333-49442,
Downgraded to (P)Ba1 from (P)Baa3
-- US$15000M Preferred Stock Shelf, SEC Registration 333-102206,
Downgraded to (P)Ba1 from (P)Baa3
-- US$15000M Preferred Stock Shelf, SEC Registration 333-102206,
Downgraded to (P)Ba1 from (P)Baa3
Issuer: Citigroup Capital XI
Downgrades:
-- US$474M Preferred Stock Due 2034, CUSIP 17307Q205, Downgraded
to Ba1 from Baa3
-- US$6000M Preferred Stock Shelf, SEC Registration 333-68949,
Downgraded to (P)Ba1 from (P)Baa3
-- US$25000M Preferred Stock Shelf, SEC Registration 333-49442,
Downgraded to (P)Ba1 from (P)Baa3
-- US$15000M Preferred Stock Shelf, SEC Registration 333-102206,
Downgraded to (P)Ba1 from (P)Baa3
-- US$15000M Preferred Stock Shelf, SEC Registration 333-102206,
Downgraded to (P)Ba1 from (P)Baa3
-- US$30000M Preferred Stock Shelf, SEC Registration 333-117615,
Downgraded to (P)Ba1 from (P)Baa3
Issuer: Citigroup Capital XIV
Downgrades:
-- US$307M Preferred Stock Due 2066, CUSIP 17309E208, Downgraded
to Ba1 from Baa3
Issuer: Citigroup Capital XV
Downgrades:
-- US$631M Preferred Stock Due 2066, CUSIP 17310G202, Downgraded
to Ba1 from Baa3
Issuer: Citigroup Capital XVI
Downgrades:
-- US$954M Preferred Stock Due 2066, CUSIP 17310L201, Downgraded
to Ba1 from Baa3
Issuer: Citigroup Capital XVII
Downgrades:
-- US$702M Preferred Stock Due 2067, CUSIP 17311H209, Downgraded
to Ba1 from Baa3
Issuer: Citigroup Capital XVIII
Downgrades:
-- US$160M Preferred Stock Due 2067, CUSIP 030671147, Downgraded
to Ba1 from Baa3
Issuer: Citigroup Capital XIX
Downgrades:
-- US$570M Preferred Stock Due 2067, CUSIP 17311U200, Downgraded
to Ba1 from Baa3
Issuer: Citigroup Capital XX
Downgrades:
-- US$443M Preferred Stock Due 2067, CUSIP 173085200, Downgraded
to Ba1 from Baa3
Issuer: Citigroup Capital XXI
Downgrades:
-- US$2346M Preferred Stock Due 2077, CUSIP 173094AA1,
Downgraded to Ba1 from Baa3
Issuer: Citigroup Capital XXX
Downgrades:
-- US$1875M Preferred Stock Due 2041, CUSIP n.a., Downgraded to
Ba1 from Baa3
Issuer: Citigroup Capital XXXI
Downgrades:
-- US$1875M Preferred Stock Due 2042, CUSIP n.a., Downgraded to
Ba1 from Baa3
Issuer: Citigroup Capital XXXII
Downgrades:
-- US$1875M Preferred Stock Due 2042, CUSIP n.a., Downgraded to
Ba1 from Baa3
Issuer: Citigroup Inc.
Downgrades:
-- Junior Subordinate Shelf, SEC Registration 333-157459,
Downgraded to (P)Ba1 from (P)Baa3
Upgrades:
-- Cumulative Preferred Shelf, SEC Registration 333-157459,
Upgraded to (P)Ba2 from (P)Ca
-- Non-cumulative Preferred Shelf, SEC Registration 333-157459,
Upgraded to (P)Caa1 from (P)Ca
-- US$97M Preferred Stock, CUSIP 172967572, Upgraded to Caa1
from Ca
-- US$23M Preferred Stock, CUSIP 172967598, Upgraded to Caa1
from Ca
-- US$121M Preferred Stock, CUSIP 172967ER8, Upgraded to Caa1
from Ca
-- US$71M Preferred Stock, CUSIP 172967556, Upgraded to Caa1
from Ca
Issuer: Egg Banking Plc
Downgrades:
-- GBP250M 7.5% Junior Subordinated Regular Bond/Debenture, ISIN
XS0167817898, Downgraded to Ba2 from Ba1
CLARET TRUST: Moody's Upgrades Ratings on Seven 2006-1 Certs.
-------------------------------------------------------------
Moody's Investors Service upgraded the ratings of seven classes
and affirmed five classes of Claret Trust, Commercial Mortgage
Pass-Through Certificates, Series 2006-1. The upgrades are due to
overall improved pool performance and increased subordination due
to loan paydowns and principal amortization. The pool has paid
down 51% since Moody's last review. The affirmations are due to
key rating parameters, including Moody's loan to value ratio,
stressed debt service coverage ratio and the Herfindahl Index,
remaining within acceptable ranges. The rating action is the
result of Moody's on-going surveillance of commercial mortgage
backed securities transactions.
As of the January 29, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 60%
to $152.3 million from $379.6 million at securitization. The
Certificates are collateralized by 46 mortgage loans ranging in
size from less than 1% to 8% of the pool, with the top ten non-
defeased loans representing 48% of the pool. Two loans,
representing 7% of the pool have defeased and are collateralized
with Canadian government securities.
Fifteen loans, representing 20% of the pool are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
The pool has not experienced any losses since securitization and
currently there are no delinquent or specially serviced loans.
Moody's was provided with full year 2008 operating results for 87%
of the pool. Moody's weighted average LTV is 54% compared to 59%
at Moody's last review.
Moody's actual and stressed DSCRs are 1.69X and 2.04X,
respectively, compared to 1.59X and 1.83X at last review. Moody's
actual DSCR is based on Moody's net cash flow and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's
NCF and a 9.25% stressed rate applied to the loan balance.
Moody's uses a variation of the Herfindahl index to measure
diversity of loan size, where a higher number represents greater
diversity. Loan concentration has an important bearing on
potential rating volatility, including the risk of multiple-notch
downgrades under adverse circumstances. The pool has a Herf of 26
compared to 55 at last review. The decline in Herf is offset by
increased subordination.
The top three loans represent 18.8% of the outstanding pool
balance. The largest loan is the Control Number 2 Loan
($11.7 million -- 7.7% of the pool), which is secured by two
multi-tenanted industrial buildings totaling 305,267 square feet.
The buildings are located within a large industrial park in
Calgary, Alberta. The properties were 90% leased as of January
2010 compared to 100% at last review. Performance has been stable
and the loan has benefited from amortization. The loan has
amortized 5% since last review. Moody's LTV and stressed DSCR are
63% and 1.51x, respectively, compared to 66% and 1.43x at last
review.
The second largest exposure is the Control Number 17 and 40 Loans
($8.8 million -- 5.8% of the pool), which are two cross-
collateralized and cross-defaulted loans secured by two adjacent
retail properties totaling 108,091 square feet. The properties
are located approximately 70 miles north of Toronto in Orillia,
Ontario. The largest tenant is A&P Supermarket, which occupies
37% of the NRA. The property is 95% leased as of February 2009
compared to 100% at last review. Performance has been stable
since last review. Moody's LTV and stressed DSCR are 58% and
1.65x, respectively, compared to 59% and 1.62x at last review.
The third largest loan is the Control Number 5 Loan ($8.2 million
-- 5.4% of the pool), which is secured by a 68,751 square foot
office/retail mixed use building located in Calgary, Alberta. The
property was 98% leased as of April 2009 compared to 99% at last
review. Property performance has been stable and the loan has
benefited from amortization. The loan has amortized 5% since last
review. Moody's LTV and stressed DSCR are 60% and 1.76x,
respectively, compared to 66% and 1.60x at last review.
Moody's rating action is:
-- Class A, $120,555,686, affirmed at Aaa, previously assigned
Aaa on 6/26/2006
-- Class X, Notional, affirmed at Aaa, previously assigned Aaa
on 6/26/2006
-- Class B, $5,693,000, upgraded to Aaa from Aa1, previously
upgraded to Aa1 from Aa2 on 3/20/2008
-- Class C, $6,168,000, upgraded to Aaa from A2, previously
assigned A2 on 6/26/2006
-- Class D, $6,168,000, upgraded to Aa2 from Baa2, previously
assigned Baa2 on 6/26/2006
-- Class E, $1,898,000, upgraded to A2 from Baa3, previously
assigned Baa3 on 6/26/2006
-- Class F, $2,372,000, upgraded to Baa1 from Ba1, previously
assigned Ba1 on 6/26/2006
-- Class G, $1,423,000, upgraded to Baa3 from Ba2, previously
assigned Ba2 on 6/26/2006
-- Class H, $949,000, upgraded to Ba2 from Ba3, previously
assigned Ba3 on 6/26/2006
-- Class J, $949,000, affirmed at B1, previously assigned B1 on
6/26/2006
-- Class K, $1,423,000, affirmed at B2, previously assigned B2
on 6/26/2006
-- Class L, $949,000, affirmed at B3, previously assigned B3 on
6/26/2006
COMM 2005-FL11: Moody's Affirms Ratings on Eight Classes of Notes
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of eight classes
and upgraded three classes of COMM 2005-FL11 Commercial Mortgage
Securities Corp. Series 2005-FL11. The upgrades are due to
increased subordination due to the payoff of two pooled loans, the
Toys"R"Us DE Portfolio Loan and the Toys"R"Us MPO Portfolio Loan,
representing a combined 62% of the pool balance at last review.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
As of the February 16, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 90%
to $177 million from $1.7 billion at securitization. The
Certificates are secured by four loans ranging in size from 9% to
53% of the pool balance. All loans mature in 2010. The
transaction pays principal on a modified sequential basis.
Moody's weighted average loan to value ratio is 79% compared to
89% at last review on March 3, 2009 and 66% at securitization.
Moody's stressed debt service coverage ratio is 1.42X, compared to
1.34X at last review and 1.68X at securitization. Moody's
stressed DSCR is based on Moody's NCF and a 9.25% stressed
interest rate applied to the loan balance.
The pool has experienced a nominal loss of $6,297 since
securitization. Currently one loan, the DDR/Macquarie Mervyn's
Portfolio Loan ($16.4 million -- 9% of the pool balance), is in
special servicing. This loan represents a pari-passu interest in
a $220.6 million first mortgage loan. At securitization, the loan
was secured by 35 single tenant buildings leased to Mervyn's.
Mervyn's filed for Chapter 11 bankruptcy protection in July 2008
and subsequently closed all its stores. Mervyn's has rejected the
leases on all the properties in this portfolio. The loan was
transferred to special servicing in October 2008 due to imminent
default. The loan is current and the borrower is focused on
selling or releasing the properties prior to the loan maturity in
October 2010. Five properties have been sold, resulting in a
$37.9 million prepayment to the pari-passu loan and one sale is
pending. Nine properties have been fully or partially leased
although no tenants have started rental payments. The servicer is
still evaluating the potential resolution. The loan sponsors are
Diversified Realty Corporation and Macquarie DDR Trust, a publicly
traded real estate investment trust. Moody's current underlying
rating is C compared to Baa3 at last full review.
The largest loan in the pool is the Whitehall/Starwood Golf
Portfolio Loan ($93.8million - 53% of the pool balance) which was
initially supported by fee and leasehold interests in a portfolio
of 173 public and private golf courses containing 3,374 holes.
Seventy three properties have been released since securitization
and the loan is now secured by 100 courses containing 1,968 holes
across the United States. The properties are managed by AGC Corp.
The properties are also encumbered by $209 million of subordinate
/ mezzanine debt. The net cash flow has deteriorated 43% from
2008 to the trailing twelve month period ending September 30,
2009. Given the decrease in performance in the golf market and
the pressures on the capital markets, Moody's believes this loan
will be difficult to refinance upon loan maturity in July 2010 and
is a likely candidate for an extension. Moody's current
underlying rating is Ba1 compared to Aa1 at last full review.
The second largest loan is the Cambelback Common Loan
($41.5 million -- 23% of the pool balance), which is secured by a
619,000 square foot grocery anchored power center located in
Phoenix, Arizona. The Macerich managed center is anchored by
Fry's Food & Drug, Last Chance, Best Buy, Marshall's and Bed Bath
and Beyond. The center was 84% leased as of September 30, 2009.
The increased vacancy since last review is mainly due to Mervyn's
vacating the center. The inline sales for the trailing twelve
month period ending September 30, 2009 were $299 per square foot.
Moody's current underlying rating is Baa3 compared to Baa2 at last
full review.
The third largest loan is the Crossgate Commons Loan
($25.5 million -- 14% of the pool balance), which is secured by a
690,000 square foot power center located in Albany, New York. The
center is anchored by Wal-Mart and Sam's Club, although neither
tenant is part of the collateral. Other anchor tenants include
Home Depot, Sport's Authority and Jeepers. As of September 30,
2009, the center was 76% leased due to both Circuit City and Old
Navy vacating the property. Both the cash flow and occupancy have
deteriorated since securitization. Moody's current underlying
rating is Caa2 compared to B2 at last review.
Moody's rating action is:
-- Class B, $20,737,351, Affirmed at Aaa; previously on 5/11/07
Upgraded to Aaa
-- Class C, $23,565,929, Affirmed at Aaa; previously on 5/11/07
Upgraded to Aaa
-- Class D, $16,024,255, Upgraded to Aaa; previously on 3/03/09
Downgraded to Aa2
-- Class E, $20,737,802, Upgraded to Aa1; previously on 3/03/09
Downgraded to A1
-- Class F, $18,852,383, Upgraded to Aa3 previously on 3/03/09
Downgraded to A3
-- Class H, $14,139,287, Affirmed at Baa3; previously on 3/03/09
Downgraded to Baa3
-- Class J, $16,024,706, Affirmed at Ba1; previously on 3/03/09
Downgraded to Ba1
-- Class X2-DB, Notional, Affirmed at Aaa; previously on
12/16/2005 Assigned Aaa
-- Class X2-CB, Notional, Affirmed at Aaa; previously on
12/16/2005 Assigned Aaa
-- Class X3-DB, Notional, Affirmed at Aaa; previously on
12/16/2005 Assigned Aaa
-- Class X3-CB, Notional, Affirmed at Aaa; previously on
12/16/2005 Assigned Aaa
COMM 2006-CNL2: S&P Downgrades Ratings on 16 Classes of CMBS
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 16
classes of commercial mortgage-backed certificates from COMM 2006-
CNL2, a U.S. commercial mortgage-backed securities transaction.
Concurrently, S&P affirmed its ratings on two other classes from
the same transaction and removed all 18 ratings from CreditWatch
with negative implications, where S&P had placed them on Nov. 11,
2009.
The rating actions reflect S&P's revised valuations of the five
upscale luxury hotel properties securing the sole fixed-rate
interest-only loan that serves as collateral for the transaction.
The downgrades primarily reflect the declines in net cash flow due
to lower occupancies and lower average daily rates for these
lodging properties. Revenue per available room for the portfolio
has decreased 24% (as of Dec. 31, 2009) compared with the levels
S&P assessed at issuance. This resulted in an increase in S&P's
stressed in-trust loan-to-value ratio to 119% from 69% at
issuance. S&P's revised valuations for the hotel properties is
42%, in aggregate, lower than the levels S&P assessed at issuance.
The decline, in S&P's opinion, is primarily due to a reduction in
business-group and leisure travel coupled with increased operating
expenses. The master servicer, Midland Loan Services (Midland),
reported a debt service coverage of 0.90x on the trust balance for
the nine-months ended Sept. 30, 2009. Including the
$525.0 million mezzanine debt held outside the trust, the "all in"
DSC is 0.70x for the same period. The rating actions also reflect
S&P's assessment of the borrower's ability to refinance the loan
by its final maturity date on Feb. 1, 2011.
S&P based its analysis, in part, on a review of the borrower's
operating statements for the year ended Dec. 31, 2009, the
borrower's 2010 budgets, available Smith Travel Research (STR)
reports, and Torto Wheaton Research RevPAR projections for each
submarket.
The downgrades of the class X-1 and X-2 IO certificates also
reflect the fact that the distributions of interest proceeds to
the IO classes are made pro rata to classes A-1, A-2FX, and A-2FL.
S&P published a request for comment proposing changes to its IO
criteria on June 1, 2009. After S&P finalizes its criteria
review, S&P may revise its IO criteria, which may affect
outstanding ratings, including the ratings on the IO certificates
that S&P downgraded.
This loan was transferred to the special servicer, also Midland,
on Oct. 21, 2009, due to imminent default after the borrower
submitted a loan modification proposal. Midland is currently
exploring various workout strategies with the borrower. As of the
Feb. 5, 2010, trustee remittance report, the mortgage loan has a
trust and whole-loan balance of $1.0 billion that is secured by
five upscale luxury resort hotels totaling 3,287 rooms in Hawaii,
California, Florida, and Arizona. The IO loan has a 5.5699% fixed
interest rate and a final maturity of Feb. 1, 2011. The rated
final distribution date for each class of offered certificates is
in February 2019. In addition, the equity interests in the
borrower secure four floating-rate mezzanine loans totaling
$525.0 million that are held outside the trust. Details of the
five collateral properties securing this loan are:
The Grand Wailea Resort Hotel and Spa is a 780-room, full-service
luxury resort hotel on 37 acres in Maui, Hawaii. Amenities
include six restaurants, 80,600 sq. ft. of meeting space, and a
50,000-sq.-ft. spa. As of year-end 2009, the reported occupancy
and ADR for the property were 70.2% and $380.32, respectively,
yielding a RevPAR of $267.06, down 18% from the levels that S&P
assessed at issuance. Standard & Poor's adjusted valuation is 32%
below its issuance levels.
The La Quinta Resort & Club and PGA West is a 796-room, full-
service luxury resort and golf community on 2,180 acres, which
includes nine 18-hole golf courses, several restaurants, a retail
center, 47,850 sq. ft. of meeting space, and a 23,000-sq.-ft. spa
in La Quinta, Calif. As of year-end 2009, the reported occupancy
and ADR for the property were 49.8% and $165.93, respectively,
yielding a RevPAR of $82.57, down 35% since issuance. Standard &
Poor's adjusted valuation has declined 50% since issuance.
The Arizona Biltmore Resort & Spa is a 739-room, full-service
luxury conference resort destination on 30 acres in Phoenix.
Amenities include a 92-foot water slide, 93,200 sq. ft. of
conference space, and a 22,000-sq.-ft. spa. As of year-end 2009,
the reported occupancy and ADR for the property were 57.6% and
$174.59, respectively, yielding a RevPAR of $100.56, down 30% from
issuance. Standard & Poor's adjusted valuation has fallen 44%
since issuance.
The Doral Golf Resort & Spa is a 693-room, full-service luxury
hotel in Doral, Fla. Amenities include 15,000 sq. ft. of retail
space, 67,350 sq. ft. of conference space, five 18-hole golf
courses, five restaurants, and 50,000 sq. ft. of fitness and spa
facilities. As of year-end 2009, the reported occupancy and ADR
for the property were 56.1% and $155.31, respectively, yielding a
RevPAR of $87.13, down 26% from issuance.
Standard & Poor's adjusted valuation is 52% below its issuance
levels.
The Claremont Resort & Spa is a 279-room, full-service luxury
resort, with amenities that include 27,000 sq. ft. of meeting
space, three restaurants, and a 20,000-sq.-ft. spa on 20 acres in
Berkeley Hills, Calif. As of year-end 2009, the reported
occupancy and ADR for the property were 61.3% and $167.50,
respectively, yielding a RevPAR of $102.59, down 16% from
issuance. Standard & Poor's adjusted valuation is 54% below its
values at issuance.
Ratings Lowered And Removed From Creditwatch Negative
COMM 2006-CNL2
Commercial mortgage-backed certificates
Rating
------
Class To From
----- -- ----
A-2FX A AAA/Watch Neg
A-2FL A AAA/Watch Neg
A-JFX BBB- AA-/Watch Neg
A-JFL BBB- AA-/Watch Neg
BFX BB A-/Watch Neg
BFL BB A-/Watch Neg
CFX BB- BBB+/Watch Neg
CFL BB- BBB+/Watch Neg
D B+ BBB/Watch Neg
E B- BBB-/Watch Neg
F CCC+ BB+/Watch Neg
G CCC BB/Watch Neg
H CCC- BB-/Watch Neg
J CCC- B+/Watch Neg
X-1 A AAA/Watch Neg
X-2 A AAA/Watch Neg
Ratings Affirmed And Removed From Creditwatch Negative
COMM 2006-CNL2
Commercial mortgage-backed certificates
Rating
------
Class To From
----- -- ----
A-1 AAA AAA/Watch Neg
K CCC- CCC-/Watch Neg
CONSECO FINANCE: S&P Downgrades Rating on Class B-1 Notes
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on class B-1
from Conseco Finance Home Equity Loan Trust 2002-A. In addition,
S&P affirmed its ratings on nine classes from series 2002-A and
2002-C. Both deals are residential mortgage-backed securities
transactions backed by U.S. subprime mortgage loan collateral.
The downgrade reflects S&P's opinion that projected credit support
for the affected class is insufficient to maintain the previous
rating, given its current projected losses in light of increased
delinquencies.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. In order to
maintain a 'B' rating 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 110% of its base-case loss assumptions to maintain a
'BB' rating, while S&P would assess whether a different class
could withstand approximately 120% of 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 its base-case loss assumptions under its analysis.
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for nine classes from both
transactions is sufficient to cover losses associated with these
rating levels.
Subordination, excess spread, and overcollateralization provide
credit support for the affected transactions. The underlying
collateral for these transactions consists of fixed- and
adjustable-rate U.S. subprime loans secured by first, second, or
more-junior mortgages on one- to four-family residential
properties.
Rating Actions
Conseco Finance Home Equity Loan Trust 2002-A
Series 2002-A
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 20846QJN9 CCC BBB-
Ratings Affirmed
Conseco Finance Home Equity Loan Trust 2002-A
Series 2002-A
Class CUSIP Rating
----- ----- ------
A-5 20846QJJ8 AAA
M-1 20846QJL3 AA
M-2 20846QJM1 A-
Conseco Finance Home Equity Loan Trust 2002-C
Series 2002-C
Class CUSIP Rating
----- ----- ------
MF-2 20846QKH0 AA+
BF-1 20846QKJ6 BBB+
AV-1 20846QKK3 AAA
MV-1 20846QKM9 AAA
MV-2 20846QKN7 AA
BV-1 20846QKP2 BBB
CREDIT SUISSE: Moody's Confirms Ratings on Three 2003-CK2 Notes
---------------------------------------------------------------
Moody's Investors Service confirmed the ratings of three classes,
affirmed seven classes and downgraded six pooled classes and one
non-pooled class of Credit Suisse First Boston Mortgage Securities
Corp., Commercial Mortgage Pass-Through Certificates, Series 2003-
CK2. The downgrades of the pooled classes are due to higher
expected losses for the pool resulting from realized and
anticipated losses from specially serviced and watchlisted loans
and concerns about loans approaching maturity in an adverse
environment. Sixty-one loans, representing 69% of the non-
defeased pool, mature within the next 36 months. Thirteen of
these loans, representing 11% of the non-defeased pool, have a
Moody's stressed debt service coverage less than 1.0X.
Class GLC is a non-pooled, or rake, class supported by a B-note on
Great Lakes Crossing, a 1.1 million square foot shopping center
located in Auburn Hills, Michigan. This class was downgraded due
to a decline in the center's performance.
The confirmations and affirmations are due to key rating
parameters, including Moody's loan to value ratio and stressed
DSCR remaining within acceptable ranges. Although loan diversity,
as measured by the Herfindahl Index has declined since last
review, this is offset by a significant increase in subordination
from paydowns and loan amortization.
On February 17, 2010, Moody's placed ten classes of this
transaction on review for possible downgrade due to potential
losses from specially serviced and other poorly performing loans.
This action concludes Moody's review of this transaction. The
rating action is the result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
As of the January 15, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 31% to
$678.4 million from $988.2 million at securitization. The
Certificates are collateralized by 81 mortgage loans ranging in
size from less than 1% to 12% of the pool, with the top ten non-
defeased loans representing 42% of the pool. Ten loans,
representing 19% of the pool, have defeased and are secured by
U.S. Government securities. At last review, the Great Lakes
Crossing Loan had an investment grade underlying rating. Due to a
decline in property performance this loan no longer has an
underlying rating and is analyzed as part of the conduit pool.
Thirteen loans, representing 10% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
Six loans have been liquidated from the trust, resulting in an
aggregate $8.1 million loss (40% severity on average). There are
four loans, representing 10% of the pool, currently in special
servicing. The largest specially serviced loan is the 2300
Imperial Building Loan ($26.5 million -- 3.9% of the pool), which
is secured by a 157,225 square foot office building located in El
Segundo, California. The loan was transferred to special
servicing in November 2009 due to payment default. The property
was 48% leased as of September 2009.
The second largest specially serviced loan is the Michigan
Commercial Portfolio Loan ($25.5 million -- 3.7% of the pool),
which is secured by a portfolio of 16 Class B office buildings and
one retail building, all located in and around Lansing, Michigan.
The loan was transferred to special servicing in May 2008 due to
imminent monetary default and is now 90+ days delinquent. The
property was 77% leased as of June 2009.
The remaining two specially serviced loans are secured by office
and retail properties. Moody's estimates a $30.3 million
aggregate loss for the specially serviced loans (47% loss severity
on average).
In addition to recognizing losses from specially serviced loans,
Moody's has assumed a high default probability on four loans (3.2%
of the pool) that are currently on the servicer's watch list and
one loan (3.5% of the pool) with significant refinance risk.
Moody's estimates a $7.3 million loss for these troubled loans
(15% loss severity on average). Moody's rating action recognizes
potential uncertainty around the timing and magnitude of loss from
these troubled loans.
Moody's was provided with full-year 2008 and partial 2009
operating results for 85% and 86% of the non-defeased portion of
the pool, respectively. Excluding specially serviced and troubled
loans, Moody's weighted average LTV is 85% compared to 91% at
Moody's prior review.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.44X and 1.25X, respectively, compared to
1.41X and 1.15X at last review. Moody's actual DSCR is based on
Moody's net cash flow and the loan's actual debt service. Moody's
stressed DSCR is based on Moody's NCF and a 9.25% stressed rate
applied to the loan balance.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple-notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 21 compared to 40 at last review.
The loan that previously had an underlying rating is the Great
Lakes Crossing Loan ($78.1 million -- 11.5% of the pool), which
represents a 59% participation interest in a $132.3 million first
mortgage loan. The loan is secured by the borrower's interest in
a 1.1 million square foot value oriented shopping center located
approximately 30 miles north of Detroit in Auburn Hills, Michigan.
The center is anchored by Burlington Coat Factory, Sports
Authority, Bed Bath & Beyond, T.J. Maxx and Marshalls. The center
is also encumbered by a B-note which is the security for the non-
pooled Class GLC. As of October 2009, the center was 82% leased
compared to 86% at last review and 91% at securitization.
Occupancy, tenant sales and property performance have all
exhibited downward trends since last review and securitization.
The decline in performance has resulted in increased leverage and
the loan no longer has an underlying rating. Moody's LTV and
stressed DSCR for the A-note are 82% and 1.23X, respectively,
compared to 69% and 2.54X at last review.
The three largest performing conduit loans represent 23% of the
pool. The largest conduit loan is the Museum Square Loan
($51.3 million -- 7.5% of the pool), which is secured by a 522,362
square foot office property located in Los Angeles, California.
The property was 89% leased as of October 2009. Performance has
improved since last review due to increased revenues, stable
expenses and amortization. The loan has amortized by 5% since
last review. Moody's LTV and stressed DSCR are 74% and 1.47X,
respectively, compared to 88% and 1.20X at last review.
The second largest conduit loan is the Carl Zeiss Building Loan
($25 million -- 3.7% of the pool), which is secured by a 201,620
square foot office building located in Dublin, California. The
building is 100% leased to Carl Zeiss Meditec, Inc., through
September 2019. The borrower did not refinance the loan on the
September 2009 anticipated repayment date. Although property
performance has been stable, Moody's valuation incorporates a
stressed cash flow to reflect the decline in the market conditions
since last review. Based on Torto Wheaton fourth quarter 2009
report for the Dublin submarket, average asking rents and vacancy
were $16.33 per square foot and 23%, respectively, compared to
$21.10 PSF and 22% at least review. Moody's LTV and stressed DSCR
are 119% and 0.89X, respectively, compared to 94% and 1.12X at
last review.
The third largest conduit loan is the BAE Systems Building Loan
($24 million -- 3.5% of the pool), which is secured by a 133,806
square foot office building located in Reston, Virginia. The
building is 100% leased to BAE Systems through October 2012. The
loan also matures in October 2012. Although property performance
has been stable, Moody's valuation incorporates a stressed cash
flow to reflect the decline in the market conditions since last
review. Based on Torto Wheaton fourth quarter 2009 market report
for the Reston submarket, average asking rents and vacancy were
$27.82 PSF and 17%, respectively, compared to $29.00 PSF and 11%
at least review. BAE's rent is approximately 13% above current
market rent. Moody's LTV and stressed DSCR are 118% and 0.87X,
respectively, compared to 100% and 1.03X at last review.
Moody's rating action is:
-- Class A-3, $108,342,509, affirmed at Aaa; previously on
April 11, 2003 assigned Aaa
-- Class A-4, $364,293,000, affirmed at Aaa; previously on
April 11, 2003 assigned Aaa
-- Class A-X, Notional, affirmed at Aaa; previously on April 11,
2003 assigned Aaa
-- Class A-SP, Notional, affirmed at Aaa; previously on
April 11, 2003 assigned Aaa
-- Class B, $32,118,000, affirmed at Aaa; previously on
August 2, 2006 upgraded to Aaa
-- Class C, $12,353,000, affirmed at Aaa; previously on
August 2, 2006 upgraded to Aaa
-- Class D, $29,647,000, affirmed at Aaa; previously on
December 20, 2007 upgraded to Aaa
-- Class E, $12,353,000, confirmed at Aaa; previously on
February 17, 2010, placed on review for possible downgrade
-- Class F, $12,353,000, confirmed at Aa2; previously on
February 17, 2010, placed on review for possible downgrade
-- Class G, $19,764,000, confirmed at A2; previously on
February 17, 2010, placed on review for possible downgrade
-- Class H, $14,824,000, downgraded to Baa3 from Baa2;
previously on February 17, 2010, placed on review for
possible downgrade
-- Class J, $17,294,000, downgraded to B1 from Ba1; previously
on February 17, 2010, placed on review for possible downgrade
-- Class K, $17,294,000, downgraded to Caa3 from Ba2; previously
on February 17, 2010, placed on review for possible downgrade
-- Class L, $4,941,000, downgraded to Ca from Ba3; previously on
February 17, 2010, placed on review for possible downgrade
-- Class N, $6,176,000, downgraded to C from B2; previously on
February 17, 2010, placed on review for possible downgrade
-- Class O, $4,941,000, downgraded to C from B3; previously on
February 17, 2010, placed on review for possible downgrade
-- Class GLC, $3,230,863, downgraded to Ba3 from Baa3;
previously on February 17, 2010, placed on review for
possible downgrade
CRYSTAL RIVER: Fitch Downgrades Ratings on Five 2005-1 Notes
------------------------------------------------------------
Fitch Ratings has downgraded five and affirmed four classes of
notes issued by Crystal River CDO 2005-1, Ltd., due to
deterioration in the credit quality of the portfolio since last
review.
As of the January 2010 trustee report, the current balance of the
portfolio is $201.8 million including $189.9 million in defaulted
securities as defined in the transaction's governing documents.
Defaulted securities now comprise 94.4% of the portfolio, compared
to 36.3% at last review in March 2009. Approximately 86.9% of the
portfolio has been downgraded since Fitch's last rating action,
resulting in the entire portfolio carrying a below investment
grade Fitch derived rating.
This review was conducted under the framework described in the
reports 'Global Rating Criteria for Structured Finance CDOs' and
'Global Rating Criteria for Structured Finance CDOs', using the
Structured Finance Portfolio Credit Model for projecting future
default levels for the underlying portfolio. Given the
significant collateral deterioration, Fitch believes that the
likelihood of default for all classes of notes in this transaction
can be assessed without performing cash flow model analysis under
the framework described in the 'Global Criteria for Cash Flow
Analysis in CDOs - Amended' report. Fitch compared the respective
credit enhancement levels for each rated class of notes with the
amount of underlying assets considered distressed (rated 'CCC' and
lower). These assets have a high probability of default and low
expected recoveries upon default.
As of the December 2009 distribution date, approximately 87.8% of
the class A notes' original balances have paid down. The class A
notes now represent only 5.1% of the capital structure and have a
credit enhancement of 92.8%. In Fitch's opinion, class A is the
only class of notes which may receive a full repayment of
principal assuming minimal recovery of principal on some of the
defaulted assets. Given the negative outlook for the performance
of the underlying assets, the Rating Outlook remains Negative.
In addition to credit deterioration of the portfolio, the
transaction continues to divert a portion of the principal to pay
interest rate hedge payments and interest due to classes A, B, and
C, thereby reducing the amount of principal proceeds available to
pay down the notes. However, this principal leakage, in the order
of $.2 million at last payment, is expected to slow down as the
CDO's out-of-the money interest rate hedge notional gradually
steps down until its expiration in 2013.
The transaction entered an event of default on Sept. 2, 2009,
following a missed interest payment due on the class D notes due
to a structural feature that prohibits using principal proceeds to
pay class D notes' interest if a more senior class of notes is
outstanding. As of the date of this rating action, the
controlling class of notes have not accelerated the maturity.
Additionally, the class A notes are assigned a Loss Severity
rating of 'LS5'. The LS rating indicates a tranche's potential
loss severity given default, as evidenced by the ratio of tranche
size to the base-case loss expectation for the collateral, as
explained in 'Criteria for Structured Finance Loss Severity
Ratings'. Currently, for the class A notes this ratio falls below
0.5. The LS rating should always be considered in conjunction
with the notes' long-term credit rating. Fitch does not assign LS
ratings to tranches rated 'CCC' and below.
