/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/090419.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 19, 2009, Vol. 13, No. 107 Headlines ABACUS 2006-9: S&P Downgrades Ratings on All Classes to 'D' ACAS BUSINESS: Fitch Downgrades Ratings on Two 2004-1 Notes ACAS BUSINESS: Fitch Downgrades Ratings on Two 2005-1 Notes ACAS BUSINESS: Fitch Downgrades Ratings on Two 2006-1 Notes AMAC CDO: Moody's Downgrades Ratings on Eight Classes of Notes ATHOS FUNDING: S&P Junks Ratings on Class A-1 and A-2 Notes AUCTION PASS-THROUGH: Moody's Cuts Ratings on Two Classes to 'B3' AUCTION PASS-THROUGH: Moody's Downgrades Ratings on 2007-3 Certs. AUCTION PASS-THROUGH: Moody's Cuts Ratings on Two Classes to 'B3' AUCTION PASS-THROUGH: Moody's Cuts Ratings on 2007-4 Notes to 'B3' AUCTION PASS-THROUGH: Moody's Cuts Ratings on 2007-2 Notes to 'B3' AUCTION RATE: Moody's Downgrades Ratings on Two Notes to 'B3' AUCTION RATE: Moody's Downgrades Ratings on 2007-2 Notes to 'B3' AVALON RE: Fitch Changes Rating Actions on Two Classes of Notes BALLANTYNE RE: S&P Assigns 'CC' Rating on Class A-1 Notes BEAR STEARNS: Fitch Downgrades Ratings on 2005-PWR8 Certificates BEAR STEARNS: Moody's Downgrades Ratings on 82 Tranches BEAR STEARNS: Moody's Downgrades Ratings on 18 Tranches BERNOULLI HIGH: Fitch Junks Ratings on Two Classes of Notes BEXAR COUNTY: Moody's Affirms 'Ba2' Rating on Revenue Bonds BEXAR COUNTY: Moody's Junks Rating on 2001A Bonds from 'B1' CABELA'S CREDIT: DBRS Assigns 'BB' to 2009-I Notes Class D CABELA'S CREDIT: Fitch Downgrades Rating on Class D to 'BB+' CABELA'S CREDIT: S&P Assigns Ratings on $500 Mil. 200-I Notes CAPITALSOURCE 2006-2: Fitch Downgrades Rating on Class E to 'B' CAPITALSOURCE COMMERCIAL: Fitch Cuts Ratings on Three Classes CAPITALSOURCE COMMERCIAL: Fitch Cuts Ratings on 2007-1 Notes CAPITALSOURCE REAL: Moody's Downgrades Ratings on 12 2006-A Notes CAPMARK VII: Moody's Junks Ratings on 8 Classes of Notes CARBON CAPITAL: Moody's Junks Ratings on 4 Classes of 2005-1 Notes CHAMPLAIN CLO: S&P Downgrades Ratings on Two Notes to 'B-' CHARITABLE LEADERSHIP: Moody's Retains 'B3' Rating on 2002A Bonds CHATHAM LIGHT: Moody's Reviews 'Ba2' Ratings on Two Classes CHL MORTGAGE: Moody's Downgrades Ratings on 19 Tranches CITIGROUP COMMERCIAL: Moody's Affirms Ratings on 15 2004-C2 Notes CITIGROUP MORTGAGE: Moody's Downgrades Ratings on 54 Tranches CITY OF HOUSTON: Fitch Affirms 2001 Airport Revenue Bonds at 'B-' CITY OF NEW ORLEANS: Moody's Affirms 'Ba2' Rating on Sewer Debt CLARIS IV: DBRS Assigns 'BB' Rating to Series 34 Notes Class II-B CLARIS IV: DBRS Assigns 'BB' Rating to Series 35 Notes Class II-B CLARIS IV: DBRS Assigns 'BB' Rating to Series 36 Notes Class II-B COAST INVESTMENT: Moody's Downgrades Ratings on Five 2002-1 Notes COMM 2004-LNB3: Moody's Downgrades Ratings on Seven Classes CORPORATE BACKED: S&P Downgrades Rating on $25 Mil. Certs. To 'D' CORPORATE BACKED: Moody's Cuts Ratings on Two Classes to 'Ba1' CORPORATE BACKED: Moody's Cuts Ratings on $27.5MM Notes to 'Ba1' CORPORATE BACKED: S&P Corrects Rating on $73.991 Mil. Certs. CORTS TRUST: S&P Downgrades Ratings on $219 Mil. Certs. To 'D' CORTS TRUST: S&P Downgrades Rating on $300 Mil. Certs. To 'D' COUNTRYWIDE MORTGAGE: Moody's Downgrades Ratings on 49 Tranches CRAFT 2007-1: Moody's Reviews 'Ba2' Rating on Class E Notes CRAFT CLO: Moody's Reviews 'Ba2' Rating on 2004-2 Notes CREDIT SUISSE: Moody's Downgrades Ratings on Eight 2005-CND1 Notes DIVERSIFIED ASSET: Fitch Cuts Ratings on $30 Mil. Notes to 'CC' DLJ COMMERCIAL: Fitch Downgrades Ratings on 2000-CF1 Certificates DRYDEN VI-LEVERAGED: Moody's Reviews Ratings on Various 2004 Notes EATON VANCE: Moody's Takes Rating Actions on Medium Term Notes FIRST FRANKLIN: Moody's Downgrades Ratings on 2006-FF12 Tranches+ FLATIRON RE: S&P Withdraws 'BB+' Rating on $256 Mil. Facility FMC REAL: Moody's Confirms Ratings on Three 2005-1 Notes GE CAPITAL: Fitch Downgrades Ratings on Two 2001-2 Certificates GE COMMERCIAL: Moody's Affirms Ratings on 13 2005-C4 Classes GEM LIGOS: Moody's Downgrades Ratings on Various Classes of Notes GFCM LLC: Fitch Junks Ratings on Three 2003-1 Certificates GMAC COMMERCIAL: Moody's Affirms Ratings on Seven 1999-C2 Notes GOLDEN CROSSING: Moody's Reviews 'Ba1' Rating on Bank Facilities GREENPOINT MORTGAGE: Moody's Cuts Ratings on Six 2004-1 Tranches GSR MORTGAGE: Moody's Downgrades Ratings on 18 2004-14 Tranches GSR MORTGAGE: S&P Downgrades Ratings on 44 Classes of Notes GUGGENHEIM STRUCTURED: Moody's Cuts Ratings on Six 2005-2 Notes GUGGENHEIM STRUCTURED: Moody's Cuts Ratings on 11 2006-4 Notes HELIOS FINANCE: Moody's Reviews Ratings on Four 2007-S1 Notes HIGHLAND PARK: Moody's Downgrades Ratings on Seven Classes IBIS RE: S&P Rates Class A and B Series 2009-1 Notes at Low-B INDYMAC ARM:: Moody's Cuts Ratings on 85 Tranches from 10 RMBS INMAN SQUARE: Fitch Junks Ratings on Three Classes of Notes ISTAR FINANCIAL: S&P Puts 'BB' Senior Rating on Negative Watch JEFFERIES RESECURITIZATION: DBRS Assigns 'B' to Six 2009-R4 Certs. JEFFERSON COUNTY: S&P Retains Negative Watch on Warrants' Ratings JG WENTWORTH: Moody's Upgrades Ratings on Notes from Two Deals JP MORGAN: Fitch Junks Ratings on Five 2004-CIBC9 Certificates JP MORGAN: Moody's Reviews Ratings on 17 Classes of 2008-C2 Notes LANDMARK II: Moody's Downgrades Ratings on Various Classes LANDMARK II: S&P Downgrades Ratings on Four Classes of Notes LASALLE COMMERCIAL: Moody's Cuts Ratings on 12 2005-MF1 Notes LEHMAN BROTHERS: Moody's Affirms 'B/MR1+' Rating on Liquidity Fund LEHMAN MORTGAGE: S&P Downgrades Ratings on 22 Classes of Notes MAGNOLIA FINANCE: S&P Downgrades Ratings on Various Notes to 'D' MAGNOLIA FINANCE: S&P Cuts Ratings on 2006-5 Notes to 'D' MERRILL LYNCH: Fitch Puts Ratings on 1999-C1 Certs. on Neg. Watch MEZZ CAP: S&P Puts Ratings on 28 Classes on Negative Watch ML-CFC COMMERCIAL: DBRS Junks Series 2006-1 Notes Classes N and P ML-CFC COMMERCIAL: Fitch Cuts Ratings on 2006-1 Certs. to Low-B MORGAN STANLEY: Fitch Affirms 'BB+' Rating on Class H Notes MORGAN STANLEY: Fitch Puts Ratings on 2007-XLF Notes on Neg. Watch MORGAN STANLEY: Moody's Affirms Ratings on Two 1998-CF1 Classes MORGAN STANLEY: S&P Corrects Rating on Two Classes of 2006-8 Notes MWAM CBO: Fitch Upgrades Rating on Class B Notes to 'CCC' NEWCASTLE CDO: Moody's Downgrades Ratings on 15 Classes of Notes NOMURA ASSET: Moody's Downgrades Ratings on 39 Tranches NOMURA CRE: Moody's Downgrades Ratings on 14 2007-2 Notes OWS CLO: S&P Downgrades Ratings on Various Classes of Notes PASS-THROUGH AUCTION: Moody's Cuts Ratings on 2007-1 Notes to 'B3' POOLED COLLEGE: Moody's Downgrades Rating on 2007 Bonds to 'Ba1' PPLUS TRUST: S&P Downgrades Ratings on $40 Mil. Certs. To 'D' PREFERRED PASS-THROUGH: Moody's Cuts Ratings on Two Notes to 'B3' PREFERREDPLUS TRUST: S&P Cuts Rating on $50 Mil. Certs. To 'D' PREMIUM LOAN: S&P Downgrades Ratings on Four Classes of Notes PRINCE GEORGE'S: Fitch Affirms 'CC' Rating on 1997 Revenue Bonds PRO RATA FUNDING: Moody's Downgrades Ratings on Various Classes PRUDENTIAL SECURITIES: Moody's Affirms Ratings on 1999-NRF1 Notes PUBLIC STEERS: S&P Cuts Rating on 1998 F-Z4 Certs. To 'D' RACERS SERIES: Moody's Cuts Ratings on 2001-12-E Notes to 'B2' RAIT PREFERRED: Moody's Downgrades Ratings on Nine Classes REPACS TRUST: Moody's Junks Rating on $5 Mil. Debt Units REPACS TRUST: Moody's Junks Ratings on Two Classes of Notes REPACS TRUST: Moody's Downgrades Ratings on Two Classes of Notes RESERVE MANAGEMENT: Moody's Confirms Ratings on Three Funds RESIDENTIAL ASSET: Moody's Junks Rating on Class 2-A-5 Tranche RESTRUCTURED ASSET: Moody's Junks Ratings on 2007-2-E Certs. RESTRUCTURED ASSET: Moody's Cuts Ratings on 2004-13-E Notes To B2 RESTRUCTURED ASSET: S&P Corrects Rating on 2006-18-C Certs. to 'D' RFC CDO: Moody's Downgrades Ratings on 12 Classes of 2007-1 Notes RFSC SERIES: Moody's Downgrades Ratings on Two 2001-RM2 Tranches SAGUARO ISSUER: Moody's Downgrades Ratings on Various Units SANTA ROSA BAY: Fitch Junks Rating on 1996 Revenue Bonds SATURNS TRUST: Hertz Rating Cut Cues S&P's Junk Rating on Units SATURNS TRUST: S&P Downgrades Rating on $75 Mil. Units to 'D' SATURNS TRUST: S&P Corrects Rating on $78 Mil. 2002-11 Certs. SOLAR TRUST: Moody's Downgrades Ratings on Two 2003-CC1 Certs. SPRINGHILL/COURTLAND: S&P Cuts Rating on 1999A Bonds to "B-" STARS & STRIPES: Moody's Cuts Ratings on Two Classes to 'B3' STRAITS GLOBAL: Fitch Junks Ratings on Three Classes of Notes STRUCTURED ADJUSTABLE: Moody's Downgrades Ratings on 185 Tranches STRUCTURED ASSET: Moody's Downgrades Ratings on 92 Tranches STRUCTURED ASSET: Moody's Cuts Ratings on $25 Mil. Notes to 'Ba2' STRUCTURED ASSET: Moody's Downgrades Ratings on Two Notes to 'Ba1' STRUCTURED ASSET: S&P Junks Ratings on 2003-15 Debentures STRUCTURED ASSET: S&P Corrects Rating on Class B6 to 'B' from 'D' STRUCTURED ENHANCED: Fitch Junks Rating on $56,009,124 Notes STRUCTURED INVESTMENT: Moody's Junks Rating on Series 77 Notes STRUCTURED INVESTMENTS: Moody's Cuts $10BB Series 80 Notes to Ba3 STRUCTURED INVESTMENTS: Moody's Cuts $10BB Series 81 Notes to Ba2 STRUCTURED ADJUSTABLE: Moody's Downgrades Ratings on 185 Tranches TERWIN MORTGAGE: Moody's Downgrades Ratings on Eight Tranches TRUST PREFERRED: Moody's Downgrades Ratings on 14 Notes TRUST PREFERRED: Moody's Downgrades Ratings on 14 Notes U-HAUL S FLEET: Moody's Cuts Ratings on 2007-1 Cargo Van Notes U-HAUL S FLEET: Moody's Cuts Rating on 2007-1 Box Truck Notes USP SPC: S&P Downgrades Ratings on Various Notes to 'D' VERMONT HOUSING: S&P Puts Underlying Rating on Negative Watch WACHOVIA PREFERRED: Moody's Cuts Ratings on Two Notes to 'B3' WELLS FARGO: S&P Downgrades Ratings on 51 Classes from 23 RMBS WICHITA BRENTWOOD: S&P Affirms 'B' Rating on 1995 Bonds WRIGHTWOOD CAPITAL: Moody's Cuts Ratings on Nine 2005-1 Notes * Moody's Downgrades Ratings on 62 Tranches by 13 Trust CDOs * Moody's Downgrades Ratings on 142 Tranches from 17 Alt-A RMBS * Moody's Takes Rating Actions on Housing Loans-Backed Tranches * Moody's Reviews Ratings on 76 Net Interest Margin Securities * S&P Cuts Ratings on 37 Classes from 14 Scratch-And-Dent RMBS * S&P Downgrades Ratings on 53 Classes from Three RMBS Deals * S&P Downgrades Ratings on 68 Classes from Six RMBS Transactions * S&P Downgrades Ratings on 95 Classes from 66 NIM RMBS Deals * S&P Downgrades Ratings on 110 Tranches from 11 Trust CDO Deals * S&P Downgrades Ratings on 120 Classes from Nine Alt-A and RMBS * S&P Downgrades Ratings on 147 Classes from 14 RMBS Deals * S&P Downgrades Ratings on 244 Classes from 19 RMBS Transactions ********* ABACUS 2006-9: S&P Downgrades Ratings on All Classes to 'D' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on all classes issued by ABACUS 2006-9 Ltd. to 'D'. The lowered ratings follow a number of recent write-downs of underlying reference entities, which have caused the class A-2, B, and C notes to incur complete principal losses and the class A-1 notes to incur a partial principal loss. Ratings Lowered ABACUS 2006-9 Ltd. Rating ------ Class To From ----- -- ---- A-1 D CCC- A-2 D CC B D CC C D CC ACAS BUSINESS: Fitch Downgrades Ratings on Two 2004-1 Notes ----------------------------------------------------------- Fitch Ratings downgrades two and affirms two classes of notes issued by ACAS Business Loan Trust 2004-1. These rating actions are effective immediately: -- $88,879,693 class A notes affirmed at 'AAA'; Stable Outlook; -- $33,750,000 class B notes affirmed at 'AA'; Stable Outlook; -- $73,750,000 class C notes downgraded to 'BBB' from 'A'; Negative Outlook; -- $50,000,000 class D notes downgraded to 'B' from 'BBB'; Negative Outlook. The affirmations reflect the increased credit enhancement available to the class A and B notes. The rise in credit enhancement is due to the deleveraging of the class A notes through asset amortization and the application of excess spread via the additional principal amount. Upon the occurrence of a defaulted asset, the APA feature directs part or all of the excess interest otherwise available to the subordinate notes to pay down the senior-most notes in an amount equal to the aggregate balance of defaulted assets in the portfolio. The class A notes have received approximately $213.6 million, or over 70% of their original notional amount, since the closing date. The downgrades of the class C and D notes are the result of negative credit migration, reduced recovery rate expectations for second lien, junior secured and subordinate debt, and increased obligor concentration risk. Credit deterioration in the portfolio is particularly evidenced by the recent increase in defaulted obligors, which were reported at 5.7% of the initial collateral balance as of the latest trustee report dated Jan. 25, 2009. Additionally, obligors considered 'CCC+' or below represented about 9.4% of the performing portfolio, which contributed to an increase in the Fitch Weighted Average Rating Factor (WARF) to 30.3 ('B/B-') from 24.5 ('B+/B') at the last review. The current WARF breaches the established test level of 22.8 ('B+'). In the criteria report 'Global Rating Criteria for Corporate CDOs' released April 30, 2008, Fitch updated its recovery rate assumptions for second lien loans, junior secured debt, and subordinate debt to reflect lower recovery rate prospects for these junior debt levels. The updated recovery rate assumptions impacted the analysis of ACAS BLT 2004-1 since junior and subordinate debt represent over 90% of the total portfolio. Finally, asset amortization has resulted in a more concentrated portfolio. The six largest performing obligors each comprise about 5.6% of the performing portfolio. All of these elements have increased the risk profile of the class C and D notes. Future performance of the transaction is dependent upon additional defaults, recoveries, and recovery timing. The class C and D notes are the most vulnerable to elevated defaults and actual recoveries that fall below historical levels, hence the Negative Rating Outlook on these notes. ACAS BLT 2004-1 is a collateralized debt obligation that closed on Dec. 2, 2004 and is managed by American Capital Strategies, Ltd. The transaction's reinvestment period ended in January 2007. ACAS BLT 2004-1 is secured by a portfolio composed of middle-market loans, 90.2% of which are either junior secured or subordinate, and 9.8% of which are senior secured. 