/raid1/www/Hosts/bankrupt/TCR_Public/090405.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 5, 2009, Vol. 13, No. 94
Headlines
ABACUS 2005-1: S&P Downgrades Ratings on Four Classes of Notes
ACE SECURITIES: Moody's Pares Ratings on Five 2006-SD1 Tranches
ALPINE SECURITIZATION: DBRS Confirms ?B? Rating on $25.9MM Tranche
AMAC CDO: Fitch Downgrades Ratings on Seven Classes of Notes
AMERICAN GENERAL: Fitch Assigns Recovery Rating on 1998-1 Notes
AMERIQUEST MORTGAGE: Moody's Downgrades Ratings on 2004-R10 Notes
AUCTION RATE: S&P Downgrades Ratings on 2007-1 Notes to 'BB-'
AURELIUS CAPITAL: S&P Downgrades Ratings on Various 2007-1 Notes
AURELIUS CAPITAL: S&P Downgrades Ratings on 2007-1 Tranches
AUSTIN HOUSING: Occupancy Decline Prompts Moody's Junk Rating
BANK OF AMERICA: Moody's Raises Ratings on Two 2002-X1 Certs.
BATTERSON PARK: Fitch Changes Ratings on Class B Notes to 'C/RR4'
BCAP LLC: Fitch Takes Rating Actions on Various 2009-RR1 Notes
BEAR STEARNS: Fitch Affirms Low-B Ratings on 2005-TOP 20 Notes
BEXAR COUNTY: Moody's Downgrades Ratings on 2000A Bonds to 'B1'
CAF ABS: Moody's Withdraws 'Caa3' Ratings on Two 2006-1 Notes
CALHOUN CBO: Fitch Affirms Ratings on $29.3MM Senior Notes at 'B+'
CAPITAL GUARDIAN: Fitch Junks Rating on $70 Mil. Class B Notes
CARTER COUNTY: S&P Junks Ratings on Revenue Bonds from 'AAA'
CBA COMMERCIAL: Fitch Junks Ratings on Two Classes of 2007-1 Notes
CDO REPACKAGING: Moody's Downgrades Ratings on Series 2004 Notes
CITIBANK OMNI: Moody's Assigns 'Ba2' Rating on 2009-D1 Notes
CITIGROUP MORTGAGE: Fitch Assigns Ratings on 2009-3 Notes
CITIGROUP MORTGAGE: Moody's Downgrades Ratings on 12 Tranches
COMM 2001-J1: Fitch Downgrades Ratings on Class J Notes to 'BB+'
COMM 2005-FL10: Fitch Downgrades Ratings on Eight Classes to Low-B
CORPORATE BACKED: S&P Downgrades Rating on 2001-27 Certs. to 'BB-'
CORTS TRUST: S&P Cuts Rating on Ford $219.584 Mil. Certs. to 'C'
CORTS TRUST: S&P Downgrades Rating on $300 Mil. Certs. to 'C'
CREDIT SUISSE: Moody's Downgrades Ratings on 28 Tranches
CREDIT SUISSE: S&P Cuts Ratings on Eight 2005-CND1 Notes to 'D'
DIVERSEY HARBOR: Moody's Comments on Entry to Novation Agreement
DLJ COMMERCIAL: Fitch Affirms Ratings on 1998-CF1 Certificates
DT AUTO: Moody's Reviews Ratings on 2007-A Transactions
DUTCH HILL: S&P Withdraws 'BB+' Rating on Class A-2 Notes
EAST CAMERON: S&P Downgrades Rating on $165.67 Mil. Certs. to 'D'
EMC MORTGAGE: Moody's Downgrades Ratings on Four Tranches
ESP FUNDING: Novation Agreement Won't Affect Moody's Note Ratings
FOLEY SQUARE: Moody's Downgrades Ratings on 2007-1 Notes
FORD MOTOR: S&P Cuts Rating on Corp. Backed 2003-6 Notes to 'C'
GOODYEAR TIRE: S&P Downgrades Corp. Backed 2001-34 Notes to 'B+'
GRAMERCY REAL ESTATE: Fitch Cuts Ratings on 10 2005-1 Notes
GREEN TREE: S&P Corrects Ratings on Three Classes to 'D'
GREENWICH CAPITAL: Fitch Puts Rating on 2006-FL4 Certs on WatchNeg
GS MORTGAGE: S&P Downgrades Ratings on Five 2006-GSFL Certificates
GSMSC PASS-THROUGH: Fitch Rates Class 1A2 Notes at 'BB'
GULF COAST: Moody's Upgrades Long-Term Rating on Revenue Bonds
GULF COUNTY: Fitch Downgrades Ratings on Tax Bonds to 'BB'
HEATHER FINANCE: Moody's Downgrades Rating on 2004-13 CDO Deals
ICE 1 EM: Moody's Downgrades Ratings on Various Classes of Notes
INA CBO: Fitch Downgrades Ratings on Two Classes of 1999-1 Notes
IOWA FINANCE: S&P Downgrades Rating on $86.47 Mil. Bonds to 'BB+'
JEFFERIES RESECURITIZATION: Fitch Rates Various 2009-R3 Notes
JP MORGAN: Fitch Rates $7,151,967 Class A-2 Notes at 'CCC'
JP MORGAN: Moody's Downgrades Ratings on 19 2005-A7 Tranches
JP MORGAN: Moody's Reviews Ratings on Class A-2 for Likely Cut
JPMORGAN CHASE: S&P Puts Ratings on 2007-LDP11 Notes on Neg. Watch
JUPITER HIGH-GRADE: Fitch Junks Ratings on Four Classes of Notes
LEHMAN BROTHERS: Moody's Downgrades Fund Rating to 'Ca' from 'A'
MAGNOLIA FINANCE: S&P Cuts Rating on $9 Mil. 2005-19 Notes to 'B'
MAGNOLIA FINANCE: S&P Downgrades Ratings on 2007-3A1 Notes to 'D'
MESA TRUST: Moody's Downgrades Ratings on Two 2001-5 Tranches
MICHIGAN PUBLIC: S&P Raises Ratings on 2006 Revenue Bonds to 'BB+'
MORGAN STANLEY: Moody's Junks Ratings on 2004-3 Notes from 'A3'
MORGAN STANLEY: Moody's Junks Ratings on 2007-7 Notes from 'Ba2'
MORGAN STANLEY: Moody's Raises Rating on 1997-C1 Certificates
MORGAN STANLEY: S&P Downgrades Rating on $3 Mil. Notes to 'B+'
MOUNT SINAI: Moody's Downgrades Long-Term Rating on Debt to 'Ba2'
NATIONSLINK FUNDING: Moody's Affirms Ratings on 1999-LTL-1 Certs.
NORTHSTAR CBO: Fitch Downgrades Rating on 1997-1 Notes
NORTHWESTERN INVESTMENT: Fitch Junks Ratings on Class B Notes
OMEGA CAPITAL: S&P Corrects Ratings on Class C-1E Notes to 'BB-'
OMI TRUST: S&P Downgrades Rating on Class M-1 Notes to 'D'
PACIFIC NORTHWEST: Moody's Downgrades Ratings on 2005A Bonds
PACIFIC BAY: Moody's Downgrades Ratings on Five Classes of Notes
PARCS-R MASTER: Moody's Junks Ratings on Five Classes of Units
PARK PLACE: Moody's Junks Rating on $5 Mil. 2004-MCW1 Certificates
PASS-THROUGH AUCTION: S&P Cuts Ratings on 2007-1 Certs. to 'BB-'
PHILADELPHIA AID: S&P Raises 2006 Revenue Bond Ratings From 'BB+'
PPLUS TRUST: S&P Downgrades Rating on $40 Mil. Certs. to 'C'
PREFERRED PASS-THROUGH: S&P Cuts Ratings on 2006-B Certs. to 'BB-'
PREFERREDPLUS TRUST: S&P Cuts Rating on $50 Mil. Certs. to 'C'
PREFERREDPLUS TRUST: S&P Cuts Rating on $33.53 Mil. Certs. to 'B+'
PREFERREDPLUS TRUST: S&P Cuts Rating on $33.146 Mil. Certs. to B+
PUBLIC STEERS: S&P Downgrades Rating on 1998 F-Z4 Certs. to 'C'
RESTRUCTURED ASSET: Moody's Downgrades Rating on 2002-10-TR Certs.
RESTRUCTURED ASSET: Moody's Downgrades Rating on 2001-21-E Notes
RESTRUCTURED ASSET: Moody's Downgrades Ratings on 2006-6-E Certs.
RIDGEWAY COURT: Moody's Comments on Novation Agreement Entry
SATURNS TRUST: S&P Downgrades Rating on 2001-6 Units to 'BB-'
SATURNS TRUST: S&P Downgrades Rating on $75 Mil. Units to 'C'
SERVES 2006-1: Fitch Junks Ratings on Five Classes of Notes
SHERWOOD FUNDING: Moody's Downgrades Rating on $20 Mil. Units
SORIN REAL ESTATE: Moody's Cuts Ratings on 10 Classes of Notes
SKY FINANCIAL: S&P Corrects Ratings on Two Classes to 'BB'
SOUTH STREET: Fitch Changes Ratings on 1999-1 Classes of Notes
SOUTH STREET: Fitch Downgrades Ratings on Two 2000-1 Notes to 'B'
SPARKS REGIONAL: Letter of Intent Won't Move Moody's 'Caa1' Rating
ST LOUIS IDA: S&P Junks Rating on Revenue Bonds from 'AA+'
STEERS SERIES: Moody's Junks Ratings on 2004-1 Notes from 'Ba3'
SWON CDO: Moody's Upgrades Ratings on Class A Senior 2015 Notes
TALCOTT NOTCH: Fitch Upgrades Ratings on Class B-1 to 'BB'
TERRA CDO: S&P Raises Rating on $65 Mil. Notes to 'A' from 'BB'
TERWIN MORTGAGE: Moody's Cuts Ratings on 10 2007-QHL1 Tranches
TIMES SQUARE: S&P Puts 'BB+' Rating on Negative CreditWatch
TOWER HILL: Moody's Downgrades Ratings on Five Classes of Notes
TRUMAN CAPITAL: Moody's Downgrades Ratings on 11 Tranches
UCAT 2005-1: Moody's Completes Review on Notes Underlying Ratings
VERMONT EDUCATIONAL: S&P Cuts Ratings on Various Bonds to 'BB'
WACHOVIA BANK: Fitch Affirms Ratings on 2005-C17 Certificates
WADENA HOUSING: S&P Corrects Outlook to Stable; Cuts Rating to 'B'
WAMU COMMERCIAL: Fitch Junks Ratings on $1.9 Mil. 2006-SL1 Notes
WELLS FARGO: Moody's Downgrades Ratings on 26 2005 Tranches
WILBRAHAM CBO: Fitch Junks Ratings on Two Classes of Notes
* Moody's Downgrades Ratings on 40 Notes by 11 CDO Transactions
* Moody's Downgrades Ratings on 45 Notes by 12 CDO Transactions
* Moody's Downgrades Ratings on 265 Tranches in 111 Transactions
* Moody's Cuts Rating on 429 Tranches From 89 Trust Preferred CDOs
* S&P Takes Rating Actions on Three Market Value CLO Transactions
* S&P Downgrades Ratings on 22 Classes from Nine Prime Junbo RMBS
* S&P Downgrades Ratings on 30 Classes from Six RMBS Transactions
* S&P Downgrades Ratings on 60 Classes from 20 RMBS Transactions
* S&P Downgrades Ratings on 65 Tranches from 10 Trust CDO Deals
* S&P Downgrades Ratings on 323 Classes from 27 RMBS Transactions
*********
ABACUS 2005-1: S&P Downgrades Ratings on Four Classes of Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of notes issued by ABACUS 2005-1 CB1 Ltd.
The lowered ratings follow a number of recent credit events within
the underlying portfolio. Writedowns in the underlying reference
portfolio have caused the class E-1 notes to incur a partial
principal loss, which prompted us to downgrade the class to 'D'.
S&P lowered the ratings on the remaining classes in connection
with decreased subordination levels available to support the
notes.
Ratings Lowered
ABACUS 2005-1 CB1 Ltd.
Rating
------
Class To From
----- -- ----
A-1 BBB- BBB+
A-2 B+ BB+
B CCC- B+
E-1 D CCC-
Other Ratings Outstanding
ABACUS 2005-1 CB1 Ltd.
Class Rating
----- ------
C CCC-
D CCC-
E-2 D
F D
G D
ACE SECURITIES: Moody's Pares Ratings on Five 2006-SD1 Tranches
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of five
tranches issued by ACE Securities Corp. Home Equity Loan Trust,
Series 2006-SD1. The collateral backing the deal consists
primarily of first lien adjustable-rate "scratch and dent"
mortgage loans, including loans in forbearance or bankruptcy and
loans with delinquency issues either before or at closing.
The actions are triggered by higher than anticipated delinquency
levels and severity of loss as well as well as slower than
anticipated voluntary prepayments, resulting in higher updated
loss expectation for the underlying collateral and lower coverage
for the rated debt given available credit enhancement.
The ratings on the securities are monitored by evaluating factors
determined to be applicable to the credit profile of the
securities, such as i) the nature, sufficiency, and quality of
historical performance information regarding the asset class ii)
an analysis of the collateral being securitized, iii) an analysis
of the transaction's allocation of collateral cash flow and
capital structure, and (iv) a comparison of these attributes
against those of other similar transactions.
For recent vintages (2005 and later), Moody's calculates estimated
losses for Scratch and Dent RMBS in a two-step process. First,
serious delinquencies are projected through late 2009, primarily
based upon recent performance. These projected delinquencies are
converted into projected losses using lifetime roll rates (the
probability of transition to default) averaging 60% for 60-day
delinquencies, 90% for delinquencies greater than 90 days, 100%
for foreclosure and 100% for REO, and severity assumption based on
the higher of actual severities and 65%.
The second step is to determine losses beyond 2009. Depending on a
deal's performance, as well as collateral credit characteristics,
such as loan type, or loan-to-value ratios and geographic
concentrations of remaining current loans, Moody's assumes varying
degrees of slowing in the loss rate (which is measured by loss-to-
liquidation) for the remaining life of the deal. Typical degrees
of slowing in loss rate after late 2009 range from 15% to 35%.
Loss estimates are subject to variability and, as a result,
realized losses could ultimately turn out higher or lower than
Moody's current expectations. Moody's will continue to evaluate
performance data as it becomes available and will assess the
pattern of potential future defaults and adjust loss expectations
accordingly if necessary.
Complete rating actions are:
ACE Securities Corp. Home Equity Loan Trust, Series 2006-SD1
-- Cl. M-1, Downgraded to Ba3; previously on 3/29/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to Ca; previously on 8/21/2008 A2 Placed
Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on 8/21/2008 Baa1 Placed
Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on 8/21/2008 Baa2 Placed
Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on 8/21/2008 Baa3 Placed
Under Review for Possible Downgrade
ALPINE SECURITIZATION: DBRS Confirms 'B' Rating on $25.9MM Tranche
------------------------------------------------------------------
Dominion Bond Rating Service confirmed the rating of R-1 (high)
for the Commercial Paper (CP) issued by Alpine Securitization
Corp. (Alpine), an asset-backed commercial paper (ABCP) vehicle
administered by Credit Suisse, New York branch. In addition, DBRS
has confirmed the ratings and revised the tranche sizes of the
aggregate liquidity facilities (the Liquidity) provided to Alpine
by Credit Suisse.
The $10,594,937,015 aggregate liquidity facilities are tranched
as:
-- $10,267,993,151 rated AAA
-- $89,025,018 rated AA
-- $57,697,908 rated A
-- $78,337,163 rated BBB
-- $58,719,684 rated BB
-- $25,998,280 rated B
-- $17,165,811 unrated
The ratings are based on January 31, 2009 data.
The CP rating reflects the AAA credit quality of Alpine's asset
portfolio. The updated credit quality aspect of the CP rating is
based on both the portfolio of assets and the available program-
wide credit enhancement (PWCE). The rationale for the CP rating
is based on the updated AAA credit quality assessment as well as
DBRS' prior and ongoing review of legal, operational and liquidity
risks associated with Alpine's overall risk profile.
The ratings assigned to the Liquidity reflect the credit quality
of Alpine's asset portfolio based on an analysis that assesses
each transaction to a 'term' standard. The tranching of the
Liquidity reflects the credit risk of the portfolio at each rating
level. The tranche sizes are expected to vary each month based on
changes in portfolio composition.
For Alpine, both the CP and the Liquidity ratings use DBRS'
simulation methodology, which was developed to analyze diverse
ABCP conduit portfolios. This analysis uses the DBRS CDO Toolbox
simulation model, with adjustments to reflect the unique structure
of an ABCP conduit and its underlying assets. DBRS determines
attachment points for risk based on an analysis of the portfolio
and models the portfolio based on key inputs such as asset
ratings, asset tenors and recovery rates. The attachment points
determine the portion of the exposure rated AAA, AA, A through B
as well as unrated.
AMAC CDO: Fitch Downgrades Ratings on Seven Classes of Notes
------------------------------------------------------------
Fitch Ratings downgrades seven classes and assigns Rating Outlooks
to AMAC CDO Funding I:
-- $50,000,000 class A-2 to 'A' from 'AAA'; Outlook Negative;
-- $20,000,000 class B to 'BBB' from 'AA'; Outlook Negative;
-- $15,000,000 class C to 'BBB-' from 'A'; Outlook Negative;
-- $12,113,392 class D-1 to 'BB' from 'BBB'; Outlook Negative;
-- $5,109,488 class D-2 to 'BB' from 'BBB'; Outlook Negative;
-- $6,060,826 class E to 'B' from 'BBB-'; Outlook Negative;
-- $12,349,677 class F to 'CCC/RR1' from 'BB'.
Fitch has also removed classes D-1, D-2, E, and F from Rating
Watch Negative.
Additionally, Fitch affirms and assigns outlooks to this class:
-- $242,936,549 class A-1 floating-rate at 'AAA'; Outlook
Stable.
The rating actions above reflect the negative credit migration of
the collateral pool that has occurred since last review as well as
increased volatility assumptions for loans backed by interests in
single tenanted properties and properties with significant tenant
rollover in the next 12-24 months. In addition, rating actions
were influenced by stress test failures in the various property
value decline scenarios.
Two mezzanine loans (5.9%), backed by mezzanine interests in
construction properties are over 90 days delinquent. Fitch does
not expect any recovery from these defaulted loans. As a result
of these two defaulted loans being excluded from the collateral
balance, the class C and D/E overcollaterization tests are
failing. All interest proceeds beyond class C current interest
due and all principal proceeds are being used to pay down the A-1
notes. The balances of classes D-1, D-2, E, and F are increasing
as missed interest becomes capitalized.
Transaction Summary:
AMAC CDO is a managed commercial real estate cash flow
collateralized debt obligation that closed on Nov. 16, 2006. It
was incorporated to issue $400,000,000 of fixed-rate and floating-
rate notes and preferred shares. As of the March 18, 2009 trustee
report and based on Fitch categorizations, the CDO was
substantially: commercial mortgage whole loans/A-notes (90.1%), B-
notes (2.3%), and CRE mezzanine loans (7.7%).
The portfolio is selected and monitored by Centerline REIT Inc.
AMAC CDO I has a five-year reinvestment period during which, if
all reinvestment criteria are satisfied, principal proceeds may be
used to invest in substitute collateral. The reinvestment period
ends in March 2012.
Performance Summary:
Due to the negative credit migration of the portfolio as well as
increased volatility assumptions for certain loans, the poolwide
expected loss increased to 24.875% from 17.750% at the last review
in February 2008. This increase results in a reinvestment cushion
of negative 2.250% to the transaction's current PEL covenant of
22.625%.
Two mezzanine loans (5.9%), backed by ownership interests in
construction properties are over 90 days delinquent. The
properties are located in Snowmass Village, CO and Phoenix,
Arizona. The loans have the same sponsor, who believes the value
of the mezzanine position of each loan has been significantly
impaired. Fitch assumed no recovery proceeds for either loan.
Although the remaining loans are still performing, Fitch is
concerned that original business plans may become increasingly
difficult to achieve in the current economic environment,
especially for transitional assets. Accordingly, volatility
assumptions for many CRE loans were increased, especially for
those backed by interests in single tenanted properties and
properties with significant tenant rollover in the next 12-24
months. These property types are expected to be more immediately
affected.
Collateral Analysis:
The majority of the collateral continues to be whole loans/A-notes
at 90.1% of the pool. As of the March 2009 trustee report, the
CDO was within all its property type covenants. Multifamily
properties continue to be the largest property type at 68.1% of
the portfolio based on the trustee report and Fitch
categorizations. Office properties are the second largest
property concentration at 11.7%. Additionally, the CDO is also
within all of its geographic location covenants with the highest
concentration of properties in California at 19.2%, followed by
New York at 15.2%.
The Fitch Loan Diversity Index increased to 463 from 444 at last
review, which represents average diversity as compared to other
CRE CDOs. The LDI covenant is 500 and no single obligor or group
of affiliated obligors may represent more than 10.0% of the
portfolio. Based upon the trustee report, the largest obligor
currently represents 7.9% of the transaction.
The weighted average spread has increased to 5.25% from 3.95% at
last review, maintaining a cushion to its covenant of 1.50%. The
weighted average coupon increased slightly to 6.44% from 6.42% at
last review, remaining above its covenant of 6.07%. The interest
coverage ratios for all classes have remained above their
covenants, as of the March 2009 trustee report.
The class C and D/E OC tests are failing as a result of the two
defaulted loans being excluded from the collateral balance. All
interest proceeds beyond class C current interest due and all
principal proceeds are being used to pay down the A-1 notes. The
balances of classes D-1, D-2, E, and F are increasing as missed
interest becomes capitalized. Fitch anticipates that the class C
OC test may resolve due to the pay down to the A-1 notes.
Asset Manager:
Centerline Capital Group, a subsidiary of Centerline Holding
Company (NYSE:CHC), is a real estate finance and investment
company. In April 2007, CCG announced its name change from
CharterMac, bringing all of its subsidiaries together to operate
under one name. Through several major transactions, including the
acquisition of ARCap REIT, Inc. in August 2006, CCG transformed
from a company focused on affordable and multifamily housing to a
full-service real estate finance and investment company.
Centerline REIT Inc. (formally ARCap), the unit responsible for
managing CCG's commercial real estate CDOs collateralized by CMBS
collateral, assumed responsibilities for managing CCG's CDO
transactions collateralized by commercial real estate loans.
CCG is rated 'CAM2' by Fitch.
Ongoing Surveillance:
Fitch will continue to monitor and review this transaction and
will issue an updated Snapshot report after each committeed
review. The surveillance team will conduct a review whenever
there is approximately 15% change in the collateral composition,
quarterly, or semi-annually.
The Fitch PEL is a measure of the hypothetical loss inherent in
the pool at the 'AA' stress environment before taking into account
the structural features of the CDO liabilities. Fitch PEL
encompasses all loan, property, and pool-wide characteristics
modeled by Fitch.
Fitch introduced Rating Outlooks for U.S. structured finance in
September 2008 to provide investors with forward-looking analysis
for a structured finance tranche's credit performance. Fitch's
Rating Outlook indicates the likely direction of any rating change
over a one- to two-year period and may be Positive, Negative,
Stable or, occasionally, Evolving.
For CREL CDOs, a Negative Outlook may be assigned to any class
that fails Fitch's stress testing. Fitch's stress testing assumes
various property value declines for each rating stress. Based on
these results, any loan whose loan-to-value ratio is greater than
100% is assumed to default with the recovery calculated based on
the property value in that rating stress.
The ratings of the class A-1, A-2, and B notes address the
likelihood that investors will receive full and timely payments of
interest, as per the governing documents, as well as the aggregate
outstanding amount of principal by the stated maturity date. The
ratings of the class C, D-1, D-2, E, and F notes address the
likelihood that investors will receive ultimate interest and
deferred interest payments, as per the governing documents, as
well as the aggregate outstanding amount of principal by the
stated maturity date.
AMERICAN GENERAL: Fitch Assigns Recovery Rating on 1998-1 Notes
---------------------------------------------------------------
Fitch Ratings has revised the Recovery Rating of the note issued
by American General CBO 1998-1 Ltd./Corp.:
-- $20,127,391 class B-2 notes to 'C/RR3' from 'C/DR3'.
The class A-1, A-2, A-3A, A-3B, and B-1 notes have been paid in
full.
American General is a collateralized bond obligation managed by
AIG Global Investment Group that closed Nov. 5, 1998. The final
maturity of the transaction is Dec. 15, 2010. The remaining
collateral of American General is composed of high yield corporate
bonds. Payments are made semi-annually in June and December and
the reinvestment period ended in June 2003. Since the last Fitch
review on July 2, 2007, the class B-1 notes have been paid in
full, making the B-2 notes the most senior in the capital
structure. Due to the failing class B overcollateralization test,
the B-2 notes received $4.9 million in principal redemption in the
Dec. 15, 2008 payment date. According to the March 2, 2009
trustee report, the class B OC test is at 92.2% relative to a
minimum threshold of 135%. Fitch expects the test to continue to
fail, thereby diverting interest and principal proceeds from the
Income Notes to redeem the class B-2 notes. However, the class B-
2 notes remain undercollateralized. The trustee reported $11.3
million in the principal collections account and a portfolio
collateral balance of $10.5 million, of which $4.1 million was
reported as defaulted (39%). The remaining two performing
securities in the portfolio are both distressed.
The rating of the class B-2 notes addresses the likelihood that
investors will receive their stated balance of principal by the
legal final maturity date.
The Distressed Recovery Rating on the classes of notes has been
revised to RR to reflect Fitch's updated Rating Definitions
Criteria released March 3, 2009.
Fitch's current and revised criteria for rating corporate CDOs was
released on April 30, 2008. However, due to the high obligor
concentration within the portfolio, Fitch used a more
deterministic approach in analyzing the portfolio rather than
utilizing the Corporate Portfolio Credit Model. Fitch's
probability of default was based upon issuer default ratings and
term to maturity. The recovery rates were based either upon
specified underlying securities' RR, comparable recovery ratings,
or the PCM assumed recovery rate depending upon the seniority of
each of the underlying bonds.
AMERIQUEST MORTGAGE: Moody's Downgrades Ratings on 2004-R10 Notes
-----------------------------------------------------------------
Moody's Investors Service has downgraded its rating of Reference
Notes Referencing US$5,000,000 Ameriquest Mortgage Securities
Inc., Asset Backed Pass-Through Certificates Series 2004-R10,
Class M9 maturing 2034 issued by Credit Suisse First Boston
International.
The transaction is a credit linked note whose rating is based
primarily upon the transaction's structure and the credit quality
of the Reference Obligation.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for structured notes
as described in Moody's Special Report Below:
-- Moody's Refines Its Approach to Rating Structured Notes (July
1997)
-- Rating Institutional-To-Retail Repackagings: An Application
of Moody's Structured Notes Methodology (May 2002)
The rating action is:
Class Description: Reference Notes Referencing US$5,000,000
Ameriquest Mortgage Securities Inc., Asset Backed Pass-Through
Certificates Series 2004-R10, Class M9 maturing 2034
-- Current Rating: C
-- Prior Rating: Baa3
-- Prior Rating Date: 03/10/05
AUCTION RATE: S&P Downgrades Ratings on 2007-1 Notes to 'BB-'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on Auction
Rate Securities Trust 2007-1's And Fixed Income Pass-Through Trust
2007-A's class A and B notes to 'BB-' from 'A-'.
The ratings on both transactions are dependent on the rating
assigned to the underlying security, Merrill Lynch & Co. Inc.'s
noncumulative perpetual floating-rate preferred stock series 5
notes ('BB-').
The lowered ratings reflect the Feb. 24, 2009, downgrade of the
underlying security to 'BBB' from 'A-', and the subsequent
March 3, 2009, downgrade to 'BB-' from 'BBB'.
AURELIUS CAPITAL: S&P Downgrades Ratings on Various 2007-1 Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A, C, D, and E tranches of Aurelius Capital CDO 2007-1 Ltd.
S&P also placed the ratings on classes A and C on CreditWatch with
negative implications.
The rating actions reflect a negative migration in the credit
quality of the underlying portfolio. The CreditWatch placements
reflect the fact that a significant portion of the transaction's
collateral assets currently have ratings on CreditWatch with
negative implications.
Aurelius Capital CDO 2007-1 Ltd. is a U.S. collateralized debt
obligation of CDOs that is backed predominantly by collateralized
loan obligation transactions.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating Actions
Aurelius Capital CDO 2007-1 Ltd.
Rating
------
Class To From
----- -- ----
A BBB+/Watch Neg AA+
C BBB-/Watch Neg A
D BB-/Watch Neg BBB/Watch Neg
E CCC+ BB-/Watch Neg
AURELIUS CAPITAL: S&P Downgrades Ratings on 2007-1 Tranches
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A, C, D, and E tranches of Aurelius Capital CDO 2007-1 Ltd.
S&P also placed the ratings on classes A and C on CreditWatch with
negative implications.
The rating actions reflect a negative migration in the credit
quality of the underlying portfolio. The CreditWatch placements
reflect the fact that a significant portion of the transaction's
collateral assets currently have ratings on CreditWatch with
negative implications.
Aurelius Capital CDO 2007-1 Ltd. is a U.S. collateralized debt
obligation of CDOs that is backed predominantly by collateralized
loan obligation transactions.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating Actions
Aurelius Capital CDO 2007-1 Ltd.
Rating
------
Class To From
----- -- ----
A BBB+/Watch Neg AA+
C BBB-/Watch Neg A
D BB-/Watch Neg BBB/Watch Neg
E CCC+ BB-/Watch Neg
AUSTIN HOUSING: Occupancy Decline Prompts Moody's Junk Rating
-------------------------------------------------------------
Moody's Investors Service has downgraded to Caa1 from B3 the
rating on Austin Housing Finance Corporation Multifamily Housing
Revenue Bonds (Rutland Place Apartments Project), Series 1998 A,
of which approximately $11.6 million of debt remains outstanding.
The downgrade is based upon Moody's review of un-audited, 12-month
operating statement ending December 2008 that shows that debt
service coverage has deteriorated due to a significant decline in
occupancy. Current physical occupancy declined to mid 60s,
largely due to fire in one of the apartment buildings in early
2008 which affected 16 units. Returning to historical occupancy
levels has been a challenge.
The project is a 294-unit multifamily housing development located
in North Central Austin submarket, and is comprised of 16 garden
style apartment buildings (known as Rutland Place I) and 15 other
apartment buildings (known as Rutland Place II). Phase I of the
project was built in 1979 and Phase II was built in 1985.
Legal Security: The bonds are limited obligations payable solely
from the revenues, receipts and security from the project.
Strengths
* The gross revenue from the property is deposited into a revenue
fund with the trustee and is used first to pay debt service,
fees and insurance expense then to operating expenses
* The 2009 budget doesn't project having to use funds from the
debt service reserve which as of December 31, 2008 stands at
$108,204 compared to $107,504 in 2007
* According to management, all the major repairs to the fire
building are complete and the units are being leased and
occupied
* The owner has been contributing funds to cover operating
deficits and expects the property to return to a stabilized
operating level that it has historically experienced
* Occupancy in the submarket is forecasted to remain stable while
rent is forecasted to grow
* There has been no default to-date
* The owner used its own funds to cover some of the operating
shortfalls but it's uncertain if this could be sustained for a
continued period of time
Challenges
* Very thin debt service coverage level of 0.65 times based on un-
audited 12-month operating statement ending December 31, 2008
* Occupancy has declined from an average 84% since Moody's last
rating
update to mid 60s and return to prior occupancy levels has been
a challenge
* Poor performance of the property resulted in property management
change
* The property has generated negative cash flow in second half of
2008 though management anticipates to arrive to positive cash
flow in 2009
* Debt Service Reserve Fund has declined to $108,204, or 12% of
total requirement, as of December 31, 2008, compared to $107,504
in 2007
* Replacement and Repair Fund remains unfunded
* The property is subject to rental housing restrictions such as
income limitations restricting the pool of potential tenants as
well as owner's ability to maximize rental income
* There is a significant number of competing properties in the
area
The last rating action was on April 1, 2008 when Moody's affirmed
the B3 rating and the negative outlook on the bonds.
Outlook
The negative outlook has been affirmed due to the length of time
it will take to replenish Debt Service Reserve Fund and the
Replacement and Repair Fund, both currently well below levels
required pursuant to the transaction documents.
BANK OF AMERICA: Moody's Raises Ratings on Two 2002-X1 Certs.
-------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes and
affirmed seven classes of Banc of America Structured Securities
Trust, Commercial Mortgage Pass-Through Certificates, Series 2002-
X1. The upgrades are due to higher credit subordination resulting
from loan payoffs and amortization. The action is the result of
Moody's on-going surveillance of commercial mortgage backed
securities transactions.
As of the March 16, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 77%
to $166.5 million from $714.7 million at securitization. The
Certificates are collateralized by 30 mortgage loans ranging in
size from less than 1% to 12% of the pool, with the top 10 non-
defeased loans representing 62% of the pool. Nine loans,
representing 28% of the pool, have defeased and are collateralized
by U.S. Government securities.
One loan, representing 1% of the pool, is on the master servicer's
watchlist. Thirteen loans have been liquidated from the pool
since securitization, resulting in an aggregate loss of $12
million. There is one loan, representing 6% of the pool,
currently in special servicing. The loan is secured by a 300,000
square foot shopping center located in Lincoln Park, Michigan.
The loan defaulted just prior to maturity in April 2008 and became
real estate owned in October 2008. Moody's is estimating a $6
million loss for this specially serviced loan.
Moody's was provided with full-and partial-year 2008 operating
results for 41% and 59% of the pool, respectively. Moody's loan
to value ratio is 57% compared to 72% at Moody's prior review in
September 2007.
The three largest loans represent 31% of the pool. The largest
loan is the Mission Marketplace Loan ($20.6 million -- 12.4%),
which is secured by a 344,000 square foot shopping center located
in Oceanside, California. Major tenants include Kmart, Big Lots,
Ralph's Grocery Store and a 13-screen cinema. The property was
89% leased as of December 2008, compared to 93% at last review.
Moody's LTV is 74% compared to 77% at last review.
The second largest loan is the Lomas Santa Fe Plaza Loan ($18.3
million -- 11.0%), which is secured by a 214,000 square foot
grocery anchored retail center located north of San Diego in
Solana Beach, California. Major tenants include Vons and Ross
Stores. The center was 99% occupied as of September 2008, the
same as at last review. Net operating income has improved
significantly since last review due to higher rental income.
Moody's LTV is 44% compared to 55% at last review.
The third largest loan is the Torrey Reserve South Court Loan
($13.5 million -- 8.1%), which is secured by a 131,000 square foot
office property located in north San Diego, California. The
property was 96% occupied as of September 2008 compared to 98% at
last review. Net operating income has improved due to higher
rental income. Moody's LTV is 54% compared to 59% at last review.
Moody's rating action is:
-- Class A-2, $10,196,871, affirmed at Aaa; previously affirmed
at Aaa on 9/12/2007
-- Class X, Notional, affirmed at Aaa; previously affirmed at
Aaa on 9/12/2007
-- Class B, $35,736,956, affirmed at Aaa; previously affirmed at
Aaa on 9/12/2007
-- Class C, $32,163,260, affirmed at Aaa; previously affirmed at
Aaa on 9/12/2007
-- Class D, $32,163,260, upgraded to Aaa from A1; previously
affirmed at A1 on 9/12/2007
-- Class E, $8,934,239, upgraded to Aa2 from Baa1; previously
upgraded to Baa1 from Baa2 on 9/12/2007
-- Class G, $12,507,935, affirmed at Ba2; previously affirmed at
Ba2 on 9/12/2007
-- Class H, $5,360,543, affirmed at B1; previously affirmed at
B1 on 9/12/2007
-- Class I, $16,886,102, affirmed at C; previously affirmed at C
on 9/12/2007
BATTERSON PARK: Fitch Changes Ratings on Class B Notes to 'C/RR4'
-----------------------------------------------------------------
Fitch Ratings has revised the Recovery Rating on the classes of
notes issued by Batterson Park CBO I, Ltd.:
-- $9,708,494 class B revised to 'C/RR4' from 'C/DR3'.
Batterson Park is a collateralized debt obligation that closed
Nov. 17, 1998 and is managed by General Re/New England Asset
Management. The proceeds of the issuance were invested in a
portfolio of U.S high yield corporate bonds and loans. Currently
only two bonds remain as collateral for the CDO, one of which is
in default. Payments are made semi-annually in January and July
and the reinvestment period ended in January 2003.
The downward revision to the RR on the class B notes is the result
of a lower recovery expectation on the notes given that only one
performing asset remains. According to a trustee report dated
Feb. 26, 2009, the remaining performing security has a par face
amount of $3.5 million. As such, there is significant
undercollateralization to these notes. The overcollateralization
test failed at 26.46% with a trigger of 130%.
The rating of the class B notes addresses the likelihood that
investors will receive ultimate and compensating interest
payments, as per the governing documents, as well as the stated
balance of principal by the legal final maturity date.
The Distressed Recovery Rating on the classes of notes has been
revised to RR to reflect Fitch's updated Rating Definitions
Criteria released March 3, 2009.
BCAP LLC: Fitch Takes Rating Actions on Various 2009-RR1 Notes
--------------------------------------------------------------
BCAP LLC 2009-RR1 Trust is rated by Fitch Ratings, with a Stable
Outlook:
Group I
-- $34 397,100 classes I-A-1, I-A-2 and A-R 'AAA';
-- $6,069,945 class I-A-3 'CC'.
Group II
-- $101,373,000 classes II-1-A-1, II-2-A-1 and II-3-A-1 'AAA';
-- $13,823,198 class II-A-2 'CCC'.
Group III
-- $107,155,000 classes III-A-1 and III-A-2 'AAA';
-- $26,789,404 class III-A-3 'CC'.
Group IV
-- $23,905,000 class IV-A-1 'AAA';
-- $7,968,426 class IV-A-2 'CC'.
This transaction consists of 4 groups. Each group is a
resecuritization of ownership interest in certain mortgage-backed
certificates. As resecuritizations, the certificates will receive
their cash-flows from the underlying classes of certificates. The
underlying certificates are backed by conventional Prime first-
lien mortgage loans. The group-to-bond associations are:
Group I: 41.92% interest in the CHL Mortgage Pass-Through Trust
2007-9, Class A-6. Credit Enhancement for the I-A-1, I-A-2 and A-
R certificates is provided by the structural support on the
underlying transaction and by the 15% class I-A-3 bond.
Group II-1: 9.64% interest in the Wells Fargo Mortgage Backed
Securities 2004-EE Trust, Class II-A-2. Credit Enhancement for
the II-1-A-1 is provided by the structural support on the
underlying transaction and by the 12% component class II-A-2-i, a
component of the II-A-2 bond.
Group II-2: 24.67% interest in the Wells Fargo Mortgage Backed
Securities 2005-AR10 Trust, Class II-A-2. Credit enhancement for
the II-2-A-1 is provided by the structural support on the
underlying transaction and by the 12% component class II-A-2-ii, a
component of the II-A-2 bond.
Group II-3: 12.87% interest in the Wells Fargo Mortgage Backed
Securities 2005-AR12 Trust, Class II-A-6. Credit enhancement for
the II-3-A-1 is provided by the structural support on the
underlying transaction and by the 12% component class II-A-2-iii,
a component of the II-A-2 bond.
Group III: 87.22% interest in the Wells Fargo Mortgage Backed
Securities 2007-11 Trust, Class A-3. Credit enhancement for the
III-A-1 and III-A-2 certificates is provided by the structural
support on the underlying transaction and by the 20% class III-A-3
bond.
Group IV: 8.59% interest in the Wells Fargo Mortgage Backed
Securities 2006-14 Trust, Class A-1. Credit enhancement for the
IV-A-1 certificate is provided by the structural support on the
underlying transaction and by the 25% class IV-A-2 bond.
BEAR STEARNS: Fitch Affirms Low-B Ratings on 2005-TOP 20 Notes
--------------------------------------------------------------
Fitch Ratings affirms Bear Stearns Commercial Mortgage Securities
Trust, series 2005-TOP 20, and assigns Rating Outlooks:
-- $37.7 million class A-1 at 'AAA'; Outlook Stable;
-- $189.5 million class A-2 at 'AAA'; Outlook Stable;
-- $176 million class A-3 at 'AAA'; Outlook Stable;
-- $142.6 million class A-AB at 'AAA'; Outlook Stable;
-- $955 million class A-4A at 'AAA'; Outlook Stable;
-- $130.8 million class A-4B at 'AAA'; Outlook Stable;
-- $147.7 million class A-J at 'AAA'; Outlook Stable;
-- Interest-only class X at 'AAA'; Outlook Stable;
-- $15.5 million class B at 'AA+'; Outlook Stable;
-- $20.7 million class C at 'AA'; Outlook Stable;
-- $15.5 million class D at 'AA-'; Outlook Stable;
-- $28.5 million class E at 'A'; Outlook Stable;
-- $18.1 million class F at 'A-'; Outlook Stable;
-- $18.1 million class G at 'BBB+'; Outlook Negative;
-- $23.3 million class H at 'BBB'; Outlook Negative; and
-- $18.1 million class J at 'BBB-'; Outlook Negative;
-- $5.2 million class K at 'BB+'; Outlook Negative;
-- $7.8 million class L at 'BB'; Outlook Negative;
-- $7.8 million class M at 'BB-'; Outlook Negative;
-- $2.6 million class N at 'B+'; Outlook Negative;
-- $2.6 million class O at 'B'; Outlook Negative;
-- $5.2 million class P at 'B-'; Outlook Negative; and
-- $20 million class LF at 'B' Outlook Negative.
Fitch does not rate the $15.5 million class Q.
The rating affirmations reflect the transaction's stable
performance since issuance. As of the March 2009 distribution
date, the pool's aggregate certificate balance has decreased 4.2%
to $2 billion from $2.09 billion at issuance. Two loans (0.36%)
are currently defeased. The Rating Outlooks reflect the likely
direction of any rating changes over the next one to two years.
Fitch identified ten loans (3.3%) as Loans of Concern. The
largest LOC is secured by a 368,255 square foot office property
that serves as the headquarters for Circuit City. In January
2009, Circuit City announced Chapter 7 liquidation and the closure
of all retail stores in the U.S. Circuit City continues to pay
rent at this location because their data center is located on the
premises. The servicer reports that Circuit City is interested in
remaining in a portion of the space for another three-12 months.
Additionally, the borrower is staying in communication with the
master servicer regarding potential re-leasing opportunities.
Fitch will continue to monitor the situation.
These 14 loans maintain their investment grade shadow ratings:
Lake Forest Mall (6%), West Towne Mall (5.3%), East Towne Mall
(3.8%), Park 'N Fly Atlanta (2.3%), 200 Madison Avenue (2.2%),
Depot Business Park (2%), 1345 Avenue of the Americas (2%),Fifth &
Pine (1.4%), 1301 West Highlands Boulevard (0.9%), Park Avenue
Plaza (0.9%), 2200 Harbor Boulevard (0.6%), Pride Center (0.5%),
Queens Boulevard Office (0.4%), and Campus Edge Apartments Phase
II (0.2%).
Lakeforest Mall is a 1,052,232 sf regional mall located in
Gaithersburg, Maryland. The mall is anchored by Sears, JC Penney,
Macy's, and Lord & Taylor. Occupancy as of September 2008
declined to 72%, compared to 89% at origination. The property has
shown declines in base rent and recoveries since issuance as well.
The loan matures in July, 2010. Fitch will continue to closely
monitor the performance of the mall.
West Towne Mall, located in Madison, Wisconsin, is a 459,935 sf
mall anchored by Dick's Sporting Goods, JC Penney, Sears, and
Boston Store. Occupancy as of September 2008 was 97%.
East Towne Mall, located in Madison, Wisconsin, is a 430,387 sf
mall anchored by Dick's Sporting Goods, JC Penney, Sears, and
Boston Store. Occupancy as of September 2008 was 99%.
BEXAR COUNTY: Moody's Downgrades Ratings on 2000A Bonds to 'B1'
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating on Bexar
County Housing Finance Corporation's (Honey Creek/Austin Point
Apartments) Multifamily Housing Revenue Bonds Series 2000A to B1
from Ba2 and downgraded Series 2000C to B3 from B1. The outlook
remains negative. The rating downgrades are based upon the
expectation that the debt service reserve fund for 2000C will be
tapped on the next debt service payment date and the inherent
weakness this demonstrates. The negative outlook reflects
forecasts for weak occupancy and negative rent growth for the
submarket in the near term.
Legal Security: The bonds are limited obligations payable solely
from the revenues, receipts and security pledged in the Trust
Indenture.
Recent Developments/Results
Occupancy has improved to 95% daily average for February 2009.
This is roughly inline with the monthly average of 96.1%
experienced in 2008, which is above the average of 92.2% for the
North Central San Antonio submarket, according to Torto Wheaton
Research.
In 2006, the property received a transfer from its owner,
Community Housing Corporation of America, which with surplus funds
allowed debt service payments to be made. In 2007 (audited
statements), operations improved and the debt service coverage
ratio for 2000A was 1.23x and 1.10x for 2000C. Interim statements
for 2008 indicate net operating income has improved slightly over
2007. However, this does not include what was categorized as
capital expenditures as an expense. Since the reserve and
replacement fund has a $0 balance (3/24/2009), it is possible that
those expenses categorized as capital expenses are being funded
from NOI. With these expenses netted from NOI, 2008 DSC for 2000A
is 1.18x and 1.06x for 2000C. The trustee indicates the debt
service fund for 2000A is fully funded and 2000C has a $0 balance
(as of 3/24/2009), indicating that coverage for 2000C is actually
less than 1.0x and that the interim statements overstate debt
service coverage. Moody's considers interim financial statements
less reliable than audited statements and is incorporating trust
balances into the rating assignments.
CHC of America has indicated it will allow the DSRF for 2000C be
tapped on the next debt service payment date but will likely
transfer money if the DSRF is ever insufficient to make debt
service payments. Moody's downgrade of 2000A to B1 reflects the
inherent weakness associated with the projected tapping of the
DSRF on 2000C, a depleted reserve and replacement fund and the
uncertainty surrounding the interim statements. It also reflects
the fact that its debt service fund is fully funded. Moody's
downgrade of 2000C to B3 reflects the expectation that the DSRF
will be tapped, but not completely depleted, on the next debt
service payment date. It also reflects CHC's indication it will
transfer money to the trustee to prevent a payment default.
The last rating action was on January 31, 2008 when the ratings
were downgraded to Ba2 (2000A) and B1 (2000C).
Outlook
The outlook for the bonds is negative based upon negative rent
growth forecast and potential the owner will not transfer funds to
the project in the future. The $0 balance in the reserve and
replacement fund was also considered.
CAF ABS: Moody's Withdraws 'Caa3' Ratings on Two 2006-1 Notes
-------------------------------------------------------------
Moody's has withdrawn the ratings on the A-1a and A-1b classes of
CAF ABS Investment LLC, Series 2006-1. The ratings were primarily
based on a financial guarantee insurance policy from Financial
Guaranty Insurance Company whose insurance financial strength
rating has been withdrawn.
Complete Rating Actions are:
Issuer: CAF ABS Investment LLC, Series 2006-1
Class: Class A-1a and A-1b
-- Current Rating: WR; previously on March 24, 2009 downgraded
to Caa3 and placed under review direction uncertain from Baa3
under review for direction uncertain.
-- Financial Guarantor: FGIC (WR; previously on March 24, 2009
Downgraded to Caa3 and withdrawn)
-- Underlying rating: WR; previously on March 24, 2009
downgraded to Caa3 and placed under review direction
uncertain from Baa3 under review direction uncertain.
CALHOUN CBO: Fitch Affirms Ratings on $29.3MM Senior Notes at 'B+'
------------------------------------------------------------------
Fitch Ratings has affirmed one class and revised the Recovery
Rating on another class of notes issued by Calhoun CBO Ltd./Corp.:
-- $29,342,092 senior notes affirmed at 'B+' and assigned a
Stable Rating Outlook;
-- $82,596,632 second priority senior notes revised to 'C/RR6'
from 'C/DR5'.
Calhoun is a collateralized bond obligation managed by RiverSource
Investments, LLC (formerly known as American Express Asset
Management Group, Inc) that closed July 23, 1998. The final
maturity of the transaction is July 23, 2010. The remaining
collateral of Calhoun is composed of high yield corporate and
emerging market bonds. Payments are made semi-annually in January
and July and the reinvestment period ended in July 2003.
The affirmation to the senior notes reflects the possibility that
the class will be redeemed in full by maturity. As of the Feb.
25, 2009 trustee report, $3.5 million was available in the
principal collections account and the portfolio collateral balance
was $46.7 million, of which $2.2 million has defaulted. The
senior OC test passed at 165.98% with a trigger of 128%; however,
the second priority OC test continues to fail at 43.51% with a
trigger at 104%. The senior IC test also passed at 386.3% with a
trigger of 145%; however, the second priority IC test also
continues to fail at 52.54% with a trigger of 120%.
The downward revision of the RR rating on the second priority
senior notes is the result of a lower recovery expectation on the
remaining securities in the portfolio and the significant
undercollateralization of the class. Additionally, principal
proceeds continue to be diverted to pay interest to the second
priority senior notes. In the last payment period, approximately
$2.2 million of principal was used for interest on the second
priority senior notes. Further undercollateralization for the
second priority senior notes is expected as this continued
diversion of principal to pay interest progresses over time.
The rating of the senior notes addresses the likelihood that
investors will receive full and timely payments of interest, as
per the governing documents, as well as the stated balance of
principal by the legal final maturity date. The rating of the
second priority senior notes addresses the likelihood that
investors will receive ultimate and compensating interest
payments, as per the governing documents, as well as the stated
balance of principal by the legal final maturity date.
The Distressed Recovery Rating on the classes of notes has been
revised to RR to reflect Fitch's updated Rating Definitions
Criteria released March 3, 2009.
Fitch's current and revised criteria for rating corporate CDOs was
released on April 30, 2008. However, due to the high obligor
concentration within the portfolio, Fitch used a more
deterministic approach in analyzing the portfolio rather than
utilizing the Corporate Portfolio Credit Model. Fitch's
probability of default was based upon issuer default ratings and
term to maturity. The recovery rates were based either upon
specified underlying securities' RR, comparable recovery ratings,
or the PCM assumed recovery rate depending upon the seniority of
each of the underlying bonds.
CAPITAL GUARDIAN: Fitch Junks Rating on $70 Mil. Class B Notes
--------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed one class of notes
issued by Capital Guardian ABS CDO I, Ltd.:
-- $9,549,406 class A-1A notes downgraded to 'A' from 'AAA';
Outlook Negative;
-- $26,043,834 class A-1B notes downgraded to 'A' from 'AAA';
Outlook Negative;
-- $8,559,740 class A-1C notes downgraded to 'A' from 'AAA';
Outlook Negative;
-- $70,000,000 class B notes downgraded to 'CC' from 'B';
-- $15,224,240 class C notes affirmed at 'C'.
The class A-1A, A-1B, A-1C, and B notes are removed from Rating
Watch Negative. In addition, the Distressed Recovery Rating of
'DR6' is withdrawn from the class C notes.
Fitch has taken these rating actions primarily due to negative
credit migration in the portfolio. The rating actions also
incorporate Fitch's recently adjusted default and recovery rate
assumptions for analyzing structured finance collateralized debt
obligations. The Negative Rating Outlook on the class A notes is
due to the high concentration of residential mortgage-backed
securities in the portfolio that are expected to continue to face
negative pressure until the housing market stabilizes. The rating
of the class A-1A notes does not consider any benefit of the class
A-1A credit enhancement provider, as such entity is not rated by
Fitch.
Since the last review in December 2006, the portfolio experienced
additional negative rating migration. Approximately 33.1% of the
portfolio is now rated below investment grade, with assets rated
'CCC+' and lower comprising 9.1% of the portfolio. All coverage
tests, which include the class A/B and class C
overcollateralization and interest coverage tests, are failing as
of the latest trustee report dated Feb. 28, 2009. The class A/B
OC ratio is 84.6%, while the class C OC ratio is 74.6%, versus
respective triggers of 104% and 101.5%.
Between 2002 and 2005, Capital Guardian suffered trading losses
due to the sale of defaulted subprime RMBS and aircraft lease
securitizations. As a result, the transaction is under-
collateralized by approximately $30 million. This lack of par
coverage is evident in the OC ratios and has caused interest
collections to be insufficient to fully pay the interest due to
the class B notes. The remainder of class B interest not paid
using interest proceeds is made up with principal proceeds, and
class B has received full interest payments to date. The class C
interest payments have been paid-in-kind since April 2005, whereby
the principal balance of the class C notes has been written up by
the amount of interest owed.
On the last payment date in January 2009, only $88,115 of interest
proceeds was left to pay current interest to the class B notes,
and the remaining $853,190 of interest payable, was made up with
principal proceeds. Such shortfalls have occurred on all previous
payment dates since July 2007. As the use of principal proceeds
to pay interest continues, it will reduce the amount of principal
proceeds available to pay down the senior classes which currently
represent approximately 47% of the total capital structure.
However, if on any future payment distribution date there is an
insufficient amount of principal amortization to meet the full
interest payment due to class B notes, an event of default would
be triggered. In such instance, the holders of class A-1 notes
could vote to accelerate the transaction, thereby diverting all
interest and principal proceeds to pay down their principal.
Fitch would view such occurrence to have a stabilizing effect for
the senior notes.
As a result of the collateral deterioration, the realized losses
and the expected future negative rating migration of the
portfolio, Fitch projects that the class B notes will likely not
receive their full principal balance by the stated maturity date.
Similarly, in light of the low recoveries on assets rated 'CCC+'
and lower, Fitch expects the class C notes to receive no further
interest or principal distribution in the future.
Capital Guardian is a cash flow CDO which closed in February 2002
and is managed by Capital Guardian Trust Company. Approximately
40.7% of the current portfolio is comprised of RMBS assets of
which 12.6% is subprime RMBS, primarily issued from 2001 to 2003,
23% manufactured housing RMBS, and 5.1% prime RMBS. The remaining
59.3% of the portfolio comprises of 20.9% commercial mortgage-
backed securities, 18.9% of various commercial asset-backed
securities, 8.8% of SF CDOs, 1.8% of commercial real estate loan
assets, and 8.8% corporate senior unsecured securities. All of
the 52 assets are from the 2003 or prior vintages.
These rating actions resolve the 'Under Analysis' status issued on
Oct. 14, 2008 following Fitch's announcement of its proposed
criteria revision for analyzing SF CDOs. The revised criteria
report, 'Global Rating Criteria for Structured Finance CDOs' was
published in its final form on Dec. 16, 2008 along with an updated
version of the Fitch Portfolio Credit Model that includes
additional functionality for analyzing SF CDOs. As part of this
review, Fitch makes standard adjustments for any names on Rating
Watch Negative or with a Negative Outlook, downgrading such
ratings for default analysis purposes by three and one notches,
respectively.
Fitch will continue to monitor and review this transaction for
future rating adjustments.
CARTER COUNTY: S&P Junks Ratings on Revenue Bonds from 'AAA'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on Carter
County Housing Finance Authority, Oklahoma's assisted living
facility revenue bonds (Ardmore Village Project) series 2000 19
notches to 'CC' from 'AAA'.
"The downgrade reflects what S&P considers to be insufficient
assets available to pay debt service to bondholders," said
Standard & Poor's credit analyst Mikiyon Alexander.
As of Feb. 28, 2009, the project had an asset-to-liability
position of 99.79%.
Total assets of $4.263 million as of Feb. 23, 2009 consisted of
$4.235 million in mortgage-backed securities and an acquisition
fund of $27.867. Outstanding liabilities of $4.272 million
consist of $4.270 million in term bonds earning 5.80% plus accrued
interest of $2,036, resulting in an asset-to-liability ratio of
99.79%. All funds are invested in 'AAAm' rated Federated
Automated Government money market fund. The mortgage-backed
securities have a weighted average pass-through rate of 5.68%.
The trustee, BancFirst, is aware that the bonds are not in
parity. If all mortgage-backed securities prepay prior to the
issue reaching parity, Standard & Poor's believes there will be
insufficient funds available to pay full principal and interest on
the bonds.
CBA COMMERCIAL: Fitch Junks Ratings on Two Classes of 2007-1 Notes
------------------------------------------------------------------
Fitch Ratings downgrades CBA Commercial Assets, LLC, series
2007-1, small balance U.S. commercial mortgage backed securities:
-- $98 million class A to 'AA-' from 'AAA'; Outlook Negative;
-- $3.5 million class M-1 to 'A-' from 'AA'; Outlook Negative;
-- $3.7 million class M-2 to 'BBB-' from 'A-'; Outlook Negative;
-- $2.2 million class M-3 to 'BB-' from 'BBB+'; Outlook
Negative;
-- $1.4 million class M-4 to 'B-' from 'BBB'; Outlook Negative.
Fitch also downgrades, assigns a Recovery Rating and removes this
class from Rating Watch Negative:
-- $1.8 million class M-5 to 'CCC/RR1' from 'BBB-'.
Fitch downgrades and assigns a Recovery Rating to this class:
-- $1.3 million class M-6 to 'C/RR1' from 'BB-'.
Fitch affirms this class:
--Interest only class X-1 at 'AAA'; Outlook Stable.
Classes M-7 and M-8 are not rated by Fitch.
The downgrades are the result of increased specially serviced
loans and loss expectations since Fitch's last rating action.
Rating Outlooks reflect the likely direction of any rating changes
over the next 12 to 24 months.
The transaction is collateralized by small balance commercial
loans secured by multifamily, retail, office, industrial, mixed
use, manufactured housing and self-storage properties. The loans
are smaller than typical CMBS loans with a weighted average loan
size of $541,636 and in some instances are not structured as
single purpose entities and are full recourse. The transaction
remains diverse, with the top three and 10 largest loans in the
pool by balance representing 6.7% and 20.8%, respectively. The
properties are geographically diverse with the top five largest
concentrations in Texas (15.2%), Florida (11.4%), New York
(10.4%), Michigan (6.3%) and New Jersey (5.5%).
Thirty-five loans (15.7%) are currently in special servicing.
Upon liquidation, losses are expected to deplete the non-rated
classes M-7 and M-8 and significantly impact class M-6.
A high proportion of the transaction has upcoming Adjustable Rate
Mortgage resets.
CDO REPACKAGING: Moody's Downgrades Ratings on Series 2004 Notes
----------------------------------------------------------------
Moody's Investors Service has downgraded its ratings of notes
issued by CDO Repackaging Trust Securities Series 2004-(1,2 & 3),
a collateralized debt obligation transaction referencing a
portfolio of corporate entities and structured finance
obligations.
Moody's explained that the rating action taken are the result of
(i) the application of revised and updated key modeling parameter
assumptions that Moody's uses to rate and monitor ratings of
Synthetic CDOs and (ii) the deterioration in the credit quality of
the transaction's reference portfolio. The revisions affect key
parameters in Moody's model for rating Synthetic CDOs: default
probability, asset correlation, recovery rate of structured
finance obligations, and other credit indicators such as ratings
reviews and outlooks on corporate entities.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for Corporate
Synthetic CDOs and SF CDOs as described in Moody's Special Reports
below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (March 2009)
-- Moody's Approach to Rating SF CDOs (March 2009)
The rating actions are:
Class Description: US$105,000,000 CDO Repackaging Trust
Securities, Series 2004-3 (Class I Certificates)
-- Current Rating: Ba1
-- Prior Rating Date: June 8, 2004
-- Prior Rating: Aaa
Class Description: US$30,000,000 CDO Repackaging Trust Securities,
Series 2004-2 (Class IIA Certificates)
-- Current Rating: B2
-- Prior Rating Date: July 28, 2008
-- Prior Rating: Aa2, under review for possible downgrade
Class Description: US$70,000,000 CDO Repackaging Trust Securities,
Series 2004-2 (Class IIB Certificates)
-- Current Rating: B2
-- Prior Rating Date: July 28, 2008
-- Prior Rating: Aa2, under review for possible downgrade
Class Description: US$30,000,000 CDO Repackaging Trust Securities,
Series 2004-3 (Class III Certificates)
-- Current Rating: Caa2
-- Prior Rating Date: July 28, 2008
-- Prior Rating: A2, under review for possible downgrade
CITIBANK OMNI: Moody's Assigns 'Ba2' Rating on 2009-D1 Notes
------------------------------------------------------------
Moody's Investors Service has assigned a rating of Ba2 to the
Extendible Floating Rate Class 2009-D1 Notes issued as part of the
Omniseries from the Citibank Omni Master Trust.
The complete ratings action is:
Issuer: Citibank Omni Master Trust
-- $147,000,000 Extendible Floating Rate Class 2009-D1 Notes,
rated Ba2
Given the worsening economic conditions and challenging retail
environment, Moody's has recently revised its expectations for
Citibank Omni Master Trust. The Trust's charge-off rate range was
increased to 12.00% - 15.00% from 9.50% - 11.50% while Moody's
expectation for the principal payment rate range was revised to
9.00% - 12.00% from 10.50%-13.50%. Moody's also adjusted the
range on yield to 21.00% - 24.00% from 22.50% - 25.50%. Moody's
expects Citibank to increase the subordination to all Omniseries
outstanding notes by 4.75% no later than May 1, 2009, as was
disclosed in the Trust's February monthly servicer report.
The performance expectations for a given variable indicate 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 were rated. 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.