The class B and C notes have the credit enhancement levels of
70.7% and 60.6%, respectively. While these classes are still
receiving interest payments from principal proceeds, given the
significant collateral deterioration, Fitch believes default is
inevitable for both classes of notes.
The class D notes, rated to timely receipt of interest, have been
in default since September 2009. Fitch does not expect the notes
to receive future interest payments.
The class E, F, G, and H notes are not expected to receive any
future interest or principal payments.
Crystal River 2005-1 is a cash flow collateralized debt
obligation, which closed on Nov. 30, 2005 and is managed by
Hyperion Crystal River Capital Advisors, LLC. The transaction
exited the revolving period in December 2008. Crystal River 2005-
1's current portfolio comprises commercial mortgage-backed
securities (58.7%), subprime residential mortgage-backed
securities (15.9%), Alternative-A RMBS (13.6%), and prime RMBS
(11.8%).
Fitch has taken these rating actions on these notes, including
assigning Outlooks and LS ratings as indicated:
-- $14,509,515 Class A downgraded to 'B/LS5' from 'BBB', Outlook
Negative.
-- $44,750,000 Class B downgraded to 'C' from 'BB',;
-- $20,500,000 Class C downgraded to 'C' from 'B';
-- $42,500,000 Class D-1 downgraded to 'D' from 'CCC';
-- $10,000,000 Class D-2 downgraded to 'D' from 'CCC';
-- $24,575,604 Class E affirmed at 'C';
-- $27,141,659 Class F affirmed at 'C';
-- $11,726,643 Class G affirmed at 'C';
-- $5,181,540 Class H affirmed at 'C'.
CSFB MANUFACTURED: S&P Downgrades Ratings on Seven Certificates
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes of certificates issued from CSFB Manufactured Housing
Pass-Through Certificates series 2001-MH29 and 2002-MH3. At the
same time, S&P affirmed the 'AAA' rating on the class A
certificates from series 2001-MH29.
The lowered ratings reflect S&P's view of the higher-than-expected
cumulative net losses and the deterioration of available credit
enhancement caused by the weak performance trends associated with
the underlying pool of manufactured housing contracts originated
by CIT Group/Sales Financing Inc.
As of the January 2010 distribution date, series 2001-MH29 had
experienced current cumulative net losses of 13.20% after 98
months of performance and had a pool factor of 32.94%. Series
2002-MH3 had experienced cumulative net losses of 11.16% after 93
months of performance and had a pool factor of 38.06%. Based on
the current performance, S&P has increased its loss expectation
for series 2001-MH29 to 20.00%-21.00% from its most recent revised
loss expectation of 16.25%-17.25%, and S&P has increased its loss
expectation for series 2002-MH3 to 18.50%-19.50% from its most
recent revised loss expectation of 14.50%-15.50%.
According to the transaction documents, each transaction is
structured with overcollateralization, excess spread, and
subordination for the class A, M-1, M-2, and B-1 certificates. As
a result of the higher-than-expected losses, the
overcollateralization for each transaction has been reduced to
zero, and the subordinated class B-2 certificate from each
transaction is experiencing principal write downs. In addition,
the reductions in the pool balances have slowed considerably in
relation to the increased losses, which have increased the loss-
to-liquidation for each pool. S&P believes that because of the
higher-than-expected cumulative net losses, the remaining credit
support is no longer sufficient to maintain the previous ratings
on the downgraded certificates.
The affirmation of the rating on the class A certificates from
series 2001-MH29 reflects S&P's view that the subordination and
excess spread are sufficient to cover losses at its 'AAA' stressed
rating level at this time.
Standard & Poor's will continue to monitor these transactions to
assess whether S&P think further rating actions are appropriate.
Ratings Lowered
CSFB Manufactured Housing Pass-Through Certificates
Rating
------
Series Class To From
------ ----- -- ----
2001-MH29 M-1 A AA
2001-MH29 M-2 BB A-
2001-MH29 B-1 CCC- B+
2002-MH3 A AA AAA
2002-MH3 M-1 A- AA
2002-MH3 M-2 BB- A-
2002-MH3 B-1 CCC- B+
Rating Affirmed
CSFB Manufactured Housing Pass-Through Certificates
Series Class Rating
------ ----- ------
2001-MH29 A AAA
CT CDO: Fitch Affirms Ratings on 14 Classes of Notes
----------------------------------------------------
Fitch Ratings has affirmed 14 classes issued by CT CDO III
Ltd./Corp. as a result of minimal negative credit migration of the
commercial mortgage-backed securities collateral and sufficient
credit enhancement to support the current ratings of the notes.
Since Fitch's last rating action in February 2009, approximately
6.9% of the portfolio has been downgraded, and placed on Rating
Watch Negative. Approximately 28.7% of the portfolio has a Fitch
derived rating below investment grade and 15.9% has a rating below
'CCC', compared to 21.8% and 13.1%, respectively, at last review.
Further, the CDO has paid down $3.1 million since the last review.
As of the January 20, 2010 payment date, all classes are current
on interest. Two assets (16% of the portfolio) are experiencing
partial interest shortfalls and have a Fitch derived rating of
'D'. However, one asset (2.9%) is expected to recover 91%-100% (a
Recovery Rating of 'RR1') and the other projected to recover an
estimated 31%.
This transaction was analyzed under the framework described in the
Fitch report 'Global Rating Criteria for Structured Finance CDOs'
using the Portfolio Credit Model for projecting future default
levels for the underlying portfolio. Based on this analysis, the
credit enhancement available to the class A-1 through H notes are
generally consistent with the PCM rating loss rate for each class'
current rating.
Fitch affirmed classes J through N at their current ratings based
on the recovery expectations of the assets with a Fitch-derived
rating of 'D'. The total loss estimate on these assets is
expected to partially erode the Preferred Shares. As further
losses are realized, credit enhancement to the junior classes will
continue to deteriorate. As a result, the ratings on classes L
through N indicate default is probable. Similarly, the ratings on
classes J and K indicate default is a real possibility.
The Negative Rating Outlook on the class A-1 through H notes
reflects Fitch's expectation that underlying CMBS loans will face
refinance risk and maturity defaults. Fitch also assigned Loss
Severity ratings to the notes. The LS ratings indicate each
tranche's potential loss severity given default, as evidenced by
the ratio of tranche size to the expected loss for the collateral
under the 'B' stress. The LS rating should always be considered
in conjunction with probability of default indicated by a class'
long-term credit rating. Fitch does not assign Rating Outlooks or
LS ratings to classes rated 'CCC' or lower.
CT CDO III is a commercial real estate collateralized debt
obligation that closed Aug. 4, 2005. The transaction is
collateralized by 21 CMBS assets from 12 obligors from the 1996-
1999 vintages. The collateral is primarily composed of CMBS B-
Piece resecuritizations which are CRE CDOs and Re-REMIC
transactions that include the most junior bonds of CMBS
transactions.
Fitch has affirmed, assigned LS ratings and revised Rating
Outlooks to these classes as indicated:
-- $44,387,524 class A-1 at 'AAA/LS4'; Outlook to Negative from
Stable;
-- $147,169,000 class A-2 at 'A/LS3'; Outlook to Negative from
Stable;
-- $29,007,000 class B at 'BBB+/LS4'; Outlook to Negative from
Stable;
-- $13,650,000 class C at 'BBB/LS4'; Outlook to Negative from
Stable;
-- $5,118,000 class D at 'BBB-/LS5'; Outlook to Negative from
Stable;
-- $6,825,000 class E at 'BB+/LS5'; Outlook to Negative from
Stable;
-- $6,825,000 class F at 'BB+/LS5'; Outlook to Negative from
Stable;
-- $9,811,000 class G at 'BB/LS5'; Outlook to Negative from
Stable;
-- $11,517,000 class H at 'B/LS5'; Outlook to Negative from
Stable;
-- $6,825,000 class J at 'CCC';
-- $3,839,000 class K at 'CCC';
-- $5,118,000 class L at 'CC';
-- $5,545,000 class M at 'CC';
-- $4,265,000 class N at 'CC'.
CWCAPITAL COBALT: Moody's Downgrades Ratings on Eight Classes
-------------------------------------------------------------
Moody's Investors Service downgraded the ratings of eight classes
of Notes issued by CWCapital Cobalt Vr Ltd. due to deterioration
in the credit quality of the underlying portfolio as evidenced by
an increase in the weighted average rating factor and a decrease
in the weighted average recovery rate since Moody's last review.
The rating action is the result of Moody's on-going surveillance
of commercial real estate collateralized debt obligation
transactions.
CWCapital Cobalt Vr Ltd. is a static CRE CDO transaction backed by
a portfolio of commercial mortgage backed securities (77% of the
pool balance) and CRE CDOs (23% of the pool balance). All of the
collateral was securitized between 1998 and 2007, while the CMBS
collateral was securitized between 2003 and 2007.
As of January 26, 2010, the aggregate Notes balance of the
transaction, including the Preferred Shares, has decreased to
$3,210 million from $3,431 million at issuance, due to
approximately $107 million in pay-downs to the Class A-1 Notes.
Cash flow was redirected to pay down the Class A-1 Notes due to
the classification of $2,252 million of collateral par as impaired
securities. Per the Indenture, interest payments received on
impaired securities are treated as principal payments directed to
pay down the Notes in order of priority of distribution. As a
result, interest shortfalls have reached Class A-2 per the latest
Trustee Report.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, weighted average
life, WARR, and Moody's asset correlation. These parameters are
typically modeled as actual parameters for static deals and as
covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's have completed updated credit estimates for the non-
Moody's rated collateral. The bottom-dollar WARF is a measure of
the default probability within a collateral pool. Moody's modeled
a bottom-dollar WARF of 8,680 compared to 7,385 at last review.
WAL acts to adjust the probability of default of the collateral
pool for time. Moody's modeled to the current WAL of 7.2 years
compared to 7.9 at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR
of 1.4% compared to 2.7% at last review.
MAC is a single factor that describes the pair-wise asset
correlations to default distribution among the instruments within
the collateral pool (i.e. the measure of diversity). Moody's
modeled a MAC of 99%, the same as that at last review. The high
MAC is due to the increase of very-high risk collateral
concentrated within a small number of collateral names.
Moody's review incorporated updated asset correlation assumptions
for the commercial real estate sector consistent with one of
Moody's CDO rating models, CDOROM v2.5, which was released on
April 3, 2009. These correlations were updated in light of the
systemic seizure of credit markets and to reflect higher inter-
and intra-industry asset correlations. The updated asset
correlations, depending on vintage and issuer diversity, used for
CUSIP collateral (i.e. CMBS, CRE CDOs or REIT debt) within CRE
CDOs range from 30% to 60%, compared to 15% to 35% previously.
The cash flow model, CDOEdge v3.2, was used to analyze the cash
flow waterfall and its effect on the capital structure of the
deal.
The rating actions are:
-- Class A-1, Downgraded to Ba1; previously on November 19, 2009
A2, Placed Under Review for Possible Downgrade
-- Class A-2, Downgraded to Ca; previously on November 19, 2009
Ba3, Placed Under Review for Possible Downgrade
-- Class B, Downgraded to Ca; previously on November 19, 2009
B3, Placed Under Review for Possible Downgrade
-- Class C, Downgraded to Ca; previously on November 19, 2009
B3, Placed Under Review for Possible Downgrade
-- Class D, Downgraded to Ca; previously on November 19, 2009
Caa1, Placed Under Review for Possible Downgrade
-- Class E, Downgraded to Ca; previously on November 19, 2009
Caa1, Placed Under Review for Possible Downgrade
-- Class F, Downgraded to Ca; previously on November 19, 2009
Caa2, Placed Under Review for Possible Downgrade
-- Class G, Downgraded to Ca; previously on November 19, 2009
Caa3, Placed Under Review for Possible Downgrade
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
DLJ MORTGAGE: Fitch Downgrades Ratings on Various Certificates
--------------------------------------------------------------
Fitch Ratings has downgraded and assigned Recovery Ratings to
these DLJ Mortgage Acceptance Corp. certificates in the course of
its ongoing surveillance reviews:
DLJ Mortgage Acceptance Corp., Series 1996-QA
-- Class S (IO) (cusip 23321PWP9) downgraded to 'C' from 'AAA';
-- Class M (cusip 23321PWR5) downgraded to 'D/RR2' from 'AA';
-- Class B-1 (cusip 23321PS3) downgraded to 'D/RR6' from 'DD';
-- Class B-2 (cusip 23321PWT1) downgraded to 'D/RR6'from 'DD'.
The DLJ Mortgage Acceptance Corp., Series 1996-QA certificates
have a pool factor of 0.47% with three loans remaining. In
addition, all classes with the exception of class S were
downgraded to 'D' because the bonds incurred a realized principal
loss as reported on the monthly remittance reports provided by the
trustee.
FINANSURE STUDENT: Fitch Maintains Ratings on Student Loans
-----------------------------------------------------------
Fitch Ratings currently maintains ratings as listed below on
student loan asset-backed securities issued by the FinanSure
Student Loan Master Trust I, series 2007-1. Fitch has been
requested to confirm its existing ratings upon the adoption and
effectiveness of the second supplement to the first supplemental
indenture, and the first amendment to the auction agent agreement
(together, the amendments). Consistent with its statements on
policies regarding rating confirmations in structured finance
transactions (dated Jan. 13, 2009) and student loan confirms
(dated May 8, 2009), Fitch is treating this request as a
notification.
The amendments will amend the first supplemental indenture and the
auction agent agreement to remove the capitalization requirement
of at least $15 million for a market agent or broker/dealer. Upon
execution of the amendments, Kildare Capital, Inc., will replace
RBC Capital Markets as the market agent and broker/dealer.
The primary duties of a market agent are to approve a
broker/dealer, to assist the auction agent and the trustee in the
determination of appropriate coupon rates on the notes, and to
make changes to the auction periods or dates. The primary role of
a broker/dealer is to participate in the auction procedures by
collecting buy, sell and hold orders from existing or potential
owners of notes, and to submit valid orders to the auction agent.
As a market agent or broker/dealer's functions are operational in
nature, the trusts have no credit exposure to it. In accordance
with Fitch's counterparty criteria for structured finance
transactions (dated Oct. 22, 2009), Fitch has determined that the
adoption of the amendments will not have an impact on the existing
ratings at this time. This determination only addresses the
effect of the adoption of the amendments on the current ratings
assigned by Fitch to the securities. It does not address whether
they are permitted by the terms of the documents nor does it
address whether they are in the best interests of, or prejudicial
to, some or all of the holders of the securities listed.
Fitch's ongoing surveillance of ratings is based on the documents
and information provided to us by the issuer and other parties.
Fitch relies on all these parties for the accuracy of such
information and documents. Fitch did not audit or verify the
truth or accuracy of such information.
Fitch currently rates the FinanSure Student Loan Master Trust I,
series 2007-1 auction-rate student loan asset-backed notes are:
-- Series 2007-1 A-1 senior notes 'AAA/LS1'; Outlook Stable;
-- Series 2007-1 A-2 senior notes 'AAA/LS1'; Outlook Stable;
-- Series 2007-1 A-3 senior notes 'AAA/LS1'; Outlook Stable;
-- Series 2007-1 A-4 senior notes 'AAA/LS1'; Outlook Stable;
-- Series 2007-1 A-5 senior notes 'AAA/LS1'; Outlook Stable;
-- Series 2007-1 A-6 senior notes 'AAA/LS1'; Outlook Stable;
-- Series 2007-1 A-7 senior notes 'AAA/LS1'; Outlook Stable;
-- Series 2007-1 B-1 subordinate notes 'A/LS3';
-- Series 2007-1 B-2 subordinate notes 'A/LS3';
-- Series 2007-1 B-3 subordinate notes 'A/LS3';
-- Series 2007-1 C-1 subordinate notes 'BB'.
FREEDOM CERTIFICATES: Moody's Raises Ratings on Two Certificates
----------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these certificates issued by FREEDOM CERTIFICATES
USAutos Series 2004-1 Trust:
-- US$4,000,000 5.10% Freedom Certificates, USAutos, Series
2004-1 Class A Certificates; Upgraded to B3; Previously on
December 17, 2008 Downgraded to Caa2
-- US$4,000,000 Notional Principal Balance Freedom Certificates,
USAutos, Series 2004-1 Class X Certificates; Upgraded to B3;
Previously on December 17, 2008 Downgraded to Caa2
The transaction is a structured note whose rating is based on the
underlying securities and the legal structure of the transaction.
The underlying securities consist of $2,000,000 aggregate
principal amount of 7.375% Debentures due February 1, 2011 issued
by Ford Motor Credit Company and $2,000,000 aggregate principal
amount of 7.25% Debentures due March 2, 2011 issued by General
Motors Acceptance Corporation. The current rating of the
Debentures issued by Ford Motor Credit Company is B3, on review
for upgrade. The rating action is a result of the change of the
rating of the Debentures issued by General Motors Acceptance
Corporation, which were upgraded by Moody's on February 5, 2010,
to B3.
G-FORCE 2005-RR2: Fitch Downgrades Ratings on 14 Classes of Notes
-----------------------------------------------------------------
Fitch Ratings has downgraded 14 and affirmed three classes issued
by G-Force 2005-RR2 LLC as a result of losses to the commercial
mortgage backed securities collateral within the portfolio.
Since Fitch's last rating action in January 2009, the transaction
has experienced approximately $50 million in losses.
Additionally, approximately 2.9% of the portfolio has been
downgraded, and 5.4% was placed on Rating Watch Negative.
Approximately 81.4% of the portfolio has a Fitch derived rating
below investment grade and 25.1% has a rating in the 'CCC' rating
category or lower, compared to 78.6% and 21.4%, respectively, 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. Based on this analysis, the credit
enhancement available to the class A-2 and A-3FL notes is
generally consistent with the PCM rating loss rate for the 'AAA'
and 'BBB' rating category, respectively. Similarly, the credit
enhancement available to each of classes A-4A through B is
generally consistent with the PCM rating loss rate for the 'B'
rating category and class C notes with the PCM rating loss rate
for the 'CCC' rating category.
Due to the significant collateral deterioration, all PCM rating
loss rates exceed the credit enhancement available to class D and
below. For these classes, Fitch compared the respective credit
enhancement levels to the amount of underlying assets considered
highly distressed (19.1%), including 10.1% of first loss 'NR'
bonds. Given the high probability of default of these assets and
the little to no recoveries expected upon default, the class D
notes have been assigned a 'CC' rating indicating default is
probable. Similarly, classes E through N have been assigned a 'C'
rating, indicating default is inevitable.
As of the Jan. 25, 2010 payment date, only classes A-1 through F
received their respective interest payments. However, class F has
yet to recover all outstanding interest shortfalls. These
interest shortfalls are not likely to recover as Fitch anticipates
further losses on the underlying collateral.
The class A-2 through B notes were assigned a Negative Rating
Outlook reflecting Fitch's expectation of further negative credit
migration of the underlying collateral. These notes were also
assigned Loss Severity ratings. The LS ratings indicate each
tranche's potential loss severity given default, as evidenced by
the ratio of tranche size to the expected loss for the collateral
under the 'B' stress. The LS rating should always be considered
in conjunction with probability of default indicated by a class'
long-term credit rating. Fitch does not assign Rating Outlooks or
LS ratings to classes rated 'CCC' or lower.
G-Force 2005-RR2 is a CMBS Resecuritization issued in August 2005.
The transaction is currently collateralized by 112 CMBS assets
from 21 obligors from the 1995-2002 vintages. The collateral is
primarily composed of CMBS B-Piece resecuritizations which are CRE
CDOs and ReRemic transactions that include the most junior bonds
of CMBS transactions.
Fitch has downgraded, assigned LS ratings, and revised Outlooks to
these classes as indicated:
-- $50,000,000 class A-4A downgrade to 'B/LS5' from 'BB',
Outlook revised to Negative from Stable;
-- $58,446,000 class A-4B downgrade to 'B/LS5' from 'BB',
Outlook revised to Negative from Stable;
-- $64,860,000 class B downgrade to 'B/LS5' from 'B+', Outlook
revised to Negative from Stable;
-- $47,397,000 class C downgrade to 'CCC' from 'B-';
-- $17,462,000 class D downgrade to 'CC' from 'CCC';
-- $21,204,000 class E downgrade to 'C' from 'CCC';
-- $23,698,000 class F downgrade to 'C' from 'CCC';
-- $31,182,000 class G downgrade to 'C' from 'CC';
-- $19,957,000 class H downgrade to 'C' from 'CC';
-- $12,473,000 class J downgrade to 'C' from 'CC';
-- $11,226,000 class K downgrade 'C' from 'CC';
-- $12,472,000 class L downgrade to 'C' from 'CC';
-- $11,226,000 class M downgrade to 'C' from 'CC';
-- $9,978,000 class N downgrade to 'C' from 'CC'.
In addition, Fitch has affirmed, assigned LS ratings, and revised
Outlooks to these classes:
-- Interest-only class X notes affirmed at 'AAA', Outlook
revised to Negative from Stable;
-- $121,721,431 class A-2 affirmed at 'AAA', Outlook revised to
Negative from Stable; assigned 'LS5'
-- $250,000,000 class A-3FL affirmed at 'BBB-', Outlook revised
to Negative from Stable; assigned 'LS4'.
GE COMMERCIAL: Fitch Amends January 14 Press Release on Ratings
---------------------------------------------------------------
Fitch Ratings has amended a press release originally published on
Jan. 14 and revises the Outlooks for classes A-2, A-3, A-AB, A-4,
A-1A, X-P and X-C, all of which are Stable, not Negative.
Fitch takes various actions on several classes of GE Commercial
Mortgage Corporation commercial mortgage pass-thru certificates,
series 2005-C2.
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
6.2% for this transaction, should market conditions not recover.
The rating actions are based on losses of 6.2%, as a majority of
the loans mature in the next five years. The bonds with Negative
Outlooks indicate classes that may be downgraded in the future
should full potential losses be realized.
To determine potential defaults for each loan Fitch assumed cash
flow would decline by 10% from year-end 2008, which 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 (x), 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, ranging between 7.5% and 9.5%, 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 54.3% 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 93%
of the recognized losses.
Approximately 90% of the mortgages mature within the next five
years: 19.4% in 2010, 6.4% in 2011, 4.2% in 2012 and 59.9% in
2015.
Fitch identified 34 Loans of Concern (26%) within the pool, 8 of
which (7%) are specially serviced. Of the specially serviced
loans, five (6%) are current.
Losses are expected on four (6.8%%) of the Top 15: three are
expected to default during the term, while losses on one (1.5%) is
expected to default at maturity. Loss severities associated with
these loans range from 21% to 49%. The largest overall
contributors to deal loss are: Lodge at Kingwood (1.5%), Extra
Space Portfolio (0.8%), and Melrose (0.7%).
Lodge at Kingwood is a garden style multifamily property
consisting of 312 units, located in Kingwood, TX. The property
has experienced declines in performance due to weak market, and
occupancy declines in 2006 and 2007. The most recent servicer
reported debt-service coverage ratio as of year-end 2008 was 1.16x
and occupancy of 94.2% compared to 1.32x and 95% occupancy at
issuance. Fitch expects that the loan may default at the May 2010
maturity as cash flow is not expected to increase to a level that
would meet Fitch's refinance criteria.
Extra Space Portfolio consists of three self storage facilities
totaling 197,403 square feet located in IL, and two properties
located in New Jersey. The portfolio performance has declined
since issuance as a result of lower occupancy as well as current
economic and market conditions. The most recent servicer reported
DSCR as of September 2009 is 1.27x and 84% occupancy. Fitch
expects that the loan may default at maturity as cash flow is not
expected to increase to a level that would meet Fitch's refinance
criteria.
Melrose is a multifamily student-housing property consisting of
271 units, located in Urbana, IL. The property suffers from
increased competition in the area as a result of new rooms built
at the University of Illinois in addition to current economic
conditions and a soft market. The property is 66% occupied as of
11/6/09. The most recent servicer reported DSCR as of September
2009 is 0.14x. Fitch expects that the loan may default prior to
maturity given the decline in performance.
Fitch downgrades, removes from Rating Watch Negative, assigns
Outlooks and LS ratings:
-- $149.1 million class A-J to 'AA/LS3' from 'AAA'; Outlook
Stable;
-- $14 million class B to 'AA/LS5' from 'AAA'; Outlook Stable;
-- $30.3 million class C to 'A/LS5' from 'AA'; Outlook Stable;
-- $16.3 million class D to 'BBB/LS5' from 'AA-'; Outlook
Stable;
-- $25.6 million class E to BB/LS5' from 'A'; Outlook Stable;
-- $16.3 million class F to 'BB/LS5' from 'A-'; Outlook Stable;
-- $21 million class G to 'B/LS5' from 'BBB+'; Outlook Negative;
-- $16.3 million class H to 'B-/LS5' from 'BBB'; Outlook
Negative;
-- $21 million class J to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $9.3 million class K to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $7 million class L to 'B-/LS5' from 'BB'; Outlook Negative;
In addition, Fitch affirms these classes, assigns Rating Outlooks,
and LS Ratings:
-- $132.6 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $132.4 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $72.4 million class A-AB at 'AAA'/LS1; Outlook Stable;
-- $445.4 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $409.5 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- Interest-only class X-P at 'AAA'; Outlook Stable;
-- Interest-only class X-C at 'AAA'; Outlook Stable;
-- $9.3 million class M to 'B-/LS5' from 'BB-'; Outlook
Negative.
Fitch does not rate classes N, O, P and Q certificates. Class A-1
has paid off in full.
GTP TOWERS: Fitch Assigns Ratings on Two Classes of Notes
---------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to two
classes of Secured Tower Revenue Notes issued by GTP Towers
Issuer, LLC, an indirect wholly owned subsidiary of Global Tower
Holdings, LLC, a wireless tower operator which in turn is
controlled by affiliated funds of The Macquarie Group.
The complete rating actions are:
Issuer Entity: GTP Towers Issuer, LLC
-- $200,000,000 Class C, 4.436% Secured Tower Revenue Notes,
Global Tower Series 2010-1, rated A2
-- $50,000,000 Class F, 8.112% Secured Tower Revenue Notes,
Global Tower Series 2010-1, rated Ba2
Global Tower Partners is the 4th largest independent (non-carrier)
owner/operator of wireless towers in the U.S. GTP was founded in
2002 and is currently controlled by affiliated funds of The
Macquarie Group. The Issuer, a wholly indirect subsidiary of GTP,
is structured as a bankruptcy remote special purpose entity. The
$250,000,000 Series 2010-1 notes are secured by 1,351 telecom
sites (the tower sites) that are mostly owned or leased by the
Issuer or one of its affiliates. Space on the towers is in turn
leased to a variety of users, primarily major wireless telephony
carriers. As of November 2009, this tower pool had an annualized
run rate net cash flow of approximately $33 million.
The ratings of the 2010 notes are derived from an assessment of
the present value of the net cash flow that the tower pool is
anticipated to generate from leases on the towers, compared to the
cumulative debt being issued at each rating category. The major
risk is of developments which could reduce the value of the lease
cash flow from wireless carriers. This could arise, for example,
from the development of wireless communication technology that
reduces the need for wireless towers or due to overbuilding or
pricing pressures from the wireless carrier lessees. Moody's
think that such risks are consistent with the ratings and tenor of
the 2010 notes, in part because Moody's expect additional demand
for cell tower infrastructure in the next few years as a result of
the expected buildup of the 3G and 4G network by the wireless
carriers. The ratings also take into account the fact that GTP is
an unrated company much smaller than the other publicly traded
cell tower operators. Nevertheless, the tower assets are
serviceable by third parties and Moody's view control by certain
Macquarie funds as providing further stability. While the
securitized pool is relatively small compared to other cell tower
transactions, the pool is very well-diversified geographically.
Finally, noteholder are secured by a first mortgage lien on the
Asset Entities' interests (fee, leasehold or easement) in tower
sites representing not less than 80% of the Annualized Run Rate
Net Cash Flow. This will enable the Indenture Trustee to
foreclose directly on these assets/rights in addition to being
able to foreclose on the equity of the Asset Entities themselves.
Moody's V-Score And Parameter Sensitivities
The V Score for this transaction is Medium or Average. The V
Score indicates "Average" structure complexity and uncertainty
about critical assumptions.
The Medium or average score for this transaction is driven by the
Medium score for historical sector and issuer performance and data
and Medium transaction governance. The Medium for historical
performance and data for the sector is attributed to the fact that
the data dates back only fifteen years or so, while securitization
data go back only about five years. The Medium for the Issuer's
historical performance and data is derived from Moody's view that
even though GTP is relatively young and has existed for less than
ten years, Moody's think that historical performance is a good
indicator for future performance due to the nature of the assets
and the sector. Finally, the Medium for transaction governance is
mainly because of the limited experience of GTP in securitizations
having done only one such transaction in 2007 and the fact that
GTP is an unrated and relatively small company compared to the
other publicly traded cell tower operators.
Moody's Parameter Sensitivities -- In the ratings analysis Moody's
use various assumptions to assess the present value of the net
cash flow that the tower pool is anticipated to generate. Based
on these cash flows, the quality of the collateral and the
transaction's structure, the total amount of debt that can be
issued at a given rating level is determined. Hence, a material
change in the assessed net present value could result in a change
in the ratings. Therefore Moody's focus on the sensitivity to
this variable in the parameter sensitivity analysis.
Specifically, if the net cash flow that the tower pool is
anticipated to generate each year is reduced by 5%, 10% and 15%
compared to the net cash flows used in determining the initial
rating, the potential model-indicated rating for the class A would
change from A2 to A3, Baa1, and Baa3, respectively and the ratings
for the Class B would change from Ba2 to B1, B2 and B3,
respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the transaction has
not aged. Furthermore, parameter Sensitivities only reflects the
ratings impact of each scenario from a quantitative/model-
indicated standpoint. Qualitative factors are also taken into
consideration in the ratings process, so the actual ratings that
would be assigned in each case could vary from the information
presented in the Parameter Sensitivity analysis.
As described therein, Moody's derive an asset value for the
collateral which in turn is compared to the proposed bond issuance
amounts. In deriving the value of the assets, Moody's viewed the
historical operating performance of GTP, the performance of GTP's
other securitization issued in May 2007 (GTP Acquisition Partners
I, LLC), evaluated and analyzed comparable public company data and
market information from various third party sources.
These are the key assumptions used in the quantitative analysis:
(i) Revenue Growth -- the telephony tenants revenue growth rates
were derived from the tenants' contractual obligations and were
assumed to be fixed at 3.2% for the life of the transaction.
Revenues from broadcasting were assumed to decline on a continuous
basis over a 15 year period to a third of current levels, and
data/other revenues were assumed to decline to zero based on a
triangular distribution ranging from five to ten years; (ii)
Operating Expenses -- were assumed to vary such that net tower
cash flow margins ranged from 62% to 77% based on a triangular
distribution; (iii) Maintenance Capital Expenditures -- were
assumed to be $720 per tower per annum, and to increase by 2% to
4% every year; (iv) Tenants' Probability of Default (telephony
tenants) - Moody's "Idealized" default rate table was applied,
using the actual ratings of the Tenants who were rated and
assuming near-default ratings for others; (vi) Discount Rate --
the discount rate applied to the net cash flow was assumed to vary
between 10.00% and 13.00%; (vii) Finally, adjustments were made to
the total amount of debt that can be issued down to the requested
rating level based on the structure of the transaction. In
particular, each class of notes accounts for a larger percentage
of the total debt outstanding compared to similarly rated classes
in the prior cell tower transactions; therefore the notes have
lower severity of loss risk. As a result, Moody's was comfortable
with a somewhat larger individual class sizes than would otherwise
have been the case.
GUGGENHEIM STRUCTURED: Fitch Downgrades Ratings on Six Classes
--------------------------------------------------------------
Fitch Ratings has downgraded six classes of Guggenheim Structured
Real Estate Funding 2005-2 Ltd./LLC (Guggenheim 2005-2) reflecting
Fitch's base case loss expectation of 22.7%. Fitch's performance
expectation incorporates prospective views regarding commercial
real estate market value and cash flow declines.
Guggenheim 2005-2 is primarily collateralized by subordinate
commercial real estate debt (75.2% of total collateral are either
B-notes, non-senior commercial mortgage backed securities or
mezzanine loans). Fitch expects significant losses upon default
for the subordinate positions since they are generally highly
leveraged debt classes. Further, two loans (9.9%) are currently
defaulted and one loan (5.7%) is considered a Fitch Loan of
Concern. Fitch expects significant to full losses on the
defaulted assets and Loan of Concern.
Guggenheim 2005-2 is a CRE collateralized debt obligation managed
by Guggenheim Structured Real Estate Advisors with approximately
$260 million of collateral. The transaction has a five-year
reinvestment period which ends in August 2010.
As of the January 2010 trustee report and per Fitch
categorizations, the CDO was substantially invested: CRE B-notes
(34.5%), non-senior CMBS (25.4%), mezzanine loans (15.3%), and A-
notes/whole loans (20.4%). Following the January 2010 trustee
reporting period, the CDO sold two bank loan positions at a
discount and now holds 4.5% in uninvested principal proceeds. In
general, Fitch treats non-senior, single-borrower CMBS as CRE B-
notes.
All overcollateralization tests, except for the class A/B OC test,
are failing, as of the January 2010 trustee report. As a result,
interest and principal proceeds (after class C) are being
redirected to redeem class A. All interest coverage ratios have
remained above their covenants.
Under Fitch's updated methodology, approximately 44.4% of the
portfolio is modeled to default in the base case stress scenario,
defined as the 'B' stress. In this scenario, the modeled average
cash flow decline is 9.5% from the most recent available cash
flows (generally from third quarter 2009). Fitch estimates that
recoveries will average 48.9%.
The largest component of Fitch's base case loss expectation is a
subordinate mortgage participation (4%) secured by three gaming
properties located in Atlantic City, New Jersey; Robinsonville,
Mississippi; and Tunica, Mississippi. The loan is 90-plus days
delinquent. The special servicer obtained updated appraisals
valuing the portfolio at less than the senior debt amount. As
such, Fitch modeled this position as a full loss in its base case
scenario.