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. The ratings of the class B and C notes address 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 rating of the class D notes addresses the likelihood that investors will receive their stated balance of principal by the legal final maturity date. Fitch reviewed this transaction in accordance with its updated criteria, 'Global Rating Criteria for Corporate CDOs', released on April 30, 2008. At that time, Fitch noted it would be reviewing its ratings accordingly to establish consistency for existing and new transactions. As part of this review, Fitch makes standard adjustments for any names on Rating Watch Negative or with a Negative Outlook, reducing such ratings for default analysis purposes by two notches and one notch, respectively. ACAS BUSINESS: Fitch Downgrades Ratings on Two 2005-1 Notes ----------------------------------------------------------- Fitch Ratings downgrades two and affirms four classes of notes issued by ACAS Business Loan Trust 2005-1. These rating actions are effective immediately: -- $412,798,581 class A-1 notes affirmed at 'AAA'; Stable Outlook; -- $139,792,451 class A-2A notes affirmed at 'AAA'; Stable Outlook; -- $50,000,000 class A-2B notes affirmed at 'AAA'; Stable Outlook; -- $50,000,000 class B notes affirmed at 'AA'; Stable Outlook; -- $145,000,000 class C notes downgraded to 'BBB' from 'A'; Negative Outlook; -- $90,000,000 class D notes downgraded to 'B+' from 'BBB'; Negative Outlook. The affirmations reflect the sufficient credit enhancement available to the class A and B notes in the forms of subordination and the application of excess spread via the additional principal amount. Upon the occurrence of a defaulted asset, the APA feature directs part or all of the excess interest otherwise available to the subordinate notes to pay down the senior-most notes in an amount equal to the aggregate balance of defaulted assets in the portfolio. This transaction generates significant excess spread due to a combination of high-interest-yielding assets and relatively low-cost liabilities, including 17% of the initial capital structure that does not accrue periodic interest payments. The downgrades of the class C and D notes are the result of negative credit migration and reduced recovery rate expectations for second lien, junior secured, and subordinate debt. Credit deterioration in the portfolio is particularly evidenced by the recent increase in defaulted obligors, which were reported at 3.2% of the initial collateral balance as of the latest trustee report dated Jan. 25, 2009. Additionally, obligors considered 'CCC+' or below represented about 9.5% of the performing portfolio, which contributed to an increase in the Fitch Weighted Average Rating Factor to 31.5 ('B/B-') from 24.7 ('B+/B') at the last review. The current WARF breaches the established test level of 30 ('B/B-'). In the criteria report 'Global Rating Criteria for Corporate CDOs' released April 30, 2008, Fitch updated its recovery rate assumptions for second lien loans, junior secured debt, and subordinate debt to reflect lower recovery rate prospects for these junior debt levels. The updated recovery rate assumptions impacted the analysis of ACAS BLT 2005-1 since junior and subordinate debt represent approximately 73.8% of the total portfolio. All of these elements have increased the risk profile of the class C and D notes. Future performance of the transaction is dependent upon additional defaults, recoveries, and recovery timing. The class C and D notes are the most vulnerable to elevated defaults and actual recoveries that fall below historical levels, hence the Negative Rating Outlook on these notes. ACAS BLT 2005-1 is a collateralized debt obligation that closed on Oct. 4, 2005 and is managed by American Capital Strategies, Ltd. The transaction's reinvestment period ended in January 2009. ACAS BLT 2005-1 is secured by a portfolio composed of middle-market loans, 73.8% of which are either junior secured or subordinate, and 26.2% of which are senior secured. The ratings of the classes A-1, A-2A, and A-2B notes address 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 ratings of the classes B and C notes address 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 rating of the class D notes addresses the likelihood that investors will receive their stated balance of principal by the legal final maturity date. Fitch reviewed this transaction in accordance with its updated criteria 'Global Rating Criteria for Corporate CDOs' released on April 30, 2008. At that time, Fitch noted it would be reviewing its ratings accordingly to establish consistency for existing and new transactions. As part of this review, Fitch makes standard adjustments for any names on Rating Watch Negative or with a Negative Outlook, reducing such ratings for default analysis purposes by two notches and one notch, respectively. ACAS BUSINESS: Fitch Downgrades Ratings on Two 2006-1 Notes ----------------------------------------------------------- Fitch Ratings downgrades two and affirms two classes of notes issued by ACAS Business Loan Trust 2006-1. These rating actions are effective immediately: -- $276,000,000 class A notes affirmed at 'AAA'; Stable Outlook; -- $37,000,000 class B notes affirmed at 'AA'; Negative Outlook; -- $72,500,000 class C notes downgraded to 'BB+' from 'A'; Negative Outlook; -- $35,500,000 class D notes downgraded to 'B+' from 'BBB'; Negative Outlook. The affirmations reflect the sufficient credit enhancement available to the class A and B notes in the form of subordination and the application of excess spread via the additional principal amount. Upon the occurrence of a defaulted asset, the APA feature directs part or all of the excess interest otherwise available to the subordinate notes to pay down the senior-most notes in an amount equal to the aggregate balance of defaulted assets in the portfolio. The downgrades of the class C and D notes are the result of negative credit migration and reduced recovery rate expectations for second lien, junior secured, and subordinate debt. Additionally, the portfolio of 43 total obligors may present some obligor concentration risk to the transaction. Credit deterioration in the portfolio is particularly evidenced by the recent increase in defaulted obligors, which were reported at 3% of the initial collateral balance as of the latest trustee report dated Feb. 26, 2009. Additionally, obligors considered 'CCC+' or below represented about 10.8% of the performing portfolio, which contributed to an increase in the Fitch Weighted Average Rating Factor to 33.6 ('B/B-') from 26.2 ('B+/B') at the last review. The current WARF breaches the established test level of 30 ('B/B-'). In the criteria report "Global Rating Criteria for Corporate CDOs" released April 30, 2008, Fitch updated its recovery rate assumptions for second lien loans, junior secured debt, and subordinate debt to reflect lower recovery rate prospects for these junior debt levels. The updated recovery rate assumptions affected the analysis of ACAS BLT 2006-1, since junior and subordinate debt represent over 84% of the total portfolio. All of these elements, in addition to the obligor risk in the portfolio, have increased the risk profile of the class C and D notes. Future performance of the transaction is dependent upon additional defaults, recoveries, and recovery timing. The class B, C and D notes are all vulnerable to elevated defaults and actual recoveries that fall below historical levels, hence the Negative Rating Outlook on these notes. ACAS BLT 2006-1 is a collateralized debt obligation that closed on July 28, 2006 and is managed by American Capital Strategies, Ltd. The transaction's reinvestment period ends in August 2009. ACAS BLT 2006-1 is secured by a portfolio composed of middle-market loans, 84% of which are either junior secured or subordinate, and 16% of which are senior secured. 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. The ratings of the classes B, C, and D notes address 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. Fitch reviewed this transaction in accordance with its updated criteria "Global Rating Criteria for Corporate CDOs", released on April 30, 2008. At that time, Fitch noted it would be reviewing its ratings accordingly to establish consistency for existing and new transactions. As part of this review, Fitch makes standard adjustments for any names on Rating Watch Negative or with a Negative Outlook, reducing such ratings for default analysis purposes by two notches and one notch, respectively. AMAC CDO: Moody's Downgrades Ratings on Eight Classes of Notes -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of eight classes of Notes issued by AMAC CDO Funding I. The rating actions are: -- Class A-1, $242,936,549, Floating Rate Notes Due 2050, downgraded to Aa1 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $50,000,000, Floating Rate Notes Due 2050, downgraded to A3 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $20,000,000, Floating Rate Notes Due 2050, downgraded to Baa3 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $15,000,000, Floating Rate Deferrable Interest Notes Due 2050, downgraded to Ba3 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D-1, $12,113,392, Floating Rate Deferrable Interest Notes Due 2050, downgraded to B2 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D-2, $5,109,488, Fixed Rate Deferrable Interest Notes Due 2050, downgraded to B2 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $6,060,826, Floating Rate Deferrable Interest Notes Due 2050, downgraded to Caa1 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $12,349,677, Fixed Rate Deferrable Interest Notes Due 2050, downgraded to Caa2 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded all Classes due to deteriorating pool performance and revised modeling parameters. Moody's ratings are based on the current credit quality of the collateral and may not reflect potential migration as per the legal documentation. Moody's expects the aggregate default rate on CMBS loans (1.59% as of March 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 21% from the peak reached in October 2007, are expected to decline an additional 5% to 15% 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 its 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 have 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. Moody's review at securitization is summarized in a Pre-Sale Report dated October 6, 2006. ATHOS FUNDING: S&P Junks Ratings on Class A-1 and A-2 Notes ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class A-1, A-2, and funding notes issued by Athos Funding Ltd., a cash flow high-grade structured finance collateralized debt obligation transaction. The rating on the funding notes remains on CreditWatch with negative implications. The rating actions follow receipt of the notice dated April 2, 2009, from the trustee that the holder of 100% of the funding notes, as requisite noteholder, has directed the trustee to proceed with the liquidation of the collateral backing the rated notes. The rating actions reflect S&P's opinion that substantial losses to the noteholders are likely based on the current market value of the collateral and S&P's view that market prices may not recover during the liquidation period. Earlier S&P had received a notice of an event of default dated Dec. 22, 2008, followed by a notice of acceleration dated Jan. 13, 2009, for the transaction. The deal experienced the EOD due to the failure of an overcollateralization-based EOD trigger specified in section 5.1 (d) of the transaction's indenture. Rating And Creditwatch Actions Athos Funding Ltd. Rating ------ Class To From ----- -- ---- Funding notes CCC-/Watch Neg BB+/Watch Neg A-1 CC BB+/Watch Neg A-2 CC B/Watch Neg Other Outstanding Rating Athos Funding Ltd. Class Rating ----- ------ B CC AUCTION PASS-THROUGH: Moody's Cuts Ratings on Two Classes to 'B3' ----------------------------------------------------------------- Moody's Investors Service downgraded its ratings of $70,000,000 Class A Certificates and $35,000,000 Class B Certificates issued by Auction Pass-Through Trust 2006-12. The rating actions are: Auction Pass-Through Trust 2006-12 * $70,000,000 Class A Certificates Downgraded to B3; previously on 1/30/2009 Downgraded to Baa1. * $35,000,000 Class B Certificates Downgraded to B3; previously on 1/30/2009 Downgraded to Baa1. The transaction is a structured note whose ratings change with the rating of the Underlying Security. The rating action is a result of the change of the rating of BANK OF AMERICA CORPORATION Ser. D which was downgraded to B3 from Baa1 on watch for downgrade on March 25, 2009. AUCTION PASS-THROUGH: Moody's Downgrades Ratings on 2007-3 Certs. ----------------------------------------------------------------- Moody's Investors Service downgraded its ratings of $120,000,000 Class A Certificates and $30,000,000 Class B Certificates issued by Auction Pass-Through Trust 2007-3. The rating actions are: Auction Pass-Through Trust 2007-3 * $120,000,000 Class A Certificates Downgraded to B3; previously on 1/30/2009 Confirmed Baa1. * $30,000,000 Class B Certificates Downgraded to B3; previously on 1/30/2009 Confirmed Baa1. The transaction is a structured note whose ratings change with the rating of the Underlying Security. The rating action is a result of the change of the rating of Merrill Lynch & Co, Inc.'s Floating Rate Non-Cumulative Preferred Stock, Series 5 which was downgraded to B3 from Baa1 on watch for downgrade on March 25, 2009. AUCTION PASS-THROUGH: Moody's Cuts Ratings on Two Classes to 'B3' ----------------------------------------------------------------- Moody's Investors Service downgraded its ratings of $112,000,000 Class A Certificates and $28,000,000 Class B Certificates issued by Auction Pass-Through Trust 2007-5. The rating actions are: Auction Pass-Through Trust 2007-5 -- $112,000,000 Class A Certificates Downgraded to B3; previously on 1/30/2009 Downgraded to Baa1. -- $28,000,000 Class B Certificates Downgraded to B3; previously on 1/30/2009 Downgraded to Baa1. The transaction is a structured note whose ratings change with the rating of the Underlying Security. The rating actions are a result of the change of the rating of Bank of America Floating Rate Non-Cumulative Preferred Stock, Series E which was downgraded to B3 from Baa1 on watch for downgrade on March 25, 2009. AUCTION PASS-THROUGH: Moody's Cuts Ratings on 2007-4 Notes to 'B3' ------------------------------------------------------------------ Moody's Investors Service downgraded its ratings of $120,000,000 Class A Certificates and $30,000,000 Class B Certificates issued by Auction Pass-Through Trust 2007-4. The rating actions are: Auction Pass-Through Trust 2007-4 -- $120,000,000 Class A Certificates Downgraded to B3; previously on 1/30/2009 Confirmed Baa1. -- $30,000,000 Class B Certificates Downgraded to B3; previously on 1/30/2009 Confirmed Baa1. The transaction is a structured note whose ratings change with the rating of the Underlying Security. The rating actions are a result of the change of the rating of Merrill Lynch & Co., Inc.'s Floating Rate Non-Cumulative Preferred Stock, Series 5 which was downgraded to B3 from Baa1 on watch for downgrade on March 25, 2009. AUCTION PASS-THROUGH: Moody's Cuts Ratings on 2007-2 Notes to 'B3' ------------------------------------------------------------------ Moody's Investors Service downgraded its ratings of $120,000,000 Class A Certificates and $30,000,000 Class B Certificates issued by Auction Pass-Through Trust 2007-2. The rating actions are: Auction Pass-Through Trust 2007-2 -- $120,000,000 Class A Certificates Downgraded to B3; previously on 1/30/2009 Confirmed Baa1. -- $30,000,000 Class B Certificates Downgraded to B3; previously on 1/30/2009 Confirmed Baa1. The transaction is a structured note whose ratings change with the rating of the Underlying Security. The rating actions are a result of the change of the rating of Merrill Lynch & Co., Inc.'s Floating Rate Non-Cumulative Preferred Stock, Series 5 which was downgraded to B3 from Baa1 on watch for downgrade on March 25, 2009. AUCTION RATE: Moody's Downgrades Ratings on Two Notes to 'B3' ------------------------------------------------------------- Moody's Investors Service downgraded its ratings of $60,000,000 Class A Auction Rate Trust Certificates and $15,000,000 Class B Leveraged Trust Certificates issued by Auction