On December 19, 2008, Moody's published a report introducing
Volatility Scores and Parameter Sensitivities for the global
credit card ABS sector. 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.
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).
The V Score for this transaction is Medium, which is in line with
the V score assigned for the U.S. Credit Card ABS sector.
Additionally, the four broad components underlying the V Score
have each been assessed a Medium assumption uncertainty for the
Citibank Omni Master Trust, which are also the same assessments
for the U.S. Card ABS sector.
Parameter Sensitivities provide a quantitative, model-indicated
calculation of the number of notches that a Moody's-rated
structured finance security may vary if certain input parameters
used in the initial rating process differed. The analysis assumes
that the deal has not aged. It is not intended to measure how the
rating of the security might migrate over time, but rather, how
the initial rating of the security might differ as certain key
parameters vary.
In rating US Credit Card ABS, the payment rate, charge-off rate,
purchase rate, yield and certain other inputs are used to
calculate the median expected loss and the Ba2 proxy level, which
in turn are the two inputs used to determine a new lognormal loss
distribution. One new lognormal loss distributions was calculated
(before reaching a ratings floor) by assuming a payment and
charge-off rate combination of 9%/10%, from the base case of
11%/8%. The quantitative/model indicated Parameter Sensitivities
for the notes under this scenario is four notches (i.e. Ba2 to
B3). Citibank's aforementioned announced intention to increase
credit enhancement will likely impact the Trust's parameter
sensitivity upon execution.
CITIGROUP MORTGAGE: Fitch Assigns Ratings on 2009-3 Notes
---------------------------------------------------------
Fitch Ratings has assigned these ratings and Outlooks to Citigroup
Mortgage Loan Trust 2009-3:
Group 1
-- $59,128,000 classes 1A1 and 1A2 'AAA'; Outlook Stable;
-- $10,434,682 class 1A3 'BB'; Outlook Stable.
Group 3
-- $75,384,000 classes 3A1 and 3A2 'AAA'; Outlook Stable;
-- $15,440,228 class 3A3 'BB'; Outlook Stable.
Group 4
-- $57,715,000 classes 4A1 and 4A2 'AAA'; Outlook Stable;
-- $10,185,977 class 4A3 'A'; Outlook Stable.
Group 5
-- $53,402,000 classes 5A1, 5A2 and 5A4 'AAA'; Outlook Stable;
-- $11,443,000 (exchangeable) class 5A7 'AA'; Outlook Stable;
-- $22,885,808 class 5A3, 5A5, 5A6 and 5A8 'C'; Outlook Stable.
This transaction contains certain classes designated as
exchangeable certificates and others as regular certificates. The
class 5A4, 5A5, 5A6, 5A7 and 5A8 certificates are exchangeable
certificates. The rest of the classes are regular certificates.
This transaction consists of five groups. Each group is a
resecuritization of ownership interest in certain mortgage-backed
certificates. As resecuritizations, the certificates will receive
their cash-flows from the underlying classes of certificates. The
underlying certificates are backed by conventional Alt-A and Prime
first-lien mortgage loans. The group-to-bond associations are:
Group 1: 70.40% interest in the Wells Fargo Mortgage Backed
Securities 2005-7 Trust, class A-3. Credit enhancement for the
1A1 and 1A2 certificates is provided by the structural support on
the underlying transaction and by the 15% class 1A3 bond.
Group 3: 100% interest in the CHL Mortgage Pass-Through Trust
2003-46, class 4-A-1. Credit enhancement for the 3A1 and 3A2
certificates is provided by the structural support on the
underlying transaction and by the 17% class 3A3 bond.
Group 4: 25.50% interest in the WaMu Mortgage Pass-Through
Certificates, series 2003-AR10, Class A-7. Credit enhancement for
the 4A1 and 4A2 certificates is provided by the structural support
on the underlying transaction and by the 15% class 4A3 bond.
Group 5: 57.79% interest in the CMALT (CitiMortgage Alternative
Loan Trust) series 2007-A2, class IA-5. Credit enhancement for
the 5A1 and 5A2 certificates is provided by the structural support
on the underlying transaction and by the 30% class 5A3 bond.
CITIGROUP MORTGAGE: Moody's Downgrades Ratings on 12 Tranches
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of twelve
tranches issued in two transactions from the Citigroup Mortgage
Loan Trust shelf. The collateral backing each tranche includes
first lien adjustable-rate and fixed-rate and second lien "scratch
and dent" mortgage loans, i.e. loans with delinquency issues
either before or at closing, loans in bankruptcy, loans in
forbearance and modified loans.
The actions are triggered by higher than anticipated delinquency
levels and severity of loss as well as well as slower than
anticipated voluntary prepayments, resulting in higher updated
loss expectation for the underlying collateral and lower coverage
for the rated debt given available credit enhancement.
The ratings on the securities are monitored by evaluating factors
determined to be applicable to the credit profile of the
securities, such as i) the nature, sufficiency, and quality of
historical performance information regarding the asset class ii)
an analysis of the collateral being securitized, iii) an analysis
of the transaction's allocation of collateral cash flow and
capital structure, and (iv) a comparison of these attributes
against those of other similar transactions.
General loss estimation methodology is outlined below, separately
for recent and for more seasoned vintages.
For recent vintages (2005 and later), Moody's calculates estimated
losses for Scratch and Dent RMBS in a two-step process. First,
serious delinquencies are projected through late 2009, primarily
based upon recent performance. These projected delinquencies are
converted into projected losses using lifetime roll rates (the
probability of transition to default) averaging 60% for 60-day
delinquencies, 90% for delinquencies greater than 90 days, 100%
for foreclosure and 100% for REO, and severity assumption based on
the higher of actual severities and 65%.
The second step is to determine losses beyond 2009. Depending on
a deal's performance, as well as collateral credit
characteristics, such as loan type, or loan-to-value ratios and
geographic concentrations of remaining current loans, Moody's
assumes varying degrees of slowing in the loss rate (which is
measured by loss-to-liquidation) for the remaining life of the
deal. Typical degrees of slowing in loss rate after late 2009
range from 65% to 85%.
Loss estimates are subject to variability and, as a result,
realized losses could ultimately turn out higher or lower than
Moody's current expectations. Moody's will continue to evaluate
performance data as it becomes available and will assess the
pattern of potential future defaults and adjust loss expectations
accordingly if necessary.
Complete rating actions are:
Citigroup Mortgage Loan Trust 2006-SHL1
-- Cl. A, Downgraded to Aa3; previously on 11/14/2006 Assigned
Aaa
-- Cl. M-1, Downgraded to Ba1; previously on 11/14/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to Ca; previously on 11/14/2006 Assigned
A2
-- Cl. M-3, Downgraded to C; previously on 11/14/2006 Assigned
A3
-- Cl. M-4, Downgraded to C; previously on 11/14/2006 Assigned
Baa1
-- Cl. M-5, Downgraded to C; previously on 11/14/2006 Assigned
Baa2
-- Cl. M-6, Downgraded to C; previously on 6/25/2008 Downgraded
to B1
Citigroup Mortgage Loan Trust 2007-SHL1
-- Cl. A, Downgraded to Caa3; previously on 5/15/2007 Assigned
Aaa
-- Cl. M-1, Downgraded to C; previously on 6/25/2008 Downgraded
to Ba1
-- Cl. M-2, Downgraded to C; previously on 6/25/2008 Downgraded
to Caa3
-- Cl. M-3, Downgraded to C; previously on 6/25/2008 Downgraded
to Ca
-- Cl. M-4, Downgraded to C; previously on 6/25/2008 Downgraded
to Ca
COMM 2001-J1: Fitch Downgrades Ratings on Class J Notes to 'BB+'
----------------------------------------------------------------
Fitch Ratings downgrades and assigns Rating Outlooks to COMM 2001-
J1 commercial mortgage pass-through certificates:
-- $13.6 million class H to 'A+' from 'AA-'; Outlook Stable;
-- $11.7 million class J to 'BB+' from 'BBB-'; Outlook Negative.
Fitch also downgrades and assigns Rating Outlooks to these
classes:
-- $203.9 million class A-2 at 'AAA'; Outlook Stable;
-- $152.5 million class A-2F at 'AAA'; Outlook Stable;
-- Interest-only class X at 'AAA'; Outlook Stable;
-- Interest-only class X-GB at 'AAA'; Outlook Stable;
-- Interest-only class X-USB at 'AAA'; Outlook Stable;
-- Interest-only class X-GT at 'AAA'; Outlook Stable;
-- $46.6 million class B at 'AAA'; Outlook Stable;
-- $46.6 million class C at 'AAA'; Outlook Stable;
-- $15.5 million class D at 'AAA'; Outlook Stable;
-- $31.1 million class E at 'AAA'; Outlook Stable;
-- $23.3 million class F at 'AAA'; Outlook Stable;
-- $13.6 million class G at 'AA+'; Outlook Stable;
-- $4.6 million class P at 'BBB-'; Outlook Stable;
-- $1.8 million class M at 'AA'; Outlook Stable.
Classes A-1 and A-1F have paid in full.
The downgrades are the result of the ongoing interest shortfalls
to class J and the decline in performance of the Graybar loan, the
largest loan remaining in the pool. Rating Outlooks reflect the
likely direction of any rating changes over the next one to two
years. As of the March 2009 distribution date, the collateral
balance has been reduced by 24.7% to $598 million from $795.3
million at issuance.
The certificates are collateralized by seven fixed-rate loans,
which are secured by ten commercial properties, and two loans that
are defeased (30.4%). All of the loans maintain their investment
grade shadow ratings. Seven of the loans (56.2%) are
collateralized by office properties.
The Graybar Building (19.4%), the largest loan in the pool, is
secured by a 1.3 million square foot building located adjacent to
the Grand Central Terminal in New York City. The servicer-
reported occupancy as of December 2008 was 95%, compared to 96% at
issuance, with a DSCR of 1.42 times (x) as of September 2008. The
borrower recently renewed the ground lease which has caused a
significant increase in ongoing expenses.
Boise Towne Square (12.4%), the second largest non-defeased loan
in the pool, is collateralized by 597,338 sf of a 1.17 million sf
regional mall in Boise, Indiana. Anchor tenants include J.C.
Penny, Sears, Dillards, and Macy's, of which only Macy's is
collateral for the loan. The mall's sponsor is GGP. In-line
occupancy was 95.1% as of December 2008, similar to issuance. The
servicer-reported DSCR as of September 2008 was 2.52x.
The Golden Triangle Portfolio (12.1%), the third largest non-
defeased loan in the pool, is collateralized by four office
properties totaling 774,815 sf in Washington, DC. Overall
weighted average occupancy has decreased slightly to 95.7% as of
December 2008 from 96% at issuance, with a weighted average DSCR
as of September 2008 was 2.15x.
28 and 40 West 23rd Street (9.3%), is secured by 519,550 sf, 12-
story, and attached five-story plus penthouse office buildings
located in the Chelsea/Flatiron district of Manhattan. The
servicer-reported occupancy as of December 2008 was 100%, same as
issuance, with a DSCR of 2.50x.
165 Halsey (8.9%) is secured by a 16-story telecom carrier hotel
located in downtown Newark, New Jersey. The servicer-reported
occupancy as of December 2008 was 85.2%, with a DSCR of 2.22x.
Pennsylvania Plaza (6.3%) is secured by an office condominium
building located in Washington, DC. The servicer-reported
occupancy was 98.2% as of December 2008, with a DSCR as of
September 2008 of 1.60x.
The Adolphus Hotel (0.8%) consists of a full-service hotel in
downtown Dallas containing 428 guest rooms. The Adolphus Hotel is
leased to an entity unaffiliated with the borrower under a net
lease. Although the performance of the hotel has declined since
issuance, the loan is fully amortizing with a scheduled maturity
of June 2009.
COMM 2005-FL10: Fitch Downgrades Ratings on Eight Classes to Low-B
------------------------------------------------------------------
Fitch Ratings downgrades and assigns Rating Outlooks to these
classes of COMM 2005-FL10:
-- $99.7 million class B to 'A+' from 'AA+'; Outlook Negative;
-- $24.3 million class C to 'A' from 'AA'; Outlook Negative;
-- $26.5 million class D to 'BBB+' from 'AA-'; Outlook Negative;
-- $26.5 million class E to 'BBB' from 'A+'; Outlook Negative;
-- $26.5 million class F to 'BBB-' from 'A'; Outlook Negative;
-- $6.6 million class J to 'BB-' from 'BBB'; Outlook Negative;
-- $19.8 million class K to 'BB-' from 'BBB'; Outlook Negative;
-- $6.5 million class L to 'BB-' from 'BBB-'; Outlook Negative;
-- $11.2 million class M to B-' from 'BBB-'; Outlook Negative;
-- $3.9 million class N-PC to 'BB-' from 'BBB-'; Outlook
Negative;
-- $12.7 million class O-PC to 'BB-' from 'BBB-'; Outlook
Negative;
-- $12.7 million class P-PC to 'BB-' from 'BBB-'; Outlook
Negative;
-- $8.6 million class Q-PC to 'BB-' from 'BBB-'; Outlook
Negative.
In addition, Fitch affirms and assigns Outlooks:
-- $29.3 million class A-1 at 'AAA'; Outlook Stable;
-- $325 million class A-J1 at 'AAA'; Outlook Stable;
-- $130.4 million class A-J2 at 'AAA'; Outlook Stable;
-- Interest-only classes X-2-DB, X-2-NOM, X-2-SG, X-3-DB, X-3-
NOM, and X-3-SG at 'AAA'; Outlook Stable.
Classes X-1, MOA-1, MOA-2, MOAX-1, MOAX-2, MOAX-3, N-DEL and O-DEL
have paid in full. Fitch does not rate classes A-J3, G, H, and
MOA-3.
The downgrades and the Negative Outlooks to classes B, C, D, E, F,
J, K, L and M are due to the decline in the performance of the
Palisades Center, Berkshire Mall and MacQuarie/DDR Trust Portfolio
loans. The downgrades and Negative Outlooks for classes N-PC, O-
PC, P-PC and Q-PC are based on the performance of Palisades
Center.
The Palisades Center (59.3%) is secured by a two million square
feet super regional mall located in West Nyack, New York, 18 miles
north of Manhattan. The loan is comprised of a $512.2 million
pooled A-note and a $37.8 million B-note, which secures the rake
classes N-PC, O-PC, P-PC and Q-PC. As of December 2008, the
property was 88.4% occupied, down from 98.3% at issuance. The
annualized September 2008 year-to-date Fitch stressed debt service
coverage ratio for the combined $550 million A- and B-Note was
0.97 times (x) down from 1.29x at issuance. The loan remains
current; however, the property has experienced a decrease in
rental income and an increase in real estate taxes. Circuit City
and Steve & Barry's accounted for approximately 3% of the net
rentable area, based on the December 2008 rent roll. The third
and final extension was exercised and the loan will mature on Feb.
9, 2010. This loan no longer retains its investment grade shadow
rating.
The Berkshire Mall (4.4%) is secured by a 589,146 sf regional mall
located in Lanesboro, Massachusetts. As of December 2008, the
property was 82.3% occupied, down from 95.5% at issuance. The
year-end 2008 Fitch stressed DSCR was 0.74x down from 1.31x at
issuance. The loan remains current; however, the property has
experienced a decrease in rental income and an increase in
expenses. Linens N Things and Steve & Barry's accounted for
approximately 9.9% of the net rentable area, based on the December
2008 rent roll. The loan's final extension has been approved and
will mature March 9, 2010. This loan no longer retains its
investment grade shadow rating.
The MacQuarie/DDR Trust Portfolio (0.9%) is secured by
approximately 18 retail properties located in New York, Arkansas,
North Carolina, Illinois, Tennessee and Pennsylvania. As of
YE2008, the portfolio was 80.7% occupied, down from 90% at
issuance. The loan is split into four pari passu notes, including
the floating-rate A-4 note in this transaction, and three fixed-
rate components in three fusion transactions not rated by Fitch.
Two properties have released since issuance, resulting in paydown
to the floating-rate component.
The fixed- and floating-rate notes have a final maturity date of
June 1, 2009. The loan has remained current, however, the
borrower has unsuccessfully been able to secure financing and has
contacted the servicer regarding the upcoming maturity. Fitch
expects a transfer to the special servicer is possible, with
potential future losses to the trust.
As of the March 2009 distribution date, the transaction's
aggregate pooled principal balance has decreased 60.7% since
issuance. Seven of the original 22 loans remain in the trust.
The remaining shadow rated loans; Galleria at Crystal Run (16.3%),
10 MetroTech Center (6.1%), Hudson Valley Plaza/West Seneca (5.7%)
and Berkshire Mall (4.4%) maintain their investment grade rating
based on stable performance.
CORPORATE BACKED: S&P Downgrades Rating on 2001-27 Certs. to 'BB-'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the
Corporate Backed Trust Certificates Series 2001-27 Trust's class
A-1 $45 million corporate backed trust certificates to 'BB-' from
'BB', and removed it from CreditWatch with negative implications.
The rating actions follow the March 26, 2009, lowering of S&P's
long-term rating on Royal Caribbean Cruises Ltd.'s $45 million
7.5% senior debentures to 'BB-' from 'BB' and their removal from
CreditWatch with negative implications.
The rating on the CBT certificates is dependent on the rating on
Royal Caribbean Cruises Ltd.'s $45 million 7.5% senior debentures
('BB-').
CORTS TRUST: S&P Cuts Rating on Ford $219.584 Mil. Certs. to 'C'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on CorTS
Trust II for Ford Notes' $219,584,000 8.0% corporate-backed trust
securities certificates series 2003-3 to 'C' from 'CCC-'.
The rating action follows the March 4, 2009, lowering of S&P's
rating on Ford Motor Co.'s 7.45% senior unsecured Global Landmark
securities due July 16, 2031, to 'C' from 'CCC-'.
The rating on the series 2003-3 certificates is dependent on the
rating on the Ford securities.
CORTS TRUST: S&P Downgrades Rating on $300 Mil. Certs. to 'C'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on CorTS
Trust For Ford Debentures' $300 million corporate-backed trust
securities certificates to 'C' from 'CCC-'.
The rating action reflects the March 4, 2009, lowering of S&P's
rating on Ford Motor Co.'s 7.4% debentures due Nov. 1, 2046, the
underlying security, to 'C' from 'CCC-'.
The rating on the CorTS certificates is dependent on the rating on
the underlying security.
CREDIT SUISSE: Moody's Downgrades Ratings on 28 Tranches
--------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 28
tranches issued in seven transactions from the Credit Suisse CF
shelf. The collateral backing each tranche consists primarily of
first lien adjustable-rate and fixed-rate "scratch and dent"
mortgage loans. Scratch and dent loans consist mainly of subprime
or Alt-A loans. A majority of the loans have appraisal,
documentation, credit score, loan-to-value ratio or other
deficiencies or exceptions from the underwriting standards under
which they were intended to have been underwritten. In addition,
scratch and dent loans typically have delinquent histories prior
to closing or are delinquent at closing.
The actions are triggered by higher than anticipated rates of
delinquency, foreclosure, and Real Estate Owned, increasing
severities, and slower prepayment rates for the underlying
collateral relative to currently available credit enhancement
levels. They are part of Moody's on-going review process.
The ratings on the securities are monitored by evaluating factors
determined to be applicable to the credit profile of the
securities, such as i) the nature, sufficiency, and quality of
historical performance information regarding the asset class ii)
an analysis of the collateral being securitized, iii) an analysis
of the transaction's allocation of collateral cash flow and
capital structure, and (iv) a comparison of these attributes
against those of other similar transactions.
General loss estimation methodology is outlined below, separately
for recent and for more seasoned vintages.
For recent vintages (2005 and later), Moody's calculates estimated
losses for Scratch and Dent RMBS in a two-stage process. First,
serious delinquencies are projected through late 2009, primarily
based upon recent historical performance. These projected
delinquencies are converted into projected losses using lifetime
roll rates (the probability of transition to default) averaging
60% for 60-day delinquencies, 90% for delinquencies greater than
90 days, 100% for foreclosure and 100% for REO, and severity
assumptions based on the higher of actual severities and a floor
of 65%.
The second step is to determine losses for the remaining life of
the deal, following the projection period. Depending on a deal's
performance, including delinquency, default, and prepayment rates,
as well as collateral characteristics, such as loan type, or loan-
to-value ratios and geographic concentrations of remaining current
loans, Moody's assumes varying degrees of slowing in the loss rate
(which is measured by loss-to-liquidation) for the remaining life
of the deal. Typical degrees of slowing in loss rate after late
2009 range from 15% to 35%.
For more seasoned vintages (before 2005), Moody's calculates
estimated losses for Scratch and Dent RMBS:
-- Current delinquencies are used to project pipeline losses.
-- Annual roll rates are assumed at 0% for 30 days, 15% for 60
days, 30% for 90 days, 65% for foreclosures and 90% for REO.
-- Severities used are higher of 65% or actual historical
severity for each transaction.
-- Loss is calculated for the previous year. Expected annual
loss is then derived from a weighted average of previous year loss
and expected pipeline loss. The transaction expected loss is
projected out over the deal's expected remaining life. Depending
on a transaction's time of origination, a 75% weight can be
applied to pipeline loss when it is considered to be more
representative of future expected performance than the previous
year's losses.
-- Expected loss is finally compared to credit enhancement to
derive a rating.
Loss estimates are subject to variability and, as a result,
realized losses could ultimately turn out higher or lower than
Moody's current expectations. Moody's will continue to evaluate
performance data as it becomes available and will assess the
pattern of potential future defaults and adjust loss expectations
accordingly if necessary.
Complete rating actions are:
CSFB Mortgage Pass-Through Certificates, Series 2003-CF14
-- Cl. B, Downgraded to Ca; previously on 8/21/2008 Downgraded
to Caa1
CSFB Mortgage Pass-Through Certificates, Series 2004-CF1
-- Cl. M-2, Downgraded to Baa1; previously on 3/30/2004 Assigned
A2
-- Cl. B, Downgraded to Ca; previously on 11/27/2007 Downgraded
to B3
CSFB Mortgage Pass-Through Certificates, Series 2004-CF2
-- Cl. I-M-2, Downgraded to Baa2; previously on 11/23/2004
Assigned A2
-- Cl. II-M-2, Downgraded to Baa1; previously on 11/23/2004
Assigned A2
-- Cl. I-B, Downgraded to Caa1; previously on 11/23/2004
Assigned Baa2
-- Cl. II-B, Downgraded to B2; previously on 11/23/2004 Assigned
Baa2
CSFB Mortgage Pass-Through Certificates, Series 2005-CF1
-- Cl. M-2, Downgraded to Baa1; previously on 9/30/2005 Assigned
A2
-- Cl. B, Downgraded to Caa1; previously on 9/30/2005 Assigned
Baa2
Credit Suisse Mortgage Capital Trust 2006-CF1
-- Cl. M-2, Downgraded to Baa2; previously on 2/20/2006 Assigned
A2
-- Cl. B-1, Downgraded to Ba1; previously on 2/20/2006 Assigned
Baa1
-- Cl. B-2, Downgraded to Ba3; previously on 2/20/2006 Assigned
Baa2
-- Cl. B-3, Downgraded to Ca; previously on 7/16/2008 Downgraded
to Ba2
CS Mortgage-Backed Pass-Through Certificates, Series 2006-CF2
-- Cl. A-1, Downgraded to Aa3; previously on 7/26/2006 Assigned
Aaa
-- Cl. M-1, Downgraded to Ba1; previously on 7/26/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to B2; previously on 7/26/2006 Assigned
Aa3
-- Cl. M-3, Downgraded to Ca; previously on 7/26/2006 Assigned
A2
-- Cl. B-1, Downgraded to C; previously on 7/26/2006 Assigned
Baa1
-- Cl. B-2, Downgraded to C; previously on 7/26/2006 Assigned
Baa2
-- Cl. B-3, Downgraded to C; previously on 7/16/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
CS Mortgage-Backed Pass-Through Certificates, Series 2006-CF3
-- Cl. A-1, Downgraded to A1; previously on 11/14/2006 Assigned
Aaa
-- Cl. M-1, Downgraded to Ba3; previously on 11/14/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to B3; previously on 11/14/2006 Assigned
Aa3
-- Cl. M-3, Downgraded to Ca; previously on 7/16/2008 Downgraded
to Baa1
-- Cl. M-4, Downgraded to C; previously on 7/16/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on 7/16/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on 7/16/2008 Downgraded
to Caa2
-- Cl. B-1, Downgraded to C; previously on 7/16/2008 Downgraded
to Caa2
CREDIT SUISSE: S&P Cuts Ratings on Eight 2005-CND1 Notes to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes of commercial mortgage pass-through certificates from
Credit Suisse First Boston Mortgage Securities Corp.'s series
2005-CND1 to 'D'. The ratings were previously on CreditWatch,
where they were placed with negative implications on March 20,
2009, due to interest shortfalls.
Standard & Poor's assessed that the shortfalls are likely to recur
for a prolonged period, and as such, lowered the ratings to 'D'.
The interest shortfalls resulted from the master servicer's
(Wachovia Bank N.A.'s) determination that all future interest
advances on the Hotel 71 asset will be nonrecoverable, as well as
Wachovia's recently reported appraisal reduction amount on the
Royal Palm loan; both of which were reflected on the March 16,
2009, trustee remittance report. To resolve the CreditWatch
negative placements, S&P spoke to the master servicer and to the
special servicer, also Wachovia, regarding the two remaining
specially serviced assets and reviewed the calculations Wachovia
used to derive the nonrecoverable determination and ARA. S&P also
evaluated the impact of both events on the transaction structure
and on the interest distribution amounts for the certificate
classes.
Based on S&P's assessment, there are several ways the certificates
could recover their accumulated interest shortfalls. These
include, but are not limited to, any or all of these:
-- Marked increase in property level cash flows;
-- A higher appraisal valuation on one or both properties that
could prompt Wachovia to revise the nonrecoverable
determination on the Hotel 71 asset or the ARA on the Royal
Palm loan; and
-- A property disposition with sufficient amounts of proceeds to
pay all of the accumulated interest shortfalls.
Given the poor performance of the two hotel properties, as well as
current market conditions, S&P believes the occurrence of any or
all of the above to be unlikely. S&P believes that the
certificates will continue to experience liquidity interruption
for an extended period.
The nonrecoverable determination on the Hotel 71 asset and the ARA
on the Royal Palm loan were previously noted in the press release
published March 20, 2009, on RatingsDirect. The below description
summarizes that release.
The March 16, 2009, trustee remittance report reflected $362,827
of interest shortfalls that affected all of the outstanding
certificates in the transaction, including four 'AAA' rated
certificates. The shortfalls were largely due to these factors
related to the two remaining assets in the pool:
-- The master servicer deemed all future interest advances on
the Hotel 71 asset as nonrecoverable on March 3, 2009. The
remittance report reflected interest shortfalls of $310,913
due to the nonrecoverability; and
-- An appraisal subordinate entitlement reduction amount was
declared on the Royal Palm loan. An ASER amount of $52,867
was reported in the March 2009 trustee remittance report.
Loan servicers generally make nonrecoverable determinations when
they assess that future advances may not be recoverable from
ongoing property cash flows or the ultimate disposition of a
specially serviced asset. Hotel 71, a 454-room full-service hotel
in Chicago, became real estate owned on July 16, 2008. Wachovia
is currently marketing the property for sale. The REO trust
balance is $61.3 million and accumulated servicer advances, and
interest thereon, total $24.3 million. An updated appraisal has
been ordered.
The master servicer is generally required to calculate an ARA as
specified in the transaction's pooling and servicing agreements.
For the CND1 transaction, the ARA was calculated as 90% of the
most recent third-party appraisal value less the total exposure on
the loan. The master servicer typically does not make payment
advances on the ARA. The resulting shortfall is referred to as
the ASER amount. The Royal Palm loan, which is secured by a 417-
room, full-service hotel in Miami Beach, Florida, was transferred
to the special servicer on March 9, 2007, due to maturity default.
The special servicer has informed us that it is pursuing
foreclosure and receivership for this property. This loan has a
$74.0 million trust balance and a $107.4 million whole-loan
balance. In addition, the borrower's equity interests in the
property secure a $25.5 million mezzanine loan. To date,
accumulated advances, accrued interest, expenses, and interest
thereon, total $18.4 million. It is S&P's understanding that the
ARA calculation was based on a Feb. 1, 2009, appraisal value of
$92.0 million.
Ratings Lowered And Removed From Creditwatch Negative
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-CND1
Rating
------
Class To From
----- -- ----
A-2 D AAA/Watch Neg
B D A+/Watch Neg
C D BBB-/Watch Neg
D D B-/Watch Neg
E D CCC/Watch Neg
A-X-1 D AAA/Watch Neg
A-X-3 D AAA/Watch Neg
A-Y D AAA/Watch Neg
DIVERSEY HARBOR: Moody's Comments on Entry to Novation Agreement
----------------------------------------------------------------
Moody's Investors Service has determined that the entry into and
execution of a novation agreement dated as of March 27, 2009 among
Diversey Harbor ABS CDO, Ltd. As Issuer; Citigroup Financial
Products, Inc., as Counterparty; Bank of America, National
Association as Trustee; Vanderbilt Capital Advisors LLC as
Collateral Manager; and Deutsche Bank AG, London Branch as
Transferee, will not, in and of itself, result in the reduction,
withdrawal or other adverse action with respect to its current
ratings on these notes issued by Diversey Harbor ABS CDO, Ltd.:
-- US$1,250,000,000 Class A-1M Floating Rate Senior Secured
Notes Due 2046, Caa3 Under Review for Possible Downgrade;
Previously on December 16, 2008 downgraded to Caa3 and Placed
Under Review for Possible Downgrade;
-- US$675,000,000 Class A-1Q Floating Rate Senior Secured
Notes Due 2046, Caa3 Under Review for Possible Downgrade;
Previously on December 16, 2008 downgraded to Caa3 and Placed
Under Review for Possible Downgrade;
-- US$200,000,000 Class A-2 Floating Rate Senior Secured
Notes Due 2046, C; Previously on October 23, 2008 downgraded
to C;
-- US$245,000,000 Class A-3 Floating Rate Senior Secured
Notes Due 2046, C; Previously on June 2, 2008 downgraded to
C;
-- US$60,000,000 Class A-4 Floating Rate Senior Secured
Notes Due 2046, C; Previously on June 2, 2008 downgraded to
C;
-- US$25,000,000 Class B Floating Rate Subordinate Secured
Deferrable Notes Due 2046, C; Previously on June 2, 2008
downgraded to C; and
-- US$24,000,000 Class C Floating Rate Junior Subordinate
Secured Deferrable Notes Due 2046, C; Previously on June 2,
2008 downgraded to C.
On June 1, 2006, Citigroup Financial Products Inc. and the Issuer
entered into an interest rate swap, as documented by an ISDA
Master Agreement, Schedule and Credit Support Annex thereto and
related confirmation.
On February 27, 2009, Moody's downgraded the Senior Unsecured
rating of Citigroup Inc. to A3. The downgrade of Citigroup Inc.,
which acts as a guarantor to the Counterparty in the transaction,
triggered a Substitution Event under the Swap Documentation.
Following a Substitution Event, the Counterparty must, within a
specific period, transfer its rights and obligations to a new swap
counterparty, which satisfies the Hedge Counterparty Rating
Requirements under the Swap Documentation. Moody's reviewed the
Novation Agreement, which provides for the transfer of all
Counterparty's rights and obligations under the Swap Documentation
to Deutsche Bank AG, London Branch.
As of the date of this press release, Deutsche Bank AG, has a
Senior Unsecured rating of Aa1 and a short-term rating of P-1,
both of which meet the Hedge Counterparty Rating Requirements. In
Moody's opinion, although the novation could potentially have cash
flow implications for the noteholders, Moody's analysis has
concluded that such novation would not lead to a reduction,
withdrawal or other adverse action with respect to the current
Moody's ratings of the Notes.
Many CDO documents (to which Moody's is never a party) specify
that, in order to amend the documents, Issuer must obtain an
opinion from the rating agencies that the proposed amendment would
not in and of itself result in the related ratings being
downgraded or withdrawn at the time of the amendment. This type
of provision is typically referred to in the CDO indenture as a
"rating agency condition" or "RAC". Moody's is never obligated to
provide a RAC and the decision whether or not to issue a RAC lies
entirely within Moody's sole discretion.
Before providing a RAC for an amendment, the proposal will be
reviewed by a Moody's credit committee which will consider, among
other things, the performance of the specific CDO and collateral
manager as well as the specifics of the proposed amendment and the
particular structure of the CDO. A RAC is purely an opinion as of
the point in time at which the RAC is provided, that the proposed
amendment in isolation does not introduce sufficient additional
credit risk so as to negatively impact the related ratings. In
other words, it does not consider the impact of other factors on
the ratings, such as collateral deterioration. Also, the RAC does
not address any other, non-credit related impact that the
amendment might have. Moody's further emphasizes that a RAC is
not a substituted for noteholder consent or for independent
analyses by noteholders of the impact on them of any proposed
amendment.
Originally rated on June 1, 2006, Diversey Harbor ABS CDO, Ltd. is
an ABS CDO currently managed by Vanderbilt Capital Advisors LLC.
DLJ COMMERCIAL: Fitch Affirms Ratings on 1998-CF1 Certificates
--------------------------------------------------------------
Fitch Ratings affirms and assigns Rating Outlooks to DLJ
Commercial Mortgage Corp.'s commercial mortgage pass-through
certificates, series 1998-CF1:
-- Interest-only classes CP and S at 'AAA'; Outlook Stable;
-- $2.9 million class B-1 at 'AAA'; Outlook Stable;
-- $10 million class B-3 at 'AAA'; Outlook Stable;
-- $27.1 million class B-4 at 'AA+'; Outlook Stable;
-- $6.3 million class B-7 at 'B-'; Outlook Stable.
Fitch does not rate the $14.7 million class B-2, $15 million class
B-5, $15 million class B-6 or $10.3 million class C certificates.
Class A-1A, A-1B, A-2, and A-3 are paid in full.
The affirmations are due to stable performance of the pool since
Fitch's last rating action and the potential for adverse selection
among the 26 remaining non-defeased loans and high retail
concentration. Rating Outlooks reflect the likely direction of
any rating changes over the next 12 to 24 months. As of the
February 2009 distribution date, the pool's aggregate certificate
balance has been reduced 87.9% to $101.3 million from $838.8
million at issuance. Of the remaining 29 loans, three (8.6%) are
fully defeased. The pool has significant exposure to 21 retail
properties (74.2%).
7.24% of the transaction is scheduled to mature in 2009 and 15.86%
in 2010. The largest non-defeased maturing loan is Dietrich
Meadows. The loan is scheduled to mature in December 2009 and has
a coupon of 7.90%. The loan is 100% occupied with a 1.25 times
(x) DSCR as of June 30, 2008. Two non-defeased loans (15.86%)
mature in 2010, and the weighted average coupon is 7.49%.
The third largest asset is currently in special servicing (8.6%)
and is real estate owned. The asset is secured by a retail
property located in Decatur, Georgia. The center is anchored by a
Kroger grocery store which exercised their five year renewal
option until 2013. The Kmart and Hardees space remains vacant.
The property is currently 47% occupied, and the leasing broker
continues to market the vacant space. Losses are expected upon
disposition of the asset and should be absorbed by the non-rated
class C.
DT AUTO: Moody's Reviews Ratings on 2007-A Transactions
-------------------------------------------------------
Moody's has placed DT Auto Owner Trust 2007-A transaction serviced
by DT Credit Corporation under review for possible downgrade. The
decision was prompted by Moody's updated higher loss expectations
relative to current levels of credit enhancement.
Moody's outlook for the US vehicle sector is negative. Moody's
currently anticipates this transaction to incur lifetime
cumulative net losses between 36.00% and 40.00%. Moody's had
originally expected cumulative net losses for the 2007 transaction
to be between 25.00% and 27.00%. During its review, Moody's will
continue to refine its assessment of this transaction relative to
the credit enhancement available.
The underlying ratings reflect the intrinsic credit quality of the
notes in the absence of the transaction's guarantee from Syncora
Guarantee Inc., formerly XL Capital Assurance Inc. The current
ratings on the below notes are consistent with Moody's practice of
rating insured securities at the higher of the guarantor's
insurance financial strength rating and any underlying rating.
Complete rating actions are:
Issuer: DT Auto Owner Trust 2007-A
Class Description: Class A-3
-- Current Rating: Placed Under Review for Possible Downgrade;
previously on June 27, 2008 Downgraded to Baa3 from A3
-- Financial Guarantor: Syncora Guarantee Inc., formerly XL
Capital Assurance Inc. (Ca; previously on March 9, 2009
Downgraded to Ca from Caa1)
-- Underlying rating: Placed Under Review for Possible
Downgrade; previously on June 27, 2008 Published Baa3
DUTCH HILL: S&P Withdraws 'BB+' Rating on Class A-2 Notes
---------------------------------------------------------
Standard & Poor's Ratings Services withdrew its rating on the
class A-2 notes issued by Dutch Hill Funding II Ltd., a cash flow
mezzanine structured finance collateralized debt obligation
transaction managed by TCW Asset Management Co.
The rating withdrawal follows the complete paydown of the class A-
2 notes pursuant to a rating confirmation failure on the Feb. 17,
2009, payment date.
Rating Withdrawn
Dutch Hill Funding II Ltd.
Rating Balance (mil. $)
------ ----------------
Class To From Current Original
----- -- ---- ------- --------
A-2 NR BB+ 0.000 21.200
Other Outstanding Ratings
Dutch Hill Funding II Ltd.
Balance (mil. $)
----------------
Class Rating Current Original
----- ------ ------- --------
B BB-/Watch Neg 64.398 64.400
C CC 32.348 32.000
D-1 CC 17.484 15.200
D-2 CC 14.124 11.800
D-3 CC 14.693 11.800
NR - Not rated.
EAST CAMERON: S&P Downgrades Rating on $165.67 Mil. Certs. to 'D'
-----------------------------------------------------------------
Standard & Poor's Rating Services lowered its rating assigned to
East Cameron Gas Co.'s $165.67 million investment trust
certificates (Sukuk) to 'D' from 'CC/Watch Neg'. Subsequently,
Standard & Poor's withdrew the rating on the certificates.
The downgrade reflects the securitization's failure to make timely
Sukuk payments. The confirmation of missed payments supports the
downgrade of the certificates to 'D'.
S&P has requested updated servicer reports, but have not received
them. Because the required information has not been received in a
timely manner, Standard & Poor's cannot surveil the securitization
and has withdrawn the assigned rating.
Ratings Lowered Then Withdrawn
East Cameron Gas Co.
$165.67 million investment trust certificates (Sukuk) series 2006
Rating
------
Class To Interim From
----- -- ------- ----
Certs NR D CC/Watch Neg
EMC MORTGAGE: Moody's Downgrades Ratings on Four Tranches
---------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches issued in two transactions from the EMC Mortgage Loan
Trust shelf. The collateral backing each tranche consists
primarily of first lien adjustable-rate and fixed-rate "scratch
and dent" mortgage loans. Scratch and dent loans in the EMC shelf
include loans with missing original notes replaced with a lost
note affidavit, called loans, loans under a bankruptcy plan, loans
with previous serious delinquency history and loans with current
delinquency issues.
The actions are triggered by higher than anticipated delinquency
levels and severity of loss as well as slower than anticipated
voluntary prepayments, resulting in higher updated loss
expectation for the underlying collateral and lower coverage for
the rated debt given available credit enhancement.
The ratings on the securities are monitored by evaluating factors
determined to be applicable to the credit profile of the
securities, such as i) the nature, sufficiency, and quality of
historical performance information regarding the asset class ii)
an analysis of the collateral being securitized, iii) an analysis
of the transaction's allocation of collateral cash flow and
capital structure, and (iv) a comparison of these attributes
against those of other similar transactions.
For seasoned vintages (before 2005), Moody's calculates estimated
losses for Scratch and Dent RMBS:
- Current delinquencies are used to project pipeline losses.
- Annual roll rates are assumed at 0% for 30 days, 15% for 60
days, 30% for 90 days, 65% for foreclosures and 90% for REO.
- Severities used are higher of 65% or actual historical
severity for each transaction.
- Loss is calculated for the previous year. Expected annual
loss is then derived from a weighted average of previous year
loss and expected pipeline loss. The transaction expected
loss is projected out over the deal's expected remaining life.
Depending on a transaction's time of origination, a 75% weight
can be applied to pipeline loss when it is considered to be
more representative of future expected performance than the
previous year's losses.
- Expected loss is finally compared to credit enhancement to
derive a rating.
Loss estimates are subject to variability and, as a result,
realized losses could ultimately turn out higher or lower than
Moody's current expectations. Moody's will continue to evaluate
performance data as it becomes available and will assess the
pattern of potential future defaults and adjust loss expectations
accordingly if necessary.
Complete rating actions are:
EMC Mortgage Loan Trust 2003-B
-- Cl. A-1, Downgraded to Aa1; previously on 9/26/2003 Assigned
Aaa
EMC Mortgage Loan Trust Pass-Through Certificates, Series 2001-A
-- Cl. M-1, Downgraded to Aa3; previously on 8/3/2001 Assigned
Aa2
-- Cl. M-2, Downgraded to Baa2; previously on 8/3/2001 Assigned
A2
-- Cl. B, Downgraded to B2; previously on 10/6/2008 Baa2 Placed
Under Review for Possible Downgrade
ESP FUNDING: Novation Agreement Won't Affect Moody's Note Ratings
-----------------------------------------------------------------
Moody's Investors Service has determined that the entry into and
execution of a novation agreement dated as of March 27, 2009 among
ESP Funding I, Ltd. As Issuer; Citigroup Financial Products, Inc.
as Counterparty; Bank of America, National Association as Trustee;
Babson Capital Management LLC as Collateral Manager; and Deutsche
Bank AG, London Branch as Transferee, will not, in and of itself,
result in the reduction, withdrawal or other adverse action with
respect to its current ratings on these notes issued by ESP
Funding I, Ltd.:
-- US$225,000,000 Advance Swap between IXIS Financial
Products and ESP Funding I, Ltd., Ba1 Under Review for
Possible Downgrade; Previously on December 16, 2008
downgraded to Ba1 and Placed Under Review for Possible
Downgrade;
-- US$100,000,000 Class A-1R Revolving Floating Rate Senior
Secured Notes Due 2046; Caa3 Under Review for Possible
Downgrade, Previously on September 26, 2008 downgraded to
Caa3 and Placed Under Review for Possible Downgrade;
-- US$395,000,000 Class A-1T1 Floating Rate Senior Secured
Notes Due 2046, Caa3 Under Review for Possible Downgrade;
previously on September 26, 2008 downgraded to Caa3 and
Placed Under Review for Possible Downgrade;
-- US$30,000,000 Class A-1T2 Floating Rate Senior Secured
Notes Due 2046, Ca; Previously on September 26, 2008
downgraded to Ca;
-- US$100,000,000 Class A-2 Floating Rate Senior Secured
Notes Due 2046, Ca; Previously on September 26, 2008
downgraded to Ca;
-- US$90,000,000 Class A-3 Floating Rate Senior Secured Notes
Due 2046, Ca; Previously on May 30, 2008 downgraded to Ca;
-- US$27,000,000 Class A-4 Floating Rate Senior Secured Notes
Due 2046, Ca; Previously on March 27, 2008 downgraded to Ca;
-- US$15,000,000 Class B Floating Rate Subordinate Secured
Notes Due 2046, C; Previously on March 27, 2008 downgraded to
C; and
-- US$10,000,000 Class C Floating Rate Junior Subordinate
Secured Notes Due 2046, C; Previously on March 27, 2008
downgraded to C.
On September 7, 2006, Citigroup Financial Products Inc. and the
Issuer entered into an interest rate swap, as documented by an
ISDA Master Agreement, Schedule thereto and related confirmation.
On February 27, 2009, Moody's downgraded the Senior Unsecured
rating of Citigroup Inc. to A3. The downgrade of Citigroup Inc.,
which acts as a guarantor to the Counterparty in the transaction,
triggered a Substitution Event under the Swap Documentation.
Following a Substitution Event, the Counterparty must, within a
specific period, transfer its rights and obligations to a new swap
counterparty which satisfies the Hedge Counterparty Rating
Requirements under the Swap Documentation. Moody's reviewed the
Novation Agreement, which provides for the transfer of all
Counterparty's rights and obligations under the Swap Documentation
to Deutsche Bank AG, London Branch.
As of the date of this press release, Deutsche Bank AG, has a
Senior Unsecured rating of Aa1 and a short-term rating of P-1,
both of which meet the Hedge Counterparty Rating Requirements. In
Moody's opinion, although the novation could potentially have cash
flow implications for the noteholders, Moody's analysis has
concluded that such novation would not lead to a reduction,
withdrawal or other adverse action with respect to the current
Moody's ratings of the Notes.
Many CDO documents (to which Moody's is never a party) specify
that, in order to amend the documents, Issuer must obtain an
opinion from the rating agencies that the proposed amendment would
not in and of itself result in the related ratings being
downgraded or withdrawn at the time of the amendment. This type
of provision is typically referred to in the CDO indenture as a
"rating agency condition" or "RAC". Moody's is never obligated to
provide a RAC and the decision whether or not to issue a RAC lies
entirely within Moody's sole discretion.
Before providing a RAC for an amendment, the proposal will be
reviewed by a Moody's credit committee which will consider, among
other things, the performance of the specific CDO and collateral
manager as well as the specifics of the proposed amendment and the
particular structure of the CDO. A RAC is purely an opinion as of
the point in time at which the RAC is provided, that the proposed
amendment in isolation does not introduce sufficient additional
credit risk so as to negatively impact the related ratings. In
other words, it does not consider the impact of other factors on
the ratings, such as collateral deterioration. Also, the RAC does
not address any other, non-credit related impact that the
amendment might have. Moody's further emphasizes that a RAC is
not a substituted for noteholder consent or for independent
analyses by noteholders of the impact on them of any proposed
amendment.
Originally rated on September 7, 2006, ESP Funding I, Ltd. is an
ABS CDO currently managed by Babson Capital Management LLC.
FOLEY SQUARE: Moody's Downgrades Ratings on 2007-1 Notes
--------------------------------------------------------
Moody's Investors Service has downgraded its ratings of notes
issued by Foley Square CDO 2007-1 Ltd., a collateralized debt
obligation transaction referencing a portfolio of corporate
entities.
Moody's explained that the rating actions taken are the result of
(i) the application of revised and updated key modeling parameter
assumptions that Moody's uses to rate and monitor ratings of
Corporate Synthetic CDOs and (ii) the deterioration in the credit
quality of the transaction's reference portfolio. The revisions
affect key parameters in Moody's model for rating Corporate
Synthetic CDOs: default probability, asset correlation, and other
credit indicators such as ratings reviews and outlooks.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for Corporate
Synthetic CDOs as described in Moody's Special Report below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (March 2009)
The rating actions are:
Class Description: US$359,000,000 Class A Credit Default Swap
-- Current Rating: Baa3
-- Prior Rating Date: 11/13/2008
-- Prior Rating: Aa1
Class Description: US$14,000,000 Class B Floating Rate Senior
Notes Due 2014
-- Current Rating: Ba1
-- Prior Rating Date: 11/13/2008
-- Prior Rating: Baa2
Class Description: US$12,500,000 Class C Floating Rate Deferrable
Senior Subordinate Notes Due 2014
-- Current Rating: Caa3
-- Prior Rating Date: 11/13/2008
-- Prior Rating: Baa3
Class Description: US$17,000,000 Class D Floating Rate Deferrable
Senior Subordinate Notes Due 2014
-- Current Rating: Ca
-- Prior Rating Date: 11/13/2008
-- Prior Rating: Ba2
Class Description: US$21,500,000 Class E Floating Rate Deferrable
Subordinate Notes Due 2014
-- Current Rating: Ca
-- Prior Rating Date: 11/13/2008
-- Prior Rating: B2
FORD MOTOR: S&P Cuts Rating on Corp. Backed 2003-6 Notes to 'C'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on Corporate
Backed Trust Certificates Ford Motor Co. Note-Backed Series 2003-6
Trust's $25 million class A-1 certificates series 2003-6 to 'C'
from 'CCC-'.
The rating action follows the March 4, 2009, lowering of S&P's
rating on Ford Motor Co.'s 7.45% senior unsecured notes due
July 16, 2031, to 'C' from 'CCC-'.
The rating on the class A-1 certificates is dependent on the
rating on the Ford notes.
GOODYEAR TIRE: S&P Downgrades Corp. Backed 2001-34 Notes to 'B+'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on
Corporate Backed Trust Certificates Goodyear Tire & Rubber Note-
Backed Series 2001-34 Trust's $46 million class A-1 and A-2
corporate bond-backed certificates series 2001-34 to 'B+' from
'BB-'.
The rating action follows the March 10, 2009, lowering of S&P's
rating on The Goodyear Tire & Rubber Co.'s 7% notes due March 15,
2028, the underlying security, to 'B+' from 'BB-'.
The ratings on the class A-1 and A-2 certificates are dependent on
the rating on the underlying security.
GRAMERCY REAL ESTATE: Fitch Cuts Ratings on 10 2005-1 Notes
-----------------------------------------------------------
Fitch Ratings downgraded 10 classes of Gramercy Real Estate CDO
2005-1, Ltd./LLC and assigned Rating Outlooks:
-- $57,000,000 class A-2 to 'AA' from 'AAA'; Outlook Stable;
-- $102,500,000 class B to 'BBB' from 'AA'; Outlook Negative;
-- $47,000,000 class C to 'BB+' from 'A+'; Outlook Negative;
-- $12,500,000 class D to 'BB' from 'A'; Outlook Negative;
-- $16,000,000 class E to 'BB-' from 'A-'; Outlook Negative;
-- $16,000,000 class F to 'B+' from 'BBB+'; Outlook Negative;
-- $18,500,000 class G to 'B' from 'BBB; Outlook Negative;
-- $28,000,000 class H to 'B-' from 'BBB-'; Outlook Negative;
-- $ 49,500,000 class J to 'CCC' from 'BB';
-- $ 35,000,000 class K to 'CCC' from 'B'.
Fitch also affirmed and assigned a Rating Outlook to this class:
-- $513,000,000 class A-1 affirmed at 'AAA'; Outlook Stable.
The rating actions above are primarily a result of deterioration
of the overall credit quality of the pool since last review, and
were influenced by stress test failures in the various property
value decline scenarios. Currently, three loans (9.7%) are
defaulted, and many of the properties securing the portfolio's
commercial real estate loans are struggling to achieve their
business plans amidst the current economic downturn.
Approximately 23% of the pool is backed by highly leveraged
subordinate loans which are especially susceptible to incurring
significant losses should they default. Additionally,
approximately 12% of the portfolio is comprised of structured
finance securities that are now analyzed with the updated
Portfolio Credit Model, which incorporates analytics for SF assets
including CMBS and CRE CDOs. The assignment of Negative Outlooks
to classes B through H is a result of stress-test failures
assuming Fitch's U.S. CRE estimation of overall peak-to-trough
property value declines of 35% through 2010.
Deal Summary:
Gramercy Real Estate CDO 2005-1 (Gramercy 2005-1) is a managed CRE
cash flow collateralized debt obligation that closed on July 14,
2005. It was incorporated to issue $1 billion of floating-rate
notes and preferred shares. As of the February 2009 trustee
report and per Fitch categorization, the CDO was substantially
invested: commercial mortgage whole loans and A-notes (62.1%),
commercial real estate mezzanine loans (19.3%), B-notes (3.3%),
CMBS (10%), and CRE CDOs (1.9%). The transaction currently holds
3.4% in un-invested proceeds.
The portfolio is selected and monitored by GKK Manager, LLC.
Gramercy 2005-1 has a five-year reinvestment period during which,
if all reinvestment criteria are satisfied, principal proceeds may
be used to invest in substitute collateral. The reinvestment
period ends in July 2010. The collateral manager has the ability
to sell 15% of the collateral per year on a discretionary basis
during the reinvestment period and may sell defaulted and credit
risk securities at any time.
Performance Summary:
Since Fitch's last review in August 2008, the as-is poolwide
expected loss has increased to 47.375% from 37.75%. Many of the
pool's CRE loans are secured by transitional properties that are
falling behind in their business plans. Two additional loans
defaulted since last review, bringing the total defaulted loans to
three, representing 9.7% of the pool. Additionally, the
application of Fitch's updated methodology to the SF portion of
the portfolio (11.9%), added further upward pressure to the
current PEL.
A whole loan (1.5%) backed by a vacant office building located in
New Providence, New Jersey, and a whole loan (3.1%) secured by a
317-acre commercial land assemblage in Mesa, Arizona, defaulted
after they matured in January 2009 and were not repaid. An A-note
(5.1%) secured by a retail property in Cupertino, California has
remained delinquent since last review.
Fitch is concerned that the business plans of many CRE loans may
become increasingly difficult to achieve in the current economic
environment, and has thus increased its modeled loss expectations
for many of the pool's transitional loans. One such asset, is a
mezzanine position (3.4%) secured by ownership interests in
Stuyvesant Town / Peter Cooper Village, a large multifamily
complex located in New York City. The mezzanine loan is a highly
leveraged first-loss position. The sponsors' business plan is
lagging behind schedule. According to Fitch's calculations, the
sponsor only has approximately four months of reserves remaining
to cover debt service on the first mortgage, while the loan
matures in 2016.
Since last review, four loans paid off or were sold out of the
CDO, one of which was sold at a discount to par. Also, four
loans, as well as three CMBS assets were purchased. The added
loans, which were all purchased at par, consist of a whole loan
(4.7%) to an affiliate of the collateral manager secured by a
portfolio of 81 office properties; a second mortgage (2.5%)
secured by the Atlantic Yards land assemblage in Brooklyn, New
York; a whole loan (1%) secured by an office property in Winston-
Salem, North Carolina; and an A-note (0.9%) secured by a retail
property located in Staten Island, New York. The newly added CMBS
securities, purchased at discounts to par, consist of two A4
classes (2.7%), and one below investment grade rated class (0.5%).
The overcollateralization and interest coverage ratios of all
classes remain above their covenants, as of the February 2009
trustee report. The OC ratio has declined since last review as a
result of the newly defaulted loans. The purchase of CMBS
securities at discounts to par increased the pool's total par
balance, which offset the OC haircuts associated with the
defaulted loans enough to narrowly avoid the failure of the class
F/G/H OC test. The current class F/G/H OC ratio is 119.57%
compared to the trigger of 117.85%, yielding a tight cushion of
1.72%.
Collateral Summary:
As of the February 2009 trustee report and per Fitch
categorizations, the pool consists of 84.7% CRE loans, 11.9% rated
securities, and 3.4% un-invested proceeds. The largest percent of
non-traditional property types continues to be land. The
portfolio's exposure to this property type increased to 19.8% from
16.9% at last review. Concentration in condominium conversion
loans is 9.3%, and a construction loan represents 1.1% of the
pool. Office properties represent the largest concentration of
traditional property types at 30.5% of the pool.
The CDO remains within all its property type and geographic
covenants. The highest geographic concentration is in New York at
29.7%, followed by California at 26.3%.
The pool has average loan diversity relative to other CRE CDOs
with a Fitch Loan Diversity Index of 351, which is below the
maximum covenant of 500.
Collateral Manager:
Founded in 2004, Gramercy Capital Corp. (NYSE: GKK) is a national
commercial real estate company organized as a REIT with
approximately $7.5 billion in assets. GKK is externally managed
by GKKM, the collateral manager for Gramercy 2007-1, and was
sponsored by SL Green, which maintains a 12.5% ownership stake in
the REIT and a 100% stake in GKKM. GKK's core assets are direct
originations of first mortgage loans, mortgage participations,
mezzanine financing, preferred equity investments, bridge and
permanent loans, and credit tenant lease investments.
Additionally, GKK owns approximately 29 million square feet of
commercial real estate throughout the United States, which was
added via its acquisition of American Financial
Realty Trust in April 2008. Gramercy 2005-1, which is GKK's first
of three CRE loan CDO transactions, serves as a source of match-
funded term financing for the company's investment portfolio.
Rating Definitions:
The ratings of the class A and B notes address the likelihood that
investors will receive full and timely payments of interest, as
per the governing documents, as well as the aggregate outstanding
amount of principal by the stated maturity date. The ratings of
the class C through K notes address the likelihood that investors
will receive ultimate interest and capitalized interest payments,
as per the governing documents, as well as the aggregate
outstanding amount of principal by the stated maturity date.
Ongoing Surveillance:
Fitch will continue to monitor and review this transaction and
will issue an updated Snapshot report after each committed review.
The surveillance team will conduct a review whenever there is an
approximately 15% change in the collateral composition, quarterly,
or semi-annually.
The Fitch PEL is a measure of the hypothetical loss inherent in
the pool at the 'AA' stress environment before taking into account
the structural features of the CDO liabilities. Fitch PEL
encompasses all loan, property, and poolwide characteristics
modeled by Fitch.
Fitch introduced Rating Outlooks for U.S. SF in September 2008 to
provide investors with forward-looking analysis for a structured
finance tranche's credit performance. Fitch's Rating Outlook
indicates the likely direction of any rating change over a one- to
two-year period and may be Positive, Negative, Stable or,
occasionally, Evolving.
For CREL CDOs, a Negative Outlook may be assigned to any class
that fails Fitch's stress testing. Fitch's stress testing assumes
various property value declines for each rating stress. Based on
these results, any loan whose loan-to-value ratio is greater than
100% is assumed to default with the recovery calculated based on
the property value in that rating stress.
GREEN TREE: S&P Corrects Ratings on Three Classes to 'D'
--------------------------------------------------------
Standard & Poor's Ratings Services corrected and lowered its
ratings on three classes from three Green Tree-related
manufactured housing trusts to 'D' from 'CCC-'.
The lowered ratings reflect payment defaults resulting from the
liquidation loss interest shortfalls for these classes on their
recent payment dates. S&P is deeming these rating actions
corrective in nature because the three series began reporting
interest shortfalls last year: Class B-1 from series 1996-7
reported outstanding liquidation loss interest shortfalls
beginning with the October 2008 payment date; class M-2 from
series 1998-6 reported outstanding liquidation loss interest
shortfalls beginning with the July 2008 payment date; and class M-
2 from series 1999-2 reported outstanding liquidation loss
interest shortfalls beginning with the September 2008 payment
date.
Due to a delay in S&P's analytical process, S&P inadvertently
failed to lower these ratings at the time of the liquidation loss
interest shortfalls.
S&P believes that interest shortfalls for these classes will
persist into the future due to the adverse performance trends
displayed by the underlying pools of collateral, as well as the
location of class write-down interest at the bottom of each
transaction's payment priorities (after distributions of senior
principal).
Standard & Poor's will continue to monitor the other outstanding
ratings associated with these transactions.
Ratings Lowered
Green Tree Financial Corp. Man Hsg Trust 1996-7
Rating
------
Class To From
----- -- ----
B-1 D CCC-
Green Tree Financial Corp. Man Hsg Trust 1998-6
Rating
------
Class To From
----- -- ----
M-2 D CCC-
Manufactured Housing Contract Sr/Sub Pass-thru Trust 1999-2
Rating
------
Class To From
----- -- ----
M-2 D CCC-
GREENWICH CAPITAL: Fitch Puts Rating on 2006-FL4 Certs on WatchNeg
------------------------------------------------------------------
Fitch Ratings places these classes of Greenwich Capital Commercial
Funding Corp. series 2006-FL4, commercial mortgage pass-through
certificates on Rating Watch Negative:
-- $16.7 million class E at 'A+'; Rating Watch Negative;
-- $11.3 million class F at 'A'; Rating Watch Negative;
-- $15 million class G at 'A-'; Rating Watch Negative;
-- $17.6 million class H at 'BBB+'; Rating Watch Negative;
-- $14.2 million class J at 'BBB'; Rating Watch Negative;
-- $7.2 million class K at 'BB'; Rating Watch Negative;
-- $17.8 million class L at 'B'; Rating Watch Negative;
-- $1.6 million class N-NW at 'B+'; Rating Watch Negative;
-- $894,510 class O-NW at 'B'; Rating Watch Negative;
-- $956,200 class P-NW at 'B'; Rating Watch Negative;
-- $1.2 million class Q-NW at 'B'; Rating Watch Negative;
-- $1.4 million class N-2600 at 'BB+'; Rating Watch Negative;
-- $2 million class O-2600 at 'BB'; Rating Watch Negative;
-- $1.3 million class P-2600 at 'BB'; Rating Watch Negative;
-- $1.7 million class Q-2600 at 'BB-'; Rating Watch Negative.
The placements of the aforementioned classes on Rating Watch
Negative are due to the transfer of 2600 West Olive Avenue (3.9%)
and Plaza Del Sol (3.2%) to special servicing in March, 2009. In
addition, performance of Northwest Plaza Shopping Center (5.3%)
continues to decline. The loan has been in special servicing
since October 2008.
The 2600 West Olive Avenue property consists of a 145,444 square
foot office development in Burbank, California. The loan
transferred due to a payment default as the borrower has been
unsuccessful in leasing up vacant space at the property. As of
September 2008, the property was 57% occupied.
Plaza Del Sol is a 196-unit multifamily property in Santa Ana,
California. The loan matured on March 1, 2009, and the property
failed to meet the performance requirements for a loan extension.
Northwest Plaza Shopping Center is a 1,825,218 sf regional mall in
St. Ann, Missouri. The property continues to face high vacancy,
with the office building's occupancy down to 53% and the mall
component's occupancy declining to 40% after the departure of
Dillard's and Steve and Barry's in the first quarter of 2009.