The next largest component of Fitch's base case loss expectation
is a B-note (11.4%) secured by a portfolio of 105 limited-service
hotels across 26 states. Net cash flow for the portfolio has
declined significantly since last year. Based on current
performance, a financial covenant was triggered and all excess
cash flow after debt service is being swept into a lender
controlled reserve account as excess collateral for the loan.
Fitch modeled a maturity default in its base case scenario.
The third largest component of Fitch's base case loss expectation
is a defaulted A-note (5.9%) secured by undeveloped land in
Orlando, FL. During January 2009, the sponsor defaulted on its
terms and the loan was transferred to special servicing. The
servicer is currently pursuing foreclosure. Simultaneously, the
land was put up for auction, and the servicer is currently
reviewing the bids. The servicer received an appraisal valuing
the property at less than the A-note. As such, Fitch modeled the
position as a term default with a significant loss in its base
case scenario.
This transaction was analyzed according to the 'U.S. CREL CDO
Surveillance Criteria,' which applies stresses to property cash
flows and uses debt service coverage ratio tests to project future
default levels for the underlying portfolio. Recoveries are based
on stressed cash flows and Fitch's long-term capitalization rates.
The default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under the various
default timing and interest rate stress scenarios, as described in
the report 'Global Criteria for Cash Flow Analysis in CDOs.' Based
on this analysis, the breakeven rates for class A are generally
consistent with the 'BBB' rating category. The breakeven rates
for class B are generally consistent with the 'BB' rating
category. The breakeven rates for class C are generally
consistent with the 'B' rating category.
The ratings for classes D through F are generally based on a
deterministic analysis, which considers Fitch's base case loss
expectation for the pool and the current percentage of defaulted
assets and Fitch Loans of Concern factoring in anticipated
recoveries relative to each class's credit enhancement. Based on
this analysis, the rating for classes D through F is consistent
with the 'CCC' rating, meaning default is a real possibility given
the credit enhancement to each class falls below Fitch's base case
loss expectation of 22.7% but above the expected loss on the
defaulted assets and Fitch Loans of Concern.
Class S is an interest-only class with a notional balance of
$5 million. The interest amount is paid monthly out of CDO cash
flows and is senior in priority to class A. Fitch estimates that
class S will pay with timely interest for its seven remaining pay
periods in all stress scenarios. As such, class S credit
characteristics are consistent with a 'AAA' rating and the class
is assigned a Stable Rating Outlook.
Classes A through C were each assigned a Negative Outlook
reflecting Fitch's expectation of further negative credit
migration of the underlying collateral. These classes were also
assigned Loss Severity ratings ranging from 'LS3' to 'LS5'
indicating each tranche's potential loss severity given default,
as evidenced by the ratio of tranche size to the expected loss for
the collateral under the 'B' stress. LS ratings should always be
considered in conjunction with probability of default indicated by
a class' long-term credit rating. Fitch does not assign Outlooks
or LS ratings to classes rated 'CCC' or lower.
Classes D through F were assigned Recovery Ratings to provide a
forward-looking estimate of recoveries on currently distressed or
defaulted structured finance securities. Recovery Ratings are
calculated using Fitch's cash flow model and incorporate Fitch's
current 'B' stress expectation for default and recovery rates
(44.4% and 48.9%, respectively), the 'B' stress US$ LIBOR up-
stress, and a 24-month recovery lag. All modeled distributions
are discounted at 10% to arrive at a present value and compared to
the class's tranche size to determine a Recovery Rating.
The assignment of 'RR3' to class D reflects modeled recoveries of
61% of its outstanding balance. The expected recovery proceeds
are broken down:
-- Present value of expected principal recoveries
($9.3 million);
-- Present value of expected interest payments ($4.6 million);
-- Total present value of recoveries ($13.9 million);
-- Sum of undiscounted recoveries ($22.2 million).
Classes E and F are assigned a Recovery Rating of 'RR6' as the
present value of the recoveries in each case is less than 10% of
each class's principal balance.
Fitch has downgraded and assigned LS and RR ratings and Outlooks
to these classes:
-- $124,504,973 class A to 'BBB/LS3' from 'AAA'; Outlook
Negative;
-- $31,300,000 class B to 'BB/LS4' from 'AA'; Outlook Negative;
-- $27,346,657 class C to 'B/LS5' from 'A'; Outlook Negative;
-- $22,786,738 class D to 'CCC/RR3' from 'BBB';
-- $10,844,611 class E to 'CCC/RR6' from 'BBB-';
-- $10,601,521 class F to 'CCC/RR6' from 'BB'.
Fitch has affirmed the interest only class S at 'AAA' and assigned
a Stable Outlook.
Additionally, all classes are removed from Rating Watch Negative.
INDEPENDENCE VI: Fitch Downgrades Ratings on Three Classes
----------------------------------------------------------
Fitch Ratings has downgraded three classes and affirmed three
classes of notes issued by Independence VI CDO, Ltd., as a result
of continued credit deterioration in the portfolio since Fitch's
last rating action in July 2008.
The transaction entered an Event of Default on April 29, 2008 due
to the failure to maintain the class A/B Overcollateralization
Ratio at 100% or higher. On Jan. 27, 2009 a majority of the class
A-1 notes as the controlling class directed the trustee to declare
the principal of all the notes to be immediately due and payable
(acceleration of maturity). Consequently, all interest and
principal proceeds are being distributed to class A-1.
As of the December 2009 trustee report, the current balance of the
portfolio (including cash) is $364 million. Approximately 94.7%
of the portfolio has been downgraded since the last review.
Defaulted securities, as defined in the transaction's governing
documents, now comprise 56.5% of the portfolio, compared to 14.2%
at last review. The downgrades to the portfolio have left
approximately 91.1% of the portfolio (including defaults) with a
Fitch derived rating below investment grade and 71.5% with a
rating in the 'CCC' rating category or lower, compared to 59.5%
and 29.5%, respectively, at last review.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs'.
Due to the magnitude of the collateral deterioration, Fitch
believes that the likelihood of default for all classes of notes
can be assessed without using the Structured Finance Portfolio
Credit Model or performing cash flow model analysis under the
framework described in the 'Global Criteria for Cash Flow Analysis
in CDOs - Amended' report.
The class A-1 notes with an outstanding balance of $382 million
are undercollateralized given a total portfolio balance of
$364 million. The acceleration by the class A-1 notes is unlikely
to compensate for the lack of the par coverage due to the fact
that the principal proceeds are being used to pay class A-1
interest, as an out-of-the money interest rate swap continues to
deplete interest proceeds. Fitch believes that default is
inevitable for the class A-1 notes.
Due to the acceleration of maturity, the class A-2 and B notes are
not receiving interest. These classes are rated to the timely
receipt of interest and have defaulted on the payment of interest.
Therefore these classes have been downgraded to 'D'.
The class C, D, and E notes are no longer receiving interest
distributions and are not expected to receive any proceeds going
forward. Therefore, these notes have been affirmed at 'C' to
indicate Fitch's belief that default is inevitable at or prior to
maturity.
Independence VI is a cash flow structured finance collateralized
debt obligation that closed on June 30, 2005. The portfolio is
monitored by Declaration Management & Research LLC. The portfolio
is composed of residential mortgage-backed securities (85.1%),
CDOs (7.3%), commercial mortgage-backed securities (4.4%), and
asset-backed securities (3.2%).
Fitch has downgraded and affirmed these ratings as indicated:
-- $381,960,898 class A-1 notes downgraded to 'C' from 'B';
-- $85,688,581 class A-2 notes downgraded to 'D' from 'CC';
-- $83,421,687 class B notes downgraded to 'D' from 'CC';
-- $15,368,245 class C notes affirmed at 'C';
-- $20,911,216 class D notes affirmed at 'C';
-- $18,894,788 class E notes affirmed at 'C'.
JP MORGAN: Moody's Affirms Ratings on 15 Series 2005-LDP5 Certs.
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 15 classes and
downgraded ten classes of J.P. Morgan Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2005-LDP5.
The downgrades are due to higher expected losses for the pool
resulting from anticipated losses from specially serviced loans,
increased credit quality dispersion, and concerns about
refinancing risk for loans approaching maturity in an adverse
environment. Ten loans, representing 12% of the pool, mature
within the next 24 months. Three of these loans, representing 4%
of the pool, have a Moody's stressed debt service coverage ratio
less than 1.00X.
The affirmations are due to key rating parameters, including
Moody's loan to value ratio, Moody's stressed debt service
coverage ratio and the Herfindahl Index, remaining within
acceptable ranges.
On February 17, 2010, Moody's placed ten classes of this
transaction on review for possible downgrade due to potential
losses from specially serviced and other poorly performing loans.
This action concludes Moody's review of this transaction. The
rating action is the result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
As of the February 16, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 2% to $4.23 billion
from $4.33 billion at securitization. The Certificates are
collateralized by 192 mortgage loans ranging in size from less
than 1% to 8% of the pool, with the top ten loans representing 44%
of the pool. The pool includes two loans with investment-grade
underlying ratings, representing 11% of the pool.
Forty loans, representing 16% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
One loan has been liquidated from the pool with a realized loss of
$12,000. Nine loans, representing 9% of the pool, are currently
in special servicing. The largest specially serviced loan is the
Jordan Creek Loan ($161.6 million -- 3.9% of the pool), which is
secured by the borrower's interest in a 1.5 million square foot
regional mall located in West Des Moines, Iowa. The loan sponsor
is an affiliate of General Growth Properties, Inc. The loan was
transferred to special servicing in April 2009 due to GGP's
Chapter 11 bankruptcy filing but is expected to be modified and
transferred back to the master servicer upon the resolution of the
bankruptcy proceedings. Due to the expected return of this loan
to the master servicer, this loan is not included in Moody's loss
estimate for specially serviced loans.
The second largest specially serviced loan is the Hanover Mall
Loan ($87.0 million -- 2.1% of the pool), which is secured by a
706,000 square feet retail center located in Hanover,
Massachusetts. The loan was transferred to special servicing in
November 2009 due to imminent default and is now 90+ days
delinquent. Performance has been negatively impacted by the
economic recession, with many tenants vacating the premises or
requesting rental concessions due to weak sales.
Of the remaining seven specially serviced loans, three loans are
real estate owned or in the process of foreclosure. Moody's
estimates an aggregate $68.3 million loss for the specially
serviced loans (36% loss severity on average).
In addition to recognizing losses from specially serviced loans,
Moody's has assumed a high default probability on two poorly
performing loans representing 1.6% of the pool. Moody's estimates
a $22.4 million aggregate loss for these troubled loans (34% loss
severity on average). Moody's rating action recognizes potential
uncertainty around the timing and magnitude of loss from these
troubled loans.
Moody's was provided with full-year 2008 and partial year 2009
operating results for 97% and 50% of the pool, respectively.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV ratio is 101%, the same as at Moody's prior full
review. Although the overall pool performance has been stable,
the pool has experienced increased credit dispersion. Based on
Moody's analysis, 16% of the pool has an LTV greater than 120%
compared to 4% at last review.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCR are 1.46X and 1.00X, respectively, compared to
1.45X and 1.02X at last review. Moody's actual DSCR is based on
Moody's net cash flow and the loan's actual debt service. Moody's
stressed DSCR is based on Moody's NCF and a 9.25% stressed rate
applied to the loan balance.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple-notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 35, the same at last review.
The largest loan with an underlying rating is the Houston Galleria
Loan ($290.0 million - 7.1% of the pool), which is secured by the
borrower's interest in a 1.5 million square foot regional mall
(1.2 million square feet of collateral) located in Houston, Texas.
The loan represents a 50% pari-passu interest in a $580 million
loan. The property is also encumbered by a $130 million B-note
which supports six non-pooled rake classes within the trust and a
$110 million B-note which is held outside the trust. The property
was 92% leased as of June 2009, essentially the same as at last
review. Performance has been stable. Moody's current underlying
rating and stressed DSCR are Baa2 and 1.22X, respectively, the
same as at last review.
The second loan with an underlying rating is the Jordan Creek Loan
($161.6 million -- 3.9% of the pool), which is secured by the
borrower's interest in a 1.5 million square foot regional mall
(939,085 square feet of collateral) located in West Des Moines,
Iowa. The property is also encumbered by a $20.8 million B-note
which is held outside of the trust. The property was 95% leased
as of June 2009, essentially the same as at last review.
Performance has been stable since securitization. The loan was
originally scheduled to mature on March 2009 but the maturity has
been extended to March 2014. Moody's current underlying rating
and stressed DSCR are Baa3 and 1.18X, respectively, compared to
Baa3 and 1.08X at last review.
The top three performing conduit loans represent 19% of the pool.
The largest conduit loan is the Brookdale Office Portfolio Loan
($335.0 million - 8.2% of the pool), which is secured by the fee
interests in 18 office buildings and leasehold interests in three
office buildings containing a total of 3.1 million square feet.
The properties are located across six states including Florida
(65% of the allocated loan amount), Georgia (23%), Texas (5%),
North Carolina (4%) and Kentucky (2%). The portfolio is also
encumbered by an $81 million B-note held outside the trust. The
portfolio was 90% leased as of December 2008 compared to 84% at
securitization. Although portfolio's performance has been stable,
Moody's valuation reflects a stressed cash flow due to concerns
about the location of many of the properties in poorly performing
markets. Moody's LTV and stressed DSCR are 82% and 1.18X,
respectively, compared to 77% and 1.27X at last review.
The second largest conduit loan is the Selig Office Loan
($242.0 million -- 5.9% of the pool), which is secured by seven
office properties containing a total of 1.5 million square feet
located in Seattle, Washington. The portfolio was 96% leased as
of June 2009 compared to 98% at last review. Despite the decline
in occupancy, performance has improved since last review due to
higher revenues. Moody's LTV and stressed DSCR are 91% and 1.1X,
respectively, compared to 104% and 0.93X at last review.
The third largest conduit loan is the 2 Grand Central Tower Loan
($190.0 million -- 4.6%), which is secured by a 636,242 square
foot office building located in New York City. The property was
94% leased as of September 2009 compared 100% at last review.
Despite the decline in occupancy, performance has improved since
last review due to higher revenues. Moody's LTV and stressed DSCR
are 94% and 1.01X, respectively, compared to 104% and 0.91X at
last review.
Moody's rating action is:
-- Class A-1, $170,042,320, affirmed at Aaa; previously assigned
at Aaa on 1/17/2006
-- Class A-2, $297,502,000, affirmed at Aaa; previously assigned
at Aaa on 1/17/2006
-- Class A-2FL, $200,000,000, affirmed at Aaa; previously
assigned at Aaa on 1/17/2006
-- Class A-3, $171,451,000, affirmed at Aaa; previously assigned
at Aaa on 1/17/2006
-- Class A-4, $1,395,870,000, affirmed at Aaa; previously
assigned at Aaa on 1/17/2006
-- Class A-SB, $169,455,000, affirmed at Aaa; previously
assigned at Aaa on 1/17/2006
-- Class A-1A, $442,127,372, affirmed at Aaa; previously
assigned at Aaa on 1/17/2006
-- Class A-M, $419,702,000, affirmed at Aaa; previously assigned
at Aaa on 1/17/2006
-- Class X-1, Notional, affirmed at Aaa; previously assigned at
Aaa on 1/17/2006
-- Class X-2, Notional, affirmed at Aaa; previously assigned at
Aaa on 1/17/2006
-- Class A-J, $299,038,000, downgraded to Aa3 from Aaa;
previously placed on review for possible downgrade 2/17/2010
-- Class B, $26,231,000, downgraded to A1 from Aa1; previously
placed on review for possible downgrade on 2/17/2010
-- Class C, $73,448,000, downgraded to A3 from Aa2; previously
placed on review for possible downgrade on 2/17/2010
-- Class D, $41,970,000, downgraded to Baa1 from Aa3; previously
placed on review for possible downgrade on 2/17/2010
-- Class E, $20,985,000, downgraded to Baa2 from A1; previously
placed on review for possible downgrade on 2/17/2010
-- Class F, $52,463,000, downgraded to Baa3 from A2; previously
placed on review for possible downgrade on 2/17/2010
-- Class G, $36,724,000, downgraded to Ba1 from A3; previously
placed on review for possible downgrade on 2/17/2010
-- Class H, $52,463,000, downgraded to Ba3 from Baa1; previously
placed on review for possible downgrade on 2/17/2010
-- Class J, $41,970,000, downgraded to B2 from Baa2; previously
placed on review for possible downgrade on 2/17/2010
-- Class K, $62,955,000, downgraded to Caa1 from Baa3;
previously placed on review for possible downgrade on
2/17/2010
-- Class HG-1, $27,000,000, affirmed at Ba3; previously assigned
at Ba3 on 1/17/2006
-- Class HG-2, $24,000,000, affirmed at B1; previously assigned
at B1 on 1/17/2006
-- Class HG-3, $40,800,000, affirmed at B2; previously assigned
at B2 on 1/17/2006
-- Class HG-4, $32,400,000, affirmed at B3; previously assigned
at B3 on 1/17/2006
-- Class HG-X, Notional, affirmed at Ba3; previously assigned at
Ba3 on 1/17/2006
JP MORGAN: Moody's Affirms Ratings on Nine 2007-LPD10 Certs.
------------------------------------------------------------
Moody's Investors Service affirmed the ratings of nine classes and
downgraded 25 classes of J.P. Morgan Chase Commercial Mortgage
Securities Corp., Commercial Mortgage Pass-Through Certificates,
Series 2007-LPD10. The downgrades are due to higher losses for
the pool resulting from specially serviced and poorly performing
loans, interest shortfalls, and refinancing risk associated with
loans approaching maturity in an adverse environment. Eighteen
loans, representing 10% of the pool, mature within the next 24
months. Fourteen of these loans, representing 8% of the pool,
have a Moody's stressed debt service coverage ratio less than
1.0X.
The affirmations are due to key rating parameters, including
Moody's loan to value ratio, Moody's debt service coverage ratio
and the Herfindahl Index remaining within acceptable ranges.
Moody's placed 25 classes of this transaction on review for
possible downgrade on November 19, 2009, due to anticipated losses
from specially serviced and poorly performing loans as well as
interest shortfalls. This action concludes the review. The
rating action is the result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
As of the February 16, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by less than 1% to
$5.30 billion from $5.34 billion at securitization. The
Certificates are collateralized by 219 mortgage loans ranging in
size from less than 1% to 4% of the pool, with the top ten loans
representing 33% of the pool. The pool contains one loan,
representing 1.7% of the pool, which has an investment grade
underlying rating. At securitization the pool also contained a
second loan, representing 2% of the pool, with an investment grade
underlying rating. However, due to a decline in performance and
increased leverage, this loan is now analyzed as part of the
conduit pool.
Fifty three loans, representing 18% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
The pool has not experienced any losses since securitization.
There are 22 loans, representing 14% of the pool, currently in
special servicing. The largest specially serviced loan is the
Augusta Mall Loan ($174.8 million -- 3.3% of the pool), which is
secured by a 512,800 square foot regional mall located in August,
Georgia. The loan sponsor is an affiliate of General Growth
Properties, Inc. The loan was transferred to special servicing in
April 2009 due to GGP's Chapter 11 bankruptcy filing but is
expected to be transferred back to the master servicer upon the
resolution of the bankruptcy proceedings. The loan's maturity has
been extended from September 2011 to September 2017. Due to the
expected return of this loan to the master servicer, this loan is
included in the conduit pool and is not included in Moody's loss
estimate for specially serviced loans. Moody's LTV and stressed
DSCR are 141% and 0.65X, respectively, compared to 163% and 0.58X
at Moody's last review.
The second largest specially serviced loan is the Solana Loan
($140.0 million -- 2.6% of the pool), which is secured by a
1.9 million square foot mixed use complex consisting of office,
retail and a 198-room full service hotel located in Westlake,
Texas. The loan was transferred to special servicing in March
2009 for imminent default but has remained current. The
property's performance has been impacted by declines in both the
office and hotel components. The second largest tenant, Sabre,
Inc., which at securitization leased 27% of the net rentable area,
vacated the property in October 2008 at the expiration of its
lease.
The remaining 19 specially serviced loans are secured by a mix of
office, retail, and industrial properties. Moody's estimates a
$218 million aggregate loss for the specially serviced loans (38%
loss severity on average). The special servicer has recognized an
aggregate $105.9 million appraisal reduction for seven of the
specially serviced loans.
In addition to recognizing losses from specially serviced loans,
Moody's has assumed a high default probability on nine loans
representing approximately 7% of the pool and has estimated an
aggregate loss of $98.0 million (35% loss severity on average)
from these loans. Moody's rating action recognizes potential
uncertainty around the timing and magnitude of loss from these
troubled loans.
Based on the most recent remittance statement, Classes BS through
NR have experienced cumulative interest shortfalls totaling
$8.7 million. Moody's anticipates that the pool will continue to
experience interest shortfalls because of the high exposure to
specially serviced loans. Interest shortfalls are caused by
special servicing fees, including workout and liquidation fees,
appraisal subordinate entitlement reductions and extraordinary
trust expenses.
Moody's was provided with full-year 2008 operating results for 95%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 124% compared to 139% at last
review.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.42X and 0.91X, respectively, compared to
1.14X and 0.75X at Moody's last review. Moody's actual DSCR is
based on Moody's net cash flow and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple-notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 54, essentially the same as last review.
The loan with an underlying rating is the Center West Loan
($90.0 million - 1.7% of the pool), which is secured by a 345,000
square foot office property located in Los Angeles, California.
The property was 73% leased as of September 2009 compared to 63%
at securitization. Performance has been stable since
securitization. Moody's current underlying rating and stressed
DSCR are Baa3 and 1.28X, respectively, the same as at
securitization.
The loan that previously had an underlying rating is the Heritage
Portfolio 5 Loan ($129.2 million -- 2.4% of the pool), which is
secured by 13 retail properties located in Indiana, Illinois,
Minnesota, Wisconsin, South Carolina, Kentucky and Missouri. The
portfolio was 89% leased as of September 2009 compared to 91% at
securitization. Performance has declined due to decreased rental
revenue. Moody's LTV and stressed DSCR are 83% and 1.25X,
respectively, compared to 71% and 1.37X at securitization.
The three largest performing conduit loans represent 12% of the
pool. The largest conduit loan is the Coconut Point Loan
($230.0 million -- 4.3% of the pool), which is secured by a
830,000 square foot retail center located near Fort Meyers in
Estero, Florida. The property was 99% leased as of September 2009
compared to 94% at securitization. The largest tenants include
Dillard's, Super Target and Hollywood Theaters. Performance has
been stable since last review. Moody's LTV and stressed DSCR are
135% and 0.72X, respectively, essentially the same as at last
review.
The second largest loan is the 599 Lexington Loan ($225.0 million
-- 4.2% of the pool), which is secured by a 1 million square foot
office building located in Midtown Manhattan in New York City.
The property was 95% occupied as of September 2009 compared to 97%
at securitization. The largest tenants include Shearman &
Sterling LLP, which leases 50% of the NRA through 2022, and
Kirkpatrick & Lockhart which leases 12% of the NRA through 2018.
Moody's LTV and stressed DSCR are 136% and 0.68X, respectively,
compared to 147% and 0.66X at last review.
The third largest loan is the Skyline Loan ($203.4 million -- 3.8%
of the pool), which is secured by eight office properties located
in Falls Church, Virginia. The portfolio was 95% leased as of
June 2009 compared to 97% at securitization. The largest tenant
is the GSA, which leases 55% of the NRA on several leases with
varying expiration dates. The portfolio has high lease rollover
exposure, with leases representing 21% of the NRA scheduled to
expire in 2011. Moody's LTV and stressed DSCR are 132% and 0.76X,
respectively, compared to 152% and 0.67X at last review.
Moody's rating action is:
-- Class A-1, $21,188,046, affirmed at Aaa; previously assigned
Aaa on 4/10/2007
-- Class A-1S, $196,673,944, affirmed at Aaa; previously
assigned Aaa on 4/10/2007
-- Class X, Notional, affirmed at Aaa; previously assigned Aaa
on 4/10/2007
-- Class A-2, $250,000,000, affirmed at Aaa; previously assigned
Aaa on 4/10/2007
-- Class A-2S, $688,857,000, affirmed at Aaa; previously
assigned Aaa on 4/10/2007
-- Class A-2SFL, $150,000,000, affirmed at Aaa; previously
assigned Aaa on 4/10/2007
-- Class A-3, $1,714,136,000, affirmed at Aaa; previously
assigned Aaa on 4/10/2007
-- Class A-3S, $179,937,000, affirmed at Aaa; previously
assigned Aaa on 4/10/2007
-- Class A-1A, $505,440,405, affirmed at Aaa; previously
assigned Aaa on 4/10/2007
-- Class A-M, $359,038,000, downgraded to A1 from Aaa;
previously placed on review for possible downgrade on
11/19/2009
-- Class A-MS, $174,114,000, downgraded to A1 from Aaa;
previously placed on review for possible downgrade on
11/19/2009
-- Class A-J, $200,694,000, downgraded to Ba2 from A1;
previously placed on review for possible downgrade on
11/19/2009
-- Class A-JFL, $100,000,000, downgraded to Ba2 from A1;
previously placed on review for possible downgrade on
11/19/2009
-- Class A-JS, $145,820,000, downgraded to Ba2 from A1;
previously placed on review for possible downgrade on
11/19/2009
-- Class B, $71,808,000, downgraded to B1 from A3; previously
placed on review for possible downgrade on 11/19/2009
-- Class B-S, $34,823,000, downgraded to B1 from A3; previously
placed on review for possible downgrade on 11/19/2009
-- Class C, $26,928,000, downgraded to B3 from Baa1; previously
placed on review for possible downgrade on 11/19/2009
-- Class C-S, $13,058,000, downgraded to B3 from Baa1;
previously placed on review for possible downgrade on
11/19/2009
-- Class D, $49,367,000, downgraded to Caa2 from Baa3;
previously placed on review for possible downgrade on
11/19/2009
-- Class D-S, $23,941,000, downgraded to Caa2 from Baa3;
previously placed on review for possible downgrade on
11/19/2009
-- Class E, $40,392,000, downgraded to Caa3 from Ba1; previously
placed on review for possible downgrade on 11/19/2009
-- Class E-S, $19,588,000, downgraded to Caa3 from Ba1;
previously placed on review for possible downgrade on
11/19/2009
-- Class F, $44,880,000, downgraded to Ca from Ba2; previously
placed on review for possible downgrade on 11/19/2009
-- Class F-S, $21,764,000, downgraded to Ca from Ba2; previously
placed on review for possible downgrade on 11/19/2009
-- Class G, $44,880,000, downgraded to C from B1; previously
placed on review for possible downgrade on 11/19/2009
-- Class G-S, $21,764,000, downgraded to C from B1; previously
placed on review for possible downgrade on 11/19/2009
-- Class H, $40,392,000, downgraded to C from B3; previously
placed on review for possible downgrade on 11/19/2009
-- Class H-S, $19,588,000, downgraded to C from B3; previously
placed on review for possible downgrade on 11/19/2009
-- Class J, $19,993,000, downgraded to C from Caa2; previously
placed on review for possible downgrade on 11/19/2009
-- Class K, $19,993,000, downgraded to C from Caa2; previously
placed on review for possible downgrade on 11/19/2009
-- Class L, $13,329,000, downgraded to C from Caa3; previously
placed on review for possible downgrade on 11/19/2009
-- Class M, $6,665,000, downgraded to C from Caa3; previously
placed on review for possible downgrade on 11/19/2009
-- Class N, $6,664,000, downgraded to C from Caa3; previously
placed on review for possible downgrade on 11/19/2009
-- Class P, $13,329,000, downgraded to C from Caa3; previously
placed on review for possible downgrade on 11/19/2009
LAKESIDE CDO: Fitch Downgrades Ratings on Two Classes of Notes
--------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed one class of notes
issued by Lakeside CDO I, Ltd. due to deterioration in the credit
quality of the portfolio since last review.
As of the December 2009 trustee report, the current balance of the
portfolio is $467 million, of which $113.8 million consists of
defaulted securities, as defined in the transaction's governing
documents. Approximately 56.6% of the portfolio has been
downgraded since Fitch's last rating action in February 2009,
resulting in 43.2% of the portfolio with a Fitch derived rating
below investment grade and 30.8% with a rating in the 'CCC' rating
category or below, as compared to 31.5% and 17.9%, respectively,
at last review.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Structured Finance Portfolio Credit Model for projecting
future default levels for the underlying portfolio. These default
levels were then compared to the breakeven levels generated by
Fitch's cash flow model of the CDO under various default timing
and interest rate stress scenarios, as described in the report
'Global Criteria for Cash Flow Analysis in CDOs - Amended'.
Based on this analysis, the class A-1 notes' breakeven rates are
generally consistent with the rating assigned below. As of the
December 2009 distribution date, approximately 47.6% of the class
A-1 notes' original principal balance has paid down. As a result,
the credit enhancement level has increased from 22%, at closing,
to 30.3%. This increase, however, was not sufficient to offset
the credit deterioration of the portfolio.
Breakevens for the class A-2 and class B notes are below SF PCM's
'CCC' default level, the lowest level of defaults projected by SF
PCM. For these classes, Fitch compared the respective credit
enhancement levels to the amount of underlying assets considered
distressed (rated 'CCC' and lower). These assets have a high
probability of default and low expected recoveries upon default.
The class A-2 and class B notes have credit enhancement levels of
-2.1% and -4%, respectively. Although the class A-2 notes are
still receiving their quarterly interest distributions, their
ratings have been downgraded to 'C' to indicate Fitch's belief
that default is inevitable at or prior to maturity. The class B
notes are currently paying-in-kind interest due and are not
expected to receive any future interest or principal payments.
Lakeside CDO I is a cash flow collateralized debt obligation,
which closed on Dec. 11, 2003, and is managed by Vanderbilt
Capital Advisors LLC. The portfolio is primarily composed of
structured finance CDOs (37.8%), subprime residential mortgage-
backed securities (26%), prime RMBS (25%), corporate CDOs (10.9%),
and commercial mortgage-backed securities (0.3%).
Fitch has taken these rating actions:
-- $326,756,479 class A-1 downgraded to 'CCC' from BB'; removed
from Outlook Negative;
-- $152,000,000 class A-2 downgraded to 'C' from 'CC';
-- $8,841,736 class B affirmed at 'C'.
LANDMARK II: Moody's Upgrades Ratings on Class B Notes to 'B1'
--------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
rating of these notes issued by Landmark II CDO Ltd.:
-- $188,000,000 Class A Senior Secured Floating Rate Notes, Due
2012 (current balance of $42,210,200), Upgraded to Aa1;
previously on April 9, 2009 Downgraded to Aa3 and Placed
Under Review for Possible Downgrade.
In addition, Moody's has downgraded the rating of these notes:
-- $12,000,000 Class B Second Priority Floating Rate Notes, Due
2012, Downgraded to B1; previously on April 9, 2009
Downgraded to Ba1 and Placed Under Review for Possible
Downgrade.
According to Moody's, the upgrade action taken on the Class A
Notes results from substantial de-levering of the transaction. In
particular, the Class A Notes have received a total of about
$26 million in principal payments since the previous rating action
in April 2009, accounting for roughly 38% of the total Class A
outstanding balance in April 2009. Moody's notes that the credit
profile of the underlying portfolio has been relatively stable
since the last rating action.
The downgrade action taken on the Class B Notes considers the
nonpayment of interest to the notes since the June 1, 2009 payment
date, which Moody's defines as a default. On June 4, 2009, the
trustee filed a statutory interpleader action with the United
States District Court for the Southern District of New York,
asking the court to order the holders of all notes and preference
shares to interplead on the issue of the existence and
continuation of an Event of Default and related demand for
acceleration described in certain previous notices. Beginning on
the June 1, 2009 payment date, the trustee started depositing,
among other amounts, interest payments owed to Class B Notes in a
separate escrow account pending the resolution of the interpleader
action by the court. Moody's classifies a missed interest payment
or principal payment when due that is uncured by the expiration of
a grace period as a default, and has analyzed the nonpayment of
interest on Class B Notes according to the guidelines set forth in
the publication "Moody's Approach to Rating Structured Finance
Securities in Default," dated November 11, 2009. In particular,
Moody's analysis indicates that the defaulted Class B Notes are
likely to experience a high certainty of recovering close to 100%
of the promised principal and interest payments under various
outcomes of the ongoing legal proceeding, consistent with a B1
rating.
Landmark II CDO Ltd., issued in September 18, 2002, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
LEXINGTON CAPITAL: Fitch Downgrades Ratings on Five Classes
-----------------------------------------------------------
Fitch Ratings has downgraded five classes and affirmed three
classes of notes issued by Lexington Capital Funding, Ltd./Inc. as
a result of continued credit deterioration in the portfolio since
Fitch's last rating action in August 2008.
As of the Jan. 29, 2010 trustee report, the current balance of the
portfolio is approximately $288.8 million. Approximately 94.6% of
the portfolio has been downgraded since August 2008, resulting in
approximately 90.7% of the portfolio with a Fitch derived rating
below investment grade and 78% with a rating in the 'CCC' rating
category or below, compared to 71.6% and 36.3%, respectively, at
last review.
This review was conducted under the framework described in the
Fitch reports 'Global Structured Finance Rating Criteria' and
'Global Rating Criteria for Structured Finance CDOs'. The
Structured Finance Portfolio Credit Model and Fitch's cash flow
model were not used in this review due to the extent of
deterioration in the portfolio.
Based on the current portfolio and the anticipated future loss of
principal proceeds to cover interest shortfall, Fitch believes
default is inevitable for all classes of notes issued by Lexington
Capital.
The Jan. 29, 2010 trustee report shows that $205.1 million, or
71%, of the portfolio is considered defaulted by the transaction's
governing documents, leaving $83.8 million of non-defaulted
assets. Expected recoveries on the defaulted portion of the
portfolio are low, resulting in the class A-1AV, A-1ANV and A-1B
notes (together class A-1), which total $215.1 million, being
significantly undercollateralized.