Rate Securities Trust 2007-1. Auction Rate Securities Trust 2007-1 -- $60,000,000 Class A Certificates Downgraded to B3; previously on 1/30/2009 Confirmed Baa1. -- $15,000,000 Class B Certificates Downgraded to B3; previously on 1/30/2009 Confirmed Baa1. The transaction is a structured note whose ratings change with the rating of the Underlying Security. The rating actions are a result of the change of the rating of Merrill Lynch & Co., Inc.'s Floating Rate Non-Cumulative Preferred Stock, Series 5 which was downgraded to B3 from Baa1 on watch for downgrade on March 25, 2009. AUCTION RATE: Moody's Downgrades Ratings on 2007-2 Notes to 'B3' ---------------------------------------------------------------- Moody's Investors Service downgraded its ratings of $40,000,000 Class A Auction Rate Trust Certificates and $10,000,000 Class B Leveraged Trust Certificates issued by Auction Rate Securities Trust 2007-2. The rating actions are: Auction Rate Securities Trust 2007-2 -- $40,000,000 Class A Certificates Downgraded to B3; previously on 1/30/2009 Downgraded to Baa1. -- $10,000,000 Class B Certificates Downgraded to B3; previously on 1/30/2009 Downgraded to Baa1. The transaction is a structured note whose ratings change with the rating of the Underlying Security. The rating actions are a result of the change of the rating of Bank of America Floating Rate Non-Cumulative Preferred Stock, Series E which was downgraded to B3 from Baa1 on watch for downgrade on March 25, 2009. AVALON RE: Fitch Changes Rating Actions on Two Classes of Notes --------------------------------------------------------------- Fitch Ratings takes various rating actions on these classes of Avalon Re Ltd.: Class B -- Revised to 'CCC/RR1' from 'CCC/DR3'. Class C -- Revised to 'C/RR3' from 'C/DR3'. Avalon Re provided coverage to Oil Casualty Insurance, Ltd., a Bermuda-based insurer, on a three-year (July 1, 2005 through May 31, 2008) excess of loss reinsurance contract that attached when losses exceeded $300 million. The most recent loss report indicates that losses up to $47 million could potentially be ceded to Avalon Re. This amount represents approximately one third of the class C outstanding principal balance. Fitch does not currently anticipate further losses to the class C notes, or losses to the class B notes, though that is possible. The class A notes were paid in full on June 6, 2008. Fitch continues to monitor OCIL's insurance losses. If the class C notes are exhausted by subsequent loss development, holders of the class B notes will then suffer a loss. Fitch's analysis incorporated anticipated losses given OCIL's and Fitch's recovery expectations. The resulting anticipated losses were then applied to the transaction structure, enabling Fitch to assess the impact of the losses on the securities. Avalon Re is a Cayman Islands-domiciled insurance company formed solely to issue the variable-rate notes, enter into a reinsurance contract with OCIL, and to conduct activities related to the notes' issuance. The variable-rate notes are insurance-linked collateralized securities that will suffer a loss of principal if OCIL's aggregate insured losses exceed a specified threshold that varies by note class. BALLANTYNE RE: S&P Assigns 'CC' Rating on Class A-1 Notes --------------------------------------------------------- Standard & Poor's Ratings Services said that it assigned its 'CC' rating to Ballantyne Re plc's Class A-1 notes and its 'C' rating to the company's Class B notes. S&P had revised these ratings to 'D' on Jan. 5, 2009. "We are assigning new ratings to the notes because the company will pay the Class A-1 noteholders delinquent interest, including additional interest on the previously unpaid interest," explained Standard & Poor's credit analyst Gary Martucci. "In addition, Ballantyne Re made all scheduled payments previously paid by the financial guarantors on each other series of notes." On Feb. 9, 2009, (with an effective date of Dec. 31, 2008), Security Life of Denver Insurance Co. recaptured an additional 11.4% of the ceded business from Ballantyne, bringing the total amount recaptured to 62.9%. This decreases the amount of XXX (excess) reserves Ballantyne is required to hold and lowered the minimum balance requirement in the surplus account. (The minimum balance requirement is what triggered the nonpayment back in January.) Although S&P expects that Ballantyne should be able to make scheduled payments for a quarter or two, a decline in the market value of the assets or unfavorable insurance experience (such as higher-than-expected mortality resulting in greater benefit payments from Ballantyne) could result in another nonpayment. On the business that Security Life of Denver has not recaptured, the XXX reserve requirement will continue to increase, putting additional strain on Ballantyne's ability to make scheduled interest payments over time. Although Ballantyne can defer interest on the Class B notes, it has not made each scheduled interest payment since from September 2008. A 'C' rating indicates that the notes are highly vulnerable to nonpayment and may be assigned to subordinated debt, the cash payments of which have been suspended in accordance with the instrument's terms. BEAR STEARNS: Fitch Downgrades Ratings on 2005-PWR8 Certificates ---------------------------------------------------------------- Fitch Ratings has downgraded and assigned Rating Outlooks or Recovery Ratings to these classes of Bear Stearns Commercial Mortgage Securities Inc.'s commercial mortgage pass-through certificates, series 2005-PWR8: -- $19.9 million class F to 'BBB' from 'BBB+'; Outlook Stable; -- $15.4 million class G to 'BBB-' from 'BBB'; Outlook Stable; -- $17.7 million class H to 'BB' from 'BBB-'; Outlook Stable; -- $8.8 million class J to 'B+' from 'BB+'; Outlook Negative; -- $4.4 million class K to 'B' from 'BB'; Outlook Negative; -- $6.6 million class L to 'B-' from 'BB-'; Outlook Negative; -- $6.6 million class M to 'B-' from 'B+'; Outlook Negative; -- $2.2 million class N to 'CCC/RR1' from 'B'; -- $4.4 million class P to 'CCC/RR2' from 'B-'. In addition, Fitch affirms and assigns Rating Outlooks to these classes: -- $30.8 million class A-1 at 'AAA'; Outlook Stable; -- $46.5 million class A-2 at 'AAA'; Outlook Stable; -- $63 million class A-3 at 'AAA'; Outlook Stable; -- $128 million class A-AB at 'AAA'; Outlook Stable; -- $1.02 billion class A-4 at 'AAA'; Outlook Stable; -- $50 million class A-4FL at 'AAA'; Outlook Stable; -- $150 million class A-J at 'AAA'; Outlook Stable; -- Interest-only class X-1 at 'AAA'; Outlook Stable; -- Interest-only class X-2 at 'AAA'; Outlook Stable; -- $37.5 million class B at 'AA'; Outlook Stable; -- $17.7 million class C at 'AA-'; Outlook Stable; -- $26.5 million class D at 'A'; Outlook Stable; -- $17.7 million class E at 'A-'; Outlook Stable. Fitch does not rate the $17.7 million class Q. The downgrades reflect a decline in Fitch-expected credit enhancement to classes F through P due to projected losses on the specially serviced loans (1.5%) as well as the downgrade and removal of the shadow rating corresponding to one loan (0.8%). In addition, the downgrades reflect an increased concentration of Fitch Loans of Concern (8.6%). The Rating Outlooks indicate the likely direction of any changes to the ratings over the next one to two years. There are currently three loans in special servicing (1.5%). The largest specially serviced loan (0.9%) transferred Feb. 11, 2009 and is secured by a 145,803 square foot retail property located in West Chester, OH. The most recent reported occupancy was 76% as of Dec. 31, 2007, compared to 93% at issuance. The servicer- reported debt service coverage ratio was 0.59 times (x) for year- end 2007. The two other specially serviced loans (0.6%) transferred Nov. 12, 2008 due to a technical default, when the tenant-in-common sponsor and master lessee of each respective loan, DBSI, filed for Chapter 11 bankruptcy protection. The master leases for both loans were rejected, and the respective tenant-in-common borrowers have engaged new property management. Through third-quarter 2008, the larger of the two DBSI loans had a servicer-reported DSCR of 2.04x, while the smaller had coverage of 1.99x. The special servicer is currently negotiating forbearance agreements for both loans. Including the three specially serviced loans (1.5%), 22 loans (8.6%) have been designated Fitch Loans of Concern. This represents an increase relative to the last Fitch rating action, at which time there were no Fitch LOCs. Fitch reviewed the transaction's nine shadow rated loans and their underlying collateral: One MetroTech Center (10.4%), Lock Up Storage Centers Portfolio (3.2%), Canyon Park Place (0.8%), The Landings at Cypress Meadows (0.8%), JL Holdings Portfolio (0.8%), Glendale Plaza (0.7%), Woodhaven Terrace Apartments (0.6%), The Legends at Champions Gate (0.6%), and Plaza at Riverlakes (0.6%). The shadow rating of one loan, The Landings at Cypress Meadows (0.8%), was downgraded and withdrawn based on a decline in performance. The property is a 472-unit multifamily property located in Tampa, FL. As of year-end 2008, occupancy was 79%, compared to 92% at issuance. Through third-quarter 2008, the Fitch stressed DSCR was 1.06x, compared to 1.32x at issuance. According to the Watch List, the property currently suffers from deferred maintenance. The remaining shadow rated loans (17.7%) were affirmed and maintain their respective investment-grade shadow ratings, based on stable performance since issuance. As of the March 2009 distribution date, the transaction has paid down 4.2% to $1.69 billion, from $1.77 billion at issuance. Seven loans (7.3%) have defeased since issuance. There is limited near- term refinance risk, with no loans maturing in 2009. In 2010, three loans (0.9%) mature; and an additional two loans (1.2%) are anticipated to repay. For the five loans expected to repay in 2010 (2.2%), the weighted average servicer-reported DSCR is 2.08x, and the weighted average coupon is 5.176%. No loans from the 2010 maturity concentration are Fitch LOCs; and one (0.6%) maintains an investment-grade shadow rating. BEAR STEARNS: Moody's Downgrades Ratings on 82 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 82 tranches from 9 Alt-A RMBS transactions issued by Bear Stearns ARM Trust. The collateral backing these transactions consists primarily of first-lien, adjustable-rate, Alt-A residential mortgage loans. These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Once expected losses have been determined, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. List of actions: Bear Stearns ARM Trust 2004-10 -- Cl. I-1-A-1, Downgraded to A2; previously on 11/21/2008 Downgraded to Aa2 -- Cl. I-2-A-2, Downgraded to A2; previously on 11/21/2008 Downgraded to Aa2 -- Cl. I-2-A-3, Downgraded to A2; previously on 11/21/2008 Downgraded to Aa2 -- Cl. I-2-A-4, Downgraded to A2; previously on 11/21/2008 Downgraded to Aa2 -- Cl. I-2-A-5, Downgraded to A1; previously on 11/21/2008 Downgraded to Aa1 -- Cl. I-2-A-6, Downgraded to A2; previously on 11/21/2008 Downgraded to Aa3 -- Cl. I-2-X-2, Downgraded to A2; previously on 11/21/2008 Downgraded to Aa2 -- Cl. I-2-X-3, Downgraded to A2; previously on 11/21/2008 Downgraded to Aa2 -- Cl. I-3-A-1, Downgraded to A1; previously on 11/21/2008 Downgraded to Aa2 -- Cl. I-4-A-1, Downgraded to A1; previously on 11/21/2008 Downgraded to Aa2 -- Cl. I-M-1, Downgraded to Baa1; previously on 11/21/2008 Downgraded to A2 -- Cl. I-B-1, Downgraded to Baa3; previously on 11/21/2008 Downgraded to A3 -- Cl. I-B-2, Downgraded to B2; previously on 11/21/2008 Downgraded to Ba1 -- Cl. I-B-3, Downgraded to Ca; previously on 11/21/2008 Downgraded to Caa2 -- Cl. II-1-A-1, Downgraded to A1; previously on 12/3/2004 Assigned Aaa -- Cl. II-2-A-1, Downgraded to A1; previously on 12/3/2004 Assigned Aaa -- Cl. II-3-A-1, Downgraded to A1; previously on 12/3/2004 Assigned Aaa -- Cl. II-B-1, Downgraded to Baa1; previously on 12/3/2004 Assigned Aa2 -- Cl. II-B-2, Downgraded to Ba2; previously on 12/3/2004 Assigned A2 -- Cl. II-B-3, Downgraded to Caa2; previously on 12/3/2004 Assigned Baa2 -- Cl. III-1-A-1, Downgraded to Ba1; previously on 11/21/2008 Downgraded to Aa3 -- Cl. III-2-A-1, Downgraded to Baa1; previously on 11/21/2008 Downgraded to Aa2 Bear Stearns ARM Trust 2004-11 -- Cl. I-A-1, Downgraded to Aa3; previously on 12/3/2004 Assigned Aaa -- Cl. II-A-1, Downgraded to Aa1; previously on 12/3/2004 Assigned Aaa -- Cl. III-A-1, Downgraded to Aa3; previously on 12/3/2004 Assigned Aaa -- Cl. IV-A-1, Downgraded to Aa1; previously on 12/3/2004 Assigned Aaa -- Cl. M-1, Downgraded to A2; previously on 12/3/2004 Assigned Aaa -- Cl. B-1, Downgraded to Baa1; previously on 12/3/2004 Assigned Aa2 -- Cl. B-2, Downgraded to Ba1; previously on 12/3/2004 Assigned A2 -- Cl. B-3, Downgraded to B3; previously on 12/3/2004 Assigned Baa1 Bear Stearns ARM Trust 2004-12 -- Cl. I-A-1, Downgraded to Baa3; previously on 11/21/2008 Downgraded to Aa3 -- Cl. I-X-1, Downgraded to Baa3; previously on 11/21/2008 Downgraded to Aa3 -- Cl. II-A-1, Downgraded to A3; previously on 11/21/2008 Downgraded to Aa3 -- Cl. II-A-2, Downgraded to A3; previously on 11/21/2008 Downgraded to Aa3 -- Cl. II-A-3, Downgraded to A3; previously on 11/21/2008 Downgraded to Aa3 -- Cl. II-X-1, Downgraded to A3; previously on 11/21/2008 Downgraded to Aa3 -- Cl. II-X-2, Downgraded to A3; previously on 11/21/2008 Downgraded to Aa3 -- Cl. II-X-3, Downgraded to A3; previously on 11/21/2008 Downgraded to Aa3 -- Cl. IV-A-1, Downgraded to A1; previously on 11/21/2008 Downgraded to Aa3 -- Cl. M-1, Downgraded to Ba1; previously on 11/21/2008 Downgraded to A3 -- Cl. B-1, Downgraded to B2; previously on 11/21/2008 Downgraded to Baa2 -- Cl. B-2, Downgraded to Caa2; previously on 11/21/2008 Downgraded to B1 Bear Stearns ARM Trust 2004-3 -- Cl. I-A-1, Downgraded to A2; previously on 11/21/2008 Downgraded to Aa2 -- Cl. I-A-2, Downgraded to Aa3; previously on 6/1/2004 Assigned Aaa -- Cl. I-A-3, Downgraded to A2; previously on 11/21/2008 Downgraded to Aa3 -- Cl. II-A, Downgraded to Baa1; previously on 11/21/2008 Downgraded to Aa2 -- Cl. III-A, Downgraded to A1; previously on 11/21/2008 Downgraded to Aa2 -- Cl. B-1, Downgraded to Ba1; previously on 11/21/2008 Downgraded to A2 -- Cl. B-2, Downgraded to Caa1; previously on 11/21/2008 Downgraded to Ba1 -- Cl. B-3, Downgraded to Ca; previously on 11/21/2008 Downgraded to Caa1 Bear Stearns ARM Trust 2004-4 -- Cl. B-3, Downgraded to Baa3; previously on 7/13/2004 Assigned Baa2 Bear Stearns ARM Trust 2004-5 -- Cl. I-A, Downgraded to Aa3; previously on 7/13/2004 Assigned Aaa -- Cl. II-A, Downgraded to Aa3; previously on 7/13/2004 Assigned Aaa -- Cl. III-A, Downgraded to Aa1; previously on 7/13/2004 Assigned Aaa -- Cl. IV-A, Downgraded to Aa1; previously on 7/13/2004 Assigned Aaa -- Cl. B-1, Downgraded to A3; previously on 7/13/2004 Assigned Aa2 -- Cl. B-2, Downgraded to Ba1; previously on 7/13/2004 Assigned A2 -- Cl. B-3, Downgraded to B3; previously on 7/13/2004 Assigned Baa2 Bear Stearns ARM Trust 2004-6 -- Cl. I-A-1, Downgraded to Baa2; previously on 8/16/2004 Assigned Aaa -- Cl. I-A-2, Downgraded to Baa3; previously on 11/21/2008 Downgraded to Aa3 -- Cl. II-A-1, Downgraded to A1; previously on 8/16/2004 Assigned Aaa -- Cl. II-A-2, Downgraded to A3; previously on 11/21/2008 Downgraded to Aa3 -- Cl. III-A, Downgraded to A2; previously on 11/21/2008 Downgraded to Aa2 -- Cl. B-1, Downgraded to B2; previously on 11/21/2008 Downgraded to Baa1 -- Cl. B-2, Downgraded to Caa3; previously on 11/21/2008 Downgraded to Ba3 Bear Stearns ARM Trust 2004-7 -- Cl. I-A-1, Downgraded to Baa1; previously on 9/1/2004 Assigned Aaa -- Cl. I-A-2, Downgraded to Baa2; previously on 11/21/2008 Downgraded to Aa3 -- Cl. II-A-1, Downgraded to Baa2; previously on 11/21/2008 Downgraded to Aa2 -- Cl. II-X, Downgraded to Baa2; previously on 11/21/2008 Downgraded to Aa2 -- Cl. III-A, Downgraded to A1; previously on 11/21/2008 Downgraded to Aa1 -- Cl. B-1, Downgraded to B2; previously on 11/21/2008 Downgraded to Baa2 -- Cl. B-2, Downgraded to Caa3; previously on 11/21/2008 Downgraded to B2 Bear Stearns ARM Trust 2004-8 -- Cl. I-1-A-1, Downgraded to Baa1; previously on 9/30/2004 Assigned Aaa -- Cl. I-1-A-2, Downgraded to A3; previously on 9/30/2004 Assigned Aaa -- Cl. I-1-A-3, Downgraded to Baa2; previously on 11/21/2008 Downgraded to Aa1 -- Cl. I-2-A-1, Downgraded to Baa2; previously on 9/30/2004 Assigned Aaa -- Cl. I-3-A-1, Downgraded to Baa2; previously on 9/30/2004 Assigned Aaa -- Cl. I-4-A-1, Downgraded to A2; previously on 9/30/2004 Assigned Aaa -- Cl. I-B-1, Downgraded to B3; previously on 11/21/2008 Downgraded to A2 -- Cl. I-B-2, Downgraded to Caa3; previously on 11/21/2008 Downgraded to Ba1 -- Cl. I-B-3, Downgraded to Ca; previously on 11/21/2008 Downgraded to Caa3 -- Cl. II-A-1, Downgraded to A1; previously on 9/30/2004 Assigned Aaa BEAR STEARNS: Moody's Downgrades Ratings on 18 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded 18 tranches from 3 Bear Stearns ARM Trust deals issued in 2006 and 2007. 