Fitch expects to resolve the Rating Watch status of these classes
as more information on the potential workout and valuation of the
assets becomes available.
GS MORTGAGE: S&P Downgrades Ratings on Five 2006-GSFL Certificates
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of commercial mortgage pass-through certificates from GS
Mortgage Securities Corp. II's series 2006-GSFL VIII and placed
them on CreditWatch with negative implications. At the same time,
S&P placed its ratings on an additional class on CreditWatch
negative and affirmed the ratings on four other classes.
The downgrades reflect Standard & Poor's analysis of the
CarrAmerica Corporate Center loan ($75.0 million, 47% of the pool
balance) and the Hardage Portfolio loan ($71.8 million, 45%). The
CreditWatch placements reflect credit concerns with the Hardage
Portfolio and CarrAmerica loans. The CreditWatch placements will
remain in effect while Standard & Poor's monitors a pending
maturity extension of the Hardage Portfolio loan and the status of
AT&T Corp.'s pending lease renewal at CarrAmerica Corporate
Center.
The largest loan in the pool, the CarrAmerica Corporate Center
loan, has a trust and whole-loan balance of $75.0 million. Eight
class A office buildings totaling 1.0 million sq. ft. in
Pleasanton, California, secure the loan. In addition, the
borrower's equity interest in the property secures a $25.0 million
mezzanine loan. The master servicer, Wells Fargo Bank N.A.,
reported debt service coverage of 1.48x for the nine months ended
Sept. 30, 2008.
Standard & Poor's analyzed the property cash flows using the
borrower's Dec. 31, 2008, financial statement and Sept. 30, 2008,
servicer-reported financial data, as well as a rent roll dated
Jan. 28, 2009. S&P used the cash flows to arrive at a valuation
that declined 40% since issuance. The primary driver of the
valuation decline was a reduction in property and market occupancy
levels since issuance. The property's occupancy had declined to
66% as of January 2009, compared with 73% at issuance, while the
overall office vacancy in the property's submarket had increased
to 24.7% as of fourth-quarter 2008. Standard & Poor's used a
stabilized analysis at issuance, which presumed a rising level of
occupancy at the property.
The property's low occupancy is attributable to a large tenant
that occupied 14% of the gross leaseable area until it vacated the
premises after its lease expired in March 2008. The borrower is
actively managing the space. The lease for the space occupied by
AT&T Corp., 22.5% of the property's net rentable area, expires on
March 31, 2009, but a lease renewal is currently being negotiated.
Discussions with the servicer indicated that the lease is likely
to renew but the information on the rental rate is not available.
The CarrAmerica Corporate Center loan is currently scheduled to
mature in November 2009, and has one one-year extension option
remaining.
The second-largest loan in the pool, the Hardage Portfolio loan,
is currently scheduled to mature in April 2009. The loan has two
one-year extension options remaining. However, the loan is
currently failing a DSC hurdle that it must clear in order for the
loan to be extended. As a result, the loan was transferred to the
special servicer, also Wells Fargo, on Feb. 23, 2009. Wells Fargo
reported a DSC of 3.18x for the nine months ended Sept. 30, 2008.
The Hardage Portfolio has a whole-loan balance of $71.8 million
that is divided into two pieces: a $66.9 million senior component
and a $4.9 million subordinate component that provides the sole
source of cash flow for the unrated H-HP raked certificate class.
In addition, the borrower's equity interests in the properties
secure two mezzanine loans totaling $38.2 million. Six extended-
stay and two full-service hotels totaling 1,049 rooms in five
states secure the loan. An $11.2 million renovation plan for six
of the eight properties was completed in 2007 and 2008.
Based on the Dec. 31, 2008, borrower financial statement and Sept.
30, 2008, servicer-reported financial data, the portfolio's
average revenue per available room as of year-end 2008 had
declined 17% since issuance. Standard & Poor's used this
information to arrive at a stabilized valuation that has declined
38% since issuance.
Standard & Poor's will resolve or update the CreditWatch
placements following a complete analysis of all the loans in the
transaction once S&P receive updated information, as it becomes
available, from Wells Fargo.
Ratings Lowered And Placed On Creditwatch Negative
GS Mortgage Securities Corp. II
Commercial mortgage pass-through certificates
series 2006-GSFL VIII
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
E BBB+/Watch Neg AA 34.32
F BB+/Watch Neg A 24.56
G B/Watch Neg A- 15.52
H CCC+/Watch Neg BBB 10.71
J CCC/Watch Neg BB 0.00
Rating Placed On Creditwatch Negative
GS Mortgage Securities Corp. II
Commercial mortgage pass-through certificates
series 2006-GSFL VIII
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
D AA+/Watch Neg AA+ 44.08
Ratings Affirmed
GS Mortgage Securities Corp. II
Commercial mortgage pass-through certificates
series 2006-GSFL VIII
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-2 AAA 98.25
B AAA 78.48
C AAA 64.11
X AAA N/A
GSMSC PASS-THROUGH: Fitch Rates Class 1A2 Notes at 'BB'
-------------------------------------------------------
GSMSC Pass-Through Trust 2009-1R is rated by Fitch Ratings:
-- $87,983,415 class 1A1 'AAA'; Stable Outlook;
-- $15,526,485 class 1A2 'BB'; Stable Outlook.
This transaction consists of two groups. Group 1 is a
resecuritization of approximately 30.63% interest in the class 3-
A-1 from J.P. Morgan Mortgage Trust 2005-A7 which is backed by
prime, adjustable-rate, first lien residential mortgage loans.
The not-rated Group 2 is a resecuritization of approximately 6.80%
interest in the class II-A-1 from Wells Fargo Mortgage Backed
Securities 2005-AR3 Trust and approximately 8.11% interest in the
class II-A-1 from Wells Fargo Mortgage Backed Securities 2005-
AR16. As a resecuritization, the certificates will receive their
cash-flow from the underlying classes of certificates.
GULF COAST: Moody's Upgrades Long-Term Rating on Revenue Bonds
--------------------------------------------------------------
Moody's Investors Service has upgraded the long-term rating to Aaa
from Aa1 and affirmed the short-term rating of VMIG 1 assigned to
Gulf Coast Industrial Development Authority Environmental
Facilities Revenue Bonds (CITGO Petroleum Project), Series 2004.
The rating has been upgraded in conjunction with the substitution
of the prior letter of credit provided by Calyon as a provider of
the underlying letter of credit with a new letter of credit
provided by BNP Paribas.
The long-term rating will continue to reflect Moody's approach to
rating jointly supported transactions and will be based upon the
letter of credit provided by BNP Paribas, the rating of CITGO
Petroleum Corporation, the structure of the transaction which
ensures that timely debt service and purchase price payments are
made to investors, and Moody's evaluation of the creditworthiness
of the institution issuing the letter of credit. Moody's
currently rates BNP Paribas Aa1 for long-term obligations and P-1
for short-term obligations. Moody's currently rates CITGO Ba1.
Since a loss to investors will occur only if both the Bank and
CITGO default in payment, Moody's has assigned a long-term rating
based upon the joint probability of default by both parties. In
determining the joint probability of default, Moody's considers
the level of correlation between the letter of credit bank and the
company. Moody's has determined that there is a low level of
correlation between the bank and the company. Given this
correlation, Moody's believe the joint probability of default of
the Bank and CITGO, rated Aa1 and Ba1, respectively, results in
credit risk consistent with an Aaa rating.
Interest Rate Modes And Payment
The bonds are currently in the daily rate mode and pay interest on
the first business day of each month. The bonds may be converted
in whole, to bear interest in a weekly, commercial paper or term
rate mode. The bonds in the weekly rate modes will also pay
interest on the first business day of each month. Moody's joint
support rating applies to the bonds bearing interest in the daily
and weekly rate modes only.
The Letter Of Credit
The new letter of credit will cover full principal plus 35 days of
interest at a rate of 12%, the maximum interest rate on the Bonds.
The letter of credit will be available to make payments of
principal and interest, as well as purchase price, to the extent
remarketing proceeds received by the trustee are insufficient.
The letter of credit provides sufficient coverage for the Bonds
while they bear interest in the weekly rate mode.
Conforming draws for principal and/or interest received by the
bank by 4:00 p.m., New York time, will be honored by 1:00 p.m.,
New York time, on the next business day. Conforming draws for
purchase price received by the letter of credit bank by 12:30
p.m., New York time, will be honored by 2:30 p.m., New York time,
on the same business day.
Draws made under the letter of credit for interest shall be
automatically and immediately reinstated on the date of such
drawing. The bank may at any time send the trustee notice stating
that an event of default under the reimbursement agreement has
occurred directing an acceleration of the bonds. The letter of
credit will expire on the tenth day following the trustee's
receipt of such notice. Upon receipt of such notice, the bonds
will be subject to immediate acceleration and the letter of credit
will be immediately drawn upon. Interest will cease to accrue upon
payment of the bonds.
Under the trust indenture the borrower has the right to provide
the trustee with a substitute letter of credit, with the Bonds
being subject to mandatory tender on the substitution date.
Reinstatement Of Interest
Draws for interest will be reinstated on the sixth day of the
Bank's honoring an interest drawing unless within five calendar
days from the date the Bank honors such interest drawing, the
trustee receives a notice from the Bank that the interest
component will not be reinstated. Upon receipt of such notice the
trustee shall declare the outstanding Bonds immediately due and
payable. Interest shall cease to accrue upon declaration.
Expiration / Termination Of The Letter Of Credit
The letter of credit expires upon the earliest to occur of: (1)
April 9, 2010 (the stated expiration date); (2) upon the bank's
receipt of a notice from the trustee stating that the letter of
credit is being surrendered to the bank for cancellation due to an
alternate letter of credit or because no bonds remain outstanding;
(3) the honoring by the bank of the final draw; and (4) the tenth
day following the trustee's receipt of notice from the bank that
an event of default under the reimbursement agreement has occurred
and directing the trustee to accelerate the bonds.
The most recent rating action on the bonds was on February 9,
2009, when the long-term rating on the Bonds was downgraded to Aa1
from Aaa. There was no action on the short-term rating of the
Bonds at that time.
-- Trustee: The Bank of New York Trust Company
-- Underwriter / Remarketing agent: Goldman Sachs and Co.
GULF COUNTY: Fitch Downgrades Ratings on Tax Bonds to 'BB'
----------------------------------------------------------
As part of ongoing surveillance, Fitch Ratings downgrades Gulf
County, Florida's $8,125,000 limited ad valorem tax bonds, series
2006 (the bonds) to 'BB' from 'BBB'. The Rating Outlook is
revised to Negative from Stable.
The downgrade reflects the expectation that the pledge of limited
ad valorem taxes within two municipal service taxing units
securing the bonds will fail to adequately cover debt service
beginning in fiscal 2010 through final maturity in fiscal 2013 due
to significantly deteriorated taxable assessed valuation. The
rating also reflects the maintenance of sound general fund reserve
levels, a limited economy exhibiting rising unemployment, and a
small population base with below average wealth levels. The
Negative Rating Outlook reflects the uncertain outcome of various
contingency plans under consideration by the county.
The bonds are secured by a limited pledge of the ad valorem taxing
power of the county not to exceed 6 mills within the Gulfside MSTU
and 4 mills within the Interior MSTU. The bonds were approved by
the voters of the MSTUs to fund the cost of beach reconstruction
at Cape San Blas, which is recognized as one of the country's
premier beaches. The proportion of ad valorem taxes levied within
each MSTU shall be at the county's reasonable discretion. The
MSTUs contain a small number of predominantly residential parcels
that appreciated significantly during the housing market run-up.
However, TAV within the Gulfside MSTU and the Interior MSTU has
declined nearly 15% and 17%, respectively, the last two fiscal
years, and coverage of maximum annual debt service has fallen from
1.4 times(x) in fiscal 2007 to 1.18x in fiscal 2009. The state is
forecasting a 23% decline in countywide TAV in fiscal 2010 which
would result in coverage of 0.9x. A decline in excess of 15.5%
would fail to generate sufficient pledged revenue to cover debt
service. An additional 13% decline in TAV is forecast for fiscal
2011, resulting in coverage of 0.8x, before modest growth in
fiscal 2012 and 2013. While the above is the security for the
bonds, the county is able to use any legally available source to
pay debt service.
The county is in the process of developing a contingency plan -
the successful execution of which Fitch believes will enable the
county to continue to meet its debt service obligation on the
bonds in a timely manner. Florida counties are authorized to levy
up to 10 mills within any MSTU within its unincorporated areas for
operations, such levy being in addition to the countywide
operating millage. Any levy of ad valorem taxes adopted by the
county board of commissioners in excess of the millage rates
approved by voters would be available but not legally pledged to
pay debt service on the bonds. The levy of up to 10 mills within
each MSTU would more than adequately address the forecasted
pledged revenue deficiency through final maturity. Other
financial resources are available including revenue from an
existing tourist development tax and unspent bond proceeds. The
bonds are additionally secured by a reserve fund equal to $1.1
million (10% of principal), of which 50% is funded with cash.
General fund operations remain sound. The unreserved fund balance
at the close of fiscal 2008 was equal to $6.5 million or 32% of
total expenditures and transfers out. The fiscal 2009 budget
appropriates approximately $2.78 million in unrestricted fund
balance, but the county anticipates restoring that amount to the
fund balance at fiscal year-end. The county has a history of very
conservative budgeting and achieving sizeable positive variances
relative to the final budget. Property tax revenues account for
45% of the general fund budget. The county does not anticipate a
material change in collections, which have averaged slightly
better than 96% in prior years, during the current fiscal year.
There is a degree of concentration to The St. Joe Company and
subsidiaries (not rated by Fitch), which collectively account for
10.7% of the county's total assessed value. Overall debt levels
are very low, and capital needs remain minimal given the county's
high percentage of undeveloped land.
The county is located on the Gulf of Mexico in Florida's
northwestern Panhandle, approximately 35 miles southeast of Panama
City and 100 miles southwest of Tallahassee. The county is mostly
rural and sparsely populated with a 2007 population of 14,059 or
25 persons per square mile. The local economy, historically
dominated by timber and paper mill operations, remains limited,
anchored by presence of a state prison with 600 employees (nearly
10% of the total labor force). The reopening of the deepwater
seaport at Port St. Joe (the largest incorporated city within the
county) and the construction of a new international airport in
Panama City should have a positive impact on the regional economy.
Wealth levels are very low and there are an above-average number
of residents living below the poverty level. Unemployment as of
January 2009 mirrors the state at 8.8%.
HEATHER FINANCE: Moody's Downgrades Rating on 2004-13 CDO Deals
---------------------------------------------------------------
Moody's Investors Service has downgraded its rating of Heather
Finance Limited Series 2004-13 CoRDS1, a collateralized debt
obligation transaction referencing a portfolio of corporate
entities.
Moody's explained that the rating action taken is the result of
(i) the application of revised and updated key modeling parameter
assumptions that Moody's uses to rate and monitor ratings of
Corporate Synthetic CDOs and (ii) the deterioration in the credit
quality of the transaction's reference portfolio. The revisions
affect key parameters in Moody's model for rating Corporate
Synthetic CDOs: default probability, asset correlation, and other
credit indicators such as ratings reviews and outlooks.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for Corporate
Synthetic CDOs as described in Moody's Special Report below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (March 2009)
The rating action is:
Heather Finance Limited Series 2004-13 CoRDS1
-- Equity, Downgraded to Ca; previously on 12/28/2008 Downgraded
to Baa3 and Placed Under Review for Possible Downgrade
ICE 1 EM: Moody's Downgrades Ratings on Various Classes of Notes
----------------------------------------------------------------
Moody's Investors Service has downgraded notes issued by ICE 1 EM
CLO Ltd., a managed collateralized debt obligation transaction
with a portfolio of sovereign and corporate emerging market
entities.
Moody's explained that the ratings actions announced are linked to
(i) the application of revised and updated key modeling parameter
assumptions that Moody's uses to rate and monitor ratings of CLOs
and (ii) the deterioration in the credit quality of the collateral
securing the notes. The revisions affect key parameters in
Moody's model for rating CLOs: default probability, asset
correlation, and other credit indicators such as ratings reviews
and outlooks. Moody's announced the changes to these assumptions
in a press release published on February 4, 2009.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology and its supplements
for corporate synthetic CDOs as described in Moody's Special
Reports and press releases below:
-- Moody's revises its methodology for Emerging Market CDOs
(April 11, 2007)
-- Moody's Approach to Rating Collateralized Loan Obligations
(December 2008)
The rating actions are:
ICE 1 EM CLO Ltd.
Class Description: U.S. $184,000,000 Class A-2 Floating Rate
Senior Secured Term Notes Due 2022
-- Current Rating: Aa2
-- Prior Rating: Aaa
-- Prior Rating Date: August 15, 2007, assigned Aaa
Class Description: U.S. $95,000,000 Class A-3 Floating Rate Senior
Secured Term Notes Due 2022
-- Current Rating: A2
-- Prior Rating: Aa2
-- Prior Rating Date: August 15, 2007, assigned Aa2
Class Description: U.S. $51,000,000 Class B Floating Rate Senior
Subordinate Secured Term Notes Due 2022
-- Current Rating: Baa3
-- Prior Rating: A2
-- Prior Rating Date: August 15, 2007, assigned A2
Class Description: U.S. $38,000,000 Class C Floating Rate
Subordinate Secured Term Notes Due 2022
-- Current Rating: Ba2
-- Prior Rating: Baa2
-- Prior Rating Date: August 15, 2007, assigned Baa2
Class Description: U.S. $40,000,000 Class D Floating Rate Junior
Subordinate Secured Term Notes Due 2022
-- Current Rating: B2
-- Prior Rating: Ba2
-- Prior Rating Date: August 15, 2007, assigned Ba2
INA CBO: Fitch Downgrades Ratings on Two Classes of 1999-1 Notes
----------------------------------------------------------------
Fitch Ratings has downgraded two classes and revised the Recovery
Ratings of three classes of notes issued by INA CBO 1999-1
Ltd./Corp. These rating actions are effective immediately:
-- $7,268,012 class A-2F downgraded to 'CC' from 'B' and revise
'DR1' to 'RR4';
-- $5,652,898 class A-2 downgraded to 'CC' from 'B' and revise
'DR1' to 'RR4';
-- $40,000,000 class A-3 remain at 'C' and revise 'DR6' to
'RR6'.
INA CBO 1999-1 is a collateralized bond obligation that closed
Oct. 15, 1999. The portfolio is composed of corporate high yield
bonds. In 2002, INA CBO 1999-1 entered in an event of default due
to failure to maintain any of the overcollateralization tests at
least equal to 90% of the OC trigger, ultimately restricting the
manager from trading capabilities. Payments are made semi-
annually in March and September and the reinvestment period ended
in September 2003.
According to the March 17, 2009 trustee report, all OC tests are
failing. The senior A OC test failed at 88.4% with a trigger of
120%, the class A OC test failed at 19.3% with a trigger of 109%,
and the class B OC test failed at 10.3% with a trigger of 103%.
The interest coverage (IC) test also failed at 50.2% with a
trigger of 130%. The EOD has not been and Fitch does not expect
that it will be cured in the future, since the class B OC test is
currently significantly below the 90% trigger for an EOD.
The downgrade to the class A-2F and A-2 is a result of an
increased concentration of the portfolio in distressed and
defaulted securities and the diversion of principal proceeds to
pay the interest due on the classes. The trustee reported $1.2
million in the principal collections account and a portfolio
collateral balance of $26.6 million, of which $17.2 million is
defaulted. The principal proceeds will be used to pay down the
class A-2F and A-2 notes at the next payment date. The weighted
average rating of the portfolio is 'B/B-' of which 25.7% is rated
in the 'CCC' or lower category. Fitch expects the class A-3 notes
to recover little to no principal at maturity.
The rating of the class A notes addresses the likelihood that
investors will receive full and timely payments of interest, as
per the governing documents, as well as the stated balance of
principal by the legal final maturity date.
Fitch will continue to monitor and review this transaction for
future rating adjustments.
The Distressed Recovery Rating on the classes of notes has been
revised to RR to reflect Fitch's updated Rating Definitions
Criteria released March 3, 2009.
Fitch's current and revised criteria for rating corporate CDOs was
released on April 30, 2008. However, due to the high obligor
concentration within the portfolio, Fitch used a more
deterministic approach in analyzing the portfolio rather than
utilizing the Corporate Portfolio Credit Model. Fitch's
probability of default was based upon issuer default ratings and
term to maturity. The recovery rates were based either upon
specified underlying securities' RR, comparable recovery ratings,
or the PCM assumed recovery rate depending upon the seniority of
each of the underlying bonds.
IOWA FINANCE: S&P Downgrades Rating on $86.47 Mil. Bonds to 'BB+'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its long-term rating to
'BB+' from 'BBB-' on Iowa Finance Authority's $86.47 million
series 2006A health care facilities development revenue refunding
bonds, issued for Care Initiatives.
The downgrade reflects the organization's lower-than-expected
financial performance for the second consecutive year.
Specifically, the rating reflects a highly leveraged balance sheet
with an adjusted debt-to-capital ratio of 81% as of unaudited Dec.
31, 2008; declining operations for the past two years that has
produced adequate maximum annual debt service coverage of 1.4x for
unaudited fiscal 2008; and generally stable, but occasionally
sporadic, utilization rates in various facilities within the
organization, including some of its largest facilities, however,
systemwide utilization has been in the 80%-85% range overall for
the past couple of years.
"The stable outlook reflects our expectation that as management
puts in place measures to stem the operating loss and slows its
investments in capital, Care Initiatives should be able to
maintain the current rating," said Standard & Poor's credit
analyst Brian Williamson. "However, if losses continue throughout
fiscal 200,9 a rating or outlook change could occur," said
Mr. Williamson.
Care Initiatives' 53 facilities operate a total of 3,452
intermediate-care nursing-, assisted-, and independent-living
beds. All of the facilities are currently eligible for
participation in the Medicaid program. The 53 locations provide
services in 44 communities throughout Iowa. In 27 communities,
Care Initiatives is the sole provider of skilled nursing services;
in nine communities, Care Initiatives has only one competitor; and
in eight communities, there are multiple competitors. Care
Initiatives is the largest single provider of skilled nursing
homes in the state.
JEFFERIES RESECURITIZATION: Fitch Rates Various 2009-R3 Notes
-------------------------------------------------------------
Fitch rates Jefferies Resecuritization Trust 2009-R3:
-- $23,748,616 class 1A1 'AAA'; Outlook Stable;
-- $5,937,154 class 1A2 'CCC'; Outlook Stable;
-- $1,484,289 exchangeable classes 1A3, 1A4, 1A5, and 1A6 'CCC';
Outlook Stable.
-- $40,897,156 class 2A1 'AAA'; Outlook Stable;
-- $7,217,145 class 2A2 'BB'; Outlook Stable;
-- $2,405,715 exchangeable classes 2A3, 2A4, and 2A5 'BB';
Outlook Stable.
-- $48,317,066 class 3A1 'AAA'; Outlook Stable;
-- $9,896,266 class 3A2 'CCC'; Outlook Stable;
-- $2,910,666 exchangeable classes 3A3, 3A4, and 3A5 'CCC';
Outlook Stable;
-- $1,164,268 exchangeable class 3A6 'CCC'; Outlook Stable.
This transaction contains certain classes designated as
exchangeable certificates and others as regular certificates. The
class 1A3, 1A4, 1A5, 1A6, 2A3, 2A4, 2A5, 3A3, 3A4, 3A5 and 3A6
certificates are exchangeable certificates. The rest of the
classes are regular certificates.
This transaction consists of three groups. Group 1 is a
resecuritization of approximately 29.25% interest in the class 2-
A1 from WaMu Mortgage Pass-Through Certificates Series 2005-AR14
Trust which represents beneficial ownership interest in
adjustable-rate, conventional, first lien residential mortgage
loans, substantially all of which have original terms to stated
maturity of 30 years. Group 2 is a resecuritization of
approximately 31.36% interest in the class 2-A-1 from BOAMS
Mortgage Pass-Through Certificates, Series 2004-J which represents
beneficial ownership interest in adjustable-rate, conventional,
first lien residential mortgage loans, substantially all of which
have original terms to stated maturity of 30 years. Group 3 is a
resecuritization of approximately 13.09% interest in the class 1-
A-1 from J.P. Morgan Mortgage Trust 2005-A8 which represents
beneficial ownership interest in adjustable-rate, conventional,
first lien residential mortgage loans, substantially all of which
have original terms to stated maturity of 30 years. As a
resecuritization, the certificates will receive their cash-flow
from the underlying classes of certificates.
JP MORGAN: Fitch Rates $7,151,967 Class A-2 Notes at 'CCC'
----------------------------------------------------------
J.P. Morgan Resecuritization Trust, series 2009-1 is rated by
Fitch Ratings as follows, with a Stable Outlook:
-- $64,363,000 classes A-1, A-3, A-4, A-5, A-6, A-7, A-8, A-9,
and A-10 'AAA';
-- $7,151,967 class A-2 'CCC';.
The class A-3 through A-10 certificates are exchangeable
certificates. The A-1 and A-2 classes are regular certificates.
Credit enhancement for the A-1, and A-3 through A-10 certificates
is provided by the structural support on the underlying
transaction and by the 10% class A-2 bond.
This transaction is a resecuritization of 100% interest in the
class 2-A-1 certificate from the J.P. Morgan Mortgage Trust 2005-
S3, mortgage pass-through certificates, series 2005-S3, which
represents beneficial ownership interest in fixed, conventional,
first lien residential mortgage loans, substantially all of which
have original terms to stated maturity of 15 years. As a
resecuritization, the certificates will receive their cash-flow
from the underlying classes of certificates.
JP MORGAN: Moody's Downgrades Ratings on 19 2005-A7 Tranches
------------------------------------------------------------
Moody's Investors Service has downgraded 19 tranches from J.P.
Morgan Mortgage Trust 2005-A7.
The collateral backing this transaction consists primarily of
first-lien, adjustable-rate, Jumbo mortgage loans. The actions
are triggered by the quickly deteriorating performance -- marked
by rising delinquencies and loss severities, along with concerns
about the continuing drop in housing prices nationwide and the
rising unemployment levels. The actions listed below reflect
Moody's updated expected losses on the jumbo sector announced in a
press release on March 19th, 2009, and are part of Moody's on-
going review process.
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.
Loss estimates are subject to variability and are sensitive to
assumptions used; as a result, realized losses could ultimately
turn out higher or lower than Moody's current expectations.
Moody's will continue to evaluate performance data as it becomes
available and will assess the pattern of potential future defaults
and adjust loss expectations accordingly as necessary.
Complete rating actions are:
Issuer: J.P. Morgan Mortgage Trust 2005-A7
-- Cl. 1-A-1, Downgraded to Ba2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to B2; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to B1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to B1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to B1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-6, Downgraded to B2; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to B2; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to B1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ca; previously on 3/19/2009 Aa2 Placed
Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C; previously on 3/19/2009 Baa2 Placed
Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C; previously on 3/19/2009 A2 Placed
Under Review for Possible Downgrade
-- Cl. B-4, Downgraded to C; previously on 3/19/2009 Ba2 Placed
Under Review for Possible Downgrade
-- Cl. B-5, Downgraded to C; previously on 3/19/2009 B2 Placed
Under Review for Possible Downgrade
The ratings on the notes were assigned after evaluating factors
determined applicable to the credit profile of the notes, such as:
i) the nature, sufficiency, and quality of historical
performance information available for the asset class as well as
for the transaction sponsor,
ii) collateral analysis,
iii) an analysis of the policies, procedures and alignment of
interests of the key parties to the transaction, most notably the
originator and the servicer,
iv) an analysis of the transaction's allocation of collateral
cashflow and capital structure,
v) an analysis of the transaction's governance and legal
structure, and
vi) a comparison of these attributes against those of other
similar transactions.
JP MORGAN: Moody's Reviews Ratings on Class A-2 for Likely Cut
--------------------------------------------------------------
Moody's places the Class A-2 tranche from JP Morgan RV Marine
Trust 2004-A under review for possible downgrade. The transaction
is sponsored by JP Morgan Chase Bank, N.A. and serviced by The CIT
Group/Sales Financing Inc. The decision was prompted by Moody's
updated higher loss expectations relative to current levels of
credit enhancement.
During its review, Moody's will continue to refine its assessment
of these transactions relative to the credit enhancement
available. The weak performance of the Marine and RV transactions
have coincided with the challenging economic environment that has
put pressure on the performance of luxury and non-essential goods
in general.
The underlying ratings reflect the intrinsic credit quality of the
notes in the absence of the guarantee. The current ratings on the
below notes are consistent with Moody's practice of rating insured
securities at the higher of the guarantor's insurance financial
strength rating and any underlying rating.
Complete rating actions are:
Issuer: JP Morgan RV Marine Trust 2004-A
Class Description: Class A-2
-- Current Rating: Placed Under Review for Possible Downgrade
from Baa3; previously on July 2, 2008 Confirmed Baa3
-- Financial Guarantor: Financial Guaranty Insurance Company
(Ratings Withdrawn; previously on March 25, 2009 Ratings
Withdrawn from Caa3)
-- Underlying Rating: Placed Under Review for Possible Downgrade
from Baa3; previously on July 2, 2008 Confirmed Baa3
JPMORGAN CHASE: S&P Puts Ratings on 2007-LDP11 Notes on Neg. Watch
------------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 14
commercial mortgage pass-through certificates from JPMorgan Chase
Commercial Mortgage Securities Trust 2007-LDP11 on CreditWatch
with negative implications.
The negative CreditWatch placements follow S&P's preliminary
analysis of the eight loans ($256.4 million, 5%) that are
currently with the special servicer, CWCapital Asset Management.
S&P also have credit concerns with eight loans ($104.5 million,
2%) in the pool that have reported low debt service coverage. S&P
will resolve its CreditWatch placements as more information on all
of the specially serviced loans becomes available and after S&P
review the credit characteristics of the remaining loans in the
pool.
Details on the four largest loans with the special servicer and
one loan with low DSC are:
-- The Lembi Portfolio loan, the largest specially serviced
loan, has a trust balance of $90.0 million (2%) and a whole-
loan balance of $115.0 million. This loan, secured by 16
multifamily apartment complexes totaling 662 units in San
Francisco, California, was transferred to CWCapital on Feb.
25, 2009, due to monetary default because the borrower failed
to replenish the annual debt service reserves, which have
been depleted. The loan is currently 30-plus-days
delinquent. The reported DSC for the trust balance and
occupancy for the 12 months ended Dec. 31, 2008, were 1.32x
and 95%, respectively.
-- The 625 Broadway loan ($53.0 million, 1%), the second-largest
specially serviced loan, is secured by a 110,000-sq.-ft.
office building in downtown Manhattan. This loan was
transferred to CWCapital on March 18, 2009, due to imminent
default after the borrower indicated that it would no longer
fund shortfalls at the property. The borrower has not made
its March 2009 debt service payment. The reported DSC and
occupancy for the 12 months ended Dec. 31, 2008, were 0.37x
and 64%, respectively.
-- The Swedesford Plaza loan ($35.1 million, 1%), the third-
largest specially serviced loan, is secured by a 152,300-sq.-
ft. anchored retail center in Berwyn, Pennsylvania. This
loan was transferred to the special servicer on March 11,
2009, due to imminent default. Although the loan is current,
the borrower has stated that it would no longer be able to
make debt service payments. The second-largest tenant,
Circuit City, representing 30% of the gross leasable area at
the property, vacated this month. The property is currently
69% occupied. Excluding Circuit City's rental income, S&P
expect the DSC to fall below 1.0x.
-- The Rocket Lofts loan ($29.0 million, 0.5%), the fourth-
largest specially serviced loan, is secured by a 75-unit
midrise multifamily apartment complex in Brooklyn, New York.
This loan, which is 90-plus-days delinquent, was transferred
to CWCapital on Dec. 10, 2008, due to monetary default. A
receiver took control of the property this month. CWCapital
is currently pursuing foreclosure. No updated rent roll or
financials have been received from the borrower. Based on a
recent broker's opinion value, S&P expects a moderate to
severe loss upon liquidation of this asset.
S&P has credit concerns with eight loans totaling $104.5 million
(2%) that reported low DSC. These loans have an average balance
of $13.1 million and have experienced a weighted average decline
in DSC of 24% since issuance. These loans are secured by a
variety of lodging, office, multifamily, and self-storage
properties.
The largest loan with a low DSC that is a credit concern is the
Holiday Inn Hotel & Suites Ocean City loan ($55.0 million, 1%).
This loan, which is also on the master servicer's watchlist, is
secured by a 210-room full-service hotel in Ocean City, Maryland.
Using the borrower's operating statements for the trailing 12-
months ended Aug. 31, 2008, Standard & Poor's expects the DSC to
drop below 1.0x. As of June 2008, occupancy was 57%, down from 67%
for the 12-months ended Dec. 31, 2007, for which time the reported
DSC was 1.07x.
Standard & Poor's will continue to have discussions with CWCapital
to obtain updates on the specially serviced loans. S&P will also
continue to monitor the loans reported on the master servicer's
watchlist, particularly those with reported low DSC. S&P will
update and/or resolve S&P's CreditWatch placements as more details
become available to Standard & Poor's.
Ratings Placed On Creditwatch Negative
JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP11
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
C AA/Watch Neg AA 10.03
D AA-/Watch Neg AA- 9.03
E A+/Watch Neg A+ 8.53
F A/Watch Neg A 7.65
G A-/Watch Neg A- 6.65
H BBB+/Watch Neg BBB+ 5.39
J BBB/Watch Neg BBB 4.52
K BBB-/Watch Neg BBB- 3.14
L BB+/Watch Neg BB+ 2.76
M BB/Watch Neg BB 2.51
N BB-/Watch Neg BB- 2.13
P B+/Watch Neg B+ 2.01
Q B/Watch Neg B 1.76
T B-Watch Neg B- 1.38
JUPITER HIGH-GRADE: Fitch Junks Ratings on Four Classes of Notes
----------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed one class of notes
issued by Jupiter High-Grade CDO, Ltd.:
-- $382,896,342 class A-1A downgraded to 'CCC' from 'AAA',
removed from Rating Watch Negative;
-- $89,348,868 class A-1B downgraded to 'CCC' from 'AAA',
removed from Rating Watch Negative;
-- $82,500,000 class A-2 downgraded to 'CC' from 'AAA', removed
from Rating Watch Negative;
-- $41,250,000 class B downgraded to 'CC' from 'B', removed from
Rating Watch Negative;
-- $14,441,049 class C affirmed at 'C'.
Fitch has taken these rating actions primarily due to negative
credit migration in the portfolio. The rating actions also
incorporate Fitch's recently adjusted default and recovery rate
assumptions for analyzing structured finance collateralized debt
obligations. Since the last rating action in September 2008,
there has been significant negative credit migration in the
portfolio with 30.8% of assets downgraded a weighted average of 10
notches. As a result, 30.3% of the current portfolio is now rated
below investment grade and 23% carries a rating of 'CCC+' or
below, as compared to only 6.8% and 4.1%, respectively, as of the
last review. As per the latest trustee report dated Jan. 31,
2009, defaulted securities constitute 6.3%, or $37.9 million, of
the portfolio.
The negative credit migration experienced since the last review
has caused each of the overcollateralization ratios to fall below
100%. As of the latest trustee report, the class B OC ratio and
class C OC ratio were 96.9% and 94.6%, respectively, versus
respective triggers of 102.1% and 100.4%. At present, the
transaction continues to make scheduled quarterly interest
distributions to the class A-1, A-2, and B notes, using remaining
proceeds to reduce the principal of class A-1 notes in an attempt
to cure the failing coverage tests. Interest payments due to the
class C notes continue to be paid in kind, whereby the principal
balance of the notes is increased by the amount of interest due
but not paid. In light of the low recoveries for distressed
assets, Fitch projects that the class A-2 and class B notes will
likely not receive their full principal balance by the stated
maturity date. The class C notes are not expected to receive any
payments of interest or principal in the future.
Jupiter I is a static cash flow CDO which closed in December 2004
with a portfolio initially selected by Maxim Advisory LLC and is
currently managed by Harding Advisory LLC. The current portfolio
is composed of 41.8% subprime residential mortgage backed
securities from the 2004 and 2005 vintages, 19.4% is comprised of
Alt-A RMBS, 8.9% of prime RMBS, and 20.1% consists SF CDOs.
Additionally, 8.8% of the portfolio is comprised of CDO securities
backed by corporate debt.
The rating actions resolve the 'Under Analysis' status issued on
Oct. 14, 2008 following Fitch's announcement of its proposed
criteria revision for analyzing SF CDOs. The revised criteria
report, 'Global Rating Criteria for Structured Finance CDOs' was
published in its final form on Dec. 16, 2008 along with an updated
version of the Fitch Portfolio Credit Model that includes
additional functionality for analyzing SF CDOs. As part of this
review, Fitch makes standard adjustments for any names on Rating
Watch Negative or with a Negative Outlook, downgrading such
ratings for default analysis purposes by three and one notches,
respectively.
Fitch will continue to monitor and review this transaction for
future rating adjustments.
LEHMAN BROTHERS: Moody's Downgrades Fund Rating to 'Ca' from 'A'
----------------------------------------------------------------
Moody's Investors Service has downgraded to Ca from A the fund
rating of Lehman Brothers Enhanced Libor Fund. The fund's market
risk rating was confirmed at MR5, Moody's lowest market risk
rating. The rating action follows the decision by the fund's
trustee, in consultation with the fund's manager, to suspend
subscriptions to and redemptions from the Fund, liquidate the
portfolio and distribute proceeds back to shareholders. Moody's
will also withdraw its ratings of the Fund, given its expected
liquidation.
The downgrade to Ca from A reflects the Fund's decision to suspend
redemption proceeds in the Fund effective March 2, 2009 and may
result in additional losses from the liquidation of the fund's
portfolio. The decision to suspend redemptions was taken by the
Fund's trustee, in consultation with the fund manager, to preserve
the net asset value per share and provide equal treatment to all
shareholders. Moody's considers the decision to suspend cash
redemptions a material deviation from the fund's stated objective
of providing daily liquidity to investors and inconsistent with
fund's practice of providing daily liquidity. According to the
liquidation plan of the fund, shareholders would have an option to
receive cash distributions or in kind distributions.
The downgrade of the Fund rating to Ca also incorporates the
significant deterioration in the maturity-adjusted weighted
average credit quality of the fund's portfolio, mostly as a result
of recent downgrades in the Fund's subprime residential mortgage
backed security holdings. The Fund's portfolio consists almost
exclusively of subprime mortgage backed securities, commercial
mortgage backed securities and other consumer asset backed
securities and may result in additional losses from the
liquidation of the fund's portfolio. The net asset value per
share of the Fund was $714.35 as of March 24, 2009. It was
initially offered to market in March 2006 at a net asset value per
share of $1,000.
The MR5 rating reflects the very high volatility that the Fund's
net asset value continues to experience due to market conditions
and the fund's exposures to asset backed securities, including
subprime mortgage backed securities. Moody's expects the
portfolio's market risk to remain elevated during the Fund's
liquidation.
The Fund is managed by Lehman Brothers Asset Management LLC.
Certain members of the senior management team of Lehman Brothers
Holdings Inc.'s investment management division have entered into
an agreement with LBHI to acquire LBAM, the Neuberger Berman
business and certain alternative asset management businesses of
IMD. Subject to the consent of the investors in the Fund, LBAM
will continue to serve as the investment manager of the Fund and
conduct the liquidation.
The last rating action concerning this Fund was on November 3,
2008, when Moody's downgraded the fund rating and market risk
rating to A/MR5 from Aaa/MR3. The Fund rating remained on review
for further downgrade.
MAGNOLIA FINANCE: S&P Cuts Rating on $9 Mil. 2005-19 Notes to 'B'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on Magnolia
Finance I PLC's $9 million collateralized debt obligation-
referenced fixed-rate notes series 2005-19 to 'B' from 'BB' and
removed the rating from CreditWatch with negative implications,
where it was placed Dec. 9, 2008.
The rating actions reflect the March 9, 2009, lowering of S&P's
rating on CSAM Funding II's 12.78% class D notes due 2016, the
underlying security, to 'B' from 'BB' and S&P's removal of that
rating from CreditWatch negative, where it was placed Dec. 5,
2008.
The rating on the series 2005-19 notes is dependent on the lower
of the rating on the underlying security or the rating on Credit
Suisse International (A+/Stable/A-1), the swap counterparty.
MAGNOLIA FINANCE: S&P Downgrades Ratings on 2007-3A1 Notes to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its 'CCC-' ratings on
Magnolia Finance II PLC's series 2007-3A1, 2007-3A2, and 2007-3B1
notes.
The lowered ratings follow a number of recent write-downs of
underlying reference entities, which have caused the notes to
incur principal losses.
Ratings Lowered
Magnolia Finance II plc Series 2007-3A1
Rating
------
Class To From
----- -- ----
Notes D CCC-
Magnolia Finance II plc Series 2007-3A2
Rating
------
Class To From
----- -- ----
Notes D CCC-
Magnolia Finance II plc Series 2007-3B1
Rating
------
Class To From
----- -- ----
Notes D CCC-
MESA TRUST: Moody's Downgrades Ratings on Two 2001-5 Tranches
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of two
tranches issued by MESA Trust Asset Backed Certificates, Series
2001-5. The collateral backing each tranche consists primarily of
first lien adjustable-rate and fixed-rate "scratch and dent"
mortgage loans.
The actions are triggered by higher than anticipated delinquency
levels and severity of loss as well as slower than anticipated
voluntary prepayments, resulting in higher updated loss
expectation for the underlying collateral and lower coverage for
the rated debt given available credit enhancement.
The ratings on the securities are monitored by evaluating factors
determined to be applicable to the credit profile of the
securities, such as i) the nature, sufficiency, and quality of
historical performance information regarding the asset class ii)
an analysis of the collateral being securitized, iii) an analysis
of the transaction's allocation of collateral cash flow and
capital structure, and (iv) a comparison of these attributes
against those of other similar transactions.
General loss estimation methodology is outlined below.
For seasoned vintages (before 2005), Moody's calculates estimated
losses for Scratch and Dent RMBS:
-- Current delinquencies are used to project pipeline losses.
-- Annual roll rates are assumed at 0% for 30 days, 15% for 60
days, 30% for 90 days, 65% for foreclosures and 90% for REO.
-- Severities used are higher of 65% or actual historical
severity for each transaction.
-- Loss is calculated for the previous year. Expected annual
loss is then derived from a weighted average of previous year
loss and expected pipeline loss. The transaction expected
loss is projected out over the deal's expected remaining
life. Depending on a transaction's time of origination, a
75% weight can be applied to pipeline loss when it is
considered to be more representative of future expected
performance than the previous year's losses.
-- Expected loss is finally compared to credit enhancement to
derive a rating.
Loss estimates are subject to variability and, as a result,
realized losses could ultimately turn out higher or lower than
Moody's current expectations. Moody's will continue to evaluate
performance data as it becomes available and will assess the
pattern of potential future defaults and adjust loss expectations
accordingly if necessary.
Complete rating actions are:
Issuer: MESA Trust Asset Backed Certificates, Series 2001-5
-- Cl. M-1, Downgraded to B3; previously on 9/2/2008 Downgraded
to Baa2
-- Cl. M-2, Downgraded to Ca; previously on 12/29/2006
Downgraded to Caa3
MICHIGAN PUBLIC: S&P Raises Ratings on 2006 Revenue Bonds to 'BB+'
------------------------------------------------------------------
Standard & Poor's Ratings Services said it raised to 'BB+' from
'BB' the rating on Michigan Public Education Facilities
Authority's series 2006 limited obligation revenue bonds, issued
for Michigan Technical Academy. The outlook is stable.
"The upgrade reflects the academy's improved financial operations
following various budgetary measures in fiscal 2008," said
Standard & Poor's credit analyst Corey Friedman.
Other factors supporting the rating are:
-- A high school that draws students from a wide area;
-- A good relationship with the charter authorizer, Central
Michigan University;
-- Improved financial operations following the academy's
termination of its management contract;
-- Three successful charter renewals with a current charter that
expires in 2011; and
-- The full faith and credit pledge of the academy to make
payments in support of debt service.
However, these strengths are somewhat offset by such factors as an
inefficient enrollment sequence, low comparative test scores, and
a limit to the pledge of revenue to pay debt service of 20% of
per-pupil revenues. Another factor is the inherent uncertainty
associated with charter renewals given that the final maturity of
the bonds exceeds the time horizon of the existing charter.
Michigan Technical Academy began operations in the 1995-1996 year
as a grade 10-12 school. Initial enrollment was 30, but the
number has grown to 1,140 students in 2008-2009 since the addition
of grades and expansion of facilities. The academy can
accommodate students up to its charter cap of 1,425.
MORGAN STANLEY: Moody's Junks Ratings on 2004-3 Notes from 'A3'
---------------------------------------------------------------
Moody's Investors Service has downgraded its rating of notes
issued by Morgan Stanley Aces SPC 2004-3, a collateralized debt
obligation transaction referencing a portfolio of corporate
entities and structured finance obligations.
Moody's explained that the rating action taken is the result of
(i) the application of revised and updated key modeling parameter
assumptions that Moody's uses to rate and monitor ratings of
Synthetic CDOs and (ii) the deterioration in the credit quality of
the transaction's reference portfolio. The revisions affect key
parameters in Moody's model for rating Synthetic CDOs: default
probability, asset correlation, recovery rate of structured
finance obligations, and other credit indicators such as ratings
reviews and outlooks on corporate entities.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for Corporate
Synthetic CDOs and SF CDOs as described in Moody's Special Reports
below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (March 2009)
-- Moody's Approach to Rating SF CDOs (March 2009)
The rating action is:
Class Description: JPY500,000,000 Secured Floating Rate Notes due
2009
-- Current Rating: Ca
-- Prior Rating Date: August 18, 2004
-- Prior Rating: Assigned A3
MORGAN STANLEY: Moody's Junks Ratings on 2007-7 Notes from 'Ba2'
----------------------------------------------------------------
Moody's Investors Service has downgraded its rating of notes
issued by Morgan Stanley ACES SPC, Series 2007-7, a collateralized
debt obligation transaction referencing a portfolio of corporate
obligations.
Moody's explained that the rating action taken is the result of
(i) the application of revised and updated key modeling parameter
assumptions that Moody's uses to rate and monitor ratings of
Corporate Synthetic CDOs and (ii) the deterioration in the credit
quality of the transaction's reference portfolio. The revisions
affect key parameters in Moody's model for rating Corporate
Synthetic CDOs: default probability, asset correlation, and other
credit indicators such as ratings reviews and outlooks.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for Corporate
Synthetic CDOs as described in Moody's Special Report below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (March 2009)
The rating action is:
Class Description: Rated Notes
-- Current Rating: Caa2
-- Prior Rating: Ba2
-- Prior Rating Date: July 11, 2008
MORGAN STANLEY: Moody's Raises Rating on 1997-C1 Certificates
-------------------------------------------------------------
Moody's Investors Service upgraded the rating of one class and
affirmed one class of Morgan Stanley Capital I Inc., Commercial
Mortgage Pass-Through Certificates, Series 1997-C1. The upgrade
is due to higher credit subordination resulting from loan payoffs
and amortization. The action is the result of Moody's on-going
surveillance of commercial mortgage backed securities
transactions.
As of the March 16, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 97%
to $20.6 million from $640.7 million at securitization. Only 16
loans remain in the pool. No loans are delinquent or in special
servicing.
Moody's rating action is:
-- Class X-1, Notional, affirmed at Aaa; previously affirmed at
Aaa on 5/7/2007
-- Class H, $197,759, upgraded to Aaa from Baa3; previously
upgraded to Baa3 from B1 on 5/7/2007
MORGAN STANLEY: S&P Downgrades Rating on $3 Mil. Notes to 'B+'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on Morgan
Stanley ACES SPC's $3.0 million class A-4 secured, fixed-rate
notes series 2006-8 to 'B+' from 'BB-'.
The rating action follows the March 10, 2009, lowering of S&P's
rating on The Goodyear Tire & Rubber Co.'s senior unsecured notes,
the reference obligation, to 'B+' from 'BB-'.
The class A-4 notes are credit-linked notes. The rating on the
class A-4 notes is dependent on the lowest rating on these: the
reference obligation ('B+'); Morgan Stanley (A/Negative/A-1), the
guarantor under the credit default swap, interest rate swap, and
contingent forward agreement; or BA Master Credit Card Trust II's
class A certificates series 2001-B due 2013 ('AAA'), the
underlying security.
MOUNT SINAI: Moody's Downgrades Long-Term Rating on Debt to 'Ba2'
-----------------------------------------------------------------
Moody's Investors Service has downgraded to Ba2 from Ba1 the long-
term ratings assigned to Mount Sinai Medical Center of Florida's
outstanding debt issued through the City of Miami Beach Health
Facilities Authority. The rating outlook remains negative at the
lower rating level. The downgrade follows continually weak
financial performance and a decline in unrestricted cash. The
negative outlook reflects Moody's concerns that competitive and
economic challenges will continue to affect volumes. Moody's
believes these issues could make it difficult to achieve the
operating targets necessary to support capital projects and
maintain cash, despite management's initiatives. Approximately
$267 million of debt is affected by this action, as listed at the
conclusion of this report.
Legal Security: All outstanding bonds are secured by: a gross
revenue pledge of the obligated group; a full and irrevocable
guaranty of the Mount Sinai Medical Center Foundation (the
Foundation) for principal and interest payments; a mortgage on
MSMC's south campus; MSMC's right, title and interest in the
ground lease on the land that the north campus is situated on,
and; a negative pledge from the Medical Center and the Foundation.
Interest Rate Derivatives: None
Challenges
* Meaningful declines in surgical demand across inpatient and
outpatient modalities, in spite of a flattening of absolute
number of admissions, which poses a fundamental challenge to
MSMC's ability to achieve enterprise growth needed to stabilize
operations
* Liquidity measures have deteriorated since FYE 2007 as cash on
hand and cash-to-debt decreased to modest 71 days and a thin
35%, respectively, at December 31, 2008.
* Debt levels remain very high relative to size of operations
(debt to cash flow of over 28 times in 2008) and balance sheet
liquidity (cash to debt 35%)
* Growing losses related to physician practices (recruitment for
specialists) of $9.6 million for the full fiscal year 2008 as
compared with a budget of $8.7 million; Budget for FY 2009
includes an additional $4.7 million in physician and other
support services around this strategy which may be difficult to
off set as recessionary pressures flatten utilization
* Multi faceted plans for enterprise growth may prove to be
dilutive as the use of debt or cash would be required to execute
these initiatives
Strengths
* Still solid absolute cash position ($93.2 million at December
31, 2008), held by MSMC and Foundation (Foundation provides
irrevocable guaranty to bonds); investments are heavily weighted
to fixed income securities
* Recent recruitment of highly productive cardiac surgeon, who is
established in market; though contracted salary will add to
physician costs
* Clearly articulated operational imperatives to achieve much
needed top line growth; though fundamentals of market could
hinder improvement; recent engagement of consultants to maximize
efficiencies
* Land associated with former campus at the Miami Heart Hospital
is prime waterfront real estate on Miami Beach that can be
monetized
Recent Developments
Moody's believes fundamental characteristics of the market suggest
that current challenges may be pervasive. These fundamentals
include heavy competition, especially for the more profitable
services, and shifting demographic trends on Miami Beach toward a
younger population. To that end, competition from cardiac
programs established at two local competitors Aventura and
Palmetto Hospitals, have contributed to an open heart case decline
at MSMC of more then 50% from 912 in 2004 to 430 in 2008. Looking
forward, management expects recent recruitment of a cardiac
surgeon to reverse the marked diminution of cardiac services.
FY 2008 proved to be another challenging year for MSMC; with
management prepared financials showing a $19.1 million operating
loss (excluding a $10 million contribution from the Foundation and
reclassifying $3.7 million of investment gains to non-operating
revenue) compared with a $14.7 million operating loss in FY 2007
(excluding a $10 million contribution from the Foundation and
reclassifying $5.8 million of investment gains to non-operating
revenue). Weak FY 2008 performance compares unfavorably against a
budgeted loss of $7.7 million. Variances to budget are largely
tied to higher than anticipated losses associated with a growing
number of employed physicians and a lower intensity volume mix
with a marked drop in surgical demand, particularly pronounced
with increased competition for cardiac services as discussed
above. Operating cashflow of $20.5 million is 25% lower then the
comparable period in FY 2007. FY 2008 represented the eleventh
consecutive year that MSMC incurred an operating loss and the
fourth consecutive year that operating cash flow declined. Key
financial ratios have deteriorated from already weak levels with
over 28.0 times debt to cashflow and 1.1 times maximum annual debt
service coverage (excluding Foundation transfer of $10 million).
When including the Foundation transfer, MADS coverage is a
healthier 1.6 times and debt to cashflow an improved, but still
leveraged, 13.7 times.
Management has indicated that a baseline budget for FY 2009
anticipates losses of $19.7 million (excluding a $10 million
contribution from the Foundation); though the budget does not
include the potential benefits of activity generated by the
recently recruited cardiac surgeon or consulting engagement.
Ability to grow top line revenue from the core clinical enterprise
remains a crucial element to long-term future improvement and
credit risk stability at the current rating.
Resources remain modest and highly leveraged for an organization
of this size. The combined unrestricted cash balances totaled
$93.2 million at December 31, 2008, equating to an adequate 71
days. Leverage is evidenced by cash to debt coverage of just 35%.
Moody's retains concerns that with another $10 million transfer
from the Foundation cash will decline by a like amount as
investment markets and philanthropy are more challenged in the
current economic environment. Finally, strategic capital projects
are being considered for the longer term, including the
consideration of a new hospital to the north of the beach in
Aventura, however, management reports that new money borrowings
will not be considered until operations are at least stable. The
MSMC Foundation which provides explicit and unconditional support
to the clinical operations will likely provide for a portion of
MSMC's larger strategic capital needs through its considerable
fundraising strength.
Outlook
The negative rating outlook reflects Moody's concerns that
competitive and economic challenges will continue to affect
volumes. Moody's believes these issues could make it difficult to
achieve the operating targets necessary to support capital
projects and maintain cash, despite management's initiatives
What could change the rating--UP
Ability to achieve and sustain enterprise growth as measured by
revenue and volumes that translates into a consistent track record
of strengthening operating cash flow and a reduction of debt
outstanding or significant growth in liquidity
What could change the rating--DOWN
Further deterioration of financial performance or liquidity
levels; enterprise contraction that results in continuous trend of
market share loss; a material increase in debt without
commensurate growth in cash flow or liquidity
Key Indicators
Assumptions & Adjustments:
-- Based on financial statements for Mount Sinai Medical Center
of Florida, Inc. & Subsidiaries
-- First number reflects audit year ended December 31, 2007
-- Second number reflects audit year ended December 31, 2008
-- Operating income in each FY 2007 and 2008 excludes a $10
million transfer from the Foundation
-- Investment gains of $5.8 million and $3.7 million
reclassified to non -- operating income in FY's 2007 and
2008, respectively
-- Investment returns smoothed at 6% unless otherwise noted
* Inpatient admissions: 22,240; 22,439
* Total operating revenues: $455.6 million; $486.1 million
* Moody's-adjusted net revenue available for debt service: $32.5
million; $26.3 million
* Total debt outstanding: $268 million; $267 million
* Maximum annual debt service (MADS): $22.8 million; $22.8 million
* MADS Coverage with reported investment income: 1.4 times; 1.1
times
* Moody's-adjusted MADS Coverage with normalized investment
income: 1.4 times; 1.1 times
* Debt-to-cash flow: 17.5 times; 28.0 times
* Days cash on hand: 97 days; 71 days
* Cash-to-debt: 44%; 35%
* Operating margin: -3.2%; -4.0%
* Operating cash flow margin: 5.6%; 4.2%
Rated Debt:
* Series 1998, fixed rate
* Series 2001A, fixed rate
* Series 2004, fixed rate
The last rating action was on January 30, 2008 when MSMC's Ba1
rating was affirmed and the rating outlook was revised to negative
from stable.
NATIONSLINK FUNDING: Moody's Affirms Ratings on 1999-LTL-1 Certs.
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of NationsLink
Funding Corporation, Commercial Loan Pass-Through Certificates,
Series 1999-LTL-1. The Credit Tenant Lease component, which
represents 76% of the pool, has experienced an overall decline in
credit quality since last review; however, this has been mitigated
by significant loan amortization and paydowns. Moody's is
affirming the ratings because the current credit enhancement
levels are sufficient to absorb potential future losses. The
action is the result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
As of the March 23, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 55%
to $223.7 million from $492.5 million at securitization. The
Certificates are collateralized by 102 mortgage loans ranging in
size from less than 1% to 12% of the pool. The pool consists of a
CTL component, representing 76% of the pool, a conduit component,
representing 12% of the pool and a loan with an underlying rating,
representing 12% of the pool.
Eight loans, representing 7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
One loan has been liquidated from the pool, resulting in a minimal
realized loss. There is one loan, representing less than 1% of
the pool, currently in special servicing. Moody's is estimating a
loss of approximately $575,000 for this loan.
The CTL component consists of 88 loans secured by properties
leased to 26 tenants. The largest exposures are Rite Aid
Corporation (Moody's senior unsecured rating Caa3/Ca -- negative
outlook; 19%), Home Depot Inc. (Moody's senior unsecured rating
Baa1 -- stable outlook; 13%); and CVS/Caremark Corp. (Moody's
senior unsecured rating Baa2 -- positive outlook; 10%).
Moody's has downgraded the ratings of fourteen credits and
upgraded the ratings of five credits since the prior review of
this transaction in January 2007. The credits with the largest
exposures that were downgraded include: Rite Aid Corporation (19%
of the CTL component), currently rated Caa3/Ca compared to Caa1 at
last review; Home Depot, Inc. (13%), currently rated Baa1 compared
to Aa3 and Walgreen Corporation (8%), currently rated A2 compared
to Aa3. The credits with the largest exposures that were upgraded
include: Koninklijke Ahold, N.V. (10%), currently rated Baa3
compared to Ba1 and Delhaize America, Inc. (8%), currently rated
Baa3 compared to Ba1.
The conduit component consists of 10 fixed rate mortgage loans.
Moody's was provided with year-end 2007 and partial year 2008
operating results for approximately 92% and 67% of the conduit
loans, respectively. Moody's loan to value ratio for the conduit
component is 63% compared to 65% at Moody's prior full review.
The loan with an underlying rating is the Broadway at the Beach
($27.4 million -- 12%), which is secured by a 450,000 square foot
tourist entertainment complex located in Myrtle Beach, South
Carolina. The property includes specialty shops, restaurants and
tourist attractions. The complex was 100% occupied as of
September 2008. Property performance has been stable since last
review. The loan amortizes on a 240-month schedule and has
amortized by approximately 11% since last review. Moody's current
underlying rating is Aa1, the same as at last review.
Moody's rating action is:
-- Class A-2, $333,889, Fixed, affirmed at Aaa; previously
affirmed at Aaa on 1/18/2007
-- Class A-3, $127,347,816, Fixed, affirmed at Aaa; previously
affirmed at Aaa on 1/18/2007
-- Class X, Notional, affirmed at Aaa
-- Class B, $25,855,814, Fixed, affirmed at Aaa; previously
upgraded to Aaa from Aa2 on 1/18/2007
-- Class C, $20,930,897, Fixed, affirmed at A1; previously
upgraded to A1 from A3 on 1/18/2007
Moody's monitors transactions on both a monthly basis through two
sets of quantitative tools: MOST (Moody's Surveillance Trends)
and CMM on Trepp, and a periodic basis through a full review.
Moody's prior full review is summarized in a press release dated
January 18, 2007.
Moody's used three principal methodologies in rating and
monitoring this transaction. The credit-tenant lease financing
rating methodology for single tenants was used for the CTL
component. Under Moody's CTL approach, the rating of a
transaction's certificates is primarily based on the senior
unsecured debt rating (or the corporate family rating) of the
tenant, usually an investment grade rated company, leasing the
real estate collateral supporting the bonds. This tenant's credit
rating is the key factor in determining the probability of default
on the underlying lease. The lease generally is "bondable", which
means it is an absolute net lease, yielding fixed rent paid to the
trust through a lock-box, sufficient under all circumstances to
pay in full all interest and principal of the loan. The leased
property should be owned by a bankruptcy-remote, special purpose
borrower, which grants a first lien mortgage and assignment of
rents to the securitization trust. The dark value of the
collateral, which assumes the property is vacant or "dark", is
then examined; the dark value must be sufficient, assuming a
bankruptcy of the tenant and rejection of the lease, to support
the expected loss consistent with the certificates' rating. The
certificates' rating will change as the senior unsecured debt
rating (or the corporate family rating) of the tenant may change.
Moody's also considers the overall structure and legal integrity
of the transaction.
NORTHSTAR CBO: Fitch Downgrades Rating on 1997-1 Notes
------------------------------------------------------
Fitch Ratings downgrades and withdraws the rating on the remaining
class of notes issued by Northstar CBO 1997-1 Ltd./Corp. This
rating action is effective immediately:
-- $65,506,217 class A-2 notes rated 'C/DR6' is downgraded to
'D' and withdrawn.
Northstar 1997-1 is a collateralized bond obligation which closed
Jan. 21, 1997 and is managed by ING Investment Management Company.
Fitch received a Notice of Maturity of Notes. Under this notice,
noteholders have been informed that the maturity date for each of
the notes occurred on the Feb. 17, 2009 payment date. There will
be no payment on the notes on the maturity date. The applicable
record date is Jan. 31, 2009. Monies held are being reserved in
anticipation of future issuer expenses. Thus given the maturity
default and expectation of no future payments to class A-3, the
notes have been downgraded to 'D' and withdrawn.