Additionally, principal collections have been needed to cover
shortfalls in interest collections since November 2008, which is
contributing to the erosion of credit enhancement. On the Feb. 8,
2010 payment date, principal proceeds were needed for part of the
accrued interest distributions for the class A-1 notes, and the
entire accrued interest amounts for classes A-2 and B.
Lexington Capital is a structured finance collateralized debt
obligation that closed on Oct. 25, 2005 and is managed by Harding
Advisory LLC. The portfolio is composed of residential mortgage-
backed securities (87.2%), SF CDOs (8.7%) and commercial mortgage-
backed securities (4.1%).
Fitch has taken these rating actions:
-- $86,698,556 class A-1AV downgraded to 'C' from 'B-';
-- $128,281,752 class A-1ANV downgraded to 'C' from 'B-';
-- $160,553 class A-1B downgraded to 'C' from 'B-';
-- $64,219,087 class A-2 downgraded to 'C' from 'CC';
-- $39,244,998 class B downgraded to 'C' from 'CC';
-- $9,526,156 class C affirmed at 'C';
-- $18,561,669 class D affirmed at 'C';
-- $2,595,108 class E affirmed at 'C'.
LNR CDO: Moody's Downgrades Ratings on Two Classes of Notes
-----------------------------------------------------------
Moody's Investors Service downgraded two classes of Notes issued
by LNR CDO V LTD. due to the deterioration in the credit quality
of the underlying portfolio as evidenced by an increase in the
weighted average rating factor and deterioration in the weighted
average recovery rate since Moody's last review. The rating
action, which concludes Moody's current review, is the result of
Moody's on-going surveillance of commercial real estate
collateralized debt obligation transactions.
LNR CDO V LTD. is a collateralized debt obligation backed 100% by
2006 vintage commercial mortgage backed securities. As of the
January 26, 2010 payment date, the collateral par amount is
$741.0 million, representing a $20.3 million decrease since
securitization due to realized losses to the collateral pool.
As of the October 26, 2009 payment date, interest shortfalls from
the underlying collateral resulted in the Hedge C interest swap
payment not being paid in full, which triggered the early
termination of all three interest swap agreements. The interest
swaps termination payment amounts and their payment priorities in
the distribution waterfall resulted in the non-payment of interest
on all Moody's rated classes, including the Non-PIKable classes.
The default in payment of interest on Class A Notes and Class B
Notes caused an Event of Default on December 3, 2009, pursuant to
Section 5.1(a) of the Indenture.
Since the November 2009 payment, none of the classes have received
any payment of interest due to the Hedge A swap termination
payment. As of the January 26, 2010 payment date, the Trustee
reported that 100% of the collateral was classified as Impaired
Securities and total interest proceeds were only 34% of what was
expected, compared to 43% in November 2009. After the January 26,
2010 payment date, the total amount of the termination payments on
the interest swaps due was approximately $49.0 million including:
Hedge A swap -- $11.7 million; Hedge B swap -- $16.0 million;
Hedge C swap -- $21.3 million, and defaulted and deferred interest
(including interest on the defaulted and deferred interest
balance) of approximately $6.2 million.
As of the January 2010 Note Valuation Report, the EOD is
continuing and a declaration of acceleration of Maturity has not
been made. While the risk of Collateral liquidation is still a
possibility, the acceleration of Maturity has not been declared
thereby reducing the risk of much higher loss severities from the
liquidation of CMBS assets with low speculative-grade ratings in
the current stressed market. As a result, Moody's is removing all
classes from Review for Possible Downgrade.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, weighted average
life, WARR, and Moody's asset correlation.
WARF is a primary measure of the credit quality of a CRE CDO pool.
The bottom-dollar WARF is a measure of the default probability
within a collateral pool. Moody's modeled a bottom-dollar WARF of
8,258 compared to 7,985 at last review.
WAL acts to adjust the probability of default of the collateral
pool for time. Moody's modeled to the current WAL of seven years
compared to eight years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR
of 0.1% compared to 0.2% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 100% compared to 86% at last review. The
high MAC is due to the increase of very-high risk collateral
concentrated within a small number of collateral names.
Moody's review also incorporated updated asset correlation
assumptions for the commercial real estate sector consistent with
one of Moody's CDO rating models, CDOROM v2.5, which was released
on April 3, 2009. These correlations were updated in light of the
systemic seizure of credit markets and to reflect higher inter-
and intra-industry asset correlations. The updated asset
correlations, depending of vintage and issuer diversity, used for
CUSIP collateral (i.e. CMBS, CRE CDOs or REIT debt) within CRE
CDOs range from 30% to 60%, compared to 15% to 35% previously.
The cash flow model, CDOEdge v3.2, was used to analyze the cash
flow waterfall and its effect on the capital structure of the
deal.
The rating actions are:
-- Class A, Downgraded to Ca; previously on December 4, 2009
Downgraded to Caa2 and Placed Under Review for Possible
Downgrade
-- Class B, Downgraded to C; previously on December 4, 2009
Downgraded to Caa3 and Placed Under Review for Possible
Downgrade
MERRILL LYNCH: S&P Downgrades Ratings on 15 2005-CKI1 Securities
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 15
classes of commercial mortgage-backed securities from Merrill
Lynch Mortgage Trust 2005-CKI1 and removed them from CreditWatch
with negative implications. In addition, S&P affirmed its ratings
on 11 other classes from the same transaction.
The downgrades follow S&P's analysis of the transaction using its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of its rating actions. The downgrades of the subordinate
classes also reflect the credit support erosion S&P anticipate
will occur upon the eventual resolution of six specially serviced
loans, as well as S&P's analysis of two loans that S&P determined
to be credit-impaired. S&P's analysis included a review of the
credit characteristics of all of the loans in the pool. Using
servicer-provided financial information, S&P calculated an
adjusted debt service coverage of 1.63x and a loan-to-value ratio
of 98.5%. S&P further stressed the loans' cash flows under its
'AAA' scenario to yield a weighted average DSC of 0.99x and an LTV
of 132.0%. The implied defaults and loss severity under the 'AAA'
scenario were 72.5% and 33.8%, respectively. The DSC and LTV
calculations S&P note above exclude three defeased loans
($67.4 million, 2.3%), six specially serviced loans
($61.6 million, 2.1%), and two additional loans that S&P
determined to be credit-impaired ($23.4 million, 0.8%). S&P
separately estimated losses for the six specially serviced loans
and two credit-impaired loans and included them in S&P's 'AAA'
scenario implied default and loss figures.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels that are consistent with
the outstanding ratings. S&P affirmed its rating on the class X
interest-only certificate based on its current criteria. S&P
published a request for comment proposing changes to its IO
criteria on June 1, 2009. After S&P finalize its criteria review,
S&P may revise its IO criteria, which may affect outstanding
ratings, including the ratings on the IO certificates that S&P
affirmed.
Credit Considerations
As of the February 2010 remittance report, eight assets
($78.7 million, 2.7%) in the pool were with the special servicer,
J.E. Robert Co. Inc. The payment status of the specially serviced
assets is: one is 30 days delinquent ($6.7 million, 0.2%), one is
60 days delinquent ($10.3 million, 0.4%), three are 90-plus-days
delinquent ($23.1 million, 0.8%), two are in foreclosure
($19.7 million, 0.7%), and one is real estate owned
($18.8 million, 0.6%). One of the specially serviced loans has an
appraisal reduction amount in effect totaling $2.9 million.
120 Bloomingdale is the largest asset in special servicing
according to the February 2010 remittance report. It has a total
exposure of $20.1 million (0.6%). The loan was transferred to JER
on Aug. 10, 2009, due to payment default and became REO on
Jan. 22, 2010, through a deed-in-lieu, which the trust and
borrower executed. The property is a 145,378-sq.-ft. office
building built in 1956 in White Plains, New York. For year-end
2008, the reported DSC was 0.95x, compared with 1.22x at issuance.
S&P expects a significant loss upon the resolution of this asset.
The seven remaining specially serviced loans ($59.9 million, 2.1%)
have balances that individually represent less than 0.6% of the
total pool balance. S&P estimated losses for five of these loans,
which resulted in weighted average loss severities ranging from
20.5% to 51.2%. JER is considering a loan modification for one
loan and is working with the borrower on repayment of past due
amounts on another loan.
In addition to the specially serviced loans, S&P determined two
loans ($23.4 million; 0.8%) to be credit-impaired. The properties
securing both loans, the Colorado First Building and the Simmons
Market Place, are experiencing increased vacancies. The property
securing the Simmons Market Place loan ($19.9 million) has had
four tenants vacate prior to their lease expiration dates. As of
November 2009, the reported DSC was 1.06x, and occupancy was 76%.
The property manager expects a tenant representing 53% of the net
rentable area at the property that secures the Colorado First
Building loan ($3.5 million) to vacate its space when its lease
expires in May 2010. S&P expects occupancy at the property to
drop to 24%. Given the recent tenant departures at these
properties, S&P determined these loans to be at increased risks of
default and loss, and S&P estimated a weighted average loss of
17.5%.
Transaction Summary
As of the February 2010 remittance report, the collateral pool
balance was $2.93 billion, which is 95.2% of the balance at
issuance. The pool includes 167 loans, down from 169 at issuance.
The master servicer provided financial information for 99.1% of
the pool, and 98.2% of the servicer-provided information was full-
year 2008 or interim 2009 data. S&P calculated a weighted average
DSC of 1.61x for the nondefeased loans in the pool based on the
reported figures. S&P's adjusted DSC and LTV, which exclude three
defeased loans ($67.4 million, 2.3%), six specially serviced loans
($61.6 million, 2.1%), and two additional loans that S&P
determined to be credit-impaired ($23.4 million, 0.8%), were 1.63x
and 98.5%, respectively. S&P estimated losses separately for six
specially serviced and two credit-impaired loans. The transaction
has experienced $7.5 million of principal losses to date. Thirty-
seven loans ($526.9 million, 18.1%) are on the master servicer's
watchlist, including two of the top 10 loans. Twenty-five loans
($246.9 million, 8.5%) have a reported DSC below 1.10x, and 15 of
these loans ($120.4 million, 4.1%) have a reported DSC of less
than 1.0x.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$1.2 billion (40.8%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.92x for the top 10 loans.
Two of the top 10 loans ($192.0 million, 6.6%) appear on the
master servicer's watchlist, which S&P discuss in detail below.
S&P's adjusted DSC and LTV for the top 10 loans are 1.86x and
99.8%, respectively.
The Louisiana Boardwalk loan is the fourth-largest loan in the
pool and the largest loan on the servicer's watchlist. The loan
has a trust balance of $125.5 million (4.3%) and is secured by a
14-building, 544,175-sq.-ft. class-A lifestyle center in Bossier
City, Louisiana. The loan is on the watchlist due to low DSC.
The reported trailing-six-month DSC for the period ended June 30,
2009, was 1.06x, down from 1.26x at issuance. There is a
$13 million letter of credit in place representing an amount that,
if it were applied to pay down loan principal, would result in a
current DSC of 1.20x.
The Lowe Tyson's Corner loan is the 10th-largest loan in the pool
and is on the servicer's watchlist due to low DSC. The loan has a
trust balance of $66.5 million (2.3%) and is secured by two class
B multi-story office buildings totaling 431,861 sq. ft. in
Vienna, Va. The reported occupancy and DSC as of Sept. 30, 2009,
was 80% and 1.08x, respectively, down from 93% and 1.26x at
issuance. The borrower reported that a tenant representing 5% of
the combined NRA is planning to vacate once its lease expires in
March 2010.
Standard & Poor's stressed the assets in the pool according to its
U.S. conduit/fusion criteria. The resultant credit enhancement
levels are consistent with S&P's lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Merrill Lynch Mortgage Trust 2005-CKI1
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M AA- AAA/Watch Neg 20.75
A-J A- AAA/Watch Neg 12.74
B BBB+ AA/Watch Neg 10.90
C BBB AA-/Watch Neg 9.98
D BBB- A/Watch Neg 8.14
E BB+ A-/Watch Neg 7.09
F BB- BBB+/Watch Neg 5.26
G B+ BBB/Watch Neg 4.21
H B BBB-/Watch Neg 3.03
J B BB+/Watch Neg 2.76
K B- BB/Watch Neg 2.37
L CCC+ BB-/Watch Neg 1.97
M CCC+ B+/Watch Neg 1.84
N CCC B/Watch Neg 1.58
P CCC- B-/Watch Neg 1.19
Ratings Affirmed
Merrill Lynch Mortgage Trust 2005-CKI1
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 31.25
A-1D AAA 31.25
A-2 AAA 31.25
A-2FL AAA 31.25
A-3 AAA 31.25
A-4FL AAA 31.25
A-5 AAA 31.25
A-SB AAA 31.25
A-6 AAA 31.25
A-1A AAA 31.25
X AAA N/A
N/A - Not applicable.
MORGAN STANLEY: Moody's Downgrades Ratings on Hybrid Securities
---------------------------------------------------------------
Moody's Investors Service downgraded its ratings on certain Morgan
Stanley hybrid securities in line with its revised Guidelines for
Rating Bank Hybrids and Subordinated Debt published in November
2009. Moody's downgraded Morgan's junior subordinated debt
securities with cumulative deferral features to Baa2 from A3.
Morgan's non-cumulative preferred securities were downgraded to
Ba1 from Baa1. This concludes the review for possible downgrade
that began on November 18, 2009. The rating outlook for Morgan
and its subsidiaries remains negative.
Prior to the global financial crisis, Moody's had incorporated
into its ratings an assumption that support provided by national
governments and central banks to shore up a troubled bank would,
to some extent, benefit the subordinated debt holders as well as
the senior creditors. The systemic support for these instruments
has not been forthcoming in many cases. The revised methodology
largely removes previous assumptions of systemic support,
resulting in the rating action. In addition, the revised
methodology generally widens the notching on a hybrid's rating
that is based on the instrument's features.
Rating Action In Detail
The starting point in Moody's revised approach to rating hybrid
securities is the Adjusted Baseline Credit Assessment (Adjusted
BCA). The Adjusted BCA reflects a bank's standalone credit
strength, including parental and/or cooperative support, if
applicable, but excludes systemic support. The starting point for
Morgan's ratings is the Adjusted BCA of A3 for Morgan Stanley
Bank, which is then adjusted for structural subordination for
securities issued by the holding company or its subsidiaries.
The ratings on these hybrid securities are affected:
* Morgan Stanley Capital Trust III, IV, V, and VI trust preferred
securities were downgraded to Baa2 due to their junior
subordinated claim in liquidation and cumulative deferral
features.
* Morgan Stanley Capital Trust VII and VIII trust preferred
securities were downgraded to Baa2 due to their deeply junior
subordinated claim in liquidation and cumulative deferral
features.
Morgan Stanley Trust A, B and C were downgraded to Baa2 due to
their junior subordinated claim in liquidation and cumulative
deferral features. The rating on the PEPs trust preferred
securities reflects the junior subordinated debt issued by Morgan
Stanley and held by the trusts as well as Morgan Stanley's ability
to deliver common equity under the terms of the equity forward
contract. The rating does not address the value of the common
equity when delivered.
Morgan Stanley Series A, B and C non-cumulative preferred
securities were downgraded to Ba1 due to their deeply subordinated
claim in liquidation and non-cumulative coupon skip mechanism.
The previous rating action on Morgan Stanley was on December 17,
2008, when Moody's downgraded the long-term issuer rating to A2
from A1 and the Bank Financial Strength Rating to C from B-.
These ratings were affected:
Issuer: Morgan Stanley
Downgrades:
-- US$7,839M Preferred Stock, CUSIP 617480884, Downgraded to Ba1
from Baa1
-- US$520M Preferred Stock, CUSIP 617480876, Downgraded to Ba1
from Baa1
-- US$1,100M Preferred Stock, CUSIP 61747S504, Downgraded to Ba1
from Baa1
-- Multiple Seniority Shelf, SEC Registration 333-156423,
Downgraded to (P)Ba1 from (P)Baa1
-- Multiple Seniority Shelf, SEC Registration 333-156423,
Downgraded to (P)Baa3 from (P)Baa1
Issuer: Morgan Stanley Capital Trust III
Downgrades:
-- US$880M Preferred Stock Due 2033, CUSIP 617460209, Downgraded
to Baa2 from A3
-- Preferred Stock Shelf Due 2011, SEC Registration 333-156423,
Downgraded to (P)Baa2 from (P)A3
Issuer: Morgan Stanley Capital Trust IV
Downgrades:
-- US$620M Preferred Stock Due 2033, CUSIP 617462205, Downgraded
to Baa2 from A3
-- Preferred Stock Shelf Due 2011, SEC Registration 333-156423,
Downgraded to (P)Baa2 from (P)A3
Issuer: Morgan Stanley Capital Trust V
Downgrades:
-- US$500M Preferred Stock Due 2033, CUSIP 617466206, Downgraded
to Baa2 from A3
-- Preferred Stock Shelf Due 2011, SEC Registration 333-156423,
Downgraded to (P)Baa2 from (P)A3
Issuer: Morgan Stanley Capital Trust VI
Downgrades:
-- US$863M Preferred Stock, CUSIP 617461207, Downgraded to Baa2
from A3
-- Preferred Stock Shelf Due 2011, SEC Registration 333-156423,
Downgraded to (P)Baa2 from (P)A3
Issuer: Morgan Stanley Capital Trust VII
Downgrades:
-- US$1100M Preferred Stock Due 2046, CUSIP 61750K208,
Downgraded to Baa2 from A3
-- Preferred Stock Shelf Due 2011, SEC Registration 333-156423,
Downgraded to (P)Baa2 from (P)A3
Issuer: Morgan Stanley Capital Trust VIII
Downgrades:
-- US$825M Preferred Stock Due 2046, CUSIP 61753R200, Downgraded
to Baa2 from A3
-- Preferred Stock Shelf Due 2011, SEC Registration 333-156423,
Downgraded to (P)Baa2 from (P)A3
Issuer: Morgan Stanley Capital Trust IX
Downgrades:
-- Preferred Stock Shelf Due 2011, SEC Registration 333-156423,
Downgraded to (P)Baa2 from (P)A3
Issuer: Morgan Stanley Capital Trust X
Downgrades:
-- Preferred Stock Shelf Due 2011, SEC Registration 333-156423,
Downgraded to (P)Baa2 from (P)A3
Issuer: Morgan Stanley Capital Trust XI
Downgrades:
-- Preferred Stock Shelf Due 2011, SEC Registration 333-156423,
Downgraded to (P)Baa2 from (P)A3
Issuer: Morgan Stanley Capital Trust XII
Downgrades:
-- Preferred Stock Shelf Due 2011, SEC Registration 333-156423,
Downgraded to (P)Baa2 from (P)A3
Issuer: Morgan Stanley Capital Trust XIII
Downgrades:
-- Preferred Stock Shelf Due 2011, SEC Registration 333-156423,
Downgraded to (P)Baa2 from (P)A3
Issuer: Morgan Stanley Trust A
Downgrades:
-- US$2,000M Preferred Stock Due 2042, CUSIP 617465505,
Downgraded to Baa2 from A3
Issuer: Morgan Stanley Trust B
Downgrades:
-- US$2,000M Preferred Stock Due 2042, CUSIP 61751S507,
Downgraded to Baa2 from A3
Issuer: Morgan Stanley Trust C
Downgrades:
-- US$1,579M Preferred Stock Due 2042, CUSIP 61753S505,
Downgraded to Baa2 from A3
MORGAN STANLEY: S&P Downgrades Ratings on 17 2006-HQ8 Securities
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 17
classes of commercial mortgage-backed securities from Morgan
Stanley Capital I Trust 2006-HQ8 and removed them from CreditWatch
with negative implications. In addition, S&P affirmed its ratings
on seven additional classes from the same transaction.
The downgrades follow S&P's analysis of the transaction using its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of the rating actions. The downgrades of the subordinate
classes also reflect credit support erosion that S&P anticipate
will occur upon the eventual resolution of several specially
serviced assets. S&P's analysis included a review of the credit
characteristics of all of the loans in the pool. Using servicer-
provided financial information, S&P calculated an adjusted debt
service coverage of 1.38x and a loan-to-value ratio of 104.8% for
the pooled loans. S&P further stressed the pooled loans' cash
flows under its 'AAA' scenario to yield a weighted average DSC of
0.90x and an LTV of 139.8%. The implied defaults and loss
severity under the 'AAA' scenario were 81.9% and 36.1%,
respectively. All of the DSC and LTV calculations S&P noted above
exclude eight ($95.8 million, 3.7%) of the 13 specially serviced
assets, one credit-impaired loan ($4.4 million, 0.2%), and one
defeased loan ($2.0 million, 0.4%). S&P separately estimated
losses for the eight specially serviced assets and one credit-
impaired loan and included them in its 'AAA' scenario implied
default and loss figures.
The affirmations of the ratings on the principal and interest
classes reflect subordination levels that are consistent with the
outstanding ratings through various stress scenarios. S&P
affirmed its ratings on the class X interest-only certificate
based on its current criteria. S&P published a request for
comment proposing changes to the IO criteria on June 1, 2009.
After S&P finalizes its criteria review, S&P may revise its
current IO criteria, which may affect outstanding ratings,
including the rating on the IO certificates S&P affirmed.
Credit Considerations
As of the February 2010 remittance report, 13 assets
($156.1 million, 6.1%) in the pool are with the special servicer,
J.E. Robert Co. Inc. (J.E. Robert), including the seventh-
largest loan in the pool, which is discussed below. A breakdown
of the specially serviced assets by payment status is: three
($68.1 million, 2.6%) are in foreclosure and 10 ($88.0 million,
3.5%) are more than 90 days delinquent. Eight of the specially
serviced assets have appraisal reduction amounts in effect
totaling $47.9 million.
The Roseville Portfolio loan ($19.8 million, 1.7%) is the largest
loan with the special servicer and the seventh-largest loan in the
pool. The portfolio is composed of three cross-collateralized and
cross-defaulted loans secured by two community shopping centers
and one three-story suburban office building, all of which are
located in Roseville, Calif. The loan was transferred to the
special servicer on Dec. 29, 2008, due to imminent default and is
now in foreclosure. Standard & Poor's expects a significant loss
upon the resolution of this asset.
The 12 remaining specially serviced loans have balances that
individually represent 0.8% or less of the total pool balance.
S&P estimated losses for seven ($44. million, 2.0%) of these 12
assets. The weighted average loss severity for these seven assets
was 54.1%. The special servicer is reviewing resolution
strategies, including possible loan modifications for the
remaining five loans.
In addition to the specially serviced assets, S&P determined one
loan ($4.4 million, 0.2%) to be credit-impaired. The Woodstock
Flex loan is secured by a 72,028-sq.-ft. industrial property in
Sarasota, Florida. As of Dec. 31, 2008, the property was 72%
occupied and had a DSC of 1.09x. As of the nine months ended
Sept. 30, 2009, the property was 44% occupied and had a DSCO of
0.17x. Due to the decreasing occupancy and DSC, S&P view this
loan to be at an increased risk of default and loss.
Transaction Summary
As of the February 2010 remittance report, the collateral pool had
an aggregate trust balance of $2.58 billion, which is 94.3% of the
balance at issuance. The pool includes 267 assets, compared with
268 at issuance. Wells Fargo Bank N.A. is the master servicer for
the transaction. Wells Fargo provided financial information for
100% of the loans in the pool, and 96.8% of the servicer-provided
information was full-year 2008 or interim-2009 data. S&P
calculated a weighted average DSC of 1.39x for loans based on the
reported figures. S&P's adjusted DSC and LTV were 1.38x and
104.8%, respectively. S&P's adjusted figures exclude eight
($95.8 million, 3.7%) specially serviced assets, one credit-
impaired loan ($4.4 million, 0.2%), and one defeased loan
($2.0 million, 0.4%), which S&P stressed separately. Forty-one
loans ($532.0 million, 20.7%) are on the master servicer's
watchlist, including three of the top 10 loans, which S&P discuss
below. Seventeen loans ($363.6 million, 14.1%) have reported DSC
between 1.0x and 1.10x, and 23 loans ($207.2 million, 8.0%) have
reported DSC of less than 1.0x.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$747.2 million (29.0%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.32x for the top 10 loans.
S&P's adjusted DSC and LTV were 1.29x and 109.7%, respectively,
for the top 10 loans. One of the top 10 loans is in special
servicing, which S&P discussed above, and three of top 10 loans
are on the master servicer's watchlist and discussed below.
The Ritz Carlton Portfolio loan ($186.8 million trust balance,
7.3%) is the largest loan in the pool and the largest loan on the
servicer's watchlist. At issuance, the loan was secured by a
first mortgage encumbering the fee and leasehold interests in five
cross-collateralized and cross-defaulted full-service luxury hotel
properties operated under the Ritz-Carlton flag and located in New
York City, Washington D.C., and Boston, with a total of 1,218
rooms. The trust principal balance, originally $266.8 million,
was reduced following the release of the Boston property in 2007.
For the six months ended June 30, 2009, the reported net cash flow
was negative and occupancy was 60.6%. At year-end 2008, DSC was
1.05x and occupancy was 72.6%. A subordinate credit facility of
$68.5 million is available to support liquidity for debt service
and operating expense shortfalls.
The Flournoy Mulifamily Pool loan ($96.4 million, 3.7%) is the
third-largest loan in the pool and the second-largest loan on the
master servicer's watchlist. The loan is secured by a four-
property, 1,397-unit multifamily portfolio located in Texas,
Kansas, and Tennessee, constructed between 2000 and 2004. For the
six months ended June 30, 2009, the reported DSC was 1.11x and
occupancy was 95%, versus reported DSC of 1.09x and occupancy of
92% at year-end 2008.
The Crossroads Logistics Portfolio loan ($71.8 million, 2.8%) is
the fourth-largest loan in the pool and the third-largest loan on
the master servicer's watchlist. The loan is secured by four
industrial/warehouse properties totaling 2.6 million sq. ft.
located in Brownsburg, Plainfield, and Indianapolis, Indiana. A
tenant at the 710 S. Girls School Road property, who occupied 35%
of the portfolio's net rentable area, vacated the property when
the lease expired on June 30, 2008, and the space remains vacant.
For the nine-months ended Sept. 30, 2009, the property reported a
DSC of 0.82x and occupancy of 66%. The borrower is actively
marketing the vacant space and the loan remains current.
Standard & Poor's stressed the loans in the pool according to its
conduit/fusion criteria. The resultant credit enhancement levels
are consistent with the lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Morgan Stanley Capital I Trust 2006-HQ8
Commercial mortgage pass-through certificates series 2006-HQ8
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M A+ AAA/Watch Neg 21.20
A-J BBB+ AAA/Watch Neg 13.52
B BBB AA+/Watch Neg 12.85
C BBB- AA/Watch Neg 11.26
D BB+ AA-/Watch Neg 9.94
E BB A+/Watch Neg 9.41
F BB- A/Watch Neg 8.48
G B+ A-/Watch Neg 7.42
H B+ BBB+/Watch Neg 5.96
J B BBB/Watch Neg 4.90
K B- BBB-/Watch Neg 3.84
L B- BB+/Watch Neg 3.31
M CCC+ BB/Watch Neg 2.92
N CCC BB-/Watch Neg 2.52
O CCC- B+/Watch Neg 2.25
P CCC- B/Watch Neg 1.99
Q CCC- B-/Watch Neg 1.46
Ratings Affirmed
Morgan Stanley Capital I Trust 2006-HQ8
Commercial mortgage pass-through certificates series 2006-HQ8
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 31.80
A-1A AAA 31.80
A-2 AAA 31.80
A-3 AAA 31.80
A-AB AAA 31.80
A-4 AAA 31.80
X AAA N/A
N/A -- Not applicable.
MORGAN STANLEY: S&P Raises Rating on $3.5 Mil. A-14 Notes to 'CCC'
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on Morgan
Stanley ACES SPC's series 2006-8 $3.5 million class A-14 secured
fixed-rate notes to 'CCC' from 'CCC-'.
S&P's rating on the class A-14 notes is dependent on the lowest of
its ratings on (i) the reference obligation, American Axle &
Manufacturing Inc.'s 5.25% senior unsecured notes due Feb. 11,
2014 ('CCC'); (ii) the swap payments guarantor, Morgan Stanley
(A/Negative/A-1); and (iii) the underlying security, the class A
certificates from BA Master Credit Card Trust II's series 2001-B
due Aug. 15, 2013 ('AAA').
The rating action reflects the Feb. 17, 2010, raising of S&P's
rating on American Axle & Manufacturing Inc.'s 5.25% senior
unsecured notes to 'CCC' from 'CCC-'.
NEWCASTLE CDO: Moody's Downgrades Ratings on Class I-MM to 'Ba2'
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of one class of notes issued by Newcastle CDO VI, Limited.
The notes affected by the rating action are:
-- Class I-MM Floating Rate Notes, (current balance of
$311,306,912) Downgraded to Ba2; previously on December 9,
2009 Downgraded to Baa3.
Newcastle CDO VI, Limited, is a collateralized debt obligation
backed by a portfolio of Commercial Mortgage-Backed Securities
with the majority originated in 2004 and 2005.
According to Moody's, the rating downgrade action is the result of
deterioration in the credit quality of the underlying portfolio.
Such credit deterioration is observed through numerous factors,
including a decline in the average credit rating of the portfolio
(as measured by an increase in the weighted average rating
factor), an increase in the dollar amount of defaulted securities,
and failure of the coverage tests. The weighted average rating
factor, as reported by the trustee, has increased from 1414 in
December 2009 to 1,603 in January 2010. During the same time,
defaulted securities increased from $48.5 million to
$77.2 million. In addition, the Trustee reports that the
transaction is currently failing all principal coverage tests,
including the Class I Par Value Test.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections and features in each transaction, recent deal
performance in the current market environment, the legal
environment and specific documentation features. All information
available to rating committees, including macroeconomic forecasts,
input from other Moody's analytical groups, market factors, and
judgments regarding the nature and severity of credit stress on
the transactions, may influence the final rating decision.
NEWCASTLE CDO: Moody's Downgrades Ratings on Eight Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of eight classes of notes issued by Newcastle CDO IV,
Limited. The notes affected by the rating action are:
-- Class I-MM Floating Rate Notes, (current balance of
$318,879,126) Downgraded to Baa1; previously on 3/6/2009
Downgraded to A2;
-- Class II-FL Deferrable Floating Rate Notes, (current balance
of $13,030,745) Downgraded to Ba2; previously on 3/6/2009
Downgraded to Ba1;
-- Class II-FX Deferrable Fixed Rate Notes, (current balance of
$7,335,716) Downgraded to Ba2; previously on 3/6/2009
Downgraded to Ba1;
-- Class III-FL Deferrable Floating Rate Notes, (current balance
of $7,555,332) Downgraded to B2; previously on 3/6/2009
Downgraded to Ba2;
-- Class III-FX Deferrable Fixed Rate Notes, (current balance of
$12,395,734) Downgraded to B2; previously on 3/6/2009
Downgraded to Ba2;
-- Class IV-FL Deferrable Floating Rate Notes, (current balance
of $8,110,121) Downgraded to Caa3; previously on 3/6/2009
Downgraded to B2;
-- Class IV-FX Deferrable Fixed Rate Notes, (current balance of
$9,287,660) Downgraded to Caa3; previously on 3/6/2009
Downgraded to B2;
-- Class V Deferrable Fixed Rate Notes, (current balance of
$14,091,882) Downgraded to Ca; previously on 3/6/2009
Downgraded to Caa2.
Newcastle CDO IV, Limited, is a collateralized debt obligation
issuance backed by a portfolio of Commercial Mortgage-Backed
Securities, the majority of which were originated in 2003 and
2004.
According to Moody's, the rating downgrade actions are the result
of deterioration in the credit quality of the underlying
portfolio. Such credit deterioration is observed through numerous
factors, including a decline in the average credit rating of the
portfolio (as measured by an increase in the weighted average
rating factor), an increase in the dollar amount of defaulted
securities, and failure of the coverage tests. The weighted
average rating factor, as reported by the trustee, has increased
from 899 in March 2009 to 1,783 in February 2010. During the same
time, defaulted securities increased from $16.6 million to
$42.0 million. In addition, the Trustee reports that the
transaction is currently failing all principal coverage tests,
including the Class I Par Value Test.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections and features in each transaction, recent deal
performance in the current market environment, the legal
environment and specific documentation features. All information
available to rating committees, including macroeconomic forecasts,
input from other Moody's analytical groups, market factors, and
judgments regarding the nature and severity of credit stress on
the transactions, may influence the final rating decision.
PARCS MASTER: S&P Withdraws 'B-' Rating on 2007-25 Trust Unit
-------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its rating on the
trust unit issued by PARCS Master Trust's class 2007-25, a
synthetic collateralized debt obligation transaction.
The rating withdrawal follows the full redemption of the notes
according to the unwind notice for this transaction, dated
Dec. 18, 2009.
Rating Withdrawn
PARCS Master Trust
Class 2007-25
Rating
------
Class To From
----- -- ----
Trust Unit NR B-
NR - Not rated.
PRIMA CAPITAL: Fitch Downgrades Ratings on All Classes of Notes
---------------------------------------------------------------
Fitch Ratings has downgraded all classes of Prima Capital CRE
Securitization 2006-1 Ltd. /Corp. reflecting Fitch's base case
loss expectation of 21.2%. Fitch's performance expectation
incorporates prospective views regarding commercial real estate
market value and cash flow declines.
Prima 2006-1 is primarily collateralized by fixed-rate subordinate
commercial real estate debt: 56% of total collateral are either B-
notes; non-senior, single borrower commercial mortgage backed
securities; or mezzanine loans. The transaction's Fitch base case
loss expectation of 21.2% is below the average loss expectation
(33%) for CRE loan CDOs that have been reviewed under Fitch's
updated criteria to date. Further, there are no defaulted assets
or Fitch Loans of Concern in the portfolio.