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 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, 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: Bear Stearns ARM Trust 2006-1 -- Cl. A-1, Downgraded to Baa1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Aa3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2007-2 -- Cl. I-A-1, Downgraded to Caa1; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Ca; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa1; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Ca; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Caa1; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to Ca; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to Caa1; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. IV-A-2, Downgraded to Ca; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2007-4 -- Cl. I-1A-1, Downgraded to Caa2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. I-1A-2, Downgraded to Ca; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. I-1X-1, Downgraded to Caa2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. I-2A-1, Downgraded to Caa2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. I-2A-2, Downgraded to Ca; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. I-2X-1, Downgraded to Caa2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade BERNOULLI HIGH: Fitch Junks Ratings on Two Classes of Notes ----------------------------------------------------------- Fitch Ratings affirms $88.7 million and downgrades $1.3 billion from six classes of Bernoulli High Grade CDO I, Ltd./Inc.: -- $856,376,278 class A-1A notes downgraded to 'CCC' from 'B'; -- $352,384,154 class A-1B notes downgraded to 'B' from 'A'; Outlook Negative; -- $86,536,865 class A-2 notes downgraded to 'CC' from 'CCC'; -- $57,691,244 class B notes affirmed at 'CC'; -- $15,301,665 class C notes affirmed at 'C'; -- $15,678,003 class D notes affirmed at 'C'. The class A-1A and A-1B notes are also removed from Rating Watch Negative. In addition, the class A-1B notes were assigned a Negative Outlook due to the concentration of residential mortgage-backed security assets as well as indirect exposure to RMBS through other structured finance collateralized debt obligations in the portfolio, which are expected to continue to face negative rating migration until the housing market stabilizes. The rating actions are due to Fitch's recently adjusted default and recovery rate assumptions for analyzing SF CDOs, in addition to negative credit migration in the underlying portfolio. Since the last rating action in May 2008, 80.9% of the portfolio has been downgraded. Assets rated below investment grade comprise 72.4% of the portfolio, of which 59.6% of the portfolio is considered 'CCC+' or below. Bernoulli is a hybrid transaction in which 24% of the portfolio consists of credit default swaps referencing other CDOs. With respect to the synthetic portion of the portfolio; reference obligation credit events consist of failure to pay principal, write downs, or the reference obligation is downgraded to 'CC' or lower. As a result of credit events declared by the class A-1B swap counterparty, Merrill Lynch International Bank, Ltd (MLI), the class A-1B notes were first drawn upon in the amount of $13 million on the Jan. 5, 2009 payment date and currently have a funded and unfunded portion. The funded portion of the A-1B notes currently amounts to $6.9 million, after it paid down $6.1 million since January 2009. The unfunded portion is currently $345.5 million, but it has not paid down since class A-1B was first drawn upon. T he unfunded portion is paid after the funded portion of the A-1B notes and then after the class A-1A notes are paid in full. Fitch expects the class A-1B funded amount to be drawn upon again in the future as more credit events in the portfolio will likely be declared as all but four of the reference obligations could be declared credit events due to their low ratings. Par coverage to all of the notes has continued to erode due to defaulted and distressed assets, specifically RMBS. According to the March 2009 trustee report, the class A/B and C/D over collateralization tests are failing, as well as the Sequential Pay Test. The class A/B OC test level has dropped to 39.7% versus a trigger of 101.7%, the class C/D OC test level has dropped to 38.8% compared to the 100.4% trigger, and the Sequential Pay Test ratio is 44.3% versus the 105.4% trigger. As a result, the transaction pays the notes sequentially until all of the coverage tests are cured before switching back to pro rata payments. Fitch does not expect the coverage tests to cure in the future and thus the transaction will continue to pay sequentially with principal payments being made first to the class A-1B funded amount, then class A-1A, then the class A-1B unfunded amount. There are no Events of Default triggered by coverage test failures. Furthermore, the continued credit deterioration of the portfolio decreases the likelihood of full principal payments to the class A-1A notes. The class A-1A notes are currently receiving full interest payments, all from principal proceeds, but no principal as all principal payments are going toward the class A-1B funded portion. Class A-1A can receive future principal proceeds after the class A-1B funded amount is paid down, but the chances of class A-1A receiving full principal payments decreases as class A- 1B continues to be drawn upon, thus increasing the class A-1B funded balance. The class A-2 and B notes are currently receiving full interest payments, all of which are from principal proceeds. Only future interest payments are expected, not principal. The class C and D notes have and will continue to pay in kind, whereby the principal balances of the notes are written up by the amount of interest owed due to the coverage test failures. Fitch does not expect any future interest or principal payments to the class C and D notes. Bernoulli is a static hybrid cash and synthetic CDO which closed in March 2006 and is monitored by Babcock & Brown Securities Pty, Ltd. Bernoulli is composed of 35.4% subprime RMBS primarily from the 2005 vintage, 33.1% SF CDOs mostly from the 2004 and 2005 vintages, 27.2% Alternative-A RMBS from the 2005 and 2006 vintages, and 4.3% prime RMBS primarily from the 2005 vintage. The rating actions resolve the 'Under Analysis' status issued on Oct. 14, 2008, following Fitch's announcement of its proposed criteria revision for analyzing structured finance 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. BEXAR COUNTY: Moody's Affirms 'Ba2' Rating on Revenue Bonds ----------------------------------------------------------- Moody's Investors Service has affirmed the Ba2 rating on Bexar County Housing Finance Corporation Multifamily Revenue Refunding Bonds (American Opportunity for Housing - Cinnamon Creek Apartments) 2002 A and downgraded the rating on 2002 B to B1 from Ba3. The rating affirmation is based upon the financial cushion debt service coverage provides for 2002 A. The rating downgrade for 2002B reflects a very thin coverage for 2002B. The outlook remains negative due to recent occupancy declines at the project and market research which projects occupancy weak occupancy and rent growth project's submarket. The 278 unit garden style complex was built in 1974 and is composed of 58, one and two-story buildings located approximately twelve miles northwest of downtown San Antonio. The property is located near major employer such as South Texas Medical Center, University of Texas at San Antonio and USAA World Headquarters. Recent Developments Occupancy at the project in 2008 was weak at 90.6% (monthly average), which is below the 92.8% average in the Northwest San Antonio submarket as reported by Torto Wheaton Research. TWR forecasts submarket occupancy will remain at or near 92.8% in 2009 and that rents will decline by an average of 0.5%. Debt service coverage ratios for 2007 were very weak at 0.86x for 2002A and 0.77x for 2002B. However, the shortfall was offset by an advance of $319,317 from the American Agape Foundation, an affiliate of the owner, American Opportunity for Housing. Debt service coverage ratios calculated from audited 2008 statements improved to 1.16x for 2002A and 1.04 for 2002B. The affirmation of the Ba2 rating on the 2002A bonds reflects the minimal financial cushion provided by the 1.16x debt service coverage. The B1 rating on the 2002B bonds reflects and extremely thin cushion. The last rating action was on January 29, 2008 when Series 2002A was downgraded to Ba2 and 2002B was downgraded to Ba3. The principal methodology used in rating the bonds was "Affordable Housing Methodology ", which can be found at www.moodys.com in the Credit Policy & Methodologies directory, in the Ratings Methodologies subdirectory. Other methodologies and factors that may have been considered in the rating process can also be found in the Credit Policy & Methodologies directory. Outlook The outlook on the bonds remains negative. This reflects project's minimal financial cushion and Torto Wheaton market research that indicates weak growth in the submarket. BEXAR COUNTY: Moody's Junks Rating on 2001A Bonds from 'B1' ----------------------------------------------------------- Moody's Investors Service has downgraded, from B1 to Caa1, the rating on the Bexar County Housing Finance Corporation (The Waters at Northern Hills) Multifamily Housing Revenue Bonds Series 2001A and has also downgraded the B3 on Series 2001C to Ca. The rating downgrade is based upon debt service reserve taps on tranches, poor operating performance and a $1.2 million tax settlement with Bexar County. The outlook remains negative. Legal Security: The bonds are limited obligations payable solely from the revenues, receipts and security pledged in the Trust Indenture. Recent Developments/Results: On February 1, 2009, the $7,057.19 was drawn from the Series A debt service reserve fund and $4,720.8 was drawn from the Series C debt service reserve fund in order to make a scheduled interest payment. The project's poor performance is evidenced by audited 2007 financial statements which produce debt service coverage ratios below 1.0x for both Series A and C and audited 2008 financial statments which produce debt service coverage ratios of 1.0x for Series A and 0.99x for Series C. Occupancy is weak with an average monthly rate of 87% in 2008 and 88% in February, 2009. On December 8, 2008, the project owner signed an agreement for an installment plan to repay $1,200,953 of back property taxes. The agreement required a down payment of $145,000 and a monthly payment of $13,500 beginning on February 15, 2009. The payments are scheduled until February 15, 2010. The agreement states that the taxpayer must renew the agreement prior to February 15, 2010 and that any amounts outstanding are due in full if the property is sold or conveyed. The Caa1 rating on Series A reflects Moody's expectation that debt service reserves will continue to be eroded and ultimately depleted. The Ca rating on Series C reflects not only the likelihood of debt service reserve depletion but also the poor prospects for recovery. The last rating action was on April 3, 2008 when B1 and B3 ratings were affirmed. Outlook The outlook for the bonds is negative due to the expectation that debt service reserves will be ultimately be depleted. CABELA'S CREDIT: DBRS Assigns 'BB' to 2009-I Notes Class D ---------------------------------------------------------- Dominion Bond Rating Service assigned ratings to these classes issued by Cabela's Credit Card Master Note Trust Series 2009-I: -- $425 million Series 2009-I Notes, Class A rated AAA -- $40 million Series 2009-I Notes, Class B rated A (high) -- $21.25 million Series 2009-I Notes, Class C rated BBB -- $13.75 million Series 2009-I Notes, Class D rated BB This transaction represents the first series issuance from Cabela's Credit Card Master Note Trust in 2009 (the Trust). The ratings reflect the ability of the transaction structure to withstand significant stresses relative to base case losses, yield stresses and payment rate stresses as appropriate for the rating category. CABELA'S CREDIT: Fitch Downgrades Rating on Class D to 'BB+' ------------------------------------------------------------ Fitch rates Cabela's Credit Card Master Note Trust, series 2009-I: -- $425,000,000 one-month LIBOR + 2.00% class A asset-backed notes 'AAA'; -- $40,000,000 fixed 8.00% class B asset-backed notes 'A+'; -- $21,250,000 fixed 10.00% class C asset-backed notes 'BBB+'; -- $13,750,000 fixed 16.00% class D asset-backed notes 'BB+'. The Rating Outlook is Stable for all classes. CABELA'S CREDIT: S&P Assigns Ratings on $500 Mil. 200-I Notes ------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Cabela's Credit Card Master Note Trust Series 2009-I's $500 million asset-backed notes series 2009-I. The preliminary ratings are based on information as of April 13, 2009. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit support for each class of notes that is sufficient to withstand the simultaneous stresses S&P applies to its 4.0%-6.0% base case net loss rate assumption, 26.0%-30.0% \ base case payment rate assumption, and 14.0%-16.0% base case yield assumption; the purchase rate assumptions ranging from 0% to 3.0% depending on the rating scenario; the 2.0% servicing fee; the stressed excess spread; and the stressed note interest rate at each rating category; -- The credit risk associated with the collateral loan pool's quality, based on S&P's economic forecast, the trust portfolio performance, the pool statistics, and vintage data; -- World's Foremost Bank's servicing experience and S&P's opinion of the quality and consistency of its account origination, underwriting, account management, collections, and general operational practices; -- The timely payment of interest and ultimate payment of principal by March 16, 2015, the stated maturity date, based on stressed cash flow modeling scenarios using assumptions commensurate with the respective rating categories; and -- The series 2009-I notes' underlying transaction mechanics and legal structure. Preliminary Ratings Assigned Cabela's Credit Card Master Note Trust Series 2009-I Class Rating Amount (mil. $) ----- ------ --------------- A AAA 425.00 B A 40.00 C BBB 21.25 D BB 13.75 CAPITALSOURCE 2006-2: Fitch Downgrades Rating on Class E to 'B' --------------------------------------------------------------- Fitch Ratings has affirmed five classes and downgraded two classes of notes issued by CapitalSource 2006-2. Additionally, Fitch has assigned Rating Outlooks to each tranche. These rating actions are effective immediately: -- $268,482,370 class A-PT affirmed at 'AAA'; Outlook Stable; -- $476,721,510 class A-1A affirmed at 'AAA'; Outlook Stable; -- $147,500,000 class A-1B affirmed at 'AAA'; Outlook Stable; -- $71,250,000 class B affirmed at 'AA'; Outlook Stable; -- $175,500,000 class C affirmed at 'A'; Outlook Negative; -- $101,250,000 class D downgraded to 'BBB-' from 'BBB'; Outlook Negative; -- $56,250,000 class E downgraded to 'B' from 'BB'; Outlook Negative. The affirmations are the result of the credit support still available to the class A-PT, A-1A and A-1B notes (collectively 'the class A notes') and the class B and C notes through excess spread and subordination. These notes have maintained stable levels of credit enhancement since inception despite credit deterioration in the portfolio. While cumulative charge-offs amount to approximately $58.8 million, or 3.9% of the closing portfolio, the class A, B and C notes have maintained credit enhancement levels in line with their current ratings through paydowns using primarily excess spread. Since closing, class A-PT has received $31.5 million (10.5% of the initial notional amount) and class A-1A has received $73.3 million (13.3% of the initial notional amount). The downgrades are the result of credit deterioration in the portfolio. Actual defaults and increased default expectations associated with lower-rated assets in the collateral pool have increased the risk profile of the class D and E notes resulting in the downgrades announced. Future performance of the transaction is dependent upon additional defaults, recovery levels, and recovery timing. The class C, D and E notes are the most vulnerable to realized recoveries that fall below historical levels. Therefore, Fitch assigns a Negative Outlook to the class C, D and E notes. CapitalSource 2006-2 is a middle-market cash flow collateralized loan obligation that closed in September 2006 and is managed by CapitalSource Finance LLC (the manager). The transaction has a three-year revolving period, which was suspended due to charge- offs in the collateral pool. The portfolio is comprised of 92% senior secured loans, 1% senior unsecured loans and 7% junior secured loans or subordinate debt. Approximately 20% of the portfolio is comprised of asset-based loans, which offer added recovery potential. The three largest Fitch industry categories represented in the CapitalSource portfolio are banking & finance (18.9%), computers & electronic (18.6%) and healthcare (15.4%). The ratings of the class A notes address 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 ratings of the class B, C, D and E notes address 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. Fitch reviewed this transaction in accordance with its updated criteria 'Global Rating Criteria for Corporate CDOs' released on April 30, 2008. At that time, Fitch noted it would be reviewing its ratings accordingly to establish consistency for existing and new transactions. As part of this review, Fitch makes standard adjustments for any names on Rating Watch Negative or with a Negative Outlook, reducing such ratings for default analysis purposes by two notches and one notch, respectively. CAPITALSOURCE COMMERCIAL: Fitch Cuts Ratings on Three Classes ------------------------------------------------------------- Fitch Ratings affirms two and downgrades three classes of notes issued by CapitalSource Commercial Loan Trust 2006-1 and assigns Rating Outlooks. The rating actions are effective immediately: -- $100,063,671 class A notes affirmed at 'AAA', Stable Outlook; -- $12,636,894 class B notes affirmed at 'AA', Stable Outlook; -- $31,592,004 class C notes downgraded to 'BBB' from 'A', Negative Outlook; -- $24,371,449 class D notes downgraded to 'B' from 'BBB', Negative Outlook; -- $14,442,033 class E notes downgraded to 'CCC' from 'BB'. The affirmations reflect the increased credit enhancement available to the class A and B notes. The rise in credit enhancement reflects the deleveraging of the transaction through asset amortization and the application of excess spread via the principal distributable shortfall feature. Upon the occurrence of a defaulted asset, the PDS directs part or all of the excess interest proceeds otherwise available to the subordinate notes to pay down the notes pro-rata or sequentially in an amount equal to the aggregate balance of defaulted assets in the portfolio. The class A notes have received approximately $467.1 million (82.4% of their original amount), and the class B notes have received $14.7 million (53.8% of their original amount) since close. The downgrades are the result of higher default expectations related to an increase in lower-rated assets, as well as concentration risks associated with a small portfolio. Obligors considered 'CCC+' or below account for approximately half of the collateral, which significantly increases Fitch's default assumptions for the portfolio. That said, over 63% of the performing collateral is comprised of asset-based loans, which offer added recovery potential in the event of a default. With 33 obligors remaining, the portfolio has become increasingly concentrated by obligor and industry. The two largest loans each account for 15% of the performing collateral. A default in either of these loans would greatly impair the credit support of the subordinate notes of the capital structure. According to the trustee report dated March 20, 2009, the top three industries in the portfolio comprised 68.5% of the performing collateral: 31.8% in the security/alarm industry, 21.0% in the finance industry, and 15.7% in business products and services. All of these elements have increased the risk profile of the class C, D, and E notes. Future performance of the transaction is dependent upon additional defaults, recoveries and recovery timing. Based on Fitch's analysis, the class C and D notes appear to be the most vulnerable to realized recoveries that fall below historical levels. Therefore, Fitch assigns a Negative Rating Outlook to the class C and D notes. CapitalSource 2006-1 is a cash flow middle-market collateralized loan obligation that closed on April 11, 2006 and is monitored by CapitalSource LLC. CapitalSource 2006-1 is secured by a portfolio of senior secured loans, 63.3% of which are asset-based loans and 36.7% of which are originated on a cash-flow basis. The rating of the class A notes addresses the likelihood that investors will receive full and timely payments of interest, as well as the stated balance of principal by the legal final maturity date. The ratings of the class B, C, D, and E notes address the likelihood that investors will receive ultimate and compensating interest payments, as well as the stated balance of principal by the legal final maturity date. Fitch reviewed this transaction in accordance with its updated criteria 'Global Rating Criteria for Corporate CDOs' released on April 30, 2008. At that time, Fitch noted it would be reviewing its ratings accordingly to establish consistency for existing and new transactions. As part of this review, Fitch makes standard adjustments for any names on Rating Watch Negative or with a Negative Outlook, reducing such ratings for default analysis purposes by two notches and one notch, respectively. 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. CAPITALSOURCE COMMERCIAL: Fitch Cuts Ratings on 2007-1 Notes ------------------------------------------------------------ Fitch Ratings has downgraded and assigned Rating Outlooks to five classes of notes issued by CapitalSource Commercial Loan Trust 2007-1: -- $312,349,676 class A downgraded to 'AA' from 'AAA'; Outlook Stable; -- $11,530,614 class B downgraded to 'A' from 'AA'; Outlook Stable; -- $48,428,579 class C downgraded to 'BB' from 'A'; Outlook Negative; -- $27,673,474 class D downgraded to 'B-' from 'BBB'; Outlook Negative; -- $19,602,044 class E downgraded to 'CCC' from 'BB+'. The downgrades are the result of credit deterioration in the portfolio, the increased default expectations due to rise in lower-rated assets, and concentration risks associated with a smaller portfolio. Cumulative charge-offs amount to approximately $53.6 million, or 6.7% of the closing portfolio. Obligors considered 'CCC+' or below account for approximately 22.5% of the portfolio, which increases Fitch's future default expectations for the portfolio. With 46 obligors remaining, the portfolio has become increasingly concentrated with obligors and industries. The five largest loans account for approximately 25% of the performing collateral. A default in any of these loans would greatly impair the credit support of the subordinate notes of the capital structure. That said, the transaction has switched to paying the notes sequentially, using excess spreads to pay down the most senior notes in addition to principal received from portfolio amorization. Since closing, class A has received $273.7 million (46.7% of the initial notional amount). Future performance of the transaction is dependent upon additional defaults, recovery levels, and recovery timing. The class C and D notes are the most vulnerable to realized recoveries that fall below historical levels. Therefore, Fitch assigns a Rating Outlook Negative to the class C and D notes. Fitch does not assign Rating Outlooks to structure finance bonds rated 'CCC' and below. CapitalSource is a static middle-market cash flow collateralized loan obligation that closed in April 2007 and is managed by CapitalSource Finance LLC (the manager). The portfolio is comprised of 77.9% senior secured loans, 5.5% senior unsecured loans, 6.6% junior secured loans and 10% subordinate debt. Approximately 16% of the portfolio is comprised of asset-based loans, which offer added recovery potential. The three largest Fitch industry categories represented in the CapitalSource portfolio are computers & electronic (23%), broadcasting & media (11.6%), and healthcare (10.9%). 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. The ratings of the class B, C, D and E notes address 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. Fitch reviewed this transaction in accordance with its updated criteria 'Global Rating Criteria for Corporate CDOs' released on April 30, 2008. At that time, Fitch noted it would be reviewing its ratings accordingly to establish consistency for existing and new transactions. As part of this review, Fitch makes standard adjustments for any names on Rating Watch Negative or with a Negative Outlook, reducing such ratings for default analysis purposes by two notches and one notch, respectively. CAPITALSOURCE REAL: Moody's Downgrades Ratings on 12 2006-A Notes ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 12 classes of Notes issued by CapitalSource Real Estate Loan Trust 2006-A. The rating actions are: -- Class A-1A, $69,841,832, Floating Rate Notes Due 2037, downgraded to Aa3 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-1R, $200,000,000, Floating Rate Notes Due 2037, downgraded to Aa3 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2A, $495,264,937, Floating Rate Notes Due 2037, downgraded to Aa1 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2B, $125,000,000, Floating Rate Notes Due 2037, downgraded to A3 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $82,875,000, Floating Rate Notes Due 2037, downgraded to Baa3 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $62,400,000, Floating Rate Notes Due 2037, downgraded to Ba2 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $30,225,000, Floating Rate Notes Due 2037, downgraded to B1 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $30,225,000, Floating Rate Notes Due 2037, downgraded to B2 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $26,650,000, Floating Rate Notes Due 2037, downgraded to B3 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $33,150,000, Floating Rate Notes Due 2037, downgraded to Caa1 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class H, $31,200,000, Floating Rate Notes Due 2037, downgraded to Caa2 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class J, $48,320,223, Floating Rate Notes Due 2037, downgraded to Caa3 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded all Classes due to deteriorating pool performance and revised modeling parameters. Moody's ratings are based on the current credit quality of the collateral and may not reflect potential migration as per the legal documentation. Moody's expects the aggregate default rate on CMBS loans (1.59% as of March 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 21% from the peak reached in October 2007, are expected to decline an additional 5% to 15% 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 its 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 have 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. Moody's review at securitization is summarized in a Pre-Sale Report dated November 29, 2006. CAPMARK VII: Moody's Junks Ratings on 8 Classes of Notes -------------------------------------------------------- Moody's Investors Service confirmed the rating of one class and downgraded the ratings of ten classes of Notes issued by Capmark VII - CRE Ltd. The rating actions are: -- Class A-1, $532,823,352, Floating Rate Term Notes Due 2036, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $170,000,000, Floating Rate Term Notes Due 2036, downgraded to Baa3 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $80,000,000, Floating Rate Term Notes Due 2036, downgraded to B2 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $30,000,000, Floating Rate Deferrable Term Notes Due 2036, downgraded to Caa2 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $7,500,000, Floating Rate Deferrable Term Notes Due 2036, downgraded to Caa3 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $7,500,000, Floating Rate Deferrable Term Notes Due 2036, downgraded to Caa3 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $32,538,055, Floating Rate Deferrable Term Notes Due 2036, downgraded to Caa3 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $12,516,512, Floating Rate Deferrable Term Notes Due 2036, downgraded to Caa3 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class H, $10,015,084, Floating Rate Deferrable Term Notes Due 2036, downgraded to Caa3 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class J, $21,836,771, Floating Rate Deferrable Term Notes Due 2036, downgraded to Ca from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class K, $46,896,981, Floating Rate