/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/110410.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, April 10, 2011, Vol. 14, No. 99 Headlines AMERICREDIT AUTO: Moody's Assigns Provisional Ratings to Notes AMERICREDIT AUTO: S&P Assigns 'BB' Rating on Class E APHEX CAPITAL: S&P's Removes Series 2004-C CCC+ Rating From Watch ATRIUM V: Moody's Upgrades the Ratings of CLO Notes BEAR STEARNS: Moody's Junks Rating on Class B-3 of Trust 2002-AC1 BILOXI HOUSING: Moody's Keeps MS Housing Revenue Bonds Ba3 Rating CAMBRIA COUNTY: S&P Ups General Obligation Debt Ratings From 'BB' CARLYLE VEYRON: Moody's Upgrades Rating on US$35MM Notes to 'Ba1' CRAFT NO. 1: Moody's Cuts Rating on Trust 1998-A Notes to Caa3 CREST 2004: S&P Lowers 3 Classes of Notes' Ratings to 'CCC-' DELTA AIR: S&P Rates Series 2011-1 Class A Pass-Through Certs. FLORIDA CDD: S&P Lowers Ratings on Seven Bond Series to 'B' GSC PARTNERS: S&P Raises Rating on Class D Notes to 'BB+' JAMAICA DIVERSIFIED: Fitch Affirms Ratings on 2 Notes at 'BB' KEYCORP STUDENT: S&P Revises Rating on Bond to Reflect 'B' Rating KING/CHAVEZ ACADEMY: S&P Lowers Revenue Bond Rating to 'BB+' MIAMI DADE: S&P Lowers Rating on Series 1998A Bonds to 'B' MIDLAND LUTHERAN: Fitch Cuts $18.54MM Revenue Bond Rating to 'B' MUTEKI LTD: Moody's Cuts Muteki Ltd. Series 2008-1 Rating to C OAKLEY DEVELOPMENT: S&P Lowers Tax Bonds Rating to 'BB+' From 'A-' REAL ESTATE ASSET: Moody's Affirms 18 CMBS Classes of REALT 2005-2 RESIDENTIAL ASSET: Moody's Junks Ratings on 52 Classes SACO I INC: Moody's Junks Ratings on 5 Tranches of Series 2000-3 SALOMON BROTHERS: Moody's Upgrades Four and Affirms Five CMBS SAPPHIRE VALLEY: S&P Upgrades Class E Rating to 'BB+' From 'B+' SOLEDAD REDEVELOPMENT: S&P Cuts Tax Allocation Bond Ratings to BB+ SORIN REAL: S&P Affirms 'CCC-' Ratings on Three Classes SOUTHERN CALIFORNIA LOGISTICS: Moody's Cuts Bond Rating to 'B1' STARLING FINANCE: S&P Downgrades Ratings on Two CDOs to 'D' TERREMARK WORLWIDE: S&P Upgrades Rating on Class E Notes to 'BB+' VITALITY RE: S&P Assigns 'BB+' Preliminary Rating to Class B Notes WACHOVIA BANK: Moody's Affirms 19 CMBS Classes of WBCMT 2005-C20 ZAIS INVESTMENT: Moody's Upgrades Ratings Of Six Classes Of Notes * S&P Lowers Ratings on 23 Classes on Five CMBS Transactions * S&P Places 74 Classes of Small Business Loans on CreditWatch ********* AMERICREDIT AUTO: Moody's Assigns Provisional Ratings to Notes -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by AmeriCredit Automobile Receivables Trust 2011-2 (AMCAR 2011-2). This is the second senior/subordinated transaction of the year for AmeriCredit Financial Services, Inc. (AmeriCredit). The complete rating actions are: Issuer: AmeriCredit Automobile Receivables Trust 2011-2 * Class A-1 Notes, rated (P) Prime-1 (sf); * Class A-2 Notes, rated (P) Aaa (sf); * Class A-3 Notes, rated (P) Aaa (sf); * Class B Notes, rated (P) Aa1 (sf); * Class C Notes, rated (P) Aa3 (sf); * Class D Notes, rated (P) Baa1 (sf); * Class E Notes, rated (P) Ba1 (sf). Ratings Rationals Moody's said the ratings are based on the quality of the underlying auto loans and their expected performance, the strength of the structure, the availability of excess spread over the life of the transaction, the experience and expertise of AmeriCredit Financial Services, Inc. (AmeriCredit) as servicer, and the backup servicing arrangement with Aa2-rated Wells Fargo Bank, N.A. The principal methodology used in rating the transaction is "Moody's Approach to Rating U.S. Auto Loan-Backed Securities," published in June 2007. Moody's median cumulative net loss expectation for the AMCAR 2011- 2 pool is 11.75% and total credit enhancement required to achieve Aaa rating (i.e. Aaa proxy) is 39.0%. The loss expectation was based on an analysis of AmeriCredit's portfolio vintage performance as well as performance of past securitizations, and current expectations for future economic conditions. The Assumption Volatility Score for this transaction is Low/Medium versus a Medium for the sector. This is driven by the a Low/Medium assessment for Governance due to the strong back-up servicing arrangement present in this transaction in addition to the size and strength of AmeriCredit's servicing platform. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If the net loss used in determining the initial rating were changed to 20%, 25% or 35.0%, the initial model output for the Class A notes might change from Aaa to Aa1, Aa2, and A2, respectively; Class B notes might change from Aa1 to A3, Baa3, and below B3, respectively; Class C notes might change from Aa3 to Ba1, B3, and below B3, respectively; Class D notes might change from Baa1 to below B3 in all three scenarios; and Class E notes might change from Ba1 to below B3 in all three scenarios. 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 deal has not aged. Parameter Sensitivities only reflect 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. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments in this transaction. AMERICREDIT AUTO: S&P Assigns 'BB' Rating on Class E ---------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to AmeriCredit Automobile Receivables Trust 2011-2's $926.318 million auto receivables-backed notes. The preliminary ratings are based on information as of April 4, 2011. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's assessment of: * The availability of approximately 43.7%, 38.6%, 31.3%, 25.0%, and 22.7% credit support for the class A, B, C, D, and E notes, respectively (based on stressed cash-flow scenarios, including excess spread), which provides coverage of more than 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x S&P's 11.75%-12.25% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. These credit support levels are commensurate with the assigned preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively. * S&P's expectation that under a moderate, or 'BBB', stress scenario, its ratings on the class A, B, and C notes would not decline by more than one rating category (all else being equal) over a 12-month period and its ratings on the class D and E notes would not decline by more than two rating categories within a 12-month period. "Our rating stability criteria describes the outer bounds of credit deterioration within one year as being one rating category in the case of 'AAA (sf)' and 'AA (sf)' rated securities and two rating categories in the case of 'A (sf), 'BBB (sf)', and 'BB (sf)' rated securities," S&P related. * The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. * The timely interest and ultimate principal payments made under the stressed cash-flow modeling scenarios, which are consistent with the assigned preliminary ratings. * The collateral characteristics of the securitized pool of subprime auto loans. * General Motors Financial Co. Inc.'s (GM Financial, formerly known as AmeriCredit Corp.; B+/Stable/--) extensive securitization performance history going back to 1994. On March 30, 2011, Standard & Poor's Ratings Services raised its long-term counterparty credit rating on GM Financial to 'B+' from 'B' and removed the ratings from CreditWatch positive, where they were placed on Oct. 8, 2010. * The transaction's payment and legal structures. Preliminary Ratings Assigned AmeriCredit Automobile Receivables Trust 2011-2 Class Rating Amount (mil. $)(i) A-1 A-1+ (sf) 217.300 A-2 AAA (sf) 302.600 A-3 AAA (sf) 153.419 B AA (sf) 73.077 C A (sf) 90.717 D BBB (sf) 89.205 E(ii) BB (sf) 23.682 (i) The actual size of these tranches will be determined on the pricing date. (ii) Class E will be privately placed and is not included in the public offering amount. APHEX CAPITAL: S&P's Removes Series 2004-C CCC+ Rating From Watch ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on 48 tranches from 36 corporate-backed synthetic collateralized debt obligation (CDO) transactions and removed them from CreditWatch with positive implications. At the same time, S&P lowered its ratings on 16 tranches from seven synthetic CDO transactions backed by commercial mortgage-backed securities (CMBS), six tranches from three corporate-backed synthetic CDO transactions and one tranche from one synthetic CDO transaction backed by residential mortgage-backed securities (RMBS) and removed its ratings on 13 of the tranches from CreditWatch negative. "In addition, we affirmed our ratings on 15 tranches from 16 corporate-backed synthetic CDOs and two tranches from one synthetic CDO backed by RMBS," S&P said. The upgraded tranches are from synthetic CDOs that experienced a combination of upward rating migration in their underlying reference portfolios and seasoning of the underlying reference names. "The upgraded synthetic CDOs also experienced increases in their synthetic rated overcollateralization (SROC) ratios to above 100% at higher rating levels as of the March review and at our projected SROC ratios in 90 days, assuming no credit migration. The downgraded tranches were from synthetic CDOs that had experienced negative rating migration in their underlying reference portfolio. The affirmations reflect our opinion of the sufficient credit support available to the tranches at the current rating levels," S&P said. Rating Actions: Aphex Capital MOTIVE Series 2004-C Rating Class To From A CCC+ (sf) CCC+ (sf)/Watch Pos Aphex Capital NSCR 2006-2 Ltd. Rating Class To From B CCC (sf) CCC+ (sf)/Watch Neg C CCC (sf) CCC+ (sf)/Watch Neg D CCC (sf) CCC+ (sf)/Watch Neg Athenee CDO PLC JPY3.4 bil tranche B Hunter Valley CDO II floating-rate notes due 30 June 2014 series 2007-6 Rating Class To From Tranche B BB- (sf) B+ (sf)/Watch Pos Athenee CDO PLC EUR25 mil tranche B Hunter Valley CDO II floating rate notes due June 30, 2014 series 2007-4 Rating Class To From Tranche B BB- (sf) B+ (sf)/Watch Pos Athenee CDO PLC EUR40 mil tranche B Hunter Valley CDO II floating-rate notes due 30 June 2014 series 2007-14 Rating Class To From Tranche B BB- (sf) B+ (sf)/Watch Pos Calculus CMBS Resecuritization Trust Series 2006-8 Rating Class To From TrustUnits B- (sf) B (sf)/Watch Neg Calculus CMBS Resecuritization Trust Series 2006-9 Rating Class To From TrustUnits B+ (sf) BB (sf)/Watch Neg Calculus HG CDO Trust Series 2006-1 Rating Class To From VarDisTrUn CCC- (sf) CCC- (sf) Calculus HG CDO Trust Series 2006-2 Rating Class To From VarDisTrUn CCC- (sf) CCC- (sf) Castle Finance I Ltd. EUR132.903 mil floating rate secured CLN series 1 Rating Class To From Series 1 BBB- (sf) BB- (sf)/Watch Pos Castle Finance I Ltd. EUR154.84 mil floating rate secured CLN series 2 Rating Class To From Series 2 B+ (sf) CCC+ (sf)/Watch Pos Corsair (Jersey) No. 4 Ltd. US$4 bil Corsair (Jersey) No. 4 Ltd. Series 10 Partial Credit Loss Protected Step-Down Portfolio USD$40,000,000 Credit Linked Notes due 2027 Rating Class To From Notes B+ (sf) CCC (sf)/Watch Pos Credit Default Swap US$1.437 bil J.P. Morgan Chase Bank, N.A. - Credit Protection Trust 255 (Soleil) J17593 (SOLEIL) Rating Class To From Tranche A-srp (sf) BBB+srp (sf)/Watch Pos Credit Default Swap US$10 mil Swap Risk Rating-Protection Buyer, CDS Reference #CA1119131 Rating Class To From Tranche B+srb (sf) Bsrb (sf)/Watch Pos Credit Default Swap US$10.891 bil Swap Risk Rating - Portfolio CDS Ref No. SDB506494096 Rating Class To From Notes B-srp (sf) B-srp (sf)/Watch Pos Credit Default Swap US$10.891 bil Swap Risk Rating - Portfolio CDS Ref No. SDB506551445 Rating Class To From Notes B-srp (sf) B-srp (sf)/Watch Pos Credit Default Swap US$10.892 bil Swap Risk rating - Portfolio CDS Ref No. SDB506551406 Rating Class To From Notes B-srp (sf) B-srp (sf)/Watch Pos Credit Default Swap US$10.892 bil Swap Risk rating - Portfolio CDS Ref No. SDB506551414 Rating Class To From Notes B-srp (sf) B-srp (sf)/Watch Pos Credit Default Swap US$10.892 bil Swap Risk Rating - Portfolio CDS Ref No. SDB506551423 Rating Class To From Notes B-srp (sf) B-srp (sf)/Watch Pos Credit Default Swap US$10.893 bil Swap Risk Rating - Portfolio CDS Ref No. SDB506551442 Rating Class To From Notes B-srp (sf) B-srp (sf)/Watch Pos Credit Default Swap US$10.894 bil Swap Risk Rating - Portfolio CDS Ref No. SDB506551435 Rating Class To From Notes B-srp (sf) B-srp (sf)/Watch Pos Credit Default Swap US$10.895 bil Sawp Risk Rating - Portfolio CDS Ref No. SDB506551383 Rating Class To From Notes B-srp (sf) B-srp (sf)/Watch Pos Credit Default Swap US$10.895 bil Swap Risk Rating - Portfolio CDS Ref No. SDB506550851 Rating Class To From Notes B-srp (sf) B-srp (sf)/Watch Pos Credit Default Swap US$10.895 bil Swap Risk Rating - Portfolio CDS Ref. No. SDB506551403 Rating Class To From Notes B-srp (sf) B-srp (sf)/Watch Pos Credit Default Swap US$187.5 mil Swap Risk Rating - Portfolio CDS Ref No. PYR_8631051_82386545_Vizzavona Rating Class To From Swap BBB+srp (sf) BB-srp (sf)/Watch Pos Credit Default Swap US$500 mil Credit Default Swap - CRA700406 Rating Class To From Swap AAAsrp (sf) AA+srp (sf)/Watch Pos Credit Default Swap US$500 mil Credit Default Swap - CRA700416 Rating Class To From Swap AAAsrp (sf) AA+srp (sf)/Watch Pos Credit Default Swap US$750 mil ZZRSS 971739CF Rating Class To From AA+srp (sf) AAsrp (sf)/Watch Pos Credit Default Swap US$950 mil Swap Risk Rating-Portfolio, CDS Reference # 06ML23332A Rating Class To From 06ML23332A BBBsrp (sf) BBB+srp (sf)/Watch Neg Credit-Linked Trust Certificates 2005-I Rating Class To From 2005-I-F AA- (sf) A+ (sf)/Watch Pos 2005-I-G A (sf) A- (sf)/Watch Pos 2005-I-H A- (sf) BBB+ (sf)/Watch Pos 2005-I-S AAA (sf) AA+ (sf)/Watch Pos 2005-I-T AAA (sf) AA+ (sf)/Watch Pos CypressTree Synthetic CDO Ltd. 2006-1 Rating Class To From Notes BBB+ (sf) BB+ (sf)/Watch Pos Echo Funding Pty Ltd. Series 18 Rating Class To From BB+ (sf) CCC- (sf)/Watch Pos Greylock Synthetic CDO 2006 Series 2 Rating Class To From A3-$FMS B (sf) B- (sf)/Watch Pos A3-$LMS B (sf) B- (sf)/Watch Pos A3A-$FMS B (sf) B- (sf)/Watch Pos A3B-$LMS B (sf) B- (sf)/Watch Pos Greylock Synthetic CDO 2006 Series 1 Rating Class To From A1-$LMS BBB- (sf) BB+ (sf)/Watch Pos Greylock Synthetic CDO 2006 Series 4 Rating Class To From A1JPYLS BB (sf) BB- (sf)/Watch Pos Greylock Synthetic CDO 2006 Series 3 Rating Class To From A1-EURLMS BBB- (sf) BB+ (sf)/Watch Pos Greylock Synthetic CDO 2006 Series 5 Rating Class To From A1-$LMS BB (sf) BB- (sf)/Watch Pos Iridal Public Ltd. Co. Series 2 Rating Class To From Tranche B CCC+ (sf) B (sf)/Watch Neg Magnolia Finance II PLC Series 2006-7B Rating Class To From Notes BB+ (sf) BB+ (sf)/Watch Pos Merrill Lynch - Deutsche Bank AG PALADAR SCDO CLASS A Rating Class To From A AA+srb (sf) BBB+srb (sf)/Watch Pos Mistletoe ORSO Trust 1 Rating Class To From Cr Link BBB- (sf) BB (sf)/Watch Pos Mistletoe ORSO Trust 2 Rating Class To From Cr Link A (sf) BBB (sf)/Watch Pos Morgan Stanley ACES SPC Series 2006-27 Rating Class To From Class A B (sf) B- (sf)/Watch Pos Morgan Stanley ACES SPC Series 2006-33 Rating Class To From E A+ (sf) A- (sf)/Watch Pos Morgan Stanley ACES SPC Series 2007-9 Rating Class To From III-principal Bp (sf) B-p (sf)/Watch Pos III-interest CCC-i (sf) CCC-i (sf) Morgan Stanley ACES SPC Series 2007-8 Rating Class To From Senior BB (sf) BBB (sf) A1 CCC- (sf) B+ (sf)/Watch Neg A2 CCC+ (sf) B+ (sf) Morgan Stanley ACES SPC Series 2007-28 Rating Class To From A BB+ (sf) BB (sf)/Watch Pos Morgan Stanley ACES SPC Series 2008-6 Rating Class To From A1 CCC+ (sf) BB- (sf)/Watch Neg A2 CCC+ (sf) BB- (sf)/Watch Neg North Street Referenced Linked Notes 2005-9 Ltd. Rating Class To From C AA- (sf) A (sf)/Watch Pos D BBB+ (sf) BB+ (sf)/Watch Pos E BB+ (sf) B+ (sf)/Watch Pos North Street Referenced Linked Notes 2003-5 Ltd. Rating Class To From B-2 AA (sf) AA+ (sf)/Watch Neg ORSO Portfolio Tranche Index Certificates US$28 mil ORSO Portfolio Tranche Index Certificates Series 1 Trust Rating Class To From CL A- (sf) BBB+ (sf)/Watch Pos Portfolio CDS Trust 16 Rating Class To From Super Sr. AA+ (sf) A+ (sf)/Watch Pos REVE SPC EUR15 mil, JPY3 bil, US$81 mil REVE SPC Segregated Portfolio of Dryden XVII Notes Rating Class To From Series 34 B- (sf) CCC- (sf)/Watch Pos Series 36 B+ (sf) CCC (sf)/Watch Pos Series 37 B+ (sf) CCC- (sf)/Watch Pos Series 40 B+ (sf) CCC- (sf)/Watch Pos REVE SPC EUR50 mil, JPY3 bil, US$154 mil REVE SPC Dryden XVII Notes Series 2007-1 Rating Class To From A Series 7 B+ (sf) CCC+ (sf)/Watch Pos Seawall 2007-1 Ltd. Rating Class To From A CC (sf) CCC- (sf) B CC (sf) CCC- (sf) C-1 CC (sf) CCC- (sf) C-2 CC (sf) CCC- (sf) D-1 CC (sf) CCC- (sf) D-2 CC (sf) CCC- (sf) E-1 CC (sf) CCC- (sf) E-2 CC (sf) CCC- (sf) Seawall SPC US$50 mil Seawall SPC - Series 2006-2 (CMBS Synthetic Re-REMIC) Rating Class To From A B- (sf) BB- (sf)/Watch Neg SPGS SPC, acting for the account of MSC 2006-SRR2 Segregated Portfolio Rating Class To From A-1 CCC- (sf) CCC (sf)/Watch Neg STARTS (Cayman) Ltd. Series 2007-9 Rating Class To From Notes BB- (sf) CCC (sf)/Watch Pos STARTS (Ireland) PLC US$50 mil Maple Hill II Managed Synthetic CDO series 2007-31 Rating Class To From A2-D2 BB+ (sf) BB (sf)/Watch Pos STEERS Credit Linked Trust, Bespoke Credit Tranche Series 2005-6 Rating Class To From Trust Cert B+ (sf) CCC- (sf)/Watch Pos STEERS Thayer Gate CDO Trust Series 2006-1 Rating Class To From Trust Cert CCC- (sf) CCC- (sf)/Watch Pos STEERS Thayer Gate CDO Trust Series 2006-2 Rating Class To From Trust Unit CCC- (sf) CCC- (sf)/Watch Pos Swap Risk Rating Protection Buyer CDS Reference # Palador SCDO Class C US$1 bil Merrill Lynch - ESP Funding I Ltd Rating Class To From C A+srb (sf) BB-srb (sf)/Watch Pos ATRIUM V: Moody's Upgrades the Ratings of CLO Notes --------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Atrium V: * US$110,000,000 Class A-1 Notes, Upgraded to Aa3 (sf); previously on August 6, 2009 Downgraded to A1 (sf); * US$142,000,000 Class A-3a Notes, Upgraded to Aaa (sf); previously on August 6, 2009 Downgraded to Aa1 (sf); * US$83,000,000 Class A-2b Notes, Upgraded to A1 (sf); previously on August 6, 2009 Downgraded to A2 (sf); * US$16,000,000 Class A-3b Notes, Upgraded to A1 (sf); previously on August 6, 2009 Downgraded to A2 (sf); * US$41,000,000 Class A-4 Notes, Upgraded to A3 (sf); previously on August 6, 2009 Downgraded to Baa1 (sf); * US$51,500,000 Class B Notes, Upgraded to Baa3 (sf); previously on May 10, 2010 Upgraded to Ba1 (sf); * US$32,500,000 Class C Notes, Upgraded to Ba3 (sf); previously on May 10, 2010 Upgraded to B1 (sf); * US$19,330,000 Class D Notes, Upgraded to B3 (sf); previously on May 10, 2010 Upgraded to Caa2 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from improvement in the credit quality of the underlying portfolio and an increase in the transaction's overcollateralization ratios since the rating action in May 2010. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. In particular, as of the latest trustee report dated March 15, 2011, the weighted average rating factor is currently 2778 compared to 2848 in the May 2010 report, and securities rated Caa1 or lower make up approximately 7.7% of the underlying portfolio versus 9.0% in May 2010. Additionally, defaulted securities total about $13.3 million of the underlying portfolio compared to $20.4 million in May 2010. The overcollateralization ratios of the rated notes have also improved since the rating action in May 2010. The Class A, Class B, Class C and Class D overcollateralization ratios are reported at 123.60%, 115.38%, 110.73%, and 108.14%, respectively, versus May 2010 levels of 121.52%, 113.44%, 108.87%, and 106.33%, respectively, and all related overcollateralization tests are currently in compliance. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $889.7 million, defaulted par of $15.3 million, a weighted average default probability of 29.97% (implying a WARF of 3870), a weighted average recovery rate upon default of 41.47%, and a diversity score of 90. These default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Atrium V, issued in July 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF --20% (3096) * Class A-1: +3 * Class A-2a: 0 * Class A-2b: +3 * Class A-3a: 0 * Class A-3b: +2 * Class A-4: +3 * Class B: +2 * Class C: +2 * Class D: +3 Moody's Adjusted WARF +20% (4644) * Class A-1: -1 * Class A-2a: 0 * Class A-2b: -2 * Class A-3a: -2 * Class A-3b: -3 * Class A-4: -2 * Class B: -2 * Class C: -2 * Class D: -3 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 3) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. However, as part of the base case, Moody's considered spread and coupon levels higher than the covenant levels due to the large difference between the reported and covenant levels. BEAR STEARNS: Moody's Junks Rating on Class B-3 of Trust 2002-AC1 ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one tranche and confirmed the rating of one tranche from Bear Stearns Asset- Backed Securities Trust 2002-AC1. The collateral backing the deal primarily consists of first-lien, fixed rate Alt-A residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior to 2005. The principal methodology used in these ratings was " Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology " is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Bear Stearns Asset-Backed Securities Trust 2002-AC1 * Cl. B-2, Confirmed at A2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade; and * Cl. B-3, Downgraded to Caa2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade. A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF241460 A list of updated estimated pool losses and sensitivity analysis is being posted on an ongoing basis for the duration of this review period and may be found at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256 BILOXI HOUSING: Moody's Keeps MS Housing Revenue Bonds Ba3 Rating ----------------------------------------------------------------- Moody's Investors Service has affirmed the Ba3 rating of Biloxi Housing Authority, MS Multi-Family Housing Revenue Bonds (Beauvoir Manor Apartments) Series 2001 A and B (Senior Bonds), affecting approximately $3,620,000 of outstanding debt. The outlook on these bonds remains Negative. RATING RATIONALE The bonds are secured by revenues derived from operations of Beauvoir Manor Apartments, a 150-unit multi-family rental facility consisting of 19 two-story buildings, which was constructed in 1972 and substantially rehabilitated in 1986. Pledged revenues include payments received from a Housing Assistance Payment Contract (HAP) with the Department of Housing and Urban Development (HUD). The rating affirmation reflects the recent financial performance of the property and the continued low Debt Service Coverage level on the bonds. Strengths: * Rent levels continue to remain substantially less than the Fair Market Rent (FMR) levels of Harrison County, MS for each apartment type available at the property. * Funds held for the benefit of bondholders and the property are adequately funded. * The most recent HUD REAC score from 2009 was 80c for the property. Challenges: * Unaudited Operating Statements from the fiscal year 2010 show that economic occupancy (defined as vacancy expense as a percentage of gross potential rent) was approximately 91.0%. * Debt Service Coverage in 2009 remained low at 1.00x, verified by Audited FY2009 Financial Statements. Operating Statements from 2010 have been reviewed and show slight improvement in Debt Service Coverage levels since 2008 and 2009, primarily due to a decrease in property expenses. * The small size of this project makes it vulnerable to sudden shocks. Recent Developments United Apartment Group, Inc. was hired in the second half of 2010 to manage Beauvoir Manor Apartments and help improve its financial performance. Currently, there are no plans for capital improvements in the next 3 years. Occupancy And Financial Information Management reported occupancy levels of 94% as of January 2011. Unaudited Operating Statements from the fiscal year 2010 show that economic occupancy (defined as vacancy expense as a percentage of gross potential rent) was approximately 91.0%, a decrease from 92.4% in 2009. On average, the property's rent levels are about 40% below FMR. Moody's views this as a credit strength because the property is eligible for annual rental rate increases under current HUD regulations, as well as the possibility of petitioning HUD for a larger, one-time rate increase to bring the property rent levels back in line with FMRs. Petitioning HUD for such an increase is at the option of the property manager. According to information provided by management, rent increased in 2010 since 2009 by an average of 2.6% across bedroom types. According to 2009 audited financial statements and 2010 Operating Statements, Total Rental Income has continued to increase by an average of about 2.4% since 2007. Fund balances provided by the Trustee show that the Debt Service Reserve Fund remains untapped and fully-funded, an important characteristic at this rating level. In addition, the reports show that the Replacement Reserve Fund has an ample amount available for capital expenses. Maintaining the property's physical condition is important to support occupancy levels and remain eligible for the Section 8 subsidy. Outlook The outlook on the bonds remains negative. As coverage ratios remain low, Moody's does not expect significant improvement to the project's financial position in the near term. What could change the rating up: * Several periods of substantial debt service coverage growth. What could change the rating down: * An increase in expenses or any reduction in revenue that leads to a further deterioration of the debt service coverage level. * The use of Debt Service Reserve Fund moneys to pay debt service. Principal Methodology Used The principal methodology used in this rating was "Global Housing Projects" published in July 2010. CAMBRIA COUNTY: S&P Ups General Obligation Debt Ratings From 'BB' ----------------------------------------------------------------- Standard & Poor's Ratings Services has raised its long-term rating and underlying rating (SPUR) on Cambria County, Pa.'s general obligation (GO) debt to 'BBB-' from 'BB', reflecting its view that management has displayed a commitment to rebuild the county's reserve levels. The outlook is stable. The rating also reflects Standard & Poor's view of the county's: * Limited local economy, with adequate income levels and a historically high, although decreasing, unemployment rate, that continues to be above the national average; * Increases in receivables that have historically accounted for more than 70% of its total assets in the general fund; and * Wealth levels that are low on a per capita basis. Standard & Poor's believes that the above weaknesses are offset by the sale of the Laurel Crest Manor nursing home, which will no longer place constraints on the county's general fund. The stable outlook reflects Standard & Poor's view that, despite the anticipated drawdowns in reserves in fiscal 2010, it expects that, with the absence of the pressures from the Laurel Crest Fund, the county's financial operations will be stable in the future. The stable outlook reflects management's commitment to maintain positive operations based on its implementation of a five-year financial forecast that displays balanced operations without the use of reserves and increases of general fund balance levels. If the county continues to achieve positive operations and increase reserves, this could result in an improved rating. However, should the county's fund balance revert to its thin levels, this could put pressure on the rating. CARLYLE VEYRON: Moody's Upgrades Rating on US$35MM Notes to 'Ba1' ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Carlyle Veyron CLO, Ltd.: -- US$84,000,000 Class A-1-B Floating Rate Notes due 2018, Upgraded to Aa1 (sf); previously on October 1, 2009 Downgraded to Aa3 (sf); -- US$50,000,000 Class A-2 Floating Rate Notes due 2018, Upgraded to Aaa (sf); previously on October 1, 2009 Downgraded to Aa2 (sf); -- US$17,500,000 Class B Floating Rate Notes due 2018, Upgraded to Aa2 (sf); previously on October 1, 2009 Downgraded to A3 (sf); -- US$28,750,000 Class C Floating Rate Deferrable Notes due 2018, Upgraded to Baa1 (sf); previously on October 1, 2009 Downgraded to Ba1 (sf); -- US$35,000,000 Class D Floating Rate Deferrable Notes due 2018, Upgraded to Ba1 (sf); previously on October 1, 2009 Downgraded to B1 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from an increase in the overcollateralization ratio of the rated notes and improvement in the credit quality of the underlying portfolio since the rating action in October 2009. The overcollateralization ratio of the rated notes have improved primarily as a result of par-building from the reinvestment of diverted interest proceeds, higher than previously anticipated recoveries realized on defaulted securities, and restructurings of defaulted securities. As of the March 2011 trustee report, the Senior Overcollateralization Ratio is reported at 122.1% versus the September 2009 level of 116.16%. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the rating action in October 2009. Based on the March 2011 trustee report, the weighted average rating factor is 2437 (before the application of a modifier) compared to 2559 in September 2009, and securities rated Caa1 and below make up approximately 6.47% of the underlying portfolio versus 13.28% in September 2009. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to $2.1 million from approximately $14.9 million in September 2009. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $496 million, defaulted par of $2.5 million, a weighted average default probability of 24.7% (implying a WARF of 3310), a weighted average recovery rate upon default of 43.6%, and a diversity score of 75. These default and recovery properties of the collateral pool are incorporated in Moody's cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Carlyle Veyron CLO, Ltd., issued on June 28, 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in these ratings was "Moody's Approach to Rating Collateralized Loan Obligations," published in August 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF - 20% (2648): * Class A-1-R: 0; * Class A-1-A: 0; * Class A-1-B: +2; * Class A-2: +1; * Class B: +2; * Class C: +2; * Class D: +2; Moody's Adjusted WARF + 20% (3972): * Class A-1-R: 0; * Class A-1-A: 0; * Class A-1-B: -2; * Class A-2: -2; * Class B: -2; * Class C: -2; * Class D: -2. Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. CRAFT NO. 1: Moody's Cuts Rating on Trust 1998-A Notes to Caa3 -------------------------------------------------------------- Moody's Investors Service has downgraded its rating on the Class A Notes issued by CRAFT No. 1 Trust 1998-A (CRAFT). The complete rating action is: Issuer: CRAFT No. 1 Trust 1998-A Class A Floating Rate Notes due May 15, 2020, downgraded to Caa3 (sf); previously on Feb. 18, 2010, downgraded to Caa1 (sf) and placed on review for possible downgrade. Ratings Rationale The prospects for future cash flow from the aircraft portfolio is weak in relation to CRAFT obligations. Based on the revenue levels under the current lease and financing arrangements and estimates of future revenues from the remarketing of off-lease aircraft, it is likely that the Class A Notes will suffer a noticeable loss. The CRAFT transaction is backed by financing and lease cashflows and aircraft values associated with a portfolio of 41 Bombardier Dash 8 200 and CRJ 200 aircraft. In the wake of airline bankruptcies since the deal was issued, a number of aircraft in the CRAFT portfolio came off their original lease and financing arrangements, and many aircraft in the portfolio have spent varying periods of time off-lease, which lowered revenues to date and slowed amortization. Most recently, following Mesa's bankruptcy last year, ten aircraft have been returned to CRAFT and another aircraft may return within the next 12 months. As a result, currently there are 14 aircraft off-lease and only 13 aircraft which are still subject to financing arrangements; the remaining 14 aircraft are subject to operating leases. The Class A Notes are receiving full interest payments which are supported by lease and sale revenues to the trust. In addition, they will have the benefit of support from the liquidity facility if needed. The Class A Notes are currently about $13.9 million (~8.5%) behind their Target Balance. Nevertheless, the prospects for future cash flow are weak. This is due to the significant number of aircraft under operating leases and the challenging market conditions for CRJ 200's, which are reflected by the 14 aircraft off-lease. Thus, based on the revenue levels under the current lease and financing arrangements and estimates of future revenues from the remarketing of off-lease aircraft, it is likely that the Class A Notes will suffer a noticeable loss. The principal pay-down of the Class A Notes over the coming 5-7 years depends, largely, on the ability of Bombardier, in its capacity as servicer to CRAFT, to re-lease or sell the aircraft that are on the ground as well as those coming off operating leases. The principal methodology used in this rating was "Moody's Approach to Pooled Aircraft-Backed Securitization" published in March 1999. Other methodologies and factors that may have been considered in the process of rating the Notes can be found on www.moodys.com in the Rating Methodologies sub-directory. Moody's Investors Service received and took into account third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a negative impact on the rating. CREST 2004: S&P Lowers 3 Classes of Notes' Ratings to 'CCC-' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on the class A, B-1, B-2, C-1, C-2, D, E-1, E-2, F, G-1, G-2, H-1, and H- 2 notes from Crest 2004-1 Ltd., a collateralized debt obligation (CDO) transaction backed by commercial real estate assets. "At the same time, we removed our ratings on the class F, G-1, G-2, H- 1, and H-2 notes from CreditWatch, where we placed them with negative implications on Jan. 19, 2011," S&P said. "The lowered ratings reflect, among other factors, an increase in defaults and deterioration in the credit quality of the underlying collateral in the portfolio since our August 2010 rating actions. Based on the Feb. 28, 2011 monthly trustee report, approximately 35% ($137 million) of the total securities in the underlying collateral pool were defaulted securities, up from 12% ($47 million) as of July 2010. Additionally, as of February 2011, approximately 28% of the portfolio consisted of assets from obligors rated in the 'CCC' category, up from 8% in July 2010," S&P noted. In addition, the transaction failed its overcollateralization (O/C) ratio tests. Based on the February 2011 trustee report, the A/B O/C ratio was 129.54%, versus the required 161.00%. The failure of the O/C ratio tests has prevented the mezzanine and subordinate classes from receiving current interest, and the diverted interest is being used to reduce the balance of the senior notes. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating and CreditWatch Actions Crest 2004-1 Ltd. Rating Class To From A BBB+ (sf) AA+ (sf) B-1 BB+ (sf) AA- (sf) B-2 BB+ (sf) AA- (sf) C-1 BB- (sf) A- (sf) C-2 BB- (sf) A- (sf) D B (sf) BBB+ (sf) E-1 CCC- (sf) BBB- (sf) E-2 CCC- (sf) BBB- (sf) F CCC- (sf) BB+ (sf)/Watch Neg G-1 CC (sf) BB- (sf)/Watch Neg G-2 CC (sf) BB- (sf)/Watch Neg H-1 CC (sf) B+ (sf)/Watch Neg H-2 CC (sf) B+ (sf)/Watch Neg DELTA AIR: S&P Rates Series 2011-1 Class A Pass-Through Certs. -------------------------------------------------------------- Standard & Poor's Ratings Services said it has assigned its 'A- (sf)' rating to Delta Air Lines Inc.'s series 2011-1 class A pass- through certificates with an expected maturity of April 15, 2019. The final legal maturity will be 18 months after the expected maturity. The issue is a drawdown under a Rule 415 shelf registration. Ratings List Delta Air Lines Inc. Corporate credit rating B/Stable/-- New Ratings Delta Air Lines Inc. Series 2011-1 class A pass-thru certs A- (sf) The 'A- (sf)' rating is based on Delta's credit quality, substantial collateral coverage, and on legal and structural protections available to the pass-through certificates. The company will use proceeds of the offering to refinance aircraft it already owns: 10 Boeing B737-800s, 12 B757-200s, and four B767- 300ERs. The planes were originally delivered to Delta in 1995 through 2001, and currently collateralize existing pass-through certificates that will mature in September 2011. "Each aircraft's secured notes are cross-collateralized and cross-defaulted -- a provision we believe increases the likelihood that Delta would affirm the notes (and thus continue to pay on the certificates) in bankruptcy," S&P said. The pass-through certificates are a form of enhanced equipment trust certificates (EETCs) and benefit from legal protections afforded under Section 1110 of the U.S. Bankruptcy Code and by a liquidity facility provided by Natixis S.A. The liquidity facility is intended to cover up to three semiannual interest payments, a period during which collateral could be repossessed and remarketed by certificateholders following any default by the airline, or to maintain continuity of interest payments as certificateholders negotiate with Delta in a bankruptcy with regard to the certificates. The rating applies to a unit consisting of certificates representing the trust property and escrow receipts, initially representing interests in deposits (the proceeds of the offerings). The escrow deposits are held by a depositary bank, The Bank of New York Mellon, pending delivery of the aircraft that Delta will refinance with the proceeds from the certificates. Amounts deposited under the escrow agreements are not the property of Delta and are not entitled to the benefits of Section 1110 of the U.S. Bankruptcy Code, and any default arising under an indenture solely by reason of the cross-default in the indenture may not be of a type required to be cured under Section 1110. Any cash collateral held as a result of the cross- collateralization of the equipment notes also would not be entitled to the benefits of Section 1110. Neither the certificates nor the escrow receipts may be separately assigned or transferred. "We believe that Delta views these planes as important and would, given the cross-collateralization and cross-default provisions, likely affirm the aircraft notes in a bankruptcy scenario. In contrast to most EETCs issued before 2009, the cross-default would take effect immediately in a bankruptcy if Delta rejected any of the aircraft notes. This should prevent Delta from selectively affirming some aircraft notes and rejecting others ("cherry-picking"), which often harms the interests of certificateholders in a bankruptcy," S&P said. "We consider the collateral pool overall to be of fairly good quality, with some aircraft models more attractive than others. The largest proportion of initial appraised value (about 48% of the appraised values that our analysis focused on) comprises B737- 800s. The B737-800 is Boeing's most popular aircraft, a midsize narrowbody plane that more than 100 airlines worldwide operate. Given the modern technology incorporated into the plane, its wide user base, and expected strong demand over the next couple of years, we consider it to be the best aircraft collateral available. Airbus SAS recently announced a more fuel-efficient new engine option (NEO) for its competing A320 family of narrowbody planes, with initial deliveries targeted for 2016. Boeing Co. has not yet announced a response, but we believe it's more likely that they will introduce a fully new successor to the current generation of B737s (including the B737-800) around 2020, rather than attempt to counter with a re-engined B737 (technically more difficult for the B737 than for the A320). We believe that the most significant effect of the introduction of the NEO planes will be on values of older generation narrowbodies introduced in the 1980s: the B737-300, -400, and -500, and the earliest versions of the A320, rather than the current-technology narrowbodies. Those earlier models are already under value pressure because they are less fuel efficient. The Delta pass- through certificates are scheduled to mature in 2019, so we believe the effect on the B737-800s that partly collateralize the certificates should be moderate," S&P related. The second-largest concentration of collateral value (33%) is B757-200s. The B757-200 is a large narrowbody aircraft introduced in the 1980s and widely used, especially by U.S. airlines. "Boeing has introduced a successor, the B737-900, but it does not have the same range as the B757-200 (which, in certain versions, can fly trans-Atlantic) and has not been widely ordered by airlines. Still, the technology incorporated into these planes is of an older generation, and we believe that, in an industry downturn, values of this collateral could fall more materially than those of the B737-800s. The remaining 19% of collateral value is B767-300ERs, a small widebody introduced in the 1980s. This plane has a fairly wide user base and is well suited to flying international routes that cannot support larger models. It will eventually be superseded by the new B787, but values have been buoyed by repeated delays in the introduction of the B787. Like the B757-200, we believe that its values could be more volatile than those of the B737-800s," S&P said. "Our analysis of the aircraft collateral, which focuses mainly on resale liquidity and technological risk, also considers the age of the aircraft, as well as the characteristics of the models. We judged that the nine- to 10-year-old B737-800 aircraft would exhibit somewhat greater potential volatility of values than the new delivery B737-800s in an airline industry downturn, and factored that into our conclusions," according to S&P. The initial and maximum loan-to-value (LTV) of the class A certificates is 52.3%, using the appraised base values and depreciation assumptions in the offering memorandum. "However, we focused on more-conservative current market values for the aircraft, based on our comparison of various base and current market value appraisals that we examined with our own internal sources of information. We used a starting collateral value of $500 million, which is 11% lower than the prospectus values. We also use more-conservative depreciation assumptions for all of the planes than those in the prospectus. We assumed that, absent cyclical fluctuations, values of the B737-800s would decline by 5% of the preceding year's value per year; the B757-200s by 8%; and the B767-300ERs 7%. Using these values and assumptions, the class A initial LTV is higher -- 58.5% -- and rises slightly to more than 60% at its highest point before declining gradually," S&P related. "Our analysis also considered that a full draw of the liquidity facility (plus interest on those drawdowns) constitutes a claim senior to the certificates. However, because of current low interest rates and the single-class structure, this amount is somewhat below levels (as a percent of asset value) of EETCs sold before 2008. Through the life of the transaction, a full draw, with interest, is equivalent to about 5% of asset value, using our assumptions. However, we note that the transaction is structured so that Delta could later issue class B certificates. If those certificates had a liquidity facility, draws on that facility would rank senior to repayment of the class A principal and interest, effectively raising the total LTV. We would review our rating on the class A certificates in such an event. In the past, airlines have structured follow-on certificates of this kind in such a way as to not affect the rating of the outstanding senior certificates," S&P added. FLORIDA CDD: S&P Lowers Ratings on Seven Bond Series to 'B' ----------------------------------------------------------- Standard & Poor's Ratings Services has lowered its long-term ratings on seven Florida community development district's bond series due to its view that these series have inadequate funding of their debt service reserve funds (DSR). The outlook on all the ratings is stable. Special assessment are levied to match debt service payments with very limited excess cash flow, therefore, the debt service reserve is an important security feature that provides additional liquidity if assessments are not received in full or on a timely basis. Each bond series is funded by a surety bond that is either rated speculative grade ('BB+' or lower) or does not have a current rating from Standard & Poor's. "In our opinion, the current credit quality of these DSR providers raises concerns about the availability of this liquidity should it be needed to make debt service payments and weakens a security feature that we consider essential to maintaining investment grade ratings on these bonds," said Standard & Poor's credit analyst Andrew Teras. "The outlook is stable and reflects our view that the current rating level appropriately reflects the risks associated with an inadequately funded debt service reserve," he added. Non-ad valorem special assessments imposed and levied on specific land parcels within each CDD and collected by the respective county in which each district is located secure all the bonds. These bond series have a DSR that is funded with a surety bond provided by Radian Asset Assurance Inc. (BB-/Negative): * Falcon Trace CDD, series 2007: to BB/Stable from A-/Stable; * Panther Trace CDD, series 2007: to BB/Stable from A-/Stable; and * Rivercrest CDD, series 2007: to BB/Stable from A-/Stable. These bond series have a DSR that is funded with a surety bond provided by CIFG Assurance North America Inc. (NR): * Northwood CDD, series 2008: to BB/Stable from BBB+/Stable; * Piney Z CDD, series 2008: to BB/Stable from BBB/Stable; * Remington CDD, series 2008-1: to BB/Stable from BBB/Stable; and * Remington CDD, series 2008-2: to BB/Stable from A-/Stable. GSC PARTNERS: S&P Raises Rating on Class D Notes to 'BB+' --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class C, D, and E notes from GSC Partners CDO Fund VII Ltd., a collateralized loan obligation (CLO) transaction managed by GSC Partners. "At the same time, we removed our ratings on the class C and D notes from CreditWatch, where we had placed them with positive implications on Jan. 3, 2011. In addition, we affirmed our ratings on the class A-1, A-2, and B notes from the same transaction," S&P said. "The upgrades reflect improved performance we have observed in the deal's underlying asset portfolio since we lowered our ratings on the class C, D, and E notes on Feb. 17, 2010, following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria. We based our February 2010 rating actions on information contained in the Dec. 22, 2009, trustee report. As of the Feb. 15, 2011 trustee report, the transaction had $34.59 million of defaulted assets, compared with $60.39 million in defaults in the Dec. 22, 2009 trustee report. Assets with ratings of 'CCC+' or lower equaled approximately $66.22 million in February 2011, compared with approximately $104.76 million at Dec. 22, 2009. In addition, the class A-1 and A-2 notes have paid down approximately $36.68 million since December 2009, leaving them at approximately 77.7% of their original par balance at issuance," S&P stated. The transaction has benefited from an increase in the overcollateralization (O/C) available to support the rated notes. The trustee reported these O/C ratios in the Feb. 15, 2011 monthly report: * The class A/B O/C ratio was 136.39%, compared with a reported ratio of 121.15% in December 2009; * The class C O/C ratio was 121.76%, compared with a reported ratio of 109.63% in December 2009; * The class D O/C ratio was 112.71%, compared with a reported ratio of 102.25% in December 2009; and * The class E O/C ratio was 106.25%, compared with a reported ratio of 96.77% in December 2009. The affirmations on the class A-1, A-2, and B notes reflect S&P's opinion of the availability of sufficient credit support at the current rating levels. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary. Rating and CreditWatch Actions: GSC Partners CDO Fund VII Ltd. Rating Class To From C A- (sf) BBB+ (sf)/Watch Pos D BB+ (sf) B+ (sf)/Watch Pos E CCC+ (sf) CCC- (sf) Rating Affirmed GSC Partners CDO Fund VII Ltd. Class Rating A-1 AAA (sf) A-2 AAA (sf) B AA (sf) JAMAICA DIVERSIFIED: Fitch Affirms Ratings on 2 Notes at 'BB' ------------------------------------------------------------- Fitch Ratings has affirmed Jamaica Diversified Payment Rights Company's series 2006-1 and series 2007-1 notes at 'BB'. The Rating Outlook is Stable. The rating reflects structural mitigants to several sovereign and bank risks associated with Jamaica and NCB, allowing the rating of the securitization to reach 'BB'. The rating also reflects the strength of the bank's diversified payment rights (DPR) flows and coverage levels and the legal structure of the transaction. Quarterly coverage levels for the program during 2010 averaged approximately 50 times (x) maximum quarterly debt service. The transaction is a securitization of existing and future U.S. dollar-denominated DPRs originated by National Commercial Bank of Jamaica Limited (NCB). Upon their generation, the trust will have rights to the DPRs through accounts maintained with designated depositary banks (DDBs). DPRs refer to electronic payment orders intended for payment to third party beneficiaries via NCB (i.e. international trade financed by NCB, export remittances, workers remittances, foreign direct investment, etc). The assigned 'BB' rating is higher than Jamaica's long-term foreign and local currency Issuer Default Ratings (IDR) of 'B-', as the transaction mitigates certain sovereign risks associated with Jamaica. All DDBs have signed Notice and Acknowledgment Agreements that obligate them to deposit DPR collections into a designated collection account controlled by the indenture trustee, and large coverage levels ensure that the incentive for government interference remains low. On average, over 97% of all collections currently come via DDB transactions. In February and March of 2011, Fitch affirmed Jamaica's Sovereign IDR and NCB's IDR, respectively. The Sovereign rating action reflects Fitch's view of Jamaica's high institutional strength, which has allowed it to provide policy responses to significant fiscal challenges and balance-of-payments pressures over the years. The authorities also continue to make steady progress in meeting the quantitative targets and implementing the reform initiatives agreed as part of the IMF Stand-By Agreement (SBA), reflecting their strong commitment to maintaining investor confidence and stability. The rating action on NCB reflects its strong domestic franchise and stable profitability, as well as its high exposure to sovereign debt and government entities, which comprised approximately 59% of NCB's assets at September 2010. The bank's Rating Outlook is in line with Fitch's view of the sovereign's creditworthiness. NCB is currently the largest bank in the Jamaican system, accounting for 39% of the system's assets at September 2010. Fitch currently rates NCB's IDR at 'B-' with a Stable Outlook. KEYCORP STUDENT: S&P Revises Rating on Bond to Reflect 'B' Rating ----------------------------------------------------------------- Standard & Poor's Ratings Services corrected its 'AAA (sf)' rating on the insured bond certificates relating to KeyCorp Student Loan Trust 2003-A by placing it on CreditWatch with negative implications. "The rating reflects the higher of our ratings on (i) the underlying security, class-II A-3 ('AAA (sf)/Watch Neg') from KeyCorp Student Loan Trust 2003-A and (ii) the insurance provider, MBIA Insurance Corp. ('B')," S&P explained. "The rating action follows our March 5, 2010, placement of our 'AAA (sf)' rating on the underlying security on CreditWatch with negative implications," S&P said. "Due to an error, we did not contemporaneously change our rating on the insured bond certificates with our rating action on the reference obligation," S&P added. KING/CHAVEZ ACADEMY: S&P Lowers Revenue Bond Rating to 'BB+' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating to 'BB+' from 'BBB-' on the education facilities revenue bonds issued by