Prima 2006-1 is a static CRE collateralized debt obligation
managed by Prima Capital Advisors, LLC. Prima was fully ramped at
closing and had no reinvestment period. Since issuance, the
transaction has amortized by approximately $92 million (16.5%),
resulting in a 27.6% paydown of class A-1. As of the January 2010
trustee report and per Fitch categorizations, the CDO was
substantially invested: B-notes (29.3%), mezzanine loans (19.3%),
whole loans (15.7%), real estate investment trust debt (REIT;
13.3%), CRE CDOs (11.8%), and CMBS bonds (10.6%). In general,
Fitch treats non-senior, single-borrower CMBS as CRE B-notes.
Under Fitch's updated methodology, approximately 30% of the
portfolio is modeled to default in the base case stress scenario,
defined as the 'B' stress. In this scenario, the modeled average
cash flow decline is 11.4% from the most recent available cash
flows (generally third and fourth quarter 2009). Fitch estimates
that recoveries will be 29.2%.
The largest component of Fitch's base case loss expectation is a
B-note (12.9%) secured by a 3,221 unit multifamily property
located in San Francisco, California. The business plan at the
property was to undergo renovations to allow rent controlled units
to be increased to market as units turnover. Although current
occupancy is 89% and performance has been relatively stable, the
loan is highly leveraged. Current property cash flow is
sufficient to pay debt service through the CDO's position;
however, it does not cover debt service on the entire capital
stack in Fitch's base case stress. Further, the loan is in its
final extension option period with maturity in October 2010.
Fitch modeled a term default with a full loss in its base case
scenario.
The next largest component of Fitch's base case loss expectation
is a B-note (5.4%) secured by a 1.1 million square foot office
property located in Chicago, Illinois. The loan is subject to
refinance risk in 2011. While it is likely the loan will continue
to receive interest payments during the loan term, Fitch modeled a
maturity default with a partial loss in its base case scenario.
The third largest component of Fitch's base case loss expectation
is a B-note (7.3%) secured by a portion of the retail, office, and
parking garage space of a 1.2 million square foot regional mall
located in St. Louis, Missouri. Fitch is generally concerned
with the performance of retail given the economic conditions.
While it is likely this amortizing loan will continue to receive
interest and principal payments during the loan term, Fitch
modeled a maturity default with a partial loss in its base case
scenario.
This transaction was analyzed according to the 'U.S. CREL CDO
Surveillance Criteria,' which applies stresses to property cash
flows and uses debt service coverage ratio tests to project future
default levels for the underlying portfolio. Recoveries are based
on stressed cash flows and Fitch's long-term capitalization rates.
The default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under the various
default timing and interest rate stress scenarios, as described in
the report 'Global Criteria for Cash Flow Analysis in CDOs.' Based
on this analysis, the breakeven rate for class A-1 is generally
consistent with the 'BBB' rating category. The breakeven rates
for classes A-2 and B are generally consistent with the 'BB'
rating category. The breakeven rates for classes C and D are
generally consistent with the 'B' rating category.
The ratings for classes E through K are generally based on a
deterministic analysis, which considers Fitch's base case loss
expectation for the pool. Based on this analysis, the ratings for
classes E through K are consistent with the 'CCC' rating, meaning
default is a real possibility given that the credit enhancement to
each class falls below Fitch's base case loss expectation of
21.2%.
Classes A-1 through D were each assigned a Negative Rating Outlook
reflecting Fitch's expectation of further negative credit
migration of the underlying collateral. These classes were also
assigned Loss Severity ratings ranging from 'LS3' to 'LS5'
indicating each tranche's potential loss severity given default,
as evidenced by the ratio of tranche size to the expected loss for
the collateral under the 'B' stress. LS ratings should always be
considered in conjunction with probability of default indicated by
a class' long-term credit rating. Fitch does not assign Rating
Outlooks or LS ratings to classes rated 'CCC' or lower.
Classes E through K were assigned Recovery Ratings to provide a
forward-looking estimate of recoveries on currently distressed or
defaulted structured finance securities. Recovery Ratings are
calculated using Fitch's cash flow model, and incorporate Fitch's
current 'B' stress expectation for default and recovery rates (30%
and 29.2%, respectively), the 'B' stress US$ LIBOR up-stress, and
a 24-month recovery lag. All modeled distributions are discounted
at 10% to arrive at a present value and compared to the class's
tranche size to determine a Recovery Rating.
The assignment of 'RR5' to class E reflects modeled recoveries of
26% of their outstanding balance. The expected recovery proceeds
are broken down:
-- Present value of expected principal recoveries ($0);
-- Present value of expected interest payments ($4.8 million);
-- Total present value of recoveries ($4.8 million);
-- Sum of undiscounted recoveries ($6.3 million).
The assignment of 'RR5' to class F reflects modeled recoveries of
18% of their outstanding balance. The expected recovery proceeds
are broken down:
-- Present value of expected principal recoveries ($0);
-- Present value of expected interest payments ($2.2 million);
-- Total present value of recoveries ($2.2 million);
-- Sum of undiscounted recoveries ($2.7 million).
The assignment of 'RR5' to class G reflects modeled recoveries of
14% of their outstanding balance. The expected recovery proceeds
are broken down:
-- Present value of expected principal recoveries ($0);
-- Present value of expected interest payments ($1.4 million);
-- Total present value of recoveries ($1.4 million);
-- Sum of undiscounted recoveries ($1.7 million).
Classes H, J, and K are assigned a Recovery Rating of 'RR6' as the
present value of the recoveries in each case is less than 10% of
each class's principal balance.
Fitch has downgraded and assigned LS and RR ratings and Rating
Outlooks to these classes:
-- $241,454,966 class A-1 to 'BBB/LS3' from 'AAA'; Outlook
Negative;
-- $64,031,000 class A-2 to 'BB/LS4' from 'AAA'; Outlook
Negative;
-- $27,839,000 class B to 'BB/LS5' from 'AA+'; Outlook Negative;
-- $22,271,000 class C to 'B/LS5' from 'A+'; Outlook Negative;
-- $16,703,000 class D to 'B/LS5' from 'A-'; Outlook Negative;
-- $18,095,000 class E to 'CCC/RR5' from 'BBB+';
-- $12,527,000 class F to 'CCC/RR5' from 'BBB';
-- $9,743,000 class G to 'CCC/RR5' from 'B';
-- $13,919,000 class H to 'CCC/RR6' from 'B';
-- $15,311,000 class J to 'CCC/RR6' from 'B';
-- $5,567,000 class K to 'CCC/RR6' from 'B-'.
Additionally, all classes are removed from Rating Watch Negative.
RFC CDO: Fitch Downgrades Ratings on All Classes of Notes
---------------------------------------------------------
Fitch Ratings has downgraded all classes of RFC CDO 2007-1
Ltd./LLC reflecting Fitch's base case loss expectation of 45.4%.
Fitch's performance expectation incorporates prospective views
regarding commercial real estate market value and cash flow
declines.
The transaction is primarily collateralized by subordinate
commercial real estate debt: 49% of total collateral is either B-
notes; mezzanine loans; non-senior commercial mortgage backed
securities; or non-senior CRE collateralized debt obligations.
Although the collateral pool also has a substantial concentration
of whole loans (48%), many of these are secured by transitional
properties that are lagging behind their original business plans.
The transaction has an above-average default rate with 11 assets
currently defaulted, representing 20.7% of the pool.
Additionally, there are five loans (8.0%) that are considered
Fitch Loans of Concern. Fitch expects significant losses on the
defaulted assets and Fitch Loans of Concern. To date, the
transaction has realized approximately $45 million of net losses
(after accounting for approximately $9 million in par building
from discounted asset purchases) from the sale of distressed
assets.
RFC 2007-1 is a $942 million CRE CDO managed by CWCapital
Investments. As of the December 2009 trustee report and per Fitch
categorizations, the CDO was substantially invested: CRE whole
loans (48.0%), B-notes (13.5%), mezzanine loans (12.3%),
commercial mortgage-backed securities (21.9%), and CRE CDOs
(1.4%).
On the January 2010 payment date, there was an interest shortfall
to classes A-1 through B, which was cured via proceeds advanced by
the trustee as backup advancing agent. Classes below class B did
not receive any proceeds as they are not entitled to advancing.
The interest shortfall was mainly a result of the collateral
pool's relatively high default rate, and the fact that the
transaction is over-hedged with swaps that are 'out-of the-money'.
Fitch did not incorporate the possibility of future interest
advances into its analysis.
As of the December 2009 trustee report, all Par Value and Interest
Coverage tests have breached their respective covenants. As a
result, future interest and principal proceeds (after class B)
will be redirected to redeem classes A-1 and A-R. Although the
transaction has a five-year reinvestment period, ending April
2012, Fitch expects that all collateral principal payments will be
redirected for the foreseeable future. Further, given its
expectation of further defaults, Fitch considers it unlikely that
classes below the A/B coverage tests will receive any further
proceeds over the life of the transaction.
Under Fitch's updated methodology, approximately 64.9% of the
portfolio is modeled to default in the base case stress scenario,
defined as the 'B' stress. In this scenario, the modeled average
cash flow decline is 12.7% from third and fourth quarter 2009 cash
flows. Fitch estimates that average recoveries will be low at
30%, due to the highly leveraged and transitional nature of the
assets.
The largest component of Fitch's base case loss expectation is a
whole loan (4.5%) secured by a 97-room luxury boutique hotel
located in downtown Santa Barbara, California. The hotel was
constructed in 2004, and has since benefited from an additional
$4.3 million in upgrades. While the hotel's performance has been
stable, the loan is highly leveraged since its original cash flow
projection was based on anticipated revenue increases that did not
occur. As such, Fitch modeled a term default with a substantial
loss under its base case scenario.
The next largest component of Fitch's base case loss expectation
is a defaulted mezzanine loan (2.8%) secured by ownership
interests in a 12 building apartment complex located in New York
City. The original business plan was to convert the property's
rent stabilized units to market rates; however, the plan stalled
amid the economic downturn. The loan defaulted in October 2008,
and is currently undergoing foreclosure. Fitch modeled a full
loss on this highly leveraged mezzanine loan.
The third largest component of Fitch's base case loss expectation
is a defaulted mezzanine construction loan (2.8%) secured by
ownership interests in a 58-story hotel and condominium project
located in New York City. The project, located proximate to the
World Trade Center site in lower Manhattan, will consist of a 217-
room W Hotel and 222 luxury residential condominiums. The loan
defaulted in October 2009 amid construction delays and budget
problems. Fitch modeled a full loss on this highly leveraged
mezzanine loan.
This transaction was analyzed according to the 'U.S. CREL CDO
Surveillance Criteria,' which applies stresses to property cash
flows and uses debt service coverage ratio tests to project future
default levels for the underlying portfolio. Recoveries are based
on stressed cash flows and Fitch's long-term capitalization rates.
The default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under the various
default timing and interest rate stress scenarios, as described in
the report 'Global Criteria for Cash Flow Analysis in CDOs.' Based
on this analysis, no classes pass Fitch's base case stress
scenario, which is generally consistent with the 'B' rating
category.
As such, the ratings for all classes are based on a deterministic
analysis, which considers Fitch's base case loss expectation for
the pool, and the current percentage of defaulted assets and Fitch
Loans of Concern, factoring in anticipated recoveries relative to
each class' credit enhancement. Based on this analysis, classes
A-1 through B are consistent with the 'CCC' rating category,
meaning default is a real possibility. Fitch's base case loss
expectation of 45.4% is either proximate to or exceeds these
classes' respective current credit enhancement levels.
The ratings for classes C through E are deemed to be consistent
with the 'CC' rating category, meaning default appears probable
given that losses expected on the current defaulted assets and
Fitch Loans of Concern in the pool exceed these classes'
respective credit enhancement levels. The ratings for classes F
through L are deemed to be consistent with the 'C' rating
category, meaning Fitch considers default to be inevitable.
Fitch's base case expected losses from current defaulted assets
exceeds these classes' respective credit enhancement levels.
All classes were assigned Recovery Ratings to provide a forward-
looking estimate of recoveries on currently distressed or
defaulted structured finance securities. Recovery Ratings are
calculated using Fitch's cash flow model, and incorporate Fitch's
current 'B' stress expectation for default and recovery rates
(64.9% and 30%, respectively), the 'B' stress US$ LIBOR up-stress,
and a 24-month recovery lag. All modeled distributions are
discounted at 10% to arrive at a present value and compared to the
class' tranche size to determine a Recovery Rating. The
assumptions for the 'B' stress US$ LIBOR up-stress scenario are
found in the report, 'Criteria for Interest Rate Stresses in
Structured Finance Transactions'.
The assignment of 'RR2' to classes A-1 and A-1R reflects modeled
recoveries of 83% of their outstanding balances. The expected
recovery proceeds are broken down:
-- Present value of expected principal recoveries
($321.8 million);
-- Present value of expected interest payments ($56.9 million);
-- Total present value of recoveries ($378.7 million);
-- Sum of undiscounted recoveries ($506 million).
The assignment of 'RR5' to classes A-2 and A-2R reflects modeled
recoveries of 31% of their outstanding balances. The expected
recovery proceeds are broken down:
-- Present value of expected principal recoveries ($0);
-- Present value of expected interest payments ($41.2 million);
-- Total present value of recoveries ($41.2 million);
-- Sum of undiscounted recoveries ($64.8 million).
The assignment of 'RR5' to class B reflects modeled recoveries of
28% of its outstanding balance. The expected recovery proceeds
are broken down:
-- Present value of expected principal recoveries ($0);
-- Present value of expected interest payments ($24.4 million);
-- Total present value of recoveries ($24.4 million);
-- Sum of undiscounted recoveries ($37.5 million).
Classes C through L are assigned a Recovery Rating of 'RR6' as the
present value of the recoveries in each case is less than 10% of
each class' principal balance.
Fitch has downgraded and assigned RRs to these classes, as
indicated:
-- $410,574,679 class A-1 to 'CCC/RR2' from 'AA';
-- $45,619,409 class A-1R to 'CCC/RR2' from 'AA';
-- $125,000,000 class A-2 to 'CCC/RR5' from 'A';
-- $8,200,000 class A-2R to 'CCC/RR5' from 'A';
-- $86,500,000 class B to 'CCC/RR5' from 'BBB-';
-- $48,393,176 class C to 'CC/RR6' from 'B';
-- $19,165,331 class D to 'CC/RR6' from 'B';
-- $15,134,354 class E to 'CC/RR6' from 'B';
-- $22,867,750 class F to 'C/RR6' from 'CCC';
-- $15,256,668 class G to 'C/RR6' from 'CCC';
-- $24,475,151 class H to 'C/RR6' from 'CCC';
-- $17,493,774 class J to 'C/RR6' from 'CCC';
-- $16,010,185 class K to 'C/RR6' from 'CCC';
-- $9,868,008 class L to 'C/RR6' from 'CCC'.
Additionally, classes A-1 through E are removed from Rating Watch
Negative.
SIERRA MADRE: Moody's Downgrades Ratings on Two Classes of Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of two classes of notes issued by Sierra Madre Funding,
Ltd., an ABS CDO. The notes affected by the rating action are:
-- US$400,000,000 Class A-1LT-a Floating Rate Notes Due 2039
(current balance of $343,714,372), Downgraded to Caa3;
previously on February 2, 2009 Downgraded to Ba3;
-- US$945,000,000 Class A-1LT-b Floating Rate Notes Due 2039
(current balance of $812,025,204), Downgraded to Caa3;
previously on February 2, 2009 Downgraded to Ba3.
Sierra Madre Funding, Ltd. is a collateralized debt obligation
issuance backed primarily by a portfolio of residential mortgage
backed securities. According to Moody's, the rating downgrade
actions are the result of deterioration in the credit quality of
the underlying portfolio. Such credit deterioration is observed
through numerous factors, including a decline in the average
credit rating of the portfolio (as measured by an increase in the
weighted average rating factor), an increase in the dollar amount
of defaulted securities, and failure of the coverage tests. For
this transaction, the weighted average rating factor, as reported
by the trustee, has increased from 583 in February 2009 to 1481 in
February 2010. During the same time, defaulted securities
increased from $25 million to $308 million, and the Class A/B
Overcollateralization Ratio decreased from 100.20% to 74.31%.
Moody's continues to monitor this transaction using primarily the
methodology and its supplements for ABS CDOs as described in
Moody's Special Report below:
-- Moody's Approach to Rating SF CDOs (August 2009)
In deriving its ratings, Moody's uses the collateral instrument's
current rating-based expected loss, Moody's recovery rate table,
and the original rating of the instrument along with its average
life to infer an unadjusted default probability. In addition to
the quantitative factors that are explicitly modeled, qualitative
factors are part of rating committee considerations. These
qualitative factors include the structural protections in each
transaction, the recent deal performance in the current market
environment, the legal environment, and specific documentation
features. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision.
SORIN REAL: Moody's Downgrades Ratings on Nine Classes of Notes
---------------------------------------------------------------
Moody's Investors Service downgraded nine classes of Notes issued
by Sorin Real Estate CDO IV Ltd. due to deterioration in the
credit quality of the underlying portfolio as measured by
deterioration in the weighted average rating factor. The rating
action, which concludes Moody's current review, is the result of
Moody's on-going surveillance of commercial real estate
collateralized debt obligation transactions.
Sorin Real Estate CDO IV Ltd. is a revolving CRE CDO transaction
backed by a portfolio of commercial mortgage backed securities
collateral (39% of the pool, including rake bonds), whole loan
debt (9% of the pool), B-note debt (20% of the pool), mezzanine
debt (19% of the pool), CRE CDO collateral (5% of the pool), and
commercial real estate bank loans and term loans (8% of the pool).
As of January 21, 2010, the aggregate Notes balance of the
transaction, including the Income Notes, has decreased to
$374.9 million from $400 million at issuance, due to approximately
$28 million in pay-downs to the Class A1 Notes. The pay-down was
triggered as a result of the failure of the Class A/B, Class C/D,
and Class E/F Principal Coverage Tests. Per the Indenture, the
failure of any Principal Coverage Test results in all scheduled
interest and principal payments being directed to pay down the
most senior notes, until the Principal Coverage Test is satisfied.
Ten assets totaling over $91 million par amount (24% of the pool)
were listed as defaulted as of January 21, 2010. One of these
defaulted collateral, Eastridge Mall B-note (5% of the pool), is
expected to return to performing status soon. For the remaining
nine defaulted collateral assets, Moody's currently estimates over
$64 million in expected losses to the Notes (over 80% loss
severity on average).
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, weighted average
life, weighted average recovery rate, and Moody's asset
correlation.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Tranched WARF is adjusted by the component tranches of the
collateral assets. The tranched WARF was 1,565 as of the
January 21, 2010 Trustee Report. Moody's have completed updated
credit estimates for the entire pool and the results will be
reflected in a future Trustee Report. The bottom-dollar WARF is a
measure of the default probability within a collateral pool.
Moody's modeled a bottom-dollar WARF, excluding defaulted loans,
of 3,162 compared to 1,629 at last review.
WAL acts to adjust the probability of default of the collateral
pool for time. Moody's modeled to the covenanted WAL of six
years, the same as at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. The WARR was 35.8% as of the
January 21, 2010 Trustee Report. Moody's modeled the covenanted
WARR of 24%, the same as at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC, excluding defaulted loans, of 2% compared
to 12% at last review.
Moody's review also incorporated updated asset correlation
assumptions for the commercial real estate sector consistent with
one of Moody's CDO rating models, CDOROM v2.5, which was released
on April 3, 2009. These correlations were updated in light of the
systemic seizure of credit markets and to reflect higher inter-
and intra-industry asset correlations. The updated asset
correlations, depending of vintage and issuer diversity, used for
CUSIP collateral (i.e. CMBS, CRE CDOs or REIT debt) within CRE
CDOs range from 30% to 60%, compared to 15% to 35% previously.
For non-CUSIP collateral (treated in CDOROM v2.5 as secured
corporate debt), the updated asset correlations are approximately
30% compared to 15% previously. The updated asset correlations
for non-CUSIP collateral reflect a reduction in the maximum over-
concentration stress by half in CDOROM v2.5 due to the diversity
of tenants, property types and geographic locations inherent in
the collateral pools.
The cash flow model, CDOEdge v3.2, was used to analyze the cash
flow waterfall and its effect on the capital structure of the
deal.
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors.
Therefore, the rating outcome may differ from the model output.
The rating actions are:
-- Class A1, Downgraded to A2; previously on November 13, 2009
Aaa Placed Under Review for Possible Downgrade
-- Class A2, Downgraded to Baa3; previously on November 13, 2009
Aa2 Placed Under Review for Possible Downgrade
-- Class A3, Downgraded to Ba1; previously on November 13, 2009
Aa3 Placed Under Review for Possible Downgrade
-- Class B, Downgraded to Ba1; previously on November 13, 2009
A1 Placed Under Review for Possible Downgrade
-- Class C, Downgraded to B1; previously on November 13, 2009
Baa1 Placed Under Review for Possible Downgrade
-- Class D, Downgraded to B3; previously on November 13, 2009
Ba1 Placed Under Review for Possible Downgrade
-- Class E, Downgraded to B3; previously on November 13, 2009
Ba2 Placed Under Review for Possible Downgrade
-- Class F, Downgraded to Caa2; previously on November 13, 2009
B2 Placed Under Review for Possible Downgrade
-- Class G, Downgraded to Ca; previously on November 13, 2009
Caa3 Placed Under Review for Possible Downgrade
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior full review is summarized in
a press release dated March, 19 2009.
TALCOTT NOTCH: Fitch Affirms Ratings on Two Classes of Notes
------------------------------------------------------------
Fitch Ratings has affirmed two classes of notes issued by Talcott
Notch CBO I, Ltd/Corp.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria', 'Global
Rating Criteria for Corporate CDOs', 'Global Surveillance Criteria
for Corporate CDOs', 'Criteria for Structured Finance Recovery
Ratings' and 'Rating Market Value Structures'.
The affirmation of the class B-1 notes is based on the principal
cash balance that covers all of the class B-1 note balance and the
expectation that these notes will be paid in full on the next
payment date. In addition, the class B-1 notes were paid
$4.9 million on the April 2009 payment date to satisfy their
interest shortfall balance.
The affirmation of the class B-2L notes at their current rating
level is the result of Fitch's expectation that available proceeds
will be insufficient to redeem the $12 million principal balance
and approximately $7.6 million interest shortfall balance due to
the notes at maturity. Fitch revised the Recovery Rating of these
notes to indicate the expectation that the notes will recover
between 71% and 90% of the current principal and interest due,
consistent with an 'RR2'.
This review did not utilize the Global Cash Flow model given the
short remaining tenor of the transaction and the high obligor
concentration of the portfolio. Instead, the current principal
cash balance of $4.2 million, the projected recovery estimate on
the defaulted collateral and the projected market value of the
long dated assets were all applied in accordance with the
principal waterfall. Additionally, an expected loss was assigned
to the remaining performing assets, and the expected return from
these assets was also applied in accordance with the principal
waterfall. The sum of all available proceeds was used to
calculate the notes expected total return and to determine the
long-term credit rating of the remaining liabilities. The
structural features of the transaction were also factored into the
analysis.
The revision of the Recovery Rating for the class B-2L notes was
based on the total expected future cash flows projected to be
available to the notes in a base case default scenario. Recovery
Ratings are designed to provide a forward-looking estimate of
recoveries on currently distressed or defaulted structured finance
securities. Distressed securities are defined as bonds that face
a real possibility of default at or prior to maturity and by
definition are rated 'CCC' or below. For further detail on
Recovery Ratings, please see Fitch's report 'Global Surveillance
Criteria for Corporate CDOs'.
Rating Outlooks indicate the likely direction of any rating change
over a one- to two-year period. Given the fact the class B-1
notes are expected to be paid in full on the next payment date,
the class B-1 Rating Outlook was removed. The Rating Outlook for
the class B-1 notes was Positive prior to the affirmation. Fitch
does not assign Rating Outlooks to classes rated 'CCC' or lower.
Talcott Notch is a collateralized debt obligation that closed
Oct. 20, 1999, and is managed by General Re-New England Asset
Management, Inc. Payments are made semi-annually in April and
October and the reinvestment period ended in October 2003. The
scheduled maturity date is in October 2011.
Fitch has affirmed ratings and revised Recovery Ratings on these
classes as indicated:
-- $1,224,079 class B-1 notes affirmed at 'BB';
-- $12,000,000 class B-2L notes affirmed at 'C'; revised to
'RR2' from 'RR3'.
TIERS MAINE: S&P Withdraws 'CCC-' Rating on 2007-24 Certificates
----------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its rating on the
certificates issued by TIERS Maine Floating Rate Credit Trust
2007-24, a synthetic collateralized debt obligation transaction.
The rating withdrawal follows the notice of termination of the
transaction.
Rating Withdrawn
TIERS Maine Floating Rate Credit Trust 2007-24
Rating
------
Class To From
----- -- ----
Cert NR CCC-
NR - Not rated.
TW HOTEL: S&P Downgrades Ratings on 13 2005-LUX Certificates
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 13
classes of commercial mortgage pass-through certificates from TW
Hotel Funding 2005 LLC's series 2005-LUX. Concurrently, S&P
affirmed its 'AAA' rating on class A-1 and removed all 14 ratings
from CreditWatch with negative implications.
The rating actions follow S&P's analysis of the lodging properties
that secure the loan that serves as collateral for the
transaction. The downgrades primarily reflect the decline in net
cash flow due to lower occupancies and lower average daily rates
for these properties. This resulted in an increase in S&P's
stressed in-trust loan-to-value ratio to 133% from 84% at
issuance. S&P's revised valuations for the lodging properties are
44% lower than its valuations at issuance.
S&P based its analysis, in part, on a review of the borrower's
operating statements for year-end 2009, the borrower's 2010
budgets, Smith Travel Research reports, and Torto Wheaton Research
revenue per available room projections for each submarket.
As of the February 2010 remittance report, the Ty Warner Hotels &
Resorts Loan had a trust and whole-loan balance of $344.6 million.
In addition, the borrower's equity interests in the collateral
properties secure a $155.0 million mezzanine loan. The loan is
secured by four lodging properties: Four Seasons Hotel - New York
(54% of the allocated loan balance), Four Seasons Biltmore Resort
(23%), Las Ventanas al Paraiso (17%), and San Ysidro Ranch (5%).
Since issuance, one property was fully released from the
collateral pool, resulting in an $80.4 million paydown of the loan
balance.
The Four Seasons Hotel ? New York is a 52-story, 368-room, full-
service luxury hotel in Midtown Manhattan. The property was
significantly renovated in 2000-2005 at a cost of $102.8 million
($279,000). Since January 2006, an additional $18.6 million
($50,543 per room) was invested in further renovations, including
upgrading the penthouse, revamping the public spaces and food and
beverage operations, opening the L'Atelier Joel Robuchon
restaurant, and a complete renovation of the lobby restaurant
(completed in September 2009). As of year-end 2009, the occupancy
and ADR for the property were 56.7% and $961.63, respectively,
yielding a RevPAR of $545.24, down from $797.86 as of year-end
2008. Standard & Poor's adjusted valuation is 34% below its value
at issuance.
The Four Seasons Biltmore Resort is a 207-room luxury destination
resort on the Pacific coast in the village of Montecito, Calif.
The property was originally built in 1927 and has been operating
as a Four Seasons resort since 1995. Post-closing renovations
completed in August 2008 totaled $112.5 million ($544,000 per
room), $92.5 million of which the borrower funded. The
renovations included a complete renovation of the Coral Casino
Beach and Cabana Club and upgrades to the guestrooms, meeting
rooms, back of the house, common areas, and central plant. As of
year-end 2009, the occupancy and ADR for the property were 58.0%
and $471.00, respectively, yielding a RevPAR of $273.18, down from
$373.68 as of year-end 2008. Standard & Poor's adjusted valuation
is 64% below its value at issuance.
Las Ventanas al Paraiso is a 61-room, 10-condominium luxury
destination resort located in a secluded area of San Jose del
Cabo, Mexico. The resort is part of a larger development known
as Cabo Real, which includes six other hotels and two world-class
golf courses. The property is currently undergoing an
$11.8 million renovation ($166,000 per room), $7.9 million of
which ($112,000 per room) has been completed. The renovation
includes landscaping, converting borrower-owned condos into luxury
hotel suites, adding a new fitness center, relocating the retail
area, replacing soft goods in the guestrooms, and expanding the
spa. As of year-end 2009, the occupancy and ADR for the property
were 51.4% and $1,045.64, respectively, yielding a RevPAR of
$537.46, down from $965.27 as of year-end 2008. Standard & Poor's
adjusted valuation is 39% below its value at issuance.
The San Ysidro Ranch is a 41-room (50-room post-renovation) luxury
destination resort located in the village of Montecito,
California. The property was built in 1830 as a citrus ranch and
has operated as a lodging facility since 1893. The property is
currently undergoing an $82.8 million renovation ($1,657,000 per
room based on a total room count of 50), $74.7 million worth of
which ($1,495,000 per room) has been completed. The scope of the
capital improvements includes a complete renovation of all of the
facilities, an update of the hotel's infrastructure, the addition
of 12 new cottages (38 rooms pre-renovation), a complete
renovation of the pool area, and the addition of new amenities to
each renovated suite. As of year-end 2009, the occupancy and ADR
for the property were 41.7% and $1,089.59, respectively, yielding
a RevPAR of $454.36, down from $599.98 as of year-end 2008.
Standard & Poor's adjusted valuation is 63% below S&P's value at
issuance.
The master servicer, Berkadia Commercial Mortgage LLC, reported
debt service coverage of 3.04x as of September 2009 and 56%
occupancy as of year-end 2009. Standard & Poor's aggregate
adjusted valuation for the four properties is 44% below its value
at issuance.
The loan was scheduled to mature in January 2010, with one 12-
month extension option remaining. However, the loan failed a
required DSC hurdle in order to qualify for an extension. As a
result, the loan was transferred to special servicing (also with
Berkadia) on Oct. 16, 2009. The special servicer entered into a
forbearance agreement with the borrower until April 9, 2010.
During this time, under the terms of the documentation, the
controlling certificateholder has the ability to purchase the loan
at par (a fair value purchase option), and the borrower is
required to continue to make monthly interest payments. If the
controlling certificateholder does not exercise the FVPO during
the forbearance period, Berkadia has indicated that it will
attempt to negotiate a one-year extension of the maturity date to
Jan. 9, 2011, the final maturity date. In its analysis, S&P
considered the borrower's ability to refinance the loan within the
next 10 months.
Ratings Lowered And Removed From Creditwatch Negative
TW Hotel Funding 2005 LLC
Commercial mortgage pass-through certificates series 2005-LUX
Rating
------
Class To From
----- -- ----
A-2 A AAA/Watch Neg
B BBB+ AA+/Watch Neg
C BBB- AA/Watch Neg
D BB+ AA-/Watch Neg
E BB A+/Watch Neg
F B A/Watch Neg
G B- A-/Watch Neg
H CCC+ BBB+/Watch Neg
J CCC BBB/Watch Neg
K CCC- BBB-/Watch Neg
L CCC- BB+/Watch Neg
M CCC- BB/Watch Neg
N CCC- BB-/Watch Neg
Rating Affirmed And Removed From Creditwatch Negative
TW Hotel Funding 2005 LLC
Commercial mortgage pass-through certificates series 2005-LUX
Rating
------
Class To From
----- -- ----
A-1 AAA AAA/Watch Neg
VERMEER FUNDING: Moody's Downgrades Ratings on Two Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of two classes of notes issued by Vermeer Funding, Ltd.
The notes affected by the rating actions are:
-- $38,500,000 Class A-2 Senior Secured Floating Rate Notes due
2039, Downgraded to B2; previously on August 6, 2009
Downgraded to Ba1;
-- $37,625,000 Class B Senior Secured Floating Rate Notes Due
2039, Downgraded to Ca; previously on March 20, 2009
Downgraded to Caa2.
Vermeer Funding, Limited, is a collateralized debt obligation
issuance backed primarily by a portfolio of Residential ABS
Securities. RMBS are approximately 57% of the underlying
portfolio, of which the majority are from the 2004 vintage.
According to Moody's, the rating downgrade actions are the result
of deterioration in the credit quality of the underlying
portfolio. Such credit deterioration is observed through numerous
factors, including a decline in the average credit rating of the
portfolio (as measured by an increase in the weighted average
rating factor), an increase in the dollar amount of defaulted
securities, and failure of the coverage tests. The weighted
average rating factor, as reported by the trustee, has increased
from 1377 as of June 30, 2009 to 1403 as of January 29, 2010.
During the same period, defaulted securities increased from
$25.5 million to $36.9 million, and the Class A/B
Overcollateralization ratio decreased from 92.56% to 77.95%.
Moody's continues to monitor this transaction using primarily the
methodology and its supplements for ABS CDOs as described in
Moody's Special Report below:
-- Moody's Approach to Rating SF CDOs (August 2009)
In deriving its ratings, Moody's uses the collateral instrument's
current rating-based expected loss, Moody's recovery rate table,
and the original rating of the instrument along with its average
life to infer an unadjusted default probability. In addition to
the quantitative factors that are explicitly modeled, qualitative
factors are part of rating committee considerations. These
qualitative factors include the structural protections in each
transaction, the recent deal performance in the current market
environment, the legal environment, and specific documentation
features. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision.
WASHINGTON MUTUAL: Moody's Affirms Ratings on Three 2007-SL3 Notes
------------------------------------------------------------------
Moody's Investors Service affirmed the ratings of three classes
and downgraded 14 classes of Washington Mutual Commercial Mortgage
Pass-Through Certificates, Series 2007-SL3 due to higher expected
losses for the pool resulting from realized and anticipated losses
from specially serviced and highly leveraged watchlisted loans.
The rating action is the result of Moody's on-going surveillance
of commercial backed securities transactions.
This transaction is classified as a small balance CMBS
transaction. The largest loan is $18.0 million, which represents
1% of the outstanding pool balance. Small balance transactions,
which represent less than 1% of the Moody's rated conduit / fusion
universe, have generally experienced higher defaults and losses
than traditional conduit and fusion transactions. However
transactions originated by Washington Mutual have historically
experienced lower losses than other small balance transactions
rated by Moody's.