NORTHWESTERN INVESTMENT: Fitch Junks Ratings on Class B Notes
-------------------------------------------------------------
Fitch Ratings has affirmed one class and revised the Recovery
Rating on two classes of notes issued by Northwestern Investment
Management Company CBO I Fund Ltd.:
-- $30,597,289 class A notes affirmed at 'AAA'; Rating Watch
Negative;
-- $15,000,000 class B-1 notes revised to 'C/RR6' from 'C/DR6';
-- $11,000,000 class B-2 notes revised to 'C/RR6' from 'C/DR6'.
Northwestern CBO I is a collateralized debt obligation that closed
Dec. 15, 1999 and is managed by Mason Street Advisors (formerly
known as Northwestern Investment Management Company). The
proceeds of the issuance were invested in a static portfolio
consisting primarily of high yield corporate bonds. Payments are
made semi-annually in January and July and the reinvestment period
ended November 2002.
The affirmation of the class A notes is the result of the
financial guaranty insurance policy provided by Financial Security
Assurance Inc. (Insurer Financial Strength 'AAA'; Rating Watch
Negative by Fitch), which guarantees to pay any interest or
principal shortfalls.
According to the Feb. 26, 2009 trustee report, all par value tests
failed. The class A overcollateralization test failed at 95.19%
with a trigger of 115% and the class B OC test failed at 38.93%
with a trigger of 109.25%. Likewise, the class A interest
coverage test failed at 109.89% with a trigger of 135% and the
class B IC test failed at 6.67% with a trigger of 130%.
On the Jan. 15, 2009 payment date, class B-1 and B-2 were cut off
from all interest payments due to insufficient funds available to
pay the current interest due on the notes and the failure of the
OC test, which is diverting cash flow to redeem the class A notes.
Fitch anticipates this trend to continue, with continual leakage
of scheduled principal proceeds to pay class A notes interest.
The ratings on the classes A and B notes address the likelihood
that investors will receive full and timely payments of interest
and principal of the respective notes by the stated maturity date.
The Distressed Recovery Rating on the classes of notes has been
revised to RR to reflect Fitch's updated Rating Definitions
Criteria released March 3, 2009.
Fitch's current and revised criteria for rating corporate CDOs was
released on April 30, 2008. However, due to the high obligor
concentration within the portfolio, Fitch used a more
deterministic approach in analyzing the portfolio rather than
utilizing the Corporate Portfolio Credit Model. Fitch's
probability of default was based upon Issuer Default Ratings and
term to maturity. The recovery rates were based either upon
specified underlying securities' RR, comparable recovery ratings,
or the PCM assumed recovery rate depending upon the seniority of
each of the underlying bonds.
OMEGA CAPITAL: S&P Corrects Ratings on Class C-1E Notes to 'BB-'
----------------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on the
class B-1E and C-1E notes issued by Omega Capital Investments
PLC'S Series 19, a synthetic corporate investment-grade
collateralized debt obligation transaction. S&P reinstated the
ratings and placed them on CreditWatch with negative implications.
Standard & Poor's inadvertently withdrew the ratings on March 26,
2009, following the issuers' decision to buy back and cancel part
of the notes outstanding. The notice of buy back and cancellation
only covered EUR79,000,000 of the B-1E notes and EUR3,000,000 of
the C-1E notes; EUR20,000,000 of the B-1E and EUR20,000,000 of the
C-1E notes remain outstanding.
Ratings Reinstated And Placed On Creditwatch Negative
Omega Capital Investments PLC
Palladium CDO I secured floating-rate notes series 19
Rating
------
Class To From
----- -- ----
B-1E BBB-/Watch Neg NR
C-1E BB-/Watch Neg NR
Other Ratings Outstanding
Omega Capital Investments PLC
Palladium CDO I secured floating-rate notes series 19
Class Rating
----- ------
S-1E AA/Watch Neg
A-1E BBB/Watch Neg
A-1U BBB/Watch Neg
B-1U BBB-/Watch Neg
C-1U BB-/Watch Neg
NR -- Not rated.
OMI TRUST: S&P Downgrades Rating on Class M-1 Notes to 'D'
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
M-1 notes from OMI Trust 2002-A to 'D' from 'CCC-' and its rating
on the class M-1 notes from OMI Trust 2002-B to 'CC' from 'CCC'.
The lowered rating on class M-1 from OMI Trust 2002-A reflects a
payment default resulting from an interest shortfall for this
class on the March 2009 payment date. The lowered rating on class
M-1 from OMI Trust 2002-B reflects S&P's belief that there will be
an interest shortfall for this class in the next one or two
payment dates.
S&P believes that interest shortfalls for the class M-1 from OMI
Trust 2002-A, and, eventually, the class M-1 from OMI Trust 2002-
B, will persist into the future due to the adverse performance
trends S&P has observed in the underlying pools of collateral
originated by Oakwood Acceptance Corp., as well as the
subordination of the class write-down interest to senior
principal.
Standard & Poor's will continue to monitor the other outstanding
ratings associated with these transactions.
Ratings Lowered
OMI Trust 2002-A
Rating
------
Class To From
----- -- ----
M-1 D CCC-
OMI Trust 2002-B
Rating
------
Class To From
----- -- ----
M-1 CC CCC
PACIFIC NORTHWEST: Moody's Downgrades Ratings on 2005A Bonds
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings for Pacific
Northwest Communities, LLC's Taxable Military Housing Revenue
Bonds, Series 2005A and 2005B (Navy Northwest Family Housing
Privatization Project) to Aa3 and A3 respectively. The rating
action brings the rating in line with ratings on other comparable
projects in light of (i) significant changes in the development
plan that have entailed some depletion of surplus reserves and
(ii) debt service coverage levels, particularly in light of lower
occupancy levels for certain project units. Although the new
development team has made significant progress in modifying the
development plan and moving towards completion, these efforts have
required expenditure of project construction reserves, leaving
less cushion for future needs. In addition, vacancy levels in
certain areas suggest projected cash flow projection levels in
line with the rating levels assigned. The outlook on the bonds is
stable based on the performance of the replacement developer in
working through issues related to the initial development period,
strong real estate fundamentals, and adequate financial
performance.
Recent Developments: On November 20, 2007, Northwest Military
Communities, LLC (an affiliate of Forest City Enterprises, Inc.)
replaced American Eagle Northwest, LLC as the managing member of
the Project. Forest City Enterprises, Inc. (senior unsecured
rating B1), an NYSE listed real estate company, is engaged in the
ownership, development, acquisition and management of commercial
and residential real estate throughout the United States and has
extensive experience with privatized military housing. Affiliates
of Forest City have also assumed responsibilities as design-build
construction contractor, property manager, and asset manager.
The bonds were underwritten to support a four-year initial
development period, which was to include the demolition,
rehabilitation, and new construction of certain on-base units,
eventually bringing the original stock of 3,098 housing units down
to 2,985 units at the end of 2009. Since November 20, 2007, there
have been several modifications to the development plan. In the
North Sound Area (Whidbey Island), Forest City made the decision
to move 21 houses from Maylor Point to Crescent Harbor. The unit
plan for Crescent Harbor has increased to 184 units from 163, with
no change in the total end state. In the East Sound Area
(Everett), 141 units of new construction will be moved to another
site near Lake Stevens, which will replace the original
development plan of building on undeveloped land in Marysville.
The acquisition of the Lake Stevens site was funded through the
project's surplus reserve accounts and reductions to the
construction budget. New and replacement construction is expected
to be completed by January 2010. The Navy has agreed to extend
the IDP to January 2011 to allow for additional units to remain
online and provide additional revenue to the project.
Credit Strengths
* Seasoned developer managing project and strong support from
Navy: Forest City has reported that construction progress is on
budget and ahead of schedule to complete new and replacement
construction by January 2010.
* In the 14 months between November 2007 and January 2008, Forest
City constructed approximately 215 new units of housing, more
units than American Eagle was able to build during its tenure.
As of March 2009, approximately 66% of new and replacement
construction has been completed.
* Updated development plan does not rely on sale of existing
properties to fund construction. Additional funding will be
provided from surplus accounts and by revenue generated by
delaying demolition of some units, keeping more units online
during IDP.
* A portion of surplus revenues were transferred from the Project
Recapitalization Account, which may be used for emergency
repairs, replacement of capital equipment or the long term
renovation and revitalization of the housing units, Forest City
has used funds from the PRA, along with other funds available
from project reserves and operations, to manage the changes in
scope that have been implemented.
* Substantial increase in Basic Allowance for Housing: In 2009,
the total weighted average BAH increased by approximately 9
percent aggregated for all areas.
* Largest BAH increase in the North Sound by nearly 13 percent,
East Sound by 8 percent, and West Sound by 5 percent.
* Combined weighted average BAH is $12 more per unit compared to
the 2005 projected rank distribution.
* BAH rate remains competitive with rental inflation in submarket,
approximately 5.4 percent five-year average.
Bond legal documents provide added bondholder security:
* Debt service reserve funds are 100 percent cash funded.
* Cash trap provision and excess fund allocations largely channel
surplus funds back to the project.
Credit Challenges
"Development plan is not as originally anticipated which has
resulted in lower reserve levels: Due to delays and cost overruns
by American Eagle, the original IDP was extended by 9 months. One
of the challenges American Eagle encountered was due to the many
obstacles at a site in Maryville including unsuitable topography
and costly infrastructure work.
* However, Forest City has revised the development plan by
acquiring a new site near Lake Stevens, which already has some
improvements such as utilities, curbs, gutters, and sidewalks.
* The acquisition of the Lake Stevens site was funded through the
project's surplus reserve accounts and reductions to the
construction budget.
* Forest City must continue to act expediently and efficiently to
complete the project within the current time and cost
constraints.
* Sale of the undeveloped land at Marysville and other properties
is now anticipated after IDP and stabilization due to softening
real estate market.
* Although Forest City's has been successful in revising the
development plan, the modifications have required expenditure of
construction and other project reserves,reducing capacity to
absorb additional overruns during the remaining IDP and reducing
funds available for capital improvements in the future.
Occupancy rates reduced in certain project neighborhoods:
* Aggregate occupancy for all project areas is 93 percent.
* However, West Sound Area (accounting for 1.339 of 2.984 end-
state units) occupancy has been stressed and averaged
approximately 89 percent in 2008. This is in part attributable
to difficulties in renting 2-bedroom units. Forest City is
addressing this issue by moving down the waterfall to rent to
single sailors and by implementing a marketing plan which
includes rental concessions. The most recent occupancy data for
the West Sound shows that occupancy has improved to 92 percent
in this area.
* Occupancy is solid at East Sound and North Sound, both at 96
percent.
* New cash flow projections indicative of current rating
categories: Revised cash flow projections reviewed by Moody's
indicate coverage estimated at 1.72x on senior bonds and 1.32x
on subordinate bonds, assuming 0 percent growth in income and
expenses; assuming higher vacancy (in connection with the issues
described above with certain property types) coverage falls to
1.52x on the senior bonds and 1.16x on the subordinate bonds, in
line with the ratings being assigned.
Outlook
The outlook for both series of bonds is stable based on the
financial performance of the project thus far, the solid
reputation of Forest City as developer and project manager, real
estate fundamentals that continue to provide a tight rental market
and significant demand for on-base housing, and evidence that
there is enough cash in the project to sustain an extended IDP.
Moody's believes that the project will continue to achieve
projected coverage levels in the near term.
What could change the rating UP
* Completion of construction and a trend of performance at higher
coverage levels for several reporting periods.
What could change the rating DOWN
* Decline in revenue due to continued decline in occupancy, a
significant BAH decrease, pay-grade shift, or lack of demand for
on base housing.
* Delay in construction, or construction costs that exceed
available resources
The last rating action was on November 15, 2007 when the Aa2 and
A2 ratings for the Series 2005A and 2005B bonds were affirmed.
PACIFIC BAY: Moody's Downgrades Ratings on Five Classes of Notes
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings assigned to
five classes of notes issued by Pacific Bay CDO, Ltd.
Pacific Bay CDO, Ltd. is a collateralized debt obligation backed
primarily by a portfolio of Structured Finance securities. The
transaction experienced, as reported by the Trustee on December
10, 2008, an event of default caused by a failure of the Class A/B
Overcollateralization Ratio to be greater than or equal to 100
percent, as described in Section 5.1(i) of the Indenture dated
November 4, 2003.
As provided in Article V of the Indenture during the occurrence
and continuance of an Event of Default, certain parties to the
transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral Debt Securities
and the Notes. Moody's decision to downgrade the ratings of the
above-mentioned Notes reflects the risk that liquidation of the
Collateral may be selected as the post-Event of Default remedy by
the controlling parties. The liquidation of the CDO collateral
may result in a probability of repayment and a severity of loss
that are inconsistent with an investment-grade rating.
The rating action is:
Pacific Bay CDO, Ltd.
-- Class A-1 First Priority Senior Secured Floating Rate Notes
Due 2038, Downgraded to Ba1; previously on 12/23/2008
Downgraded to A3
-- Class A-2 Second Priority Senior Secured Floating Rate Notes
Due 2038, Downgraded to B1; previously on 12/23/2008
Downgraded to Baa1
-- Class B Third Priority Senior Secured Floating Rate Notes Due
2038, Downgraded to Ca; previously on 12/23/2008 Downgraded
to Baa2
-- Class C Mezzanine Secured Floating Rate Notes Due 2038,
Downgraded to C; previously on 12/23/2008 Downgraded to B2
-- Preference Shares, Downgraded to C; previously on 12/23/2008
Downgraded to Caa3
PARCS-R MASTER: Moody's Junks Ratings on Five Classes of Units
--------------------------------------------------------------
Moody's Investors Service has downgraded its ratings of $4,000,000
Class 2007-15 Units, $4,000,000 Class 2007-16 Units, $4,000,000
Class 2007-17 Units , $4,000,000 Class 2007-18 Units and
$4,000,000 Class 2007-19 Units issued by PARCS-R Master Trust.
The transaction is a structured note whose rating changes with the
rating of the Reference Obligation.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for structured notes
as described in Moody's Special Report Below:
-- Moody's Refines Its Approach to Rating Structured Notes (July
1997)
-- Rating Institutional-To-Retail Repackagings: An Application
of Moody's Structured Notes Methodology (May 2002)
The rating action is:
Class Description: $4,000,000 Class 2007-15 Units
-- Current Rating: Caa2
-- Prior Rating: Aa2
-- Prior Rating Date: 01/17/08
Class Description: $4,000,000 Class 2007-16 Units
-- Current Rating: C
-- Prior Rating: A1
-- Prior Rating Date: 07/29/08
Class Description: $4,000,000 Class 2007-17 Units
-- Current Rating: C
-- Prior Rating: Aa3
-- Prior Rating Date: 07/29/08
Class Description: $4,000,000 Class 2007-18 Units
-- Current Rating: C
-- Prior Rating: Baa1
-- Prior Rating Date: 07/29/08
Class Description: $4,000,000 Class 2007-19 Units
-- Current Rating: C
-- Prior Rating: Ba3
-- Prior Rating Date: 07/29/08
PARK PLACE: Moody's Junks Rating on $5 Mil. 2004-MCW1 Certificates
------------------------------------------------------------------
Moody's Investors Service has downgraded its rating of Reference
Notes Referencing US$5,000,000 Park Place Securities, Inc., Asset
Backed Pass-Through Certificates Series 2004-MCW1, Class M9
maturing 2034 issued by Credit Suisse First Boston International.
The transaction is a credit linked note whose rating is based
primarily upon the transaction's structure and the credit quality
of the Reference Obligation.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for structured notes
as described in Moody's Special Report Below:
-- Moody's Refines Its Approach to Rating Structured Notes (July
1997)
-- Rating Institutional-To-Retail Repackagings: An Application
of Moody's Structured Notes Methodology (May 2002)
The rating action is:
Class Description: Reference Notes Referencing US$5,000,000 Park
Place Securities, Inc., Asset Backed Pass-Through Certificates
Series 2004-MCW1, Class M9 maturing 2034
-- Current Rating: C
-- Prior Rating: Baa3
-- Prior Rating Date: 03/10/05
PASS-THROUGH AUCTION: S&P Cuts Ratings on 2007-1 Certs. to 'BB-'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on Pass-
Through Auction Market Preferred Securities Series 2007-1's
$81 million class A and B certificates to 'BB-' from 'A-'.
The ratings on the class A and B certificates are dependent on the
lower of the rating assigned on the two underlying securities, (i)
Merrill Lynch & Co. Inc.'s noncumulative perpetual floating-rate
preferred series 5 notes ('BB-'); and (ii) Merrill Lynch & Co.
Inc.'s noncumulative perpetual floating-rate preferred series 2
notes ('BB-').
The lowered ratings reflect the Feb. 24, 2009, downgrade of the
two underlying securities to 'BBB' from 'A-', and the subsequent
March 3, 2009, downgrade of the securities to 'BB-' from 'BBB'.
PHILADELPHIA AID: S&P Raises 2006 Revenue Bond Ratings From 'BB+'
-----------------------------------------------------------------
Standard & Poor's Ratings Services said it raised to 'BBB-' from
'BB+' its rating on Philadelphia Authority for Industrial
Development, Pennsylvania's tax-exempt fixed-rate revenue bonds,
series 2006, supported by Richard Allen Preparatory Charter
School. The outlook is stable.
"The upgrade reflects the school's maintenance of very good
financial results, which provide good coverage of annual debt
service," said Standard & Poor's credit analyst Corey Friedman.
Other credit factors supporting the rating are adequate liquidity,
improved scores on standardized tests, a well-developed waiting
list, and the school's charter renewal through 2010. These
factors are limited by the inherent uncertainty associated with
charter renewals, given that the final maturity of the bonds
exceeds the time horizon of the existing charter, full enrollment
following relocation to the new facility, and an adequate working
relationship with the local school district, Philadelphia Public
Schools, which is the charter authorizer.
The bonds are secured by a gross revenue pledge and a first deed
of trust on the school's buildings.
RAPCS is in western Philadelphia and serves grades five through
eight. The school currently operates one facility. The charter
was originally granted in 2001 and was renewed in 2005 for an
additional five years.
PPLUS TRUST: S&P Downgrades Rating on $40 Mil. Certs. to 'C'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on PPLUS
Trust Series FMC-1's (Preferred Plus Trust Series FMC-1's) $40
million PPLUS 8.25% trust certificates series FMC-1 to 'C' from
'CCC-'.
The rating action follows the March 4, 2009, lowering of S&P's
rating on Ford Motor Co.'s 7.45% senior unsecured notes due
July 16, 2031, to 'C' from 'CCC-'.
The rating on the series FMC-1 certificates is dependent on the
rating on the Ford notes.
PREFERRED PASS-THROUGH: S&P Cuts Ratings on 2006-B Certs. to 'BB-'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on
Preferred Pass-Through Trust 2006-B's class A and B certificates
to 'BB-' from 'A-'.
The ratings on the class A and B certificates are dependent on the
rating assigned to the underlying security, Bank of America
Corp.'s perpetual floating-rate noncumulative preferred stock
series E notes ('BB-').
The lowered ratings reflect the Feb. 24, 2009, downgrade of the
underlying security to 'BBB' from 'A-', and the subsequent
March 3, 2009, downgrade to 'BB-' from 'BBB'.
PREFERREDPLUS TRUST: S&P Cuts Rating on $50 Mil. Certs. to 'C'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on
PreferredPLUS Trust Series FRD-1's $50 million 7.40% trust
certificates series FRD-1 to 'C' from 'CCC-'.
The rating action reflects the March 4, 2009, lowering of S&P's
rating on Ford Motor Co.'s 7.4% debentures due Nov. 1, 2046, the
underlying security, to 'C' from 'CCC-'.
The rating on the series FRD-1 certificates is dependent on the
rating on the underlying security.
PREFERREDPLUS TRUST: S&P Cuts Rating on $33.53 Mil. Certs. to 'B+'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on
PreferredPLUS Trust Series BLC-2's $33.53 million 8.0% trust
certificates series BLC-2 to 'B+' from 'BB-'.
The rating action reflects the March 6, 2009, lowering of S&P's
rating on Belo Corp.'s 7.25% debentures due 2027, the underlying
security, to 'B+' from 'BB-'.
The rating on the series BLC-2 certificates is dependent on the
rating on the underlying security.
PREFERREDPLUS TRUST: S&P Cuts Rating on $33.146 Mil. Certs. to B+
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on
PreferredPLUS Trust Series BLC-1's $33.146 million 7.875% trust
certificates series BLC-1 to 'B+' from 'BB-'.
The rating action reflects the March 6, 2009, lowering of S&P's
rating on Belo Corp.'s 7.25% debentures due 2027, the underlying
security, to 'B+' from 'BB-'.
The rating on the series BLC-1 certificates is dependent on the
rating on the underlying security.
PUBLIC STEERS: S&P Downgrades Rating on 1998 F-Z4 Certs. to 'C'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on Public
STEERS Series 1998 F-Z4 Trust's $231.903 million class A and B
certificates series 1998 F-Z4 to 'C' from 'CCC-'.
The rating actions reflect the March 4, 2009, lowering of S&P's
rating on Ford Motor Co.'s 7.7% debentures due May 15, 2097, the
underlying security, to 'C' from 'CCC-'.
The ratings on the series 1998 F-Z4 certificates are dependent on
the rating on the underlying security.
RESTRUCTURED ASSET: Moody's Downgrades Rating on 2002-10-TR Certs.
------------------------------------------------------------------
Moody's Investors Service has downgraded its rating of
Restructured Asset Certificates with Enhanced Returns, Series
2002-10-TR Certificates issued by Restructured Asset Certificates
with Enhanced Returns, Series 2002-10-TR Trust.
The transaction is a repackaged security whose rating is based
primarily upon the transaction's structure and the credit quality
of the Reference Obligation, Swap Counterparty and Underlying
Asset.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for repackaged
securities as described in Moody's Special Report Below:
-- Moody's Refines Its Approach to Rating Structured Notes (July
1997)
-- Rating Institutional-To-Retail Repackagings: An Application
of Moody's Structured Notes Methodology (May 2002)
The rating action is:
Class Description: Restructured Asset Certificates with Enhanced
Returns, Series 2002-10-TR Certificates
-- Current Rating: Caa2 on review for possible downgrade
-- Prior Rating: A3 on review for possible downgrade
-- Prior Rating Date: 07/07/08
RESTRUCTURED ASSET: Moody's Downgrades Rating on 2001-21-E Notes
----------------------------------------------------------------
Moody's Investors Service has downgraded its rating of
Restructured Asset Securities with Enhanced Returns, Series 2001-
21-E Notes issued by Restructured Asset Securities with Enhanced
Returns Series 2001-21-E Trust.
The transaction is a repackaged security whose rating is based
primarily upon the transaction's structure and the credit quality
of the Deposited Assets.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for repackaged
securities as described in Moody's Special Report Below:
-- Moody's Refines Its Approach to Rating Structured Notes (July
1997)
-- Rating Institutional-To-Retail Repackagings: An Application
of Moody's Structured Notes Methodology (May 2002)
-- Rating CDO Repacks: An Application Of The Structured Note
Methodology (February 2004)
-- Using the Structured Note Methodology to Rate CDO Combo-Notes
(February 2004)
The rating action is:
Class Description: Restructured Asset Securities with Enhanced
Returns, Series 2001-21- E Notes
-- Current Rating: Caa1
-- Prior Rating: A3
-- Prior Rating Date: 08/02/01
RESTRUCTURED ASSET: Moody's Downgrades Ratings on 2006-6-E Certs.
-----------------------------------------------------------------
Moody's Investors Service has downgraded its rating of
Restructured Asset Certificates with Enhanced Returns, Series
2006-6-E Certificates issued by Restructured Asset Certificates
with Enhanced Returns, Series 2006-6-E Trust.
The transaction is a repackaged security whose rating is based
primarily upon the transaction's structure and the credit quality
of the Underlying Securities.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for repackaged
securities as described in Moody's Special Reports Below:
-- Moody's Refines Its Approach to Rating Structured Notes (July
1997)
-- Rating Institutional-To-Retail Repackagings: An Application
of Moody's Structured Notes Methodology (May 2002)
-- Rating CDO Repacks: An Application Of The Structured Note
Methodology (February 2004)
-- Using the Structured Note Methodology to Rate CDO Combo-Notes
(February 2004)
The rating action is:
Class Description: Restructured Asset Certificates with Enhanced
Returns, Series 2006-6-E Certificates
-- Current Rating: Ca
-- Prior Rating: A2
-- Prior Rating Date: 07/20/06
RIDGEWAY COURT: Moody's Comments on Novation Agreement Entry
------------------------------------------------------------
Moody's Investors Service has determined that the entry into and
execution of a novation agreement dated as of March 27, 2009 among
Ridgeway Court Funding I, Ltd. as Issuer; Citigroup Financial
Products, Inc. as Counterparty; Wells Fargo Bank, National
Association as Trustee; Credit Suisse Alternative Capital, Inc. as
Collateral Manager; and Deutsche Bank AG, London Branch as
Transferee, will not, in and of itself, result in the reduction,
withdrawal or other adverse action with respect to its current
ratings on these notes issued by Ridgeway Court Funding I, Ltd.:
-- US$1,000,000,000 Class AIM Floating Rate Notes Due 2046,
B2, Under Review for Possible Downgrade; Previously on
December 16, 2008 downgraded to B2 and Placed Under Review
for Possible Downgrade;
-- US$600,000,000 Class A1Q Floating Rate Notes Due 2046, B2,
Under Review for Possible Downgrade; Previously on December
16, 2008 downgraded to B2 and Placed Under Review for
Possible Downgrade;
-- US$160,000,000 Class A2 Floating Rate Notes Due 2046, Ca;
Previously on December 16, 2008 downgraded to Ca;
-- US$128,000,000 Class A3 Floating Rate Notes Due 2046, Ca;
Previously on February 5, 2008 downgraded to Ca;
-- US$46,000,000 Class A4 Floating Rate Notes Due 2046, C;
Previously on May 23, 2008 downgraded to C;
-- US$35,000,000 Class B Deferrable Floating Rate Notes Due
2046, C; Previously on May 23, 2008 downgraded to C; and
-- US$13,000,000 Class C Deferrable Floadng Rate Notes Due
2046, C; Previously on May 23, 2008 downgraded to C.
On July 27, 2006, Citigroup Financial Products Inc. and the Issuer
entered into two interest rate swaps, as documented by an ISDA
Master Agreement, Schedule and Credit Support Annex thereto and
related confirmation.
On February 27, 2009, Moody's downgraded the Senior Unsecured
rating of Citigroup Inc. to A3. The downgrade of Citigroup Inc.,
which acts as a guarantor to the Counterparty in the transaction,
triggered a Substitution Event under the Swap Documentation.
Following a Substitution Event, the Counterparty must, within a
specific period, transfer its rights and obligations to a new swap
counterparty, which satisfies the Hedge Counterparty Rating
Requirements under the Swap Documentation. Moody's reviewed the
Novation Agreement, which provides for the transfer of all
Counterparty's rights and obligations under the Swap Documentation
to Deutsche Bank AG, London Branch.
As of the date of this press release, Deutsche Bank AG, has a
Senior Unsecured rating of Aa1 and a short-term rating of P-1,
both of which meet the Hedge Counterparty Rating Requirements. In
Moody's opinion, although the novation could potentially have cash
flow implications for the noteholders, Moody's analysis has
concluded that such novation would not lead to a reduction,
withdrawal or other adverse action with respect to the current
Moody's ratings of the Notes.
Many CDO documents (to which Moody's is never a party) specify
that, in order to amend the documents, Issuer must obtain an
opinion from the rating agencies that the proposed amendment would
not in and of itself result in the related ratings being
downgraded or withdrawn at the time of the amendment. This type
of provision is typically referred to in the CDO indenture as a
"rating agency condition" or "RAC". Moody's is never obligated to
provide a RAC and the decision whether or not to issue a RAC lies
entirely within Moody's sole discretion.
Before providing a RAC for an amendment, the proposal will be
reviewed by a Moody's credit committee which will consider, among
other things, the performance of the specific CDO and collateral
manager as well as the specifics of the proposed amendment and the
particular structure of the CDO. A RAC is purely an opinion as of
the point in time at which the RAC is provided, that the proposed
amendment in isolation does not introduce sufficient additional
credit risk so as to negatively impact the related ratings. In
other words, it does not consider the impact of other factors on
the ratings, such as collateral deterioration. Also, the RAC does
not address any other, non-credit related impact that the
amendment might have. Moody's further emphasizes that a RAC is
not a substituted for noteholder consent or for independent
analyses by noteholders of the impact on them of any proposed
amendment.
Originally rated on July 27, 2006, Ridgeway Court Funding I, Ltd.
is an ABS CDO currently managed by Credit Suisse Alternative
Capital, Inc.
SATURNS TRUST: S&P Downgrades Rating on 2001-6 Units to 'BB-'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on SATURNS
Trust Series 2001-6's $63 million class units to 'BB-' from 'A-'.
The rating on the class units is dependent on the lower of the
rating assigned to (i) the underlying security, BankAmerica
Institutional Capital A's 8.07% capital securities series A notes
due Nov. 30, 2026, ('BB-'); and (ii) the swap guarantor, Morgan
Stanley (A/Negative/A-1).
The lowered rating reflects the Feb. 24, 2009, downgrade of the
underlying security to 'BBB' from 'A-', and the subsequent
March 3, 2009, downgrade to 'BB-' from 'BBB'.
SATURNS TRUST: S&P Downgrades Rating on $75 Mil. Units to 'C'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on SATURNS
Trust No. 2003-5's $75 million Ford Motor Co. debenture-backed
8.125% callable units series 2003-5 to 'C' from 'CCC-'.
The rating action reflects the March 4, 2009, lowering of S&P's
rating on Ford Motor Co.'s 7.45% debentures due July 16, 2031, the
underlying security, to 'C' from 'CCC-'.
The rating on the series 2003-5 units is dependent on the rating
on the underlying security.
SERVES 2006-1: Fitch Junks Ratings on Five Classes of Notes
-----------------------------------------------------------
Fitch Ratings downgrades 5 classes of notes issued by SERVES
2006-1 and removes two classes of notes from Rating Watch
Negative.
These rating actions are effective immediately:
-- $157,500,000 class A-1 revolving notes affirmed at 'B' and
removed from Rating Watch Negative;
-- $312,500,000 class A-2 notes downgraded to 'CCC' from 'B' and
removed from Rating Watch Negative;
-- $29,167,000 class B notes downgraded to 'CC' from 'CCC';
-- $50,000,000 class C notes downgraded to 'CC' from 'CCC';
-- $2,080,000 class D-1 notes downgraded to 'CC' from 'CCC';
-- $2,087,000 class D-2 notes, downgraded to 'CC' from 'CCC'.
As the transaction has breached its Threshold Value Event test, it
could result in a liquidation if left uncured. However, after an
earlier breach in February 2008, the TVE test was cured when an
additional $90,000,000 of class X notes (unrated) were added to
the transaction. The class X notes are junior to the class A-1
and A-2 notes but senior to the class B, C, D-1 and D-2 notes. At
that time, the effect of this new class was to increase the amount
of market value declines the transaction could withstand before a
termination event occurs. Due to subsequent decreases in loan
prices, the transaction has again breached its TVE test.
Assuming a liquidation, the Fitch calculated cushion between the
current market value of the assets and the class A-1 and A-2
outstanding note balance is consistent with a 'CCC' rating.
However, class A-1, which is pari passu for losses with the class
A-2 notes, but currently undrawn, is rated 'B' given that it can
only be redrawn if the TVE test is cured. If the TVE test is
cured, the amount of cushion would be consistent with Fitch's 'B'
stress scenario.
While the class B, C, D-1, and D-2 notes do have par coverage,
they do not have any market value coverage to protect against a
liquidation and are therefore downgraded to 'CC'.
SERVES 2006-1 is a total rate of return collateralized loan
obligation (CLO) with a market value termination trigger. The
transaction closed on Feb. 24, 2006 and is managed by PPM America
Inc.
The ratings of the class A-1, A-2, B, and C notes address the
likelihood that investors will receive full and timely payments of
interest and ultimate receipt of principal by the scheduled
maturity date. The ratings of the class D-1 and D-2 notes address
the return of principal by the final maturity date.
SHERWOOD FUNDING: Moody's Downgrades Rating on $20 Mil. Units
-------------------------------------------------------------
Moody's Investors Service has downgraded its rating of $20,000,000
of Units issued by Sherwood Funding CDO, Ltd. Class 2 Trust.
The transaction is a repackaged security whose rating is based
primarily upon the transaction's structure and the credit quality
of the Trust Assets.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for repackaged
securities as described in Moody's Special Reports Below:
-- Moody's Refines Its Approach to Rating Structured Notes (July
1997)
-- Rating Institutional-To-Retail Repackagings: An Application
of Moody's Structured Notes Methodology (May 2002)
-- Rating CDO Repacks: An Application Of The Structured Note
Methodology (February 2004)
-- Using the Structured Note Methodology to Rate CDO Combo-Notes
(February 2004)
The rating action is:
Class Description: $20,000,000 of Units
-- Current Rating: C
-- Prior Rating: Baa2
-- Prior Rating Date: 10/26/04
SORIN REAL ESTATE: Moody's Cuts Ratings on 10 Classes of Notes
--------------------------------------------------------------
Moody's Investors Service downgraded the ratings of ten classes of
Notes issued by Sorin Real Estate CDO II Ltd. The rating actions
are:
-- Class A, $70,000,000, Floating Rate Notes Due 2038,
downgraded to Baa3 from Aaa; previously on 12/19/2008 Placed
Under Review for Possible Downgrade
-- Class B, $36,000,000, Floating Rate Notes Due 2041,
downgraded to Ba3 from Aa2; previously on 12/19/2008 Placed
Under Review for Possible Downgrade
-- Class C, $33,000,000, Floating Rate Notes Due 2041,
downgraded to B2 from A2; previously on 12/19/2008 Placed
Under Review for Possible Downgrade
-- Class D, $27,000,000, Floating Rate Notes Due 2041,
downgraded to Caa1 from Baa2; previously on 12/19/2008 Placed
Under Review for Possible Downgrade
-- Class E, $7,800,000, Floating Rate Notes Due 2041, downgraded
to Caa1 from Baa3; previously on 12/19/2008 Placed Under
Review for Possible Downgrade
-- Class F, $6,600,000, Floating Rate Notes Due 2041, downgraded
to Caa2 from Ba1; previously on 12/19/2008 Placed Under
Review for Possible Downgrade
-- Class G, $10,200,000, Floating Rate Notes Due 2041,
downgraded to Caa2 from Ba2; previously on 12/19/2008 Placed
Under Review for Possible Downgrade
-- Class H, $7,500,000, Floating Rate Notes Due 2041, downgraded
to Caa2 from Ba3; previously on 12/19/2008 Placed Under
Review for Possible Downgrade
-- Class X, $168,255,436, Floating Rate Notes Due 2013,
downgraded to Baa3 from Aaa; previously on 12/19/2008 Placed
Under Review for Possible Downgrade
-- Investor Swap, $357,730,042, Floating Rate Notes Due 2013,
downgraded to A3 from Aaa; previously on 12/19/2008 Placed
Under Review for Possible Downgrade
Moody's downgraded all Classes due to deteriorating pool
performance and revised modeling parameters, as outlined below.
The pool contains a 92.0% concentration in CMBS reference
obligations all of which was issued between 2004 and 2005. The
remaining reference obligations include REIT debt. The overall
average current credit quality of the reference obligations is
approximately B1/B2.
Moody's expects the aggregate default rate on CMBS loans (1.32% as
of February 2009) to revert to its long-term historical average of
1.5% to 2.0% in 2009, and most likely to surpass this level as the
market begins to form a bottom in 2010 and 2011. Commercial
property values, which have declined about 16% from the peak
reached in October 2007, are expected to decline an additional 10
to 20% over the next 18 to 24 months.
Moody's has revised three key parameters in Moody's model for
rating and monitoring commercial real estate collateralized debt
obligations - asset correlation, default probability, and recovery
rate. These revisions are generally consistent with recent
revisions to the key parameter assumptions for rating and
monitoring other collateralized debt obligation transactions
backed by structured finance securities.
Moody's has updated Moody's asset correlation assumption for the
commercial real estate sector to be consistent with one of Moody's
CDO rating models, CDOROM v2.5 (released on February 3, 2009),
which incorporates these new parameters. However, for CRE CDOs
with non-CUSIP collateral, Moody's is reducing the maximum over
concentration stress applied to correlation factors by half due to
the diversity of tenants, property types, and geographic locations
inherent in the collateral pools. Previously, the average asset
correlations used for CMBS within CRE CDO deals ranged between 15%
and 35%, depending on vintage and issuer diversity. In light of
the systemic seizure of the credit markets, as well as higher
intra industry and inter industry asset correlations, the updated
correlation parameters for CRE CDOs will imply an average range of
asset correlations of between 30% and 60% for the underlying
collateral.
Moody's has previously stated that CRE CDO deals with collateral
concentrations in CMBS certificates will likely be among the first
transactions to be affected by credit issues that arise, and that
the additional leverage inherent in these deals creates the
potential for greater ratings transitions compared to that of a
first order transaction (i.e., those containing non-CUSIP assets).
For CRE CDOs with CUSIP collateral, the additional default
probability stress sometimes applied to resecuritization
collateral will not be applied to Moody's review of conduit and
fusion commercial mortgage backed securities collateral from the
2006 to 2008 vintages due to a recent ratings sweep of these
transactions. Based on Moody's current expectations for
commercial real estate performance, Moody's has migrated the
ratings for recent vintage CMBS to levels that Moody's believe
will remain relatively stable for the next 12 to 24 months. As
such, Moody's has eliminated the vintage stress factor and default
probability resecuritization stress from its analysis of deals
with recent vintage CMBS collateral.
For deals with pre-2006 CMBS collateral, Moody's is adopting the
default probability resecuritization stress assumptions contained
within CDOROM v2.5 to capture the leveraging effect and potential
ratings volatility of the underlying collateral. For CMBS, this
factor is equivalent to two times the probability of default for
non-Aaa and six times the PD for Aaa-rated collateral. For CRE
CDOs, this factor is equivalent to four times the probability of
default for non-Aaa and twelve times the PD for Aaa-rated
collateral. The lower stress for CMBS is due to the historical
stable performance of this asset class.
For CRE CDOs with non-CUSIP collateral, Moody's is eliminating the
additional default probability stress in CDOROM v2.5 that is
applied to corporate debt as Moody's anticipate that the
underlying non-CMBS collateral will experience lower default rates
and higher recovery rates. In addition, Moody's is reducing the
maximum over concentration stress applied to correlation factors
by half due to the diversity of tenants, property types, and
geographic locations inherent in the collateral pools. For those
deals that are significantly less diversified, Moody's will add
back over concentration stress as warranted.
In Moody's analysis of synthetic CRE CDOs, it historically
employed a fixed recovery rate by the asset's original rating and
tranche size. Moody's current analysis uses a simulation based
mean recovery rate based on the asset's current rating and tranche
size. This is consistent with the assumptions underlying CDOROM
v2.5. With this more robust approach, Moody's expects to capture
in Moody's ratings more of the tail risk associated with
variability of recovery rates.
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. This is Moody's first review since
securitization.
SKY FINANCIAL: S&P Corrects Ratings on Two Classes to 'BB'
----------------------------------------------------------
Standard & Poor's Ratings Services said that it corrected its
ratings on certain issues of Sky Financial Capital Trust I and Sky
Financial Capital Trust III to bring them in line with those of
parent Huntington Bancshares Inc., which acquired them in July
2007.
In addition, the ratings on certain individual issues of
Huntington Bancshares and Huntington National Bank that were
originally issued under Sky are also corrected. These changes are
not downgrades but rather error corrections.
Sky Financial Capital Trust I
To From
-- ----
$60 million Capital Securities Series A BB BBB-
Sky Financial Capital Trust III
To From
-- ----
$75 million floating-rate Jr. Sub. Notes BB BBB-
Huntington Bancshares
To From
-- ----
$50 million 5.35% sub notes due 4/1/2013 BBB- BBB
Huntington National Bank
To From
-- ----
$65 million 6.125% sub notes due 10/1/2012 BBB BBB+
SOUTH STREET: Fitch Changes Ratings on 1999-1 Classes of Notes
--------------------------------------------------------------
Fitch Ratings has revised the Recovery Rating on the classes of
notes issued by South Street CBO 1999-1, Ltd./Corp.:
-- $16,983,465 class A-2 notes revised to 'CC/RR5' from
'CC/DR4';
-- $25,475,198 class A-2L notes revised to 'CC/RR5' from
'CC/DR4';
-- $45,500,000 class A-3 notes revised to 'C/RR6' from 'C/DR5'.
South Street CBO 1999-1, a collateralized bond obligation managed
by Colonial Management Associate, Inc., closed on June 3, 1999.
The final maturity of the transaction is June 1, 2011. Payments
are made semi-annually in January and June and the reinvestment
period ended in June 2003. The proceeds of the issuance are
invested in a portfolio of U.S. high yield bonds.
The downward revision to the RR on the class A-2, A-2L and A-3
notes is the result of a lower recovery expectation for the
remaining securities in the portfolio and the significant
undercollateralization of the classes. According to the March 17,
2009 trustee report, the portfolio collateral balance was $49.4
million, of which $32.5 million was defaulted. Additionally, both
the class A overcollateralization and class B OC tests continue to
fail their covenants. The class A OC test failed at 11.7% with a
trigger of 115% and the class B OC failed at 8.95% with a trigger
of 109%.
The ratings for the class A-2, A-2L and A-3 notes address the
timely payment of interest at the coupon rate and the ultimate
payment of principal by the maturity date.
The Distressed Recovery Rating on the classes of notes has been
revised to RR to reflect Fitch's updated Rating Definitions
Criteria released March 3, 2009.
SOUTH STREET: Fitch Downgrades Ratings on Two 2000-1 Notes to 'B'
-----------------------------------------------------------------
Fitch Ratings has downgraded two and revised the Recovery Rating
on the classes of notes issued by South Street CBO 2000-1
Ltd./Corp. These rating actions are effective immediately:
-- $5,023,123 class A-3L notes downgrade to 'B/RR1' from 'BB-';
-- $10,046,241 class A-3 notes downgrade to 'B/RR1' from 'BB-';
-- $20,000,000 class A-4L notes revised to 'CC/RR6' from
'CC/DR4';
-- $8,000,000 class A-4A notes revised to 'CC/RR6' from
'CC/DR4';
-- $10,000,000 class A-4C notes revised to 'CC/RR6' from
'CC/DR4';
-- $15,000,000 class B-1 notes revised to 'C/'RR6' from 'C/DR6';
-- $4,198,658 class B-2 notes revised to 'C/'RR6' from 'C/DR6'.
South Street 2000-1, a collateralized bond obligation managed by
Colonial Management Associate, Inc. closed on May 3, 2000. The
final maturity for this transaction is May 2012. The proceeds of
the issuance are invested in a portfolio of U.S. high yield bonds.
The transaction is currently in an event of default due to the
failure to maintain any of the overcollateralization tests at
least equal to 90% of the OC trigger. Payments are made semi-
annually in May and November and the reinvestment period ended May
2004.
According to the March 17, 2009 trustee report, the class A OC
test failed at 44.55% with a trigger of 110% and the class B OC
test failed at 25.92% with a trigger of 103%. The interest
coverage test failed at 45.8% with a trigger of 120%.
The downgrade to the class A-3L and A-3 notes is due to the
decrease in credit enhancement available to the class. The
trustee reported negligible cash in the principal collections
account and a portfolio collateral balance of $37.5 million, of
which $14.3 million is defaulted. Fitch expects the A-4 notes,
B-1, and B-2 notes to recover little to no principal at maturity.
On the Nov. 30, 2008 payment date, principal proceeds were used to
pay the remaining interest on the class A-4 notes. The class B-1
and B-2 notes were cut off from all interest payments due to
insufficient funds and the failure of the OC test, which is
redirecting cash flow to redeem the class A-3 notes. Fitch
anticipates this trend to continue, with continual leakage of
scheduled principal proceeds to pay interest on the class A-4
notes.
The ratings on the class A notes address the timely payment of
interest and principal. The ratings on the class B notes address
the ultimate payment of principal and interest.
The Distressed Recovery Rating on the classes of notes has been
revised to RR to reflect Fitch's updated Rating Definitions
Criteria released March 3, 2009.
Fitch's current and revised criteria for rating corporate CDOs was
released on April 30, 2008. However, due to the high obligor
concentration within the portfolio, Fitch used a more
deterministic approach in analyzing the portfolio rather than
utilizing the Corporate Portfolio Credit Model. Fitch's
probability of default was based upon issuer default ratings and
term to maturity. The recovery rates were based either upon
specified underlying securities' RR, comparable recovery ratings,
or the PCM assumed recovery rate depending upon the seniority of
each of the underlying bonds.
SPARKS REGIONAL: Letter of Intent Won't Move Moody's 'Caa1' Rating
------------------------------------------------------------------
Moody's Investors Service will not take immediate rating action on
the Caa1 rating assigned to Sparks Regional Medical Center's
Series 2001 bonds ($53.1 million outstanding; fixed rate debt)
following the recent announcement of the signing of a letter of
intent with for-profit Jackson Hospital Affiliates, LLC a subsidy
of Jackson Healthcare (headquartered in Alpharetta, Georgia). The
non-binding LOI speaks to the potential acquisition of Sparks by
Jackson. Both parties are conducting due diligence with a goal of
finalizing and signing a definitive agreement by mid-May.
At this time, it is unclear how Sparks' outstanding bonds will be
handled if the acquisition occurs. However, Jackson Healthcare
has announced that the definitive agreement will address the
hospital's outstanding bonds. Any rating action will depend on
Moody's assessment of Jackson Hospital Affiliates ability to repay
the outstanding debt in full. If either of the parties decides
not to proceed with the acquisition, Moody's will assess Sparks'
other options and take rating action if necessary.
Sparks continues to make its regularly scheduled principal and
interest payments and the debt service reserve fund remain fully
funded
Rated Debt (debt outstanding as of December 31, 2008):
-- Series 2001; fixed rate ($53.1 million outstanding) rated
Caa1
The last rating action was on January 28, 2009 when the rating of
Sparks Regional Medical Center was downgraded to Caa1 from B2 and
removed from Watchlist.
ST LOUIS IDA: S&P Junks Rating on Revenue Bonds from 'AA+'
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on St. Louis
County Industrial Development Authority, Missouri's health care
facilities revenue bonds (Ginne Mae Collateralized--Mary Queen and
Mother Association Project) series 2001 18 notches to 'CC' from
'AA+'. The outlook is negative.
"The downgrade reflects what S&P considers to be insufficient
assets available to pay debt service to bondholders," said
Standard & Poor's credit analyst Renee Berson.
Total assets of $10.933 million as of March 23, 2009, consisted of
$10.878 million in mortgage-backed securities and a revenue
account of $55,767. Outstanding liabilities of $10.970 million
bonds consist of $615,000 in serial bonds earning 4.75%-4.80% and
$10.355 million in term bonds earning 5.0%-5.50%, resulting in an
asset-to-liability ratio of 99.67%. The bond fund is invested in
a 'AA+' rated FGIC Capital Market guaranteed investment contract
guaranteed by General Electric Capital Corp. The mortgage-backed
security has a pass-through rate of 5.45%. The transaction was
structured with an open flow of funds when the bond fund exceeds
$50,000.
The trustee, UMB Bank & Trust N.A., is aware that the bonds are
not in parity. If the mortgage-backed security prepays prior to
the issue reaching parity, Standard & Poor's believes there will
be insufficient funds available to pay full principal and interest
on the bonds.
STEERS SERIES: Moody's Junks Ratings on 2004-1 Notes from 'Ba3'
---------------------------------------------------------------
Moody's Investors Service has downgraded its rating of notes
issued by Steers Series 2004-1, a collateralized debt obligation
transaction referencing a portfolio of corporate entities.
Moody's explained that the rating actions taken are the result of
(i) the application of revised and updated key modeling parameter
assumptions that Moody's uses to rate and monitor ratings of
Corporate Synthetic CDOs and (ii) the deterioration in the credit
quality of the transaction's reference portfolio. The revisions
affect key parameters in Moody's model for rating Corporate
Synthetic CDOs: default probability, asset correlation, and other
credit indicators such as ratings reviews and outlooks.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for Corporate
Synthetic CDOs as described in Moody's Special Report below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (March 2009)
The rating action is:
Class Description: US$19,000,000 Certificates
-- Current Rating: Caa3
-- Prior Rating Date: December 22, 2008
-- Prior Rating: Ba3, under review for possible downgrade
SWON CDO: Moody's Upgrades Ratings on Class A Senior 2015 Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded this class of notes issued
by Swon CDO Ltd.:
-- US$287,172,066 Class A Senior Secured Floating Rate Term
Notes Due 2015, Upgraded to Aa1; previously on 11/16/2008
Downgraded to Baa1
The rating on Class A Notes reflects the actual underlying rating
of the Class A Notes. This underlying rating is based solely on
the intrinsic credit quality of the Class A Notes in the absence
of the guarantee from MBIA, whose insurance financial strength
rating was downgraded to B3 on February 18, 2009. The above
actions is a result of, and is consistent with, Moody's modified
approach to rating structured finance securities wrapped by
financial guarantors as described in the press release dated
November 10, 2008.
TALCOTT NOTCH: Fitch Upgrades Ratings on Class B-1 to 'BB'
----------------------------------------------------------
Fitch Ratings has upgraded one class and revised the Recovery
Rating on one class of note issued by Talcott Notch CBO Ltd.
These rating actions are effective immediately:
-- $6,581,084 class B-1 upgraded to 'BB', Positive Outlook from
'B+', Positive Outlook;
-- $12,000,000 class B-2L remain at 'C' and revise 'DR6' to
'RR3'.
Talcott is a collateralized debt obligation that closed Oct. 20,
1999 and is managed by General Re-New England Asset Management,
Inc. The proceeds of the issuance are invested in a portfolio of
U.S high yield loans and bonds. Payments are made semi-annually
in April and October and the reinvestment period ended in October
2003.
The upgrade to class B-1 and recovery revision on class B-2L is
due to the significant deleveraging in the capital structure
increasing credit enhancement to the notes. Since the last review
in May 2007, the classes A-3L, A-3B Accreted, and A-4 notes have
paid in full. Furthermore, the class B overcollateralization test
which failed at the last review is currently passing its trigger
of 103%.
According to the Oct. 30, 2008 payment date, interest proceeds
were used to pay the full interest payment due on the class B-1
and B-2L notes. However, both classes have interest shortfall
amounts that have been accruing from past payment periods and it
is likely that the class B-2L notes will be cut off from interest
proceeds once the class B-1 interest shortfall amount begins to
pay down.
The ratings of the class B-1 notes and B-2L notes address the
likelihood that investors will receive the cumulative interest
amount, as per the governing documents, as well as the aggregate
principal amount at the final maturity date.
The Distressed Recovery Rating on the classes of notes has been
revised to a Recovery Rating to reflect Fitch's updated Rating
Definitions Criteria released March 3, 2009.
Fitch's current and revised criteria for rating corporate CDOs was
released on April 30, 2008. However, due to the high obligor
concentration within the portfolio, Fitch used a more
deterministic approach in analyzing the portfolio rather than
utilizing the Corporate Portfolio Credit Model. Fitch's
probability of default was based upon issuer default ratings and
term to maturity. The RRs were based either upon specified
underlying securities' RR, comparable recovery ratings, or the PCM
assumed recovery rate depending upon the seniority of each of the
underlying bonds.
TERRA CDO: S&P Raises Rating on $65 Mil. Notes to 'A' from 'BB'
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on Terra CDO
SPC Ltd.'s $65 million class A1 floating-rate notes series 2007-2
due 2014 to 'A' from 'BB'.
The rating action follows Terra CDO SPC's termination of the
credit default swap with Goldman Sachs Capital Markets L.P. on
March 26, 2009.
In addition, the interest amount payable on the notes was lowered
to three-month LIBOR plus 0.025% from three-month LIBOR plus
0.605% because the credit default swap was removed. The new
interest amount is scheduled to be paid from the underlying
collateral.
TERWIN MORTGAGE: Moody's Cuts Ratings on 10 2007-QHL1 Tranches
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of ten
tranches issued in Terwin Mortgage Trust 2007-QHL1. The
collateral backing each tranche consists primarily of first lien
adjustable-rate and fixed-rate "scratch and dent" subprime
mortgage loans, i.e. subprime loans underwritten with various
exceptions to the originator's guidelines and with delinquency
issues either before or at closing.
The actions are triggered by higher than anticipated rates of
delinquency, foreclosure, and Real Estate Owned, increasing
severities, and slower prepayment rates for the underlying
collateral relative to currently available credit enhancement
levels. They are part of Moody's on-going review process.
The ratings on the securities are monitored by evaluating factors
determined to be applicable to the credit profile of the
securities, such as i) the nature, sufficiency, and quality of
historical performance information regarding the asset class ii)
an analysis of the collateral being securitized, iii) an analysis
of the transaction's allocation of collateral cash flow and
capital structure, and (iv) a comparison of these attributes
against those of other similar transactions.
General loss estimation methodology is outlined below.
For recent vintages (2005 and later), Moody's calculates estimated
losses for Scratch and Dent RMBS in a two-step process. First,
serious delinquencies are projected through late 2009, primarily
based upon recent performance. These projected delinquencies are
converted into projected losses using lifetime roll rates (the
probability of transition to default) averaging 60% for 60-day
delinquencies, 90% for delinquencies greater than 90 days, 100%
for foreclosure and 100% for REO, and severity assumption based on
the higher of actual severities and 65%.
The second step is to determine losses beyond 2009. Depending on a
deal's performance, as well as collateral credit characteristics,
such as loan type, or loan-to-value ratios and geographic
concentrations of remaining current loans, Moody's assumes varying
degrees of slowing in the loss rate (which is measured by loss-to-
liquidation) for the remaining life of the deal. Typical degrees
of slowing in loss rate after late 2009 range from 15% to 35%.
Loss estimates are subject to variability and, as a result,
realized losses could ultimately turn out higher or lower than
Moody's current expectations. Moody's will continue to evaluate
performance data as it becomes available and will assess the
pattern of potential future defaults and adjust loss expectations
accordingly if necessary.
Complete rating actions are:
Issuer: Terwin Mortgage Trust 2007-QHL1
-- Cl. A-1, Downgraded to Caa3; previously on 10/29/2007
Assigned Aaa
-- Cl. G, Downgraded to Caa3; previously on 10/29/2007 Assigned
Aaa
-- Cl. M-1, Downgraded to C; previously on 10/29/2007 Assigned
Aa1
-- Cl. M-2, Downgraded to C; previously on 10/29/2007 Assigned
Aa2
-- Cl. M-3, Downgraded to C; previously on 10/29/2007 Assigned
A1
-- Cl. M-4, Downgraded to C; previously on 10/6/2008 A2 Placed
Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on 10/6/2008 Baa1 Placed
Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on 10/6/2008 Baa2 Placed
Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C; previously on 10/6/2008 Baa3 Placed
Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C; previously on 10/6/2008 Ba2 Placed
Under Review for Possible Downgrade
TIMES SQUARE: S&P Puts 'BB+' Rating on Negative CreditWatch
-----------------------------------------------------------
Standard & Poor's Ratings Services placed its 'BB+' rating on
Times Square Hotel Trust's mortgage and lease amortizing
certificates on CreditWatch with negative implications.
The action follows the March 27, 2009, CreditWatch placement of
the corporate credit rating on Starwood Hotels & Resorts Worldwide
Inc.
The rating on the Times Square Hotel Trust transaction is based on
the payments and obligations of Starwood pursuant to a triple-net
lease of the W New York - Times Square Hotel on Broadway at 47th
Street in Manhattan.
TOWER HILL: Moody's Downgrades Ratings on Five Classes of Notes
---------------------------------------------------------------
Moody's Investors Service has downgraded its ratings of five
Classes of Notes issued by Tower Hill CDO, Ltd., a synthetic
collateralized debt obligation transaction. Tower Hill CDO, Ltd.
synthetically references seven bespoke corporate synthetic CDOs,
each of which references a portfolio of corporate entities.
Class Description: US$100,000,000 Class A-1 Senior Secured
Floating Rate Notes Due 2016
-- Current Rating: C
-- Prior Rating: B1
-- Prior Rating Date: March 4, 2009
Class Description: US$112,000,000 Class A-2 Senior Secured
Floating Rate Notes Due 2016
-- Current Rating: C
-- Prior Rating: Caa1
-- Prior Rating Date: March 4, 2009
Class Description: US$72,000,000 Class B Senior Secured Deferrable
Interest Floating Rate Notes Due 2016
-- Current Rating: C
-- Prior Rating: Caa3
-- Prior Rating Date: March 4, 2009
Class Description: US$24,000,000 Class C Senior Secured Deferrable
Interest Floating Rate Notes Due 2016
-- Current Rating: C
-- Prior Rating: Ca
-- Prior Rating Date: March 4, 2009
Class Description: US$60,000,000 Class D Senior Secured Deferrable
Interest Floating Rate Notes Due 2016
-- Current Rating: C
-- Prior Rating: Ca
-- Prior Rating Date: March 4, 2009
The rating actions reflect the deterioration in the credit quality
of the reference portfolio of Corporate Synthetic CDOs, as well as
the occurrence on March 19, 2009, as reported by the Trustee, of
an Additional Termination Event under Part 1(15)(e) of the ISDA
Schedule to the Master Agreement dated August 16, 2006. The
Additional Termination Event resulted in a Termination Event under
Section 5(b)(v) of the Master Agreement and an Event of Default
under Section 5.01(g) the Indenture dated August 16, 2006.
In addition, pursuant to section 5.02(ii) of the Indenture, the
Trustee has declared the principal of and accrued interest on all
the Notes to be immediately due and payable.
The Additional Termination Event occurred when the Class A
Overcollateralization Ratio (expressed as a percentage) calculated
by dividing (i) the Collateral Principal Amount by (ii) the
Aggregate Principal Amount of the Class A Notes, fell below 100%.
The rating downgrades taken reflect the increased expected loss
associated with each tranche. Losses are attributed to diminished
credit quality on the underlying portfolio. The severity of losses
will depend on the liquidation proceeds of the disposition of the
collateral and amount of the Defaulted Counterparty Termination
Payment.
TRUMAN CAPITAL: Moody's Downgrades Ratings on 11 Tranches
---------------------------------------------------------
Moody's Investors Service has downgraded the ratings of eleven
tranches issued in four transactions from the Truman Capital
Mortgage Loan Trust shelf. The collateral backing each tranche
consists primarily of first lien adjustable-rate and fixed-rate
"scratch and dent" mortgage loans. Scratch and dent loans in the
Truman shelf include forbearance and bankruptcy loans as well as
loans with delinquency issues.
The actions are triggered by higher than anticipated delinquency
levels and severity of loss as well as well as slower than
anticipated voluntary prepayments, resulting in higher updated
loss expectation for the underlying collateral and lower coverage
for the rated debt given available credit enhancement.
The ratings on the securities are monitored by evaluating factors
determined to be applicable to the credit profile of the
securities, such as i) the nature, sufficiency, and quality of
historical performance information regarding the asset class ii)
an analysis of the collateral being securitized, iii) an analysis
of the transaction's allocation of collateral cash flow and
capital structure, and (iv) a comparison of these attributes
against those of other similar transactions.
General loss estimation methodology is outlined below, separately
for recent and for more seasoned vintages.
For recent vintages (2005 and later), Moody's calculates estimated
losses for Scratch and Dent RMBS in a two-step process. First,
serious delinquencies are projected through late 2009, primarily
based upon recent historical performance. These projected
delinquencies are converted into projected losses using lifetime
roll rates (the probability of transition to default) averaging
60% for 60-day delinquencies, 90% for delinquencies greater than
90 days, 100% for foreclosure and 100% for REO, and severity
assumptions based on the higher of actual severities and 65%.
The second step is to determine losses beyond 2009. Depending on a
deal's performance, as well as collateral characteristics, such as
loan type, or loan-to-value ratios and geographic concentrations
of remaining current loans, Moody's assumes varying degrees of
slowing in the loss rate (which is measured by loss-to-
liquidation) for the remaining life of the deal. Typical degrees
of slowing in loss rate after late 2009 range from 15% to 35%.
For more seasoned vintages (before 2005), Moody's calculates
estimated losses for Scratch and Dent RMBS:
-- Current delinquencies are used to project pipeline losses.
-- Annual roll rates are assumed at 0% for 30 days, 15% for 60
days, 30% for 90 days, 65% for foreclosures and 90% for REO.
-- Severities used are higher of 65% or actual historical
severity for each transaction.
-- Loss is calculated for the previous year. Expected annual
loss is then derived from a weighted average of previous year
loss and expected pipeline loss. The transaction expected
loss is projected out over the deal's expected remaining
life. Depending on a transaction's time of origination, a 75%
weight can be applied to pipeline loss when it is considered
to be more representative of future expected performance than
the previous year's losses.
-- Expected loss is finally compared to credit enhancement to
derive a rating.
Loss estimates are subject to variability and, as a result,
realized losses could ultimately turn out higher or lower than
Moody's current expectations. Moody's will continue to evaluate
performance data as it becomes available and will assess the
pattern of potential future defaults and adjust loss expectations
accordingly if necessary.