California Municipal Finance Authority on behalf of the King/Chavez Academy of Excellence, a California nonprofit public benefit corporation. The outlook is stable. The corporation is now known as King Chavez Public Schools. "The rating action reflects our view of a precipitous drop in cash over the last three years, the school's inability to meet debt service and lease payment coverage from net revenues in fiscal 2010 due to an increase in debt service, and the school's inability to meet maximum annual debt service coverage through net revenues in any of the last five years," said Standard & Poor's credit analyst Carlotta Mills. In fiscal 2010, adjusted net revenues available to cover debt service and lease payments rose to about $916,000, almost double the amount available last year. However, coverage of debt service was only 0.84x because debt service and long-term lease payments more than doubled. "The cash position has declined in the last three years to $265,000 in fiscal 2010 from $806,000 in fiscal 2008, which we believe is partly attributable to less than 1x debt service coverage; management expects the cash position to drop further in fiscal 2011. In fiscal 2010, there was just eight days of cash on hand," S&P said. "Coverage of maximum annual debt service (which includes current long-term lease payments of about $1.1 million) based on revenues from fiscals 2006 through 2010 is what we consider inadequate, ranging from 0.24x to 0.85x (0.79x in fiscal 2010). Annual debt service on the bonds is relatively level from 2013 to maturity at about $860,000. If the $300,000 in annual new lease payments expected to start in fiscal 2012 are added, maximum annual debt service coverage from fiscal 2010 net revenue falls to 0.62x," S&P added. MIAMI DADE: S&P Lowers Rating on Series 1998A Bonds to 'B' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its long-term rating on Miami Dade County Housing Finance Authority, Fla.'s (Doral Terrace Apartments Project) multifamily housing revenue bonds series 1998A to 'B' from 'AAA'. The outlook is stable. "The downgrade is based on our view of the project's reliance on short-term market rate investments," said Standard & Poor's credit analyst Renee J. Berson. The rating reflects S&P's view of the following: * Revenues from mortgage debt service payments and investment earnings that are insufficient to pay full and timely debt service on the bonds plus fees until maturity; * Debt service coverage projected to fall below investment- grade levels in 2025; and * Asset/liability parity projected to fall below 100% in beyond 2018. Credit strengths include S&P's opinion of: * Investments held in 'AAAm'-rated First American Treasury Obligations Fund Class Y money market fund; and * The high credit quality of the Fannie Mae pass-through certificate, which S&P considered to be 'AAA' eligible. Standard & Poor's revised its methodology for certain federal government-enhanced housing transactions that have funds invested in money market funds and other investments with no guaranteed rate of return. Standard & Poor's has analyzed updated financial information based on its current stressed reinvestment rate assumptions for all scenarios as set forth in the related criteria articles. "We believe the bonds are unable to meet all bond costs from transaction revenues until maturity, assuming these reinvestment earnings," S&P added. MIDLAND LUTHERAN: Fitch Cuts $18.54MM Revenue Bond Rating to 'B' ---------------------------------------------------------------- Fitch Ratings has downgraded $18.54 million of education facility revenue bonds issued by the Nebraska Educational Finance Authority on behalf of Midland Lutheran College (Midland) to 'B' from 'BB'. The Rating Outlook is Stable. Rating Rationale: -- The downgrade reflects Midland's inability to correct the systemic mismatch of revenues and expenses that has driven a history of highly negative operating performance and a critical depletion of financial resources. -- The college's outstanding debt results in a highly leveraged position, which has been further burdened by short-term borrowing to support operations in recent years. -- Midland was able to turn around annual enrollment losses that have hindered the college's operating flexibility in fall 2010 as a result of an influx of students transferring from nearby Dana College, which closed its doors in July 2010. -- The college's senior management team, which experienced significant turnover at the vice president level in the past three years, received a new president in March 2010 who has initiated a three-year turnaround plan to address the financial and enrollment issues that the college faces. Key Rating Drivers: -- The successful implementation of management's three-year financial turnaround plan. -- The ability to sustain enrollment gains realized in fall 2010 through newly implemented, rigorous recruitment practices. Security: The bonds are a general obligation of the college, additionally secured by a cash funded debt service reserve. Credit Summary: The rating downgrade to 'B' from 'BB' reflects the critical depletion of Midland's available funds, defined by Fitch as cash and investments not permanently restricted, caused by a long history of significantly negative operating performance and subsequent heavy reliance on its unrestricted financial resources. The college's operating margin (prior to any endowment support) averaged negative 26.8% over the past five years. As a result of the systemic mismatch between revenues and expenses that has gone uncorrected, the college has completely exhausted its available funds, which dipped to negative levels in fiscal 2009. In fiscal 2010, the board authorized the college to borrow up to $2.5 million against its permanently restricted endowment, a sign of severe financial duress. In addition, the college is actively seeking to have restrictions on endowment funds waived in order to regain some level of financial flexibility during its planned recovery period. The college's fundamental lack of financial flexibility has been exacerbated by enrollment declines in each year from fall 2006 to fall 2009. In fall 2010, the trends were reversed with a sharp increase of 51.7% in total enrollment. The improvement is attributable, for the most part, to Midland's efforts to enroll students from nearby Dana College, which ceased operations in July 2010. In total, the college enrolled 320 students who planned to study at Dana College. In addition to accepting transfer students, Midland also absorbed two successful sports programs from Dana College -- bowling and wrestling -- which were not offered previously. The college expects these sports to attract student athletes in coming years, particularly given cuts in these athletic programs at several regional schools. The college also expects the growth of two graduate programs -- education and professional accounting -- to stabilize enrollment over time. Early indications for fall 2011, including the number of applications received to-date, point to improvements in traditional recruiting that will be crucial to sustaining the enrollment growth achieved in fall 2010. Fitch views these positive enrollment indicators, which also point to an ability to increase the student-generated revenues on which the college is heavily reliant, as the basis of the Stable Outlook. Any inability to sustain improved enrollment levels, and thus grow related, student-generated revenues, will have a negative ratings impact. Management at the college experienced significant changes over the past three years including a new president in March 2010, who immediately set about making necessary changes at the college. The president initiated the planning process for a three-year financial turnaround, which included an early retirement plan for faculty to reduce expenses. The plan, available to 32 faculty members, was accepted by 19. The college also brought in a new director of admissions, who is being aided by an outside consultant to address the college's history of enrollment issues and weak market position. In addition, a new vice president for student development and a chief academic officer have been brought on board to improve students' education and experience at Midland. Finally, the college has appointed a new director of development to improve Midland's fundraising capabilities. Midland Lutheran College, which was rebranded Midland University in 2010, is a private, co-educational liberal arts college located in Fremont, Nebraska, approximately 35 miles northwest of Omaha. The college primarily serves undergraduate students, but added masters programs in education and professional accounting in fall 2009. Midland is affiliated with the Evangelical Lutheran Church in America. MUTEKI LTD: Moody's Cuts Muteki Ltd. Series 2008-1 Rating to C -------------------------------------------------------------- Moody's Investors Service has downgraded the rating of these notes issued by Muteki Ltd.: US$300,000,000 Series 2008-1 Class A Principal At-Risk Variable Rate Notes due May 2011, Downgraded to C(sf); previously on May 14, 2008 Assigned Ba2(sf). RATINGS RATIONALE Muteki Ltd. is a catastrophe bond program that can issue notes in different series to cover natural catastrophe risks over specific risk periods. Investors in the Series 2008-1 Class A Notes, issued on May 14, 2008, provide protection to Munich Re, acting as counterparty in the transaction. The Counterparty, in turn, has entered into one or more reinsurance contracts with Zenkyoren, the National Mutual Insurance Federation of Agricultural Cooperatives of Japan outside of this transaction, to provide coverage to the Reinsured against losses resulting from covered earthquakes in Japan. According to Moody's, the rating action taken on the Class A notes is primarily the result of the M9.0 Tohoku Pacific Offshore Earthquake that occurred in Japan on March 11, 2011. Moody's obtained seismic data directly from K-Net and estimated the value of the parametric index for this event using the corresponding recording station weights in the parametric index formula. Based on Moody's calculation, it expects that the losses in the transaction due to the Japan Earthquake, as an event covered under the terms of the transaction, will breach the attachment level and reach the exhaustion level, likely resulting in complete loss of principal to Class A noteholders. Muteki Ltd. is a single-peril catastrophe bond that uses a parametric index (the "Index Value") to determine the occurrence and severity of losses due to an earthquake in Japan. Indeed, losses to the Notes occur either when the Index Value, which is a function of the values of the maximum peak ground acceleration (PGA) recorded at specific recording stations in Japan and published by K-Net, exceeds either the Event Attachment Index Value (984) or, when a Dropdown Event has previously occurred, the Dropdown Event Attachment Index Value (276). Since no Dropdown Event had occurred prior to the occurrence of the Japan Earthquake, the corresponding threshold for the Index Value to determine whether losses have been incurred by noteholders is the Event Attachment Index Value (984). Moody's notes that its calculation of the Index Value is based on data released by K-Net from the readings of 693 recording stations out of the approximately 1,200 stations located in Japan. The data reported by K-Net and used by Moody's was as of March 31, 2011. Moody's will continue to assess the full impact of the Japan Earthquake on the rating of the Class A notes following release of the complete data from K-Net to the public, the receipt of an Event Notice from the Counterparty, and the receipt of an Event Report from AIR Worldwide Corporation, the Event Calculation Agent. The principal methodologies used in this rating were "Monitoring Catastrophe Bonds: Assessing the Impact of Hurricane and Earthquake Activity" published in October 2005 and "Moody's Approach to Rating Catastrophe Bonds Updated" published in January 2004. Further information on Moody's analysis of this transaction is available on www.moodys.com Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. OAKLEY DEVELOPMENT: S&P Lowers Tax Bonds Rating to 'BB+' From 'A-' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its long-term rating and underlying rating (SPUR) to 'BB+' from 'A-' on Oakley Redevelopment Agency, Calif.'s series 2008A subordinate-lien tax allocation bonds. The outlook is stable. "The rating action reflects our assessment that annual debt service coverage has dropped to below 1x coverage as a result of the project area's large assessed value declines over the last three years," said Standard & Poor's credit analyst Andrew Magee. After increasing by 17.3% and 7.8% in 2007 and 2008, respectively, total assessed value (AV) declined by 1.3% in 2009, 19.6% in 2010, and 6.2% in 2011. In 2008 the project area's base AV to total AV volatility ratio, which measures the sensitivity of tax incremental revenues to overall changes in AV, was 0.20. However, that ratio worsened to 0.27 by 2011. In 2011, total AV decreased by 6.2%, whereas tax increment revenues declined by 8.3%. The 10 largest taxpayers account for 24.7% of incremental AV. District officials said they have no record of any appeals this year. Given declines in tax incremental revenue, S&P calculates annual debt service coverage to be 0.97x based on the fiscal 2011 tax increment levy. Debt service for next year increases by 17.6%, which, if AV doesn't grow, would cause coverage to weaken. For fiscal 2012, a tax passthrough agreement payment to an underlying tax entity, which the agency currently pays senior to debt service, expires. "Accounting for the agency not making this payment in fiscal 2012, and using projected revenues that assume no changes to the current tax base, we calculate maximum annual debt service (MADS) coverage to be 0.91x based on the fiscal 2011 incremental tax levy," S&P said. MADS occurs fiscal 2018. The agency's projections show coverage to be below 1x until 2014. "Thereafter, it projects coverage to remain what we see as thin until 2020, when it expects coverage to be 1.20x," according to S&P. Agency assumptions include AV will remain flat until 2013 and grow by 2% thereafter. REAL ESTATE ASSET: Moody's Affirms 18 CMBS Classes of REALT 2005-2 ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings of 18 classes of Real Estate Asset Liquidity Trust, Commercial Mortgage Pass- Through Certificates, Series 2005-2: * Cl. A-1, Affirmed at Aaa (sf); previously on Nov 4, 2005 Definitive Rating Assigned Aaa (sf); * Cl. A-2, Affirmed at Aaa (sf); previously on Nov 4, 2005 Definitive Rating Assigned Aaa (sf); * Cl. XP-1, Affirmed at Aaa (sf); previously on Nov 4, 2005 Definitive Rating Assigned Aaa (sf); * Cl. XP-2, Affirmed at Aaa (sf); previously on Nov 4, 2005 Definitive Rating Assigned Aaa (sf); * Cl. XC-1, Affirmed at Aaa (sf); previously on Nov 4, 2005 Definitive Rating Assigned Aaa (sf); * Cl. XC-2, Affirmed at Aaa (sf); previously on Nov 4, 2005 Definitive Rating Assigned Aaa (sf); * Cl. B, Affirmed at Aa2 (sf); previously on Nov 4, 2005 Definitive Rating Assigned Aa2 (sf); * Cl. C, Affirmed at A2 (sf); previously on Nov 4, 2005 Definitive Rating Assigned A2 (sf); * Cl. D-1, Affirmed at Baa2 (sf); previously on Nov 4, 2005 Definitive Rating Assigned Baa2 (sf); * Cl. D-2, Affirmed at Baa2 (sf); previously on Nov 4, 2005 Definitive Rating Assigned Baa2 (sf); * Cl. E-1, Affirmed at Baa3 (sf); previously on Nov 4, 2005 Definitive Rating Assigned Baa3 (sf); * Cl. E-2, Affirmed at Baa3 (sf); previously on Nov 4, 2005 Definitive Rating Assigned Baa3 (sf); * Cl. F, Affirmed at Ba1 (sf); previously on Nov 4, 2005 Definitive Rating Assigned Ba1 (sf); * Cl. G, Affirmed at Ba2 (sf); previously on Nov 4, 2005 Definitive Rating Assigned Ba2 (sf); * Cl. H, Affirmed at Ba3 (sf); previously on Nov 4, 2005 Definitive Rating Assigned Ba3 (sf); * Cl. J, Affirmed at B2 (sf); previously on Apr 8, 2010 Downgraded to B2 (sf); * Cl. K, Affirmed at B3 (sf); previously on Apr 8, 2010 Downgraded to B3 (sf); and * Cl. L, Affirmed at Caa1 (sf); previously on Apr 8, 2010 Downgraded to Caa1 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.6% of the current balance. At last review, Moody's cumulative base expected loss was 1.1%. Moody's stressed scenario loss is 10.1% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply/demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. The principal methodologies used in this rating were CMBS: "Moody's Approach to Rating Canadian CMBS", published in May 2000 and Moody's Approach to Rating Fusion Transactions" published in April 2005. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. 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 risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 23 compared to 30 at Moody's prior full review. 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 action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated April 8, 2010. Please see the ratings tab on the issuer/entity page on moodys.com for the last rating action and the ratings history. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. RESIDENTIAL ASSET: Moody's Junks Ratings on 52 Classes ------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 109 tranches and confirmed the ratings of six tranches from 13 Subprime deals issued by Residential Asset Securities Corporation (RASC) and six deals issued by Residential Asset Mortgage Products (RAMP). The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current levels of credit enhancement, collateral performance and updated pool-level loss expectations. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. In addition, as to all the deals covered in these rating actions except for RASC 1999-RS1, RAMP 2001-RS2, RAMP 2003-RZ1, and RAMP 2004-RZ3, Moody's has adjusted the ratings to reflect certain loss allocation rules outlined in the Pooling and Servicing Agreement (PSA). Each of the PSAs for these deals states that losses are first covered by excess spread, then allocated to the related group's certificated over-collateralization (OC) amount. However, any remaining group losses will not be applied to the related certificates until the aggregate deal collateral balance is less than the aggregate balance of all Class A and Class M certificates. Group losses are never explicitly allocated to the unrelated groups' certificated OC amount. Previous rating actions relied on conflicting language in the Prospectus Supplement, which provides that collateral group losses not covered by excess spread are allocated to the unrelated groups' certificated OC amount after allocating to the related group's certificated OC amount. The trustee has confirmed that it is following the PSA for all deals covered in these rating actions and Moody's has adjusted its analysis accordingly. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005 ). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain tranches in transactions serviced by GMAC Mortgage, LLC's (GMACM), were placed on review for possible downgrade in 2010 due to two concerns regarding the servicer's practices. Firstly, GMACM used shared custodial bank accounts for multiple RMBS transactions and secondly, GMACM had to suspend foreclosures in 25 states due to irregularities in its foreclosure processes. As GMACM is a subsidiary of C rated Residential Capital, LLC (RFC), in case of a default, losses could have been absorbed by the trusts. Since the tranches were placed on review, GMACM has eliminated the use of a common bank account across RMBS deals and set up individual accounts for each transaction. Also, GMACM has reviewed and revamped its foreclosure process, and has lifted its suspension of foreclosure sales and evictions on a case by case basis. The ratings actions are based on recent pool performance and the available credit enhancement. Moody's is not keeping these bond under further review due to the two issues highlighted above as they have been resolved. However, the state attorneys general are engaged in ongoing discussions with several servicers regarding loan modifications and foreclosure procedures. The ultimate settlement of those discussions may entail fines, loan forgiveness, cash payments to borrowers or other features that could reduce future cash flows to RMBS investors. Moody's will continue to monitor the outcome and assess future credit implications on the ratings as the situation evolves. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: RASC Series 2003-KS11 Trust -- Cl. A-I-4, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to A2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Ba2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to Caa2 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2003-KS4 Trust -- Cl. A-I-5, Downgraded to Baa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to Baa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-II-A, Downgraded to Caa3 (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II-B, Downgraded to Caa3 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-III, Downgraded to Caa1 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. M-I-1, Downgraded to Caa2 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2003-KS5 Trust -- Cl. A-I-5, Downgraded to Caa2 (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-6, Downgraded to Caa1 (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II-A, Downgraded to Caa3 (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II-B, Downgraded to Caa3 (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RASC Series 2003-KS9 Trust -- Cl. A-I-4, Downgraded to Caa1 (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-5, Downgraded to Caa2 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-6, Downgraded to Caa1 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II-A, Downgraded to Caa3 (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II-B, Downgraded to Caa3 (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RASC Series 2004-KS1 Trust -- Cl. A-I-4, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to B2 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to Ca (sf); previously on Mar 3, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to Caa2 (sf); previously on Mar 3, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to C (sf); previously on Mar 3, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Downgraded to C (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2004-KS2 Trust -- Cl. A-I-4, Downgraded to Baa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to Baa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to Baa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to B2 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to Caa1 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2004-KS3 Trust -- Cl. A-I-4, Downgraded to Baa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to Baa3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to Baa2 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Caa1 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to Caa1 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2004-KS4 Trust -- Cl. A-I-4, Downgraded to Caa3 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-5, Downgraded to Caa3 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-6, Downgraded to Caa2 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II-A, Downgraded to Ca (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II-B3, Downgraded to Ca (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RASC Series 2004-KS5 Trust -- Cl. A-I-4, Downgraded to B2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to B2 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to B1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to C (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2004-KS6 Trust -- Cl. A-I-4, Downgraded to Ba2 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to Ba2 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to Ba1 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Confirmed at Ca (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to Caa3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to C (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2004-KS7 Trust -- Cl. A-I-4, Downgraded to Caa3 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-I-5, Downgraded to Caa3 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-I-6, Downgraded to Caa2 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-II-A, Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-II-B3, Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: Residential Asset Securities Corporation, Series 2001-KS1 -- A-I-5, Downgraded to Caa3 (sf); previously on April 8, 2010 Aa3 (sf) Remained On Review for Possible Downgrade Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- A-I-6, Downgraded to Caa2 (sf); previously on April 8, 2010 Aa3 (sf) Remained On Review for Possible Downgrade Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- A-II, Confirmed at Aa2 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: RAMP Series 2001-RS2, Mortgage Asset-Backed Pass-Through Certificates, Series 2001-RS2 -- Cl. A-II, Downgraded to A1 (sf); previously on Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to B1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to Ca (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-II, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2004-KR1 Trust -- Cl. M-I-1, Downgraded to B2 (sf); previously on Mar 3, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to Ca (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to B1 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to Ca (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2004-KR2 Trust -- Cl. M-I-2, Downgraded to Caa2 (sf); previously on Mar 3, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to Ca (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-4, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to Ba3 (sf); previously on Mar 3, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Residential Asset Securities Corporation, Series 1999-RS1 -- A-I-3, Downgraded to B3 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2003-RZ1 Trust -- Cl. A-I-5, Downgraded to B2 (sf); previously on April 8, 2010 A2 (sf) Remained On Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-6, Downgraded to B3 (sf); previously on April 8, 2010 A2 (sf) Remained On Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-7, Downgraded to B2 (sf); previously on April 8, 2010 A2 (sf) Remained On Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II, Downgraded to B2 (sf); previously on April 8, 2010 A2 (sf) Remained On Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2004-RZ2 Trust -- Cl. A-I-4, Downgraded to Caa2 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-I-6, Downgraded to Caa2 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-II, Confirmed at Caa2 (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Confirmed at Caa2 (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-I-5, Confirmed at Caa3 (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Confirmed at Caa3 (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: RAMP Series 2004-RZ3 Trust -- Cl. A-I-4, Downgraded to Ba1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to Ba2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to Ba1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Ca (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to C (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-4, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Confirmed at Aa2 (sf); previously on Sep 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Confirmed at A2 (sf); previously on Sep 27, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-4, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF241461 A list of updated estimated pool losses and sensitivity analysis is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 SACO I INC: Moody's Junks Ratings on 5 Tranches of Series 2000-3 ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of seven tranches from SACO I Inc. Series 2000-3. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization,excess spread, time tranching, and other structural features within the senior note waterfalls. The Pre-2005 US RMBS Surveillance Methodology is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: SACO I Inc. Series 2000-3 * Cl. 1-B-1, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade; * Cl. 1-B-2, Downgraded to Ca (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade; * Cl. 1-B-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade; * Cl. 3-A, Downgraded to B1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade; * Cl. 3-B-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade; * Cl. 3-B-2, Downgraded to Ca (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade; * Cl. 3-B-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade. A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF241538 A list of updated estimated pool losses and sensitivity analysis is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 SALOMON BROTHERS: Moody's Upgrades Four and Affirms Five CMBS ------------------------------------------------------------- Moody's Investors Service upgraded the ratings of four classes and affirmed five classes of Salomon Brothers Securities VII, Inc., Commercial Mortgage Pass-Through Certificates, Series 2000-C1: * Cl. X, Affirmed at Aaa (sf); previously on Mar 7, 2001 Definitive Rating Assigned Aaa (sf); * Cl. F, Upgraded to Aaa (sf); previously on Jul 30, 2010 Upgraded to Aa3 (sf) * Cl. G, Upgraded to Aaa (sf); previously on Jul 30, 2010 Upgraded to A2 (sf); * Cl. H, Affirmed at Ba1 (sf); previously on Mar 7, 2001 Definitive Rating Assigned Ba1 (sf) * Cl. J, Affirmed at Ba3 (sf); previously on Jul 30, 2010 Downgraded to Ba3 (sf); * Cl. K, Upgraded to Caa1 (sf); previously on Jul 30, 2010 Downgraded to Ca (sf); * Cl. L, Upgraded to Caa3 (sf); previously on Jul 30, 2010 Downgraded to C (sf); * Cl. M, Affirmed at C (sf); previously on Jul 30, 2010 Downgraded to C (sf); * Cl. N, Affirmed at C (sf); previously on Jul 30, 2010 Downgraded to C (sf) Ratings Rationale The upgrades are due to increased credit subordination, overall improved pool performance, and better than expected resolution of several loans that were in special servicing at last review. Since the prior review, realized losses have increased by $1.2 million while $7.6 million in losses were expected on the loans liquidated from the pool. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 15.0% of the current balance. At last review, Moody's cumulative base expected loss was 20.5%. Moody's stressed scenario loss is 18.8% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodologies used in this rating were: "Moody's Approach to Rating Fusion Transactions" published in April 2005 and "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. 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 risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 5 compared to 7 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. 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 action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated July 30, 2010. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the March 18, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 91% to $64.0 million from $713.3 million at securitization. The Certificates are collateralized by 25 mortgage loans ranging in size from less than 1% to 38% of the pool, with the top ten loans representing 77% of the pool. Six loans, representing 12% of the pool, have defeased and are collateralized by U.S. Government securities. One loan, representing 2% of the pool, is on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) 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. SAPPHIRE VALLEY: S&P Upgrades Class E Rating to 'BB+' From 'B+' --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A, B, C, D, and E notes from Sapphire Valley CDO I Ltd., a cash flow collateralized loan obligation (CLO) transaction managed by Babson Capital Management. "We removed the rating on the class A notes from CreditWatch with positive implications. Simultaneously, we affirmed our rating on the class X notes," S&P related. "In March 2010 we affirmed our ratings on this deal and removed them from CreditWatch with negative implications. According to the February 2010 monthly trustee report (which we used for the March 2010 rating action), the transaction was failing all of its overcollateralization (O/C) tests and -- after paying the class B interest -- was diverting interest and principal proceeds to paying down the class A notes. The class A balance was $390.58 million in February 2010, approximately 93.33% of its original balance. The class C, D, and E notes were deferring their interest," S&P related. Since then, the transaction's performance improved and the O/C ratios increased. According to the February 2011 monthly trustee report: * Class A/B O/C ratio was 114.49%, compared with 106.48% in February 2010; * Class C O/C ratio was 109.39%, compared with 102.08%; * Class D O/C ratio was 104.72%, compared with 98.02%; and * Class E O/C ratio was 101.37%, compared with 94.64%. When calculating the O/C ratios, the trustee haircuts the portion of the collateral--based on the type of security and the rating-- that is in excess of the percentage allowed in the transaction documents. The haircut in February 2011 was approximately 9.72%. All O/C tests -- except that of class E -- currently pass. The improvement of all the O/C tests over time allowed the class C, D, and E notes to eventually receive their deferred interest in full; simultaneously, the class A balance is down to $356 million, which is approximately 85% of its original balance. The class E O/C test is currently failing and principal proceeds will continue to be used to pay down the class A notes until the test passes. However, the class E O/C cure in the interest proceeds section of the waterfall diverts available interest proceeds -- after payment of any class E deferred interest -- to paydown the class E notes until the test comes back into compliance. The January 2011 payment report indicates that the class E note received $2.49 million as principal payment from interest proceeds and as a result, its current balance decreased to $15.50 million, which is 86.12% of its original balance. The credit quality of the underlying portfolio had also improved since the time of the last rating action. The trustee reports $26.897 million of 'CCC' rated collateral in February 2011, down from $35.39 million in February 2010. In addition, the defaults according to the February 2011 monthly report are $1.9 million par, down from $44 million in February 2010. The paydowns, fewer defaults, and improvement in the credit quality of the collateral improved the credit support to the rated tranches at their prior rating levels resulting in the upgrades. The class X note receives a scheduled payment every payment period pari passu with the class A interest. Its current balance of $1.819 million (as of February 2010) is 36.39% of its original balance. "We affirmed the rating on class X based on its available credit support and projected repayment schedule," S&P related. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Actions Sapphire Valley CDO I Ltd. Rating Class To From A AA+ (sf) A+ (sf)/Watch Pos B A+ (sf) BBB (sf) C BBB+ (sf) BB+ (sf) D BBB (sf) BB- (sf) E BB+ (sf) B+ (sf) Rating Affirmed Sapphire Valley CDO I Ltd. Class Rating X AAA SOLEDAD REDEVELOPMENT: S&P Cuts Tax Allocation Bond Ratings to BB+ ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its long-term rating and underlying rating to 'BB+' from 'A-' on Soledad Redevelopment Agency, Calif.'s 2007A and 2007B tax allocation bonds based on its view of the merged project area's substantial drops in assessed value in recent years, which resulted in maximum annual debt service coverage levels falling below what S&P considers adequate. The outlook is stable. The rating reflects S&P's view of the agency's: * Inadequate maximum annual debt service coverage of 0.97x; * Moderate volatility ratio (base-year to total AV) of 0.18 in fiscal 2011; and * Modest concentration in the project area's leading 10 taxpayers. Moderating factors, in S&P's view, include the project area's: * Available bond proceeds that can be used to pay for debt service if necessary; and * Fully funded cash debt reserve (DSR) fund, totaling $1.5 million as of the end of fiscal 2011. "The stable outlook reflects our expectation that the agency will likely meet its debt service obligations primarily through ongoing tax increment revenue and the use of cash resources, which include the agency's bond proceeds and debt service reserve," said Standard & Poor's credit analyst Li Yang. "The outlook also reflects our view of the possibility of more AV declines; significant declines could lead to further negative rating actions. However, should AV levels increase, resulting in coverage rising to what we consider adequate levels, then we could raise the rating," S&P said. Soledad, with an estimated population of 15,000, is located in Monterey County's Salinas Valley on Highway 101, about 25 miles south of Salinas and 120 miles south of San Francisco. The community has traditionally served as an agricultural service town, and increasingly serves as a bedroom community to Salinas and Monterey. SORIN REAL: S&P Affirms 'CCC-' Ratings on Three Classes ------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes from Sorin Real Estate CDO IV Ltd. (Sorin IV), a commercial real estate collateralized debt obligation (CRE CDO) transaction. "At the same time, we affirmed our 'CCC- (sf)' ratings on three other classes from the same transaction," S&P said. "The downgrades reflect our assessment of the increases in reported impaired assets ($89.6 million, 27.0% of the pool balance). The volume of the impaired assets prompted further deterioration in the transaction's collateralization rate, which fell to 93.9% as of the Feb. 28, 2011 trustee report, from 96.6% as of the June, 30, 2010, trustee report," S&P noted. According to the Feb. 28, 2011 trustee report, the transaction's collateral totaled $332.2 million, while the transaction's liability totaled $353.8 million, resulting in a collateralization rate of 93.9%. The transaction's current asset pool included: * Twelve commercial mortgage-backed securities (CMBS) tranches ($131.3 million, 39.5%); * Eight subordinate-interest loans ($128.8 million, 38.8%); * Six whole loans ($32.4 million, 9.7%); * One real estate investment trust (REIT) debt ($23.3 million, 7.0%); * One CRE bond ($12.5 million, 3.8%); and * One CDO tranche ($4.1 million, 1.2%). The trustee report noted eight defaulted loans in the pool ($67.2 million, 20.2%), as well as three defaulted securities ($20.1 million, 6.1%). Standard & Poor's estimated asset specific recovery rates for the loans reported as defaulted, which ranged from 0.0% to 59.3%. "We based the recovery rates on information from the collateral manager, special servicer, and third-party data providers," S&P noted. The defaulted loans are: * The 10 MetroTech subordinate loan ($21 million, 6.3%); * The Yellowstone bond ($12.5 million, 3.7%); * The Chico Mall subordinate loan ($8.5 million, 2.6%); * The Dyersburg Mall whole loan ($8.5 million, 2.6%); * The Weststate Land Partners whole loan ($8 million, 2.4%); * The Flag Luxury Properties second-lien subordinate loan ($4.5 million, 1.3%); and * Two Yellowstone Mountain Club whole loans ($4.2 million, 1.3%). According to the trustee report, the deal is passing all three interest coverage tests but failing all three principal coverage tests. "We analyzed the transaction and its underlying collateral assets according to our current criteria. Our analysis is consistent with the current lowered and affirmed ratings," S&P added. Ratings Lowered Sorin Real Estate CDO IV Ltd. Rating Class To From A1 B+ (sf) BBB- (sf) A2 B (sf) BB+ (sf) A3 B- (sf) BB+ (sf) B CCC+ (sf) BB (sf) C CCC- (sf) B- (sf) D CCC- (sf) CCC+ (sf) Ratings Affirmed Sorin Real Estate CDO IV Ltd. Class Rating E CCC- (sf) F CCC- (sf) G CCC- (sf) SOUTHERN CALIFORNIA LOGISTICS: Moody's Cuts Bond Rating to 'B1' --------------------------------------------------------------- Moody's has downgraded to B1 from Ba3 the rating on Southern California Logistics Airport Authority's Subordinate Tax Allocation Revenue Bonds (Southern California Logistic Airport Project). The bonds are secured solely by allocated incremental revenues from all twelve sub-areas of Victor Valley Economic Development Authority's (VVEDA) Project Area, net of housing set- asides, debt service on senior lien bonds, and other senior pass- throughs. The downgrade affects approximately $51 million in subordinate bonds. Moody's has also affirmed the Baa3 rating on the Southern California Logistics Airport Authority's Taxable Housing Set-Aside Revenue Parity Bonds, (Southern California Logistics Airport Project) Series 2007, also issued through Southern California Logistic Airport Authority. The housing bonds are secured solely by the housing set-aside incremental revenue of the Southern California Logistic Airport and Victorville sub-areas of the VVEDA Project Area. The rating affects approximately $40 million in taxable bonds. The outlook on both of these ratings is negative. Ratings Rationale The assessed values (AV) have suffered significant reductions in value brought on by the collapse of residential property values. The downgrade of the subordinate non-housing bonds is primarily based on the continued, significant deterioration in incremental tax revenues securing these bonds. The annual incremental revenues securing the subordinate non-housing bonds of the Southern California Logistic Airport Authority are no longer sufficient to cover total debt service, and the most recent debt service payment was made in full by relying on previously collected incremental revenues. Reasonable assumptions for AV trends in the near term indicate high probability of shortfall in meeting debt service requirements within two or three fiscal years, after exhausting available borrowable resources and debt service reserves. The affirmation of the Baa3 rating on the Southern California Logistic Airport Authority housing bonds primarily reflects the fact that while incremental revenues securing these bonds decreased by approximately 20% in 2011, this decline was not unexpected and the resulting debt service coverage of 1.3x remains consistent with the assigned rating. The size of the project areas is a credit positive for these types of credits in the long term, as is Moody's expectation that with the stabilization of the housing market AV may rebound. The vast majority of the AV declines resulted from Proposition 8 rollbacks enacted by the County Assessor. These properties' AVs will therefore not be subject to the same strict AV growth limits that would result from successful assessment appeals or market turnover, unless/until the former, adjusted base AV is reestablished. The negative outlook on these ratings reflects the likelihood of continued assessed valuation declines and further erosion of debt service coverage ratios. KEY STRENGTHS - Non-housing bonds * Large underlying assessed valuation. * Large residential component adds diversity to the assessed valuation. KEY CHALLENGES - Non -housing bonds * Rapid deterioration of property market values and assessed values. * Less than 1.0 times coverage of debt service. * Low incremental AV to total AV ratio which amplifies incremental AV fluctuations with respect to total AV fluctuations. * High incremental AV concentration. KEY STRENGTHS - Housing bonds * Large underlying assessed valuation. * Large residential component adds diversity to the assessed valuation. KEY CHALLENGES - Housing bonds * Rapid deterioration property market values and assessed values. * Low Incremental AV to Total AV ratio which amplifies Incremental AV fluctuations with respect to Total AV fluctuations. * High Incremental AV concentration. NON-HOUSING SUBORDINATE BONDS: Very Large Project Area Tax Base With Some Ownership Concentration; Declining Tax Increment Revenues No Longer Provide Coverage of Peak Debt Service The Victor Valley Redevelopment Project Area (VVEDA Project Area) spans more than 85,000 acres. The project area was created by Victor Valley Economic Development Authority (VVEDA) to stimulate economic development in and around Victorville and the SCLA. VVEDA is a Joint Exercise of Powers Authority which adopted its original Redevelopment Plan to include the Southern California Logistic Airport and 44,813 acres of adjacent properties within the original territorial jurisdictions of the VVEDA Members, which include: the County of San Bernardino, the City of Victorville, the Town of Apple Valley, and the City of Hesperia. In 2000, the City of Adelanto became a member of VVEDA and 15,705 acres within the City of Adelanto, the City of Victorville and unincorporated areas of the County of San Bernardino were added as well. In 2006, VVEDA added 24,610 acres within the City of Adelanto, the City of Victorville, the Town of Apple Valley, and the County of San Bernardino. VVEDA delegated all of its redevelopment authority with respect to the Airport to the Southern California Logistics Airport Authority (SCLAA or Authority). The Authority is empowered to issue bonds and notes secured by tax increment revenues generated in the VVEDA Project Area and allocated for use on the Airport pursuant to the VVEDA Joint Powers Authority, to finance redevelopment activities within and benefiting the Airport. Southern California Logistics Airport Authority, which is the issuer of the bonds, is also a Joint Exercise of Powers Authority formed by the City of Victorville and Victorville Redevelopment Agency. The members of the Victorville City Council serve as members of the Authority's Commission, and the Victorville City Manager serves as the Authority's Executive Director. The subordinate bonds are secured solely by all tax increment revenues generated on the parcels comprising the Airport, Victorville and all tax increment revenues pledged paid to the Authority by the VVEDA Members from the VVEDA Project Area. The Bonds are not a debt of the VVEDA or the City of Victorville. While the other members pledge one half of their increments to debt service (including senior lien), net of housing set-aside and senior pass-throughs, the City of Victorville has pledged all of its available increment to debt service, including senior lien (net of housing set aside and senior-pass throughs). As a result, the project areas in Victorville provide 68% of pledged revenues (as defined by the Additional Bonds Test), although it accounts for 60.0% of the total AV and 60.1% of the incremental AV. Largely as the result of Proposition 8 adjustments made by the county assessor between 2009 and 2011, total AV decreased from $9.49 billion in 2009 to $7.79 billion in 2010 and $6.96 billion in 2011. Between 2009 and 2010, as total AV decreased by17.9%, the incremental AV securing the bonds decreased from $5.71 billion to $4.00 billion, a decrease of 30.1%, which reduced debt service coverage to just 1.07 times. In 2011, the total AV decline was 11.3%, which reduced the Incremental AV by 22.0% and resulted in a debt service coverage of 0.87x. The issuer reports that it made its required debt service payment in December, 2010 with the help of previously collected revenues. At the end of 2009 the issuer had presented reasonable cash flow projections which indicated the likelihood that 2011 debt service could be met with the use of previously collected tax increment, even in case of continued significant AV contraction. For 2012 and beyond, significant uncertainty remains about the issuer's ability to meet all debt service requirements if the AV does not begin to improve in the near term. The issuer has indicated that in the Fiscal Year 2012, it will continue to be able to meet its debt service requirements with previously collected tax increments and inter-fund loans, mostly consisting of excess increment in the housing fund. Even in the case of no further declines in AV, in the fiscal year 2013, the likelihood of relying on the debt service reserves and depleting them is high, which raises the probability of insufficient funds for debt service in 2014. The debt service reserve for the Series 2007 Bonds is fully funded with cash at the annual debt service level of $2.7 million. The debt service reserve for the Series 2008 bonds is funded at $1.3 million which exceeds the near term annual debt service of $410,000. The Authority's fiscal consultant projects resumption of AV growth in 2012 and beyond. In 2012, AV is projected to increase by 0.83% based on inflationary adjustment of 0.753% and a modest amount of new growth. For 2013, the consultant's inflationary growth assumption is 1.0%, and 2.0% thereafter. If these growth rates materialize, and the agency's available borrowable resources are as currently assumed by the issuer, a debt service shortfall may be averted and incremental revenues would once again provide 1.0 times coverage by 2016. The project area's incremental AV to total AV ratio of approximately 50% amplifies marginal changes in total AV. Therefore such marginal increases in AV will bode well for recovery of incremental revenues. On the other hand, if AV declines persist in 2012, subsequent AV increases have to be much greater in magnitude to avoid debt service shortfalls. In the medium to long term, it is possible that with the stabilization of the housing market AV may rebound, since the vast majority of AV declines were Proposition 8 rollbacks enacted by the county assessor. Parcels whose values were reduced pursuant to Proposition 8 are not limited to annual increases of the lesser of 2% or inflation; instead, their assessed values can increase as market values rise until they reach their pre-Proposition 8 assessed value. Moody's also notes that some industrial development continues in the project area which also contributes additional AV growth potential. The 2011 tax base ownership is concentrated. The ten largest secured tax payers represent 14.6% of total secured AV and 32.4% of pledged tax revenue. The largest taxpayer, High Desert Power Trust, represents 12.15% of the AV increment securing the bonds and 5.5% of the total AV underlying the increment. Similarly, the second largest taxpayer, Riverside Cement Company, represents 5.9% of the AV increment and 2.7% of the total AV underlying the increment. In order to issue additional debt under the ABT, no single entity can represent more than 5% of the total AV underlying the incremental AV. No additional debt is being contemplated as this time since current coverage levels well below the ABT. Project Area Suffers From Some of the Steepest Declines in Hosing Values Anywhere in the State The City of Victorville dominates the project area and economic expansion prior to the recent downturn had been robust. The current population of the city is estimated at more than 100,000, while in 1994 it was approximately 60,000. Much of this expansion is tied to the formation of Victor Valley Economic Development Authority in 1989 following the announcement of the closure of George Air Force Base (now SCLA). In 1992 the base was officially closed. Victor Valley Redevelopment Project Area with its atypical sub-areas was created in 1993 with special legislation passed in 1990. In 1997 SCLA Authority (the issuer) was created by the city of Victorville, and the Victor Valley Economic Development Authority, which assigned airport control to Victorville. In 1998 the redevelopment plan was amended to adjust the base year. In 2001 Southern California Logistics Rail Authority was formed. In 2006 the redevelopment plan was once again amended and expanded to 85,000 acres. However since their peak in 2007, property values have decreased by more than 60%. Standard Additional Bonds Test Adjusted for Tax Payer Concentration; Standard Reserve Requirement