Deferrable Term Notes Due 2036, downgraded to Ca from B2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded Classes A-2, B, C, D, E, F, G, H, J and K due to revised modeling parameters. Moody's ratings are based on the current credit quality of the collateral and may not reflect potential migration as per the legal documentation. The pool contains a 100% concentration in whole loans. Moody's expects the aggregate default rate on CMBS loans (1.59% as of March 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 21% from the peak reached in October 2007, are expected to decline an additional 5 to 15% 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 its 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 have migrated the ratings for recent vintage CMBS to levels that Moody's believes 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 (PD) 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 (PD) 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. I n 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. Moody's review at securitization is summarized in a Pre-Sale report dated August 10, 2006. CARBON CAPITAL: Moody's Junks Ratings on 4 Classes of 2005-1 Notes ------------------------------------------------------------------ Moody's Investors Service confirmed the ratings of three classes and downgraded the ratings of seven classes of Notes issued by Carbon Capital II Real Estate CDO 2005-1 Ltd. The rating actions are: - Class A, $73,963,229, Floating Rate Notes Due 2038, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class B, $54,800,000, Floating Rate Notes Due 2038, confirmed at Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class C, $29,346,381, Floating Rate Notes Due 2038, confirmed at A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class D, $10,159,552, Floating Rate Notes Due 2038, downgraded to Baa2 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class E, $10,164,649, Floating Rate Notes Due 2038, downgraded to Ba1 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class F, $13,968,896, Floating Rate Notes Due 2038, downgraded to Ba3 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class G, $22,040,497, Floating Rate Notes Due 2038, downgraded to Caa1 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class H, $20,908,839, Floating Rate Notes Due 2038, downgraded to Caa2 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class I, $31,527,879, Fixed Rate Notes Due 2038, downgraded to Caa3 from Ba1; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class J, $17,224,988, Fixed Rate Notes Due 2038, downgraded to Caa3 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded Classes D, E, F, G, H, I and J due to deteriorating pool performance and revised modeling parameters. Moody's ratings are based on the current credit quality of the collateral and may not reflect potential migration as per the legal documentation. The pool contains a 5.9% concentration in CMBS collateral of which 100% was issued in 2007. The remaining collateral includes Whole Loans, Mezzanine Loans and B-Notes. Moody's expects the aggregate default rate on CMBS loans (1.59% as of March 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 21% from the peak reached in October 2007, are expected to decline an additional 5 to 15% 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 its 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 have 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. Moody's prior review is summarized in a press release dated May 27, 2008. CHAMPLAIN CLO: S&P Downgrades Ratings on Two Notes to 'B-' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class C-1 and C-2 notes issued by Champlain CLO Ltd., a collateralized loan obligation transaction backed by corporate loans and managed by Invesco Senior Secured Management Inc., to 'B-' from 'BBB'. S&P removed the lowered ratings from CreditWatch with negative implications. The transaction was originated in May 2004. The lowered ratings reflect an increase in defaults and deterioration in the credit quality of the underlying collateral in the portfolio since the transaction was issued in 2004. As of April 5, 2009, Standard & Poor's collateralized debt obligation assets database indicated that 7.35% ($32.13 million) of the assets in the underlying portfolio had ratings in the 'CCC' range, compared with 1.51% ($5.5 million) as of Sept. 5, 2004. In addition, over the same time period, the amount of defaulted assets increased to 6.57% ($26.2 million) from 0.60% ($2.2 million). The transaction has a structure that adds credit enhancement via a swap that provides coverage of principal losses, as well as credit enhancement through overcollateralization. The increase in defaults has affected both of these features thereby reducing the level of credit enhancement available to support the rated notes. Rating And Creditwatch Actions Champlain CLO Ltd. Rating ------ Class To From Current bal. (mil. $) ----- -- ---- --------------------- C-1 B- BBB/Watch Neg 24.400 C-2 B- BBB/Watch Neg 10.000 Ratings Affirmed Champlain CLO Ltd. Class Rating Current balance (mil. $) ----- ------ ------------------------ A-1 AAA 295.000 A-2 AAA 30.000 B A+ 10.700 Transaction Information ----------------------- Issuer: Champlain CLO Ltd. Co-issuer: Champlain CLO LLC Collateral manager: Invesco Senior Secured Management Inc. Underwriter: Wachovia Securities Inc. Indenture trustee: JPMorgan Chase Bank N.A CHARITABLE LEADERSHIP: Moody's Retains 'B3' Rating on 2002A Bonds ----------------------------------------------------------------- Moody's is maintaining the B3 rating of the debt of the Charitable Leadership Foundation (NY) on watchlist for possible downgrade. The Series 2002A bonds (Center for Medical Science Project) were issued through the Albany (NY) Industrial Development Agency. The rating remains on watchlist for possible downgrade pending Moody's review of the audited financial statements of Charitable Leadership Foundation and Center for Medical Science, Inc. Both organizations have 12/31/08 fiscal year ends, and Moody's expect the audits to be available in coming weeks. The Series 2002A bonds are expected to be repaid from lease payments made by various tenants leasing space in the bond- financed biomedical research facility located in the University Heights district of Albany. Approximately 55% of the space is leased by divisions of New York State government, including the Wadsworth Center, a large NY State department of health laboratory. The leases with the State are 10-year leases (expected to expire in 2013) and are subject to annual appropriation by the State. Approximately 45% of the research space is leased by Ordway Research Institute, a not-for-profit research organization created by Wadsworth Laboratory of the New York State Department of Health, Albany Medical Center and Charitable Leadership Foundation. ORI has continued to receive significant financial support from CLF for its operations since its inception (approximately $8 million of CLF funding in FY 2008). However, CLF management reports that it has not provided funding to ORI in recent months and that ORI is moving toward financial self- sufficiency. CMS's management reports that incoming lease payments are expected to adequately cover the next debt service payment on the Series 2002A bonds (scheduled for July 1, 2009) and that there is no expectation of tapping the debt service reserve fund near term. If lease payments do not adequately cover debt service requirements, Charitable Leadership Foundation ultimately provides a guaranty of debt service payments. The rating remains on watchlist reflecting Moody's concerns about the precipitous decline in CLF's levels of cash and publicly traded marketable securities and the resulting deterioration in the strength of the Foundation's guaranty agreement. As of 3/16/2009, CLF reported $401,800 of cash and marketable securities. LEGAL SECURITY: Payments under the Installment Sale Agreement are a general obligation of CMS and the Foundation; debt service reserve fund; mortgage lien on the leasehold interest in facility and a security interest in the equipment; pledge and assignment to the Trustee all right, title, and interest to all Leases. Although the expectation is that lease payments from building tenants will adequately cover debt service, the Foundation also entered into a Guaranty Agreement with the Trustee. Under this agreement, which is unconditional and remains in effect for the life of the bonds, the Foundation guarantees debt service on the bonds. Debt-Related Rate Derivatives: None Outlook The rating remains on watchlist for further downgrade and Moody's expect to conclude Moody's review in a 90 day period. Moody's will continue to focus on CLF's levels of liquid assets (including cash and publicly traded securities), the adequacy of lease payments to cover debt service, the financial health and independence of Ordway Research Institute, as well as the Foundation's ability to receive payments on loans receivable and generate income from private investments near term. What could change the rating-UP Significant growth of the Foundation's liquid reserves through the sale of private investments and collection of loans payable coupled with evidence that Ordway and other tenants can fully support lease and debt service payments on an ongoing basis without support from CLF. What could change the rating-DOWN Failure to successfully liquidate private investments in order to support ongoing grants and expenses; lease payments inadequately covering debt service Key Indicators For Charitable Leadership Foundation: * Total cash, cash equivalents, and publicly traded equity securities as of 3/16/09 (unaudited): $401,800 * Total cash, cash equivalents, and publicly traded equity securities as of 12/31/07 (audited): $15.4 million * Total Net Assets as of 12/31/07: $43.9 million, including $18.6 million of loans receivable, $2.2 million of notes receivable, and * $7.6 million of non-publicly traded investments * Total debt: $53.3 million as of 12/31/07 Rated Debt: * Series 2002A Civic Facility Revenue Bonds: B3 on watchlist for possible downgrade The rating on the Series 2002A bonds was assigned by evaluating factors believed to be relevant to the credit profile of Charitable Leadership Foundation such as 1) the business risk and competitive position of the issuer versus others within its industry or sector, ii) the capital structure and financial risk of the issuer, iii) the projected performance of the issuer over the near to intermediate term, iv) the issuer's history of achieving consistent operating performance and meeting budget or financial plan goals, v) the nature of the dedicated revenue stream pledged to the bonds, vi) the debt service coverage provided by such revenue stream, vii) the legal structure that documents the revenue stream and the source of payment, and vii) the issuer's management and governance structure related to payment. The last rating action was on December 15, 2008 when Charitable Leadership Foundation's rating was downgraded to B3 from Ba2 and placed on watchlist for possible downgrade. CHATHAM LIGHT: Moody's Reviews 'Ba2' Ratings on Two Classes ----------------------------------------------------------- Moody's Investors Service has placed under review for possible downgrade these notes issued by Chatham Light CLO, Limited: -- Class A-2 Floating Rate Senior Notes Due 2017, A2 Placed Under Review for Possible Downgrade; previously on December 28, 2008 Downgraded to A2; -- Class B Fixed Rate Deferrable Senior Subordinate Notes Due 2017, Baa2 Placed Under Review for Possible Downgrade; previously on December 28, 2008 Downgraded to Baa2; -- Class C-1 Floating Rate Deferrable Senior Subordinate Notes Due 2017, Ba2 Placed Under Review for Possible Downgrade; previously on December 28, 2008 Downgraded to Ba2; -- Class C-2 Floating Rate Deferrable Senior Subordinate Notes Due 2017, Ba2 Placed Under Review for Possible Downgrade; previously on December 28, 2008 Downgraded to Ba2. According to Moody's, the rating actions reflect the expected potential impact of applying certain revised assumptions with respect to default probability, the treatment of ratings on "review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. In its February 4, 2009 announcement, "Moody's updates key assumptions for rating CLOs," Moody's stated that it had increased its default probability assumptions for corporate credits in the collateral pools of CLOs by a factor of 30% across all rating categories. In addition, Moody's stated that assets with negative outlooks or that are on review for possible downgrade would be treated as if they had already been downgraded by one or two notches, respectively. At the same time, Moody's changed its calculation of the primary measure of industry and issuer diversification in CLOs (the Diversity Score) to increase the estimate of correlation in most pools of corporate credits. CHL MORTGAGE: Moody's Downgrades Ratings on 19 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 19 tranches from 2 Alt-A RMBS transactions issued by CHL. The collateral backing these transactions consists primarily of first- lien, adjustable-rate, Alt-A residential mortgage loans. These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Once expected losses have determined, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. List of actions: Issuer: CHL Mortgage Pass-Through Trust 2004-29 -- Cl. 1-A-2, Downgraded to Aa1; previously on 1/7/2005 Assigned Aaa -- Cl. I-M-1, Downgraded to A2; previously on 1/7/2005 Assigned Aa2 -- Cl. I-B-1, Downgraded to Baa3; previously on 1/7/2005 Assigned A2 -- Cl. I-B-2, Downgraded to Caa2; previously on 1/7/2005 Assigned Baa2 Issuer: CHL Mortgage Pass-Through Trust 2004-HYB5 -- Cl. 3-A-1, Downgraded to Baa1; previously on 9/3/2004 Assigned Aaa -- Cl. 3-A-2, Downgraded to Baa1; previously on 9/3/2004 Assigned Aa1 -- Cl. 4-A-1, Downgraded to Baa1; previously on 9/3/2004 Assigned Aaa -- Cl. 4-A-2, Downgraded to Baa1; previously on 9/3/2004 Assigned Aa1 -- Cl. 5-A-1, Downgraded to Baa1; previously on 9/3/2004 Assigned Aaa -- Cl. 6-A-1, Downgraded to Baa1; previously on 9/3/2004 Assigned Aaa -- Cl. 6-A-2, Downgraded to Baa1; previously on 9/3/2004 Assigned Aa1 -- Cl. 7-A-1, Downgraded to Baa1; previously on 9/3/2004 Assigned Aaa -- Cl. 8-A-1, Downgraded to Baa1; previously on 9/3/2004 Assigned Aaa -- Cl. 8-X, Downgraded to Baa1; previously on 9/3/2004 Assigned Aaa -- Cl. II-B-1, Downgraded to Ba2; previously on 9/3/2004 Assigned Aa2 -- Cl. II-B-2, Downgraded to Caa2; previously on 6/19/2008 Downgraded to A3 -- Cl. II-B-3, Downgraded to Ca; previously on 6/19/2008 Downgraded to Ba1 -- Cl. II-B-4, Downgraded to C; previously on 6/19/2008 Downgraded to Ba3 -- Cl. II-B-5, Downgraded to C; previously on 6/19/2008 Downgraded to Ca CITIGROUP COMMERCIAL: Moody's Affirms Ratings on 15 2004-C2 Notes ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 15 classes and downgraded three classes of Citigroup Commercial Mortgage Trust 2004-C2, Commercial Mortgage Pass-Through Certificates, Series 2004-C2. The downgrades are due to increased expected losses for the pool resulting from higher leverage and anticipated losses from specially serviced loans and concerns about near term refinancing risk of a portion of the pool. Four loans, representing 6% of the pool, mature within the next 12 months. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the March 17, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 5% to $977.7 million from $1.03 billion at securitization. The Certificates are collateralized by 105 loans ranging in size from less than 1% to 4% of the pool, with the top 10 loans representing 27% of the pool. Thirteen loans, representing 17% of the pool, have defeased and are collateralized with U.S. Government securities. Eighteen loans, representing 21% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the pool, resulting in a $57,000 realized loss. There are two loans, representing less than 1% of the pool, currently in special servicing. Moody's estimates an aggregate loss of $4 million for the specially serviced loans. Moody's was provided with partial and full-year 2008 operating results for 90% of the pool. Moody's weighted loan to value ratio is 100% compared to 95% at Moody's prior review in March 2007. In addition to an overall decline in credit quality, the pool has experienced increased LTV dispersion since last review. Approximately 50% of the pool has an LTV greater than 100% compared to 33% at last review and 18% of the pool has an LTV greater than 120% compared to 5% at last review. The top three non-defeased loans represent 12% of the outstanding pool balance. The largest loan is the River Plaza Shopping Center Loan ($41.5 million - 4.2%), which is secured by a 104,000 square foot anchored community retail center located in the Bronx, New York. The property was 100% occupied as of February 2009 compared to 95% at last review. The center is adjacent to Target and is anchored by Marshall's. Moody's LTV is 104% compared to 106% at last review. The second largest loan is the Nordahl Marketplace Loan ($39.2 million - 4.0%), which is secured by the borrower's interest in a 313,000 square foot retail center located in San Marcos, California. The property is shadow anchored by Costco and major tenants include Wal-Mart and Kohl's. The center was 99% occupied as of December 2008, the same as at last review. Moody's LTV is 96%, the same as at last review. The third largest loan is the California Office Portfolio ($33.0 million -- 3.4%), which is secured by three suburban office properties located in Orange County, California. The portfolio contains 256,000 square feet in eight buildings. The portfolio has experienced considerable lease rollover since securitization. Occupancy was 77% as January 2009 compared to 94% at last review. Moody's value reflects a stressed cash flow due to Moody's concerns about upcoming lease expirations. Moody's LTV is 104% compared to 100% at last review. Moody's rating action is: -- Class A-2, $108,195,229, affirmed at Aaa; previously affirmed at Aaa on 3/8/2007 -- Class A-3, $65,639,000, affirmed at Aaa; previously affirmed at Aaa on 3/8/2007 -- Class A-4, $32,298,000, affirmed at Aaa; previously affirmed at Aaa on 3/8/2007 -- Class A-5, $440,496,000, affirmed at Aaa; previously affirmed at Aaa on 3/8/2007 -- Class A-1A, $125,048,795, affirmed at Aaa; previously affirmed at Aaa on 3/8/2007 -- Class A-J, $45,084,000, affirmed at Aaa; previously affirmed at Aaa on 3/8/2007 -- Class XC, Notional, affirmed at Aaa; previously affirmed at Aaa on 3/8/2007 -- Class XP, Notional, affirmed at Aaa; previously affirmed at Aaa on 3/8/2007 -- Class B, $34,779,000, affirmed at Aa2; previously affirmed at Aa2 on 3/8/2007 -- Class C, $10,304,000, affirmed at Aa3; previously affirmed at Aa3 on 3/8/2007 -- Class D, $18,034,000, affirmed at A2; previously affirmed at A2 on 3/8/2007 -- Class E, $12,881,000, affirmed at A3; previously affirmed at A3 on 3/8/2007 -- Class F, $12,881,000, affirmed at Baa1; previously affirmed at Baa1 on 3/8/2007 -- Class G, $10,305,000, affirmed at Baa2; previously affirmed at Baa2 on 3/8/2007 -- Class H, $14,169,000, affirmed at Baa3; previously affirmed at Baa3 on 3/8/2007 -- Class J, $6,441,000, downgraded to Ba2 from Ba1; previously affirmed at Ba1 on 3/8/2007 -- Class K, $6,441,000, downgraded to B1 from Ba2; previously affirmed at Ba2 on 3/8/2007 -- Class L, $5,152,000, downgraded to B3 from Ba3; previously affirmed at Ba3 on 3/8/2007 CITIGROUP MORTGAGE: Moody's Downgrades Ratings on 54 Tranches ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 54 tranches from 4 Alt-A RMBS transactions issued by Citigroup Mortgage Loan Trust. The collateral backing these transactions consists primarily of first-lien, fixed and adjustable-rate, Alt-A residential mortgage loans. These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Once expected losses have been determined, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. List of actions: Citigroup Mortgage Loan Tr Series 2004-NCM1 -- Cl. IA-1, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. IA-2, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. IA-3, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. IIA-1, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. IIA-2, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. IIA-3, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. IIIA-1, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. IIIA-2, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. IV-A-1, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. PO-1, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. PO-2, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. PO-3, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. PO-4, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. XS-1, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. XS-2, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. XS-3, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. XS-4, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. B-1, Downgraded to Baa2; previously on 9/20/2004 Assigned Aa2 -- Cl. B-2, Downgraded to Ba3; previously on 9/20/2004 Assigned A2 -- Cl. B-3, Downgraded to Caa2; previously on 9/20/2004 Assigned Baa2 -- Cl. B-4, Downgraded to Caa3; previously on 9/20/2004 Assigned Ba2 -- Cl. B-5, Downgraded to Ca; previously on 9/20/2004 Assigned B2 Citigroup Mortgage Loan Tr Series 2004-NCM2 -- Cl. IA-CB1, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. IA-CB-2, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. IA-CB-3, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. IIA-CB-1, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. IIA-CB-2, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. IIA-CB-3, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. IIIA-CB-1, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. IIIA-CB-2, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. IVA-1, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. IVA-2, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. PO-1, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. PO-2, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. PO-3, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. PO-4, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. XS-1, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. XS-2, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. XS-3, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. XS-4, Downgraded to Aa2; previously on 2/14/2005 Assigned Aaa -- Cl. B-1, Downgraded to A2; previously on 2/14/2005 Assigned Aa2 -- Cl. B-2, Downgraded to Baa2; previously on 2/14/2005 Assigned A2 -- Cl. B-3, Downgraded to B1; previously on 2/14/2005 Assigned Baa2 -- Cl. B-4, Downgraded to Caa2; previously on 2/14/2005 Assigned Ba2 -- Cl. B-5, Downgraded to Ca; previously on 2/14/2005 Assigned B2 Citigroup Mortgage Loan Trust Series 2003-UP2 -- Cl. B-2, Downgraded to A3; previously on 8/13/2003 Assigned A2 -- Cl. B-3, Downgraded to Ba1; previously on 8/13/2003 Assigned Baa2 -- Cl. B-4, Downgraded to B3; previously on 8/13/2003 Assigned Ba2 -- Cl. B-5, Downgraded to Caa3; previously on 8/13/2003 Assigned B2 Citigroup Mortgage Loan Trust, Series 2005-1 -- Cl. III-A1, Downgraded to Baa2; previously on 6/20/2005 Assigned Aaa -- Cl. III-A2, Downgraded to Baa2; previously on 6/20/2005 Assigned Aaa -- Cl. III-PO, Downgraded to Baa2; previously on 6/20/2005 Assigned Aaa -- Cl. III-XS, Downgraded to Baa2; previously on 6/20/2005 Assigned Aaa -- Cl. III-B1, Downgraded to Ba1; previously on 6/20/2005 Assigned Aa2 CITY OF HOUSTON: Fitch Affirms 2001 Airport Revenue Bonds at 'B-' ----------------------------------------------------------------- Fitch Ratings affirms the 'B-' rating to the city of Houston, Texas's $323 million airport system special facilities revenue bonds (Continental Airlines Inc. Terminal E Project) series 2001. The Rating Outlook on the special facilities bonds is Stable. The series 2001 bonds are fixed-rate revenue bonds with a final maturity in 2029. The rating reflects the underlying financial strength of Continental Airlines, Inc. who currently has an Issuer Default Rating of 'B-'. The Continental Terminal E Project bonds financed the construction and development of Terminal E at George Bush Intercontinental Airport, which Continental uses as an international connection hub and Latin American gateway. Special facilities rent paid by Continental secures the Continental Terminal E Project bonds and bondholders have no access to liquidity or structural enhancements to avoid default if Continental fails to provide timely debt service payments. Terminal E opened in January 2005. Intercontinental serves as the primary commercial airport for the metropolitan area and Houston-based Continental operates its largest hub at the airport, accounting for 87% of enplaned passengers in fiscal 2008. Terminal E is a 600,000 square-foot facility with 23 gates that can handle both domestic and international passenger traffic. The terminal is an essential facility for Continental's growing international operations as Intercontinental's international traffic exceeded 4 million enplanements in 2008, rising by 23% since 2004. Even with deepening traffic declines and service cutbacks across the aviation industry, international traffic at Intercontinental grew by 3.1% over the course of calendar year 2008 while overall enplanements at this airport fell by 3% over the same period the prior year. The IDR for Continental reflects the airline's high lease-adjusted leverage, weak and volatile cash flow, as well as the airline industry's ongoing vulnerability to air travel demand and fuel price shocks. The Stable Outlook captures the fact that the dramatic pull-back in jet fuel prices since mid-summer of 2008 has put Continental in a position to deliver somewhat better free cash flow generation in 2009 even in a stressed demand environment. Factoring in significant pressure on passenger unit revenue comparisons through all of 2009, Continental is still in a position to maintain liquidity at or above current levels while meeting significant fixed financing obligations. Unrestricted cash balances, while pressured as a result of weak operating cash flow in 2008, remain adequate in light of the high degree of revenue uncertainty that Continental and its principal airline competitors face as they operate in a period of extreme macroeconomic stress and credit market tightness. Continental's cash obligations for 2009 are significant but manageable in comparison to March 31 unrestricted liquidity of $2.65 billion. Scheduled debt maturities for the remainder of 2009 total $442 million, and Continental now expects to make cash pension contributions of approximately $75 million over the rest of 2009. Given the maturity and pension funding profile for 2009, the need for incremental access to debt capital markets (beyond committed aircraft financing) appears limited. However, looking ahead to 2010 and 2011, heavy scheduled debt maturities will likely force Continental to access the credit markets if unrestricted cash balances are to be maintained above critical levels (in the $1.5 billion to $2 billion range). Scheduled debt maturities for 2010 total $770 million, and $1.1 billion in debt comes due in 2011. An easing of credit market tightness over the next few quarters therefore seems necessary if Continental is to avoid the need to push aircraft capital commitments out further beyond 2009. CITY OF NEW ORLEANS: Moody's Affirms 'Ba2' Rating on Sewer Debt --------------------------------------------------------------- Moody's Investors Service has affirmed the Ba2 rating and changed the outlook to stable from positive on the City of New Orleans' Sewerage and Water Board's water system affecting $40 million in outstanding revenue debt. Debt is secured by net revenues of the water system. The rating was lowered to Ba2 in November of 2005 following Hurricane Katrina. The confirmation of the Ba2 rating reflects debt service coverage that has been met solely by State aid as the net revenues of the system have been insufficient. The change in the outlook to stable from positive reflects Moody's belief that additional time is needed for the system's financial operations to become structurally balanced. The rating and outlook take into consideration measures being taken by the Board to increase revenues and contain expenditures. The rating also continues to incorporate the debt management by the Board of Liquidation which maintains reserves equal to annual debt service on behalf of the Board. Long Term Debt Issued Through Board Of Liquidation All long term debt issued by the S&W Board has been issued through the Board of Liquidation. Moody's believes the Board of Liquidation provides additional bondholder protection given its authority to raise rates and its autonomy as an independent Board. The S&W Board is mandated by statute to increase rates necessary to produce 1.30 times debt service coverage from net revenues. Should the S&W Board not implement such rates, the Board of Liquidation has the authority to compel it to do so. The S&W Board makes monthly transfers to the Board of Liquidation, in the amount of 1/12th of the annual debt service requirement, in order to fund the debt service account. The Board of Liquidation, on behalf of the sewerage and water board, maintains reserves able to meet an annual debt service requirement. Moody's notes that the reserves have not been utilized, even after the storm, as State assistance was available to meet debt service needs. Expenditures Continue To Exceed Revenues Although revenues of the system appear to be recovering, expenditures are exceeding thereby resulting in insufficient net revenues to meet debt service. After the devastation from Hurricane Katrina, management adopted a very conservative budget for fiscal 2006 assuming only 30% of prior year revenues would be collected. However, actual results were better than anticipated and the $33.8 million in water service charges exceeded the budget by 99%. Currently, revenues are equal to 70% of pre-storm levels but expenditures are 116% of pre-storm levels. Part of the increase in expenditures is the result of the system's booking of post-employment benefits of approximately $6 million. The customer count seems to stabilizing which should help with forecasting for future operations. Before the hurricane, sewer system customers totaled 140,502; however, the customer count has since fluctuated decreasing by 23% to a low of 108,697 in 2005 and increasing 14% to 124,027 in 2006. Officials report that the increase in 2006 was the result of several homeowners having two connections with one for the primary