Complete rating actions are:
Issuer: Truman Capital Mortgage Loan Trust 2002-2
-- Cl. M-2, Confirmed at B2; previously on 8/22/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
Issuer: Truman Capital Mortgage Loan Trust 2004-1
-- Cl. M-2, Downgraded to Caa3; previously on 11/27/2007
Downgraded to B3
Issuer: Truman Capital Mortgage Loan Trust 2004-2
-- Cl. M-2, Downgraded to Baa1; previously on 10/26/2004
Assigned A2
-- Cl. M-3, Downgraded to Ba3; previously on 11/27/2007
Downgraded to Ba2
-- Cl. M-4, Downgraded to Caa2; previously on 11/27/2007
Downgraded to B3
Issuer: Truman Capital Mortgage Loan Trust 2006-1
-- Cl. A, Downgraded to B3; previously on 8/21/2008 Aaa Placed
Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ca; previously on 8/21/2008 Aa2 Placed
Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on 8/21/2008 A2 Placed
Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on 8/21/2008 A3 Placed
Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on 8/21/2008 Baa1 Placed
Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on 8/21/2008 Baa2 Placed
Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on 8/21/2008 Baa3 Placed
Under Review for Possible Downgrade
UCAT 2005-1: Moody's Completes Review on Notes Underlying Ratings
-----------------------------------------------------------------
Moody's Investors Service has completed its review of the
underlying ratings of the notes issued by UCAT 2005-1
securitization. The assets of UCAT consist of $95 million face
amount of Lease Investment Flight Trust, Class A1 which is rated
B2, and $50 million face amount of LIFT Class A2 Notes which is
rated B2. Interest and principal payments from the LIFT Notes are
allocated to pay Class A Interest, Class A principal, Class B-1-A
principal and Class B-1-B principal, sequentially.
The complete ratings actions are:
Issuer: UCAT 2005-1
-- Class A Notes maturing in July 2031, Downgraded to Baa1 Under
Review for Possible Downgrade; Previously on Nov 17, 2008
Downgraded to Aa3 Direction Uncertain;
-- Class B-1-A Notes maturing in July 2031, Downgraded to Ba2;
Previously on June 27, 2005 Assigned Baa3
-- Class B-1-B Notes maturing in July 2031, Downgraded to Caa2;
Previously on June 27, 2005 Assigned B2
The rating on the Class A notes are based on the support of a
financial guaranty insurance policy provided by Ambac Assurance
Corporation whose insurance financial strength rating is Baa1
Under Review for Possible Downgrade. Moody's has completed its
review of the underlying ratings. The current ratings on the
Class A Notes are consistent with Moody's practice of rating
insured securities at the higher of the guarantor's insurance
financial strength rating and the underlying rating based on
Moody's modified approach to rating structured finance securities
wrapped by financial guarantors. Please see the press release
dated November 10, 2008.
The Class B-1-A and B-1-B were downgraded because the UCAT
transaction received, and expected to continue to receive, less
excess spread compare to Moody's original expectation. The UCAT
transaction benefits from both principal and interest (floating
rate) that are paid by the LIFT notes. On the other hand, only
UCAT's Class A Notes, which accounts for approximately 67% of the
UCAT notes, are due to receive interest. Thus, the UCAT pay-down,
and specifically the pay down of the subordinated Class B-1-A and
B-1-B notes, depends on the excess spread that is generated by the
structure. The steep decline in interest rates in recent months
has reduced the amount of interest that is paid on the LIFT notes,
and therefore reduced the excess spread that is available to pay
down the UCAT notes.
VERMONT EDUCATIONAL: S&P Cuts Ratings on Various Bonds to 'BB'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its long-term rating
and underlying rating on Vermont Educational & Health Buildings
Financing Agency's series 2006, 2002, and 1999 bonds, issued for
Vermont Council of Developmental & Mental Health Services
Acquisition, two notches to 'BB' from 'BBB-' based on state
revenue cuts of 4% in fiscal 2009 and an uncertainty over
additional cuts in fiscal 2010, beginning in July 2009. The
outlook is negative.
The rating is predicated on the credit profile of the weakest
provider in each of the three series, Health Care & Rehabilitation
Services Inc. Health Care & Rehabilitation carried minimal cash
reserves (two days' cash on hand), high leverage, and only a
break-even margin in fiscal 2008; management, however, expects
fiscal 2009 to be a more-favorable year, including a modest
profit.
Standard & Poor's also bases its 'BB' rating on Vermont's overall
commitment to provide participant providers immediate support when
they begin to experience weakening operations combined with each
participant's individual financial strength.
"If these participants are able to close fiscal 2009 as expected
and maintain their financial profiles through fiscal 2010, S&P
might return the outlook to stable," said Standard & Poor's credit
analyst Jennifer Soule. "If one, or all, of the providers realize
a significant decline in their financial profile, a lower rating
might be warranted."
Each provider has pledged its gross revenues as security for its
portion of the bonds. Each participant has its own loan
agreement; and the participants do not have any obligation for
loans made to any other provider, which is why the weakest
participant determines the rating.
The agency issued bonds in 2008 on behalf of a different group of
providers. The gross revenue pledge granted by a participant is
on parity in each pool for that respective participant. The
rating is primarily based on the state's commitment to the
participant, taking into consideration the individual
participant's financial strength. Any change in the state's
program necessitates a rating review.
In general, all of the providers are financially adequate for the
rating; they posted excess margins for fiscal 2008 that averaged
0.80% (negative 2.75% to 2.89%). This level of performance is on
par with previous years: All but one participant reflected
positive margins for fiscal 2008.
Liquidity tends to be slim with days' operating expenses averaging
46 days' cash on hand (two days to 58 days). Historically,
however, maximum annual debt service coverage tends to be
stronger, currently averaging 2.3x and ranging between a low 0.05x
and a solid 5.80x. The debt-to-capitalization ratio is high,
ranging between 33% and 84%.
The rating action affects roughly $23.3 million of debt
outstanding.
WACHOVIA BANK: Fitch Affirms Ratings on 2005-C17 Certificates
-------------------------------------------------------------
Fitch Ratings has affirmed and assigned Rating Outlooks to
Wachovia Bank Commercial Mortgage Trust, 2005-C17 commercial
mortgage pass-through certificates,:
-- $364.7 million class A-1A at 'AAA'; Outlook Stable;
-- $248.6 million class A-2 at 'AAA'; Outlook Stable;
-- $82 million class A-3 at 'AAA'; Outlook Stable;
-- $224.4 million class A-PB at 'AAA'; Outlook Stable;
-- $1.08 billion class A-4 at 'AAA'; Outlook Stable;
-- $187.2 million class A-J at 'AAA'; Outlook Stable;
-- Interest only class X-P at 'AAA'; Outlook Stable;
-- Interest only class X-C at 'AAA'; Outlook Stable;
-- $74.9 million class B at 'AA'; Outlook Stable;
-- $23.8 million class C at 'AA-'; Outlook Stable;
-- $47.7 million class D at 'A'; Outlook Stable;
-- $27.2 million class E at 'A-'; Outlook Stable;
-- $27.2 million class F at 'BBB+'; Outlook Stable;
-- $30.6 million class G at 'BBB'; Outlook Stable;
-- $37.4 million class H at 'BBB-'; Outlook Negative;
-- $6.8 million class J at 'BB+'; Outlook Negative;
-- $10.2 million class K at 'BB'; Outlook Negative;
-- $13.6 million class L at 'BB-'; Outlook Negative;
-- $6.8 million class M at 'B+'; Outlook Negative;
-- $6.8 million class N at 'B'; Outlook Negative;
-- $6.8 million class O at 'B-'; Outlook Negative.
Fitch does not rate class P. Class A-1 has paid in full.
The ratings affirmations are the result of stable performance and
minimal paydown since issuance. As of the March 2009 remittance
report the transaction has paid down 6.6% to $2.54 billion from
$2.72 billion at issuance. In total, 26 loans (11.9%) have
defeased.
The Negative Outlooks for classes H through O reflect a high
percentage of Fitch loans of concern (10.8%) as well as a
concentration of near term maturing loans with low coupons; 1.3%
mature in 2009 and 8.8% in 2010. These loans' weighted average
coupon is 5.37%.
In total, 20 loans are considered Fitch loans of concern,
including two specially serviced loans (2.6%). The largest
specially serviced loan (1.7%) is collateralized by a multifamily
property located in San Diego, California. The loan is current,
but it was transferred to special servicing in April 2008 due to
imminent monetary default. According to the special servicer, the
borrower missed a principal paydown required by the loan
documents. The borrower's dispute over the trigger event is being
evaluated. Losses are not expected at this time.
The second specially serviced loan (0.9%) is collateralized by a
multifamily property located in Port Saint Lucie, Florida. The
loan was transferred to special servicing in November 2008 for
imminent default. As of September 2008, the property had
occupancy of 82%, down from 99.1% at issuance and annualized
servicer reported Net Operating Income yields a Debt Service
Coverage Ratio (DSCR) of 0.75 times (x). Fitch expects any losses
to be absorbed by the non-rated class P.
Fitch reviewed the transaction's five shadow rated loans (15.8%)
and their underlying collateral: One and Two International Place
(8.2%), Tharaldson Pool I-B (2.8%), Tharaldson Pool I-A (2%) and
200 Varick (1.1%) maintain investment grade shadow ratings. As a
result of the decline in occupancy and net cash flow to Great Wolf
Resorts Pool (1.8%), Fitch no longer considers this loan to have
an investment grade shadow rating. The loan is secured by two
full-service suite hotels located in Traverse City, Michigan and
Kansas City, Kansas, totally 562 rooms. Year end 2008 room
revenue for the pool was down 37.6% since issuance.
The largest shadow rated loan, One and Two International Place, is
a 1,852,501 square foot class A office building in Boston,
Massachusetts. Current occupancy is 92.2% compared to 89.6% at
issuance. Occupancy levels of the additional three shadow rated
loans remained relatively stable since issuance: the Tharaldson
Pool I-B YE2008 portfolio occupancy was 79%, compared to 77.1% at
issuance; the Tharaldson Pool I-A YE2008 portfolio occupancy was
76%, compared to issuance of 75.2%; and, 200 Varick September 2008
occupancy was 99%, compared to 97.1% at issuance.
WADENA HOUSING: S&P Corrects Outlook to Stable; Cuts Rating to 'B'
------------------------------------------------------------------
Standard & Poor's Ratings Services revised a media release to
correct the outlook on Wadena Housing and Redevelopment Authority
(Humphrey Manor East Project), Minnesota, which was misstated.
Standard & Poor's Ratings Services lowered its rating on Wadena
Housing and Redevelopment Authority, Minnesota's multifamily
housing revenue bonds (Humphrey Manor East Project) series 1993 to
'B' from 'BB'. The outlook is stable.
"The downgrade reflects a further decline in debt service coverage
levels to below 1.00x maximum annual debt service and a steep rise
in expenses leading to deterioration in the expense ratio," said
Standard & Poor's credit analyst Renee Berson.
The latest audited financial results for the fiscal year ended
June 30, 2008, indicate that debt service coverage declined to
0.93x from 1.02x in 2007. According to the unaudited financial
statements through Nov. 30, 2008, the annualized debt service
coverage is expected to improve.
The average net rent is $560 per unit per month for June 2008, up
from $555 in June 2007. The project received a recent rental
increase in 2008, even though the contract rent was 125% of fair
market rent. Expenses per unit per year have increased to $3,957
in June 2008, from $3,619 in June 2007. This increase was mainly
due to an increase administrative expenses, utilities expenses and
general expenses. The increase in expenses outpaced the increase
in rent leading to worsening of the expense ratio to 54.14%.
WAMU COMMERCIAL: Fitch Junks Ratings on $1.9 Mil. 2006-SL1 Notes
----------------------------------------------------------------
Fitch Ratings has downgraded 2 classes of WaMu Commercial Mortgage
Securities Trust 2006-SL1, small balance commercial mortgage pass-
through certificates.
Fitch downgrades and assigns a Recovery Rating to this class:
-- $1.9 million class L to 'CCC/RR1' from 'B-'.
Fitch also downgrades this class:
-- $639,000 class M to 'CC/RR2' from CCC/DR1'.
In addition, Fitch affirms these classes:
-- Interest-only class X at 'AAA'; Outlook Stable;
-- $77.5 million class A at 'AAA'; Outlook Stable;
-- $343.7 million class A-1A at 'AAA'; Outlook Stable;
-- $10.2 million class B at 'AA'; Outlook Negative;
-- $14.7 million class C at 'A'; Outlook Negative;
-- $10.2 million class D at 'BBB+'; Outlook Negative;
-- $7 million class E at 'BBB'; Outlook Negative;
-- $3.8 million class F at 'BB+'; Outlook Negative;
-- $7.7 million class G at 'BB'; Outlook Negative;
-- $2.6 million class H at 'BB-'; Outlook Negative;
-- $2.6 million class J at 'B'; Outlook Negative;
-- $1.9 million class K at 'B-'; Outlook Negative.
The $9.6 million class N is not rated by Fitch.
The rating downgrades are the result of additionally specially
serviced loans and increased loss expectations since Fitch's last
rating action. Rating Outlooks reflect the likely direction of
any rating changes over the next one to two years.
As of the March 2009 distribution date, the transaction has paid
down 3.4% to $494.1 million from $511.4 at issuance. The
transaction is collateralized by small balance commercial loans
secured by multifamily, industrial, office, retail and mixed-use
properties. The loans are smaller than typical CMBS loans with a
weighted average loan size of $1,135,517. The transaction remains
diverse, with the top three and top 10 largest loans in the pool
by balance representing 4.9% and 12.2%, respectively.
There are currently 14 loans (3.2%) in special servicing and
losses are expected. The largest specially serviced loan (0.7%)
is an industrial/warehouse property located in Freehold, New
Jersey and is currently 90 days delinquent. The loan was
transferred to special servicing in November 2008 due to payment
delinquency. The largest tenant at the property defaulted on
their lease and vacated the property in August 2008, prior to
lease expiration. The vacant space has been listed with a broker
since August 2008, and there are no prospective tenants. The
special servicer is currently pursuing foreclosure.
The second largest specially serviced loan (0.4%) is an
industrial/warehouse property located in Brooklyn, New York. The
loan has been brought current and the special servicer is
monitoring it for return to the master servicer.
The third largest specially serviced loan (0.4%) is secured by a
multifamily property located in Markus Hook, Pennsylvania and is
currently 90 days delinquent. The property has experienced
declines in revenue as a result of the borrower renovating units
as they become vacant. The property is currently 100% occupied.
The special servicer is proceeding with foreclosure.
Fitch has identified 79 loans (16.8%) as Fitch loans of concern
for declines in occupancy, deferred maintenance issues, increased
expenses, and delinquent taxes. Fitch will continue to monitor
the loans for any further declines in performance.
WELLS FARGO: Moody's Downgrades Ratings on 26 2005 Tranches
-----------------------------------------------------------
Moody's Investors Service has downgraded 26 tranches and confirmed
1 tranche from 2 Wells Fargo Mortgage Backed Securities Trust
Deals issued in 2005.
The collateral backing these transactions consists primarily of
first-lien, adjustable-rate, Jumbo mortgage loans. The actions
are triggered by the quickly deteriorating performance -- marked
by rising delinquencies and loss severities, along with concerns
about the continuing drop in housing prices nationwide and the
rising unemployment levels. The actions listed below reflect
Moody's updated expected losses on the jumbo sector announced in a
press release on March 19th, 2009, and are part of Moody's on-
going review process.
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.
Loss estimates are subject to variability and are sensitive to
assumptions used. As a result, realized losses could ultimately
turn out higher or lower than Moody's current expectations.
Moody's will continue to evaluate performance data as it becomes
available and will assess the pattern of potential future defaults
and adjust loss expectations accordingly as necessary.
Complete rating actions are:
Issuer: Wells Fargo Mortgage Backed Securities 2005-AR16 Trust
-- Cl. I-A-1, Downgraded to Aa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. III-A-1, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. III-A-2, Downgraded to A2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. III-A-3, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IV-A-1, Downgraded to Baa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IV-A-2, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IV-A-3, Downgraded to Ba1; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. IV-A-4, Confirmed at Aaa; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IV-A-5, Downgraded to Baa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IV-A-6, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IV-A-7, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IV-A-8, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. V-A-1, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. VI-A-1, Downgraded to Baa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. VI-A-2, Downgraded to Ba1; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. VI-A-3, Downgraded to A2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. VI-A-4, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. VII-A-1, Downgraded to Baa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. VII-A-2, Downgraded to Ba3; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2005-AR3 Trust
-- Cl. I-A-1, Downgraded to Aa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Downgraded to A2; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Downgraded to A1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Baa3; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to B1; previously on 3/19/2009 A2 Placed
Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to Ca; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
The ratings on the notes were assigned after evaluating factors
determined applicable to the credit profile of the notes, such as:
i) the nature, sufficiency, and quality of historical
performance information available for the asset class as well as
for the transaction sponsor,
ii) collateral analysis,
iii) an analysis of the policies, procedures and alignment of
interests of the key parties to the transaction, most notably the
originator and the servicer,
iv) an analysis of the transaction's allocation of collateral
cashflow and capital structure,
v) an analysis of the transaction's governance and legal
structure, and
vi) a comparison of these attributes against those of other
similar transactions.
WILBRAHAM CBO: Fitch Junks Ratings on Two Classes of Notes
----------------------------------------------------------
Fitch Ratings has downgraded one and revised the Recovery Rating
on two classes of notes issued by Wilbraham CBO, Ltd. These
rating actions are effective immediately:
-- $17,497,076 class A-2 notes downgrade to 'B' from 'BBB-' and
Outlook Stable;
-- $10,048,198 class B-1 notes remain at 'C' and revise 'DR4' to
'RR5';
-- $ 31,776,988 class B-2 notes remain at 'C' and revise 'DR4'
to 'RR5'.
Additionally, the class A-1 notes have been paid in full.
Wilbraham is a collateralized debt obligation managed by Babson
Capital Management LLC which closed July 13, 2000. Wilbraham is
primarily composed of corporate high yield bonds. The final
maturity for this transaction is July 13, 2012. Payments are made
semi-annually in January and July and the reinvestment period
ended in July 2005.
The downgrade to the class A-2 notes reflects the poor credit
quality of the current performing portfolio. The weighted average
rating of the portfolio is 'B-/CCC+' of which 16.6% is rated in
the 'CCC' or lower category. Approximately 10.7% of the portfolio
is currently on Outlook Negative and 9.3% is on Rating Watch
Negative. As of the March 2, 2009 trustee report, $6.4 million
was reported in the principal collections account and a portfolio
collateral balance of $31.2 million, of which $10.1 million is
defaulted. The class A overcollateralization test passed at
156.3% with a trigger of 120%; however, the B and C OC tests
failed their respective triggers of 113% and 106.5%.
Additionally, all interest coverage tests are failing.
The downward revision to the RR on the class B-1 and B-2 notes is
the result of a lower recovery expectation for the remaining
securities in the portfolio and the significant
undercollateralization of the classes. Additionally, the classes
continue to PIK interest and further undercollateralization is
expected as this continued diversion of principal to pay down the
most senior notes progresses over time.
The ratings address the likelihood that investors will receive
full and timely payments of interest on scheduled interest payment
dates, as well as the stated balance of principal on the final
payment date.
The Distressed Recovery Rating on the classes of notes has been
revised to RR to reflect Fitch's updated Rating Definitions
Criteria released March 3, 2009.
Fitch's current and revised criteria for rating corporate CDOs was
released on April 30, 2008. However, due to the high obligor
concentration within the portfolio, Fitch used a more
deterministic approach in analyzing the portfolio rather than
utilizing the Corporate Portfolio Credit Model. Fitch's
probability of default was based upon issuer default ratings and
term to maturity. The recovery rates were based either upon
specified underlying securities' RR, comparable recovery ratings,
or the PCM assumed recovery rate depending upon the seniority of
each of the underlying bonds.
* Moody's Downgrades Ratings on 40 Notes by 11 CDO Transactions
---------------------------------------------------------------
Moody's Investors Service has downgraded its ratings of 40 Notes
issued by 11 collateralized debt obligation transactions, and
confirmed the ratings of 10 Notes issued by 2 collateralized debt
obligation transactions, which consist of significant exposure to
one or more of Alt-A, Option-ARM and subprime RMBS securities,
CLOs, or CMBS. Moody's explained that the rating actions listed
below reflect certain updates and projections and recent rating
actions on underlying assets on these asset classes as described
below.
Moody's revised loss projections for Alt-A RMBS securities which
were described in a press release published on January 22, 2009.
According to the press release, on average, Moody's is now
projecting cumulative losses of about 20% for 2006 securitizations
and about 24% for 2007 securitizations.
Moody's revised loss projections for Option ARMs RMBS securities
issued in the US since 2004 which were described in a press
release published on February 5, 2009. According to the press
release, on average, Moody's is now projecting cumulative losses
of 27% for 2006 and 30% for 2007 vintage Option ARM
securitizations.
Moodys announced revisions and updates to certain key assumptions,
including Default Probability and Diversity Score, that it uses to
rate and monitor collateralized loan obligations in a Press
Release published on February 4, 2009. According to the press
release, Moody's expects that the revised assumptions will have a
significant impact on mezzanine and junior CLO tranches, resulting
in a downgrade of their ratings by three to six notches on
average. On March 4, 2009, Moody's placed all but the senior-most
CLO tranches on review for downgrade.
Moody's also announced a ratings review of all U.S. commercial
mortgage backed securities conduit and fusion transactions rated
during the period from 2006 through 2008, and all large loan and
single borrower transactions regardless of vintage in a Press
Release on February 5, 2009.
Moody's revised loss projections for subprime RMBS issued from
2005 to 2007 were described in a press release titled "2005-7
subprime RMBS on downgrade review" published on February 26, 2009.
According to the press release, the revised loss projection for
2006 vintage subprime pools is expected to fall within the range
of 28% to 32% of the original balance of such pools, whereas
Moody's previous estimate was 22%. For 2005 and 2007 pools, such
projections are expected to range from 12% to 14% and 33% to 37%
of original balance, respectively. According to the press
release, the anticipated actions will vary by vintage, but based
on average loss projections, it is likely that the vast majority
of mezzanine and subordinate certificates currently rated B or
above would be downgraded to ratings of Caa or below, particularly
for bonds issued in 2006 and 2007. Actions on senior bonds will
differ based on payment priority and protection relative to
projected losses. Given the level of losses currently being
projected, a majority of senior certificates will likely be
downgraded below investment grade. Many are expected to be
downgraded to Caa or below, particularly longer duration bonds
from 2006 and 2007.
In addition, Moody's explained that the rating actions taken
incorporate the application of revised and updated key modeling
parameter assumptions that Moody's uses to rate and monitor
ratings of SF CDOs. The revisions affect the three key parameters
in Moody's model for rating SF CDOs: asset correlation, default
probability and recovery rate. Moody's announced the changes to
these assumptions in a press release published on December 11,
2008.
Moody's initially analyzed and continues to monitor these
transactions using primarily the methodology and its supplements
for ABS CDOs as described in Moody's Special Report below:
-- Moody's Approach to Rating SF CDOs (March 2009)
The rating actions are:
Breithorn ABS Funding, p.l.c
-- Class A-2 Notes, Downgraded to Ca; previously on 12/23/2008
Downgraded to A1 and Placed Under Review for Possible
Downgrade
-- Class B Notes, Downgraded to C; previously on 12/23/2008
Downgraded to Baa3 and Placed Under Review for Possible
Downgrade
Capella Funding, Ltd.
-- Class A Floating Rate Notes due 2045, Downgraded to Ba1;
previously on 12/17/2008 Downgraded to Aa3 and remains on
Review for Possible Downgrade
-- Class B Floating Rate Notes due 2045, Downgraded to Ba2;
previously on 12/17/2008 Downgraded to Aa3 and remains on
Review for Possible Downgrade
-- Class C Floating Rate Notes due 2045, Downgraded to B1;
previously on 12/17/2008 Downgraded to Baa2 and remains on
Review for Possible Downgrade
CORONADO LTD.
-- CLASS B-1 FLOATING RATE NOTES, Downgraded to Ca; previously
on 1/20/2009 Downgraded to Caa2 and remains on Review for
Possible Downgrade
-- CLASS B-2 FIXED RATE NOTES, Downgraded to Ca; previously on
1/20/2009 Downgraded to Caa2 and remains on Review for
Possible Downgrade
-- CLASS C-1 FLOATING RATE NOTES, Downgraded to C; previously on
1/20/2009 Downgraded to Ca
-- CLASS C-2 FIXED RATE NOTES, Downgraded to C; previously on
1/20/2009 Downgraded to Ca
Eolo Investments B.V.
-- Series 2006-1, Downgraded to C; previously on 12/16/2008
Downgraded to Baa3 and remains on Review for Possible
Downgrade
Khaleej II CDO, Ltd.
-- Khaleej II CDO Super Senior US $502,5000,000 33%-100%
Tranche, Downgraded to Ca; previously on 12/17/2008
Downgraded to Baa2 and remains on Review for Possible
Downgrade
Limehouse CDO 2008-1 Limited
-- US$97,805,600 Class A Secured Floating Rate Notes Due
2042, Downgraded to Ba1 and remains on Review for Possible
Downgrade; previously on 12/11/2008 Downgraded to Aa3 and
Placed Under Review for Possible Downgrade
-- US$13,512,616 Class B Secured Floating Rate Deferrable
Interest Notes Due 2042, Downgraded to Ca; previously on
12/11/2008 Downgraded to A3 and Placed Under Review for
Possible Downgrade
N-Star Real Estate CDO I Ltd.
-- US$250,000,000 Class A-1 Floating Rate Senior Notes due
2038, Confirmed at Aa2; previously on 12/23/2008 Downgraded
to Aa2 and Placed Under Review for Possible Downgrade
-- US$45,000,000 Class A-2A Floating Rate Senior Notes due
2038, Confirmed at Aa3; previously on 12/23/2008 Downgraded
to Aa3 and Placed Under Review for Possible Downgrade
-- US$15,000,000 Class A-2B Fixed Rate Senior Notes due 2038,
Confirmed at Aa3; previously on 12/23/2008 Downgraded to Aa3
and Placed Under Review for Possible Downgrade
-- US$10,000,000 Class B-2 Floating Rate Senior Notes due
2038, Confirmed at A2; previously on 12/23/2008 Downgraded to
A2 and Placed Under Review for Possible Downgrade
-- US$5,000,000 Class C-1A Floating Rate Subordinate Notes due
2038, Confirmed at Baa3; previously on 12/23/2008 Downgraded
to Baa3 and Placed Under Review for Possible Downgrade
-- US$5,000,000 Class C-1B Fixed Rate Subordinate Notes due
2038, Confirmed at Baa3; previously on 12/23/2008 Downgraded
to Baa3 and Placed Under Review for Possible Downgrade
Penwood CDO 2008-1 Limited
-- US$97,630,800 Class A Secured Floating Rate Notes, Due
2042, Downgraded to Baa3 and remains on Review for Possible
Downgrade; previously on 12/11/2008 Downgraded to Aa3 and
Placed Under Review for Possible Downgrade
-- US$13,488,466 Class B Secured Floating Rate Deferrable
Interest Notes, Due 2042, Downgraded to Ca; previously on
12/11/2008 Downgraded to A3 and Placed Under Review for
Possible Downgrade
TIAA Real Estate CDO 2003-1 Ltd.
-- Class B-1 Secured Deferrable Interest Floating Rate Notes Due
December 2038, Confirmed at A2; previously on 12/23/2008
Downgraded to A2 and Placed Under Review for Possible
Downgrade
-- Class B-2 5.4802% Secured Deferrable Interest Fixed Rate
Notes Due December 2038, Confirmed at A2; previously on
12/23/2008 Downgraded to A2 and Placed Under Review for
Possible Downgrade
-- Class C-1 Secured Deferrable Interest Floating Rate Notes Due
December 2038, Confirmed at Baa3; previously on 12/23/2008
Downgraded to Baa3 and Placed Under Review for Possible
Downgrade
-- Class C-2 5.9169% Secured Deferrable Interest Fixed Rate
Notes Due December 2038, Confirmed at Baa3; previously on
12/23/2008 Downgraded to Baa3 and Placed Under Review for
Possible Downgrade
TIAA Structured Finance CDO I, Ltd.
-- US $387,500,000 Class A-1 Floating Rate Senior Secured Notes,
due November 2030, Downgraded to Ba1; previously on 6/20/2008
Downgraded to Aa2
-- US $30,000,000 Class A-2 Fixed Rate Senior Secured Notes, due
November 2030, Downgraded to Ba1; previously on 6/20/2008
Downgraded to Aa2
-- US $27,500,000 Class B Floating Rate Senior Senior Secured
Notes, due November 2035, Downgraded to C; previously on
6/20/2008 Downgraded to B1
Vertical CDO 2003-1 Ltd.
-- Class A Floating Rate Notes, Downgraded to Caa2; previously
on 12/23/2008 Downgraded to Aa3 and Placed Under Review for
Possible Downgrade
-- Class B Floating Rate Notes, Downgraded to Ca; previously on
12/23/2008 Downgraded to Baa2 and remains on Review for
Possible Downgrade
-- Class C-1 Floating Rate Notes, Downgraded to C; previously on
12/23/2008 Downgraded to B3 and remains on Review for
Possible Downgrade
-- Class C-2 Floating Rate Notes, Downgraded to C; previously on
12/23/2008 Downgraded to B3 and remains on Review for
Possible Downgrade
-- Preference Shares, Downgraded to C; previously on 12/23/2008
Downgraded to Caa1 and remains on Review for Possible
Downgrade
Vertical CDO 2004-1 Ltd.
-- Class A Floating Rate Notes, Downgraded to Ca; previously on
12/22/2008 Downgraded to Baa2 and remains on Review for
Possible Downgrade
-- Class B Floating Rate Notes, Downgraded to C; previously on
12/22/2008 Downgraded to B2 and remains on Review for
Possible Downgrade
-- Class C Floating Rate Notes, Downgraded to C; previously on
12/22/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- Combination Security I, Downgraded to C; previously on
12/22/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- Combination Security II, Downgraded to C; previously on
6/2/2008 Downgraded to Ca
-- Preference Shares, Downgraded to C; previously on 12/22/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
ZAIS Investment Grade Limited VI
-- Class A-1 Senior Secured Floating Rate Notes, Downgraded to
A3 and remains on Review for Possible Downgrade; previously
on 2/24/2009 Aaa Placed Under Review for Possible Downgrade
-- Class A-2a Senior Secured Floating Rate Notes, Downgraded to
Ba2 and remains on Review for Possible Downgrade; previously
on 2/24/2009 Downgraded to A1 and Placed Under Review for
Possible Downgrade
-- Class A-2b Senior Secured Fixed Rate Notes, Downgraded to Ba2
and remains on Review for Possible Downgrade; previously on
2/24/2009 Downgraded to A1 and Placed Under Review for
Possible Downgrade
-- Class A-3 Senior Secured Floating Rate Notes, Downgraded to
B1 and remains on Review for Possible Downgrade; previously
on 2/24/2009 Downgraded to A3 and Placed Under Review for
Possible Downgrade
-- Class B-1 Senior Secured Floating Rate Notes, Downgraded to
Caa2 and remains on Review for Possible Downgrade; previously
on 2/24/2009 Downgraded to Baa3 and Placed Under Review for
Possible Downgrade
-- Class B-2 Senior Secured Fixed Rate Notes, Downgraded to Caa2
and remains on Review for Possible Downgrade; previously on
2/24/2009 Downgraded to Baa3 and Placed Under Review for
Possible Downgrade
-- Type II Composite Obligations, Downgraded to Ba2 and remains
on Review for Possible Downgrade; previously on 2/24/2009 A3
Placed Under Review for Possible Downgrade
-- Type III Composite Obligations, Downgraded to Caa2 and
remains on Review for Possible Downgrade; previously on
2/24/2009 Downgraded to Baa3 and Placed Under Review for
Possible Downgrade
-- Type IV Composite Obligations, Downgraded to Caa2 and remains
on Review for Possible Downgrade; previously on 2/24/2009
Downgraded to Baa3 and Placed Under Review for Possible
Downgrade
-- Type V Composite Obligations, Downgraded to Caa2 and remains
on Review for Possible Downgrade; previously on 2/24/2009
Downgraded to Baa3 and Placed Under Review for Possible
Downgrade
-- Type VI Composite Obligations, Downgraded to Caa2 and remains
on Review for Possible Downgrade; previously on 2/24/2009
Downgraded to Baa3 and Placed Under Review for Possible
Downgrade
* Moody's Downgrades Ratings on 45 Notes by 12 CDO Transactions
---------------------------------------------------------------
Moody's Investors Service has downgraded its ratings of 45 Notes
issued by 12 collateralized debt obligation transactions, which
consist of significant exposure to one or more of Alt-A, Option-
ARM and subprime RMBS securities, CLOs, or CMBS. Moody's
explained that the rating actions listed below reflect certain
updates and projections and recent rating actions on underlying
assets on these asset classes as described below.
Moody's revised loss projections for Alt-A RMBS securities which
were described in a press release published on January 22, 2009.
According to the press release, on average, Moody's is now
projecting cumulative losses of about 20% for 2006 securitizations
and about 24% for 2007 securitizations.
Moody's revised loss projections for Option ARMs RMBS securities
issued in the US since 2004 which were described in a press
release published on February 5, 2009. According to the press
release, on average, Moody's is now projecting cumulative losses
of 27% for 2006 and 30% for 2007 vintage Option ARM
securitizations.
Moody's announced revisions and updates to certain key
assumptions, including Default Probability and Diversity Score,
that it uses to rate and monitor collateralized loan obligations
in a Press Release published on February 4, 2009. According to
the press release, Moody's expects that the revised assumptions
will have a significant impact on mezzanine and junior CLO
tranches, resulting in a downgrade of their ratings by three to
six notches on average. On March 4, 2009, Moody's placed all but
the senior-most CLO tranches on review for downgrade.
Moody's also announced a ratings review of all U.S. commercial
mortgage backed securities conduit and fusion transactions rated
during the period from 2006 through 2008, and all large loan and
single borrower transactions regardless of vintage in a Press
Release titled " Ratings review of certain U.S. CMBS" on February
5, 2009.
Moody's revised loss projections for subprime RMBS issued from
2005 to 2007 were described in a press release published on
February 26, 2009. According to the press release, the revised
loss projection for 2006 vintage subprime pools is expected to
fall within the range of 28% to 32% of the original balance of
such pools, whereas Moody's previous estimate was 22%. For 2005
and 2007 pools, such projections are expected to range from 12% to
14% and 33% to 37% of original balance, respectively. According
to the press release, the anticipated actions will vary by
vintage, but based on average loss projections, it is likely that
the vast majority of mezzanine and subordinate certificates
currently rated B or above would be downgraded to ratings of Caa
or below, particularly for bonds issued in 2006 and 2007. Actions
on senior bonds will differ based on payment priority and
protection relative to projected losses. Given the level of
losses currently being projected, a majority of senior
certificates will likely be downgraded below investment grade.
Many are expected to be downgraded to Caa or below, particularly
longer duration bonds from 2006 and 2007.
In addition, Moody's explained that the rating actions taken
incorporate the application of revised and updated key modeling
parameter assumptions that Moody's uses to rate and monitor
ratings of SF CDOs. The revisions affect the three key parameters
in Moody's model for rating SF CDOs: asset correlation, default
probability and recovery rate. Moody's announced the changes to
these assumptions in a press release published on December 11,
2008.
Moody's initially analyzed and continues to monitor these
transactions using primarily the methodology and its supplements
for ABS CDOs as described in Moody's Special Report below:
-- Moody's Approach to Rating SF CDOs (March 2009)
The rating actions are:
Dalton CDO Ltd.
-- Up to US$114,000,000 Class A-1a1 Floating Rate Variable
Funding Notes Due June 2050, Downgraded to Ca; previously on
12/11/2008 Downgraded to Baa1 and remains on Review for
Possible Downgrade
-- US$50,000,000 Class A-1a2 Floating Rate Notes Due June 2050,
Downgraded to Ca; previously on 12/11/2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
-- US$36,000,000 Class A-1b1 Floating Rate Notes Due June 2050,
Downgraded to C; previously on 10/6/2008 Downgraded to Ca
-- US$40,000,000 Class A-1b2 Floating Rate Notes Due June 2050,
Downgraded to C; previously on 10/6/2008 Downgraded to Ca
-- US$40,000,000 Class A-2 Floating Rate Notes Due June 2052,
Downgraded to C; previously on 10/6/2008 Downgraded to Ca
Dawn CDO I, Ltd.
-- US$162,700,000 Class A First Priority Senior Secured Floating
Rate Notes, Downgraded to Caa3; previously on 11/19/2008 A3
Placed Under Review for Possible Downgrade
-- US$28,700,000 Class B Second Priority Senior Secured Floating
Rate Notes, Downgraded to C; previously on 6/4/2008
Downgraded to Ca
Diversified Asset Securitization Holdings III, L.P.
-- Class A-1L Floating Rate Notes Due July 2036, Downgraded to
Ba1; previously on 1/20/2005 Downgraded to Aa3
-- Class A-2 7.4202% Notes Due July 2036, Downgraded to Ba1;
previously on 1/20/2005 Downgraded to Aa3
Gemstone CDO III
-- Class A-1 Notes, Downgraded to Ca; previously on 12/17/2008
Downgraded to B1 and remains on Review for Possible Downgrade
-- Class A-2 Notes, Downgraded to Ca; previously on 12/17/2008
Downgraded to Baa1 and remains on Review for Possible
Downgrade
-- Class A-3 Notes, Downgraded to C; previously on 12/17/2008
Downgraded to B3 and remains on Review for Possible Downgrade
-- Class B Notes, Downgraded to C; previously on 11/3/2008
Downgraded to Ca
Gloucester Street ABS CDO I, Ltd.
-- US$890,000,000 Class A-1 Floating Rate Notes Due June 2040,
Downgraded to Caa3; previously on 12/17/2008 Downgraded to A1
and remains on Review for Possible Downgrade
-- US$37,000,000 Class A-2 Floating Rate Notes Due June 2040,
Downgraded to C; previously on 12/17/2008 Downgraded to Baa1
and remains on Review for Possible Downgrade
-- US$31,500,000 Class B Floating Rate Notes Due June 2040,
Downgraded to C; previously on 12/17/2008 Downgraded to Ba2
and remains on Review for Possible Downgrade
-- US$15,500,000 Class C Floating Rate Deferrable Interest Notes
Due June 2040, Downgraded to C; previously on 12/17/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- US$14,000,000 Class D Floating Rate Deferrable Interest Notes
Due June 2040, Downgraded to C; previously on 5/30/2008
Downgraded to Ca
-- US$12,000,000 Aggregate Liquidation Preference, Downgraded to
C; previously on 5/30/2008 Downgraded to Ca
High Grade Structured Credit CDO 2004-1 LTD.
-- Class C Floating Rate Notes, Downgraded to Caa3; previously
on 12/22/2008 Downgraded to A1 and remains on Review for
Possible Downgrade
-- Class D Floating Rate Notes, Downgraded to Ca; previously on
12/22/2008 Downgraded to Baa2 and remains on Review for
Possible Downgrade
-- Class E Floating Rate Notes, Downgraded to Ca; previously on
12/22/2008 Downgraded to Ba3 and remains on Review for
Possible Downgrade
-- Class F Floating Rate Notes, Downgraded to Ca; previously on
12/22/2008 Downgraded to B2 and remains on Review for
Possible Downgrade
Lexington Capital Funding, LTD
-- US$135,000,000 Class A-1AV First Priority Senior Secured
Voting Floating Rate Notes Due May 6, 2042, Downgraded to Ca;
previously on 12/17/2008 Downgraded to Baa3 and remains on
Review for Possible Downgrade
-- US$199,750,000 Class A-1ANV First Priority Senior Secured
Non-Voting Floating Rate Notes Due May 6, 2042, Downgraded to
Ca; previously on 12/17/2008 Downgraded to Baa3 and remains
on Review for Possible Downgrade
-- US$250,000 Class A-1B First Priority Senior Secured Floating
Rate Notes Due May 6, 2042, Downgraded to Ca; previously on
12/17/2008 Downgraded to Baa3 and remains on Review for
Possible Downgrade
-- US$72,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due May 6, 2042, Downgraded to C;
previously on 12/17/2008 Downgraded to B1 and remains on
Review for Possible Downgrade
-- US$44,000,000 Class B Third Priority Senior Secured Floating
Rate Notes Due May 6, 2042, Downgraded to C; previously on
12/17/2008 Downgraded to B3 and remains on Review for
Possible Downgrade
-- US$10,000,000 Class C Fourth Priority Senior Deferrable
Secured Floating Rate Notes Due May 6, 2042, Downgraded to C;
previously on 12/17/2008 Downgraded to Caa3 and remains on
Review for Possible Downgrade
-- US$19,000,000 Class D Fifth Priority Senior Deferrable
Secured Floating Rate Notes Due May 6, 2042, Downgraded to C;
previously on 5/8/2008 Downgraded to Ca
-- US$5,000,000 Class E Sixth Priority Mezzanine Deferrable
Secured Floating Rate Notes Due May 6, 2042, Downgraded to C;
previously on 5/8/2008 Downgraded to Ca
Morgan Stanley ACES SPC, Series 2005-12
-- US$10,000,000 Secured Floating Rate Notes due 2014,
Downgraded to B3; previously on 12/17/2008 Downgraded to A2
and remains on Review for Possible Downgrade
Morgan Stanley ACES SPC, Series 2005-5
-- Notes Due July 7, 2014, Downgraded to B3; previously on
12/17/2008 Downgraded to A2 and remains on Review for
Possible Downgrade
Pioneer Valley Structured Credit CDO I Ltd.
-- Class X Notes Due 2010 (with a Class X Fixed Notional Amount
of $23,478,000), Downgraded to A1; previously on 9/30/2005
Assigned Aaa
STANTON CDO I S.A.
-- US$132,285,000 Class A-1 US$Senior Secured Floating
Rate Notes due 2018, Downgraded to Ba2 and remains on Review
for Possible Downgrade; previously on 12/23/2008 Downgraded
to Aa2 and Placed Under Review for Possible Downgrade
-- EUR15,000,000 Class A-1 EURSenior Secured Floating Rate
Notes due 2018, Downgraded to Ba2 and remains on Review for
Possible Downgrade; previously on 12/23/2008 Downgraded to
Aa2 and Placed Under Review for Possible Downgrade
-- US$150,000,000 Class A-1U Senior Secured Floating Rate Notes
due 2018, Downgraded to Ba2 and remains on Review for
Possible Downgrade; previously on 12/23/2008 Downgraded to
Aa2 and Placed Under Review for Possible Downgrade
-- EUR25,000,000 Class A-2 EURSenior Secured Fixed Rate Notes
due 2018, Downgraded to Caa3 and remains on Review for
Possible Downgrade; previously on 12/23/2008 Downgraded to
Aa3 and Placed Under Review for Possible Downgrade
-- EUR8,000,000 Class A-2 EURSenior Secured Floating Rate Notes
due 2018, Downgraded to Caa3 and remains on Review for
Possible Downgrade; previously on 12/23/2008 Downgraded to
Aa3 and Placed Under Review for Possible Downgrade
-- US$56,027,000 Class A-2 US$Senior Secured Floating Rate
Notes due 2018, Downgraded to Caa3 and remains on Review for
Possible Downgrade; previously on 12/23/2008 Downgraded to
Aa3 and Placed Under Review for Possible Downgrade
-- US$40,000,000 Class B Senior Secured Floating Rate Notes due
2040, Downgraded to C; previously on 12/23/2008 Downgraded to
A1 and Placed Under Review for Possible Downgrade
-- US$25,000,000 Class C Deferrable Interest Secured Floating
Rate Notes due 2040, Downgraded to C; previously on
12/23/2008 Downgraded to Baa1 and Placed Under Review for
Possible Downgrade
Trainer Wortham First Republic CBO II, Limited
-- US$295,000,000 Class A-1L Floating Rate Notes Due 2037,
Downgraded to Caa2; previously on 4/2/2008 Downgraded to A2
and Placed Under Review for Possible Downgrade
-- US$23,000,000 Class A-2L Floating Rate Notes Due 2037,
Downgraded to C; previously on 4/2/2008 Downgraded to Ca
-- US$10,000,000 Class A-3L Floating Rate Notes Due 2037,
Downgraded to C; previously on 1/25/2007 Downgraded to Ca
* Moody's Downgrades Ratings on 265 Tranches in 111 Transactions
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 265
tranches issued in 111 transactions and upgraded the rating of 1
tranche issued in 1 transaction. Underlying securities'
collateral consists of manufactured housing loans.
The ratings on the securities were monitored by evaluating factors
Moody's determined to be essential in the analysis of securities
backed by such loans. The salient factors include: i) the nature,
sufficiency, and quality of historical loan performance
information, ii) the collateral composition and pool credit
performance including loan delinquency and loss data, iii) the
transaction's capital structure and related allocations of
collateral cash flows and losses, and iv) a comparison of current
credit enhancement levels to updated Moody's pool loss projections
based on present collateral credit performance.
When analyzing underlying ratings for MH transactions, Moody's
projects cumulative losses for each deal based on a collateral
analysis of the deal's Constant Prepayment Rate and Constant
Default Rate.
CPR - CPR is based on the average of the last six months 1-month
CPR.
CDR - There are three approaches for determining pool CDR. The
first approach calculates CDR based on pool loan losses from the
previous twelve months, i.e. recent losses. A second approach is
based on pipeline losses -- losses derived from days-aged
delinquencies and Moody's assumptions for default based on days
delinquent or REO, and the severity of loss given default. The
third approach calculates the loss to liquidation which linearly
extrapolates future losses based on the current cumulative loss
given the current pool factor. Moody's assumes 75% severity for
manufactured homes at an expected case. After CDR is calculated
using the three methods, the effective CDR for loss projection
purposes is determined by using a weighted average of the CDRs
with weightings determined on a transaction by transaction basis.
Moody's will project future CDR rates based on delinquency and
loss trends. For the actions noted above, Moody's has assumed
that CDR will remain constant over the life of each deal. A
sudden reversal in the existing trend of projected defaults and
losses is not anticipated for these deals as they are well
seasoned.
Based on calculated CPR and CDR, Moody's calculates projected
deal-specific cumulative losses and the weighted average life of
the deal. The credit enhancement calculation may also include
credit for excess spread, i.e. the aggregate, positive difference
in the weighted average loan coupon and the all-inclusive
securities' interest and deal fees, including servicing. Excess
spread benefit is calculated by multiplying the stressed
annualized excess spread by the weighted average life of the deal.
Aggregate credit enhancement which combines subordination benefit
(including overcollateralization and/or reserve accounts) and
support from letters of credit or guarantees and excess spread
benefit, is compared with projected cumulative losses for the deal
to derive coverage multiples and associated ratings by tranche.
Moody's will analyze tranche coverage multiples after
consideration of tranche-specific loss allocation and timing of
principal repayment.