As of the January 25, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 5% to
$1.2 billion from $1.3 billion at securitization. The
Certificates are collateralized by 869 mortgage loans ranging in
size from less than 1% to 1% of the pool, with the top ten loans
representing 9% of the pool.
One hundred sixty-eight loans, representing 19% of the pool, are
on the master servicer's watchlist. The watchlist includes loans
which meet certain portfolio review guidelines established as part
of the Commercial Mortgage Securities Association's monthly
reporting package. As part of Moody's ongoing monitoring of a
transaction, Moody's reviews the watchlist to assess which loans
have material issues that could impact performance.
To date, six loans have been liquidated from the pool, resulting
in an aggregate loss of $3.2 million (34% loss severity on
average). Currently, there are 47 loans, representing 4% of the
pool, in special servicing. Moody's has estimated an aggregate
$35.9 million loss for the specially serviced loans (70% loss
severity on average). While Moody's loss severity is higher than
the pool has experienced to date from liquidated loans, it is in-
line with historical averages for small balance loans.
In addition to recognizing losses from specially serviced loans,
Moody's has assumed a high default probability on twenty-nine
loans which represent 2% of the pool. Moody's has estimated an
aggregate loss of $11.4 million based on a weighted average
probability of default of 75% and an average loss severity of 50%
from these troubled loans. Moody's rating action recognizes
potential uncertainty around the timing and magnitude of loss from
these troubled loans.
Moody's rating action is:
-- Class A, $264,780,680, affirmed at Aaa; previously assigned
Aaa on 7/6/2007
-- Class A-1A, $639,776,621, affirmed at Aaa; previously
assigned Aaa on 7/6/2007
-- Class X, Notional, affirmed at Aaa; previously assigned Aaa
on 7/6/2007
-- Class A-J, $141,292,000 downgraded to A1 from Aa3; previously
downgraded to Aa3 on 2/11/2009
-- Class B, $25,690,000, downgraded to A3 from A2; previously
downgraded to A2 on 2/11/2009
-- Class C, $14,450,000, downgraded to Baa2 from A3; previously
downgraded to A3 on 2/11/2009
-- Class D, $24,084,000, downgraded to Ba1 from Baa2; previously
downgraded to Baa2 on 2/11/2009
-- Class E, $11,239,000, downgraded to Ba2 from Baa3; previously
downgraded to Baa3 on 2/11/2009
-- Class F, $14,451,000, downgraded to B2 from Ba1; previously
downgraded to Ba1 on 2/11/2009
-- Class G, $9,633,000, downgraded to B3 from Ba2; previously
downgraded to Ba2 on 2/11/2009
-- Class H, $12,845,000, downgraded to Caa2 from Ba3; previously
downgraded to Ba3 on 2/11/2009
-- Class J, $17,661,000, downgraded to Caa3 from B2; previously
downgraded to B2 on 2/11/2009
-- Class K, $8,028,000, downgraded to Ca from B3; previously
downgraded to B3 on 2/11/2009
-- Class L, $6,423,000, downgraded to C from Caa2; previously
downgraded to Caa2 on 2/11/2009
-- Class M, $3,211,000, downgraded to C from Caa2; previously
downgraded to Caa2 on 2/11/2009
-- Class N, $6,422,000, downgraded to C from Caa3; previously
downgraded to Caa3 on 2/11/2009
-- Class O, $3,211,000, downgraded to C from Caa3; previously
downgraded to Caa3 on 2/11/2009
WASHINGTON MUTUAL: Moody's Cuts Ratings on 14 2007-SL2 Certs.
-------------------------------------------------------------
Moody's Investors Service downgraded 14 classes of Washington
Mutual Commercial Mortgage Pass-Through Certificates, Series 2007-
SL2 due to higher expected losses for the pool resulting from
realized and anticipated losses from specially serviced and highly
leveraged watchlisted loans.
The rating action is the result of Moody's on-going surveillance
of commercial backed securities transactions.
This transaction is classified as a small balance CMBS
transaction. The largest loan is $14.6 million, which represents
2% of the outstanding pool balance. Small balance transactions,
which represent less than 1% of the Moody's rated conduit / fusion
universe, have generally experienced higher defaults and losses
than traditional conduit and fusion transactions. However
transactions originated by Washington Mutual have historically
experienced lower losses than other small balance transactions
rated by Moody's.
As of the January 27, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 7% to
$777.9 million from $842.1 million at securitization. The
Certificates are collateralized by 622 mortgage loans ranging in
size from less than 1% to 2% of the pool, with the top ten loans
representing 10% of the pool.
One hundred forty-one loans, representing 21% of the pool, are on
the master servicer's watchlist. The watchlist includes loans
which meet certain portfolio review guidelines established as part
of the Commercial Mortgage Securities Association's monthly
reporting package. As part of Moody's ongoing monitoring of a
transaction, Moody's reviews the watchlist to assess which loans
have material issues that could impact performance.
To date, two loans have been liquidated from the pool, resulting
in an aggregate loss of $1.2 million (76% loss severity on
average). Currently, there are 36 loans, representing 5% of the
pool, in special servicing. Moody's has estimated an aggregate
$26.1 million loss for the specially serviced loans (70% loss
severity on average).
In addition to recognizing losses from specially serviced loans,
Moody's has assumed a high default probability on seven loans
which represent 1% of the pool. Moody's has estimated an
aggregate loss of $2.9 million based on a weighted average
probability of default of 75% and an average loss severity of 50%
from these troubled loans. Moody's rating action recognizes
potential uncertainty around the timing and magnitude of loss from
these troubled loans.
Moody's rating action is:
-- Class A, $ 121,729,947, downgraded to A1 from Aa3; previously
downgraded to Aa3 on 2/11/2009
-- Class A-1A, $ 538,444,643, downgraded to A1 from Aa3;
previously downgraded to Aa3 on 2/11/2009
-- Class X, Notional, downgraded to A1 from Aa3; previously
downgraded to Aa3 on 2/11/2009
-- Class B, $17,894,000, downgraded to Baa1 from A2; previously
downgraded to A2 on 2/11/2009
-- Class C, $25,263,000, downgraded to Ba1 from Baa2; previously
downgraded to Baa2 on 2/11/2009
-- Class D, $16,842,000, downgraded to B1 from Ba1; previously
downgraded to Ba1 on 2/11/2009
-- Class E, $6,315,000, downgraded to B2 from Ba2; previously
downgraded to Ba2 on 2/11/2009
-- Class F, $7,369,000, downgraded to Caa2 from Ba3; previously
downgraded to Ba3 on 2/11/2009
-- Class G, $13,684,000, downgraded to Ca from B1; previously
downgraded to B1 on 2/11/2009
-- Class H, $4,210,000, downgraded to C from Caa1; previously
downgraded to Caa1 on 2/11/2009
-- Class J, $5,263,000, downgraded to C from Caa2; previously
downgraded to Caa2 on 2/11/2009
-- Class K, $2,105,000, downgraded to C from Caa2; previously
downgraded to Caa2 on 2/11/2009
-- Class L, $4,211,000, downgraded to C from Caa3; previously
downgraded to Caa3 on 2/11/2009
-- Class M, $1,053,000, downgraded to C from Caa3; previously
downgraded to Caa3 on 2/11/2009
* Fitch Downgrades Ratings on 393 Bonds in 254 RMBS to 'D'
----------------------------------------------------------
Fitch Ratings has downgraded 393 bonds in 254 residential
mortgage-backed securities transactions to 'D' indicating that the
bond has incurred a principal write-down. The bonds being
downgraded to 'D' as part of this review were all previously rated
'CC' or 'C' indicating that a default was expected. The action is
limited to just the bonds with write-downs. The remaining bonds
in these transactions have not been analyzed as part of this
review.
Of the 254 transactions impacted by these downgrades 85 are Alt-A,
80 are Prime, and 77 are SubPrime. The remaining 12 bonds are in
other transaction types. Ninety-six percent were previously rated
'C'.
Fitch downgrades bonds to 'D' as part of the ongoing surveillance
process and will continue to monitor these transactions for
additional defaults.
The spreadsheet also details Fitch's assignment of Recovery
Ratings to the transactions. 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.
* S&P Downgrades Ratings on 17 Classes From Three RMBS Deals
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 17
classes from three U.S. residential mortgage-backed securities
transactions backed primarily by scratch-and-dent mortgage loan
collateral issued in 2001 through 2007. Additionally, S&P
affirmed its ratings on 28 classes from two of the downgraded
transactions and two additional transactions.
The "scratch-and-dent" collateral backing these transactions
originally consisted predominantly of reperforming, nonperforming,
outside-the-guidelines, and document-deficient first-lien, fixed-
and adjustable-rate residential mortgage loans secured by one- to
four-family properties.
The downgrades and affirmations incorporate S&P's current and
projected losses, which S&P based on the dollar amounts of loans
currently in the transactions' delinquency, foreclosure, and real
estate owned pipelines, as well as its projection of future
defaults. S&P also incorporated cumulative losses to date in its
analysis when assessing rating outcomes.
S&P derived its loss assumptions using its criteria listed in the
"Related Research" section below. As part of its analysis, S&P
considered the characteristics of the underlying mortgage
collateral, as well as macroeconomic influences. For example, the
risk profile of the underlying mortgage pools influences S&P's
default projections, while its outlook for housing-price declines
and the health of the housing market influence its loss severity
assumptions. Furthermore, S&P adjusted its loss expectations for
each deal based on upward trends in delinquencies.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. In order to
maintain a 'B' rating 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 S&P's analysis. In order to maintain a rating higher than 'B',
S&P assessed whether the class could withstand losses exceeding
the base-case loss assumptions at a percentage specific to each
rating category, up to 150% for an 'AAA' rating. For example, in
general, S&P would assess whether one class could withstand
approximately 110% of its base-case loss assumptions to maintain a
'BB' rating, while S&P would assess whether a different class
could withstand approximately 120% of 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 its base-case loss assumptions under its analysis.
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is not sufficient
to cover losses at the previous rating levels, given its current
projected losses, due to increased delinquencies. The
affirmations reflect S&P's belief that there is sufficient credit
enhancement to support the ratings at their current levels.
Certain senior classes also benefit from senior-support classes
that would provide support to a certain extent before any
applicable losses could affect the super-senior certificates. The
subordination of classes within each structure provides credit
support for the affected transactions.
For transactions backed by nonperforming loans, S&P calculated its
projected defaults by evaluating the current pipeline of
delinquent loans. S&P incorporated the available liquidation data
to arrive at its opinion of the potential loss severity and the
extent of defaults. S&P used this information in conjunction with
its rating-specific assumptions to project cash flows and assess
whether the outstanding ratings on the classes were appropriate,
in S&P's view. Based on S&P's view of the timing and amount of
cash flow available for a security, S&P adjusted its ratings
accordingly.
S&P monitors these transactions to incorporate updated losses and
delinquency-pipeline performance to assess whether, in its view,
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P deem
appropriate.
Rating Actions
EMC Mortgage Loan Trust 2004-C
Series 2004-C
Rating
------
Class CUSIP To From
----- ----- -- ----
A 268668EB2 BB AAA
M-1 268668ED8 CCC AA
M-2 268668EE6 CC A
B 268668EF3 CC BB
Morgan Stanley ABS Capital I Inc. Trust 2007-SEA1
Series 2007-SEA1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-2 61757MAB4 B AAA
1-A-3 61757MBC1 B AAA
A-1 61757MBD9 B AAA
M-1 61757MAT5 CCC AA+
M-2 61757MAU2 CCC AA
M-3 61757MAV0 CCC AA-
M-4 61757MAW8 CCC A+
M-5 61757MAX6 CC A
M-6 61757MAY4 CC A-
B-1 61757MAZ1 CC BBB+
B-2 61757MBA5 CC BBB
B-3 61757MBB3 CC BBB-
Structured Asset Securities Corp.
Series 2001-SB1
Rating
------
Class CUSIP To From
----- ----- -- ----
B3 86358REC7 CCC BBB
Ratings Affirmed
CSFB Trust 2004-CF2
Series 2004-CF2
Class CUSIP Rating
----- ----- ------
I-A-2 22541SD47 AAA
I-M-1 22541SD54 AA+
I-M-2 22541SD62 A+
I-B 22541SD70 BBB+
GSMPS Mortgage Loan Trust 2004-4
Series 2004-4
Class CUSIP Rating
----- ----- ------
1AF 36242DJQ7 AAA
1AS 36242DJR5 AAA
1A2 36242DJS3 AAA
1A3 36242DJT1 AAA
1A4 36242DJU8 AAA
AX 36242DJV6 AAA
2A1 36242DJW4 AAA
Morgan Stanley ABS Capital I Inc. Trust 2007-SEA1
Series 2007-SEA1
Class CUSIP Rating
----- ----- ------
1-A-1 61757MAA6 AAA
2-A-1 61757MAC2 AAA
2-A-2 61757MAD0 AAA
2-A-3 61757MAE8 AAA
2-A-4 61757MAF5 AAA
2-A-5 61757MAG3 AAA
2-A-6 61757MAH1 AAA
2-A-7 61757MAJ7 AAA
2-A-8 61757MAK4 AAA
2-A-9 61757MAL2 AAA
Structured Asset Securities Corp.
Series 2001-SB1
Class CUSIP Rating
----- ----- ------
A2 86358RDU8 AAA
A4 86358RDW4 AAA
A5 86358RDX2 AAA
AIO 86358RDY0 AAA
APO 86358RDZ7 AAA
B1 86358REA1 AA
B2 86358REB9 A
* S&P Downgrades Ratings on 26 Tranches From Five CLO Deals
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 26
tranches from five U.S. collateralized loan obligation
transactions and removed them from CreditWatch with negative
implications. The affected tranches have a total issuance amount
of $1.664 billion. At the same time, S&P affirmed its ratings on
five tranches from three transactions and removed them from
CreditWatch negative.
The downgrades reflect two primary factors:
* The application of S&P's updated corporate collateralized debt
obligation criteria; and
* Deterioration in the credit quality of certain CLO tranches due
to increased exposure to obligors that have either defaulted or
experienced downgrades into the 'CCC' range.
The downgrades of seven classes from the five transactions
resulted from S&P's application of the largest-obligor default
test, which is one of the supplemental stress tests S&P introduced
as part of its criteria update.
The affirmations reflect S&P's view that the tranches have
adequate credit support to maintain the current ratings according
to S&P's updated criteria.
S&P's analysis incorporated the asset recovery assumptions in its
new CDO criteria. To provide additional transparency into the
assumptions used in the analysis, S&P are providing the tiered
recovery rate assumed for the cash flows generated for the 'AAA'
liability rating for each transaction.
Tiered Recovery Rate For 'AAA' Liability Rating
Transaction Recovery rate (%)
----------- -----------------
Bacchus (U.S.) 2006-1 Ltd. 46.9
Del Mar CLO I Ltd. 46.7
Grayston CLO II 2004-1 Ltd. 46.3
Symphony CLO II Ltd. 41.1
Trimaran CLO IV Ltd. 42.3
S&P will continue to review the remaining transactions with
ratings 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
----------- ----- -- ----
Bacchus (U.S.) 2006-1 Ltd. A AA+ AAA/Watch Neg
Bacchus (U.S.) 2006-1 Ltd. C BBB A/Watch Neg
Bacchus (U.S.) 2006-1 Ltd. D CCC- BBB/Watch Neg
Bacchus (U.S.) 2006-1 Ltd. E CCC- BB/Watch Neg
Del Mar CLO I Ltd. A-1 AA+ AAA/Watch Neg
Del Mar CLO I Ltd. A-2 AA+ AAA/Watch Neg
Del Mar CLO I Ltd. A-3 AA+ AAA/Watch Neg
Del Mar CLO I Ltd. B AA- AA/Watch Neg
Del Mar CLO I Ltd. E CCC- B/Watch Neg
Grayston CLO II 2004-1 Ltd. A-1L AA+ AAA/Watch Neg
Grayston CLO II 2004-1 Ltd. A-2L A+ AA/Watch Neg
Grayston CLO II 2004-1 Ltd. A-3L BBB A/Watch Neg
Grayston CLO II 2004-1 Ltd. B-1LA CCC+ BB+/Watch Neg
Grayston CLO II 2004-1 Ltd. B-1LB CCC- BB/Watch Neg
Symphony CLO II Ltd. A-1 AA AAA/Watch Neg
Symphony CLO II Ltd. A-2a AA+ AAA/Watch Neg
Symphony CLO II Ltd. A-2b AA AAA/Watch Neg
Symphony CLO II Ltd. A-3 A AA/Watch Neg
Symphony CLO II Ltd. B BBB A/Watch Neg
Symphony CLO II Ltd. C BB BBB/Watch Neg
Symphony CLO II Ltd. D CCC+ BB/Watch Neg
Trimaran CLO IV Ltd. A-1L AA+ AAA/Watch Neg
Trimaran CLO IV Ltd. A-2L A+ AA/Watch Neg
Trimaran CLO IV Ltd. A-3L A- A/Watch Neg
Trimaran CLO IV Ltd. B-1L BB+ BBB-/Watch Neg
Trimaran CLO IV Ltd. B-2L CCC+ BB-/Watch Neg
Ratings Affirmed And Removed From Creditwatch Negative
Rating
------
Transaction Class To From
----------- ----- -- ----
Bacchus (U.S.) 2006-1 Ltd. B AA AA/Watch Neg
Bacchus (U.S.) 2006-1 Ltd. X AAA AAA/Watch Neg
Del Mar CLO I Ltd. C A- A-/Watch Neg
Del Mar CLO I Ltd. D BB+ BB+/Watch Neg
Trimaran CLO IV Ltd. X AAA AAA/Watch Neg
* S&P Downgrades Ratings on 34 Tranches From 14 Hybrid CDO Deals
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 34
tranches from 14 U.S. cash flow and hybrid collateralized debt
obligation transactions. At the same time, S&P removed 13 of the
lowered ratings from CreditWatch with negative implications.
Additionally, S&P placed 10 of the lowered ratings on CreditWatch
negative. S&P's ratings on 11 downgraded tranches remain on
CreditWatch negative, indicating a significant likelihood of
further downgrades. S&P also left the rating on one additional
tranche on CreditWatch with negative implications and affirmed its
ratings on 21 other tranches.
The CDO downgrades reflect a number of factors, including credit
deterioration and S&P's negative rating actions on underlying U.S.
subprime residential mortgage-backed securities. S&P's
CreditWatch placements primarily affect transactions for which a
significant portion of the collateral assets currently have
ratings on CreditWatch with negative implications or that have
significant exposure to assets rated in the 'CCC' category.
The 34 downgraded U.S. cash flow and hybrid tranches have a total
issuance amount of $4.213 billion. Eleven of the 14 affected
transactions are mezzanine structured finance CDOs of asset-backed
securities, which are collateralized in large part by mezzanine
tranches of RMBS and other SF securities. One transaction is a
high-grade SF CDO of ABS that was collateralized at origination
primarily by 'AAA' through 'A' rated tranches of RMBS and other SF
securities. One transaction is a CDO of CDOs that was
collateralized at origination primarily by notes from other CDOs,
as well as by tranches from RMBS and other SF transactions. The
other transaction is a retranching of other CDO tranches.
The affirmations reflect current credit support levels, which S&P
believes are sufficient to maintain the current ratings.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
ACA ABS 2004-1 Ltd. A-1 AA/Watch Neg AAA
ACA ABS 2004-1 Ltd. A-2 BBB/Watch Neg AAA
ACA ABS 2004-1 Ltd. B CCC+/Watch Neg AA/Watch Neg
ACA ABS 2004-1 Ltd. C-1 CC BB-/Watch Neg
ACA ABS 2004-1 Ltd. C-2 CC BB-/Watch Neg
Alexander Park CDO I Ltd. A-1 B/Watch Neg AA/Watch Neg
Alexander Park CDO I Ltd. A-2 CC CCC+/Watch Neg
Aspen Funding I Ltd. A-1L A/Watch Neg AAA/Watch Neg
Aspen Funding I Ltd. A-2L BB/Watch Neg BBB-/Watch Neg
Aspen Funding I Ltd. A-3L CCC-/Watch Neg CCC+/Watch Neg
Aspen Funding I Ltd. B-1 CCC-/Watch Neg CCC-/Watch Neg
C-Bass CBO VIII Ltd. A-1 AA/Watch Neg AAA
C-Bass CBO VIII Ltd A-2 A-/Watch Neg AAA
C-Bass CBO VIII Ltd. B BB-/Watch neg AAA
C-Bass CBO VIII Ltd. C CCC-/Watch Neg AA
C-Bass CBO VIII Ltd. D-1 CC BBB/Watch Neg
C-Bass CBO VIII Ltd. D-2 CC BBB/Watch Neg
Class V Funding Ltd. A1 CCC/Watch Neg BB/Watch Neg
Commodore CDO I Ltd. A BBB/Watch Neg AA
Commodore CDO I Ltd. B CCC- B-/Watch Neg
Lakeside CDO I Ltd. A-1 CCC- BBB+/Watch Neg
MKP CBO IV Ltd. A-1 BB+/Watch Neg AAA/Watch Neg
Restructured Asset Notes CCC-/Watch Neg B/Watch Neg
Certs with Enhanced
Returns Series 2004-13-E
Trust
Saybrook Point CBO II A CCC-/Watch Neg A-/Watch Neg
Saybrook Point CBO II B-1 CC B+/Watch Neg
Saybrook Point CBO II B-2 CC B+/Watch Neg
SFA CABS II CDO Ltd. A A/Watch Neg AAA
South Coast Funding VII A-1ANV CC BB/Watch Neg
Ltd.
South Coast Funding VII A-1AV CC BB/Watch Neg
Ltd.
South Coast Funding VII A-1B CC BB/Watch Neg
Ltd.
TIAA Structured Finance A-1 BBB-/Watch Neg AAA
CDO II
TIAA Structured Finance A-2 CCC-/Watch Neg BB-/Watch Neg
CDO II
Vermeer Funding Ltd. A-1 A+/Watch Neg AAA
Vermeer Funding Ltd. A-2 BB/Watch Neg AA/Watch Neg
Vermeer Funding Ltd. B CC BB/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Alexander Park CDO I Ltd. B CC
Alexander Park CDO I Ltd. C CC
Alexander Park CDO I Ltd. D-1 CC
Alexander Park CDO I Ltd. D-2 CC
Aspen Funding I Ltd. Pfd Shs CC
Class V Funding Ltd. C CC
Class V Funding Ltd. D1 CC
Class V Funding Ltd. D2 CC
Commodore CDO I Ltd. C CC
MKP CBO IV Ltd. C CC
Saybrook Point CBO II Ltd. C-1 CC
Saybrook Point CBO II Ltd. C-2 CC
South Coast Funding VII Ltd. C CC
South Coast Funding VII Ltd. D-1A CC
South Coast Funding VII Ltd. D-1B CC
South Coast Funding VII Ltd. D-2 CC
South Coast Funding VII Ltd. PrefShs CC
TIAA Structured Finance CDO II B CC
TIAA Structured Finance CDO II C-1 CC
TIAA Structured Finance CDO II C-2 CC
Vermeer Funding Ltd. C CC
Other Outstanding Ratings
Transaction Class Rating
----------- ----- ------
Class V Funding Ltd. A2 D
Class V Funding Ltd. B D
MKP CBO IV Ltd. A-2 D
MKP CBO IV Ltd. B D
South Coast Funding VII Ltd. A-2 D
South Coast Funding VII Ltd. B D
* S&P Downgrades Ratings on 39 Tranches From 13 Hybrid CDOs
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 39
tranches from 13 U.S. cash flow and hybrid collateralized debt
obligation transactions. At the same time, S&P removed 19 of the
lowered ratings from CreditWatch with negative implications.
Additionally, S&P placed three of the lowered ratings on
CreditWatch negative. S&P's ratings on 13 downgraded tranches
remain on CreditWatch negative, indicating a significant
likelihood of further downgrades. S&P also affirmed its ratings
on 33 other tranches.
The CDO downgrades reflect a number of factors, including credit
deterioration and S&P's negative rating actions on underlying U.S.
subprime residential mortgage-backed securities (RMBS). S&P's
CreditWatch placements primarily affect transactions for which a
significant portion of the collateral assets currently have
ratings on CreditWatch with negative implications or that have
significant exposure to assets rated in the 'CCC' category.
The 39 downgraded U.S. cash flow and hybrid tranches have a total
issuance amount of $6.842 billion. Nine of the 13 affected
transactions are mezzanine structured finance CDOs of asset-backed
securities, which are collateralized in large part by mezzanine
tranches of RMBS and other SF securities. The other four
transactions are high-grade SF CDOs of ABS that were
collateralized at origination primarily by 'AAA' through 'A' rated
tranches of RMBS and other SF securities.
The affirmations reflect current credit support levels, which S&P
believes are sufficient to maintain the current ratings.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
Ayresome CDO I, Ltd. A-1a B-/Watch Neg AA-/Watch Neg
Ayresome CDO I, Ltd. A-1b CC BB-/Watch Neg
Crystal River CDO 2005-1, Ltd A CCC+/Watch Neg A+/Watch Neg
Crystal River CDO 2005-1, Ltd B CCC/Watch Neg BBB-/Watch Neg
Crystal River CDO 2005-1, Ltd C CCC-/Watch Neg BB/Watch Neg
Eastman Hill Funding I, Ltd A-1-FL B BBB-
Eastman Hill Funding I, Ltd A-1-FX B BBB-
Eastman Hill Funding I, Ltd A-2 B AAA
G Street Finance Ltd A-1LT-a CCC- BBB/Watch Neg
G Street Finance Ltd A-1LT-b CCC- BBB/Watch Neg
G Street Finance Ltd A-2 CC BB+/Watch Neg
G Street Finance Ltd B CC B/Watch Neg
Glacier Funding CDO I, Ltd. A-1 A+/Watch Neg AAA
Glacier Funding CDO I, Ltd. A-2 B/Watch Neg A/Watch Neg
Glacier Funding CDO I, Ltd. B CC CCC/Watch Neg
Kent Funding II Ltd X BBB-/Watch Neg AA/Watch Neg
Laguna ABS CDO Ltd A1J CC BBB-/Watch Neg
Laguna ABS CDO Ltd A1SB-1 CCC- A/Watch Neg
Laguna ABS CDO Ltd A1SB-2 CCC- A/Watch Neg
Laguna ABS CDO Ltd A1ST CCC- A/Watch Neg
Laguna ABS CDO Ltd A2 CC B-/Watch Neg
Laguna ABS CDO Ltd A3 CC CCC-/Watch Neg
Lakeside CDO II Ltd A-1 BB+/Watch Neg AA/Watch Neg
Millerton ABS CDO Ltd A-1 B-/Watch Neg A+/Watch Neg
Millerton ABS CDO Ltd A-2 CC B-/Watch Neg
Palisades CDO Ltd. A-1A BB/Watch Neg AA/Watch Neg
Palisades CDO Ltd. A-1B BB/Watch Neg AA/Watch Neg
Palisades CDO Ltd. A-2 CCC-/Watch Neg BBB-/Watch Neg
Sandstone CDO Ltd. B A/Watch Neg AAA
Sandstone CDO Ltd. C BB/Watch Neg AA+
Sandstone CDO Ltd. D CC BB-
Saturn Ventures 2004 - Fund A-1 BB/Watch Neg A+/Watch Neg
America Investors III, Limited
Saturn Ventures 2004 - Fund A-2 CC BB+/Watch Neg
America Investors III, Limited
Saturn Ventures 2004 - Fund A-3 CC B+/Watch Neg
America Investors III, Limited
Saturn Ventures 2004 - Fund B CC CCC/Watch Neg
America Investors III, Limited
Saturn Ventures 2004 - Fund C CC CCC-/Watch Neg
America Investors III, Limited
Synthetic Residential Asset B CCC-/Watch Neg BBB/Watch Neg
Hybrid CDO 2004-10, Ltd.
Synthetic Residential Asset C CC B-/Watch Neg
Hybrid CDO 2004-10, Ltd.
Synthetic Residential Asset D D CCC-/Watch Neg
Hybrid CDO 2004-10, Ltd.
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Ayresome CDO I, Ltd. A-2 CC
Ayresome CDO I, Ltd. A-3 CC
Ayresome CDO I, Ltd. C CC
Ayresome CDO I, Ltd. Combo Secs CC
Ayresome CDO I, Ltd. D CC
Crystal River CDO 2005-1, Ltd. E CC
Crystal River CDO 2005-1, Ltd. F CC
Crystal River CDO 2005-1, Ltd. G CC
Crystal River CDO 2005-1, Ltd. H CC
G Street Finance Ltd C CC
G Street Finance Ltd D CC
G Street Finance Ltd E CC
Glacier Funding CDO I, Ltd. C CC
Glacier Funding CDO I, Ltd. Pref Shrs CC
Kent Funding II Ltd A-1A CC
Kent Funding II Ltd A-1B CC
Kent Funding II Ltd A-2 CC
Kent Funding II Ltd B CC
Kent Funding II Ltd C CC
Kent Funding II Ltd D CC
Kent Funding II Ltd E CC
Laguna ABS CDO Ltd Class 1 Co CC
Laguna ABS CDO Ltd Class II C AAA
Laguna ABS CDO Ltd Pref Share CC
Lakeside CDO II Ltd B CC
Lakeside CDO II Ltd C CC
Millerton ABS CDO Ltd B CC
Millerton ABS CDO Ltd C CC
Palisades CDO Ltd. B-1 CC
Palisades CDO Ltd. B-2 CC
Palisades CDO Ltd. C-1 CC
Palisades CDO Ltd. C-2 CC
Palisades CDO Ltd. Type II CC
Other Outstanding Ratings
Transaction Class Rating
----------- ----- ------
Ayresome CDO I, Ltd. B D
Crystal River CDO 2005-1, Ltd. D-1 D
Crystal River CDO 2005-1, Ltd. D-2 D
* S&P Downgrades Ratings on 52 Tranches From 14 CLO Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 52
tranches from 14 U.S. collateralized loan obligation transactions
and removed them from CreditWatch with negative implications. The
affected tranches have a total issuance amount of $4.213 billion.
At the same time, S&P affirmed its ratings on 22 tranches from
eight transactions and removed them from CreditWatch negative.
The downgrades reflect two primary factors:
* The application of S&P's updated corporate collateralized debt
obligation criteria; and
* Deterioration in the credit quality of certain CLO tranches due
to increased exposure to obligors that have either defaulted or
experienced downgrades into the 'CCC' range.
The downgrades of five classes from four transactions resulted
from S&P's application of the largest-obligor default test, which
is one of the supplemental stress tests S&P introduced as part of
S&P's criteria update.
The affirmations reflect S&P's view that the tranches have
adequate credit support to maintain the current ratings according
to its updated criteria.
S&P's analysis incorporated the asset recovery assumptions in its
new CDO criteria. To provide additional transparency into the
assumptions used in the analysis, S&P is providing the tiered
recovery rate assumed for the cash flows generated for the 'AAA'
liability rating for each transaction (see table).
Tiered Recovery Rate For 'AAA' Liability Rating
Transaction Recovery rate (%)
----------- -----------------
Canaras Summit CLO Ltd 41.2
Greywolf CLO I Ltd 45.6
GSC Capital Corp Loan Funding 2005-1 45.2
Halcyon Structured Asset Management CLO I 43.3
LCM III Ltd 48.5
Lime Street CLO, Ltd. 43.3
Navigare Funding II CLO Ltd. 46.0
Sargas CLO I Ltd 45.2
Stedman Loan Fund II Ltd. 47.3
Tribeca Park CLO Ltd. 43.5
Trimaran CLO VI Ltd 41.9
Vitesse CLO, Ltd. 48.7
Waveland-Ingots, Ltd. 50.2
Westwood CDO II, Ltd. 43.2
S&P will continue to review the remaining transactions with
ratings 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
----------- ----- -- ----
Canaras Summit CLO Ltd A-1 A+ AAA/Watch Neg
Canaras Summit CLO Ltd A-2 A+ AAA/Watch Neg
Canaras Summit CLO Ltd B A- AA/Watch Neg
Canaras Summit CLO Ltd C BBB- A/Watch Neg
Canaras Summit CLO Ltd D BB BB+/Watch Neg
Canaras Summit CLO Ltd E CCC+ B-/Watch Neg
Greywolf CLO I Ltd A AA+ AAA/Watch Neg
Greywolf CLO I Ltd B AA AA/Watch Neg
Greywolf CLO I Ltd C A A/Watch Neg
Greywolf CLO I Ltd D BBB BBB/Watch Neg
Greywolf CLO I Ltd E BB BB/Watch Neg
Greywolf CLO I Ltd S AAA AAA/Watch Neg
GSC Capital Corp Loan Funding A-1 AAA AAA/Watch Neg
2005-1
GSC Capital Corp Loan Funding A-2 AAA AAA/Watch Neg
2005-1
GSC Capital Corp Loan Funding B AA+ AAA/Watch Neg
2005-1
GSC Capital Corp Loan Funding C AA AA/Watch Neg
2005-1
GSC Capital Corp Loan Funding D A A/Watch Neg
2005-1
GSC Capital Corp Loan Funding E BB+ BBB/Watch Neg
2005-1
GSC Capital Corp Loan Funding F CCC- BB/Watch Neg
2005-1
Halcyon Structured Asset A-1 AA+ AAA/Watch Neg
Management CLO I Ltd.
Halcyon Structured Asset A-2 AA+ AAA/Watch Neg
Management CLO I Ltd.
Halcyon Structured Asset B AA AA/Watch Neg
Management CLO I Ltd.
Halcyon Structured Asset C A- A/Watch Neg
Management CLO I Ltd.
Halcyon Structured Asset D BBB- BBB/Watch Neg
Management CLO I Ltd.