Bondholders are protected from a reduction in current coverage levels as a result of the issuance of additional bonds by the requirement that incremental revenues provide at least 1.25 times maximum annual debt service on all debt. In addition, bondholders are protected by the adjustment of revenues from tax payers whose AV is greater than 5% of AV of the underlying pledged incremental AV, as discussed above. Bond holders are also protected by a debt service reserve fund sized at the standard three tier, lesser-of test. Housing Bonds The housing bonds are secured solely by the housing set-aside increments of the SCLA and Victorville sub-areas whose combined AV in 2011 is $5.25 billion, down from $5.71 billion, a decrease of 10.0%. The incremental AV decreased from $3.03 billion to $2.50 billion, a decrease of 16.9%. Despite the large decrease, 2011 debt service coverage remained consistent with the current rating at 1.3x and significantly stronger than the coverage for the non- housing bonds. With a static AV in the near term, the coverage level should not change. Assuming the AV recovery scenario outlined in the non-housing case, debt service coverage should return to 1.5x by 2016. With a 5% AV decline, coverage would decrease to 1.17x which could place additional pressure on the rating. Outlook The negative outlook reflects the noted, but moderating, pressures on the assessed and incremental values. Further erosion of incremental revenues would reduce coverage levels and accelerate potential shortfalls in meeting debt service requirements in the case of the non-housing bonds, and further erode coverage levels for the housing bonds. Key Statistics Non-Housing Bonds: -- Total project area size: 85,000 acres -- Average annual growth of incremental AV., FYs 2003-2008: 51.1% -- Incremental Value decline between 2009 and 2010: 30.1% -- Incremental Value Decline Between 2010 and 2011: 22.0% -- Largest taxpayer as % of incremental AV., FY 2011: 12.15% -- Ten largest taxpayers as % of incremental AV, FY 2010: 32.4% -- Peak total debt service coverage, FY 2011, est.: 0.87x -- Additional Bonds Test: 1.25x Housing Bonds: -- Total project area size: 46,000 acres -- Peak total debt service coverage, FY 2011, 1.30x What could move the rating UP -- Continued, long-term growth of project area AV -- Higher debt service coverage structured to be maintained over the long term What could move the rating DOWN -- Decline in debt service coverage -- Decline in AV -- Increased concentration among the top taxpayers The principal methodology used in this rating was Moody's Analytic Approach To Rating California Tax Allocation Bonds published in December 2003. STARLING FINANCE: S&P Downgrades Ratings on Two CDOs to 'D' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on Starling Finance PLC's series 2006-17 and 2006-19 floating-rate Clervaux Portfolio credit-linked notes, which are synthetic collateralized debt obligations (CDOs). "We lowered the ratings on these notes to 'D (sf)' from 'CCC- (sf)' due to principal losses on the notes," S&P explained. The downgrades follow a number of credit events within the transactions' underlying asset portfolios that have caused partial principal losses to the notes. Ratings lowered: Starling Finance PLC Rating Series To From 2006-17 D (sf) CCC- (sf) 2006-19 D (sf) CCC- (sf) TERREMARK WORLWIDE: S&P Upgrades Rating on Class E Notes to 'BB+' ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, B, C, D, and E notes from Madison Park Funding VI Ltd., a collateralized loan obligation (CLO) transaction managed by CSFB Alternative Capital Inc. "At the same time, we removed our ratings on the class A-2 and B notes from CreditWatch, where we placed them with positive implications on Jan. 19, 2011. We also affirmed our 'AAA (sf)'rating on the class A-1 notes," S&P said. "The upgrades reflect improved performance we have observed in the deal's underlying asset portfolio since our March 10, 2010, rating actions, when we downgraded the A-2, B, C, D, and E notes following the application of our September 2009 CDO criteria for corporate-backed securities. The affirmation of the class A-1 notes reflects the availability of credit support at the current rating level," S&P said. "As per the February 2011 trustee report, the transaction had $4.2 million of defaulted assets in its collateral pool. This was down from $16.5 million as reflected in the January 2010 trustee report, which we referenced for our March 2010 rating actions," S&P noted. The transaction has also benefited from an increase in overcollateralization (O/C) available to support the rated notes. The trustee reported the following O/C ratios in the February 2011 monthly report: * The class A&B O/C ratio was 126.1%, compared with a reported ratio of 122.5% in January 2010; * The class C O/C ratio was 117.9%, compared with a reported ratio of 114.5% in January 2010; * The class D O/C ratio was 113.2%, compared with a reported ratio of 109.9% in January 2010; and * The class E O/C ratio was 109.0%, compared with a reported ratio of 105.9% in January 2010. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating and CreditWatch Actions Madison Park Funding VI Ltd. Rating Class To From A-2 AA+ (sf) AA- (sf)/ Watch Pos B AA- (sf) A+ (sf)/ Watch Pos C A (sf) BBB+ (sf) D BBB (sf) BB+ (sf) E BB+ (sf) B+ (sf) Rating Affirmed Madison Park Funding VI Ltd. Class Rating A-1 AAA (sf) VITALITY RE: S&P Assigns 'BB+' Preliminary Rating to Class B Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its 'BBB (sf)' and 'BB+ (sf)' preliminary ratings to the series 2011-1 class A and B notes, respectively, issued by Vitality Re II Ltd. The preliminary ratings are based on information as of April 5, 2011. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. Vitality Re II Ltd.'s series 2011-1 note issuance is a securitization covering medical benefit claims. The notes cover claims payments of Health Re Inc., and ultimately, Aetna Life Insurance Co. (ALIC), relating to the covered insurance business to the extent that the medical benefits ratio (MBR) exceeds the class-specific MBR attachment levels. The MBR will be calculated on an annual aggregate basis. Vitality Re II is a Cayman Islands-exempted company licensed as a restricted class B insurer in the Cayman Islands. The preliminary ratings are based on the lower of the implied ratings on the ceded risk; the rating on ALIC, the underlying ceding insurer; and the rating on The Goldman Sachs Group Inc., the guarantor of Goldman Sachs & Co., the repurchase counterparty. The ratings on the ceded risk are currently the lowest of the three ratings. "However, if ALIC or Goldman Sachs Group were to be rated lower than the ceded risk, we would lower the rating on the notes accordingly," S&P said. The underlying cedent and ultimate beneficiary of the coverage the notes provide is ALIC. The insurer financial strength rating on ALIC (A+/Negative/--) and the counterparty credit rating on the holding company, Aetna Inc. (A-/Negative/A-2) (collectively referred to as Aetna), are based on Aetna's well-diversified market profile, strong cash flow generation, and strong liquidity and financial flexibility. Key rating constraints include economic and competitive pressures on industry operating margins as well as the potential for regulatory/legislative decisions that could negatively affect the industry. Preliminary Ratings Assigned Vitality Re II Ltd. - Series 2011-1 Issue Rating Series 2011-1 class A BBB (sf) Series 2011-1 class B BB+ (sf) WACHOVIA BANK: Moody's Affirms 19 CMBS Classes of WBCMT 2005-C20 ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 19 classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2005-C20: * Cl. X-P, Affirmed at Aaa (sf); previously on Sep 8, 2005 Definitive Rating Assigned Aaa (sf); * Cl. X-C, Affirmed at Aaa (sf); previously on Sep 8, 2005 Definitive Rating Assigned Aaa (sf); * Cl. A-4, Affirmed at Aaa (sf); previously on Sep 8, 2005 Definitive Rating Assigned Aaa (sf); * Cl. A-5, Affirmed at Aaa (sf); previously on Sep 8, 2005 Definitive Rating Assigned Aaa (sf); * Cl. A-6A, Affirmed at Aaa (sf); previously on Sep 8, 2005 Definitive Rating Assigned Aaa (sf); * Cl. A-6B, Affirmed at Aaa (sf); previously on Sep 8, 2005 Definitive Rating Assigned Aaa (sf); * Cl. A-PB, Affirmed at Aaa (sf); previously on Sep 8, 2005 Definitive Rating Assigned Aaa (sf); * Cl. A-7, Affirmed at Aaa (sf); previously on Sep 8, 2005 Definitive Rating Assigned Aaa (sf); * Cl. A-1A, Affirmed at Aaa (sf); previously on Sep 8, 2005 Definitive Rating Assigned Aaa (sf); * Cl. A-MFL, Affirmed at Aa1 (sf); previously on Sep 9, 2010 Downgraded to Aa1 (sf); * Cl. A-MFX, Affirmed at Aa1 (sf); previously on Sep 9, 2010 Downgraded to Aa1 (sf); * Cl. A-J, Affirmed at A3 (sf); previously on Sep 9, 2010 Downgraded to A3 (sf); * Cl. B, Affirmed at Baa2 (sf); previously on Sep 9, 2010 Downgraded to Baa2 (sf); * Cl. C, Affirmed at Ba1 (sf); previously on Sep 9, 2010 Downgraded to Ba1 (sf); * Cl. D, Affirmed at B2 (sf); previously on Sep 9, 2010 Downgraded to B2 (sf); * Cl. E, Affirmed at Caa1 (sf); previously on Sep 9, 2010 Downgraded to Caa1 (sf); * Cl. F, Affirmed at Caa3 (sf); previously on Sep 9, 2010 Downgraded to Caa3 (sf); * Cl. G, Affirmed at Ca (sf); previously on Sep 9, 2010 Downgraded to Ca (sf); and * Cl. H, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to C (sf). Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain the existing rating. Moody's rating action reflects a cumulative base expected loss of 4.0% of the current balance. At last review, Moody's cumulative base expected loss was 9.4%. The pool has experienced an additional $130.4 million in realized losses since last review. Current cumulative base expected loss plus realized losses represents 7.5% of the current balance compared to 7.3% at last review. Moody's stressed scenario loss is 18.1% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodology used in this rating was "CMBS: Moody's Approach to Conduit Transactions" published in September 2000. This methodology is available on Moody's website at www.moodys.com Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. 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 risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 36 compared to 33 at Moody's prior review. 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 action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 9, 2010. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the March 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 27% to $2.683 billion from $3.663 billion at securitization. The Certificates are collateralized by 168 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 44% of the pool. The pool includes two loans with investment grade credit estimates, representing 9% of the pool, the same as at last review. Six loans, representing 1.4% of the pool, have defeased and are collateralized with U.S. Government securities, the same as at last review. Thirty-three loans, representing 12% 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 CRE Finance Council (CREFC) 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. Five loans have been liquidated from the pool since securitization, resulting in an aggregate $132.5 million loss (82% loss severity on average). At last review the pool had experienced less than $2.1 million of losses. The largest loan to liquidate was the Burlington Mall & Macon Mall Loan. The liquidation of this loan resulted in a $127.5 million loss (98% loss severity on average) in September 2010. Ten loans, representing 3% of the pool, are currently in special servicing. The largest specially serviced loan is the JC Studios Loan ($17.1 million -- 0.6% of the pool), which is secured by a 96,000 square foot (SF) industrial building located in Brooklyn, New York. The loan was transferred to special servicing in October 2010 as the result of monetary default. The loan is less than one month delinquent. The remaining nine specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $12.3 million appraisal reduction for six of the specially serviced loans. Moody's has estimated an aggregate $18.9 million loss (48% expected loss on average) for seven of the specially serviced loans. Moody's has assumed a high default probability for two poorly performing loans representing 0.3% of the pool and has estimated a $1.8 million loss (25% expected loss based on a 50% probability default) from these troubled loans. 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 2009 operating results for 83% of the pool and partial year 2010 financials for 75% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 105% compared to 104% at last review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.47X and 1.04X, respectively, compared to 1.47X and 1.02X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) 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. The largest loan with a credit estimate is the 60 Hudson Street Loan ($160.0 million -- 6.0% of the pool), which is secured by a 1.1 million SF Class B office and telecommunication building located in the Tribeca area of New York City, New York. The largest tenants are MCI, Inc. (12% of the net rentable area (NRA); lease expiration December 2014) and Sprint Communications (5% of the NRA; lease expiration December 2012). As of September 2010 the property was 64% leased, essentially the same as last review. Despite the low occupancy, performance has been stable. Moody's credit estimate and stressed DSCR are A2 and 1.86X, respectively, compared to A2 and 1.93X at last review. The second loan with a credit estimate is the Westfield San Francisco Centre Loan ($60.0 million -- 2.2% of the pool), which represents a 50% pari passu interest in a $120.0 million first mortgage loan. The loan is secured by a 498,100 SF retail center located in downtown San Francisco, California. The sponsor is the Westfield Group. The property was 97% leased as of December 2010, compared to 99% at last review. The property is anchored by Nordstrom and Bloomingdales. Moody's credit estimate and stressed DSCR are Baa2 and 1.31X, respectively, compared to Baa2 and 1.24X at last review. The top three conduit loans represent 19% of the pool balance. The largest loan is the NGP Rubicon GSA Pool Loan ($192.6 million -- 7.2% of the pool), which represents a 50% pari passu interest in a $385.3 million first mortgage loan. The loan is secured by a portfolio of 13 office properties and one distribution center located in ten states and the District of Columbia. The portfolio was 99% leased as of September 2010 compared to 97% at last review. Moody's LTV and stressed DSCR are 96% and 0.87X, respectively, compared to 99% and 0.84X at last review. The second largest loan is Americas Mart A-2 Loan ($188.3 million -- 7.0% of the pool), which represents a 50% pari passu interest in a $376.6 million first mortgage loan. The loan is secured by a 4.1 million SF world market center consisting of a campus of three integrated, interconnected buildings located in Atlanta, Georgia. The property was 83% occupied as of September 2010, compared to 96% at securitization. Property performance has deteriorated due to declining rental rates and a decline in occupancy. Moody's LTV and stressed DSCR are 86% and 1.30X, compared to 82% and 1.36X at last review. The third largest loan is the Millennium Park Plaza Loan ($140. million -- 5.2% of the pool), which is secured by a 720,400 SF mixed use property located in Chicago, Illinois. The property consists of 551 residential units, 36,700 SF of retail space and a 94,200 SF office and telecom component. The property was 98% leased as of April 2010, the same as at last review. Moody's LTV and stressed DSCR are 101% and 0.94X, compared to 111% and 0.85X at last review. ZAIS INVESTMENT: Moody's Upgrades Ratings of Six Classes Of Notes ----------------------------------------------------------------- Moody's upgrades the ratings of six classes of notes and five composite obligations issued by ZAIS Investment Grade Limited VI, Ltd., an ABS CDO (from Neil) (New York, March 31, 2011) Moody's Investors Service has upgraded the ratings of five Composite Obligations and six classes of notes issued by ZAIS Investment Grade Limited VI. The classes of notes affected by the rating actions are: * US$206,000,000 Class A-1 Senior Secured Floating Rate Notes (current balance: $111,706,823), Upgraded to A1 (sf); previously on September 9, 2009 Downgraded to Ba1 (sf); * US$54,750,000 Class A-2a Senior Secured Floating Rate Notes, Upgraded to Ba1 (sf); previously on September 9, 2009 Downgraded to Caa1 (sf); * US$8,250,000 Class A-2b Senior Secured Fixed Rate Notes, Upgraded to Ba1 (sf); previously on September 9, 2009 Downgraded to Caa1(sf); * US$21,000,000 Class A-3 Senior Secured Floating Rate Notes, Upgraded to B1 (sf); previously on September 9, 2009 Downgraded to Caa3 (sf); * US$6,400,000 Class B-1 Senior Secured Floating Rate Notes, Upgraded to Caa3 (sf); previously on September 9, 2009 Downgraded to Ca (sf); * US$36,600,000 Class B-2 Senior Secured Fixed Rate Notes, Upgraded to Caa3 (sf); previously on September 9, 2009 Downgraded to Ca (sf); * US$1,250,000 Type II Composite Obligations, Upgraded to Baa3 (sf); previously on September 9, 2009 Downgraded to Caa3 (sf); * US$3,000,000 Type III Composite Obligations, Upgraded to Caa2 (sf); previously on September 9, 2009 Downgraded to Ca (sf); * US$10,500,000 Type IV Composite Obligations, Upgraded to Caa2 (sf); previously on September 9, 2009 Downgraded to Ca (sf); * US$15,000,000 Type V Composite Obligations, Upgraded to Caa2 (sf); previously on September 9, 2009 Downgraded to Ca (sf); and * US$8,600,000 Type VI Composite Obligations, Upgraded to Caa2 (sf); previously on September 9, 2009 Downgraded to Ca (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes and composite obligations result primarily from the delevering of the Class A-1 Notes and the improvement of the credit quality of the portfolio. The Class A-1 Notes have been paid down by approximately $72.5 million since the last rating action in September 2009. As a result of the delevering, the overcollateralization ratios have increased since that time. As of the latest trustee report dated February 16, 2011, the Class A and Class B overcollateralization ratios are reported at 126.32% and 103.56%, respectively, versus August 2009 levels of 107.11% and 92.31%, respectively and currently the Class A OC is in compliance. The Class B-1 and B-2 notes are receiving their interest payments but a deferred interest balance is still outstanding on the Notes and will only be paid down once all the OC and IC tests are passing. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the rating action in September 2009. Based on the February 2011 trustee report, the weighted average rating factor is 2276 compared to 2704 in August 2009. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to about $86 million from approximately $128 million in August 2009. ZAIS Investment Grade Limited VI is a collateralized debt obligation backed primarily by a portfolio of CLOs, and ABS CDOs. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in November 2010. Moody's applied the Monte Carlo simulation framework within CDOROMv2.6 to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool. Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model. The cash flow model takes into account the following: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's rating action today factors in a number of sensitivity analyses and stress scenarios. Results are shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss, assuming that all other factors are held equal: Moody's Caa3 bucket notched down to Ca: * Class A-1: -1 * Class A-2a: -2 * Class A-2b: -2 * Class A-3: -3 * Class B-1: -2 * Class B-2: -2 * Type II Combo: -1 * Type III Combo: -2 * Type IV Combo: -2 * Type V Combo: -2 * Type VI Combo: -2 Moody's Caa3 bucket notched up to Caa1: * Class A-1: 0 * Class A-2a: 0 * Class A-2b:0 * Class A-3:0 * Class B-1: 0 * Class B-2: 0 * Type II Combo: 0 * Type III Combo: 0 * Type IV Combo: +1 * Type V Combo:+1 * Type VI Combo: +1 * S&P Lowers Ratings on 23 Classes on Five CMBS Transactions ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 23 classes from five U.S. commercial mortgage-backed securities (CMBS) transactions and removed them from CreditWatch with negative implications. "Concurrently, we affirmed our ratings on 13 additional classes from four of these five transactions and removed them from CreditWatch with negative implications," S&P related. "The rating actions reflect our analysis of the interest shortfalls affecting the trusts, in particular those interest shortfalls associated with the Beacon Seattle & D.C. Portfolio loan (Beacon loan) modification. We placed the subject classes on CreditWatch with negative implications on Jan. 5, 2011, due to the deals' exposure to the Beacon loan," S&P noted. "Based on our examination of the deals' March 2011 remittance reports and discussions with the loan's special servicer, C-III Asset Management LLC, previous accumulated interest shortfalls on the Beacon loan were repaid with the recent release of the Market Square property. The release also led to an approximately 17% reduction in the loan's principal balance, which currently totals $2.26 billion. Furthermore, in accordance with the terms of the loan modification, the release of the Market Square property triggered a retroactive reduction in the contractual interest rate to 5.000% from 5.797%, and accordingly the most subordinate classes in the respective subject pools will experience ongoing principal losses. We anticipate that the difference between the revised contractual interest rate and the current pay rate of 3.000% is likely to cause monthly interest shortfalls affecting the pooled certificates. Our rating actions consider our forecast of the interest shortfalls that we expect the Beacon loan modification to generate and the impact we expect them to have on the rated securities. More specifically, our rating actions consider the potential for certain classes to directly experience interest shortfalls, and other classes to experience reductions in liquidity, leaving them more susceptible to future interest shortfalls. The rating actions also consider the potential impact of future property releases, particularly as it relates to the reimbursement of any accumulated interest shortfalls," according to S&P. The Morgan Stanley Capital I Trust 2007-IQ14 transaction includes the Beacon loan's $646.7 million A-1 note (13.9% of pool balance). The March 2011 trustee remittance report shows that classes A-J/A- JFL through G experienced full repayment of prior accumulated interest shortfalls, while class H and all classes subordinate to it continued to carry accumulated interest shortfalls (Standard & Poor's previously lowered the ratings on classes H through N to 'D (sf)'). "Our analysis indicates that the incremental interest shortfalls associated with the Beacon loan could cause shortfalls to rise on the class C certificates," S&P related. The Morgan Stanley Capital I Trust 2007-HQ12 transaction includes the Beacon loan's A-2 and A-3 notes, which total $134.4 million (7.4%). The March 2011 trustee remittance report shows that classes A-J/A-JFL through D experienced full repayment of prior accumulated interest shortfalls, while class E and all pooled subordinate to it continued to carry accumulated interest shortfalls (Standard & Poor's previously lowered the ratings on classes F through Q to 'D (sf)'). "Our analysis indicates that the incremental interest shortfalls associated with the Beacon loan could cause shortfalls to rise on the class C certificates," S&P explained. The Banc of America Commercial Mortgage Trust 2007-2 transaction includes the Beacon loan's $326.5 million A-4 note (11.4%). The March 2011 trustee remittance report shows that classes A-J/A-JFL through G experienced full repayment of prior accumulated interest shortfalls, while class H and all classes subordinate to it continued to carry accumulated interest shortfalls (Standard & Poor's previously lowered the ratings on classes H through Q to 'D (sf)'). "Our analysis indicates that the incremental interest shortfalls associated with the Beacon loan could cause shortfalls to rise on the class D certificates," S&P said. The Wachovia Bank Commercial Mortgage Trust 2007-C31 transaction includes the Beacon loan's $345.5 million A-6 note (6.0%). The March 2011 trustee remittance report shows that classes F through J experienced full repayment of prior accumulated interest shortfalls, while class K and all classes subordinate to it continued to carry accumulated interest shortfalls (Standard & Poor's previously lowered the ratings on classes K through N to 'D (sf)'). "Our analysis indicates that the incremental interest shortfalls associated with the Beacon loan could cause shortfalls to rise on the class G certificates," S&P stated. The Wachovia Bank Commercial Mortgage Trust 2007-C32 transaction includes the Beacon loan's $345.5 million A-7 note (9.2%). The March 2011 trustee remittance report shows that classes D through M experienced full repayment of prior accumulated interest shortfalls, while class N and all classes subordinate to it continued to carry accumulated interest shortfalls (Standard & Poor's previously lowered the ratings on classes N through Q to 'D (sf)'). "Our analysis indicates that the incremental interest shortfalls associated with the Beacon loan could cause shortfalls to rise on the class G certificates," S&P said. Standard & Poor's will continue to monitor the affected transactions according to its standard surveillance procedures. "We will take rating actions as necessary,' S&P added. Ratings Lowered and Removed From CreditWatch Negative Morgan Stanley Capital I Trust 2007-IQ14 Commercial mortgage pass-through certificates Rating Class To From A-J B (sf) BB- (sf)/Watch Neg A-JFL B (sf) BB- (sf)/Watch Neg B CCC+ (sf) B+ (sf)/Watch Neg C CCC- (sf) B+ (sf)/Watch Neg D CCC- (sf) B (sf)/Watch Neg E CCC- (sf) B (sf)/Watch Neg F CCC- (sf) B (sf)/Watch Neg G CCC- (sf) CCC+ (sf)/Watch Neg Morgan Stanley Capital I Trust 2007-HQ12 Commercial mortgage pass-through certificates Rating Class To From B CCC- (sf) B+ (sf)/Watch Neg C CCC- (sf) CCC+ (sf)/Watch Neg Banc of America Commercial Mortgage Trust 2007-2 Commercial mortgage pass-through certificates Rating Class To From C CCC+ (sf) BB- (sf)/Watch Neg D CCC- (sf) B+ (sf)/Watch Neg E CCC- (sf) B- (sf)/Watch Neg F CCC- (sf) CCC (sf)/Watch Neg Wachovia Bank Commercial Mortgage Trust Series 2007-C31 Commercial mortgage pass-through certificates Rating Class To From G CCC- B- (sf)/Watch Neg H CCC- B- (sf)/Watch Neg J CCC- B- (sf)/Watch Neg Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2007-C32 Rating Class To From F CCC+ (sf) B (sf)/Watch Neg G CCC- (sf) B- (sf)/Watch Neg H CCC- (sf) B- (sf)/Watch Neg J CCC- (sf) B- (sf)/Watch Neg K CCC- (sf) CCC+ (sf)/Watch Neg L CCC- (sf) CCC (sf)/Watch Neg Ratings Affirmed and Removed From CreditWatch Negative Morgan Stanley Capital I Trust 2007-HQ12 Commercial mortgage pass-through certificates Rating Class To From A-J B+ (sf) B+ (sf)/Watch Neg A-JFL B+ (sf) B+ (sf)/Watch Neg D CCC- (sf) CCC- (sf)/Watch Neg E CCC- (sf) CCC- (sf)/Watch Neg Banc of America Commercial Mortgage Trust 2007-2 Commercial mortgage pass-through certificates Rating Class To From A-J BB+ (sf) BB+ (sf)/Watch Neg A-JFL BB+ (sf) BB+ (sf)/Watch Neg B BB (sf) BB (sf)/Watch Neg G CCC- (sf) CCC- (sf)/Watch Neg Wachovia Bank Commercial Mortgage Trust Series 2007-C31 Commercial mortgage pass-through certificates Rating Class To From E B (sf) B (sf)/Watch Neg F B (sf) B (sf)/Watch Neg Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2007-C32 Rating Class To From D B (sf) B (sf)/Watch Neg E B (sf) B (sf)/Watch Neg M CCC- (sf) CCC- (sf)/Watch Neg * S&P Places 74 Classes of Small Business Loans on CreditWatch --------------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on 74 classes from various small business loan securitizations on CreditWatch with negative implications. The transactions' collateral consists of both conventional and SBA 7(a) small business loans. "The credit performance of a number of securitizations issued by Lehman Bros. Small Balance Commercial Loan Trusts, CNL Commercial Finance, CIT, Business Loan Express Business Loan Trusts, Business Loan Express SBA Loan Trusts, and Community Reinvestment Fund (CRF) has deteriorated since our last rating actions on the transactions, as evidenced by rising delinquencies, increased default frequencies, and lower recovery rates," S&P noted. "We previously downgraded a number of these transactions, which reflected the application of our updated U.S. conduit/fusion commercial mortgage-backed securities (CMBS) criteria, as well as a decline in collateral performance," S&P rleated. "In addition to the CreditWatch placements, 23 ratings from these transactions are already on CreditWatch negative due to the implementation of our revised counterparty criteria. The resolution of the CreditWatch placements will account for both the updated counterparty criteria and the 97 classes' current Performance," said S&P. "We expect to resolve the CreditWatch placements within the next two months after we conduct a more detailed review, and we may take further rating actions as appropriate," S&P added. Ratings Placed on CreditWatch Negative BLC Capital Corp. 2002-A Rating Class To From A BBB+ (sf)/Watch Neg BBB+ (sf) B BB+ (sf)/Watch Neg BB+ (sf) Business Loan Express Business Loan Backed Notes Series 2004-A 2004-A Rating Class To From A AAA (sf)/Watch Neg AAA (sf) B A (sf)/Watch Neg A (sf) C BBB (sf)/Watch Neg BBB (sf) Business Loan Express Business Loan Backed Notes Series 2005-A 2005-A Rating Class To From A AAA (sf)/Watch Neg AAA (sf) B A (sf)/Watch Neg A (sf) C BBB (sf)/Watch Neg BBB (sf) Business Loan Express Business Loan Trust 2003-A 2003-A Rating Class To From A A+ (sf)/Watch Neg A+ (sf) B BBB+ (sf)/Watch Neg BBB+ (sf) Business Loan Express Business Loan Trust 2006-A 2006-A Rating Class To From A BBB- (sf)/Watch Neg BBB- (sf) B BB+ (sf)/Watch Neg BB+ (sf) C BB (sf)/Watch Neg BB (sf) Business Loan Express Business Loan Trust 2007-A 2007-A Rating Class To From A BBB- (sf)/Watch Neg BBB- (sf) B BB- (sf)/Watch Neg BB- (sf) C B- (sf)/Watch Neg B- (sf) D CCC (sf)/Watch Neg CCC (sf) Business Loan Express SBA Loan Trust 2003-1 2003-1 Rating Class To From A AA+ (sf)/Watch Neg AA+ (sf) M A (sf)/Watch Neg A (sf) Business Loan Express SBA Loan Trust 2003-2 2003-2 Rating Class To From A AAA (sf)/Watch Neg AAA (sf) M A (sf)/Watch Neg A (sf) Business Loan Express SBA Loan Trust 2005-1 2005-1 Rating Class To From A AA+ (sf)/Watch Neg AA+ (sf) M A (sf)/Watch Neg A (sf) CIT SBL 2008-1 2008-1 Rating Class To From A AAA (sf)/Watch Neg AAA (sf) CNL Commercial Mortgage Loan Trust 2003-1 2003-1 Rating Class To From A1 A (sf)/Watch Neg A (sf) A2 A (sf)/Watch Neg A (sf) CRF 19 LLC 19 Rating Class To From A-2 AAA (sf)/Watch Neg AAA (sf) A-3 AAA (sf)/Watch Neg AAA (sf) B A (sf)/Watch Neg A (sf) C BBB (sf)/Watch Neg BBB (sf) D BB (sf)/Watch Neg BB (sf) E B (sf)/Watch Neg B (sf) Lehman Brothers Small Balance Commercial 2005-2 Rating Class To From 1A AAA (sf)/Watch Neg AAA (sf) 2A AAA (sf)/Watch Neg AAA (sf) A-IO AAA (sf)/Watch Neg AAA (sf) B BBB+ (sf)/Watch Neg BBB+ (sf) M1 AA (sf)/Watch Neg AA (sf) M2 A+ (sf)/Watch Neg A+ (sf) M3 A (sf)/Watch Neg A (sf) Lehman Brothers Small Balance Commercial 2006-1 Rating Class To From B BBB+ (sf)/Watch Neg BBB+ (sf) M2 A+ (sf)/Watch Neg A+ (sf) M3 A (sf)/Watch Neg A (sf) Lehman Brothers Small Balance Commercial Loan Trust 2006-SBA 2006-SBA Rating Class To From A BBB- (sf)/Watch Neg BBB- (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2 2006-2 Rating Class To From B BBB (sf)/Watch Neg BBB (sf) M1 A+ (sf)/Watch Neg A+ (sf) M2 A- (sf)/Watch Neg A- (sf) M3 BBB+ (sf)/Watch Neg BBB+ (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2006-3 2006-3 Rating Class To From B BBB (sf)/Watch Neg BBB (sf) M1 AA- (sf)/Watch Neg AA- (sf) M2 A (sf)/Watch Neg A (sf) M3 BBB+ (sf)/Watch Neg BBB+ (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1 2007-1 Rating Class To From 1A AA+ (sf)/Watch Neg AA+ (sf) 2A3 AA+ (sf)/Watch Neg AA+ (sf) B BB (sf)/Watch Neg BB (sf) M1 A+ (sf)/Watch Neg A+ (sf) M2 BBB+ (sf)/Watch Neg BBB+ (sf) M3 BBB (sf)/Watch Neg BBB (sf) M4 BB+ (sf)/Watch Neg BB+ (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2 2007-2 Rating Class To From 1A3 AA- (sf)/Watch Neg AA- (sf) 1A4 AA- (sf)/Watch Neg AA- (sf) 2A3 AA- (sf)/Watch Neg AA- (sf) B B (sf)/Watch Neg B (sf) M1 A+ (sf)/Watch Neg A+ (sf) M2 BBB+ (sf)/Watch Neg BBB+ (sf) M3 BBB- (sf)/Watch Neg BBB- (sf) M4 BB+ (sf)/Watch Neg BB+ (sf) M5 B+ (sf)/Watch Neg B+ (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3 2007-3 Rating Class To From AJ A+ (sf)/Watch Neg A+ (sf) B B+ (sf)/Watch Neg B+ (sf) M1 A+ (sf)/Watch Neg A+ (sf) M2 BBB (sf)/Watch Neg BBB (sf) M3 BBB- (sf)/Watch Neg BBB- (sf) M4 BB+ (sf)/Watch Neg BB+ (sf) M5 BB (sf)/Watch Neg BB (sf) Ratings Remaining on CreditWatch Negative Lehman Brothers Small Balance Commercial 2006-1 Rating Class To From 1A AAA (sf)/Watch Neg AAA (sf)/Watch Neg 2A AAA (sf)/Watch Neg AAA (sf)/Watch Neg 3A2 AAA (sf)/Watch Neg AAA (sf)/Watch Neg 3A3 AAA (sf)/Watch Neg AAA (sf)/Watch Neg M1 AA (sf)/Watch Neg AA (sf)/Watch Neg Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2 2006-2 Rating Class To From 1A AAA (sf)/Watch Neg AAA (sf)/Watch Neg 2A2 AAA (sf)/Watch Neg AAA (sf)/Watch Neg 2A3 AAA (sf)/Watch Neg AAA (sf)/Watch Neg Lehman Brothers Small Balance Commercial Mortgage Trust 2006-3 2006-3 Rating Class To From 1A AA+ (sf)/Watch Neg AA+ (sf)/Watch Neg 2A2 AAA (sf)/Watch Neg AAA (sf)/Watch Neg 2A3 AA+ (sf)/Watch Neg AA+ (sf)/Watch Neg Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1 2007-1 Rating Class To From 2A1 AAA (sf)/Watch Neg AAA (sf)/Watch Neg 2A2 AAA (sf)/Watch Neg AAA (sf)/Watch Neg Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2 2007-2 Rating Class To From 1A2 AA+ (sf)/Watch Neg AA+ (sf)/Watch Neg 2A1 AAA (sf)/Watch Neg AAA (sf)/Watch Neg 2A2 AAA (sf)/Watch Neg AAA (sf)/Watch Neg Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3 2007-3 Rating Class To From 1A2 AAA (sf)/Watch Neg AAA (sf)/Watch Neg 1A3 AAA (sf)/Watch Neg AAA (sf)/Watch Neg 1A4 AAA (sf)/Watch Neg AAA (sf)/Watch Neg 2A1 AAA (sf)/Watch Neg AAA (sf)/Watch Neg 2A2 AAA (sf)/Watch Neg AAA (sf)/Watch Neg 2A3 AAA (sf)/Watch Neg AAA (sf)/Watch Neg AM AA (sf)/Watch Neg AA (sf)/Watch Neg ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors" Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland, USA. Jhonas Dampog, 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 2011. 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 ***