Complete Rating Action are as follows;
Access Financial MH Contract Trust 1995-1
-- B-1, Downgraded to Ca; previously on 3/22/2005 Downgraded to
B2
Access Financial MH Contract Trust 1996-1
-- A-5, Downgraded to Aa1; previously on 5/29/1996 Assigned Aaa
-- A-6, Downgraded to Ca; previously on 3/22/2005 Downgraded to
A1
Associates Manufactured Housing 1996-1
-- B-1, Downgraded to A3; previously on 11/15/2001 Upgraded to
Aa1
Associates Manufactured Housing 1996-2
-- B-1, Downgraded to B2; previously on 12/16/2004 Downgraded to
Ba2
Associates Manufactured Housing 1997-1
-- B-1, Downgraded to A3; previously on 11/15/2001 Upgraded to
Aa1
Associates Manufactured Housing 1997-2
-- A-6, Downgraded to A1; previously on 9/24/1997 Assigned Aaa
-- B-1, Downgraded to A3; previously on 11/15/2001 Upgraded to
Aa1
-- B-2, Downgraded to A3; previously on 11/15/2001 Upgraded to
Aa1
-- M, Downgraded to B1; previously on 12/16/2004 Downgraded to
A1
BCMSC Trust 1999-A
-- A-2, Downgraded to Caa2; previously on 7/28/2004 Downgraded
to B1
-- A-3, Downgraded to Caa2; previously on 7/28/2004 Downgraded
to B1
-- A-4, Downgraded to Caa2; previously on 7/28/2004 Downgraded
to B1
-- A-5, Downgraded to Caa2; previously on 7/28/2004 Downgraded
to B1
BCMSC Trust 2001-A
-- Cl. A, Downgraded to B3; previously on 7/28/2004 Downgraded
to Baa3
-- Cl. M-1, Downgraded to C; previously on 7/28/2004 Downgraded
to Caa3
Bombardier Capital Mortgage Sec Corp 1998-A
-- A-3, Downgraded to Ba3; previously on 7/28/2004 Downgraded to
A1
-- A-4, Downgraded to Ba3; previously on 7/28/2004 Downgraded to
A1
-- A-5, Downgraded to Ba3; previously on 7/28/2004 Downgraded to
A1
-- B-1, Downgraded to C; previously on 7/28/2004 Downgraded to
Ca
-- M, Downgraded to Ca; previously on 7/28/2004 Downgraded to
Ba2
Bombardier Capital Mortgage Sec Corp 1998-B
-- A, Downgraded to Caa3; previously on 7/28/2004 Downgraded to
B2
C-BASS Series 2006-MH1 Trust
-- Cl. AF-2, Downgraded to A1; previously on 9/15/2006 Assigned
Aaa
-- Cl. AF-3, Downgraded to A1; previously on 9/15/2006 Assigned
Aaa
-- Cl. AF-4, Downgraded to A1; previously on 9/15/2006 Assigned
Aaa
-- Cl. B-1, Downgraded to B3; previously on 9/15/2006 Assigned
Baa2
-- Cl. B-2, Downgraded to C; previously on 9/15/2006 Assigned
Ba2
-- Cl. B-3, Downgraded to C; previously on 9/15/2006 Assigned B2
-- Cl. M-1, Downgraded to Baa2; previously on 9/15/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to Ba2; previously on 9/15/2006 Assigned
A2
CIT Group Securitization Corp II MH 1995-1
-- A-4, Downgraded to Ba1; previously on 2/23/1995 Assigned Aa3
-- A-5, Downgraded to Baa2 and Placed Under Review for Possible
Downgrade; previously on 9/28/2004 Downgraded to A2
CIT Group Securitization Corp II MH 1995-2
-- A-5, Downgraded to Ba2; previously on 11/21/1995 Assigned Aa3
-- B, Downgraded to Ca; previously on 9/28/2004 Downgraded to
Ba1
Conseco Finance Securitization Corp 2001-4
-- Class A-IO, Downgraded to B1; previously on 8/31/2004
Downgraded to Baa3
-- Class M-1, Downgraded to Ca; previously on 8/31/2004
Downgraded to Caa2
Conseco Finance Securitization Corp 2002-2
-- Class B-1, Downgraded to C; previously on 8/2/2006 Downgraded
to Ca
-- Class M-1, Downgraded to B2; previously on 8/2/2006
Downgraded to B1
-- Class M-2, Downgraded to Ca; previously on 8/2/2006
Downgraded to Caa1
Conseco Finance Securitizations Corp 1999-6
-- Cl. A-1, Downgraded to Ca; previously on 8/2/2006 Downgraded
to Caa2
Conseco Finance Securitizations Corp 2000-1
-- Cl. A-5, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
Conseco Finance Securitizations Corp 2000-2
-- Cl. A-5, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
-- Cl. A-6, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
Conseco Finance Securitizations Corp 2000-3
-- Cl. A-1, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
Conseco Finance Securitizations Corp 2000-4
-- Cl. A-5, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
-- Cl. A-6, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
Conseco Finance Securitizations Corp 2000-5
-- Cl. A-6, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
-- Cl. A-7, Downgraded to Ca; previously on 8/31/2004 Downgraded
to Caa1
Conseco Finance Securitizations Corp 2000-6
-- Cl. A-5, Downgraded to Caa3; previously on 8/2/2006
Downgraded to B3
Conseco Finance Securitizations Corp 2001-1
-- Cl. A-5, Downgraded to Caa3; previously on 8/2/2006
Downgraded to B3
-- Cl. IO, Downgraded to Caa3; previously on 8/31/2004
Downgraded to Baa3
Conseco Finance Securitizations Corp 2001-3
-- Class A-4, Downgraded to Caa2; previously on 8/2/2006
Downgraded to B1
-- Class A-IO, Downgraded to Caa2; previously on 8/31/2004
Downgraded to Baa3
Conseco Finance Securitizations Corp 2002-1
-- Class M-2, Downgraded to Ca; previously on 8/2/2006
Downgraded to Caa2
CSFB ABS Trust Manufactured Housing Pass-Thru 2001-MH29
-- Cl. B-1, Downgraded to Ca; previously on 12/5/2001 Assigned
Baa2
-- Cl. B-2, Downgraded to Baa2 and Placed Under Review for
Possible Downgrade; previously on 12/5/2001 Assigned A2
-- Cl. M-1, Downgraded to A2; previously on 12/5/2001 Assigned
Aa2
-- Cl. M-2, Downgraded to B1; previously on 12/5/2001 Assigned
A2
CSFB ABS Trust Series 2002-MH3
-- Cl. A, Downgraded to A2; previously on 5/6/2002 Assigned Aaa
-- Cl. B-1, Downgraded to C; previously on 6/9/2006 Downgraded
to Ba3
-- Cl. B-2, Downgraded to Baa2 and Placed Under Review for
Possible Downgrade; previously on 5/6/2002 Assigned A2
-- Cl. M-1, Downgraded to Ba2; previously on 5/6/2002 Assigned
Aa2
-- Cl. M-2, Downgraded to Ca; previously on 6/9/2006 Downgraded
to Baa2
Deutsche Financial Capital Sec LLC, 1997-I
-- Class A-3, Downgraded to Baa2; previously on 4/8/2004
Downgraded to A3
-- Class A-4, Downgraded to Baa2; previously on 4/8/2004
Downgraded to A3
-- Class A-5, Downgraded to Baa2; previously on 4/8/2004
Downgraded to A3
-- Class A-6, Downgraded to Baa2; previously on 4/8/2004
Downgraded to A3
-- Class M, Downgraded to Ca; previously on 4/8/2004 Downgraded
to B3
Deutsche Financial Capital Sec LLC, 1998-I
-- Class A-2, Downgraded to B3; previously on 4/8/2004
Downgraded to Baa1
-- Class A-3, Downgraded to B3; previously on 4/8/2004
Downgraded to Baa1
-- Class A-4, Downgraded to B3; previously on 4/8/2004
Downgraded to Baa1
-- Class A-5, Downgraded to B3; previously on 4/8/2004
Downgraded to Baa1
-- Class A-6, Downgraded to B3; previously on 4/8/2004
Downgraded to Baa1
-- Class A-7, Downgraded to B3; previously on 4/8/2004
Downgraded to Baa1
-- Class M, Downgraded to C; previously on 4/8/2004 Downgraded
to Caa2
Green Tree Financial Corporation MH 1992-02
-- B, Downgraded to Caa3; previously on 12/29/2003 Downgraded to
Caa1
Green Tree Financial Corporation MH 1993-01
-- B, Downgraded to Caa3; previously on 8/2/2006 Downgraded to
Caa1
Green Tree Financial Corporation MH 1993-02
-- B, Downgraded to Caa3; previously on 12/13/2004 Downgraded to
Caa1
Green Tree Financial Corporation MH 1993-03
-- B, Downgraded to Caa3; previously on 12/29/2003 Downgraded to
Caa1
Green Tree Financial Corporation MH 1995-03
-- B-1, Downgraded to B1; previously on 8/2/2006 Downgraded to
Ba2
Green Tree Financial Corporation MH 1995-04
-- B-1, Downgraded to Caa3; previously on 12/29/2003 Downgraded
to B1
Green Tree Financial Corporation MH 1995-05
-- B-1, Downgraded to Caa2; previously on 12/29/2003 Downgraded
to B1
Green Tree Financial Corporation MH 1995-06
-- B-1, Downgraded to Ca; previously on 8/2/2006 Downgraded to
B3
-- M-1, Downgraded to Ba3; previously on 12/29/2003 Downgraded
to Baa2
Green Tree Financial Corporation MH 1995-08
-- B-1, Downgraded to Ca; previously on 12/29/2003 Downgraded to
B3
-- M-1, Downgraded to A2; previously on 12/29/2003 Downgraded to
A1
Green Tree Financial Corporation MH 1995-09
-- B-1, Downgraded to Caa1; previously on 12/29/2003 Downgraded
to B3
-- M-1, Downgraded to A3; previously on 12/29/2003 Downgraded to
A2
Green Tree Financial Corporation MH 1995-10
-- B-1, Downgraded to Ca; previously on 12/29/2003 Downgraded to
B3
-- M-1, Downgraded to Baa1; previously on 12/21/1995 Assigned
Aa3
Green Tree Financial Corporation MH 1996-01
-- B-1, Downgraded to Ca; previously on 12/29/2003 Downgraded to
B3
-- M-1, Downgraded to Ba2; previously on 12/29/2003 Downgraded
to Baa1
Green Tree Financial Corporation MH 1996-02
-- M-1, Downgraded to Caa2; previously on 8/2/2006 Downgraded to
B3
Green Tree Financial Corporation MH 1996-03
-- A-5, Downgraded to A1; previously on 12/29/2003 Downgraded to
Aa1
-- A-6, Downgraded to A1; previously on 12/29/2003 Downgraded to
Aa1
-- M-1, Downgraded to Ca; previously on 8/2/2006 Downgraded to
Caa2
Green Tree Financial Corporation MH 1996-04
-- A-6, Downgraded to A3; previously on 12/13/2004 Downgraded to
A2
-- A-7, Downgraded to A3; previously on 12/13/2004 Downgraded to
A2
-- M-1, Downgraded to Ca; previously on 8/2/2006 Downgraded to
Caa2
Green Tree Financial Corporation MH 1996-05
-- A-6, Downgraded to A1; previously on 12/29/2003 Downgraded to
Aa3
-- A-7, Downgraded to A1; previously on 12/29/2003 Downgraded to
Aa3
-- M-1, Downgraded to Ca; previously on 8/2/2006 Downgraded to
Caa2
Green Tree Financial Corporation MH 1996-06
-- M-1, Downgraded to Ca; previously on 12/13/2004 Downgraded to
B3
Green Tree Financial Corporation MH 1996-07
-- M-1, Downgraded to Caa2; previously on 12/13/2004 Downgraded
to B1
Green Tree Financial Corporation MH 1996-08
-- A-6, Downgraded to Aa3; previously on 12/29/2003 Downgraded
to Aa2
-- A-7, Downgraded to Aa3; previously on 12/29/2003 Downgraded
to Aa2
-- M-1, Downgraded to Ca; previously on 12/13/2004 Downgraded to
B3
Green Tree Financial Corporation MH 1996-09
-- M-1, Downgraded to Ca; previously on 12/13/2004 Downgraded to
B2
Green Tree Financial Corporation MH 1997-01
-- M-1, Downgraded to Ca; previously on 12/13/2004 Downgraded to
B3
Green Tree Financial Corporation MH 1997-02
-- A-6, Downgraded to Baa3; previously on 12/13/2004 Downgraded
to Baa1
-- A-7, Downgraded to Baa3; previously on 12/13/2004 Downgraded
to Baa1
-- M-1, Downgraded to Ca; previously on 12/13/2004 Downgraded to
Caa1
Green Tree Financial Corporation MH 1997-03
-- A-5, Downgraded to Ba1; previously on 12/13/2004 Downgraded
to Baa1
-- A-6, Downgraded to Ba1; previously on 12/13/2004 Downgraded
to Baa1
-- A-7, Downgraded to Ba1; previously on 12/13/2004 Downgraded
to Baa1
-- M-1, Downgraded to Ca; previously on 12/13/2004 Downgraded to
Caa1
Green Tree Financial Corporation MH 1997-04
-- M-1, Downgraded to Ca; previously on 12/13/2004 Downgraded to
B3
Green Tree Financial Corporation MH 1997-05
-- M-1, Downgraded to Caa2; previously on 12/13/2004 Downgraded
to B2
Green Tree Financial Corporation MH 1997-07
-- A-10, Downgraded to Baa1; previously on 12/29/2003 Downgraded
to A3
-- A-6, Downgraded to Baa1; previously on 12/29/2003 Downgraded
to A3
-- A-7, Downgraded to Baa1; previously on 12/29/2003 Downgraded
to A3
-- A-8, Downgraded to Baa1; previously on 12/29/2003 Downgraded
to A3
-- A-9, Downgraded to Baa1; previously on 12/29/2003 Downgraded
to A3
-- M-1, Downgraded to Ca; previously on 8/2/2006 Downgraded to
Caa2
Green Tree Financial Corporation MH 1998-01
-- M-1, Downgraded to Ca; previously on 8/2/2006 Downgraded to
Caa2
Green Tree Financial Corporation MH 1998-02
-- A-5, Downgraded to Ba3; previously on 12/13/2004 Downgraded
to Baa3
-- A-6, Downgraded to Ba3; previously on 8/2/2006 Downgraded to
Ba1
-- M-1, Downgraded to C; previously on 8/2/2006 Downgraded to Ca
Green Tree Financial Corporation MH 1998-04
-- A-5, Downgraded to B3; previously on 8/2/2006 Downgraded to
Ba3
-- A-6, Downgraded to B3; previously on 8/2/2006 Downgraded to
Ba3
-- A-7, Downgraded to B3; previously on 8/2/2006 Downgraded to
Ba3
-- M-1, Downgraded to C; previously on 8/2/2006 Downgraded to Ca
Green Tree Financial Corporation MH 1998-05
-- A-1, Downgraded to B3; previously on 8/2/2006 Downgraded to
Ba1
-- M-1, Downgraded to C; previously on 8/2/2006 Downgraded to Ca
Green Tree Financial Corporation MH 1998-07
-- A-1, Downgraded to B1; previously on 8/2/2006 Downgraded to
Ba1
-- M-1, Downgraded to C; previously on 8/2/2006 Downgraded to
Caa3
Green Tree Financial Corporation MH 1998-08
-- A-1, Downgraded to B3; previously on 8/2/2006 Downgraded to
Ba2
-- M-1, Downgraded to C; previously on 8/2/2006 Downgraded to
Caa3
Greenpoint Manufactured Housing Contract Trust 1999-5
-- Cl. A-5, Downgraded to Ba2; previously on 10/6/2004
Downgraded to Ba1
-- Cl. M-1 B, Downgraded to C; previously on 10/6/2004
Downgraded to Ca
Greenpoint Manufactured Housing Contract Trust 2001-1
-- Cl. I M-2, Downgraded to B1; previously on 3/30/2001 Assigned
Aa3
-- Cl. II M-2, Downgraded to B1; previously on 3/30/2001
Assigned Aa3
IndyMac MH Contract 1997-1
-- A-2, Downgraded to Ca; previously on 9/24/2004 Downgraded to
B1
-- A-3, Downgraded to Ca; previously on 9/24/2004 Downgraded to
B1
-- A-4, Downgraded to Ca; previously on 9/24/2004 Downgraded to
B1
-- A-5, Downgraded to Ca; previously on 9/24/2004 Downgraded to
B1
-- A-6, Downgraded to Ca; previously on 9/24/2004 Downgraded to
B1
IndyMac MH Contract 1998-1
-- A-3, Downgraded to Ca; previously on 9/24/2004 Downgraded to
B3
-- A-4, Downgraded to Ca; previously on 9/24/2004 Downgraded to
B3
-- A-5, Downgraded to Ca; previously on 9/24/2004 Downgraded to
B3
Mid-State Capital Corporation 2005-1 Trust
-- Cl. A, Downgraded to Ba1; previously on 12/20/2005 Assigned
Aaa
-- Cl. B, Downgraded to Ca; previously on 12/20/2005 Assigned
Baa2
-- Cl. M-1, Downgraded to B3; previously on 12/20/2005 Assigned
Aa2
-- Cl. M-2, Downgraded to Ca; previously on 12/20/2005 Assigned
A2
Mid-State Capital Corporation 2006-1 Trust
-- Cl. A, Downgraded to Ba3; previously on 11/13/2006 Assigned
Aaa
-- Cl. B, Downgraded to Ca; previously on 11/13/2006 Assigned
Baa2
-- Cl. M-1, Downgraded to Ca; previously on 11/13/2006 Assigned
Aa2
-- Cl. M-2, Downgraded to Ca; previously on 11/13/2006 Assigned
A2
Mid-State Trust VI
-- A-1, Downgraded to A1; previously on 6/11/1997 Assigned Aaa
-- A-2, Downgraded to Baa3; previously on 6/11/1997 Assigned Aa2
-- A-3, Downgraded to B2; previously on 6/11/1997 Assigned A2
-- A-4, Downgraded to C; previously on 6/11/1997 Assigned Baa2
Mid-State Trust X
-- Cl. A-1, Downgraded to B1; previously on 11/20/2001 Assigned
Aaa
-- Cl. A-2, Downgraded to B1; previously on 11/20/2001 Assigned
Aaa
-- Cl. B, Downgraded to Ca; previously on 11/20/2001 Assigned
Baa2
-- Cl. M-1, Downgraded to Ca; previously on 11/20/2001 Assigned
Aa2
-- Cl. M-2, Downgraded to Ca; previously on 11/20/2001 Assigned
A2
Mid-State Trust XI
-- Cl. A, Downgraded to Ba1; previously on 7/14/2003 Assigned
Aaa
-- Cl. B, Downgraded to Ca; previously on 7/14/2003 Assigned
Baa2
-- Cl. M-1, Downgraded to B3; previously on 7/14/2003 Assigned
Aa2
-- Cl. M-2, Downgraded to Ca; previously on 7/14/2003 Assigned
A2
Oakwood Mortgage Investors, Inc. 1997-D
-- A-3, Downgraded to A3; previously on 3/25/2004 Downgraded to
A2
-- A-4, Downgraded to A3; previously on 3/25/2004 Downgraded to
A2
-- A-5, Downgraded to A3; previously on 3/25/2004 Downgraded to
A2
-- M, Downgraded to Caa1; previously on 3/25/2004 Downgraded to
Ba3
Oakwood Mortgage Investors, Inc. 1998-A
-- M, Downgraded to Ca; previously on 3/25/2004 Downgraded to
Caa1
Oakwood Mortgage Investors, Inc. 1998-C
-- A, Downgraded to B3; previously on 12/21/2004 Downgraded to
Baa3
-- A-1 AR M, Downgraded to B3; previously on 12/21/2004
Downgraded to Baa3
-- M-1, Downgraded to C; previously on 12/21/2004 Downgraded to
Ca
Oakwood Mortgage Investors, Inc. 1999-A
-- A-2, Downgraded to B3; previously on 12/21/2004 Downgraded to
Ba1
-- A-3, Downgraded to B3; previously on 12/21/2004 Downgraded to
Ba1
-- A-4, Downgraded to B3; previously on 12/21/2004 Downgraded to
Ba1
-- A-5, Downgraded to B3; previously on 12/21/2004 Downgraded to
Ba1
-- M-1, Downgraded to C; previously on 3/25/2004 Downgraded to
Caa3
Oakwood Mortgage Investors, Inc. 1999-B
-- A-2, Downgraded to Ca; previously on 3/25/2004 Downgraded to
B3
-- A-3, Downgraded to Ca; previously on 3/25/2004 Downgraded to
B3
-- A-4, Downgraded to Ca; previously on 3/25/2004 Downgraded to
B3
Oakwood Mortgage Investors, Inc. 1999-D
-- A-1, Downgraded to Ca; previously on 3/25/2004 Downgraded to
Caa1
Oakwood Mortgage Investors, Inc., 1998-D
-- A, Downgraded to Caa1; previously on 12/21/2004 Downgraded to
Ba1
-- A-1 AR M, Downgraded to Caa1; previously on 12/21/2004
Downgraded to Ba1
-- M-1, Downgraded to C; previously on 3/25/2004 Downgraded to
Ca
OMI Trust 2000-C
-- Cl. A-1, Downgraded to Ca; previously on 12/21/2004
Downgraded to B2
OMI Trust 2000-D
-- Cl. A-3, Downgraded to Ca; previously on 12/21/2004
Downgraded to Caa1
-- Cl. A-4, Downgraded to C; previously on 12/21/2004 Downgraded
to Caa3
OMI Trust 2001-B
-- Cl. A-2, Downgraded to Caa3; previously on 12/21/2004
Downgraded to Ba3
-- Cl. A-3, Downgraded to Caa3; previously on 12/21/2004
Downgraded to Ba3
-- Cl. A-4, Downgraded to Caa3; previously on 12/21/2004
Downgraded to Ba3
OMI Trust 2001-C
-- Cl. A-IO, Downgraded to Ca; previously on 12/21/2004
Downgraded to Caa3
OMI Trust 2001-D
-- Cl. A-1, Downgraded to Ca; previously on 12/21/2004
Downgraded to B2
-- Cl. A-2, Downgraded to Ca; previously on 12/21/2004
Downgraded to B2
-- Cl. A-3, Downgraded to Ca; previously on 12/21/2004
Downgraded to B2
-- Cl. A-4, Downgraded to Ca; previously on 12/21/2004
Downgraded to B2
-- Cl. A-IO, Downgraded to Ca; previously on 12/21/2004
Downgraded to B1
OMI Trust 2001-E
-- Cl. A-1, Downgraded to Ca; previously on 12/21/2004
Downgraded to B3
-- Cl. A-2, Downgraded to Ca; previously on 12/21/2004
Downgraded to B3
-- Cl. A-3, Downgraded to Ca; previously on 12/21/2004
Downgraded to B3
-- Cl. A-4, Downgraded to Ca; previously on 12/21/2004
Downgraded to B3
-- Cl. A-IO, Downgraded to Ca; previously on 12/21/2004
Downgraded to B2
OMI Trust 2002-A
-- Cl. A-1, Downgraded to Ca; previously on 12/21/2004
Downgraded to B1
-- Cl. A-2, Downgraded to Ca; previously on 12/21/2004
Downgraded to B1
-- Cl. A-3, Downgraded to Ca; previously on 12/21/2004
Downgraded to B1
-- Cl. A-4, Downgraded to Ca; previously on 12/21/2004
Downgraded to B1
-- Cl. A-IO, Downgraded to Ca; previously on 3/25/2004
Downgraded to Ba3
-- Cl. M-1, Downgraded to C; previously on 3/25/2004 Downgraded
to Ca
OMI Trust 2002-B
-- Cl. A-1, Downgraded to Ca; previously on 12/21/2004
Downgraded to Ba2
-- Cl. A-2, Downgraded to Ca; previously on 12/21/2004
Downgraded to Ba2
-- Cl. A-3, Downgraded to Ca; previously on 12/21/2004
Downgraded to Ba2
-- Cl. A-4, Downgraded to Ca; previously on 12/21/2004
Downgraded to Ba2
-- Cl. IO, Downgraded to Ca; previously on 3/25/2004 Downgraded
to Ba1
-- Cl. M-1, Downgraded to C; previously on 3/25/2004 Downgraded
to Ca
OMI Trust 2002-C
-- Cl. A-1, Downgraded to Ca; previously on 3/25/2004 Downgraded
to Ba1
-- Cl. A-IO, Downgraded to Ca; previously on 3/25/2004
Downgraded to Ba1
-- Cl. M-1, Downgraded to C; previously on 3/25/2004 Downgraded
to Ca
Origen Manufactured Housing Contract Trust 2001-A
-- Cl. A-5, Downgraded to Caa2; previously on 9/7/2004
Downgraded to A2
-- Cl. A-6, Downgraded to Caa3; previously on 9/7/2004
Downgraded to A2
-- Cl. A-7, Downgraded to Caa2; previously on 9/7/2004
Downgraded to A2
-- Cl. M-1, Downgraded to C; previously on 1/17/2007 Downgraded
to B3
Origen Manufactured Housing Contract Trust 2002-A
-- Cl. B-1, Downgraded to Ca; previously on 9/7/2004 Downgraded
to Caa3
Origen Manufactured Housing Contract Trust 2005-B
-- Cl. B-1, Downgraded to Baa3; previously on 12/21/2005
Assigned Baa2
-- Cl. B-2, Downgraded to Ba2; previously on 12/21/2005 Assigned
Baa3
Signal Securitization Corp. MH 1998-2
-- Class A, Downgraded to Caa3; previously on 10/29/2004
Downgraded to B1
UCFC Funding Corporation 1997-2
-- M, Downgraded to B3; previously on 9/28/2004 Downgraded to B2
UCFC Funding Corporation 1997-3
-- A-4, Downgraded to Ba3; previously on 9/28/2004 Downgraded to
Baa2
-- M, Downgraded to C; previously on 9/28/2004 Downgraded to Ca
UCFC Funding Corporation 1997-4
-- A-4, Downgraded to Ca; previously on 9/28/2004 Downgraded to
B1
-- M, Downgraded to C; previously on 9/28/2004 Downgraded to Ca
UCFC Funding Corporation 1998-1
-- A-3, Downgraded to Caa3; previously on 9/28/2004 Downgraded
to Baa3
-- M, Downgraded to C; previously on 9/28/2004 Downgraded to Ca
UCFC Funding Corporation 1998-2
-- A-4, Downgraded to Caa3; previously on 9/28/2004 Downgraded
to Ba2
-- M-1, Downgraded to C; previously on 9/28/2004 Downgraded to
Ca
Vanderbilt Mortgage and Finance Inc. 1997-A
-- I A-6, Downgraded to Aa3; previously on 3/7/2005 Upgraded to
Aa2
Vanderbilt Mortgage and Finance Inc. 1997-B
-- I A-6, Downgraded to A3; previously on 5/28/1997 Assigned Aa3
Vanderbilt Mortgage and Finance Inc. 1997-C
-- I A-6, Downgraded to A2; previously on 8/29/1997 Assigned Aa3
Vanderbilt Mortgage and Finance Inc. 1997-D
-- I A-6, Downgraded to A2; previously on 12/1/1997 Assigned Aa3
Vanderbilt Mortgage and Finance Inc. 1998-A
-- I A-6, Downgraded to A1; previously on 3/5/1998 Assigned Aa3
Vanderbilt Mortgage and Finance Inc. 1998-B
-- I A-6, Downgraded to A1; previously on 5/27/1998 Assigned Aa3
Vanderbilt Mortgage and Finance Inc. 1999-A
-- I A-6, Downgraded to A3; previously on 2/26/1999 Assigned Aa3
-- I M-1, Downgraded to Ba2; previously on 2/26/1999 Assigned A2
Vanderbilt Mortgage and Finance Inc. 1999-D
-- Cl. IIA-1, Downgraded to Aa2; previously on 11/30/1999
Assigned Aaa
-- Cl. IIB-4, Upgraded to Baa1; previously on 11/30/1999
Assigned Baa2
Vanderbilt Mortgage and Finance Inc. 2000-B
-- Cl. IA-5, Downgraded to A2; previously on 5/31/2000 Assigned
Aa3
-- Cl. IM-1, Downgraded to Ba1; previously on 5/31/2000 Assigned
A2
Vanderbilt Mortgage and Finance Inc. 2000-C
-- Cl. M-1, Downgraded to Baa1; previously on 8/29/2000 Assigned
A2
Vanderbilt Mortgage and Finance Inc. 2001-A
-- Cl. A-5, Downgraded to A1; previously on 2/28/2001 Assigned
Aa2
-- Cl. B-1, Downgraded to Ba2; previously on 2/28/2001 Assigned
Baa2
-- Cl. M-1, Downgraded to Baa3; previously on 2/28/2001 Assigned
A2
Vanderbilt Mortgage and Finance, Inc. 2001-C
-- Cl. M-1, Downgraded to Baa1; previously on 11/29/2001
Assigned A2
Vanderbilt Mortgage and Finance, Inc. 2001-B
-- Cl. A-5, Downgraded to Aa3; previously on 8/23/2001 Assigned
Aa2
-- Cl. B-1, Downgraded to Baa3; previously on 8/23/2001 Assigned
Baa2
-- Cl. M-1, Downgraded to Baa2; previously on 8/23/2001 Assigned
A2
Vanderbilt Mortgage and Finance, Inc. 2002-A
-- Cl. A-5, Downgraded to A2; previously on 2/26/2002 Assigned
Aa2
-- Cl. B-1, Downgraded to Ba3; previously on 2/26/2002 Assigned
Baa2
-- Cl. M-1, Downgraded to Ba1; previously on 2/26/2002 Assigned
A2
Vanderbilt Mortgage and Finance, Inc. 2002-B
-- Cl. B-1, Downgraded to Ba1; previously on 8/29/2002 Assigned
Baa2
-- Cl. M-1, Downgraded to A3; previously on 8/29/2002 Assigned
A2
Vanderbilt Mortgage and Finance, Inc. 2002-C
-- Cl. B-1, Downgraded to Ca; previously on 2/10/2003 Assigned
Baa2
* Moody's Cuts Rating on 429 Tranches From 89 Trust Preferred CDOs
------------------------------------------------------------------
Moody's has downgraded 429 tranches across 89 Trust Preferred
CDOs. The downgrades are prompted by the exposure of these TRUP
CDOs to trust preferred securities issued by small to medium sized
U.S. community bank and insurance companies. Due to the continued
credit crisis and weak economic conditions, the number of interest
payment deferrals and defaults has sharply increased in the past
year and is expected to continue to rise. As a result, the number
of assumed problematic banks has increased from roughly 200 in
November 2008 to about 300. This corresponds to a significant
increase in FDIC problematic banks from 171 last September to 252
at year-end.
Moody's believes that while the various actions proposed by the
Federal Reserve, Treasury, and FDIC are positive developments for
the financial sector, it may not be sufficient to prevent further
deferral of interest payment on their trust preferred securities
for the weaker banks and insurance companies in TRUP CDOs.
The rating actions are the result of using a combination of these
analysis: (1) Coverage level and problem bank analysis (2) Event
of default analysis (3) Cash-flow analysis (4) Pass-through of the
underlying portfolio credit analysis (5) Break-even analysis.
Coverage Level and problem bank analysis
For each rated tranche, Moody's calculated a coverage ratio. The
coverage ratio was the performing collateral par over the current
tranche being evaluated, including more senior tranches. The
performing collateral excluded all Moody's defaulted par. To
calculate the Moody's defaulted par, Moody's assumed there will be
zero recovery on the 99 bank trust preferred securities in the 89
rated TRUP CDOs that are currently deferring interest payment or
were closed by their regulator. The coverage ratios are used in
benchmarking the general rating levels for tranches across the
capital structure of these transactions. For example, for super
senior tranches, Moody's generally requires more than 400%
coverage to achieve a Aaa rating, more than 200% coverage to
achieve a Aa rating level or more than 150% to achieve a single-A
rating level.
Moody's also calculated two financial ratios for every bank in the
collateral portfolio. The first ratio is calculated: (non-current
loans plus other real estate owned) divided by (tangible common
equity plus allowance for loan losses) ("First Ratio"). The
second ratio is calculated: (non-current loans plus other real
estate owned plus 20% of current construction and development
loans) divided by (tangible common equity plus allowance for loan
losses) ("Second Ratio"). If the First Ratio is above 150% or the
Second Ratio is above 175%, for purposes of these rating actions,
Moody's assumed these banks to be defaulted with a zero recovery.
These cutoffs for the First Ratio and Second Ratio were used to
identify about 200 banks and thrifts that Moody's considered
problematic of the roughly 8400 FDIC insured US banks and thrifts.
Moody's also used the quantitative V3.1 Risk Calc Model for
private banks, with an adjustment to account for Moody's position
in the current credit cycle downturn (the "Model") to identify
another 100 US banks and thrifts that scored poorly and were
assumed defaulted with a zero recovery. Most banks that have been
closed by the FDIC have deferred on their trust preferred
securities, had levels above the First Ratio or Second Ratio, or
scored poorly in the Model. In addition, there are three
insurance companies that are currently deferring interest payment
or have defaulted. Moody's assumed these insurance names were
defaulted with zero recovery.
Event of Default analysis
To date, there are no Moody's rated TRUP CDOs that have declared
an Event of Default. The most likely reason a TRUP CDO would
trigger an EOD is non-payment of interest on a non-deferrable
tranche or a senior coverage test falling below 100% caused by
deferral of payment by a sufficient number of the underlying
securities. EOD vary across TRUP CDOs and was taken into account
for each rating action. For these rating actions, Moody's assumed
liquidation would not result if EOD occurs because most of the
underlying collateral does not have an active market making it
difficult to sell the portfolio. Instead, if EOD occurs, Moody's
assumed the controlling class would rather elect to accelerate
cash flows from the underlying performing securities.
There are uncertainties with EOD and although no tranches remain
on review for possible downgrade, further downgrades may be
warranted if an EOD is triggered within the TRUP CDO. Generally
speaking, for deals with a material EOD risk, the junior Aaa
tranches' rating was capped at Ba1.
Cash Flow Modeling Analysis
Moody's looked at scenarios from its cash flow model using the
correlated binomial distribution with a higher emphasis on
scenarios in which deferrals were spiked in the first year of the
analysis. The major inputs into the cash flow model are the
default probability, correlations, and recovery rates.
To calculate the default probability of banks, Moody's first
removed all assumed defaults. Next, two financial ratios were
calculated for every bank in the collateral portfolio. If the
First Ratio is above 100% or the Second Ratio is above 130%,
Moody's assumed these banks had an implied default probability
Rating Factor of 6500, which translates into an implied default
probability rating of Caa2. Although these banks were not
considered defaulted, the likelihood of moving to default is high.
For any bank which was not publicly rated or which did not exceed
the First or Second Ratio thresholds outlined above, default
probability was determined using the Model. To account for the
inherent limitations of statistical models and adverse selection,
the most favorable implied default probability Rating Factor
assumed from the Model was 360, which translates into an implied
default probability rating of Baa2. This is about equal to the 30
year historical U.S. bank default rate. To account for the
increased likelihood of deferral on the bank TRUPs in the current
environment, the pool-wide default probability was multiplied by
1.25. Although there is not any historical context to evaluate
the likeliness of bank deferrals, Moody's ultimately believes
there will be more deferrals than defaults.
For insurance companies, Moody's now supplements the use of the
quantitative insurance model developed by MKMV for estimating
default probabilities of unrated companies with an independent
fundamental review by an analyst from Moody's rating estimates
team. Similar to Moody's approach to the modeling of banks,
Moody's accounts for model limitations and adverse selection by
capping the implied default probability Rating Factor. The cap is
set at Baa3, one notch below the Baa2 level for banks because of
the uncertainties of the investment portfolios for the insurance
companies. Also, similarly to account for the increased
likelihood of deferral/default in the current environment, the
pool-wide default probability was multiplied by 1.25. Much like
banks, Moody's believes there will be more deferrals than defaults
in the current environment.
For correlation, Moody's discontinued the practice of granting
diversity credit for the distinction between banks and thrifts.
Moody's also increased the assumed correlation between bank
regions, to 10% from 0%. The assumed correlation between banks
within any one of the five US regions remained at 45%. Moody's
modified the correlation approach for insurance companies by
breaking out P&C issuers by region opposed to 12 product lines.
Moody's assumed five property/casualty regions, which are the same
regions used for banks, and one life/health classification. The
correlation for P&C issuers, L&H issuers, and bank issuers in the
same region was 45%. The inter-industry correlation between P&C
issuers, L&H issuers, and bank issuers in different regions was
10%. Among these various modifications to Moody's rating
parameters, the update to the default probability assumptions was
a much larger driver than the correlation update.
Moody's continued to assume a 10% recovery rate for bank trust
preferred securities in its cash flow analysis. This recovery
rate represents the likelihood that some banks that defer interest
payments may ultimately pay cumulative interest without
defaulting. Moody's also continued to assume a 5% recovery rate
for insurance companies in its cash flow analysis due to less
support by the industry to problem insurance companies.
Other than the assumptions noted above, the cash flow model also
used the approach outlined in Moody's Approach to Rating U.S. Bank
Trust Preferred Security CDOs, April 14, 2004 and Moody's Approach
to Rating Insurance Trust Preferred Security CDOs, April 1, 2004.
Pass-through analysis
For some TRUP CDOs, especially the early vintage bank TRUP CDOs, a
pass through to the underlying default probabilities was assumed
for the current rating. For some of these TRUP CDOs, a
substantial number of issuers called their TRUPs at par and only a
few issuers remain in the portfolio to support one tranche of
debt. Most of these calls occurred many years ago when there was
an active TRUP CDO market. Going forward, Moody's does not
anticipate future calls of TRUP securities.
Break-even analysis
Moody's looked at scenarios to see how many underlying TRUPs could
default before a loss would be realized on a tranche. This
analysis was mainly used as a supplement to the other methods to
make sure the current subordination was sufficient for each
assigned rating.
In order to promote market transparency, Moody's encourages the
underwriters and collateral managers for all TRUP CDOs to publish
the list of collateral securities in each of their respective
CDOs. TRUP CDOs with exposure to REITS will be reviewed in the
coming weeks.
ALESCO Preferred Funding I, Ltd.
-- Current Model WARF [1]: 1,624
-- Current Assumed Defaulted Amount: $52,500,000
-- Model WARF for November 2008 rating actions [1] [2]: 1473
-- Assumed Defaulted Amount (November 2008 rating actions):
$17,500,000
-- US$149,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2033, Downgraded to Aa3; previously
on 11/12/2008 Downgraded to Aa1 and on review for possible
downgrade
-- US$66,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2033, Downgraded to Ba1; previously
on 11/12/2008 Downgraded to Aa3 on review for possible
downgrade
-- US$56,700,000 Class B-1 Mezzanine Secured Floating Rate Notes
Due 2033, Downgraded to Ca; previously on 11/12/2008
Downgraded to B3
-- US$45,000,000 Class B-2 Mezzanine Secured Fixed/Floating Rate
Notes Due 2033, Downgraded to Ca; previously on 11/12/2008
Downgraded to B3
ALESCO Preferred Funding II, Ltd.
-- Current Model WARF [1]: 1,439
-- Current Assumed Defaulted Amount: $50,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 978
-- Assumed Defaulted Amount (November 2008 rating actions):
$40,000,000
-- US$150,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes, Downgraded to Aa3; previously on
11/12/2008 Downgraded to Aa1 and on review for possible
downgrade
-- US$66,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes, Downgraded to Ba1; previously on
11/12/2008 Downgraded to Aa3 on review for possible downgrade
-- US$64,300,000 Class B-1 Mezzanine Secured Floating Rate
Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded
to B2
-- US$40,000,000 Class B-2 Mezzanine Secured Fixed/Floating Rate
Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded
to B2
ALESCO Preferred Funding III, LTD.
-- Current Model WARF [1]: 1,619
-- Current Assumed Defaulted Amount: $63,373,000
-- Model WARF for November 2008 rating actions [1] [2]: 1488
-- Assumed Defaulted Amount (November 2008 rating actions):
$35,000,000
-- US$160,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes, Downgraded to A1; previously on
11/12/2008 Downgraded to Aa1 on Review for possible downgrade
-- US$70,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes, Downgraded to Ba3; previously on
11/12/2008 Downgraded to Aa3 on Review for possible downgrade
-- US$40,500,000 Class B-1 Mezzanine Secured Floating Rate
Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded
to B3
-- US$63,500,000 Class B-2 Mezzanine Secured Fixed/Floating Rate
Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded
to B3
ALESCO Preferred Funding IV, Ltd.
-- Current Model WARF [1]: 1,979
-- Current Assumed Defaulted Amount: $80,027,000
-- Model WARF for November 2008 rating actions [1] [2]: 1843
-- Assumed Defaulted Amount (November 2008 rating actions):
$38,000,000
-- US$195,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes, Downgraded to A3; previously on
11/12/2008 Downgraded to Aa2 on Review for possible downgrade
-- US$63,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes, Downgraded to Ba3; previously on
11/12/2008 Downgraded to A2 on Review for possible downgrade
-- US$7,000,000 Class A-3 Second Priority Senior Secured
Fixed/Floating Rate Notes, Downgraded to Ba3; previously on
11/12/2008 Downgraded to A2 on Review for possible downgrade
-- US$62,380,000 Class B-1 Mezzanine Secured Floating Rate
Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded
to Caa2
-- US$51,620,000 Class B-2 Mezzanine Secured Fixed/Floating Rate
Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded
to Caa2
-- US$3,000,000 Class B-3 Mezzanine Secured Fixed/Floating Rate
Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded
to Caa2
ALESCO Preferred Funding V, Ltd.
-- Current Model WARF [1]: 1,227
-- Current Assumed Defaulted Amount: $64,000,000
-- US$189,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2034, Downgraded to A3; previously on
9/16/2008 Aaa on review for possible downgrade
-- US$42,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2034, Downgraded to Ba1; previously
on 9/16/2008 Aaa on review for possible downgrade
-- US$10,000,000 Class B Deferrable Third Priority Secured
Floating Rate Notes Due 2034, Downgraded to B1; previously on
9/16/2008 Aa2 on review for possible downgrade
-- US$42,350,000 Class C-1 Deferrable Mezzanine Secured Floating
Rate Notes Due 2034, Downgraded to Ca; previously on
9/16/2008 Downgraded to Baa2 on Review for possible downgrade
-- US$37,700,000 Class C-2 Deferrable Mezzanine Secured
Fixed/Floating Rate Notes Due 2034, Downgraded to Ca;
previously on 9/16/2008 Downgraded to Baa2 on Review for
possible downgrade
-- US$4,450,000 Class C-3 Deferrable Mezzanine Secured
Fixed/Floating Rate Notes Due 2034, Downgraded to Ca;
previously on 9/16/2008 Downgraded to Baa2 on Review for
possible downgrade
-- US$6,300,000 Class D Deferrable Subordinate Secured Floating
Rate Notes Due 2034, Downgraded to Ca; previously on
9/16/2008 Downgraded to Ba2 on Review for possible downgrade
ALESCO Preferred Funding VI, Ltd.
-- Current Model WARF [1]: 1,781
-- Current Assumed Defaulted Amount: $134,300,000
-- US$365,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2035, Downgraded to Baa1; previously
on 12/27/2004 Assigned Aaa
-- US$50,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2035, Downgraded to Ba2; previously
on 8/14/2008 Aaa on review for possible downgrade
-- US$20,000,000 Class A-3 Second Priority Senior Secured
Fixed/Floating Rate Notes Due 2035, Downgraded to Ba2;
previously on 8/14/2008 Aaa on review for possible downgrade
-- US$23,000,000 Class B-1 Deferrable Third Priority Secured
Floating Rate Notes Due 2035, Downgraded to Caa1; previously
on 8/14/2008 Aa2 on review for possible downgrade
-- US$12,000,000 Class B-2 Deferrable Third Priority Secured
Fixed/Floating Rate Notes Due 2035, Downgraded to Caa1;
previously on 8/14/2008 Aa2 On review for possible downgrade
-- US$57,500,000 Class C-1 Deferrable Mezzanine Secured Floating
Rate Notes Due 2035, Downgraded to Ca; previously on
8/14/2008 Downgraded to Baa1 on Review for possible downgrade
-- US$46,000,000 Class C-2 Deferrable Mezzanine Secured
Fixed/Floating Rate Notes Due 2035, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Baa1 on Review for
possible downgrade
-- US$10,000,000 Class C-3 Deferrable Mezzanine Secured
Fixed/Floating Rate Notes Due 2035, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Baa1 on Review for
possible downgrade
-- US$27,000,000 Class C-4 Deferrable Mezzanine Secured Fixed
Rate Notes Due 2035, Downgraded to Ca; previously on
8/14/2008 Downgraded to Baa1 on Review for possible downgrade
-- US$17,000,000 Class D-1 Deferrable Subordinate Secured
Floating Rate Notes Due 2035, Downgraded to Ca; previously on
8/14/2008 Downgraded to Ba2 on Review for possible downgrade
-- US$3,000,000 Class D-2 Deferrable Subordinate Secured
Fixed/Floating Rate Notes Due 2035, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Ba2 on Review for
possible downgrade
Alesco Preferred Funding VII, Ltd.
-- Current Model WARF [1]: 1,350
-- Current Assumed Defaulted Amount: $109,300,000
-- US$188,000,000 Class A-1-A First Priority Senior Secured
Floating Rate Notes Due 2035, Downgraded to A3; previously on
11/23/2008 Aaa on review for possible downgrade
-- US$177,000,000 Class A-1-B First Priority Senior Secured
Floating Rate Notes Due 2035, Downgraded to A3; previously on
4/28/2005 Assigned Aaa
-- US$70,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2035, Downgraded to Ba1; previously
on 8/14/2008 Aaa on review for possible downgrade
-- US$35,000,000 Class B Third Priority Secured Floating Rate
Notes Due 2035, Downgraded to B1; previously on 8/14/2008 Aa2
on review for possible downgrade
-- US$123,500,000 Class C-1 Deferrable Mezzanine Secured
Floating Rate Notes Due 2035, Downgraded to Ca; previously on
8/14/2008 Downgraded to Baa1 on Review for possible downgrade
-- US$13,000,000 Class C-2 Deferrable Mezzanine Secured
Fixed/Floating Rate Notes Due 2035, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Baa1 on Review for
possible downgrade
-- US$5,000,000 Class C-3 Deferrable Mezzanine Secured
Fixed/Floating Rate Notes Due 2035, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Baa1 on Review for
possible downgrade
-- US$5,500,000 Class C-4 Deferrable Mezzanine Secured
Fixed/Floating Rate Notes Due 2035, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Baa1 on Review for
possible downgrade
-- US$10,000,000 Class C-5 Deferrable Mezzanine Secured Fixed
Rate Notes Due 2035, Downgraded to Ca; previously on
8/14/2008 Downgraded to Baa1 on Review for possible downgrade
ALESCO PREFERRED FUNDING VIII, LTD.
-- Current Model WARF [1]: 1,618
-- Current Assumed Defaulted Amount: $115,500,000
-- US$110,000,000 Class A-1A Notes, Downgraded to A3; previously
on 8/31/2005 Assigned Aaa
-- US$255,000,000 Class A-1B Notes, Downgraded to A3; previously
on 8/31/2005 Assigned Aaa
-- US$70,000,000 Class A-2 Notes, Downgraded to Ba1; previously
on 8/14/2008 Aaa on review for possible downgrade
-- US$50,000,000 Class B-1 Notes, Downgraded to Caa1; previously
on 8/14/2008 Aa2 on review for possible downgrade
-- US$5,000,000 Class B-2 Notes, Downgraded to Caa1; previously
on 8/14/2008 Aa2 on review for possible downgrade
-- US$78,500,000 Class C-1 Notes, Downgraded to Ca; previously
on 8/14/2008 Downgraded to Baa1 on Review for possible
downgrade
-- US$7,500,000 Class C-2 Notes, Downgraded to Ca; previously on
8/14/2008 Downgraded to Baa1 on Review for possible downgrade
-- US$12,000,000 Class C-3 Notes, Downgraded to Ca; previously
on 8/14/2008 Downgraded to Baa1 on Review for possible
downgrade
-- US$18,000,000 Class D-1 Notes, Downgraded to Ca; previously
on 8/14/2008 Downgraded to Ba1 on Review for possible
downgrade
-- US$4,500,000 Class D-2 Notes, Downgraded to Ca; previously on
8/14/2008 Downgraded to Ba1 on Review for possible downgrade
-- US$14,500,000 Class E Notes, Downgraded to Ca; previously on
8/14/2008 Downgraded to Ba3 on Review for possible downgrade
ALESCO Preferred Funding IX, Ltd.
-- Current Model WARF [1]: 1,623
-- Current Assumed Defaulted Amount: $99,500,000
-- US$365,000,000 Class A-1 First Priority Delayed Draw Senior
Secured Floating Rate Notes Due 2036-1, Downgraded to A3;
previously on 12/22/2005 Assigned Aaa
-- US$59,000,000 Class A-2A Second Priority Senior Secured
Floating Rate Notes Due 2036 -- US$3,000,000 Class A-2B
Second Priority Senior Secured Fixed/Floating Rate Notes Due
2036, Downgraded to Ba1; previously on 8/14/2008 Aaa on
review for possible downgrade
-- US$3,000,000 Class A-2B Second Priority Senior Secured
Fixed/Floating Rate Notes Due 2036 -- US$51,000,000 Class
B-1 Deferrable Third Priority Secured Floating Rate Notes Due
2036, Downgraded to Ba1; previously on 8/14/2008 Aaa on
review for possible downgrade
-- US$51,000,000 Class B-1 Deferrable Third Priority Secured
Floating Rate Notes Due 2036, Downgraded to Caa1; previously
on 8/14/2008 Aa2 on review for possible downgrade
-- US$7,000,000 Class B-2 Deferrable Third Priority Secured
Fixed/Floating Rate Notes Due 2036, Downgraded to Caa1;
previously on 8/14/2008 Aa2 on review for possible downgrade
-- US$54,000,000 Class C-1 Deferrable Fourth Priority Mezzanine
Secured Floating Rate Notes Due 2036, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Baa3 on Review for
possible downgrade
-- US$48,500,000 Class C-2 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes Due 2036, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Baa3 on Review for
possible downgrade
-- US$12,500,000 Class C-3 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes Due 2036, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Baa3 on Review for
possible downgrade
-- US$7,000,000 Class C-4 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes Due 2036, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Baa3 on Review for
possible downgrade
Alesco Preferred Funding X, Ltd.
-- Current Model WARF [1]: 1,881
-- Current Assumed Defaulted Amount: $93,650,000
-- US$489,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2036, Downgraded to A3; previously on
3/30/2006 Assigned Aaa
-- US$119,500,000 Class A-2A Second Priority Senior Secured
Floating Rate Notes Due 2036, Downgraded to Ba1; previously
on 8/14/2008 Aaa on review for possible downgrade
-- US$10,000,000 Class A-2B Second Priority Senior Secured
Fixed/Floating Rate Notes Due 2036, Downgraded to Ba1;
previously on 8/14/2008 Aaa on review for possible downgrade
-- US$82,000,000 Class B Deferrable Third Priority Secured
Floating Rate Notes Due 2036, Downgraded to Caa1; previously
on 8/14/2008 Aa2 on review for possible downgrade
-- US$99,800,000 Class C-1 Deferrable Fourth Priority Mezzanine
Secured Floating Rate Notes Due 2036, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Baa1 on Review for
possible downgrade
-- US$67,000,000 Class C-2 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes Due 2036, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Baa1 on Review for
possible downgrade
ALESCO Preferred Funding XI, Ltd.
-- Current Model WARF [1]: 2,054
-- Current Assumed Defaulted Amount: $72,600,000
-- US$174,000,000 Class A-1A First Priority Senior Secured
Floating Rate Notes due December 23, 2036, Downgraded to A3;
previously on 6/30/2006 Assigned Aaa
-- US$176,000,000 Class A-1B First Priority Delayed Draw Senior
Secured Floating Rate Notes due December 23, 2036, Downgraded
to A3; previously on 6/30/2006 Assigned Aaa
-- US$95,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes due December 23, 2036, Downgraded to Ba1;
previously on 8/14/2008 Aaa on review for possible downgrade
-- US$55,000,000 Class B Deferrable Third Priority Secured
Floating Rate Notes due December 23, 2036, Downgraded to
Caa1; previously on 8/14/2008 Aa2 on review for possible
downgrade
-- US$40,500,000 Class C-1 Deferrable Fourth Priority Mezzanine
Secured Floating Rate Notes due December 23, 2036, Downgraded
to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review
for possible downgrade
-- US$12,000,000 Class C-2 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes due December 23, 2036,
Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1
on Review for possible downgrade
-- US$50,500,000 Class C-3 Deferrable Fourth Priority Mezzanine
Secured Fixed Rate Notes due December 23, 2036, Downgraded to
Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for
possible downgrade
ALESCO Preferred Funding XII, Ltd.
-- Current Model WARF [1]: 1,887
-- Current Assumed Defaulted Amount: $102,000,000
-- US$370,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2037, Downgraded to Baa1; previously
on 8/14/2008 Aaa on review for possible downgrade
-- US$87,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2037, Downgraded to Ba2; previously
on 8/14/2008 Aaa on review for possible downgrade
-- US$70,000,000 Class B Deferrable Third Priority Secured
Floating Rate Notes Due 2037, Downgraded to Caa3; previously
on 8/14/2008 Aa2 on review for possible downgrade
-- US$60,000,000 Class C-1 Deferrable Fourth Priority Mezzanine
Secured Floating Rate Notes Due 2037, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Baa2 on Review for
possible downgrade
-- US$10,000,000 Class C-2 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes Due 2037, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Baa2 on Review for
possible downgrade
-- US$10,000,000 Class X First Priority Senior Secured Floating
Rate Notes Due 2016, Downgraded to Baa1; previously on
10/30/2006 Assigned Aaa
ALESCO Preferred Funding XIII, Ltd.
-- Current Model WARF [1]: 1,869
-- Current Assumed Defaulted Amount: $98,000,000
-- US$250,800,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2037, Downgraded to Baa1; previously
on 12/22/2006 Assigned Aaa
-- US$55,200,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2037, Downgraded to Ba1; previously
on 8/14/2008 Aaa on review for possible downgrade
-- US$80,000,000 Class B Deferrable Third Priority Secured
Floating Rate Notes Due 2037, Downgraded to Caa3; previously
on 8/14/2008 Aa2 on review for possible downgrade
-- US$27,000,000 Class C-1 Deferrable Fourth Priority Mezzanine
Secured Floating Rate Notes Due 2037, Downgraded to Ca;
previously on 7/22/2008 A3 on review for possible downgrade
-- US$33,000,000 Class C-2 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes Due 2037, Downgraded to Ca;
previously on 7/22/2008 A3 on review for possible downgrade
-- US$7,500,000 Class X First Priority Senior Secured Floating
Rate Notes Due 2016, Downgraded to Baa1; previously on
12/22/2006 Assigned Aaa
Alesco Preferred Funding XIV, Ltd.
-- Current Model WARF [1]: 1,842
-- Current Assumed Defaulted Amount: $113,700,000
-- US$430,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2037, Downgraded to A3; previously on
12/22/2006 Assigned Aaa
-- US$80,500,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2037, Downgraded to Ba1; previously
on 8/14/2008 Aaa on review for possible downgrade
-- US$103,000,000 Class B Deferrable Third Priority Secured
Floating Rate Notes Due 2037, Downgraded to Caa1; previously
on 7/22/2008 Aa2 on review for possible downgrade
-- US$12,000,000 Class X First Priority Senior Secured Floating
Rate Notes Due 2016, Downgraded to A3; previously on
12/22/2006 Assigned Aaa
-- US$50,000,000 Class C-1 Deferrable Fourth Priority Mezzanine
Secured Floating Rate Notes Due 2037, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Ba1 on Review for
possible downgrade
-- US$32,000,000 Class C-2 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes Due 2037, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Ba1 on Review for
possible downgrade
-- US$21,000,000 Class C-3 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes Due 2037, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Ba1 on Review for
possible downgrade
ALESCO Preferred Funding XV, Ltd.
-- Current Model WARF [1]: 1,911
-- Current Assumed Defaulted Amount: $83,000,000
-- US$362,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes due December 2037, Downgraded to A3;
previously on 3/29/2007 Assigned Aaa
-- US$78,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes due December 2037, Downgraded to Ba2;
previously on 8/14/2008 Aaa on review for possible downgrade
-- US$35,000,000 Class B-1 Deferrable Third Priority Secured
Floating Rate Notes due December 2037, Downgraded to Caa2;
previously on 8/14/2008 Downgraded to Aa3 on Review for
possible downgrade
-- US$35,000,000 Class B-2 Deferrable Third Priority Secured
Monthly Pay Floating Rate Notes due December 2037, Downgraded
to Caa2; previously on 8/14/2008 Downgraded to Aa3 on Review
for possible downgrade
-- US$75,000,000 Class C-1 Deferrable Fourth Priority Mezzanine
Secured Floating Rate Notes due December 2037, Downgraded to
Ca; previously on 8/14/2008 Downgraded to Ba1 on Review for
possible downgrade
-- US$7,000,000 Class C-2 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes due December 2037,
Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba1
on Review for possible downgrade
ALESCO Preferred Funding XVI, Ltd.
-- Current Model WARF [1]: 1,963
-- Current Assumed Defaulted Amount: $72,000,000
-- US$349,000,000 Class A First Priority Senior Secured Floating
Rate Notes Due 2038, Downgraded to Baa3; previously on
8/14/2008 Aaa on review for possible downgrade
-- US$20,000,000 Class B Deferrable Second Priority Secured
Fixed/Floating Rate Notes Due 2038, Downgraded to Caa3;
previously on 8/14/2008 Downgraded to Aa3 and on review for
possible downgrade
-- US$85,250,000 Class C Deferrable Third Priority Mezzanine
Secured Floating Rate Notes Due 2038, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Ba2 on Review for
possible downgrade
Alesco Preferred Funding XVII, Ltd.
-- Current Model WARF [1]: 1,935
-- Current Assumed Defaulted Amount: $59,000,000
-- US$236,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2038, Downgraded to Baa3; previously
on 11/8/2007 Assigned Aaa
-- US$16,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2038, Downgraded to B1; previously on
9/4/2008 Aaa on review for possible downgrade
-- US$44,000,000 Class B Deferrable Third Priority Secured
Floating Rate Notes Due 2038, Downgraded to Ca; previously on
9/4/2008 Aa2 on review for possible downgrade
-- US$42,000,000 Class C-1 Deferrable Fourth Priority Mezzanine
Secured Floating Rate Notes Due 2038, Downgraded to Ca;
previously on 9/4/2008 A3 on review for possible downgrade
-- US$500,000 Class C-2 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes Due 2038, Downgraded to Ca;
previously on 9/4/2008 A3 on review for possible downgrade
Dekania CDO II, Ltd.
-- Current Model WARF [1]: 1,814
-- Current Assumed Defaulted Amount: $0
-- US$200,000,000 Class A-1, Downgraded to Aa3; previously on
4/30/2004 Assigned Aaa
ICONS, Ltd.
-- Current Model WARF [1]: 2,485
-- Current Assumed Defaulted Amount: $0
-- Class I Component Note, Downgraded to A1; previously on
5/27/2004 Assigned Aaa
-- Class II Component Note, Downgraded to Ba1; previously on
5/27/2004 Assigned Aa1
-- US$8,000,000 CLASS C-1 DEFERRABLE MEZZANINE NOTES DUE 2034,
Downgraded to Caa1; previously on 5/27/2004 Assigned A3
-- US$20,000,000 CLASS C-2 DEFERRABLE MEZZANINE NOTES DUE 2034,
Downgraded to Caa1; previously on 5/27/2004 Assigned A3
-- US$6,000,000 CLASS C-3 DEFERRABLE MEZZANINE NOTES DUE 2034,
Downgraded to Caa1; previously on 5/27/2004 Assigned A3
InCapS Funding II, Ltd.
-- Current Model WARF [1]: 1,826
-- Current Assumed Defaulted Amount: $21,500,000
-- US$118,500,000 Class A-1 Floating Rate Senior Notes Due 2034,
Downgraded to Aa3; previously on 1/5/2004 Assigned Aaa
-- US$50,500,000 Class A-2 Floating Rate Senior Notes Due 2034,
Downgraded to A2; previously on 1/5/2004 Assigned Aaa
I-Preferred Term Securities III, Ltd.
-- Current Model WARF [1]: 2,266
-- Current Assumed Defaulted Amount: $20,000,000
-- Class A-1 Senior Notes due November 2033 (Uninsured),
Downgraded to Aa3; previously on 6/30/2004 Assigned Aaa
-- US$40,000,000 Class A-2 Senior Notes due November 2033,
Downgraded to Baa2; previously on 6/30/2004 Assigned Aaa
-- US$15,000,000 Class A-3 Senior Notes due November 2033,
Downgraded to Baa2; previously on 6/30/2004 Assigned Aaa
-- US$10,000,000 Class A-4 Senior Notes due November 2033,
Downgraded to Baa2; previously on 6/30/2004 Assigned Aaa
-- US$51,000,000Class B-1 Mezzanine Notes due November 2033,
Downgraded to B2; previously on 6/30/2004 Assigned A3
-- US$27,690,000 Class B-2 Mezzanine Notes due November 2033,
Downgraded to B2; previously on 6/30/2004 Assigned A3
-- US$57,500,000 Class B-3 Mezzanine Notes due November 2033,
Downgraded to B2; previously on 6/30/2004 Assigned A3
I-Preferred Term Securities IV, Ltd.
-- Current Model WARF [1]: 1,072
-- Current Assumed Defaulted Amount: $0
-- US$162,500,000 Floating Rate Class A-1 Senior Notes Due June
24, 2034, Downgraded to Aa2; previously on 5/17/2004 Assigned
Aaa
-- US$37,000,000 Floating Rate Class A-2 Senior Notes Due June
24, 2034, Downgraded to Baa1; previously on 5/17/2004
Assigned Aaa
-- US$13,900,000 Fixed/Floating Rate Class A-3 Senior Notes Due
June 24, 2034, Downgraded to Baa1; previously on 5/17/2004
Assigned Aaa
-- US$54,650,000 Floating Rate Class B-1 Mezzanine Notes Due
June 24, 2034, Downgraded to Ba2; previously on 5/17/2004
Assigned Aa3
-- US$25,500,000 Fixed/Floating Rate Class B-2 Mezzanine Notes
Due June 24, 2034, Downgraded to Ba2; previously on 5/17/2004
Assigned Aa3
-- US$12,450,000 Floating Rate Class C Mezzanine Notes Due June
24, 2034, Downgraded to Caa1; previously on 5/17/2004
Assigned Baa2
-- US$6,200,000 Floating Rate Class D Subordinate Notes Due June
24, 2034, Downgraded to Caa2; previously on 7/22/2008 Ba2 on
review for possible downgrade
MM Community Funding Ltd.
-- Current Model WARF [1]: 3,005
-- Current Assumed Defaulted Amount: $27,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1644
-- Assumed Defaulted Amount (November 2008 rating actions):
$21,000,000
-- Class A Floating Rate Senior Notes Due 2031, Downgraded to
Aa1; previously on 7/12/2001 Assigned Aaa
-- Class B Floating Rate Senior Notes Due 2031, Downgraded to
Caa2; previously on 11/12/2008 Downgraded to Ba3
MM Community Funding II, Ltd.
-- Current Model WARF [1]: 445
-- Current Assumed Defaulted Amount: $28,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 346
-- Assumed Defaulted Amount (November 2008 rating actions):
$28,000,000
Class B Floating Rate Senior Notes, Confirmed at Baa2;
previously on 11/12/2008 Downgraded to Baa2 and on review for
possible downgrade
MM COMMUNITY FUNDING III, LTD.
-- Current Model WARF [1]: 603
-- Current Assumed Defaulted Amount: $13,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 590
-- Assumed Defaulted Amount (November 2008 rating actions):
$13,000,000
-- US$177,000,000 Class B Floating Rate Senior Subordinate Notes
Due 2032, Downgraded to Baa3; previously on 11/12/2008
Downgraded to Baa2 and on review for possible downgrade
MM Community Funding IX, Ltd.
-- Current Model WARF [1]: 2,259
-- Current Assumed Defaulted Amount: $31,250,000
-- Model WARF for November 2008 rating actions [1] [2]: 1707
-- Assumed Defaulted Amount (November 2008 rating actions):
$15,250,000
-- US$126,000,000 Class A-1 Floating Rate Senior Notes Due 2033,
Confirmed at Aa2; previously on 11/12/2008 Downgraded to Aa2
and on review for possible downgrade
-- US$45,000,000 Class A-2 Floating Rate Senior Notes due 2033,
Downgraded to Baa1; previously on 11/12/2008 Downgraded to A2
and on review for possible downgrade
-- US$50,000,000 Class B-1 Floating Rate Senior Subordinate
Notes due 2033, Downgraded to Caa3; previously on 11/12/2008
Downgraded to B3
-- US$60,000,000 Class B-2 Fixed/Floating Rate Senior
Subordinate Notes due 2033, Downgraded to Caa3; previously on
11/12/2008 Downgraded to B3
MMCAPS Funding I, Ltd.
-- Current Model WARF [1]: 777
-- Current Assumed Defaulted Amount: $39,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 692
-- Assumed Defaulted Amount (November 2008 rating actions):
$29,000,000
-- US$191,500,000 Fixed Rate Senior Notes, due 6/15/31,
Downgraded to A3; previously on 11/12/2008 Downgraded to Aa1
and on review for possible downgrade
-- US$77,000,000 Fixed Rate Mezzanine Notes, due 6/15/31,
Downgraded to Ca; previously on 11/12/2008 Downgraded to B1
MMCAPS Funding XVII, Ltd.
-- Current Model WARF [1]: 1,572
-- Current Assumed Defaulted Amount: $22,350,000
-- US$162,000,000 Class A-1, Downgraded to A2; previously on
9/30/2005 Assigned Aaa
-- US$19,500,000 Class A-2, Downgraded to Ba1; previously on
9/30/2005 Assigned Aaa
-- US$33,000,000 Class B, Downgraded to Ba3; previously on
9/30/2005 Assigned Aa2
-- US$35,475,000 Class C-1, Downgraded to Ca; previously on
7/22/2008 A2 on review for possible downgrade
-- US$35,475,000 Class C-2, Downgraded to Ca; previously on
7/22/2008 A2 on review for possible downgrade
MMCAPS Funding XVIII, Ltd.
-- Current Model WARF [1]: 1,592
-- Current Assumed Defaulted Amount: $42,500,000
-- Model WARF for November 2008 rating actions [1] [2]: 1626
-- Assumed Defaulted Amount (November 2008 rating actions):
$17,500,000
-- US$185,100,000 Class A-1 Floating Rate Notes Due 2039,
Downgraded to A3; previously on 11/12/2008 Downgraded to Aa3
on Review for possible downgrade
-- US$21,800,000 Class A-2 Floating Rate Notes Due 2039,
Downgraded to Ba1; previously on 11/12/2008 Downgraded to A3
on Review for possible downgrade
-- US$20,100,000 Class B Floating Rate Notes Due 2039,
Downgraded to B2; previously on 11/12/2008 Downgraded to Ba1
MMCAPS Funding XIX, Ltd.
-- Current Model WARF [1]: 2,129
-- Current Assumed Defaulted Amount: $23,500,000
-- Model WARF for November 2008 rating actions [1] [2]: 1550
-- Assumed Defaulted Amount (November 2008 rating actions):
$13,500,000
-- US$220,000,000 Class A-1 Floating Rate Senior Notes Due 2038,
Downgraded to A3; previously on 11/12/2008 Downgraded to Aa2
and on review for possible downgrade
-- US$26,000,000 Class A-2 Floating Rate Senior Notes Due 2038,
Downgraded to Ba1; previously on 11/12/2008 Downgraded to A1
on Review for possible downgrade
-- US$32,000,000 Class B Floating Rate Senior Notes Due 2038,
Downgraded to B2; previously on 11/12/2008 Downgraded to Ba1
-- US$79,000,000 Class C Floating Rate Senior Subordinate Notes
Due 2038, Downgraded to Caa3; previously on 11/12/2008
Downgraded to Caa2
Preferred Term Securities I, Ltd.
-- Current Model WARF [1]: 1,349
-- Current Assumed Defaulted Amount: $36,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 987
-- Assumed Defaulted Amount (November 2008 rating actions):
$36,000,000
-- US$201,050,000 Fixed Rate Senior Notes, Downgraded to A1;
previously on 11/12/2008 Downgraded to Aa1 and on review for
possible downgrade
-- US$90,000,000 Fixed Rate Mezzanine Notes, Downgraded to Caa1;
previously on 11/12/2008 Downgraded to B1
Preferred Term Securities II, Ltd
-- Current Model WARF [1]: 1,266
-- Current Assumed Defaulted Amount: $64,500,000
-- Model WARF for November 2008 rating actions [1] [2]: 1108
-- Assumed Defaulted Amount (November 2008 rating actions):
$41,000,000
-- US$227,750,000 Floating Rate Senior Notes, due 3/1/31,
Downgraded to Baa1; previously on 11/12/2008 Downgraded to
Aa2 and on review for possible downgrade
-- US$93,000,000 Fixed Rate Mezzanine Notes, due 3/1/31,
Downgraded to Ca; previously on 11/12/2008 Downgraded to B3
Preferred Term Securities IV, Ltd.
-- Current Model WARF [1]: 1,625
-- Current Assumed Defaulted Amount: $38,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1729
-- Assumed Defaulted Amount (November 2008 rating actions):
$32,000,000
-- US$341,000,000 Class M Floating Rate Mezzanine Notes,
Downgraded to Ca; previously on 11/12/2008 Downgraded to Ba3
Preferred Term Securities V, Ltd.
-- Current Model WARF [1]: 1,481
-- Model WARF for November 2008 rating actions [1] [2]: 905
-- US$201,450,000 Floating Rate Mezzanine Notes, due April 3,
2032, Downgraded to Ba3; previously on 11/12/2008 Downgraded
to Ba1
Preferred Term Securities VI, Ltd.
-- Current Model WARF [1]: 5,374
-- Model WARF for November 2008 rating actions [1] [2]: 3002
-- US$199,950,000 Floating Rate Mezzanine Notes Due July 3,
2032, Downgraded to Caa1; previously on 11/12/2008 Downgraded
to B3
Preferred Term Securities VII
-- Current Model WARF [1]: 2,037
-- Current Assumed Defaulted Amount: $79,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 2234
-- Assumed Defaulted Amount (November 2008 rating actions):
$49,000,000
-- US$120,000,000 Floating Rate Class A-2 Senior Notes Due
October 3, 2032, Downgraded to Aa2; previously on 11/12/2008
Downgraded to Aa1 and on review for possible downgrade
-- US$177,900,000 Floating Rate Mezzanine Notes Due October 3,
2032, Downgraded to Ca; previously on 11/12/2008 Downgraded
to Caa2
Preferred Term Securities VIII, Ltd
-- Current Model WARF [1]: 3,016
-- Current Assumed Defaulted Amount: $45,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1900
-- Assumed Defaulted Amount (November 2008 rating actions):
$34,000,000
-- US$225,000,000 Floating Rate Class A-1 Senior Notes Due
January 3, 2033, Downgraded to A1; previously on 11/12/2008
Downgraded to Aa1 and on review for possible downgrade
-- US$100,800,000 Floating Rate Class A-2 Senior Notes Due
January 3, 2033, Downgraded to Ba1; previously on 11/12/2008
Downgraded to Aa2 and On review for possible downgrade
-- US$58,700,000 Floating Rate Class B-1 Mezzanine Notes Due
January 3, 2033, Downgraded to Ca; previously on 11/12/2008
Downgraded to B3
-- US$30,700,000 Fixed/Floating Rate Class B-2 Mezzanine Notes
Due January 3, 2033, Downgraded to Ca; previously on
11/12/2008 Downgraded to B3
-- US$75,000,000 Fixed/Floating Rate Class B-3 Mezzanine Notes
Due January 3, 2033, Downgraded to Ca; previously on
11/12/2008 Downgraded to B3
Preferred Term Securities IX, Ltd.
-- Current Model WARF [1]: 2,057
-- Current Assumed Defaulted Amount: $32,140,000
-- Model WARF for November 2008 rating actions [1] [2]: 1566
-- Assumed Defaulted Amount (November 2008 rating actions):
$14,500,000
-- US$245,000,000 Floating Rate Class A-1 Senior Notes Due April
3, 2033, Downgraded to Aa3; previously on 11/12/2008 Aaa on
review for possible downgrade
-- US$42,000,000 Floating Rate Class A-2 Senior Notes Due April
3, 2033, Downgraded to Baa2; previously on 11/12/2008
Downgraded to Aa1 and on review for possible downgrade
-- US$33,000,000 Fixed/Floating Rate Class A-3 Senior Notes Due
April 3, 2033, Downgraded to Baa2; previously on 11/12/2008
Downgraded to Aa1 and on review for possible downgrade
-- US$86,000,000 Floating Rate Class B-1 Mezzanine Notes Due
April 3, 2033, Downgraded to Ca; previously on 11/12/2008
Downgraded to Ba3
-- US$16,250,000 Fixed/Floating Rate Class B-2 Mezzanine Notes
Due April 3, 2033, Downgraded to Ca; previously on 11/12/2008
Downgraded to Ba3
-- US$66,250,000 Fixed/Floating Rate Class B-3 Mezzanine Notes
Due April 3, 2033, Downgraded to Ca; previously on 11/12/2008
Downgraded to Ba3
Preferred Term Securities X, Ltd.
-- Current Model WARF [1]: 1,878
-- Current Assumed Defaulted Amount: $81,500,000
-- Model WARF for November 2008 rating actions [1] [2]: 1696
-- Assumed Defaulted Amount (November 2008 rating actions):
$24,500,000
-- US$287,000,000 Floating Rate Class A 1 Senior Notes Due July
3, 2033, Downgraded to A2; previously on 11/12/2008
Downgraded to Aa1 and on review for possible downgrade
-- US$67,000,000 Floating Rate Class A 2 Senior Notes Due July
3, 2033, Downgraded to Ba1; previously on 11/12/2008
Downgraded to Aa2 and on review for possible downgrade
-- US$2,000,000 Fixed/Floating Rate Class A 3 Senior Notes Due
July 3, 2033, Downgraded to Ba1; previously on 11/12/2008
Downgraded to Aa2 and on review for possible downgrade
-- US$88,000,000 Floating Rate Class B 1 Mezzanine Notes Due
July 3, 2033, Downgraded to Ca; previously on 11/12/2008
Downgraded to B3
-- US$19,000,000 Fixed/Floating Rate Class B 2 Mezzanine Notes
Due July 3, 2033, Downgraded to Ca; previously on 11/12/2008
Downgraded to B3
-- US$70,500,000 Fixed/Floating Rate Class B 3 Mezzanine Notes
Due July 3, 2033, Downgraded to Ca; previously on 11/12/2008
Downgraded to B3
Preferred Term Securities XI, Ltd.
-- Current Model WARF [1]: 1,724
-- Current Assumed Defaulted Amount: $83,250,000
-- Model WARF for November 2008 rating actions [1] [2]: 1867
-- Assumed Defaulted Amount (November 2008 rating actions):
$8,000,000
-- US$343,000,000 Floating Rate Class A 1 Senior Notes Due
September 24, 2033, Downgraded to A2; previously on
11/12/2008 Downgraded to Aa1 and on review for possible
downgrade
-- US$70,000,000 Floating Rate Class A 2 Senior Notes Due
September 24, 2033, Downgraded to Ba1; previously on
11/12/2008 Downgraded to Aa2 and on review for possible
downgrade
-- US$124,500,000 Floating Rate Class B 1 Mezzanine Notes Due
September 24, 2033, Downgraded to Ca; previously on
11/12/2008 Downgraded to B2
-- US$13,000,000 Fixed/Floating Rate Class B 2 Mezzanine Notes
Due September 24, 2033, Downgraded to Ca; previously on
11/12/2008 Downgraded to B2
-- US$65,500,000 Fixed/Floating Rate Class B 3 Mezzanine Notes
Due September 24, 2033, Downgraded to Ca; previously on
11/12/2008 Downgraded to B2
Preferred Term Securities XII, Ltd.