LCM III Ltd A AA+ AAA/Watch Neg
LCM III Ltd B A A/Watch Neg
LCM III Ltd C BBB BBB/Watch Neg
LCM III Ltd D BB BB/Watch Neg
Lime Street CLO, Ltd. A AA AAA/Watch Neg
Lime Street CLO, Ltd. B A+ AA/Watch Neg
Lime Street CLO, Ltd. C BBB+ A-/Watch Neg
Lime Street CLO, Ltd. D BB+ BB+/Watch Neg
Lime Street CLO, Ltd. E B- B-/Watch Neg
Navigare Funding II CLO Ltd. A AA+ AAA/Watch Neg
Navigare Funding II CLO Ltd. B AA- AA/Watch Neg
Navigare Funding II CLO Ltd. C A- A/Watch Neg
Navigare Funding II CLO Ltd. D BB+ BBB/Watch Neg
Navigare Funding II CLO Ltd. E B+ BB/Watch Neg
Sargas CLO I Ltd A-1 AA+ AAA/Watch Neg
Sargas CLO I Ltd A-2A AA AA/Watch Neg
Sargas CLO I Ltd A-2B AA AA/Watch Neg
Sargas CLO I Ltd B A- A/Watch Neg
Sargas CLO I Ltd C BBB- BBB/Watch Neg
Sargas CLO I Ltd D BB BB/Watch Neg
Stedman Loan Fund II Ltd. A-1 AA+ AAA/Watch Neg
Stedman Loan Fund II Ltd. A-2 A+ AA/Watch Neg
Stedman Loan Fund II Ltd. B BBB A/Watch Neg
Tribeca Park CLO Ltd. A-1 AA+ AAA/Watch Neg
Tribeca Park CLO Ltd. A-2 AA- AA/Watch Neg
Tribeca Park CLO Ltd. B A- A/Watch Neg
Tribeca Park CLO Ltd. C BBB BBB/Watch Neg
Tribeca Park CLO Ltd. D BB BB/Watch Neg
Trimaran CLO VI Ltd A-1L AA+ AAA/Watch Neg
Trimaran CLO VI Ltd A-1LR AA+ AAA/Watch Neg
Trimaran CLO VI Ltd A-2L A+ AA/Watch Neg
Trimaran CLO VI Ltd A-3L BBB+ A/Watch Neg
Trimaran CLO VI Ltd B-1L BB+ BBB/Watch Neg
Trimaran CLO VI Ltd B-2L CCC+ BB/Watch Neg
Vitesse CLO, Ltd. A1L AA+ AAA/Watch Neg
Vitesse CLO, Ltd. A1LR AA+ AAA/Watch Neg
Vitesse CLO, Ltd. A2L AA- AA/Watch Neg
Vitesse CLO, Ltd. A3L BBB+ A/Watch Neg
Vitesse CLO, Ltd. B1L BB+ BBB-/Watch Neg
Vitesse CLO, Ltd. B2L CCC+ BB-/Watch Neg
Waveland-Ingots, Ltd. A-1 AAA AAA/Watch Neg
Waveland-Ingots, Ltd. A-2 AAA AAA/Watch Neg
Waveland-Ingots, Ltd. B-1 BB+ A/Watch Neg
Waveland-Ingots, Ltd. B-2 BB+ A/Watch Neg
Westwood CDO II, Ltd. A-1 AA- AAA/Watch Neg
Westwood CDO II, Ltd. A-2 A- AAA/Watch Neg
Westwood CDO II, Ltd. B BBB+ AA/Watch Neg
Westwood CDO II, Ltd. C B+ A/Watch Neg
Westwood CDO II, Ltd. D CCC- BB/Watch Neg
Westwood CDO II, Ltd. E CCC- B-/Watch Neg
* S&P Downgrades Ratings on 140 Classes From 45 RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 140
classes from 45 residential mortgage-backed securities
transactions backed by U.S. prime jumbo mortgage loan collateral
issued in 2003. S&P also affirmed its ratings on 804 classes from
the downgraded transactions and 16 additional prime jumbo deals.
S&P removed four 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
increased 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 its view, a class could absorb the base-case loss
assumptions S&P used in its analysis. In order to maintain a
rating higher than 'B', S&P assessed whether the class could
withstand losses exceeding S&P's base-case loss assumptions at a
percentage specific to each rating category, up to 235% for an
'AAA' rating. For example, in general, S&P would assess whether
one class could withstand approximately 127% of its base-case loss
assumptions to maintain a 'BB' rating, while S&P would assess
whether a different class could withstand approximately 154% of
S&P's base-case loss assumptions to maintain a 'BBB' rating. Each
class with an affirmed 'AAA' rating can, in S&P's view, withstand
approximately 235% of its 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.
Subordination provides credit support for the affected
transactions. The underlying collateral for these deals consists
of fixed- and adjustable-rate U.S. prime jumbo mortgage loans
secured by first liens on one- to four-family residential
properties.
Rating Actions
ABN AMRO Mortgage Corp.
Series 2003-7
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 000780KZ8 B- BB
B-4 000780LA2 CC B
Banc of America Funding 2003-1 Trust
Series 2003-1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-5 05946XCD3 BB+ A-
Banc of America Mortgage 2003-6 Trust
Series 2003-6
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 05948XPZ8 AAA AAA/Watch Neg
1-B-3 05948XSD4 BB+ BBB
1-B-4 05948XSJ1 CCC BB
1-B-5 05948XSK8 CC B
2-B-2 05948XSF9 A- AA-
2-B-3 05948XSG7 B- BBB+
2-B-4 05948XSM4 CC BB+
2-B-5 05948XSN2 CC B+
Cendant Mortgage Capital LLC
Series 2003-4
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 15132EDT2 BB- BBB
B-4 15132EDU9 CCC BB
B-5 15132EDV7 CC CCC
Chase Mortgage Finance Trust, Series 2003-S5
Series 2003-S5
Rating
------
Class CUSIP To From
----- ----- -- ----
B-4 16162T5X0 B B+
Chase Mortgage Finance Trust Series 2003-S6
Series 2003-S6
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 16162T5Z5 B BB
B-4 16162T6A9 CCC B
Chase Mortgage Finance Trust, Series 2003-S7
Series 2003-S7
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 16162T6X9 B- BB
B-4 16162T6Y7 CC B
Chase Mortgage Finance Trust, Series 2003-S8
Series 2003-S8
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 16162T7J9 B+ BBB
B-3 16162T7K6 CCC BB
B-4 16162T7L4 CC B
First Horizon Mortgage Pass-Through Trust 2003-3
Series 2003-3
Rating
------
Class CUSIP To From
----- ----- -- ----
B-5 32051DWJ7 CCC B
First Horizon Mortgage Pass-Through Trust 2003-5
Series 2003-5
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-2 32051DXV9 CC AAA
B-4 32051DYW6 B BB
B-5 32051DYX4 CCC B
First Horizon Mortgage Pass-Through Trust 2003-6
Series 2003-6
Rating
------
Class CUSIP To From
----- ----- -- ----
B-5 32051DZR6 CCC B
First Horizon Mortgage Pass-Through Trust 2003-7
Series 2003-7
Rating
------
Class CUSIP To From
----- ----- -- ----
B-5 32051DC83 CCC B
First Horizon Mortgage Pass-Through Trust 2003-AR2
Series 2003-AR2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 32051DXQ0 B+ A-
B-4 32051DXR8 CCC BB+
B-5 32051DXS6 CC B
GMACM Mortgage Loan Trust 2003-AR1
Series 2003-AR1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 36185NZF0 B A
M-3 36185NZG8 CC BB
B-1 36185NZH6 CC CCC
B-2 36185NZJ2 D CCC
MASTR Asset Securitization Trust 2003-4
Series 2003-4
Rating
------
Class CUSIP To From
----- ----- -- ----
B-5 55265KWY1 CCC B+
MASTR Asset Securitization Trust 2003-8
Series 2003-8
Rating
------
Class CUSIP To From
----- ----- -- ----
3-A-5 55265KK73 AAA AAA/Watch Neg
B-1 55265KN54 BBB- AA
B-2 55265KN62 B+ A
B-3 55265KN70 CCC BBB
B-4 55265KN88 CC B
B-5 55265KN96 CC CCC
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E
Series 2003-E
Rating
------
Class CUSIP To From
----- ----- -- ----
X-B 589929Y93 AA+ AAA
Prime Mortgage Trust 2003-1
Series 2003-1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-4 74160MAY8 B+ BB
B-5 74160MAZ5 CCC B
RFMSI Series 2003-S10 Trust
Series 2003-S10
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 76111J7U2 B+ BBB
B-1 76111J7V0 CCC BB
B-2 76111J7W8 CC B
RFMSI Series 2003-S12 Trust
Series 2003-S12
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 76111J5R1 CCC BB+
RFMSI Series 2003-S13 Trust
Series 2003-S13
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 76111J5U4 AAA AAA/Watch Neg
M-1 76111J6F6 BBB+ AA
M-2 76111J6G4 B- A
M-3 76111J6H2 CC BBB
B-1 76111J6J8 CC BB
B-2 76111J6K5 CC B
RFMSI Series 2003-S15 Trust
Series 2003-S15
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 76111XAY9 BB- BBB+
B-1 76111XAZ6 CCC BB+
B-2 76111XBA0 CC B
RFMSI Series 2003-S4 Trust
Series 2003-S4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-3 76111JU44 AAA AAA/Watch Neg
M-3 76111JW59 BBB+ AA
B-1 76111JW67 BB- A+
B-2 76111JW75 CC BBB-
RFMSI Series 2003-S5 Trust
Series 2003-S5
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 76111JT61 BB- BBB
B-2 76111JT79 CCC BB
RFMSI Series 2003-S8 Trust
Series 2003-S8
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 76111J2P8 BBB A-
B-1 76111J2Q6 B- BBB-
B-2 76111J2R4 CC BB
RFMSI Series 2003-S9 Trust
Series 2003-S9
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 76111J2E3 BBB AA-
B-2 76111J2F0 B- BBB+
Sequoia Mortgage Trust 2003-2
Series 2003-2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 81743PAR7 A+ AA
Sequoia Mortgage Trust 2003-4
Series 2003-4
Rating
------
Class CUSIP To From
----- ----- -- ----
2-X-M 81743PCB0 AA+ AAA
2-X-B 81743PCC8 AA AAA
1-X-B 81743PBQ8 AA+ AAA
Structured Asset Securities Corp.
Series 2003-10
Rating
------
Class CUSIP To From
----- ----- -- ----
B3 86359AQX4 BB- BBB
B4 86359AQZ9 CCC BB
B5 86359ARA3 CC B
Structured Asset Securities Corp.
Series 2003-14
Rating
------
Class CUSIP To From
----- ----- -- ----
B3 86359AUN1 BB BBB
B4 86359AVF7 CCC BB
B5 86359AVG5 CC B
Structured Asset Securities Corp.
Series 2003-17A
Rating
------
Class CUSIP To From
----- ----- -- ----
B1-I 86359AXT5 CCC B-
B1-I-X 86359AXU2 CCC B-
B2-I 86359AXV0 CC CCC
B2-I-X 86359AXW8 CC CCC
B2-II 86359AXY4 CC CCC
Structured Asset Securities Corp.
Series 2003-20
Rating
------
Class CUSIP To From
----- ----- -- ----
B2 86359AF32 BB+ A
B3 86359AF65 CCC BBB
B4 86359AB36 CC BB
2B4 86359AB69 CCC BB
B5 86359AB44 CC B
2B5 86359AB77 CCC B
Structured Asset Securities Corp.
Series 2003-21
Rating
------
Class CUSIP To From
----- ----- -- ----
1B2 86359AP49 BBB+ A
B3(1) 86359AP72 CCC BBB
1B4 86359AL68 CC BB
1B5 86359AL76 CC B
B3(2) B BBB
2B4 86359AL92 CCC BB
2B5 86359AM26 CC B
Structured Asset Securities Corp.
Series 2003-26A
Rating
------
Class CUSIP To From
----- ----- -- ----
B1-I 86359AU43 CCC AA
B1-I-X 86359AU50 CCC AA
B1-II 86359AU84 B AA
B2-1 86359AU68 CCC BBB
B2-II 86359AU92 CCC BBB
B2-I-X 86359AU76 CCC BBB
B3 86359AV26 CC CCC
B4 86359AV42 CC CCC
Structured Asset Securities Corp.
Series 2003-29
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 86359AV83 BBB AAA
1-AX 86359AV91 BBB AAA
1-AP 86359AW25 BBB AAA
1B1 86359AY31 B+ AA
1B2 86359AY49 CCC A
B1 86359AY56 B+ AA
B2 86359AY64 CCC A
B3 86359AY72 CC BBB
1B4 86359AY98 CC BB
1B5 86359AZ22 CC B-
B4 86359AZ48 CC BB
B5 86359AZ55 CC B
Structured Asset Securities Corporation
Series 2003-8
Rating
------
Class CUSIP To From
----- ----- -- ----
2B4 86359ATE3 CC BB
2B5 86359ATF0 CC CCC
WaMu Mortgage Pass-Through Certificates Series 2003-AR10 Trust
Series 2003-AR10
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 92922FEC8 AA- AA
B-2 92922FED6 B+ A
B-3 92922FEE4 CC BBB
B-4 92922FEG9 CC B
B-5 92922FEH7 CC CCC
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust
Series 2003-AR9
Rating
------
Class CUSIP To From
----- ----- -- ----
I-B-1 92922FBY3 A- A
II-B-2 92922FCC0 BBB+ A
II-B-3 92922FCD8 B- BBB
II-B-4 92922FCJ5 CCC BB
II-B-5 92922FCK2 CC B
WaMu Mortgage Pass-Through Certificates Series 2003-S7 Trust
Series 2003-S7
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 92922FBH0 BB+ BBB
B-4 92922FBL1 CCC BB
B-5 92922FBM9 CC B
Washington Mutual MSC Mortgage Pass-Through Certificates
Series 2003-MS6
Rating
------
Class CUSIP To From
----- ----- -- ----
C-B-4 939336YW7 BB- BBB-
C-B-5 939336YX5 CC B+
Washington Mutual MSC Mortgage Pass-Through Certificates
Series 2003-MS8
Rating
------
Class CUSIP To From
----- ----- -- ----
C-B-5 939336A29 CCC B+
Wells Fargo Mortgage Backed Securities 2003-3 Trust
Series 2003-3
Rating
------
Class CUSIP To From
----- ----- -- ----
I-B-3 949774BG7 BB+ A-
I-B-4 949774BP7 CCC BB+
I-B-5 949774BQ5 CC B-
II-B-4 949774BS1 BBB BBB+
II-B-5 949774BT9 B BB+
Wells Fargo Mortgage Backed Securities 2003-6 Trust
Series 2003-6
Rating
------
Class CUSIP To From
----- ----- -- ----
B-4 949780AM2 BB BB+
B-5 949780AN0 CC B
Wells Fargo Mortgage Backed Securities 2003-F Trust
Series 2003-F
Rating
------
Class CUSIP To From
----- ----- -- ----
B-5 94979QAG7 CCC B
Wells Fargo Mortgage Backed Securities 2003-G Trust
Series 2003-G
Rating
------
Class CUSIP To From
----- ----- -- ----
B-5 94979WAJ8 CCC B
Ratings Affirmed
ABN AMRO Mortgage Corp.
Series 2003-7
Class CUSIP Rating
----- ----- ------
A-1 000780KM7 AAA
A-2 000780KN5 AAA
A-3 000780KP0 AAA
A-4 000780KQ8 AAA
A-5 000780KR6 AAA
A-6 000780KS4 AAA
A-P 000780KT2 AAA
A-X 000780KU9 AAA
M 000780KV7 AA
B-1 000780KW5 A
B-2 000780KX3 BBB
Banc of America Funding 2003-1 Trust
Series 2003-1
Class CUSIP Rating
----- ----- ------
A-1 05946XBV4 AAA
A-WIO 05946XBX0 AAA
A-PO 05946XBY8 AAA
B-1 05946XBZ5 AAA
B-2 05946XCA9 AAA
B-3 05946XCB7 AAA
B-4 05946XCC5 AA
Banc of America Funding 2003-2 Trust
Series 2003-2
Class CUSIP Rating
----- ----- ------
1-A-1 05946XCR2 AAA
1-A-WIO 05946XCU5 AAA
2-A-1 05946XCV3 AAA
2-A-WIO 05946XCW1 AAA
A-PO 05946XCX9 AAA
Banc of America Mortgage 2003-3 Trust
Series 2003-3
Class CUSIP Rating
----- ----- ------
1-A-3 05948XCL3 AAA
1-A-6 05948XCP4 AAA
1-A-7 05948XCQ2 AAA
1-A-8 05948XCR0 AAA
1-A-WIO 05948XDA6 AAA
2-A-1 05948XDB4 AAA
2-A-2 05948XDC2 AAA
2-A-3 05948XDD0 AAA
2-A-4 05948XDE8 AAA
2-A-WIO 05948XDF5 AAA
A-PO 05948XDG3 AAA
1-B-1 05948XDH1 AA+
1-B-2 05948XDJ7 AA-
1-B-3 05948XDK4 A-
1-B-4 05948XDQ1 BBB-
1-B-5 05948XDR9 B+
Banc of America Mortgage 2003-6 Trust
Series 2003-6
Class CUSIP Rating
----- ----- ------
1-A-3 05948XQB0 AAA
1-A-5 05948XQD6 AAA
1-A-6 05948XQE4 AAA
1-A-7 05948XQF1 AAA
1-A-8 05948XQG9 AAA
1-A-9 05948XQH7 AAA
1-A-10 05948XQJ3 AAA
1-A-11 05948XQK0 AAA
1-A-12 05948XQL8 AAA
1-A-13 05948XQM6 AAA
1-A-14 05948XQN4 AAA
1-A-15 05948XQP9 AAA
1-A-16 05948XQQ7 AAA
1-A-17 05948XQR5 AAA
1-A-18 05948XQS3 AAA
1-A-19 05948XQT1 AAA
1-A-20 05948XQU8 AAA
1-A-21 05948XQV6 AAA
1-A-22 05948XQW4 AAA
1-A-23 05948XQX2 AAA
1-A-24 05948XQY0 AAA
1-A-25 05948XQZ7 AAA
1-A-26 05948XRA1 AAA
1-A-27 05948XRB9 AAA
1-A-30 05948XRE3 AAA
1-A-31 05948XRF0 AAA
1-A-32 05948XRG8 AAA
1-A-33 05948XRH6 AAA
1-A-34 05948XRJ2 AAA
1-A-35 05948XRK9 AAA
1-A-36 05948XRL7 AAA
1-A-37 05948XRM5 AAA
1-A-38 05948XRN3 AAA
1-A-39 05948XRP8 AAA
1-A-40 05948XRQ6 AAA
1-A-41 05948XRR4 AAA
A-PO 05948XSA0 AAA
1-A-WIO 05948XRU7 AAA
2-A-1 05948XRV5 AAA
2-A-2 05948XRW3 AAA
2-A-3 05948XRX1 AAA
2-A-4 05948XRY9 AAA
2-A-WIO 05948XRZ6 AAA
1-B-1 05948XSB8 AA
1-B-2 05948XSC6 A
2-B-1 05948XSE2 AA+
Cendant Mortgage Capital LLC
Series 2003-4
Class CUSIP Rating
----- ----- ------
I-A-1 15132ECZ9 AAA
I-A-2 15132EDA3 AAA
I-A-3 15132EDB1 AAA
I-A-4 15132EDC9 AAA
I-A-5 15132EDD7 AAA
II-A-1 15132EDE5 AAA
II-A-2 15132EDF2 AAA
II-A-3 15132EDG0 AAA
II-A-4 15132EDH8 AAA
I-P 15132EDJ4 AAA
I-X 15132EDK1 AAA
II-P 15132EDL9 AAA
II-X 15132EDM7 AAA
B-1 15132EDR6 AA
B-2 15132EDS4 A
Chase Mortgage Finance Trust, Series 2003-S5
Series 2003-S5
Class CUSIP Rating
----- ----- ------
A-1 16162T5G7 AAA
A-2 16162T5H5 AAA
A-3 16162T5J1 AAA
A-4 16162T5K8 AAA
A-5 16162T5L6 AAA
A-6 16162T5M4 AAA
A-7 16162T5N2 AAA
A-8 16162T5P7 AAA
A-9 16162T5Q5 AAA
A-X 16162T5R3 AAA
A-P 16162T5S1 AAA
B-1 16162T5U6 AA-
B-2 16162T5V4 BBB
B-3 16162T5W2 BB
Chase Mortgage Finance Trust Series 2003-S6
Series 2003-S6
Class CUSIP Rating
----- ----- ------
A-1 16162T6C5 AAA
A-2 16162T6D3 AAA
A-3 16162T6E1 AAA
A-X 16162T6F8 AAA
A-P 16162T6G6 AAA
M 16162T6J0 AA
B-1 16162T6K7 A
B-2 16162T6L5 BBB
Chase Mortgage Finance Trust, Series 2003-S7
Series 2003-S7
Class CUSIP Rating
----- ----- ------
A-1 16162T6M3 AAA
A-2 16162T6N1 AAA
A-3 16162T6P6 AAA
A-4 16162T6Q4 AAA
A-X 16162T6R2 AAA
A-P 16162T6S0 AAA
M 16162T6U5 AA
B-1 16162T6V3 A
B-2 16162T6W1 BBB
Chase Mortgage Finance Trust, Series 2003-S8
Series 2003-S8
Class CUSIP Rating
----- ----- ------
A-1 16162T7A8 AAA
A-2 16162T7B6 AAA
A-3 16162T7C4 AAA
A-X 16162T7D2 AAA
A-P 16162T7E0 AAA
M 16162T7G5 AA
B-1 16162T7H3 A
CHL Mortgage Pass-Through Trust 2003-14
Series 2003-14
Class CUSIP Rating
----- ----- ------
A-1 12669EER3 AAA
A-3 12669EET9 AAA
A-4 12669EEU6 AAA
A-5 12669EEV4 AAA
A-6 12669EEW2 AAA
A-7 12669EEX0 AAA
A-8 12669EEY8 AAA
A-9 12669EEZ5 AAA
A-10 12669EFA9 AAA
A-11 12669EFB7 AAA
A-12 12669EFC5 AAA
A-13 12669EFD3 AAA
A-14 12669EFE1 AAA
A-15 12669EFF8 AAA
A-16 12669EFG6 AAA
A-17 12669EFH4 AAA
A-18 12669EFJ0 AAA
A-22 12669EFN1 AAA
A-23 12669EFP6 AAA
A-24 12669EFQ4 AAA
PO 12669EFS0 AAA
CHL Mortgage Pass-Through Trust 2003-26
Series 2003-26
Class CUSIP Rating
----- ----- ------
1-A-1 12669ERD0 AAA
1-A-2 12669ERE8 AAA
1-A-3 12669ERF5 AAA
1-A-4 12669ERG3 AAA
1-A-6 12669ERJ7 AAA
2-A-1 12669ERK4 AAA
2-A-2 12669ERL2 AAA
2-A-3 12669ERM0 AAA
2-A-4 12669EUM6 AAA
PO 12669ERN8 AAA
CHL Mortgage Pass-Through Trust 2003-J3
Series 2003-J3
Class CUSIP Rating
----- ----- ------
1-A-1 12669D5Y0 AAA
1-A-2 12669D5Z7 AAA
1-A-3 12669D6A1 AAA
1-A-8 12669D6F0 AAA
1-A-9 12669D6G8 AAA
1-A-10 12669D6H6 AAA
1-X 12669D6J2 AAA
2-A-1 12669D6K9 AAA
2-X 12669D6L7 AAA
PO 12669D6M5 AAA
M 12669D6P8 AA+
B-1 12669D6Q6 AA
B-2 12669D6R4 AA-
B-3 12669EBN5 A
B-4 12669EBP0 BB
Citicorp Mortgage Securities Inc.
Series 2003-8
Class CUSIP Rating
----- ----- ------
A-1 172973RC5 AAA
A-2 172973RD3 AAA
A-3 172973RE1 AAA
A-4 172973RF8 AAA
A-5 172973RG6 AAA
A-6 172973RH4 AAA
A-7 172973RJ0 AAA
A-9 172973RL5 AAA
A-10 172973RM3 AAA
A-11 172973RN1 AAA
A-12 172973RP6 AAA
A-13 172973RQ4 AAA
A-14 172973RR2 AAA
A-15 172973RS0 AAA
A-16 172973RT8 AAA
A-PO 172973RU5 AAA
A-IO 172973RV3 AAA
CSFB Mortgage-Backed Trust Series 2003-11
Series 2003-11
Class CUSIP Rating
----- ----- ------
I-A-4 22541QAP7 AAA
I-A-5 22541QAQ5 AAA
I-A-6 22541QAR3 AAA
I-A-31 22541QBS0 AAA
I-A-32 22541QBT8 AAA
I-A-37 22541QBY7 AAA
I-A-38 22541QBZ4 AAA
I-A-39 22541QCA8 AAA
I-A-40 22541QCB6 AAA
I-X 22541QCC4 AAA
I-P 22541QCD2 AAA
I-B-1 22541QCE0 AAA
I-B-2 22541QCF7 AA-
I-B-3 22541QCG5 A-
I-B-4 22541QCK6 BBB-
I-B-5 22541QCL4 BB-
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust
Series 2003-1
Class CUSIP Rating
----- ----- ------
I-A-7 251563BL5 AAA
I-A-8 251563BM3 AAA
I-A-X 251563BP6 AAA
II-A 251563BQ4 AAA
II-A-X 251563BR2 AAA
M 251563BS0 AAA
B-1 251563BT8 AA+
B-2 251563BU5 AA-
B-3 251563CX8 A
B-4 251563CY6 BB
First Horizon Mortgage Pass-Through Trust 2003-3
Series 2003-3
Class CUSIP Rating
----- ----- ------
I-A-1 32051DVP4 AAA
I-A-2 32051DVQ2 AAA
I-A-4 32051DVS8 AAA
I-A-5 32051DVT6 AAA
I-A-6 32051DVU3 AAA
II-A-1 32051DWD0 AAA
B-1 32051DWE8 AA+
B-2 32051DWF5 A+
B-3 32051DWG3 BBB+
B-4 32051DWH1 BB
First Horizon Mortgage Pass-Through Trust 2003-5
Series 2003-5
Class CUSIP Rating
----- ----- ------
I-A-3 32051DXW7 AAA
I-A-4 32051DXX5 AAA
I-A-5 32051DXY3 AAA
I-A-6 32051DXZ0 AAA
I-A-8 32051DYB2 AAA
I-A-9 32051DYC0 AAA
I-A-10 32051DYD8 AAA
I-A-11 32051DYE6 AAA
I-A-12 32051DYF3 AAA
I-A-13 32051DYG1 AAA
I-A-14 32051DYH9 AAA
I-A-15 32051DYJ5 AAA
I-A-16 32051DYK2 AAA
I-A-17 32051DYL0 AAA
I-A-18 32051DYM8 AAA
I-A-19 32051DYN6 AAA
II-A-1 32051DYQ9 AAA
II-A-2 32051DYR7 AAA
II-A-3 32051DYZ9 AAA
III-A-1 32051DYS5 AAA
B-1 32051DYT3 AA
B-2 32051DYU0 A
B-3 32051DYV8 BBB
First Horizon Mortgage Pass-Through Trust 2003-6
Series 2003-6
Class CUSIP Rating
----- ----- ------
A-1 32051DZA3 AAA
A-2 32051DZB1 AAA
A-3 32051DZC9 AAA
A-4 32051DZD7 AAA
A-5 32051DZE5 AAA
A-6 32051DZF2 AAA
A-7 32051DZG0 AAA
A-8 32051DZH8 AAA
A-9 32051DZJ4 AAA
B-1 32051DZM7 AA
B-2 32051DZN5 A
B-3 32051DZP0 BBB
B-4 32051DZQ8 BB
First Horizon Mortgage Pass-Through Trust 2003-7
Series 2003-7
Class CUSIP Rating
----- ----- ------
I-A-3 32051DZV7 AAA
I-A-4 32051DZW5 AAA
I-A-5 32051DZX3 AAA
I-A-6 32051DZY1 AAA
I-A-7 32051DZZ8 AAA
I-A-8 32051DA28 AAA
I-A-9 32051DA36 AAA
I-A-10 32051DA44 AAA
I-A-11 32051DA51 AAA
I-A-12 32051DA69 AAA
I-A-13 32051DA77 AAA
I-A-14 32051DA85 AAA
I-A-15 32051DA93 AAA
I-A-16 32051DB27 AAA
I-A-17 32051DB35 AAA
I-A-20 32051DB68 AAA
I-A-21 32051DB76 AAA
I-A-22 32051DB84 AAA
II-A-1 32051DC34 AAA
B-1 32051DC42 AA
B-2 32051DC59 A
B-3 32051DC67 BBB
B-4 32051DC75 BB
First Horizon Mortgage Pass-Through Trust 2003-AR2
Series 2003-AR2
Class CUSIP Rating
----- ----- ------
I-A-1 32051DXJ6 AAA
II-A-1 32051DXK3 AAA
III-A-1 32051DXM9 AAA
B-1 32051DXN7 AA+
B-2 32051DXP2 AA-
GMACM Mortgage Loan Trust 2003-AR1
Series 2003-AR1
Class CUSIP Rating
----- ----- ------
A-4 36185NYY0 AAA
A-5 36185NYZ7 AAA
A-6 36185NZA1 AAA
X 36185NZB9 AAA
M-1 36185NZE3 AA
GMACM Mortgage Loan Trust 2003-J3
Series 2003-J3
Class CUSIP Rating
----- ----- ------
A-1 36185NXV7 AAA
A-2 36185NXW5 AAA
PO 36185NXX3 AAA
IO 36185NXY1 AAA
GSR Mortgage Loan Trust 2003-7F
Series 2003-7F
Class CUSIP Rating
----- ----- ------
IA-1 36228FTT3 AAA
IA-2 36228FTU0 AAA
IA-3 36228FTV8 AAA
IA-4 36228FTW6 AAA
IA-5 36228FTX4 AAA
IIA-4 36228FUB0 AAA
IIA-5 36228FUC8 AAA
IIIA-1 36228FUD6 AAA
IIIA-2 36228FUE4 AAA
IIIA-3 36228FUF1 AAA
IVA-1 36228FUJ3 AAA
IVA-2 36228FUK0 AAA
VA-1 36228FUN4 AAA
VA-2 36228FUP9 AAA
VA-3 36228FUQ7 AAA
VA-5 36228FUS3 AAA
VIA-1 36228FUT1 AAA
A-P 36228FUU8 AAA
A-1X 36228FUV6 AAA
A-X3 36228FUW4 AAA
A-X4 36228FUX2 AAA
A-X5 36228FUY0 AAA
A-X6 36228FUZ7 AAA
B1 36228FVA1 AAA
B2 36228FVB9 AA+
B3 36228FVC7 A+
B4 36228FVE3 BBB+
B5 36228FVF0 BB-
MASTR Asset Securitization Trust 2003-4
Series 2003-4
Class CUSIP Rating
----- ----- ------
1-A-1 55265KUX5 AAA
2-A-1 55265KUY3 AAA
2-A-2 55265KUZ0 AAA
2-A-3 55265KVA4 AAA
2-A-4 55265KVB2 AAA
2-A-5 55265KVC0 AAA
2-A-6 55265KVD8 AAA
2-A-7 55265KXD6 AAA
3-A-1 55265KVE6 AAA
3-A-2 55265KVF3 AAA
4-A-1 55265KVG1 AAA
4-A-2 55265KVH9 AAA
4-A-3 55265KVJ5 AAA
5-A-1 55265KVK2 AAA
6-A-1 55265KVL0 AAA
6-A-2 55265KVM8 AAA
6-A-3 55265KVN6 AAA
6-A-5 55265KVQ9 AAA
6-A-6 55265KVR7 AAA
6-A-7 55265KVS5 AAA
6-A-8 55265KVT3 AAA
6-A-9 55265KVU0 AAA
6-A-10 55265KVV8 AAA
6-A-11 55265KVW6 AAA
6-A-16 55265KWB1 AAA
6-A-17 55265KWC9 AAA
7-A-2 55265KWE5 AAA
8-A-1 55265KWF2 AAA
8-A-2 55265KWG0 AAA
8-A-3 55265KWH8 AAA
8-A-4 55265KWJ4 AAA
C-A-1 55265KWK1 AAA
C-A-2 55265KWL9 AAA
PO 55265KWM7 AAA
15-A-X 55265KWN5 AAA
30-A-X 55265KWP0 AAA
B-1 55265KWR6 AA+
B-2 55265KWS4 AA
B-3 55265KWT2 A
6-B-1 55265KWU9 AA+
6-B-2 55265KWV7 AA
6-B-3 55265KWW5 A-
B-4 55265KWX3 BBB
6-B-4 55265KXA2 BBB-
6-B-5 55265KXB0 B
MASTR Asset Securitization Trust 2003-8
Series 2003-8
Class CUSIP Rating
----- ----- ------
1-A-1 55265KJ91 AAA
2-A-1 55265KK24 AAA
3-A-1 55265KK32 AAA
3-A-2 55265KK40 AAA
3-A-3 55265KK57 AAA
3-A-4 55265KK65 AAA
3-A-6 55265KK81 AAA
3-A-7 55265KK99 AAA
3-A-8 55265KL23 AAA
3-A-9 55265KL31 AAA
3-A-11 55265KL56 AAA
3-A-12 55265KL64 AAA
3-A-13 55265KL72 AAA
4-A-1 55265KL80 AAA
4-A-2 55265KL98 AAA
5-A-1 55265KM22 AAA
5-A-2 55265KM30 AAA
6-A-1 55265KM48 AAA
7-A-1 55265KM55 AAA
8-A-1 55265KM63 AAA
15-PO 55265KM71 AAA
30-PO 55265KM89 AAA
PP-A-X 55265KM97 AAA
15-A-X 55265KN21 AAA
30-A-X 55265KN39 AAA
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E
Series 2003-E
Class CUSIP Rating
----- ----- ------
A-1 589929Y36 AAA
A-2 589929Y44 AAA
X-A-2 589929Y85 AAA
B-1 589929Y51 AAA
B-2 589929Z27 AA+
B-3 589929Z35 A+
B-4 589929Z43 A-
B-5 589929Z50 BBB-
Prime Mortgage Trust 2003-1
Series 2003-1
Class CUSIP Rating
----- ----- ------
A-2 74160MAB8 AAA
A-3 74160MAC6 AAA
A-4 74160MAD4 AAA
A-5 74160MAE2 AAA
A-7 74160MAG7 AAA
A-8 74160MAH5 AAA
A-9 74160MAJ1 AAA
A-11 74160MAL6 AAA
A-14 74160MAW2 AAA
A-15 74160MAX0 AAA
B-1 74160MAT9 AA+
B-2 74160MAU6 A+
B-3 74160MAV4 BBB
PO 74160MAP7 AAA
X 74160MAQ5 AAA
Provident Funding Mortgage Loan Trust 2003-1
Series 2003-1
Class CUSIP Rating
----- ----- ------
A 743873AA9 AAA
B-1 743873AB7 AAA
B-2 743873AC5 AA
B-3 743873AD3 A-
B-4 743873AE1 BBB
B-5 743873AF8 BB
RFMSI Series 2003-S10 Trust
Series 2003-S10
Class CUSIP Rating
----- ----- ------
A-1 76111J7F5 AAA
A-2 76111J7G3 AAA
A-3 76111J7H1 AAA
A-4 76111J7J7 AAA
A-5 76111J7K4 AAA
A-6 76111J7L2 AAA
A-P 76111J7N8 AAA
A-V 76111J7P3 AAA
M-1 76111J7S7 AA
M-2 76111J7T5 A
RFMSI Series 2003-S12 Trust
Series 2003-S12
Class CUSIP Rating
----- ----- ------
1-A-1 76111J4H4 AAA
1-A-2 76111J4J0 AAA
2-A-1 76111J4M3 AAA
2-A-2 76111J4N1 AAA
3-A-1 76111J4R2 AAA
3-A-2 76111J4S0 AAA
4-A-5 76111J4Z4 AAA
4-A-6 76111J5A8 AAA
4-A-7 76111J5B6 AAA
4-A-10 76111J5E0 AAA
A-P 76111J5F7 AAA
A-X-1 76111J5G5 AAA
A-X-2 76111J5H3 AAA
M-1 76111J5M2 AAA
M-2 76111J5N0 AAA
M-3 76111J5P5 AA
B-1 76111J5Q3 A
RFMSI Series 2003-S13 Trust
Series 2003-S13
Class CUSIP Rating
----- ----- ------
A-2 76111J5V2 AAA
A-3 76111J5W0 AAA
A-4 76111J5X8 AAA
A-5 76111J5Y6 AAA
A-P 76111J6B5 AAA
A-V 76111J6C3 AAA
RFMSI Series 2003-S15 Trust
Series 2003-S15
Class CUSIP Rating
----- ----- ------
A-1 76111XAS2 AAA
A-P 76111XAT0 AAA
A-V 76111XAU7 AAA
M-1 76111XAW3 AA+
M-2 76111XAX1 AA
RFMSI Series 2003-S4 Trust
Series 2003-S4
Class CUSIP Rating
----- ----- ------
A-2 76111JU36 AAA
A-3A 76111JW91 AAA
A-4 76111JU51 AAA
A-5 76111JU69 AAA
A-6 76111JU77 AAA
A-7 76111JU85 AAA
A-12 76111JV50 AAA
A-P 76111JV76 AAA
A-V 76111JV84 AAA
M-1 76111JW34 AAA
M-2 76111JW42 AA+
RFMSI Series 2003-S5 Trust
Series 2003-S5
Class CUSIP Rating
----- ----- ------
I-A-1 76111JR97 AAA
I-A-2 76111JS21 AAA
I-A-3 76111JS39 AAA
II-A-1 76111JS47 AAA
I-A-P 76111JS54 AAA
I-A-V 76111JS62 AAA
II-A-P 76111JS70 AAA
II-A-V 76111JS88 AAA
M-1 76111JT38 AA+
M-2 76111JT46 AA
M-3 76111JT53 A
RFMSI Series 2003-S7 Trust
Series 2003-S7
Class CUSIP Rating
----- ----- ------
A-1 76111J2T0 AAA
A-2 76111J2U7 AAA
A-3 76111J2V5 AAA
A-4 76111J2W3 AAA
A-5 76111J2X1 AAA
A-6 76111J2Y9 AAA
A-7 76111J2Z6 AAA
A-7A 76111J5T7 AAA
A-9 76111J3B8 AAA
A-10 76111J3C6 AAA
A-11 76111J3D4 AAA
A-12 76111J3E2 AAA
A-14 76111J3G7 AAA
A-15 76111J3H5 AAA
A-16 76111J3J1 AAA
A-17 76111J3K8 AAA
A-18 76111J3L6 AAA
A-20 76111J3N2 AAA
A-21 76111J3P7 AAA
A-22 76111J3Q5 AAA
A-23 76111J3R3 AAA
A-24 76111J3S1 AAA
A-25 76111J3T9 AAA
A-26 76111J3U6 AAA
A-27 76111J3V4 AAA
A-28 76111J3W2 AAA
A-P 76111J3X0 AAA
A-V 76111J3Y8 AAA
M-1 76111J4B7 AA
M-2 76111J4C5 A
M-3 76111J4D3 BBB
B-1 76111J4E1 BB
B-2 76111J4F8 B
RFMSI Series 2003-S8 Trust
Series 2003-S8
Class CUSIP Rating
----- ----- ------
A-1 76111J2H6 AAA
A-P 76111J2J2 AAA
A-V 76111J2K9 AAA
M-1 76111J2M5 AA+
M-2 76111J2N3 AA
RFMSI Series 2003-S9 Trust
Series 2003-S9
Class CUSIP Rating
----- ----- ------
A-1 76111JZ72 AAA
A-P 76111JZ80 AAA
A-V 76111JZ98 AAA
M-1 76111J2B9 AAA
M-2 76111J2C7 AAA
M-3 76111J2D5 AA+
Sequoia Mortgage Trust 2003-2
Series 2003-2
Class CUSIP Rating
----- ----- ------
A-1 81743PAP1 AAA
A-2 81743PAQ9 AAA
Sequoia Mortgage Trust 2003-4
Series 2003-4
Class CUSIP Rating
----- ----- ------
1-A-1 81743PBH8 AAA
1-A-2 81743PBJ4 AAA
1-X-1A 81743PBM7 AAA
1-X-1B 81743PBN5 AAA
1-B-1 81743PBK1 AA+
1-B-2 81743PBR6 AA-
1-B-3 81743PBS4 A-
1-B-4 81743PBT2 BB
1-B-5 81743PBU9 B
2-A-1 81743PBW5 AAA
2-X-1 81743PCA2 AAA
2-M-1 81743PBX3 AA+
2-B-1 81743PBY1 AA
2-B-2 81743PCD6 A+
2-B-3 81743PCE4 BBB+
2-B-4 81743PCF1 BB
2-B-5 81743PCG9 B
1-X-2 81743PBP0 AAA
Structured Asset Mortgage Investments Trust 2003-AR1
Series 2003-AR1
Class CUSIP Rating
----- ----- ------
A-1 86358HRV3 AAA
A-2 86358HRW1 AAA
A-3 86358HRX9 AAA
A-3M 86358HRY7 AAA
A-4 86358HRZ4 AAA
A-5 86358HSA8 AAA
X-1 86358HSB6 AAA
Structured Asset Mortgage Investments Trust 2003-AR2
Series 2003-AR2
Class CUSIP Rating
----- ----- ------
A-1 86358HTY5 AAA
A-2 86358HTZ2 AAA
X 86358HUA5 AAA
Structured Asset Securities Corp.