-- Current Model WARF [1]: 1,489
-- Current Assumed Defaulted Amount: $97,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1688
-- Assumed Defaulted Amount (November 2008 rating actions):
$22,000,000
-- US$442,400,000 Floating Rate Class A-1 Senior Notes Due
December 24, 2033, Downgraded to A1; previously on 11/12/2008
Downgraded to Aa1 and on review for possible downgrade
-- US$64,000,000 Floating Rate Class A-2 Senior Notes Due
December 24, 2033, Downgraded to Ba1; previously on
11/12/2008 Downgraded to Aa2 and on review for possible
downgrade
-- US$10,000,000 Fixed/Floating Rate Class A-3 Senior Notes Due
December 24, 2033, Downgraded to Ba1; previously on
11/12/2008 Downgraded to Aa2 and on review for possible
downgrade
-- US$17,000,000 Fixed/Floating Rate Class A-4 Senior Notes Due
December 24, 2033, Downgraded to Ba1; previously on
11/12/2008 Downgraded to Aa2 and on review for possible
downgrade
-- US$204,400,000 Floating Rate Class B-1 Mezzanine Notes Due
December 24, 2033, Downgraded to Ca; previously on 11/12/2008
Downgraded to B3
-- US$20,500,000 Fixed/Floating Rate Class B-2 Mezzanine Notes
Due December 24, 2033, Downgraded to Ca; previously on
11/12/2008 Downgraded to B3
-- US$37,700,000 Fixed/Floating Rate Class B-3 Mezzanine Notes
Due December 24, 2033, Downgraded to Ca; previously on
11/12/2008 Downgraded to B3
Preferred Term Securities XIII, LTD.
-- Current Model WARF [1]: 1,492
-- Current Assumed Defaulted Amount: $41,250,000
-- Model WARF for November 2008 rating actions [1] [2]: 1574
-- Assumed Defaulted Amount (November 2008 rating actions):
$19,000,000
-- US$276,250,000 Floating Rate Class A-1 Senior Notes Due March
24, 2034, Downgraded to A1; previously on 11/12/2008
Downgraded to Aa1 and on review for possible downgrade
-- US$27,000,000 Floating Rate Class A-2 Senior Notes Due March
24, 2034, Downgraded to Ba1; previously on 11/12/2008
Downgraded to Aa2 and on review for possible downgrade
-- US$7,750,000 Fixed/Floating Rate Class A-3 Senior Notes Due
March 24, 2034, Downgraded to Ba1; previously on 11/12/2008
Downgraded to Aa2 and on review for possible downgrade
-- US$21,500,000 Fixed/Floating Rate Class A-4 Senior Notes Due
March 24, 2034, Downgraded to Ba1; previously on 11/12/2008
Downgraded to Aa2 and on review for possible downgrade
-- US$98,350,000 Floating Rate Class B-1 Mezzanine Notes Due
March 24, 2034, Downgraded to Ca; previously on 11/12/2008
Downgraded to B3
-- US$21,450,000 Fixed/Floating Rate Class B-2 Mezzanine Notes
Due March 24, 2034, Downgraded to Ca; previously on
11/12/2008 Downgraded to B3
-- US$44,000,000 Fixed/Floating Rate Class B-3 Mezzanine Notes
Due March 24, 2034, Downgraded to Ca; previously on
11/12/2008 Downgraded to B3
Preferred Term Securities XIV, Ltd.
-- Current Model WARF [1]: 1,559
-- Current Assumed Defaulted Amount: $39,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1126
-- Assumed Defaulted Amount (November 2008 rating actions):
$5,000,000
-- US$257,800,000 Floating Rate Class A-1 Senior Notes Due June
24, 2034, Downgraded to A2; previously on 11/12/2008
Downgraded to Aa1 and on review for possible downgrade
-- US$62,000,000 Floating Rate Class A-2 Senior Notes Due June
24, 2034, Downgraded to Ba2; previously on 11/12/2008
Downgraded to Aa2 and on review for possible downgrade
-- US$117,000,000 Floating Rate Class B-1 Mezzanine Notes Due
June 24, 2034, Downgraded to Ca; previously on 11/12/2008
Downgraded to Ba3
-- US$10,800,000 Fixed/Floating Rate Class B-2 Mezzanine Notes
Due June 24, 2034, Downgraded to Ca; previously on 11/12/2008
Downgraded to Ba3
-- US$13,000,000 Fixed/Floating Rate Class B-3 Mezzanine Notes
Due June 24, 2034, Downgraded to Ca; previously on 11/12/2008
Downgraded to Ba3
Preferred Term Securities XV
-- Current Model WARF [1]: 1,540
-- Current Assumed Defaulted Amount: $81,750,000
-- US$323,100,000 Class A-1 Senior Notes, Downgraded to A2;
previously on 9/24/2004 Assigned Aaa
-- US$63,400,000 Class A-2 Senior Notes, Downgraded to Ba2;
previously on 8/14/2008 Aaa on review for possible downgrade
-- US$15,000,000 Class A-3 Senior Notes, Downgraded to Ba2;
previously on 8/14/2008 Aaa on review for possible downgrade
-- US$114,500,000 Class B-1 Mezzanine Notes, Downgraded to Ca;
previously on 7/22/2008 A2 on review for possible downgrade
-- US$22,000,000 Class B-2 Mezzanine Notes, Downgraded to Ca;
previously on 7/22/2008 A2 on review for possible downgrade
-- US$36,000,000 Class B-3 Mezzanine Notes, Downgraded to Ca;
previously on 7/22/2008 A2 on review for possible downgrade
Preferred Term Securities XVI, Ltd.
-- Current Model WARF [1]: 1,590
-- Current Assumed Defaulted Amount: $59,080,000
-- US$327.25 million Class A-1 Senior Notes, Downgraded to A2;
previously on 12/27/2004 Assigned Aaa
-- US$69.9 million Class A-2 Senior Notes, Downgraded to Ba2;
previously on 12/27/2004 Assigned Aaa
-- US$12 million Class A-3 Senior Notes, Downgraded to Ba2;
previously on 12/27/2004 Assigned Aaa
-- US$63.65 million Class B Mezzanine Notes, Downgraded to B3;
previously on 12/27/2004 Assigned Aa2
-- US$77.65 million Class C Mezzanine Notes, Downgraded to Ca;
previously on 7/22/2008 A2 on review for possible downgrade
Preferred Term Securities XVII, Ltd.
-- Current Model WARF [1]: 1,672
-- Current Assumed Defaulted Amount: 45,820,000
-- US$270,800,000 Class A-1 Senior Notes, Downgraded to A2;
previously on 3/31/2005 Assigned Aaa
-- US$62,000,000 Class A-2 Senior Notes, Downgraded to Ba2;
previously on 8/14/2008 Aaa on review for possible downgrade
-- US$58,400,000 Class B Mezzanine Notes, Downgraded to B3;
previously on 8/14/2008 Aa2 on review for possible downgrade
-- US$65,600,000 Class C Mezzanine Notes, Downgraded to Ca;
previously on 7/22/2008 A2 on review for possible downgrade
Preferred Term Securities XVIII, Ltd.
-- Current Model WARF [1]: 1,561
-- Current Assumed Defaulted Amount: 54,000,000
-- US$372,100,000 Class A-1 Senior Notes, Downgraded to A2;
previously on 6/28/2005 Assigned Aaa
-- US$87,900,000 Class A-2 Senior Notes, Downgraded to Ba1;
previously on 6/28/2005 Assigned Aaa
-- US$78,800,000 Class B Mezzanine Notes, Downgraded to B2;
previously on 6/28/2005 Assigned Aa2
-- US$80,000,000 Class C Mezzanine Notes, Downgraded to Ca;
previously on 7/22/2008 A2 on review for possible downgrade
Preferred Term Securities XIX, Ltd.
-- Current Model WARF [1]: 1,630
-- Current Assumed Defaulted Amount: $62,000,000
-- US$385,300,000 Floating Rate Class A-1 Senior Notes Due 2035,
Downgraded to A3; previously on 9/28/2005 Assigned Aaa
-- US$98,100,000 Floating Rate Class A-2 Senior Notes Due 2035,
Downgraded to Ba1; previously on 9/28/2005 Assigned Aaa
-- US$87,600,000 Floating Rate Class B Mezzanine Notes Due 2035,
Downgraded to B3; previously on 9/28/2005 Assigned Aa2
-- US$82,800,000 Floating Rate Class C Mezzanine Notes Due 2035,
Downgraded to Ca; previously on 7/22/2008 A2 on review for
possible downgrade
Preferred Term Securities XX, Ltd.
-- Current Model WARF [1]: 1,899
-- Current Assumed Defaulted Amount: 75,000,000
-- US$332,300,000 Floating Rate Class A-1 Senior Notes Due 2038,
Downgraded to Baa1; previously on 12/22/2005 Assigned Aaa
-- US$84,600,000 Floating Rate Class A-2 Senior Notes Due 2038,
Downgraded to Ba2; previously on 8/14/2008 Aaa on review for
possible downgrade
-- US$75,500,000 Floating Rate Class B Mezzanine Notes Due 2038,
Downgraded to Caa3; previously on 8/14/2008 Aa2 on review for
possible downgrade
-- US$42,850,000 Floating Rate Class C Mezzanine Notes Due 2038,
Downgraded to Ca; previously on 7/2/2008 A3 on review for
possible downgrade
Preferred Term Securities XXI, Ltd.
-- Current Model WARF [1]: 1,653
-- Current Assumed Defaulted Amount: 130,000,000
-- US$413,500,000 Floating Rate Class A-1 Senior Notes Due 2038,
Downgraded to Baa3; previously on 3/6/2006 Assigned Aaa
-- US$105,300,000 Floating Rate Class A-2 Senior Notes Due 2038,
Downgraded to Ba3; previously on 8/14/2008 Aaa on review for
possible downgrade
-- US$46,000,000 Floating Rate Class B-1 Mezzanine Notes Due
2038, Downgraded to Caa3; previously on 8/14/2008 Downgraded
to Aa3 and on review for possible downgrade
-- US$35,800,000 Fixed/Floating Rate Class B-2 Mezzanine Notes
Due 2038, Downgraded to Caa3; previously on 8/14/2008
Downgraded to Aa3 and on review for possible downgrade
-- US$48,500,000 Floating Rate Class C-1 Mezzanine Notes Due
2038, Downgraded to Ca; previously on 8/14/2008 Downgraded to
Ba1 on Review for possible downgrade
-- US$28,350,000 Fixed/Floating Rate Class C-2 Mezzanine Notes
Due 2038, Downgraded to Ca; previously on 8/14/2008
Downgraded to Ba1 on Review for possible downgrade
Preferred Term Securities XXII, Ltd.
-- Current Model WARF [1]: 1,266
-- Current Assumed Defaulted Amount: 158,000,000
-- US$762,500,000 Class A-1, Downgraded to A2; previously on
6/30/2006 Assigned Aaa
-- US$201,800,000 Class A-2, Downgraded to Ba1; previously on
8/14/2008 Aaa on review for possible downgrade
-- US$65,000,000 Class B-1, Downgraded to B3; previously on
8/14/2008 Aa2 on review for possible downgrade
-- US$50,000,000 Class B-2, Downgraded to B3; previously on
8/14/2008 Aa2 on review for possible downgrade
-- US$30,300,000 Class B-3, Downgraded to B3; previously on
8/14/2008 Aa2 on review for possible downgrade
-- US$77,250,000 Class C-1, Downgraded to Ca; previously on
8/14/2008 Downgraded to Baa1 on Review for possible downgrade
-- US$71,650,000 Class C-2, Downgraded to Ca; previously on
8/14/2008 Downgraded to Baa1 on Review for possible downgrade
Preferred Term Securities XXIII, Ltd.
-- Current Model WARF [1]: 1,742
-- Current Assumed Defaulted Amount: 97,100,000
-- US$544,000,000 Floating Rate Class A-1 Senior Notes Due
December 22, 2036, Downgraded to A2; previously on 8/14/2008
Aaa on review for possible downgrade
-- US$141,000,000 Floating Rate Class A-2 Senior Notes Due
December 22, 2036, Downgraded to Baa1; previously on
8/14/2008 Aaa on review for possible downgrade
-- US$33,500,000 Fixed Rate Class A-X Notes Due September 22,
2011, Downgraded to A2; previously on 9/28/2006 Assigned Aaa
-- US$321,000,000 Floating Rate Class A-FP Senior Notes Due
December 22, 2036, Downgraded to A2; previously on 8/14/2008
Aaa on review for possible downgrade
-- US$67,400,000 Floating Rate Class B-1 Mezzanine Notes Due
December 22, 2036, Downgraded to B2; previously on 8/14/2008
Aa2 on review for possible downgrade
-- US$31,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes
Due December 22, 2036, Downgraded to B2; previously on
8/14/2008 Aa2 on review for possible downgrade
-- US$57,600,000 Floating Rate Class B-FP Mezzanine Notes Due
December 22, 2036, Downgraded to B2; previously on 8/14/2008
Aa2 on review for possible downgrade
-- US$81,200,000 Floating Rate Class C-1 Mezzanine Notes Due
December 22, 2036, Downgraded to Caa3; previously on
7/22/2008 A3 on review for possible downgrade
-- US$28,000,000 Fixed/Floating Rate Class C-2 Mezzanine Notes
Due December 22, 2036, Downgraded to Caa3; previously on
7/22/2008 A3 on review for possible downgrade
-- US$52,800,000 Floating Rate Class C-FP Mezzanine Notes Due
December 22, 2036, Downgraded to Caa3; previously on
7/22/2008 A3 on review for possible downgrade
Preferred Term Securities XXIV, Ltd.
-- Current Model WARF [1]: 1,504
-- Current Assumed Defaulted Amount: 69,800,000
-- US$577,800,000 Floating Rate Class A-1 Senior Notes Due March
22, 2037, Downgraded to A1; previously on 12/21/2006 Assigned
Aaa
-- US$152,800,000 Floating Rate Class A-2 Senior Notes Due March
22, 2037, Downgraded to Ba1; previously on 12/21/2006
Assigned Aaa
-- US$85,800,000 Floating Rate Class B-1 Mezzanine Notes Due
March 22, 2037, Downgraded to B2; previously on 12/21/2006
Assigned Aa2
-- US$20,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes
Due March 22, 2037, Downgraded to B2; previously on
12/21/2006 Assigned Aa2
-- US$65,650,000 Floating Rate Class C-1 Mezzanine Notes Due
March 22, 2037, Downgraded to Caa3; previously on 7/22/2008
A3 on review for possible downgrade
-- US$54,250,000 Fixed/Floating Rate Class C-2 Mezzanine Notes
Due March 22, 2037, Downgraded to Caa3; previously on
7/22/2008 A3 on review for possible downgrade
Preferred Term Securities XXV, Ltd.
-- Current Model WARF [1]: 1,420
-- Current Assumed Defaulted Amount: 139,000,000
-- US$482,600,000 Floating Rate Class A-1 Senior Notes Due June
22, 2037, Downgraded to Baa3; previously on 9/16/2008 Aaa on
review for possible downgrade
-- US$129,400,000 Floating Rate Class A-2 Senior Notes Due June
22, 2037, Downgraded to Ba2; previously on 9/16/2008 Aaa on
review for possible downgrade
-- US$61,400,000 Floating Rate Class B-1 Mezzanine Notes Due
June 22, 2037, Downgraded to Caa2; previously on 9/16/2008
Aa2 on review for possible downgrade
-- US$25,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes
Due June 22, 2037, Downgraded to Caa2; previously on
9/16/2008 Aa2 on review for possible downgrade
-- US$82,300,000 Floating Rate Class C-1 Mezzanine Notes Due
June 22, 2037, Downgraded to Ca; previously on 9/16/2008
Downgraded to Baa2 on Review for possible downgrade
-- US$18,500,000 Fixed/Floating Rate Class C-2 Mezzanine Notes
Due June 22, 2037, Downgraded to Ca; previously on 9/16/2008
Downgraded to Baa2 on Review for possible downgrade
Preferred Term Securities XXVI, Ltd.
-- Current Model WARF [1]: 1,382
-- Current Assumed Defaulted Amount: 83,500,000
-- US$530,250,000 Floating Rate Class A-1 Senior Notes Due
September 22, 2037, Downgraded to A1; previously on 9/16/2008
Aaa on review for possible downgrade
-- US$140,250,000 Floating Rate Class A-2 Senior Notes Due
September 22, 2037, Downgraded to Ba1; previously on
8/14/2008 Aaa on review for possible downgrade
-- US$59,900,000 Floating Rate Class B-1 Mezzanine Notes Due
September 22, 2037, Downgraded to B2; previously on 8/14/2008
Aa2 on review for possible downgrade
-- US$37,500,000 Fixed/Floating Rate Class B-2 Mezzanine Notes
Due September 22, 2037, Downgraded to B2; previously on
8/14/2008 Aa2 on review for possible downgrade
-- US$71,500,000 Floating Rate Class C-1 Mezzanine Notes Due
September 22, 2037, Downgraded to Ca; previously on 9/16/2008
Downgraded to Baa2 on Review for possible downgrade
-- US$39,500,000 Fixed/Floating Rate Class C-2 Mezzanine Notes
Due September 22, 2037, Downgraded to Ca; previously on
9/16/2008 Downgraded to Baa2 on Review for possible downgrade
Preferred Term Securities XXVII, Ltd.
-- Current Model WARF [1]: 1,718
-- Current Assumed Defaulted Amount: 22,500,000
-- US$171,000,000 Floating Rate Class A-1 Senior Notes Due
December 22, 2037, Downgraded to A3; previously on 9/27/2007
Assigned Aaa
-- US$40,000,000 Floating Rate Class A-2 Senior Notes Due
December 22, 2037, Downgraded to Ba1; previously on 9/27/2007
Assigned Aaa
-- US$40,500,000 Floating Rate Class B Mezzanine Notes Due
December 22, 2037, Downgraded to B3; previously on 9/27/2007
Assigned Aa2
-- US$24,000,000 Floating Rate Class C-1 Mezzanine Notes Due
December 22, 2037, Downgraded to Ca; previously on 7/22/2008
A3 on review for possible downgrade
-- US$18,000,000 Fixed/Floating Rate Class C-2 Mezzanine Notes
Due December 22, 2037, Downgraded to Ca; previously on
7/22/2008 A3 on review for possible downgrade
Preferred Term Securities XXVIII, Ltd.
-- Current Model WARF [1]: 1,614
-- Current Assumed Defaulted Amount: 42,000,000
-- US$191,000,000 Floating Rate Class A-1 Senior Notes Due March
22, 2038, Downgraded to A3; previously on 11/8/2007 Assigned
Aaa
-- US$45,700,000 Floating Rate Class A-2 Senior Notes Due March
22, 2038, Downgraded to Ba1; previously on 11/8/2007 Assigned
Aaa
-- US$44,400,000 Floating Rate Class B Mezzanine Notes Due March
22, 2038, Downgraded to Caa1; previously on 11/8/2007
Assigned Aa2
-- US$36,000,000 Floating Rate Class C-1 Mezzanine Notes Due
March 22, 2038, Downgraded to Ca; previously on 7/22/2008 A3
on review for possible downgrade
-- US$8,000,000 Fixed/Floating Rate Class C-2 Mezzanine Notes
Due March 22, 2038, Downgraded to Ca; previously on 7/22/2008
A3 on review for possible downgrade
Regional Diversified Funding Ltd.
-- Current Model WARF [1]: 1,925
-- Current Assumed Defaulted Amount: 25,500,000
-- Model WARF for November 2008 rating actions [1] [2]: 1489
-- Assumed Defaulted Amount (November 2008 rating actions):
15,000,000
-- Fixed Rate Senior Notes Due March 15, 2030, Downgraded to Ca;
previously on 11/12/2008 Downgraded to B1
Regional Diversified Funding 2004-1LTD.
-- Current Model WARF [1]: 2,347
-- Current Assumed Defaulted Amount: 66,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1884
-- Assumed Defaulted Amount (November 2008 rating actions):
47,000,000
-- US$144,000,000 Class A-1 Floating Rate Senior Notes Due 2034,
Downgraded to Baa1; previously on 11/12/2008 Downgraded to A3
on Review for possible downgrade
-- US$62,000,000 Class A-2 Floating Rate Senior Notes Due 2034,
Downgraded to Ba3; previously on 11/12/2008 Downgraded to
Baa2 on Review for possible downgrade
-- US$22,000,000 Class B-1 Floating Rate Senior Subordinate
Notes Due 2034, Downgraded to Ca; previously on 11/12/2008
Downgraded to Caa1
-- US$95,000,000 Class B-2 Fixed/Floating Rate Senior
Subordinate Notes Due 2034, Downgraded to Ca; previously on
11/12/2008 Downgraded to Caa1
REGIONAL DIVERSIFIED FUNDING 2005-1 LTD.
-- Current Model WARF [1]: 2,244
-- Current Assumed Defaulted Amount: 93,200,000
-- US$170,000,000 Class A-1a Floating Rate Senior Notes Due
2036, Downgraded to B1; previously on 8/14/2008 Downgraded to
Aa1 on Review for possible downgrade
-- US$10,000,000 Class A-1b Fixed Rate Senior Notes Due 2036,
Downgraded to B1; previously on 8/14/2008 Downgraded to Aa1
on Review for possible downgrade
-- US$70,000,000 Class A-2 Floating Rate Senior Notes Due 2036,
Downgraded to B3; previously on 8/14/2008 Downgraded to Aa1
on Review for possible downgrade
-- US$79,000,000 Class B-1 Floating Rate Senior Subordinate
Notes Due 2036, Downgraded to Ca; previously on 8/14/2008
Downgraded to Ba1 on Review for possible downgrade
-- US$10,000,000 Class B-2 Fixed Rate Senior Subordinate Notes
Due 2036, Downgraded to Ca; previously on 8/14/2008
Downgraded to Ba1 on Review for possible downgrade
Soloso CDO 2005-1 Ltd.
-- Current Model WARF [1]: 1,781
-- Current Assumed Defaulted Amount: 69,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1721
-- Assumed Defaulted Amount (November 2008 rating actions):
49,000,000
-- US$170.0 million Class A-1L Floating Rate Notes Due October
2035, Downgraded to Baa3; previously on 11/12/2008 Downgraded
to A2 and on review for possible downgrade
-- US$126.0 million Class A-1LA Floating Rate Notes Due October
2035, Downgraded to Baa2; previously on 11/12/2008 Downgraded
to A1 and on review for possible downgrade
-- US$39.0 million Class A-1LB Floating Rate Notes Due October
2035, Downgraded to Ba1; previously on 11/12/2008 Downgraded
to A3 on Review for possible downgrade
-- US$45.5 million Class A-2L Deferrable Floating Rate Notes Due
October 2035, Downgraded to B3; previously on 11/12/2008
Downgraded to B1
-- US$19.0 million Class A-3A Fixed/Floating Rate Notes Due
October 2035, Downgraded to Ca; previously on 11/12/2008
Downgraded to Caa3
-- US$19.0 million Class A-3B Fixed/Floating Rate Notes Due
October 2035, Downgraded to Ca; previously on 11/12/2008
Downgraded to Caa3
-- US$40.0 million Class A-3L Floating Rate Notes Due October
2035, Downgraded to Ca; previously on 11/12/2008 Downgraded
to Caa3
Soloso CDO 2007-1, Ltd.
-- Current Model WARF [1]: 1,613
-- Current Assumed Defaulted Amount: 78,250,000
-- US$263,000,000 Class A-1LA Floating Rate Notes Due October
2037, Downgraded to Baa3; previously on 6/29/2007 Assigned
Aaa
-- US$83,000,000 Class A-1LB Floating Rate Notes Due October
2037, Downgraded to Ba2; previously on 6/29/2007 Assigned Aaa
-- US$68,000,000 Class A-2L Deferrable Floating Rate Notes Due
October 2037, Downgraded to Caa2; previously on 6/29/2007
Assigned Aa2
-- US$40,000,000 Class A-3L Floating Rate Notes Due October
2037, Downgraded to Ca; previously on 8/14/2008 Downgraded to
A3 on Review for possible downgrade
-- US$25,000,000 Class A-3F Fixed/Floating Rate Notes Due
October 2037, Downgraded to Ca; previously on 8/14/2008
Downgraded to A3 on Review for possible downgrade
TPREF FUNDING I LTD.
-- Current Model WARF [1]: 1,872
-- Current Assumed Defaulted Amount: 30,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1506
-- Assumed Defaulted Amount (November 2008 rating actions):
30,000,000
-- US$201,000,000 Class B Floating Rate Senior Subordinate Notes
due 2032, Downgraded to Caa3; previously on 11/12/2008
Downgraded to Ba3
TPREF FUNDING II Ltd.
-- Current Model WARF [1]: 2,566
-- Current Assumed Defaulted Amount: 30,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1672
-- Assumed Defaulted Amount (November 2008 rating actions):
23,000,000
-- Class A-1 Floating Rate Senior Notes, Confirmed at Aaa;
previously on 11/12/2008 Aaa on review for possible downgrade
-- Class A-2 Floating Rate Senior Notes, Downgraded to A1;
previously on 11/12/2008 Downgraded to Aa3 and on review for
possible downgrade
-- Class B Floating Rate Senior Subordinate Notes, Downgraded to
Caa3; previously on 11/12/2008 Downgraded to Ba3 and on
review for possible downgrade
TPREF Funding III, Ltd.
-- Current Model WARF [1]: 2,144
-- Current Assumed Defaulted Amount: 27,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1356
-- Assumed Defaulted Amount (November 2008 rating actions):
26,000,000
-- Class A-1 Floating Rate Senior Notes, Downgraded to Aa1;
previously on 11/12/2008 Aaa on review for possible downgrade
-- Class A-2 Floating Rate Senior Notes, Downgraded to A1;
previously on 11/12/2008 Downgraded to Aa1 and on review for
possible downgrade
-- Class B-1 Floating Rate Senior Subordinated Notes, Downgraded
to Ca; previously on 11/12/2008 Downgraded to B2
-- Class B-2 Floating Rate Senior Subordinate Notes, Downgraded
to Ca; previously on 11/12/2008 Downgraded to B2
Trapeza CDO I, LLC
-- Current Model WARF [1]: 1,649
-- Current Assumed Defaulted Amount: 43,479,000
-- Model WARF for November 2008 rating actions [1] [2]: 1490
-- Assumed Defaulted Amount (November 2008 rating actions):
26,000,000
-- US$161,500,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2032, Confirmed at Aa3; previously on
11/12/2008 Downgraded to Aa3 and on review for possible
downgrade
-- US$20,000,000 Class A-2 First Priority Senior Secured Fixed
Rate Notes Due 2032, Confirmed at Aa3; previously on
11/12/2008 Downgraded to Aa3 and on review for possible
downgrade
-- US$54,600,000 Class B-1 Second Priority Senior Secured
Floating Rate Notes Due 2032, Downgraded to Ba1; previously
on 11/12/2008 Downgraded to Baa2 and on review for possible
downgrade
-- US$2,000,000 Class B-2 Second Priority Senior Secured
Floating Rate Notes Due 2032, Downgraded to Ba1; previously
on 11/12/2008 Downgraded to Baa2 and on review for possible
downgrade
-- US$16,000,000 Class B-3 Second Priority Senior Secured Fixed
Rate Notes Due 2032, Downgraded to Ba1; previously on
11/12/2008 Downgraded to Baa2 and on review for possible
downgrade
Trapeza CDO II, LLC
-- Current Model WARF [1]: 1,931
-- Current Assumed Defaulted Amount: 37,631,000
-- Model WARF for November 2008 rating actions [1] [2]: 1601
-- Assumed Defaulted Amount (November 2008 rating actions):
20,330,000
-- US$132,000,000 Class A1A First Priority Senior Secured
Floating Rate Notes due 2033, Confirmed at Aaa; previously on
11/12/2008 Aaa On review for possible downgrade
-- US$100,000,000 Class A1B Second Priority Senior Secured
Floating Rate Notes due 2033, Downgraded to A1; previously on
11/12/2008 Downgraded to Aa2 and on review for possible
downgrade
-- US$27,000,000 Class B Third Priority Senior Secured Floating
Rate Notes due 2033, Downgraded to Baa3; previously on
11/12/2008 Downgraded to A1 and on review for possible
downgrade
Trapeza CDO III, LLC
-- Current Model WARF [1]: 1,748
-- Current Assumed Defaulted Amount: 63,170,000
-- Model WARF for November 2008 rating actions [1] [2]: 1918
-- Assumed Defaulted Amount (November 2008 rating actions):
26,670,000
-- US$108,500,000 Class A-1A First Priority Senior Secured
Floating Rate Notes, Confirmed at Aa3; previously on
11/12/2008 Downgraded to Aa3 and on review for possible
downgrade
-- US$71,500,000 Class A-1B First Priority Senior Secured Fixed
Rate Notes, Downgraded to Baa3; previously on 11/12/2008
Downgraded to A3 on Review for possible downgrade
-- US$25,000,000 Class B Second Priority Senior Secured Floating
Rate Notes, Downgraded to B1; previously on 11/12/2008
Downgraded to Baa3 on Review for possible downgrade
Trapeza CDO IV, LLC
-- Current Model WARF [1]: 1,305
-- Current Assumed Defaulted Amount: 82,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1810
-- Assumed Defaulted Amount (November 2008 rating actions):
24,000,000
-- US$145,000,000 Class A1A First Priority Senior Secured
Floating Rate Notes Due 2034, Confirmed at Aa3; previously on
11/12/2008 Downgraded to Aa3 and on review for possible
downgrade
-- US$95,000,000 Class A1B Second Priority Senior Secured
Floating Rate Notes Due 2034, Downgraded to Ba1; previously
on 11/12/2008 Downgraded to A3 on Review for possible
downgrade
-- US$33,000,000 Class B Third Priority Senior Secured Floating
Rate Notes Due 2034, Downgraded to B2; previously on
11/12/2008 Downgraded to Baa3 on Review for possible
downgrade
Trapeza CDO V, Ltd.
-- Current Model WARF [1]: 1,664
-- Current Assumed Defaulted Amount: 62,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1431
-- Assumed Defaulted Amount (November 2008 rating actions):
36,000,000
-- US$120,000,000 Class A1A First Priority Senior Secured
Floating Rate Notes Due 2034, Downgraded to Aa3; previously
on 11/12/2008 Downgraded to Aa2 and on review for possible
downgrade
-- US$50,000,000 Class A1B Second Priority Senior Secured
Floating Rate Notes Due 2034, Downgraded to Ba1; previously
on 11/12/2008 Downgraded to A1 on Review for possible
downgrade
-- US$33,000,000 Class B Third Priority Senior Secured Floating
Rate Notes Due 2034, Downgraded to B1; previously on
11/12/2008 Downgraded to A3 on Review for possible downgrade
Trapeza CDO VI, Ltd.
-- Current Model WARF [1]: 1,647
-- Current Assumed Defaulted Amount: 48,500,000
-- Model WARF for November 2008 rating actions [1] [2]: 1161
-- Assumed Defaulted Amount (November 2008 rating actions):
38,000,000
-- US$155,000,000 Class A-1A First Priority Senior Secured
Floating Rate Notes Due 2034, Downgraded to Aa3; previously
on 11/12/2008 Downgraded to Aa1 and On review for possible
downgrade
-- US$21,000,000 Class A-1B Second Priority Senior Secured
Floating Rate Notes Due 2034, Downgraded to Baa1; previously
on 11/12/2008 Downgraded to Aa2 on Review for possible
downgrade
-- US$59,350,000 Class A-2 Third Priority Senior Secured
Floating Rate Notes Due 2034, Downgraded to Ba3; previously
on 11/12/2008 Downgraded to Aa3 on Review for possible
downgrade
-- US$39,500,000 Class B-1 Fourth Priority Senior Secured
Floating Rate Notes Due 2034, Downgraded to Ca; previously on
11/12/2008 Downgraded to B3
-- US$56,500,000 Class B-2 Fourth Priority Secured
Fixed/Floating Rate Notes Due 2034, Downgraded to Ca;
previously on 11/12/2008 Downgraded to B3
Trapeza CDO VII, Ltd.
-- Current Model WARF [1]: 1,436
-- Current Assumed Defaulted Amount: 64,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1679
-- Assumed Defaulted Amount (November 2008 rating actions):
19,000,000
-- US$194,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes, Downgraded to Baa1; previously on
11/12/2008 Downgraded to Aa3 and on review for possible
downgrade
-- US$32,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes, Downgraded to Ba3; previously on
11/12/2008 Downgraded to Baa1 and on review for possible
downgrade
-- US$56,500,000 Class B-1 Third Priority Secured Floating Rate
Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded
to Caa3
-- US$37,500,000 Class B-2 Third Priority Senior Secured
Fixed/Floating Rate Notes, Downgraded to Ca; previously on
11/12/2008 Downgraded to Caa3
TRAPEZA EDGE CDO, LTD.
-- Current Model WARF [1]: 1,526
-- Current Assumed Defaulted Amount: 26,720,000
-- US$194,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2035, Downgraded to A3; previously on
8/31/2005 Assigned Aaa
-- US$26,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2035, Downgraded to Ba1; previously
on 8/31/2005 Assigned Aaa
-- US$32,000,000 Class A-3 Third Priority Senior Secured
Floating Rate Notes Due 2035, Downgraded to B1; previously on
8/31/2005 Assigned Aa2
-- US$50,500,000 Class B-1 Fourth Priority Secured Floating Rate
Notes Due 2035, Downgraded to Ca; previously on 7/22/2008 A2
On review for possible downgrade
-- US$22,500,000 Class B-2 Fourth Priority Secured Fixed Rate
Notes Due 2035, Downgraded to Ca; previously on 7/22/2008 A2
On review for possible downgrade
Trapeza CDO IX, Ltd.
-- Current Model WARF [1]: 1,260
-- Current Assumed Defaulted Amount: 18,000,000
-- US$162,000,000 Class A-1, Downgraded to A1; previously on
1/18/2006 Assigned Aaa
-- US$27,000,000 Class A-2, Downgraded to Baa3; previously on
1/18/2006 Assigned Aaa
-- US$23,000,000 Class A-3, Downgraded to Ba3; previously on
1/18/2006 Assigned Aa2
-- US$23,000,000 Class B-1, Downgraded to Caa3; previously on
7/22/2008 A3 On review for possible downgrade
-- US$10,000,000 Class B-2, Downgraded to Caa3; previously on
7/22/2008 A3 On review for possible downgrade
-- US$25,000,000 Class B-3, Downgraded to Caa3; previously on
7/22/2008 A3 On review for possible downgrade
Trapeza CDO X, Ltd.
-- Current Model WARF [1]: 2,133
-- Current Assumed Defaulted Amount: 130,548,000
-- US$268,000,000 Class A-1, Downgraded to Ba3; previously on
7/22/2008 Aa1 on review for possible downgrade
-- US$69,000,000 Class A-2, Downgraded to B3; previously on
7/22/2008 Aa2 on review for possible downgrade
-- US$31,000,000 Class B, Downgraded to Ca; previously on
7/22/2008 Baa3 on review for possible downgrade
-- US$21,000,000 Class C-1, Downgraded to Ca; previously on
7/22/2008 Caa1 on review for possible downgrade
-- US$35,000,000 Class C-2, Downgraded to Ca; previously on
7/22/2008 Caa1 on review for possible downgrade
Trapeza CDO XI, Ltd.
-- Current Model WARF [1]: 2,310
-- Current Assumed Defaulted Amount: 132,250,000
-- US$281,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2041, Downgraded to Ba3; previously
on 11/30/2006 Assigned Aaa
-- US$53,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2041, Downgraded to Caa1; previously
on 8/14/2008 Downgraded to Aa1 on Review for possible
downgrade
-- US$20,000,000 Class A-3 Third Priority Senior Secured
Floating Rate Notes Due 2041, Downgraded to Caa3; previously
on 8/14/2008 Downgraded to Aa1 on Review for possible
downgrade
-- US$25,000,000 Class B Fourth Priority Secured Deferrable
Floating Rate Notes Due 2041, Downgraded to Ca; previously on
8/14/2008 Downgraded to A2 on Review for possible downgrade
-- US$33,000,000 Class C Fifth Priority Secured Deferrable
Floating Rate Notes Due 2041, Downgraded to C; previously on
8/14/2008 Downgraded to Baa3 on Review for possible downgrade
Trapeza CDO XII, Ltd.
-- Current Model WARF [1]: 1,824
-- Current Assumed Defaulted Amount: 39,750,000
-- US$250,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2042, Downgraded to A3; previously on
3/27/2007 Assigned Aaa
-- US$68,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2042, Downgraded to Ba1; previously
on 3/27/2007 Assigned Aaa
-- US$19,000,000 Class A-3 Third Priority Senior Secured
Floating Rate Notes Due 2042, Downgraded to B1; previously on
3/27/2007 Assigned Aaa
-- US$49,000,000 Class B Fourth Priority Secured Deferrable
Floating Rate Notes Due 2042, Downgraded to Caa3; previously
on 3/27/2007 Assigned Aa2
-- US$38,000,000 Class C-1 Fifth Priority Secured Deferrable
Floating Rate Notes Due 2042, Downgraded to Ca; previously on
8/14/2008 Downgraded to Baa1 and on review for possible
downgrade
-- US$9,000,000 Class C-2 Fifth Priority Secured Deferrable
Fixed/Floating Rate Notes Due 2042, Downgraded to Ca;
previously on 8/14/2008 Downgraded to Baa1 and on review for
possible downgrade
Trapeza CDO XIII, Ltd.
-- Current Model WARF [1]: 1,640
-- Current Assumed Defaulted Amount: 46,500,000
-- US$375,000,000 Class A-1 Senior Secured Floating Rate Notes
Due 2042, Downgraded to A1; previously on 8/29/2007 Assigned
Aaa
-- US$97,000,000 Class A-2a Senior Secured Floating Rate Notes
Due 2042, Downgraded to Baa2; previously on 8/29/2007
Assigned Aaa
-- US$5,000,000 Class A-2b Senior Secured Fixed/Floating Rate
Notes Due 2042, Downgraded to Baa2; previously on 8/29/2007
Assigned Aaa
-- US$21,000,000 Class A-3 Senior Secured Floating Rate Notes
Due 2042, Downgraded to Ba1; previously on 8/14/2008 Aaa On
review for possible downgrade
-- US$65,000,000 Class B Secured Deferrable Floating Rate Notes
Due 2042, Downgraded to B3; previously on 8/14/2008 Aa2 On
review for possible downgrade
-- US$58,000,000 Class C-1 Secured Deferrable Floating Rate
Notes Due 2042, Downgraded to Caa3; previously on 8/14/2008
Downgraded to Baa1 and on review for possible downgrade
-- US$5,000,000 Class C-2 Secured Deferrable Fixed/Floating Rate
Notes Due 2042, Downgraded to Caa3; previously on 8/14/2008
Downgraded to Baa1 and on review for possible downgrade
Tropic CDO I Ltd.
-- Current Model WARF [1]: 2,506
-- Current Assumed Defaulted Amount: 53,500,000
-- US$45,000,000 Class A-1L Floating Rate Notes Due October
2033, Downgraded to A3; previously on 5/2/2003 Assigned Aaa
-- U.S. 90,000,000 Class A-2L Floating Rate Notes Due October
2033, Downgraded to Ba3; previously on 9/16/2008 Aaa on
review for possible downgrade
-- US$42,000,000 Class A-3L Floating Rate Notes Due October
2033, Downgraded to B3; previously on 9/16/2008 Aa1 on review
for possible downgrade
-- US$32,000,000 Class A-4 Fixed/Floating Rate Notes Due October
2033, Downgraded to Caa3; previously on 9/16/2008 Downgraded
to Baa2 on Review for possible downgrade
-- US$48,000,000 Class A-4L Floating Rate Notes Due October
2033, Downgraded to Caa3; previously on 9/16/2008 Downgraded
to Baa2 on Review for possible downgrade
-- US$25,000,000 Class B-1L Floating Rate Notes Due October
2033, Downgraded to Ca; previously on 9/16/2008 Downgraded to
Ba2 on Review for possible downgrade
Tropic CDO II, LTD
-- Current Model WARF [1]: 1,899
-- Current Assumed Defaulted Amount: 81,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1658
-- Assumed Defaulted Amount (November 2008 rating actions):
46,500,000
-- US$145,000,000 Class A-1L Floating Rate Notes Due April 2034,
Downgraded to A2; previously on 11/12/2008 Downgraded to Aa3
and on review for possible downgrade
-- U.S. 50,000,000 Class A-2L Floating Rate Notes Due April
2034, Downgraded to Ba2; previously on 11/12/2008 Downgraded
to A2 on Review for possible downgrade
-- US$35,000,000 Class A-3L Floating Rate Notes Due April 2034,
Downgraded to B3; previously on 11/12/2008 Downgraded to Baa3
on Review for possible downgrade
-- US$30,000,000 Class A-4 Fixed/Floating Rate Notes Due April
2034, Downgraded to Ca; previously on 11/12/2008 Downgraded
to Caa3
-- US$38,000,000 Class A-4L Floating Rate Notes Due April 2034,
Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3
-- US$15,000,000 Class B-1L Floating Rate Notes Due April 2034,
Downgraded to C; previously on 11/12/2008 Downgraded to Ca
Tropic CDO III LTD
-- Current Model WARF [1]: 1,619
-- Current Assumed Defaulted Amount: 56,500,000
-- Model WARF for November 2008 rating actions [1] [2]: 2034
-- Assumed Defaulted Amount (November 2008 rating actions):
20,500,000
-- US$158,000,000 Class A-1L Floating Rate Notes Due 2034,
Downgraded to A2; previously on 11/12/2008 Downgraded to Aa2
and on review for possible downgrade
-- U.S. 45,000,000 Class A-2L Floating Rate Notes Due 2034,
Downgraded to Ba1; previously on 11/12/2008 Downgraded to A1
and on review for possible downgrade
-- US$31,000,000 Class A-3L Floating Rate Notes Due 2034,
Downgraded to B2; previously on 11/12/2008 Downgraded to Ba2
-- US$40,500,000 Class A-4A Fixed/Floating Rate Notes Due 2034,
Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3
-- US$19,500,000 Class A-4L Floating Rate Notes Due 2034,
Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3
-- US$20,000,000 Class A-4B Fixed/Floating Rate Notes Due 2034,
Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3
Tropic CDO IV LTD.
-- Current Model WARF [1]: 1,835
-- Current Assumed Defaulted Amount: 56,500,000
-- Model WARF for November 2008 rating actions [1] [2]: 1795
-- Assumed Defaulted Amount (November 2008 rating actions):
26,500,000
-- US$160,000,000 Class A-1L Floating Rate Notes Due April 2035,
Downgraded to A3; previously on 11/12/2008 Downgraded to Aa2
and on review for possible downgrade
-- US$40,000,000 Class A-2L Floating Rate Notes Due April 2035,
Downgraded to Ba1; previously on 11/12/2008 Downgraded to A2
and on review for possible downgrade
-- US$37,500,000 Class A-3L Deferrable Floating Rate Notes Due
April 2035, Downgraded to B3; previously on 11/12/2008
Downgraded to Baa3 and on review for possible downgrade
-- US$35,000,000 Class A-4 Fixed/Floating Rate Notes Due April
2035, Downgraded to Ca; previously on 11/12/2008 Downgraded
to Caa3
-- US$26,000,000 Class A-4L Floating Rate Notes Due April 2035,
Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3
-- US$20,000,000 Class B-1L Floating Rate Notes Due April 2035,
Downgraded to C; previously on 11/12/2008 Downgraded to Ca
Tropic CDO V
-- Current Model WARF [1]: 2,067
-- Current Assumed Defaulted Amount: 185,500,000
-- US$220,000,000 Class A-1L1 Floating Rate Notes Due July 2036,
Downgraded to Ba1; previously on 8/31/2006 Assigned Aaa
-- US$220,000,000 Class A-1L2 Floating Rate Notes Due July 2036,
Downgraded to Ba2; previously on 8/31/2006 Assigned Aaa
-- US$94,000,000 Class A-1LB Floating Rate Notes Due July 2036,
Downgraded to B1; previously on 8/14/2008 Aaa on review for
possible downgrade
-- US$51,000,000 Class A-2L Deferrable Floating Rate Notes Due
July 2036, Downgraded to Ca; previously on 8/14/2008
Downgraded to Aa2 on Review for possible downgrade
-- US$62,000,000 Class A-3L Floating Rate Notes Due July 2036,
Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa2
on Review for possible downgrade
-- US$45,000,000 Class A-3F Fixed/Floating Rate Notes Due July
2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to
Baa2 on Review for possible downgrade
-- US$50,000,000 Class B-1L Floating Rate Notes Due July 2036,
Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba3
on Review for possible downgrade
-- US$8,000,000 Class B-2L Floating Rate Notes Due July 2036,
Downgraded to C; previously on 8/14/2008 Downgraded to Caa3
on Review for possible downgrade
US Capital Funding I LTD
-- Current Model WARF [1]: 1,166
-- Current Assumed Defaulted Amount: 9,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1003
-- Assumed Defaulted Amount (November 2008 rating actions):
9,000,000
-- US$100,000,000 Class A-1 Floating Rate Senior Notes Due 2034,
Confirmed at Aa2; previously on 11/12/2008 Downgraded to Aa2
and on review for possible downgrade
-- US$24,000,000 Class A-2 Floating Rate Senior Notes Due 2034,
Downgraded to Baa2; previously on 11/12/2008 Downgraded to A2
on Review for possible downgrade
US Capital Funding II LTD
-- Current Model WARF [1]: 1,397
-- Current Assumed Defaulted Amount: 32,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 1032
-- Assumed Defaulted Amount (November 2008 rating actions):
9,500,000
-- US$171,000,000 Class A-1 Floating Rate Senior Notes Due 2034,
Downgraded to A1; previously on 11/12/2008 Downgraded to Aa3
and on review for possible downgrade
-- US$33,500,000 Class A-2 Floating Rate Senior Notes Due 2034,
Downgraded to Ba1; previously on 11/12/2008 Downgraded to A2
and on review for possible downgrade
-- US$70,000,000 Class B-1 Floating Rate Senior Subordinate
Notes Due 2034, Downgraded to Ca; previously on 11/12/2008
Downgraded to B3
-- US$40,000,000 Class B-2 Fixed/Floating Rate Senior
Subordinate Notes Due 2034, Downgraded to Ca; previously on
11/12/2008 Downgraded to B3
US Capital Funding III, Ltd.
-- Current Model WARF [1]: 1,155
-- Current Assumed Defaulted Amount: 30,000,000
-- Model WARF for November 2008 rating actions [1] [2]: 924
-- Assumed Defaulted Amount (November 2008 rating actions):
22,000,000
-- US$111,000,000 Class A-1 Notes, Confirmed at Aa3; previously
on 11/12/2008 Downgraded to Aa3 and on review for possible
downgrade
-- US$23,000,000 Class A-2 Notes, Downgraded to Baa2; previously
on 11/12/2008 Downgraded to A3 and on review for possible
downgrade
-- US$39,100,000 Class B-1 Notes, Downgraded to Ca; previously
on 11/12/2008 Downgraded to Caa1
-- US$48,000,000 Class B-2 Notes, Downgraded to Ca; previously
on 11/12/2008 Downgraded to Caa1
U.S. CAPITAL FUNDING IV, LTD.
-- Current Model WARF [1]: 1,502
-- Current Assumed Defaulted Amount: 68,600,991
-- Model WARF for November 2008 rating actions [1] [2]: 1313
-- Assumed Defaulted Amount (November 2008 rating actions):
62,400,991
-- US$200,000,000 Class A-1 Notes, Downgraded to Baa3;
previously on 11/12/2008 Downgraded to A2 on Review for
possible downgrade
-- US$14,000,000 Class A-2 Notes, Downgraded to Ba3; previously
on 11/12/2008 Downgraded to Baa3 on Review for possible
downgrade
-- US$92,250,000 Class B-1 Notes, Downgraded to Ca; previously
on 11/12/2008 Downgraded to Caa3
-- US$12,500,000 Class B-2 Notes, Downgraded to Ca; previously
on 11/12/2008 Downgraded to Caa3
U.S. CAPITAL FUNDING V, LTD.
-- Current Model WARF [1]: 2,608
-- Current Assumed Defaulted Amount: 45,500,000
-- US$193,000,000 Class A-1 Floating Rate Senior Notes Due 2040,
Downgraded to Ba1; previously on 10/30/2006 Assigned Aaa
-- US$30,000,000 Class A-2 Floating Rate Senior Notes Due 2040,
Downgraded to Ba3; previously on 8/14/2008 Aaa on review for
possible downgrade
-- US$42,000,000 Class A-3 Floating Rate Senior Notes Due 2040,
Downgraded to B2; previously on 8/14/2008 Aa2 on review for
possible downgrade
-- US$48,000,000 Class B-1 Deferrable Floating Rate Senior
Subordinate Notes Due 2040, Downgraded to Caa3; previously on
7/2/2008 A3 on review for possible downgrade
-- US$10,000,000 Class B-2 Deferrable Fixed/Floating Rate Senior
Subordinate Notes Due 2040, Downgraded to Caa3; previously on
7/2/2008 A3 on review for possible downgrade
U.S. Capital Funding VI, Ltd.
-- Current Model WARF [1]: 2,738
-- Current Assumed Defaulted Amount: 98,100,000
-- US$375,000,000 Class A-1 Floating Rate Senior Notes Due 2043,
Downgraded to Ba2; previously on 8/14/2008 Aaa on review for
possible downgrade
-- US$60,000,000 Class A-2 Floating Rate Senior Notes Due 2043,
Downgraded to B1; previously on 8/14/2008 Aa2 on review for
possible downgrade
-- US$80,000,000 Class B-1 Deferrable Floating Rate Senior
Subordinate Notes Due 2043, Downgraded to Caa3; previously on
7/2/2008 A3 on review for possible downgrade
-- US$32,000,000 Class B-2 Deferrable Fixed/Floating Rate Senior
Subordinate Notes Due 2043, Downgraded to Caa3; previously on
7/2/2008 A3 On review for possible downgrade
* S&P Takes Rating Actions on Three Market Value CLO Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services took these rating actions on
three U.S. market value collateralized loan obligation
transactions:
-- S&P lowered its ratings on six tranches, and these ratings
remain on CreditWatch negative;
-- S&P lowered its ratings on three tranches and removed them
from CreditWatch negative;
-- S&P lowered its ratings on three tranches that were not on
CreditWatch negative;
-- S&P left its ratings on two tranches on CreditWatch negative
at their current rating levels; and
-- S&P affirmed its ratings on 13 tranches.
These rating actions reflect continued price deterioration in the
leveraged loan and high-yield bond markets, which has impaired the
overcollateralization levels of rated market value CDO
transactions. The O/C levels have also been stressed by the
significant pressure on loan and bond prices, as well as by
ongoing loan price volatility.
As a result, several outstanding market value CLO transactions
have not been able to maintain O/C levels that are commensurate
with their assigned ratings. As such, S&P has reviewed the
transactions that are close to breaching their O/C thresholds and
have placed the affected ratings on CreditWatch negative. S&P
will continue to monitor the affected transactions and will lower
the ratings if S&P see further declines in the O/C levels, or
remove them from CreditWatch if they reestablish an appropriate
cushion above the minimum O/C requirement.
Rating and Creditwatch Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
BlackRock Sr Income Series III Plc B BBB+/Watch Neg A+/Watch Neg
Sankaty High Yield Partners II LP B Fxd BB/Watch Neg BBB-/Watch Neg
Sankaty High Yield Partners II LP B Flt BB/Watch Neg BBB-/Watch Neg
Sankaty High Yield Partners II LP C Fxd CCC- B/Watch Neg
Sankaty High Yield Partners II LP C Flt CCC- B/Watch Neg
Sankaty High Yield Partners II LP D Fxd CCC- CCC
Sankaty High Yield Partners II LP D Flt CCC- CCC
Sankaty High Yield Partners III A-2 A/Watch Neg AA/Watch Neg
Sankaty High Yield Partners III SrSecLnA/Watch Neg AA/Watch Neg
Sankaty High Yield Partners III B B/Watch Neg BBB/Watch Neg
Sankaty High Yield Partners III C CCC BB/Watch Neg
Sankaty High Yield Partners III D CCC- CCC
Ratings Remaining On Creditwatch
Transaction Class Rating
----------- ----- ------
Sankaty High Yield Partners II LP A-2 Fxd AA/Watch Neg
Sankaty High Yield Partners II LP A-2 Flt AA/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
BlackRock Sr Income Series III Plc SrSecFac AAA
BlackRock Sr Income Series III Plc C CCC-
BlackRock Sr Income Series III Plc D CC
BlackRock Sr Income Series III Plc E CC
Sankaty High Yield Partners II LP A-1 Fixed AAA
Sankaty High Yield Partners II LP A-1 Float AAA
Sankaty High Yield Partners II LP Cr Fac AAA
Sankaty High Yield Partners II LP E Float CC
Sankaty High Yield Partners III A-1A AAA
Sankaty High Yield Partners III A-1B AAA
Sankaty High Yield Partners III A-1C AAA
Sankaty High Yield Partners III A-1 AAA
Sankaty High Yield Partners III E CC
* S&P Downgrades Ratings on 22 Classes from Nine Prime Junbo RMBS
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 22
classes from nine U.S. prime jumbo residential mortgage-backed
securities transactions issued in 1989-2004. S&P removed 11 of
the lowered ratings from CreditWatch with negative implications.
In addition, S&P affirmed its ratings on 168 classes and removed
40 of the affirmed ratings from CreditWatch negative.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
expected ability to withstand additional credit deterioration. In
order to maintain a rating higher than 'B', S&P considered whether
a class absorbed losses in excess of the base-case assumptions S&P
made in S&P's analysis. For example, S&P assess whether a class
can withstand approximately 130% of S&P's base-case loss
assumptions in order to maintain a 'BB' rating, while S&P consider
whether a different class can withstand approximately 160% of
S&P's base-case loss assumptions to maintain a 'BBB' rating. An
affirmed 'AAA' rating reflects S&P's opinion that the class can
withstand approximately 235% of S&P's base-case loss assumptions.
The downgrades reflect S&P's opinion that the amount of credit
enhancement available for the downgraded classes is insufficient
to cover losses at the previous rating levels.
As part of its analysis, S&P considered the characteristics of the
underlying mortgage collateral as well as macroeconomic
influences. For example, S&P's view of the risk profile of the
underlying mortgage pools influences its default projections,
while S&P's outlook for housing price declines and the health of
the housing market influences S&P's loss severity assumptions.
The collateral for these deals consists of prime jumbo fixed- and
adjustable-rate mortgage loans secured by one- to four-family
residential properties. The downgrades reflect S&P's opinion that
projected credit support for the affected classes is insufficient
to maintain the previous ratings.
The affirmations reflect S&P's belief that there is sufficient
credit enhancement to support the ratings at their current levels.
Certain senior classes also benefit from senior-support classes
that would provide support to a certain extent before any
applicable losses could affect the super-senior certificates. The
subordination of classes within each structure provides credit
support for the affected transactions.
S&P monitors these transactions to incorporate updated losses and
delinquency pipeline performance to assess whether S&P believes
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P deem
appropriate.
Rating Actions
Banc of America Mortgage 2004-D Trust
Series 2004-D
Rating
------
Class CUSIP To From
----- ----- -- ----
B-5 05949ADZ0 CCC B
CHL Mortgage Pass Through Trust 2004-22
Series 2004-22
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12669F6X6 AAA AAA/Watch Neg
A-2 12669F6Y4 AAA AAA/Watch Neg
A-3 12669F6Z1 AAA AAA/Watch Neg
X-2 12669F7A5 AAA AAA/Watch Neg
X-3 12669F7B3 AAA AAA/Watch Neg
M 12669F7C1 AA AA/Watch Neg
B-1 12669F7D9 BBB A/Watch Neg
B-2 12669F7E7 B BBB/Watch Neg
B-3 12669F7F4 CC BB/Watch Neg
CHL Mortgage Pass-Through Trust 2003-21
Series 2003-21
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12669ECD6 AAA AAA/Watch Neg
A-2 12669ECV6 AAA AAA/Watch Neg
A-3 12669ECW4 AAA AAA/Watch Neg
M 12669ECY0 AA+ AA+/Watch Neg
B-1 12669ECZ7 AA- AA-/Watch Neg
B-2 12669EDA1 CCC BBB+/Watch Neg
B-3 12669EDJ2 CC BB+/Watch Neg
GreenPoint Mortgage Loan Trust 2004-1
Series 2004-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A 39538VAA8 AAA AAA/Watch Neg
SP 39538VAB6 AAA AAA/Watch Neg
B-1 39538VAD2 AA AA/Watch Neg
B-2 39538VAE0 A A/Watch Neg
B-3 39538VAF7 BB BBB/Watch Neg
B-4 39538VAG5 CCC BB/Watch Neg
Guardian S&L Assn, Huntington Beach, CA
Series 1989-10
Rating
------
Class CUSIP To From
----- ----- -- ----
A 40145CAW5 BB BBB-
Structured Asset Securities Corp.
Series 2002-3
Rating
------
Class CUSIP To From
----- ----- -- ----
A4 86358RWQ6 AAA AAA/Watch Neg
Structured Asset Securities Corp.
Series 2003-17A
Rating
------
Class CUSIP To From
----- ----- -- ----
B3 86359AXZ1 B BBB
B4 86359AXA6 CCC BB
B5 86359AXB4 CC B
Structured Asset Securities Corp.
Series 2003-26A
Rating
------
Class CUSIP To From
----- ----- -- ----
B2-1 86359AU68 BBB A
B2-II 86359AU92 BBB A
B2-I-X 86359AU76 BBB A
B3 86359AV26 CCC BBB
B4 86359AV42 CCC BB
B5 86359AV59 CC B
Washington Mutual MSC Mortgage Pass-Through Certificates
Series 2003-MS9
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A 939336N58 AAA AAA/Watch Neg
II-A 939336N66 AAA AAA/Watch Neg
I-X 939336N74 AAA AAA/Watch Neg
II-X 939336N82 AAA AAA/Watch Neg
I-P 939336N90 AAA AAA/Watch Neg
II-P 939336P23 AAA AAA/Watch Neg
R 939336P64 AAA AAA/Watch Neg
C-B-1 939336P31 AA AA/Watch Neg
C-B-2 939336P49 BBB A/Watch Neg
C-B-3 939336P56 CCC BBB/Watch Neg
Washington Mutual MSC Mortgage Pass-Through Certificates,
Series 2003-AR2 Trust
Series 2003-AR2
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 939336D42 AAA AAA/Watch Neg
I-A-2 939336D59 AAA AAA/Watch Neg
II-A-1 939336D67 AAA AAA/Watch Neg
II-A-2 939336D75 AAA AAA/Watch Neg
II-A-3 939336D83 AAA AAA/Watch Neg
II-A-4 939336D91 AAA AAA/Watch Neg
III-A 939336E25 AAA AAA/Watch Neg
IV-A 939336E33 AAA AAA/Watch Neg
I-X 939336E41 AAA AAA/Watch Neg
II-X-1 939336E66 AAA AAA/Watch Neg
II-X-2 939336E74 AAA AAA/Watch Neg
II-X-3 939336E82 AAA AAA/Watch Neg
M 939336E90 AAA AAA/Watch Neg
B-1 939336F24 AA+ AA+/Watch Neg
B-2 939336F32 AA AA/Watch Neg
B-3 939336F40 B A/Watch Neg
B-4 939336F65 CC BB/Watch Neg
R 939336F57 AAA AAA/Watch Neg
Ratings Affirmed
Banc of America Mortgage 2004-D Trust
Series 2004-D
Class CUSIP Rating
----- ----- ------
1-A-1 05949ADA5 AAA
1-A-2 05949ADB3 AAA
2-A-1 05949ADF4 AAA
2-A-5 05949ADK3 AAA
2-A-6 05949ADL1 AAA
2-A-7 05949ADM9 AAA
2-A-8 05949ADN7 AAA
2-A-IO 05949ADP2 AAA
3-A-1 05949ADQ0 AAA
B-1 05949ADR8 AA
B-2 05949ADS6 A+
B-3 05949ADT4 BBB
B-4 05949ADY3 BB
2-A2 05949ADG2 AAA
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust,
Series 2003-1
Class CUSIP Rating
----- ----- ------
I-A-6 251563BK7 AAA
I-A-7 251563BL5 AAA
I-A-8 251563BM3 AAA
I-A-X 251563BP6 AAA
II-A 251563BQ4 AAA
II-A-X 251563BR2 AAA
M 251563BS0 AAA
B-1 251563BT8 AA+
B-2 251563BU5 AA-
B-3 251563CX8 A
B-4 251563CY6 BB
RFMSI Series 2002-S17 Trust
Series 2002-S17
Class CUSIP Rating
----- ----- ------
A-1 76111JA95 AAA
A-2 76111JB29 AAA
A-6 76111JB60 AAA
A-7 76111JB78 AAA
A-P 76111JB86 AAA
A-V 76111JB94 AAA
M-1 76111JC44 AAA
M-2 76111JC51 AA+
M-3 76111JC69 AA-
RFSC Series 2003-RM1 Trust
Series 2003-RM1
Class CUSIP Rating
----- ----- ------
A-2 760985SW2 AAA
A-4 760985SY8 AAA
A-5 760985SZ5 AAA
A-6 760985TA9 AAA
A-7 760985TB7 AAA
A-8 760985TC5 AAA
A-8A 760985TD3 AAA
A-P 760985TJ0 AAA
A-V 760985TK7 AAA
M-1 760985TN1 AA+
M-2 760985TP6 AA
M-3 760985TQ4 A
B-1 760985TR2 BBB-
B-2 760985TS0 B
RFSC Series 2003-RM2 Trust
Series 2003-RM2
Class CUSIP Rating
----- ----- ------
A-I-1 760985UV1 AAA
A-I-2 760985UW9 AAA
A-I-3 760985UX7 AAA
A-I-4 760985UY5 AAA
A-I-5 760985UZ2 AAA
A-I-6 760985VA6 AAA
AP-I 760985VF5 AAA
AV-I 760985VG3 AAA
A-II 760985VH1 AAA
AP-II 760985VJ7 AAA
AV-II 760985VK4 AAA
A-III 760985VL2 AAA
AP-III 760985VM0 AAA
AV-III 760985VN8 AAA
M-1 760985VT5 AA
M-2 760985VU2 A
M-III-1 760985VW8 AA+
M-III-2 760985VX6 A+
M-III-3 760985VY4 BBB+
B-1 760985VZ1 BB
B-2 760985WA5 B
B-III-1 760985WC1 BBB
B-III-2 760985WD9 BB
M-3 760985VV0 BBB
Structured Asset Securities Corp.