Series 2003-10
Class CUSIP Rating
----- ----- ------
A 86359AQS5 AAA
AP 86359AQT3 AAA
AX 86359AQU0 AAA
B1 86359AQV8 AA
B2 86359AQW6 A
Structured Asset Securities Corp.
Series 2003-14
Class CUSIP Rating
----- ----- ------
1-A1 86359ATT0 AAA
1-A2 86359ATU7 AAA
1-A3 86359ATV5 AAA
1-A4 86359ATW3 AAA
1-A5 86359ATX1 AAA
1-A6 86359ATY9 AAA
1-A7 86359ATZ6 AAA
1-AX 86359AUA9 AAA
1-PAX 86359AUB7 AAA
1-AP 86359AUC5 AAA
2-A1 86359AUD3 AAA
2-AX 86359AUE1 AAA
2-AP 86359AUF8 AAA
3-A1 86359AUG6 AAA
3-A2 86359AUH4 AAA
B1 86359AUJ0 AA
B2 86359AUK7 A
3B1 86359AUL5 AA
3B2 86359AUM3 A
B3(3) 86359AUY7 BBB
3B4 86359AVJ9 BB
3B5 86359AVK6 B
Structured Asset Securities Corp.
Series 2003-17A
Class CUSIP Rating
----- ----- ------
1-A1 86359AXD0 AAA
2-A1 86359AXF5 AAA
2-A2 86359AXG3 AAA
2-A3 86359AXH1 AAA
3-A1 86359AXL2 AAA
3-A2 86359AXM0 AAA
3-A3 86359AXN8 AAA
4-A 86359AXQ1 AAA
4-AX 86359AXR9 AAA
4-PAX 86359AXS7 AAA
B1-II 86359AXX6 CCC
Structured Asset Securities Corp.
Series 2003-20
Class CUSIP Rating
----- ----- ------
1-A1 86359AD75 AAA
1-AX 86359AD83 AAA
1-PAX 86359AD91 AAA
1-AP 86359AE25 AAA
2-A1 86359AE33 AAA
2-A2 86359AE41 AAA
2-A3 86359AE58 AAA
2-A4 86359AE66 AAA
2-AP 86359AE82 AAA
3-A1 86359AF81 AAA
3-PAX 86359AF99 AAA
3-AP 86359AG23 AAA
A-X 86359AE90 AAA
B1 86359AF24 AA
2B1 86359AF40 AA
2B2 86359AF57 A
Structured Asset Securities Corp.
Series 2003-21
Class CUSIP Rating
----- ----- ------
1-A1 86359AM42 AAA
1-A2 86359AM59 AAA
1-A3 86359AM67 AAA
1-A4 86359AM75 AAA
1-AX 86359AM83 AAA
1-PAX 86359AM91 AAA
1-AP 86359AN25 AAA
2-A1 86359AN33 AAA
2-A2 86359AN41 AAA
2-A3 86359AN58 AAA
2-A4 86359AN66 AAA
2-A5 86359AN74 AAA
2-A6 86359AN82 AAA
2-AX 86359AN90 AAA
2-AP 86359AP23 AAA
1B1 86359AP31 AA
2B1 86359AP56 AA
2B2 86359AP64 A
Structured Asset Securities Corp.
Series 2003-26A
Class CUSIP Rating
----- ----- ------
1A 86359AS20 AAA
2-A 86359AS46 AAA
3-A1 86359AS53 AAA
3-A5 86359AS95 AAA
4-A 86359AT52 AAA
5-A 86359AT78 AAA
6-A 86359AT86 AAA
7-A 86359AU35 AAA
Structured Asset Securities Corp.
Series 2003-29
Class CUSIP Rating
----- ----- ------
2-A1 86359AW33 AAA
2-AX 86359AW41 AAA
2-AP 86359AW58 AAA
3-A1 86359AW66 AAA
4-A1 86359AW74 AAA
4-A2 86359AW82 AAA
4-A3 86359AW90 AAA
4-A4 86359AX24 AAA
4-A5 86359AX32 AAA
4-AX 86359AX40 AAA
4-PAX 86359AX57 AAA
5-A1 86359AX65 AAA
5-A2 86359AX73 AAA
5-A3 86359AX81 AAA
5-A4 86359AX99 AAA
5-AX 86359AY23 AAA
Structured Asset Securities Corporation
Series 2003-8
Class CUSIP Rating
----- ----- ------
1-A2 86359ARW5 AAA
1-A4 86359ARY1 AAA
1-A5 86359ARZ8 AAA
1-A6 86359ASA2 AAA
1-AX 86359ASB0 AAA
1-AP 86359ASC8 AAA
2-A1 86359ASD6 AAA
2-A3 86359ASF1 AAA
2-A4 86359ASG9 AAA
2-A5 86359ASH7 AAA
2-A6 86359ASJ3 AAA
2-A7 86359ASK0 AAA
2-A8 86359ASL8 AAA
2-A9 86359ASM6 AAA
2-A10 86359ASN4 AAA
2-A11 86359ASP9 AAA
2-A12 86359ASQ7 AAA
2-A13 86359ASR5 AAA
2-AX 86359ASS3 AAA
2-PAX 86359AST1 AAA
2-AP 86359ASU8 AAA
1B1 86359ASV6 AA+
1B2 86359ASW4 A
2B1 86359ASX2 AA+
2B2 86359ASY0 A+
B3 (1) BBB
B3 (2) BBB
1B4 86359ATB9 BB
1B5 86359ATC7 B
Thornburg Mortgage Securities Trust 2003-2
Series 2003-2
Class CUSIP Rating
----- ----- ------
A 885220DC4 AAA
M-1 885220DD2 AA+
M-2 885220DE0 A
WaMu Mortgage Pass-Through Certificates Series 2003-AR10 Trust
Series 2003-AR10
Class CUSIP Rating
----- ----- ------
A-6 92922FEA2 AAA
A-7 92922FEB0 AAA
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust
Series 2003-AR9
Class CUSIP Rating
----- ----- ------
I-A-6 92922FBV9 AAA
I-A-7 92922FBW7 AAA
II-A 92922FBX5 AAA
I-B-2 92922FBZ0 CCC
II-B-1 92922FCB2 AA
WaMu Mortgage Pass-Through Certificates Series 2003-S7 Trust
Series 2003-S7
Class CUSIP Rating
----- ----- ------
A-1 92922FBK3 AAA
A-2 92922FBB3 AAA
A-3 92922FBC1 AAA
X 92922FBD9 AAA
P 92922FBE7 AAA
R 92922FBJ6 AAA
B-1 92922FBF4 AA
B-2 92922FBG2 A-
Washington Mutual MSC Mortgage Pass-Through Certificates
Series 2003-MS6
Class CUSIP Rating
----- ----- ------
I-A 939336ZC0 AAA
II-A 939336ZD8 AAA
III-A-1 939336ZE6 AAA
III-A-2 939336ZF3 AAA
III-A-3 939336ZG1 AAA
III-A-6 939336ZK2 AAA
III-A-8 939336ZM8 AAA
C-X 939336ZN6 AAA
III-X 939336ZP1 AAA
C-P 939336ZQ9 AAA
III-P 939336ZR7 AAA
C-B-1 939336ZS5 AAA
C-B-2 939336ZT3 AA+
C-B-3 939336ZU0 A
III-B-1 939336ZV8 AAA
III-B-2 939336ZW6 AA+
III-B-3 939336ZX4 A+
III-B-4 939336YZ0 BBB+
III-B-5 939336ZA4 BB
Washington Mutual MSC Mortgage Pass-Through Certificates
Series 2003-MS8
Class CUSIP Rating
----- ----- ------
I-A-1 939336A78 AAA
I-A-2 939336A86 AAA
I-A-3 939336A94 AAA
I-A-6 939336B44 AAA
I-A-9 939336B77 AAA
I-A-10 939336B85 AAA
I-A-11 939336B93 AAA
II-A-1 939336C27 AAA
II-A-2 939336C35 AAA
II-A-3 939336C43 AAA
I-X 939336C50 AAA
II-X 939336C68 AAA
I-P 939336C76 AAA
II-P 939336C84 AAA
C-B-1 939336C92 AA+
C-B-2 939336D26 AA-
C-B-3 939336D34 BBB+
C-B-4 939336ZZ9 BB+
Wells Fargo Mortgage Backed Securities 2003-3 Trust
Series 2003-3
Class CUSIP Rating
----- ----- ------
I-A-1 949774AA1 AAA
I-A-4 949774AD5 AAA
I-A-5 949774AE3 AAA
I-A-6 949774AF0 AAA
I-A-12 949774AM5 AAA
I-A-13 949774AN3 AAA
I-B-1 949774BE2 AAA
I-B-2 949774BF9 AA
II-A-1 949774BC6 AAA
II-B-1 949774BH5 AAA
II-B-2 949774BJ1 AA+
II-B-3 949774BK8 A+
A-PO 949774BD4 AAA
Wells Fargo Mortgage Backed Securities 2003-6 Trust
Series 2003-6
Class CUSIP Rating
----- ----- ------
I-A-1 949780AA8 AAA
I-A-PO 949780AB6 AAA
II-A-1 949780AE0 AAA
II-A-2 949780AF7 AAA
II-A-3 949780AG5 AAA
II-A-PO 949780AH3 AAA
B-1 949780AJ9 AA+
B-2 949780AK6 A+
B-3 949780AL4 BBB+
Wells Fargo Mortgage Backed Securities 2003-9 Trust
Series 2003-9
Class CUSIP Rating
----- ----- ------
I-A-1 949760AA0 AAA
I-A-2 949760AB8 AAA
I-A-3 949760AC6 AAA
I-A-4 949760AD4 AAA
I-A-5 949760AE2 AAA
I-A-7 949760AG7 AAA
I-A-8 949760AH5 AAA
I-A-9 949760AJ1 AAA
I-A-10 949760AK8 AAA
I-A-11 949760AL6 AAA
I-A-13 949760AN2 AAA
I-A-14 949760AP7 AAA
I-A-15 949760AQ5 AAA
I-A-16 949760AR3 AAA
A-PO 949760AV4 AAA
II-A-1 949760AU6 AAA
Wells Fargo Mortgage Backed Securities 2003-F Trust
Series 2003-F
Class CUSIP Rating
----- ----- ------
A-1 94979QAA0 AAA
B-1 94979QAC6 AA+
B-2 94979QAD4 A
B-3 94979QAE2 BBB+
B-4 94979QAF9 BB
Wells Fargo Mortgage Backed Securities 2003-G Trust
Series 2003-G
Class CUSIP Rating
----- ----- ------
A-1 94979WAA7 AAA
A-IO 94979WAB5 AAA
B-1 94979WAE9 AA
B-2 94979WAF6 A
B-3 94979WAG4 BBB
B-4 94979WAH2 BB
* S&P Downgrades Ratings on 104 Classes From Nine RMBS Deals
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 104
classes from nine residential mortgage-backed securities
transactions issued in 1998, 2004, and 2005. At the same time,
S&P removed 66 of the ratings from CreditWatch with negative
implications. In addition, S&P affirmed its ratings on 38 classes
from seven of the downgraded transactions and two additional
deals. S&P also removed 10 of the affirmed ratings from
CreditWatch with negative implications. Three of the transactions
are backed by U.S. subprime mortgage collateral and eight are
backed by prime jumbo mortgage loan collateral.
The downgrades reflect S&P's opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings, given its current projected losses due to increased
delinquencies.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. In order to
maintain a 'B' rating on a class, S&P assessed whether, in its
view, a class could absorb the base-case loss assumptions S&P used
in its analysis.
For subprime transactions, in order to maintain a rating higher
than 'B', S&P assessed whether a 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 110% of its base-case loss assumptions to
maintain a 'BB' rating, while S&P would assess whether a different
class could withstand approximately 120% of 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 its base-case loss assumptions under its analysis.
For prime transactions, in order to maintain an 'AAA' rating, S&P
assessed whether a class could withstand approximately 235% of its
base-case loss assumptions, subject to individual caps and
qualitative factors applied to specific transactions. To maintain
a rating in categories between 'B' (the base case) and 'AAA', S&P
assessed whether a class could withstand losses exceeding the
base-case assumption at a percentage specific to each rating
category, up to 235% for a 'AAA' rating. For example, S&P would
assess whether one class could withstand approximately 130% of its
base-case loss assumptions to maintain a 'BB' rating, while S&P
would assess whether a different class could withstand
approximately 155% of its base-case loss assumptions to maintain a
'BBB' rating.
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover losses associated with these rating levels.
Subordination provides credit support for the affected
transactions. In addition, some classes also benefit from
overcollateralization (prior to its depletion) and excess
interest. The underlying pool of loans backing these transactions
consists of fixed- and adjustable-rate U.S. subprime and prime
jumbo mortgage loans that are secured by first and second liens on
one- to four-family residential properties.
Rating Actions
2004-CB8 Trust
Series 2004-CB8
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 59020UPS8 CCC A
M-3 59020UPT6 CCC A
B-1 59020UPU3 CC A-
B-2 59020UPV1 CC BBB+
B-3 59020UPW9 CC BB
Citigroup Mortgage Loan Trust Inc.
Series 2004-2
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A1 17307GMQ8 BBB AAA
I-A2 17307GMR6 BBB- AAA
PO-1 17307GMV7 BBB- AAA
IO-1 17307GMT2 BBB AAA
B-1 17307GMX3 CCC BBB
B-2 17307GMY1 CC B
B-3 17307GMZ8 CC CCC
B-4 17307GNA2 CC CCC
Citigroup Mortgage Loan Trust, Series 2004-UST1
Series 2004-UST1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-5 17307GEI5 CCC B
GMACM Mortgage Loan Trust 2005-AR3
Series 2005-AR3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 36185N6Y1 B- B-/Watch Neg
2-A-1 36185N6Z8 CCC BB-/Watch Neg
2-A-2 36185N7A2 CCC BB-/Watch Neg
3-A-1 36185N7B0 BB A/Watch Neg
3-A-2 36185N7C8 BB A/Watch Neg
3-A-3 36185N7D6 BB+ AA/Watch Neg
3-A-4 36185N7E4 BB A/Watch Neg
4-A-1 36185N7F1 BBB- AA/Watch Neg
4-A-2 36185N7G9 AA+ AAA/Watch Neg
4-A-5 36185N7K0 AA+ AAA/Watch Neg
5-A-1 36185N7L8 AAA AAA/Watch Neg
5-A-2 36185N7M6 BBB- AA/Watch Neg
M-2 36185N7Q7 CC CCC
4-A-3 36185N7H7 AAA AAA/Watch Neg
Morgan Stanley Mortgage Loan Trust 2004-6AR
Series 2004-6AR
Rating
------
Class CUSIP To From
----- ----- -- ----
2-A-1 61748HBM2 A AAA
2-A-2 61748HBN0 AA AAA
2-A-3 61748HBP5 A AAA
3-A 61748HBQ3 A AAA
4-A 61748HBR1 A AAA
5-A 61748HBS9 A AAA
6-A 61748HBT7 A AAA
C-B-1 61748HBU4 CCC A
C-B-2 61748HBV2 CC BB
C-B-3 61748HBW0 CC CCC
1-M-2 61748HBH3 BB A
1-M-3 61748HBJ9 B A-
1-B-1 61748HBK6 B BBB+
1-B-2 61748HBL4 B BBB
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16
Series 2004-16
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 863579EF1 A AAA/Watch Neg
1-A2 863579EG9 BBB+ AAA/Watch Neg
1-A3 863579EH7 BBB+ AAA/Watch Neg
2-A 863579EJ3 BBB AAA/Watch Neg
3-A-1 863579EK0 BBB AAA/Watch Neg
3-A2 863579EL8 BBB AAA/Watch Neg
4-A 863579EP9 BBB AAA/Watch Neg
4-AX 863579EQ7 BBB AAA/Watch Neg
4-PAX 863579ER5 BBB AAA/Watch Neg
5-A1 863579ES3 BBB+ AAA/Watch Neg
5-A2 863579ET1 BBB+ AAA/Watch Neg
5-A3 863579EU8 BBB+ AAA/Watch Neg
5-AX 863579EV6 BBB+ AAA/Watch Neg
5-AIO 863579EW4 BBB+ AAA/Watch Neg
5-C 863579FP8 BBB+ AAA/Watch Neg
6-A 863579EX2 BBB AAA/Watch Neg
M 863579EY0 BB- AAA/Watch Neg
MX 863579EZ7 BB- AAA/Watch Neg
B1 863579FA1 B- AA+/Watch Neg
B1X 863579FB9 B- AA+/Watch Neg
B2 863579FC7 CC AA/Watch Neg
B2X 863579FD5 CC AA/Watch Neg
B3 863579FE3 CC AA-/Watch Neg
B3X 863579FF0 CC AA-/Watch Neg
B4 863579FG8 CC A/Watch Neg
B5 863579FH6 CC A-/Watch Neg
Structured Asset Securities Corporation Trust 2005-17
Series 2005-17
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 86359DSB4 B A-/Watch Neg
1-A2 86359DSC2 CCC A-/Watch Neg
1-A3 86359DSD0 CCC A-/Watch Neg
1-A4 86359DSE8 CCC A-/Watch Neg
1-A5 86359DSF5 CCC A-/Watch Neg
1-A6 86359DSG3 CCC A-/Watch Neg
2-A1 86359DSH1 CCC A-/Watch Neg
3-A1 86359DSJ7 CCC A-/Watch Neg
4-A1 86359DSK4 AAA AAA/Watch Neg
4-A2 86359DSL2 AAA AAA/Watch Neg
4-A3 86359DSM0 AAA AAA/Watch Neg
4-A4 86359DSN8 AAA AAA/Watch Neg
4-A5 86359DSP3 AAA AAA/Watch Neg
4-A6 86359DSQ1 CCC A-/Watch Neg
5-A1 86359DSR9 CCC AAA/Watch Neg
5-A2 86359DSS7 CCC A-/Watch Neg
AP 86359DST5 CCC A-/Watch Neg
AX 86359DSU2 AAA AAA/Watch Neg
PAX 86359DSV0 AAA AAA/Watch Neg
B1 86359DSW8 CC CCC
Structured Asset Securities Corporation Trust 2005-5
Series 2005-5
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 863576AA2 BB+ AAA/Watch Neg
1-A2 863576AB0 BB+ AAA/Watch Neg
1-A3 863576AC8 BB+ AAA/Watch Neg
1-A4 863576AD6 BB+ AAA/Watch Neg
2-A1 863576AE4 BBB- AAA/Watch Neg
2-A2 863576AF1 BBB- AAA/Watch Neg
2-A3 863576AG9 BBB- AAA/Watch Neg
2-A4 863576AH7 BBB- AAA/Watch Neg
2-A5 863576AJ3 BBB- AAA/Watch Neg
3-A1 863576AK0 BBB- AAA/Watch Neg
3-A2 863576AL8 BBB- AAA/Watch Neg
4-A1 863576AM6 BB+ AAA/Watch Neg
4-AX 863576AN4 BB+ AAA/Watch Neg
4-PAX 863576AP9 BB+ AAA/Watch Neg
AP 863576AQ7 BB+ AAA/Watch Neg
AX 863576AR5 BBB- AAA/Watch Neg
PAX 863576AS3 BBB- AAA/Watch Neg
B1 863576AT1 CCC BB-/Watch Neg
B2 863576AU8 CC CCC
B3 863576AV6 CC CCC
B4 86359B7B1 D CCC
B5 86359B7C9 D CC
UCFC Acceptance Corp.
Series 1998-D
Rating
------
Class CUSIP To From
----- ----- -- ----
MF-2 90263BHE1 B- A+
BF-1 90263BHF8 B- BBB
MV-2 90263BHJ0 BBB A
BV-1 90263BHK7 CCC BBB
Ratings Affirmed
2004-CB8 Trust
Series 2004-CB8
Class CUSIP Rating
----- ----- ------
AF-4 59020UPQ2 AAA
M-1 59020UPR0 AA
Citigroup Mortgage Loan Trust Inc.
Series 2004-2
Class CUSIP Rating
----- ----- ------
II-A1 17307GMS4 AAA
PO-2 17307GMW5 AAA
IO-2 17307GMU9 AAA
Citigroup Mortgage Loan Trust, Series 2004-UST1
Series 2004-UST1
Class CUSIP Rating
----- ----- ------
A-1 17307GKY3 AAA
A-2 17307GKZ0 AAA
A-3 17307GLA4 AAA
A-4 17307GLB2 AAA
A-5 17307GLC0 AAA
A-6 17307GLD8 AAA
B-1 17307GCI7 AA
B-2 17307GCO4 A
B-3 17307GDI6 BBB
B-4 17307GDO3 BB
GMACM Mortgage Loan Trust 2005-AR3
Series 2005-AR3
Class CUSIP Rating
----- ----- ------
M-1 36185N7P9 CCC
Household Home Equity Loan Trust 2004-1
Series 2004-1
Class CUSIP Rating
----- ----- ------
A 441917AZ4 AAA
M 441917BA8 AA
Morgan Stanley Mortgage Loan Trust 2004-6AR
Series 2004-6AR
Class CUSIP Rating
----- ----- ------
1-A 61748HBF7 AAA
1-M-1 61748HBG5 AA
Popular Securities-Mortgage Trust 2004-1
Series 2004-1
Class CUSIP Rating
----- ----- ------
A-3 733194AC8 AAA
A-4 733194AD6 AAA
A-5 733194AE4 AAA
UCFC Acceptance Corp.
Series 1998-D
Class CUSIP Rating
----- ----- ------
AF-6 90263BHA9 AAA
AF-7 90263BHB7 AAA
AF-8 90263BHC5 AAA
MF-1 90263BHD3 AAA
MV-1 90263BHH4 AA+
* S&P Downgrades Ratings on 707 Classes From 497 RMBS Deals
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D' on
707 classes of mortgage pass-through certificates from 497 U.S.
residential mortgage-backed securities transactions. S&P removed
six of the lowered ratings from CreditWatch with negative
implications. In addition, S&P placed 10 other ratings from
Bayview Financial Mortgage Pass-Through Trust 2006-C on
CreditWatch with negative implications. The ratings on 44
additional classes from five of the affected transactions remain
on CreditWatch with negative implications.
Approximately 86.85% of the defaulted classes were from
transactions backed by Alternative-A or subprime mortgage loan
collateral. The 707 defaulted classes consisted of these:
* 473 classes were from Alt-A transactions (66.90% of all
defaults);
* 141 were from subprime transactions (19.94% of all defaults);
* 66 were from prime jumbo transactions;
* Ten were from closed-end second-lien transactions;
* Ten were from reperforming transactions;
* Four were from outside-the-guidelines transactions;
* One was from a home equity line of credit (HELOC) transaction;
* One was from a risk-transfer transaction; and
* One was from a seasoned loan transaction.
The 707 downgrades to 'D' reflect S&P's assessment of principal
write-downs on the affected classes during recent remittance
periods. Eleven of the defaulted ratings affect classes that are
bond insured by either Financial Guaranty Insurance Co. or Syncora
Guarantee Inc. Although these classes are wrapped by insurance,
the losses were still allocated to the respective classes. The
CreditWatch placements reflect the fact that the affected classes
are within a group that includes a class that defaulted from a
'B-' rating or higher. S&P lowered approximately 98.30% of the
ratings from the 'CCC' or 'CC' rating categories, and S&P lowered
approximately 99.30% from a speculative-grade category.
S&P expects to resolve the CreditWatch placements affecting these
transactions after S&P complete its reviews of the underlying
credit enhancement. Standard & Poor's will continue to monitor
its ratings on securities that experience principal write-downs,
and S&P will adjust the ratings as S&P deem appropriate.
* S&P Puts Ratings on Three Tranches On CreditWatch Negative
------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on three
tranches from two U.S. corporate-backed synthetic collateralized
debt obligation transactions on CreditWatch with negative
implications. At the same time, S&P affirmed its rating on two
tranches from two corporate-backed synthetic CDO transactions and
removed them from CreditWatch negative. Concurrently, S&P placed
its ratings on 13 tranches from 10 U.S. synthetic CDO transaction
backed by residential mortgage-backed securities on CreditWatch
with negative implications. The rating actions followed S&P's
monthly review of U.S. synthetic CDO transactions.
The CreditWatch negative placements reflect negative rating
migration in the respective portfolios and synthetic rated
overcollateralization ratios that had fallen below 100% as of the
January month-end run.
Ratings List
ABACUS 2005-2, Ltd.
Rating
------
Class To From
----- -- ----
A-1 BB-/Watch Neg BB-
ABACUS 2005-3, Ltd.
Rating
------
Class To From
----- -- ----
A-2 AA+/Watch Neg AA+
B B+/Watch Neg B+
B Series 2 B+/Watch Neg B+
ABACUS 2005-5, Ltd.
Rating
------
Class To From
----- -- ----
A-1 B-/Watch Neg B-
ABSpoke 2005-IA, Ltd.
Rating
------
Class To From
----- -- ----
ABSpoke B+/Watch Neg B+
AMP ABX 2006-1 Ltd
Rating
------
Class To From
----- -- ----
Var Notes A-/Watch Neg A-
Arch One Finance Ltd.
2005-4
Rating
------
Class To From
----- -- ----
Notes B B/Watch Neg
Calculus ABS Resecuritization Trust Series 2007-1
Rating
------
Class To From
----- -- ----
VarDisTrUn CCC/Watch Neg CCC
Eirles Two Ltd.
208
Rating
------
Class To From
----- -- ----
Series 208 CCC+/Watch Neg CCC+
Eolo Investments B.V.
2006-1
Rating
------
Class To From
----- -- ----
Tranche Bsrp/Watch Neg Bsrp
High Grade Structured Credit 2004-1 Limited
Rating
------
Class To From
----- -- ----
C BBB/Watch Neg BBB
Morgan Stanley ACES SPC
2008-6
Rating
------
Class To From
----- -- ----
A1 BB-/Watch Neg BB-
A2 BB-/Watch Neg BB-
Morgan Stanley ACES SPC
2008-7
Rating
------
Class To From
----- -- ----
Notes BBB-/Watch Neg BBB-
North Street Referenced Linked Notes 2005-9 Limited
Rating
------
Class To From
----- -- ----
E CCC+ CCC+/Watch Neg
STACK LTD
Rating
------
Class To From
----- -- ----
B-USD BBB-/Watch Neg BBB-
B-EUR BBB-/Watch Neg BBB-
*********
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 2010. 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 ***