Series 2001-6
Class CUSIP Rating
----- ----- ------
1-AP 86358RAV9 AAA
B1 86358RBE6 AAA
B2 86358RBF3 AAA
B3 86358RBG1 AA
Structured Asset Securities Corp.
Series 2001-19
Class CUSIP Rating
----- ----- ------
1-AP 86358RSV0 AAA
1-AX 86358RSW8 AAA
2-AP 86358RTD9 AAA
2-AX 86358RTE7 AAA
B1 (1) 86358RTF4 AAA
B1 (2) 86358R9M8 AAA
B2 (1) 86358RTG2 AAA
B2 (2) 86358R9N6 AAA
B3 (1) 86358RTH0 AAA
B3 (2) 86358R9O3 AAA
Structured Asset Securities Corp.
Series 2002-3
Class CUSIP Rating
----- ----- ------
2-A2 86358RWE3 AAA
2-AP 86358RWF0 AAA
CAX 86358RWN3 AAA
CAP 86358RWP8 AAA
PAX 86358RXT9 AAA
AP 86358RWS2 AAA
AX 86358RWT0 AAA
B1 86358RWU7 AAA
B2 86358RWV5 AA
B3 86358RWW3 BBB+
Structured Asset Securities Corp.
Series 2003-17A
Class CUSIP Rating
----- ----- ------
1-A1 86359AXD0 AAA
1-AX 86359AXE8 AAA
2-A1 86359AXF5 AAA
2-A2 86359AXG3 AAA
2-A3 86359AXH1 AAA
2-AX 86359AXJ7 AAA
2-PAX 86359AXK4 AAA
3-A1 86359AXL2 AAA
3-A2 86359AXM0 AAA
3-A3 86359AXN8 AAA
3-AX 86359AXP3 AAA
4-A 86359AXQ1 AAA
4-AX 86359AXR9 AAA
4-PAX 86359AXS7 AAA
B1-I 86359AXT5 AA
B1-I-X 86359AXU2 AA
B2-I 86359AXV0 A
B2-I-X 86359AXW8 A
B1-II 86359AXX6 AA
B2-II 86359AXY4 A
Structured Asset Securities Corp.
Series 2003-26A
Class CUSIP Rating
----- ----- ------
1A 86359AS20 AAA
2-A 86359AS46 AAA
3-A1 86359AS53 AAA
3-A4 86359AS87 AAA
3-A5 86359AS95 AAA
4-A 86359AT52 AAA
5-A 86359AT78 AAA
6-A 86359AT86 AAA
7-A 86359AU35 AAA
B1-I 86359AU43 AA
B1-I-X 86359AU50 AA
B1-II 86359AU84 AA
* S&P Downgrades Ratings on 30 Classes from Six RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 30
classes from six residential mortgage-backed securities
transactions backed by closed-end second-lien, Alternative A
negative-amortization, and scratch-and-dent outside-the-guidelines
mortgage loan collateral from 2001 through 2004. S&P removed two
of the lowered ratings from CreditWatch with negative
implications. In addition, S&P affirmed 31 ratings from five of
the same transactions and removed two of them from CreditWatch
negative (see list).
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is insufficient
to cover losses at the previous rating levels. Although
cumulative losses were generally low in comparison to S&P's
projected lifetime losses for the transactions reviewed, S&P is
projecting an increase in losses due to increases in delinquencies
and the current negative condition of the housing market. Certain
senior classes also benefit from senior support classes that would
provide support, to a certain extent, before any applicable losses
could affect the super-senior certificates. The affirmed ratings
reflect S&P's belief that the amount of credit enhancement
available for these classes is sufficient to cover losses
associated with these rating levels.
The downgrades, affirmations, and CreditWatch resolutions
incorporate S&P's current and projected losses based on the dollar
amounts of loans currently in the transactions' delinquency,
foreclosure, and real estate owned pipelines, as well as S&P's
projection of future defaults. S&P also incorporated cumulative
losses to date in S&P's analysis when determining rating outcomes.
The subordination of more-junior classes within each structure
provides credit support for the affected transactions. The
collateral backing these deals originally consisted predominantly
of end second lien, negative-amortization, and outside-the-
guidelines residential mortgage loans secured by one- to four-
family properties.
To maintain a 'AAA' rating, S&P consider whether a bond is able to
withstand approximately 150% of S&P's base-case loss assumptions,
subject to individual caps and qualitative factors assumed on
specific transactions. For a class for which we've affirmed a 'B'
rating, S&P consider whether a bond is able to withstand S&P's
base-case loss assumptions. Other rating categories are
dispersed, approximately equally, between these two loss
assumptions. For example, to maintain a 'BB' rating on one class,
S&P may consider whether the class is able to withstand
approximately 110% of S&P's base-case loss assumptions, while, in
connection with a different class, S&P may consider whether it is
able to withstand approximately 120% of S&P's base-case loss
assumptions to maintain a 'BBB' rating.
S&P monitors these transactions over time to incorporate updated
losses and delinquency pipeline performance to assess whether S&P
believes the applicable credit enhancement features are sufficient
to support the current ratings. S&P will continue to monitor
these transactions and take additional rating actions as S&P think
appropriate.
Rating Actions
Credit Suisse First Boston Mortgage Securities Corp.
Series 2001-S6
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 22540AH84 D AA
XB-2 22540AH92 D AA
CWABS, Inc.
Series 2002-SC1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-IO 126671SC1 B AAA/Watch Neg
M-2 126671SE7 B A/Watch Neg
HarborView Mortgage Loan Trust 2004-11
Series 2004-11
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 41161PJX2 AA AAA
2-A1A 41161PJY0 A AAA
2-A1B 41161PJZ7 BBB AAA
2-A2B 41161PKB8 BBB AAA
2-A3 41161PKC6 BBB AAA
3-A1A 41161PKD4 AA AAA
3-A1B 41161PKE2 BBB AAA
3-A2A 41161PKF9 A AAA
3-A2B 41161PKG7 BBB AAA
3-A3 41161PKH5 BBB AAA
3-A4 41161PKJ1 BBB AAA
X-1 41161PKK8 AA AAA
X-3 41161PKM4 AA AAA
X-B 41161PKN2 CCC AAA
B-1 41161PKQ5 CCC AA
B-2 41161PKR3 CCC A
B-3 41161PKS1 CCC BBB
B-4 41161PKT9 CC BB
HarborView Mortgage Loan Trust 2004-9
Series 2004-9
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 41161PHY2 BBB AA+
B-2 41161PHZ9 CCC A
B-3 41161PJA2 CCC BBB
B-4 41161PJB0 CC BB
RAMP Series 2003-RS8 Trust
Series 2003-RS8
Rating
------
Class CUSIP To From
----- ----- -- ----
A-I-6B 760985ZT1 AAA AAA/Watch Neg
M-II-3 760985ZQ7 B BB
M-II-4 760985ZR5 CCC B+
M-II-5 760985ZS3 CC B
RAMP Series 2004-RS1 Trust
Series 2004-RS1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-I-6B 760985M81 AAA AAA/Watch Neg
M-II-4 760985P39 CCC B
Ratings Affirmed
Credit Suisse First Boston Mortgage Securities Corp.
Series 2001-S6
Class CUSIP Rating
----- ----- ------
II-P 22540AH35 AAA
B-1 22540AH68 AAA
XB-1 22540AH76 AAA
HarborView Mortgage Loan Trust 2004-11
Series 2004-11
Class CUSIP Rating
----- ----- ------
2-A2A 41161PKA0 AAA
X-2 41161PKL6 AAA
HarborView Mortgage Loan Trust 2004-9
Series 2004-9
Class CUSIP Rating
----- ----- ------
1-A 41161PHR7 AAA
2-A 41161PHS5 AAA
3-A 41161PHT3 AAA
4-A1A 41161PHU0 AAA
4-A1B 41161PHV8 AAA
4-A2 41161PJF1 AAA
4-A3 41161PJG9 AAA
X 41161PHW6 AAA
RAMP Series 2003-RS8 Trust
Series 2003-RS8
Class CUSIP Rating
----- ----- ------
A-I-6A 760985ZE4 AAA
A-1-7 760985ZF1 AAA
A-1-8 760985ZG9 AAA
M-I-1 760985ZH7 AA
M-I-2 760985ZJ3 BBB
M-I-3 760985ZK0 B
M-II-1 760985ZN4 AA
M-II-2 760985ZP9 BBB+
RAMP Series 2004-RS1 Trust
Series 2004-RS1
Class CUSIP Rating
----- ----- ------
A-I-6A 760985M73 AAA
A-I-7 760985M99 AAA
M-I-1 760985N49 AA
M-I-2 760985N56 A
M-I-3 760985N64 CCC
M-II-1 760985N80 A
M-II-2 760985N98 BB
M-II-3 760985P21 B
* S&P Downgrades Ratings on 60 Classes from 20 RMBS Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 60
classes from 20 residential mortgage-backed securities
transactions backed by U.S. Alternative-A mortgage loan collateral
issued in 2003. The downgraded classes have a current balance of
approximately $94.60 million. In addition, S&P affirmed 244
ratings from these transactions and on 11 others issued from 1998
through 2003.
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is insufficient
to cover losses at the previous rating levels.
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover losses associated with these rating levels.
The downgrades and affirmations on these transactions incorporate
S&P's current and projected losses based on the dollar amounts of
loans currently in the transactions' delinquency, foreclosure, and
real estate owned pipelines, as well as S&P's projection of future
defaults. S&P also incorporated cumulative losses to date in
S&P's analysis when determining rating outcomes.
To maintain a 'AAA' rating, S&P considers whether a bond is able
to withstand approximately 150% of S&P's base-case loss
assumptions, subject to individual caps and qualitative factors
assumed on specific transactions. For a class for which we've
affirmed a 'B' rating, S&P considers whether a bond is able to
withstand S&P's base-case loss assumptions. Other rating
categories are dispersed, approximately equally, between these two
loss assumptions. For example, to maintain a 'BB' rating on one
class, S&P may consider whether the class is able to withstand
approximately 110% of S&P's base-case loss assumptions, while, in
connection with a different class, S&P may consider whether it is
able to withstand approximately 120% of S&P's base-case loss
assumptions to maintain a 'BBB' rating.
The subordination of more-junior classes within each structure
provides credit support for the affected transactions. The
collateral backing these deals originally consisted predominantly
of Alt-A, first-lien, fixed-rate, adjustable-rate, or negative-
amortization residential mortgage loans secured by one- to four-
family properties.
S&P monitors these transactions over time to incorporate updated
losses and delinquency pipeline performance to assess whether S&P
believes the applicable credit enhancement features are sufficient
to support the current ratings. S&P will continue to monitor
these transactions and take additional rating actions as S&P think
appropriate.
Rating Actions
Alternative Loan Trust 2003-10CB
Series 2003-23
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 12669EHB5 CCC BB
B-4 12669EHC3 CC B
Alternative Loan Trust 2003-11T1
Series 2003-25
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669EQB5 A AA
B-2 12669EQC3 B BBB
B-3 12669EPR1 CCC BB
B-4 12669EPS9 CCC B
Alternative Loan Trust 2003-12CB
Series 2003-30
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669EKP0 B BBB
B-3 12669EKQ8 CCC BB
B-4 12669EKR6 CC B
Alternative Loan Trust 2003-13T1
Series 2003-31
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 12669EUN4 B BB
B-4 12669EUP9 CCC B
Alternative Loan Trust 2003-14T1
Series 2003-32
Rating
------
Class CUSIP To From
----- ----- -- ----
M 12669EUC8 A AA
B-1 12669EUD6 B A
B-2 12669EUE4 CCC BBB
B-3 12669EVU7 CCC BB
B-4 12669EVV5 CC B
Alternative Loan Trust 2003-15T2
Series 2003-33
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669EVL7 A AA
B-2 12669EVM5 BB BBB
B-3 12669EVX1 CCC BB
B-4 12669EVY9 CC B
Alternative Loan Trust 2003-16T1
Series 2003-36
Rating
------
Class CUSIP To From
----- ----- -- ----
M 12669EC87 A AA
B-1 12669EC95 B A
B-2 12669ED29 CCC BBB
B-3 12669EWN2 CCC BB
B-4 12669EWP7 CC CCC
Alternative Loan Trust 2003-18CB
Series 2003-45
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669EWZ5 BBB A
B-2 12669EXA9 B BBB
B-3 12669ED60 CCC BB
B-4 12669ED78 CCC B
Alternative Loan Trust 2003-19CB
Series 2003-47
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669EM29 BBB A
B-2 12669EM37 B BBB
B-3 12669EM78 CCC BB
B-4 12669EM86 CCC B
Alternative Loan Trust 2003-1T1
Series 2003-5
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669DT57 A AA
B-3 12669DM70 BB A
B-4 12669DM88 CCC BB
Alternative Loan Trust 2003-20CB
Series 2003-51
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669E4X1 BB BBB
B-3 12669E5L6 CCC BB
B-4 12669E5M4 CCC B
Alternative Loan Trust 2003-22CB
Series 2003-59
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669FEL3 BBB A
B-2 12669FEM1 CCC BBB
B-3 12669FEU3 CCC BB
B-4 12669FEV1 CC CCC
Alternative Loan Trust 2003-2CB
Series 2003-6
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 12669DF29 CCC BB
B-4 12669DF37 CC B
Alternative Loan Trust 2003-4CB
Series 2003-12
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 12669DY36 B BB
B-4 12669DY44 CC B
Alternative Loan Trust 2003-5T2
Series 2003-13
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 12669EBK1 CCC B
Alternative Loan Trust 2003-8CB
Series 2003-19
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 12669EBX3 CCC BB
B-4 12669EBY1 D B
Alternative Loan Trust 2003-9T1
Series 2003-22
Rating
------
Class CUSIP To From
----- ----- -- ----
B-4 12669EPG5 CCC B
Alternative Loan Trust 2003-J1
Series 2003-J11
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669E2F2 BBB A+
B-2 12669E2G0 B BBB
B-3 12669E2M7 CCC BB
Alternative Loan Trust 2003-J2
Series 2003-J12
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669E4F0 A AA+
B-2 12669E4G8 BB A
B-3 12669E4Y9 B BB
B-4 12669E4Z6 CCC B
Alternative Loan Trust 2003-J3
Series 2003-J14
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 12669FFK4 B BBB
B-3 12669FGA5 CC B
Ratings Affirmed
Alternative Loan Trust 1998-4
Series 1998-12
Class CUSIP Rating
----- ----- ------
I-A-1 12669ATD6 AAA
II-A-3 12669ATG9 AAA
II-A-4 12669ATH7 AAA
PO 12669ATK0 AAA
X 12669ATL8 AAA
A-R 12669ATN4 AAA
Alternative Loan Trust 2002-11
Series 2002-17
Class CUSIP Rating
----- ----- ------
A-3 12669C2L3 AAA
A-4 12669C2M1 AAA
A-6 12669C2P4 AAA
PO 12669C2U3 AAA
M 12669C2W9 AAA
B-1 12669C2X7 AAA
B-2 12669C2Y5 A
Alternative Loan Trust 2002-12
Series 2002-20
Class CUSIP Rating
----- ----- ------
A-8 12669DCF3 AAA
PO 12669DCG1 AAA
Alternative Loan Trust 2002-13
Series 2002-23
Class CUSIP Rating
----- ----- ------
A-13 12669C6S4 AAA
A-14 12669C6T2 AAA
PO 12669C6U9 AAA
M 12669C6W5 AA+
B-1 12669C6X3 AA
B-2 12669C6Y1 A
Alternative Loan Trust 2002-14
Series 2002-24
Class CUSIP Rating
----- ----- ------
A-4 12669DAD0 AAA
A-5 12669DAE8 AAA
PO 12669DAH1 AAA
M 12669DAK4 AAA
B-1 12669DAL2 AAA
B-2 12669DAM0 AA+
Alternative Loan Trust 2002-7
Series 2002-11
Class CUSIP Rating
----- ----- ------
CB-1 12669CQ29 AAA
CB-2 12669CQ37 AAA
CB-7 12669CR69 AAA
PO 12669CS43 AAA
Alternative Loan Trust 2003-10CB
Series 2003-23
Class CUSIP Rating
----- ----- ------
1-A-1 12669EDB9 AAA
2-A-1 12669EDC7 AAA
PO 12669EDD5 AAA
M 12669EDF0 AA
B-1 12669EDG8 A
B-2 12669EDH6 BBB
Alternative Loan Trust 2003-11T1
Series 2003-25
Class CUSIP Rating
----- ----- ------
A-1 12669EPU4 AAA
A-2 12669EPV2 AAA
A-3 12669EPW0 AAA
A-4 12669EPX8 AAA
PO 12669EPY6 AAA
M 12669EQA7 AA+
Alternative Loan Trust 2003-12CB
Series 2003-30
Class CUSIP Rating
----- ----- ------
1-A-1 12669EKH8 AAA
2-A-1 12669EKJ4 AAA
PO 12669EKK1 AAA
M 12669EKM7 AA
B-1 12669EKN5 A
Alternative Loan Trust 2003-13T1
Series 2003-31
Class CUSIP Rating
----- ----- ------
A-1 12669ERW8 AAA
A-2 12669ERX6 AAA
A-3 12669ERY4 AAA
A-4 12669ERZ1 AAA
A-6 12669ESB3 AAA
A-7 12669ESC1 AAA
A-8 12669ESD9 AAA
A-9 12669ESE7 AAA
A-10 12669ESF4 AAA
A-11 12669ESG2 AAA
A-12 12669ESH0 AAA
A-13 12669ESJ6 AAA
A-14 12669ESK3 AAA
A-15 12669ESL1 AAA
PO 12669ESM9 AAA
M 12669ESP2 AA+
B-1 12669ESQ0 AA
B-2 12669ESR8 BBB
Alternative Loan Trust 2003-14T1
Series 2003-32
Class CUSIP Rating
----- ----- ------
A-1 12669ETP1 AAA
A-2 12669ETQ9 AAA
A-3 12669ETR7 AAA
A-4 12669ETS5 AAA
A-5 12669ETT3 AAA
A-6 12669ETU0 AAA
A-7 12669ETV8 AAA
A-8 12669ETW6 AAA
A-9 12669ETX4 AAA
A-10 12669ETY2 AAA
PO 12669EUA2 AAA
A-R 12669EUB0 AAA
Alternative Loan Trust 2003-15T2
Series 2003-33
Class CUSIP Rating
----- ----- ------
A-2 12669EUV6 AAA
A-3 12669EUW4 AAA
A-4 12669EUX2 AAA
A-5 12669EUY0 AAA
A-6 12669EUZ7 AAA
A-7 12669EVA1 AAA
A-8 12669EVB9 AAA
A-9 12669EVC7 AAA
A-10 12669EVD5 AAA
A-11 12669EVE3 AAA
A-12 12669EVF0 AAA
A-13 12669EVG8 AAA
PO 12669EVH6 AAA
M 12669EVK9 AAA
Alternative Loan Trust 2003-16T1
Series 2003-36
Class CUSIP Rating
----- ----- ------
A-1 12669EB96 AAA
A-2 12669EC20 AAA
A-3 12669EC38 AAA
A-4 12669EC46 AAA
A-5 12669EC53 AAA
PO 12669EC61 AAA
A-R 12669EC79 AAA
Alternative Loan Trust 2003-17T2
Series 2003-38
Class CUSIP Rating
----- ----- ------
A-1 12669EB39 AAA
PO 12669EB47 AAA
M 12669EB62 AAA
B-1 12669EB70 AA
B-2 12669EB88 BBB
B-3 12669EA89 BB
Alternative Loan Trust 2003-18CB
Series 2003-45
Class CUSIP Rating
----- ----- ------
1-A-1 12669EWU6 AAA
2-A-1 12669EWV4 AAA
PO 12669EWW2 AAA
A-R 12669EWX0 AAA
M 12669EWY8 AA
Alternative Loan Trust 2003-19CB
Series 2003-47
Class CUSIP Rating
----- ----- ------
1-A-1 12669EG75 AAA
2-A-1 12669EG83 AAA
3-A-1 12669EX76 AAA
3-A-2 12669EX84 AAA
3-A-3 12669EX92 AAA
PO 12669EG91 AAA
M 12669EL95 AA
Alternative Loan Trust 2003-1T1
Series 2003-5
Class CUSIP Rating
----- ----- ------
A-1 12669DR34 AAA
A-2 12669DR42 AAA
A-3 12669DR59 AAA
A-4 12669DR67 AAA
A-7 12669DR91 AAA
A-11 12669DS58 AAA
A-12 12669DS66 AAA
A-13 12669DS74 AAA
A-14 12669DS82 AAA
PO 12669DS90 AAA
M 12669DT32 AAA
B-1 12669DT40 AA+
Alternative Loan Trust 2003-20CB
Series 2003-51
Class CUSIP Rating
----- ----- ------
1-A-1 12669E4M5 AAA
1-A-2 12669E4N3 AAA
1-A-3 12669E4P8 AAA
1-A-4 12669E4Q6 AAA
2-A-1 12669E4R4 AAA
3-A-1 12669E4S2 AAA
PO 12669E4T0 AAA
A-R 12669E4U7 AAA
M 12669E4V5 AA
B-1 12669E4W3 A
Alternative Loan Trust 2003-22CB
Series 2003-59
Class CUSIP Rating
----- ----- ------
1-A-1 12669FEE9 AAA
2-A-1 12669FEF6 AAA
3-A-1 12669FEG4 AAA
PO 12669FEH2 AAA
M 12669FEK5 AA
Alternative Loan Trust 2003-2CB
Series 2003-6
Class CUSIP Rating
----- ----- ------
1-A-1 12669DD88 AAA
2-A-1 12669DD96 AAA
PO 12669DE20 AAA
AR 12669DE38 AAA
M 12669DE46 AA
B-1 12669DE53 A
B-2 12669DE61 BBB
Alternative Loan Trust 2003-4CB
Series 2003-12
Class CUSIP Rating
----- ----- ------
1-A-1 12669DN20 AAA
2-A-1 12669DN38 AAA
2-A-2 12669DZ27 AAA
2-A-3 12669DZ35 AAA
PO 12669DN46 AAA
M 12669DN61 AA
B-1 12669DN79 A
B-2 12669DN87 BBB
Alternative Loan Trust 2003-5T2
Series 2003-13
Class CUSIP Rating
----- ----- ------
A-2 12669EAB2 AAA
A-3 12669EAC0 AAA
A-4 12669EAD8 AAA
A-6 12669EAF3 AAA
A-8 12669EAH9 AAA
PO 12669EAJ5 AAA
M 12669EAL0 AAA
B-1 12669EAM8 AA
B-2 12669EAN6 BBB
Alternative Loan Trust 2003-6T2
Series 2003-16
Class CUSIP Rating
----- ----- ------
A-4 12669ECL8 AAA
A-5 12669ECM6 AAA
A-6 12669ECN4 AAA
A-7 12669ECP9 AAA
PO 12669ECQ7 AAA
M 12669ECS3 AAA
B-1 12669ECT1 AA-
B-2 12669ECU8 BBB
Alternative Loan Trust 2003-7T1
Series 2003-17
Class CUSIP Rating
----- ----- ------
A-1 12669EDM5 AAA
A-2 12669EDN3 AAA
A-3 12669EDP8 AAA
A-4 12669EDQ6 AAA
A-5 12669EDR4 AAA
PO 12669EDS2 AAA
M 12669EDU7 AA
B-1 12669EDV5 A
B-2 12669EDW3 BBB
B-3 12669EHE9 BB
B-4 12669EHF6 B
Alternative Loan Trust 2003-8CB
Series 2003-19
Class CUSIP Rating
----- ----- ------
1-A-1 12669D5R5 AAA
2-A-1 12669D5S3 AAA
PO 12669D5T1 AAA
M 12669D5V6 AA
B-1 12669D5W4 A
B-2 12669D5X2 BBB
Alternative Loan Trust 2003-9T1
Series 2003-22
Class CUSIP Rating
----- ----- ------
A-1 12669EHY5 AAA
A-2 12669EHZ2 AAA
A-3 12669EJA5 AAA
A-4 12669EJB3 AAA
A-5 12669EJC1 AAA
A-6 12669EJD9 AAA
A-7 12669EJE7 AAA
PO 12669EJF4 AAA
M 12669EJH0 AAA
B-1 12669EJJ6 AA+
B-2 12669EJK3 A+
B-3 12669EPF7 BBB
Alternative Loan Trust 2003-J1
Series 2003-J11
Class CUSIP Rating
----- ----- ------
1-A-1 12669EY26 AAA
1-A-2 12669EY34 AAA
1-A-3 12669EY42 AAA
1-A-4 12669EY59 AAA
1-A-5 12669EY67 AAA
1-A-6 12669EY75 AAA
1-A-7 12669EY83 AAA
1-A-8 12669EY91 AAA
1-A-9 12669EZ25 AAA
2-A-1 12669EZ33 AAA
2-A-2 12669EZ41 AAA
2-A-3 12669EZ58 AAA
2-X 12669EZ66 AAA
3-A-1 12669EZ90 AAA
3-A-2 12669E2A3 AAA
3-A-3 12669E2B1 AAA
3-X 12669EZ74 AAA
4-A-1 12669E2C9 AAA
4-X 12669EZ82 AAA
PO 12669E2D7 AAA
M 12669E2E5 AA
B-4 12669E2N5 CCC
Alternative Loan Trust 2003-J2
Series 2003-J12
Class CUSIP Rating
----- ----- ------
A-1 12669E4A1 AAA
X 12669E4B9 AAA
M 12669E4E3 AAA
Alternative Loan Trust 2003-J3
Series 2003-J14
Class CUSIP Rating
----- ----- ------
1-A-1 12669FEX7 AAA
1-A-2 12669FEY5 AAA
1-A-3 12669FEZ2 AAA
1-X 12669FFC2 AAA
2-A-1 12669FFD0 AAA
2-X 12669FFE8 AAA
PO 12669FFF5 AAA
M 12669FFH1 AA
B-1 12669FFJ7 A
RALI Series 2001-QS16 Trust
Series 2001-QS16
Class CUSIP Rating
----- ----- ------
A-2 76110GRZ6 AAA
A-P 76110GSG7 AAA
A-V 76110GSH5 AAA
Residential Accredit Loans, Inc.
Series 1999-QS4
Class CUSIP Rating
----- ----- ------
A-1 76110FG98 AAA
A-V 76110FH30 AAA
* S&P Downgrades Ratings on 65 Tranches from 10 Trust CDO Deals
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 65
tranches from 10 U.S. trust preferred collateralized debt
obligation transactions and removed them from CreditWatch with
negative implications. At the same time, S&P affirmed its ratings
on eight tranches from five transactions and removed six from
CreditWatch negative. The affirmations include two 'AAA' ratings
from Tropic CDO V Ltd. (see list). The downgraded CDO tranches
have a combined issuance amount of $3.906 billion.
The downgrades of the trust preferred CDO tranches listed below
predominantly reflect (i) modifications that Standard & Poor's has
made to its methodology for rating trust preferred CDOs; and (ii)
S&P's concerns that institutions issuing hybrid securities through
trust preferred CDOs may be more likely to defer payments on their
trust preferred securities if current economic dislocation
continues, as reflected by S&P's recent downgrade of the hybrid
securities issued by certain financial institutions.
These deferrals would in turn cause the trust preferred securities
to defer their interest payments. According to most trust
preferred CDO transaction documents, securities are typically
viewed as defaulted when they defer interest payments. Moreover,
the trust preferred securities' deferral of interest payments
would reduce the amount of cash flow available to service the
liabilities issued by a trust preferred CDO. The deferral of
payments to a large percentage of the trust preferred securities
could cause CDO transactions to fail to pay interest to
nondeferrable classes of notes and trigger events of default under
their transaction documents.
Hybrid, or trust preferred, securities collateralize (or secure)
trust preferred CDOs. In recent years, trust preferred CDOs
generally invested in these three categories of these hybrid
securities: bank trust preferred securities, issued by small to
midsize bank holding companies; insurance trust preferred
securities, issued by small to midsize insurance companies; and
real estate investment trust preferred securities, issued by
equity or mortgage REITs.
On July 16, 2008, Standard & Poor's placed all of its outstanding
ratings on U.S. trust preferred CDO transactions on CreditWatch
negative because S&P revised the assumptions S&P use to rate these
transactions, and to reflect S&P's concerns that current economic
conditions in the U.S. had heightened the risk that institutions
issuing hybrid securities would defer payments on their trust
preferred securities.
Ratings Lowered And Removed From Creditwatch Negative
Rating
------
Transaction Class To From
----------- ----- -- ----
Dekania CDO I, Ltd. A-1 AA AAA/Watch Neg
Dekania CDO I, Ltd. A-2 A+ AAA/Watch Neg
Dekania CDO I, Ltd. B A AA/Watch Neg
Dekania CDO I, Ltd. C-1 BB+ A-/Watch Neg
Dekania CDO I, Ltd. C-2 BB+ A-/Watch Neg
Dekania CDO I, Ltd. D BB BBB/Watch Neg
InCapS Funding I, Ltd. B-1 B A-/Watch Neg
InCapS Funding I, Ltd. B-2 B A-/Watch Neg
InCapS Funding I, Ltd. C CCC+ BBB/Watch Neg
InCapS Funding II Ltd A-2 A AAA/Watch Neg
InCapS Funding II Ltd B-1 BB- A-/Watch Neg
InCapS Funding II Ltd B-2 BB- A-/Watch Neg
InCapS Funding II Ltd C B BBB/Watch Neg
I-Preferred Term Securities I Ltd B-1 B+ A-/Watch Neg
I-Preferred Term Securities I Ltd B-2 B+ A-/Watch Neg
I-Preferred Term Securities I Ltd B-3 B+ A-/Watch Neg
I-Preferred Term Securities I Ltd C CCC+ BBB/Watch Neg
I-Preferred Term Securities II, Ltd. A-1-A AA+ AAA/Watch Neg
I-Preferred Term Securities II, Ltd. A-2 AA+ AAA/Watch Neg
I-Preferred Term Securities II, Ltd. A-3 AA+ AAA/Watch Neg
I-Preferred Term Securities II, Ltd. B-1 B+ A-/Watch Neg
I-Preferred Term Securities II, Ltd. B-2 B+ A-/Watch Neg
I-Preferred Term Securities II, Ltd. B-3 B+ A-/Watch Neg
I-Preferred Term Securities II, Ltd. C B- BBB/Watch Neg
I-Preferred Term Securities III, Ltd. A-1 AA+ AAA/Watch Neg
I-Preferred Term Securities III, Ltd. A-2 AA- AAA/Watch Neg
I-Preferred Term Securities III, Ltd. A-3 AA- AAA/Watch Neg
I-Preferred Term Securities III, Ltd. A-4 AA- AAA/Watch Neg
I-Preferred Term Securities III, Ltd. B-1 B- A-/Watch Neg
I-Preferred Term Securities III, Ltd. B-2 B- A-/Watch Neg
I-Preferred Term Securities III, Ltd. B-3 B- A-/Watch Neg
I-Preferred Term Securities III, Ltd. C CCC+ BBB/Watch Neg
I-Preferred Term Securities IV, Ltd. A-1 AA+ AAA/Watch Neg
I-Preferred Term Securities IV, Ltd. A-2 A+ AAA/Watch Neg
I-Preferred Term Securities IV, Ltd. A-3 A+ AAA/Watch Neg
I-Preferred Term Securities IV, Ltd. B-M-1 B A-/Watch Neg
I-Preferred Term Securities IV, Ltd. B-M-2 B A-/Watch Neg
I-Preferred Term Securities IV, Ltd. C B- BBB/Watch Neg
I-Preferred Term Securities IV, Ltd. D CCC+ BB/Watch Neg
Kodiak CDO I, Ltd. A-1 A+ AAA/Watch Neg
Kodiak CDO I, Ltd. A-2 BB AAA/Watch Neg
Kodiak CDO I, Ltd. B B- AA/Watch Neg
Kodiak CDO I, Ltd. C CCC AA/Watch Neg
Kodiak CDO I, Ltd. D-1 CCC- AA-/Watch Neg
Kodiak CDO I, Ltd. D-2 CCC- AA-/Watch Neg
Kodiak CDO I, Ltd. D-3 CCC- AA-/Watch Neg
Kodiak CDO I, Ltd. E-1 CC A-/Watch Neg
Kodiak CDO I, Ltd. E-2 CC A-/Watch Neg
Kodiak CDO I, Ltd. F CC BBB/Watch Neg
Kodiak CDO I, Ltd. G CC B+/Watch Neg
Kodiak CDO I, Ltd. H CC CCC/Watch Neg
Kodiak CDO II Ltd A-1 AA+ AAA/Watch Neg
Kodiak CDO II Ltd A-2 AA AAA/Watch Neg
Kodiak CDO II Ltd A-3 BBB AAA/Watch Neg
Kodiak CDO II Ltd B-1 BB- AA+/Watch Neg
Kodiak CDO II Ltd B-2 BB- AA+/Watch Neg
Kodiak CDO II Ltd C-1 B- AA-/Watch Neg
Kodiak CDO II Ltd C-2 B- AA-/Watch Neg
Kodiak CDO II Ltd D CCC+ A/Watch Neg
Kodiak CDO II Ltd E CCC BBB/Watch Neg
Kodiak CDO II Ltd F CCC- BB/Watch Neg
Tropic CDO V Ltd. A-1La1 BB+ AAA/Watch Neg
Tropic CDO V Ltd. A-1La2 BB- AAA/Watch Neg
Tropic CDO V Ltd. A-1Lb B- AAA/Watch Neg
Tropic CDO V Ltd. A-2L CCC- AA-/Watch Neg
Ratings Affirmed And Removed From Creditwatch Negative
Rating
------
Transaction Class To From
----------- ----- -- ----
InCapS Funding I, Ltd. A AAA AAA/Watch Neg
InCapS Funding II Ltd A-1 AAA AAA/Watch Neg
I-Preferred Term Securities I Ltd A-1 AAA AAA/Watch Neg
I-Preferred Term Securities I Ltd A-2 AAA AAA/Watch Neg
I-Preferred Term Securities I Ltd A-3 AAA AAA/Watch Neg
I-Preferred Term Securities II, Ltd. A-1 AAA AAA/Watch Neg
Other Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Tropic CDO V Ltd. P-1 Combo AAA
Tropic CDO V Ltd. P-2 Combo AAA
* S&P Downgrades Ratings on 323 Classes from 27 RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 323
classes from 27 residential mortgage-backed securities
transactions backed by U.S. Alternative-A mortgage loan collateral
from 2003, 2004, 2006, and 2007. S&P removed 196 of the lowered
ratings from CreditWatch with negative implications. In addition,
S&P affirmed 70 ratings on these transactions and removed 20 of
them from CreditWatch negative.
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is insufficient
to cover losses at the previous rating levels. Although
cumulative losses were generally low in comparison to S&P's
projected lifetime losses for the transactions reviewed, S&P is
projecting an increase in losses due to increases in delinquencies
and the current negative condition of the housing market. Certain
senior classes also benefit from senior support classes that would
provide support, to a certain extent, before any applicable losses
could affect the super-senior certificates.
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover losses associated with these rating levels.
The downgrades, affirmations, and CreditWatch resolutions
incorporate S&P's current and projected losses based on the dollar
amounts of loans currently in the transactions' delinquency,
foreclosure, and real estate owned pipelines, as well as S&P's
projection of future defaults. S&P also incorporated cumulative
losses to date in its analysis when determining rating outcomes.
The subordination from the more-junior classes within each
structure provides credit support for the affected transactions.
The collateral backing these deals originally consisted
predominantly of Alt-A, first-lien, fixed-rate, adjustable-rate,
or negative-amortization residential mortgage loans secured by
one- to four-family properties.
To maintain a 'AAA' rating, S&P considers whether a bond is able
to withstand approximately 1.5% of S&P's base-case loss
assumptions, subject to individual caps and qualitative factors
assumed on specific transactions. For a class for which we've
affirmed a 'B' rating, S&P considers whether a bond is able to
withstand its base-case loss assumptions. Other rating categories
are dispersed, approximately equally, between these two loss
assumptions. For example, to maintain a 'BB' rating on one class,
S&P may consider whether the class is able to withstand
approximately 1.1% of S&P's base-case loss assumptions, while, in
connection with a different class, S&P may consider whether it is
able to withstand approximately 1.2% of S&P's base-case loss
assumptions to maintain a 'BBB' rating.
S&P monitors these transactions to incorporate updated losses and
delinquency pipeline performance to assess whether S&P believes
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P think
appropriate.
Rating Actions
Banc of America Funding 2006-H Trust
Series 2006-H
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 05950PAA1 B+ AAA/Watch Neg
1-A-2 05950PAB9 B AAA/Watch Neg
2-A-1 05950PAD5 B+ AAA/Watch Neg
2-A-2 05950PAE3 B+ AAA/Watch Neg
2-A-3 05950PAF0 B+ AAA/Watch Neg
2-A-4 05950PAG8 B AAA/Watch Neg
3-A-1 05950PAH6 B+ AAA/Watch Neg
3-A-2 05950PAJ2 B+ AAA/Watch Neg
3-A-3 05950PBK8 B+ AAA
3-A-4 05950PBL6 B AA/Watch Neg
4-A-1 05950PAK9 B+ AAA/Watch Neg
4-A-2 05950PAL7 B+ AAA/Watch Neg
4-A-3 05950PAM5 B+ AAA
4-A-4 05950PAN3 B AA/Watch Neg
5-A-1 05950PAS2 CCC AA/Watch Neg
5-A-2 05950PAT0 CC B/Watch Neg
6-A-1 05950PAU7 CCC AA/Watch Neg
6-A-2 05950PAV5 CC B/Watch Neg
M-1 05950PAW3 CC CCC
M-2 05950PAX1 CC CCC
M-3 05950PAY9 CC CCC
M-4 05950PAZ6 CC CCC
Banc of America Funding 2007-8 Trust
Series 2007-8
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 05953LAB5 B- B+/Watch Neg
1-A-2 05953LAC3 CCC B/Watch Neg
2-A-1 05953LAD1 BB+ AAA
2-A-2 05953LAE9 B AAA/Watch Neg
2-A-3 05953LAF6 CCC B/Watch Neg
3-A-1 05953LAG4 B- B+/Watch Neg
3-A-2 05953LAH2 CCC B/Watch Neg
X-IO 05953LAM1 BB+ AAA
X-PO 05953LAN9 CCC B/Watch Neg
X-B-1 05953LAR0 CC CCC
X-B-2 05953LAS8 CC CCC
X-B-3 05953LAT6 CC CCC
4-A-1 05953LAJ8 BB AA/Watch Neg
4-A-2 05953LAK5 B B+/Watch Neg
4-A-3 05953LAL3 CCC B/Watch Neg
4-IO 05953LAP4 BB AA
4-PO 05953LAQ2 CCC B/Watch Neg
4-B-3 05953LAW9 CC CCC
4-B-4 05953LBA6 CC CCC
Bear Stearns ALT-A Trust 2003-6
Series 2003-6
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 07386HDZ1 AAA AAA/Watch Neg
I-X-A-1 07386HEA5 AAA AAA/Watch Neg
I-A-2 07386HEB3 AAA AAA/Watch Neg
I-X-A-2 07386HEC1 AAA AAA/Watch Neg
II-A-1 07386HED9 AAA AAA/Watch Neg
II-A-X-1 07386HEE7 AAA AAA/Watch Neg
II-A-2 07386HEF4 AAA AAA/Watch Neg
II-A-X-2 07386HEG2 AAA AAA/Watch Neg
III-A 07386HEH0 AAA AAA/Watch Neg
IV-A 07386HEJ6 AAA AAA/Watch Neg
M 07386HEL1 AAA AAA/Watch Neg
B-1 07386HEM9 AAA AAA/Watch Neg
B-2 07386HEN7 AA+ AA+/Watch Neg
B-3 07386HEP2 BBB A/Watch Neg
B-4 07386HEW7 CCC BB/Watch Neg
Bear Stearns ALT-A Trust 2004-7
Series 2004-7
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 07386HKR1 B BBB
B-4 07386HLL3 CCC BB
Bear Stearns ALT-A Trust 2004-9
Series 2004-9
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 07386HLK5 B BBB
B-4 07386HLV1 CC B
Bear Stearns ALT-A Trust 2006-1
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-1A-1 07386HA92 BB A/Watch Neg
I-1A-2 07386HB26 CCC B/Watch Neg
I-M-1 07386HB34 CC CCC
II-1A-1 07386HB75 B A/Watch Neg
II-1X-1 07386HB91 B A
II-1A-2 07386HB83 B A/Watch Neg
II-1A-3 07386HE49 CCC B/Watch Neg
II-1X-2 07386HE56 B A
II-2A-1 07386HC25 B A/Watch Neg
II-2A-2 07386HC33 CCC B/Watch Neg
II-2X-1 07386HC41 B A
II-3A-1 07386HC58 B A/Watch Neg
II-3A-2 07386HC66 CCC B/Watch Neg
II-3X-1 07386HD81 B A
II-B-1 07386HD99 CC CCC
II-X-B1 07386HE64 CC CCC
II-X-B2 07386HE72 D CCC
II-X-B3 07386HE80 D CC
Bear Stearns Asset Backed Securities I Trust 2006-ST1
Series 2006-ST1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 073886AC7 CC CCC
M-2 073886AD5 CC CCC
M-3 073886AE3 CC CCC
Bear Stearns Mortgage Funding Trust 2006-AR5
Series 2006-AR5
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-2 07401NAB5 BB AAA/Watch Neg
I-A-3 07401NAC3 CCC BBB/Watch Neg
I-B-1 07401NAE9 CCC B/Watch Neg
I-B-2 07401NAF6 CC CCC
I-B-3 07401NAG4 CC CCC
I-B-4 07401NAH2 CC CCC
I-B-5 07401NAJ8 CC CCC
II-A-2 07401NAQ2 B AAA/Watch Neg
II-A-3 07401NAR0 CCC BB/Watch Neg
II-B-1 07401NAS8 CC CCC
II-B-2 07401NAT6 CC CCC
CHL Mortgage Pass-Through Trust 2004-20
Series 2004-20
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669F2L6 B A
B-2a 12669F2M4 CCC BB
B-2b 12669F2Y8 CCC BB
B-3 12669F2N2 CC B
CHL Mortgage Pass-Through Trust 2006-HYB1
Series 2006-HYB1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 126694WE4 B+ A/Watch Neg
1-A-2 126694WF1 CCC B/Watch Neg
1-A-IO 126694WG9 B+ A
2-A-1 126694WH7 B+ A/Watch Neg
2-A-2A 126694WJ3 A AAA/Watch Neg
2-A-2B 126694WK0 B+ A/Watch Neg
2-A-2C 126694WL8 B+ A/Watch Neg
2-B 126694WM6 CCC B/Watch Neg
3-A-1 126694WP9 AAA AAA/Watch Neg
3-A-2 126694WQ7 CCC B/Watch Neg
M 126694WS3 CC CCC
B-1 126694WT1 CC CCC
CHL Mortgage Pass-Through Trust 2007-HYB1
Series 2007-HYB1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 22239EAA4 CCC AA/Watch Neg
1-A-2 22239EAB2 CCC B/Watch Neg
1-A-IO 22239EAC0 CCC AAA
2-A-1 22239EAD8 CCC AA/Watch Neg
2-A-IO 22239EAF3 CCC AAA
3-A-1 22239EAG1 CCC AA/Watch Neg
3-A-IO 22239EAJ5 CCC AAA
2-3-A2 22239EAY2 CCC B/Watch Neg
4-A-1 22239EAK2 CCC AA/Watch Neg
4-A-2 22239EAL0 CCC B/Watch Neg
4-A-IO 22239EAM8 CCC AAA
5-A-1 22239EAV8 CCC AA/Watch Neg
5-A-2 22239EAW6 CCC B/Watch Neg
5-A-IO 22239EAX4 CCC AAA
M 22239EAN6 CC CCC
B-1 22239EAP1 CC CCC
CHL Mortgage Pass-Through Trust 2007-J2
Series 2007-J2
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 12545EAA4 CCC B/Watch Neg
2-A-1 12545EAB2 CCC B/Watch Neg
2-A-2 12545EAC0 CCC B
2-A-3 12545EAD8 B BB/Watch Neg
2-A-4 12545EAE6 CCC B/Watch Neg
2-A-5 12545EAF3 B BB/Watch Neg
2-A-6 12545EAG1 B BB/Watch Neg
2-A-7 12545EAH9 CCC B/Watch Neg
2-A-8 12545EAJ5 B BB/Watch Neg
2-A-9 12545EAK2 B BB/Watch Neg
2-A-10 12545EAL0 B BB/Watch Neg
2-A-11 12545EAM8 B BB/Watch Neg
2-A-12 12545EAN6 B BB/Watch Neg
2-A-13 12545EAP1 CCC B/Watch Neg
X 12545EAQ9 B BB
PO 12545EAR7 CCC B/Watch Neg
M 12545EAT3 CC CCC
B-1 12545EAU0 CC CCC
B-2 12545EAV8 CC CCC
Citigroup Mortgage Loan Trust 2007-6
Series 2007-6
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1A 17312VAA6 CCC BB/Watch Neg
1-A1B 17312VAB4 CC BB/Watch Neg
1-1IO 17312VAC2 CCC AAA
1-A2A 17312VAD0 CCC BB/Watch Neg
1-A3A 17312VAE8 CCC BB/Watch Neg
2-A2 17312VAT5 CCC AAA
2-A3 17312VAU2 CCC B/Watch Neg
2-A4 17312VAV0 CCC B+/Watch Neg
2-A5 17312VAW8 CCC AAA
2-A6 17312VAX6 CCC B/Watch Neg
2-XS 17312VBH0 CCC AAA
2-PO 17312VAY4 CCC B/Watch Neg
2-B1 17312VAZ1 CC CCC
1-A23B 17312VAF5 CC BB/Watch Neg
1-23IO 17312VAG3 CCC AAA
1-A4A 17312VAH1 CCC BB/Watch Neg
1-A4B 17312VAJ7 CC B/Watch Neg
1-4IO 17312VAK4 CCC AAA
1-B1 17312VAL2 CC CCC
2-A1 17312VAS7 CCC B+/Watch Neg
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-AR5
Rating
------
Class CUSIP To From
----- ----- -- ----
III-M-2 22541NC23 BBB A
C-B-2 22541NC49 BBB AA+
C-B-3 22541NC56 B AA-/Watch Neg
C-B-4 22541NC72 CCC BB
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2006-AR5
Series 2006-AR5
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 25150NAA2 B AAA/Watch Neg
I-A-2 25150NAB0 B AAA/Watch Neg
I-A-3 25150NAC8 CCC A/Watch Neg
I-A-4 25150NAD6 CCC B/Watch Neg
I-M-1 25150NAE4 CC CCC
I-M-2 25150NAF1 CC CCC
II-1A 25150NAT1 CCC A/Watch Neg
II-2A 25150NAU8 CCC A/Watch Neg
II-3A 25150NAV6 CCC A/Watch Neg
II-X1 25150NAX2 CCC A
II-X2 25150NAY0 CCC A
II-PO 25150NAW4 CCC A/Watch Neg
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-AR2
Series 2007-AR2
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 25151UAA5 BB AAA
A2 25151UAB3 B BB/Watch Neg
A3 25151UAC1 CCC B/Watch Neg
A4 25151UAD9 BB AAA
A5 25151UAE7 BB AAA
A6 25151UAF4 B BB/Watch Neg
A7 25151UAG2 B BB/Watch Neg
M1 25151UAH0 CC CCC
M2 25151UAJ6 CC CCC
M4 25151UAL1 CC CCC
M3 25151UAK3 CC CCC
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-BAR1
Series 2007-BAR1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-3 25151TAC4 B A/Watch Neg
A-4 25151TAD2 CCC B+/Watch Neg
A-5 25151TAE0 CCC B/Watch Neg
M-1 25151TAF7 CC CCC
M-2 25151TAG5 CC CCC
M-3 25151TAH3 CC CCC
M-4 25151TAJ9 CC CCC
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2007-AB1
Series 2007-AB1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 25151WAA1 CCC B/Watch Neg
AI-1 25151WAC7 CCC B/Watch Neg
X 25151WAE3 CCC B
B-1 25151WAH6 CC CCC
B-2 25151WAJ2 CC CCC
B-3 25151WAG8 CC CCC
B-4 25151WAQ6 CC CCC
B-5 25151WAR4 CC CCC
DSLA Mortgage Loan Trust 2004-AR4
Series 2004-AR4
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1A 23332UBU7 AAA AAA/Watch Neg
2-A1A 23332UBV5 AAA AAA/Watch Neg
2-A1B 23332UBW3 AAA AAA/Watch Neg
2-A2A 23332UBX1 AAA AAA/Watch Neg
2-A2B 23332UBY9 AAA AAA/Watch Neg
X-2 23332UCG7 AAA AAA/Watch Neg
B-1 23332UBZ6 BB AA+/Watch Neg
B-2 23332UCA0 CCC A+/Watch Neg
B-3 23332UCB8 CC BBB/Watch Neg
B-4 23332UCC6 CC BB/Watch Neg
First Horizon Alternative Mortgage Securities Trust 2004-AA3
Series 2004-AA3
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 32051D6G2 B A
B-3 32051D6H0 CCC BBB
B-4 32051D6J6 CC BB
Residential Asset Securitization Trust 2006-A11
Series 2006-K
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 76113TAA8 CCC AA/Watch Neg
1-A-2 76113TAB6 B AAA/Watch Neg
1-A-3 76113TAC4 B- AAA/Watch Neg
1-A-4 76113TAD2 CCC AA/Watch Neg
1-A-5 76113TAE0 CCC AA/Watch Neg
1-A-6 76113TAF7 CCC AA/Watch Neg
1-A-7 76113TAG5 CCC AA/Watch Neg
1-PO 76113TAJ9 CCC AAA/Watch Neg
1-A-X 76113TAH3 B AAA
2-A-1 76113TAL4 CCC AA/Watch Neg
2-A-2 76113TAM2 CCC AA/Watch Neg
2-A-3 76113TAN0 CCC AA/Watch Neg
3-A-1 76113TAP5 CCC AA/Watch Neg
B-1 76113TAQ3 CC CCC
Residential Asset Securitization Trust 2006-A5CB
Series 2006-E
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 76112FAA9 CCC B/Watch Neg
A-2 76112FAB7 CCC BBB/Watch Neg
A-3 76112FAC5 CCC B/Watch Neg
A-4 76112FAD3 CCC B/Watch Neg
A-5 76112FAE1 CCC B/Watch Neg
A-6 76112FAF8 CCC B/Watch Neg
A-7 76112FAG6 CCC BBB/Watch Neg
PO 76112FAH4 CCC B/Watch Neg
A-X 76112FAJ0 CCC BBB
B-1 76112FAL5 CC CCC
B-2 76112FAM3 CC CCC
Residential Asset Securitization Trust 2006-A7CB
Series 2006-G
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 76113NAA1 CCC B/Watch Neg
1-A-2 76113NAB9 CCC AAA
1-A-3 76113NAC7 CCC B/Watch Neg
1-A-4 76113NAD5 CCC B/Watch Neg
1-A-5 76113NAE3 CCC B/Watch Neg
1-A-6 76113NAF0 CCC AAA
2-A-1 76113NAG8 CCC B/Watch Neg
2-A-2 76113NAH6 CCC BBB/Watch Neg
2-A-3 76113NAJ2 CCC AAA
2-A-4 76113NAK9 CCC B/Watch Neg
2-A-5 76113NAL7 CCC B/Watch Neg
2-A-6 76113NAM5 CCC B/Watch Neg
2-A-7 76113NAN3 CCC AAA
3-A-1 76113NAP8 CCC A/Watch Neg
3-A-2 76113NAQ6 CCC B/Watch Neg
A-X 76113NAS2 CCC AAA
PO 76113NAR4 CCC B/Watch Neg
B-1 76113NAU7 CC CCC
B-2 76113NAV5 CC CCC
Residential Asset Securitization Trust 2006-A8
Series 2006-H
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 761119AA4 CCC B/Watch Neg
1-A-2 761119AB2 CCC B/Watch Neg
1-A-3 761119AC0 CCC B
1-A-4 761119AD8 CCC B/Watch Neg
1-A-5 761119AE6 CCC B/Watch Neg
2-A-1 761119AF3 CCC B/Watch Neg
2-A-2 761119AG1 CCC B/Watch Neg
2-A-3 761119AH9 CCC B/Watch Neg
2-A-4 761119AJ5 CCC B/Watch Neg
2-A-5 761119AK2 B AAA/Watch Neg
2-A-6 761119AL0 B AAA
2-A-7 761119AM8 CCC B/Watch Neg
2-A-8 761119AN6 CCC B/Watch Neg
3-A-1 761119AP1 CCC B/Watch Neg
3-A-2 761119AQ9 CCC B/Watch Neg
3-A-3 761119AR7 CCC B/Watch Neg
3-A-4 761119AS5 CCC B/Watch Neg
3-A-5 761119AT3 CCC B
3-A-6 761119AU0 CCC BB/Watch Neg
3-A-7 761119AV8 CCC B/Watch Neg
3-A-8 761119AW6 CCC B/Watch Neg
3-A-9 761119AX4 CCC B
3-A-10 761119AY2 CCC B/Watch Neg
3-A-11 761119AZ9 CCC B/Watch Neg
PO 761119BA3 CCC B/Watch Neg
A-X 761119BB1 B AAA
B-1 761119BC9 CC CCC
B-2 761119BD7 CC CCC
B-3 761119BE5 CC CCC
Residential Asset Securitization Trust 2007-A2
Series 2007-A2
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 761120AA2 CCC BB-/Watch Neg
1-A-2 761120AB0 CCC BB-/Watch Neg
1-A-3 761120AC8 CCC BB-/Watch Neg
1-A-4 761120AD6 CCC BB-/Watch Neg
1-A-5 761120AE4 CCC BB+/Watch Neg
1-A-6 761120AF1 CCC BB-/Watch Neg
1-A-7 761120AG9 CCC BB-/Watch Neg
1-A-8 761120AH7 CCC BB+/Watch Neg
1-A-9 761120AJ3 CCC BB-/Watch Neg
2-A-1 761120AK0 CCC BB+/Watch Neg
2-A-2 761120AL8 CCC BB+/Watch Neg
2-A-3 761120AM6 CCC BB-/Watch Neg
2-A-4 761120AN4 CCC AAA
2-A-5 761120AP9 CCC BB-/Watch Neg
PO 761120AQ7 CCC BB-/Watch Neg
A-X 761120AR5 CCC AAA
B-1 761120AT1 CC CCC
B-2 761120AU8 CC CCC
Residential Asset Securitization Trust 2007-A6
Series 2007-F
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 76114CAA4 CCC B/Watch Neg
1-A-2 76114CAB2 CCC B/Watch Neg
1-A-3 76114CAC0 B BB-/Watch Neg
1-A-4 76114CAD8 B BB-/Watch Neg
1-A-5 76114CAE6 CCC B/Watch Neg
1-A-6 76114CAF3 CCC B/Watch Neg
2-A-1 76114CAG1 B BB-/Watch Neg
2-A-2 76114CAH9 CCC B/Watch Neg
A-X 76114CAK2 B BB-
1-PO 76114CAJ5 CCC B/Watch Neg
B-1 76114CAL0 CC CCC
B-2 76114CAM8 CC CCC
B-3 76114CAN6 CC CCC
Residential Asset Securitization Trust 2007-A8
Series 2007-H
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 761128AA5 B AAA/Watch Neg
1-A-2 761128AB3 CCC AA/Watch Neg
1-A-3 761128AC1 CCC AA/Watch Neg
1-A-4 761128BL0 CCC AA/Watch Neg
2-A-1 761128AD9 B AAA/Watch Neg
2-A-2 761128AE7 CCC AA/Watch Neg
2-A-3 761128AF4 CCC AA/Watch Neg
2-A-4 761128AG2 CCC AA
2-A-5 761128AH0 CCC AA/Watch Neg
2-A-6 761128BM8 CCC AA/Watch Neg
3-A-1 761128AJ6 B AAA/Watch Neg
I-X 761128AK3 B AAA
I-PO 761128AL1 CCC AA/Watch Neg
I-B-1 761128AN7 CC CCC
I-B-2 761128AP2 CC CCC
I-B-3 761128AQ0 CC CCC
I-B-4 761128AU1 CC CCC
II-B-1 761128AR8 CCC B/Watch Neg
II-B-2 761128AS6 CC CCC
II-B-3 761128AT4 CC CCC
II-B-4 761128AX5 CC CCC
Ratings Affirmed
Banc of America Funding 2007-8 Trust
Series 2007-8
Class CUSIP Rating
----- ----- ------
4-B-1 05953LAU3 CCC
4-B-2 05953LAV1 CCC
Bear Stearns ALT-A Trust 2004-7
Series 2004-7
Class CUSIP Rating
----- ----- ------
I-A-1 07386HKJ9 AAA
II-A-1 07386HKK6 AAA
III-A-1 07386HKL4 AAA
M 07386HKN0 AAA
B-1 07386HKP5 AA
B-2 07386HKQ3 A
Bear Stearns ALT-A Trust 2004-9
Series 2004-9
Class CUSIP Rating
----- ----- ------
I-A-1 07386HKY6 AAA
I-A-2 07386HLY5 AAA
II-A-1 07386HKZ3 AAA
II-A-2 07386HLA7 AAA
III-A-1 07386HLB5 AAA
IV-A-1 07386HLC3 AAA
V-A-1 07386HLD1 AAA
VI-A-1 07386HLE9 AAA
VII-A-1 07386HLF6 AAA
B-1 07386HLH2 AA+
B-2 07386HLJ8 A+
Bear Stearns Asset Backed Securities I Trust 2006-ST1
Series 2006-ST1
Class CUSIP Rating
----- ----- ------
A-1 073886AA1 CCC
Bear Stearns Mortgage Funding Trust 2006-AR5
Series 2006-AR5
Class CUSIP Rating
----- ----- ------
I-A-1 07401NAA7 AAA
I-X 07401NAD1 AAA
II-A-1 07401NAP4 AAA
CHL Mortgage Pass-Through Trust 2004-20
Series 2004-20
Class CUSIP Rating
----- ----- ------
1-A-1 12669F2G7 AAA
2-A-1 12669F2H5 AAA
2-A-2 12669F2X0 AAA
3-A-1 12669F2J1 AAA
X 12669F2R3 AAA
M 12669F2S1 AA
CHL Mortgage Pass-Through Trust 2006-HYB1
Series 2006-HYB1
Class CUSIP Rating
----- ----- ------
2-A-IO 126694WN4 A
3-A-IO 126694WR5 AAA
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-AR5
Class CUSIP Rating
----- ----- ------
I-A-1 22541NA90 AAA
I-A-2 22541NB24 AAA
II-A-1 22541NB32 AAA
II-A-2 22541NB40 AAA
II-A-3 22541NB57 AAA
III-A-1 22541NB65 AAA
I-X 22541NB73 AAA
II-X 22541NB81 AAA
III-M-1 22541NB99 AA+
C-B-1 22541NC31 AAA
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-BAR1
Series 2007-BAR1
Class CUSIP Rating
----- ----- ------
A-1 25151TAA8 AAA
A-2 25151TAB6 AAA
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2007-AB1
Series 2007-AB1
Class CUSIP Rating
----- ----- ------
A-2 25151WAB9 CCC
AI-2 25151WAD5 CCC
PO 25151WAF0 CCC
First Horizon Alternative Mortgage Securities Trust 2004-AA3
Series 2004-AA3
Class CUSIP Rating
----- ----- ------
A-1 32051D6B3 AAA
A-2 32051D6C1 AAA
A-3 32051D6D9 AAA
B-1 32051D6F4 AA
*********
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. Ma. Theresa
Amor J. Tan Singc, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R.
Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G.
Patalinghug, Frauline S. Abangan, and Peter A. Chapman, Editors.
Copyright 2009. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $775 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Christopher
Beard at 240/629-3300.
*** End of Transmission ***