residence and the second for a temporary trailer. Customers decreased 8% in 2007 as trailers hookups were disconnected when homes became livable again. For 2008, the customer count of 114,513 was a 1% increase over 2007. Projections are that customer growth will increase approximately 1% annually for the next five years according to a study that was conducted by Black and Veatch in November of 2007. Substantial Federal And State Funding The Board has received significant funding from State and Federal sources in fiscal years 2005, 2006, 2007, and 2008. FEMA is reimbursing the Board for infrastructure improvements that are necessary as a result of storm damage. To-date, the Board has received approximately $184 million in reimbursements. The Board also received $61.9 million from the Federal Community Disaster Loan program and this entire amount has been drawn down since April of 2007. Moody's is waiting to see the results of proposed legislation which would allow the government to forgive this loan. Although the Board is prepared to repay the CDL loan, forgiveness of the loan would afford them some financial flexibility in the future. The State provided $73 million in Gulf Opportunity (GO) Zone funding to support debt service requirements for the water and sewer systems. The State has also established a $100 million revolving fund for the Board to use to get capital projects started; the Board has to spend money before filing for reimbursement by FEMA. Debt Service Not Covered Despite Significant Water Rate Increases Net revenues of the water system have not provided debt service coverage demonstrating insufficient revenues. Coverage from net revenues was negative 3.38 times in 2005, negative 1.48 times in 2006 and negative 4.88 times in 2007. These coverage levels reflect total debt service due despite the fact that CDL funding was used to help make debt service payments during those years; therefore, including the CDL funding annual debt service was covered. The annual debt service payment approximates $3.8 million annually. Management Tightening Expenditures; Challenges Remain For The Long-Term Management at the utility is has demonstrated some prudent fiscal practices. For example, interim financial statements and a three- month proforma are prepared and presented to the Board on a monthly basis. Officials are currently tightening expenditures with hiring freezes, eliminating discretionary spending, revising the take home vehicle policy and reducing overtime. Moody's believes management will continue to strive to achieve balanced operations between revenues and expenditures in the water system and this is reflected in the rating and stable outlook. Future rating reviews will incorporate year end financial results which could place either positive or negative pressure on the rating. Outlook The stable outlook reflects Moody's belief that rate increases and expenditure cuts could allow the water system to become balanced in the medium term. The last rating action on the City of New Orleans Water System was on December 28, 2007 when the Ba2 rating was affirmed and the outlook changed to positive from negative. CLARIS IV: DBRS Assigns 'BB' Rating to Series 34 Notes Class II-B ----------------------------------------------------------------- Dominion Bond Rating Service assigned ratings to the Class I Swaps and Class II Notes issued by Claris IV Limited - Series 34: -- $144 million Class I-A Swap, Series 34 at AA (low) -- $9 million Class I-B Swap, Series 34 at A (low) -- $17 million Class I-C Swap, Series 34 at BBB -- $7 million Class II-A Notes, Series 34 at BBB (low) -- $23 million Class II-B Notes, Series 34 at BB (low) The obligations are collateralized primarily by a portfolio of U.S. residential mortgage-backed securities. The ratings of the Class I-A Swaps, Class I-B Swaps and Class I-C Swaps only address the probability of these classes breaching their respective attachment points as defined in transaction documents at or prior to their maturity dates. The ratings of the Class II-A Notes and Class II-B Notes address the timely payments of interest and ultimate payments of principal at their maturity dates. The ratings reflect: (1) The integrity of the transaction structure. (2) DBRS's assessment of portfolio quality. (3) Adequate credit enhancement of the notes and swaps to withstand projected collateral loss rates under various cash flow stress scenarios. CLARIS IV: DBRS Assigns 'BB' Rating to Series 35 Notes Class II-B ----------------------------------------------------------------- DBRS has assigned ratings to the Class I Swaps and Class II Notes issued by Claris IV Limited - Series 35: -- $72.5 million Class I-A Swap, Series 35 at AA (low) -- $8.5 million Class I-B Swap, Series 35 at A (low) -- $15 million Class I-C Swap, Series 35 at BBB -- $8 million Class II-A Notes, Series 35 at BBB (low) -- $31 million Class II-B Notes, Series 35 at BB (low) The obligations are collateralized primarily by a portfolio of U.S. residential mortgage-backed securities. The ratings of the Class I-A Swaps, Class I-B Swaps and Class I-C Swaps only address the probability of these classes breaching their respective attachment points as defined in transaction documents at or prior to their maturity dates. The ratings of the Class II-A Notes and Class II-B Notes address the timely payments of interest and ultimate payments of principal at their maturity dates. The ratings reflect: (1) The integrity of the transaction structure. (2) DBRS's assessment of portfolio quality. (3) Adequate credit enhancement of the notes and swaps to withstand projected collateral loss rates under various cash flow stress scenarios. CLARIS IV: DBRS Assigns 'BB' Rating to Series 36 Notes Class II-B ----------------------------------------------------------------- Dominion Bond Rating Service assigned ratings to the Class I Swaps and Class II Notes issued by Claris IV Limited - Series 36: -- $215 million Class I-A Swap, Series 36 at AA (low) -- $22.5 million Class I-B Swap, Series 36 at A (low) -- $37.5 million Class I-C Swap, Series 36 at BBB -- $15 million Class II-A Notes, Series 36 at BBB (low) -- $40 million Class II-B Notes, Series 36 at BB (low) The obligations are collateralized primarily by a portfolio of U.S. residential mortgage-backed securities. The ratings of the Class I-A Swaps, Class I-B Swaps and Class I-C Swaps only address the probability of these classes breaching their respective attachment points as defined in transaction documents at or prior to their maturity dates. The ratings of the Class II-A Notes and Class II-B Notes address the timely payments of interest and ultimate payments of principal at their maturity dates. The ratings reflect: (1) The integrity of the transaction structure. (2) DBRS's assessment of portfolio quality. (3) Adequate credit enhancement of the notes and swaps to withstand projected collateral loss rates under various cash flow stress scenarios. COAST INVESTMENT: Moody's Downgrades Ratings on Five 2002-1 Notes ----------------------------------------------------------------- Moody's Investors Service downgraded ratings of five classes of notes issued by Coast Investment Grade 2002-1, Limited, and left on review for possible further downgrade the rating of two of these classes. The notes affected by the rating action are: -- $246,900,000 Class A Floating Rate Senior Secured Notes, Due 2017, Downgraded to Ba1 and Placed Under Review for Possible Downgrade; previously on 2/26/2009 Downgraded to A3 and Placed Under Review for Possible Downgrade -- $24,000,000 Class B Floating Rate Senior Secured Notes, Due 2017, Downgraded to Caa1 and Placed Under Review for Possible Downgrade; previously on 2/26/2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade -- $26,600,000 Class C-1 Floating Rate Senior Secured Notes, Due 2017, Downgraded to Ca; previously on 2/26/2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade -- $3,400,000 Class C-2 Fixed Rate Senior Secured Notes, Due 2017, Downgraded to Ca; previously on 2/26/2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade -- $6,800,000 Class D Fixed Rate Senior Secured Notes, Due 2017, Downgraded to C; previously on 2/26/2009 Downgraded to Caa3 and Placed Under Review for Possible Downgrade The rating downgrade actions reflect deterioration in the credit quality of the underlying portfolio, as well as the occurrence on April 1, 2009, as reported by the Trustee, of an event of default described in Section 5.1(d) of the Indenture dated May 2, 2002. Recent ratings downgrades on the underlying portfolio caused ratings-based haircuts to affect the calculation of overcollateralization. Thus, the Class A Overcollateralization Ratio failed to meet the required level, as required in Section 5.1(d) of the Indenture. As provided in Article V of the Indenture during the occurrence and continuance of an Event of Default, certain holders of Notes may be entitled to direct the Trustee to take particular actions with respect to the Collateral and the Notes. Because of this uncertainty, the ratings assigned to the Class A Notes and Class B Notes remain on review for possible further action. Coast Investment Grade 2002-2, Limited is a collateralized debt obligation backed primarily by a portfolio of collateralized debt obligations. 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 of certain tranches may be different, however, depending on the timing and outcome of a liquidation. In addition, Moody's explained that the rating actions listed reflect certain updates and projections and recent rating actions on underlying assets that consist primarily of CLOs. 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. 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. COMM 2004-LNB3: Moody's Downgrades Ratings on Seven Classes ----------------------------------------------------------- Moody's Investors Service downgraded the ratings of seven classes and affirmed 12 classes of COMM 2004-LNB3, Commercial Mortgage Pass-Through Certificates. The downgrades are due to higher expected losses for the pool resulting from higher leverage and realized and anticipated losses from specially serviced loans. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the March 10, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 11% to $1.19 billion from $1.33 billion at securitization. The Certificates are collateralized by 92 loans ranging in size from less than 1% to 11% of the pool, with the top 10 non-defeased loans representing 52% of the pool. The pool includes four loans, representing 27% of the pool, with investment grade underlying ratings. Fourteen loans, representing 22% of the current outstanding pool balance, have defeased and are collateralized by U.S. Government securities. Fifteen loans, representing 17% 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 trust, resulting in a $12.7 million loss. There is currently one loan, representing less than 1% of the pool, in special servicing. Moody's is estimating a $2.5 million loss from this loan. Moody's was provided with full-year 2007 and 2008 operating results for 95% and 55% of the conduit pool, respectively. Moody's loan to value ratio for the conduit component is 98% compared to 94% at Moody's prior full review in October 2008. The largest loan with an underlying rating is the Garden State Plaza Loan ($130.0 million -- 10.9%), which represents a 25% pari- passu interest in a first mortgage loan, that is secured by the borrower's interest in a 2.0 million square foot super-regional mall located in Paramus, New Jersey. The mall is anchored by Macy's, Nordstrom, J.C. Penney, Neiman Marcus and Lord & Taylor. The in-line space was 96% leased as of July 2008. In 2007, a 149,000 square foot expansion was completed consisting of a 99,000 square foot cinema complex and 35,000 square feet of new in-line mall shop space. The loan is interest only for its entire 10-year term. The loan sponsors are Westfield America Inc. and affiliates of Prudential Assurance Co. Ltd. Moody's current underlying rating is A1, the same as at last review. The second loan with an underlying rating is the 731 Lexington Avenue Loan ($113.4 million -- 9.5%), which represents a 40% pari- passu interest in a first mortgage loan. The loan is secured by a 694,000 square foot office condominium which is part of a 1.4 million square foot complex located in midtown Manhattan. The condominium is 100% leased to Bloomberg, LP through March 2028. The loan sponsor is Vornado Realty Trust. Moody's current underlying rating is A3, the same as at last review. The third loan with an underlying rating is the Tysons Corner Center Loan ($59.7 million -- 5.0%), which represents an 18% pari- passu interest in a first mortgage loan. The loan is secured by the borrower's interest in a 2.0 million square foot regional mall located in McLean, Virginia. The mall is anchored by Bloomingdales, Macy's, Nordstrom and Lord & Taylor. Performance has been stable. Moody's current underlying rating is Aaa, the same as at last review. The fourth loan with an underlying rating is the AFR Portfolio Loan ($13.1 million -- 1.1%), which represents a 6% pari-passu interest in a first mortgage loan. The loan is secured by 125 office, operation centers and retail bank branches located in 17 states. At securitization, the loan was secured by 152 properties totaling 7.7 million square feet, however eight properties have been released from the pool and 19 properties defeased. Due to property releases, defeasance, and loan amortization, the loan amount has decreased by approximately 34% since securitization. The loan sponsors are American Financial Realty Trust and First States Group LP. Moody's current underlying rating is A1, the same as at last review. At securitization, the DDR Portfolio Loan ($75.0 million -- 6.3%) had an investment grade underlying rating. The loan represents a 43% pari-passu interest in a first mortgage loan that is secured by a portfolio of 19 retail properties totaling 2.7 million square feet located in New York, Pennsylvania, Arizona, North Carolina and Tennessee. Since securitization, two properties have been released. Moody's value reflects a stressed cash flow because of Moody's concerns about retail tenant bankruptcies and the weak retail environment. In addition, Moody's is concerned about the borrower's ability to pay off the loan at maturity in June 2008. This loan no longer has an investment grade underlying rating. Moody's LTV is 77% compared to 72% at last review. The top three non-defeased conduit loans represent 11.4% of the pool. The largest conduit loan is the Centreville Square Loan ($58.6 million -- 4.9%), which is secured by a 312,000 square foot grocery store anchored retail center located in Centreville, Virginia. The center was 89% occupied as of December 2008 compared to 95% at last review. The increase in vacancy is due to Legacy Furniture vacating prior to its lease expiration. Moody's LTV is 91% compared to 90% at last review. The second largest conduit loan is the 3 Beaver Valley Loan ($39.9 million -- 3.3%), which is secured by a 263,000 square foot office building located in suburban Wilmington, Delaware. The property is 100% occupied by American International Insurance Company (senior unsecured rating of parent company, American International Group, A3 -- negative outlook) through January 2015. The lease expiration is coterminous with the loan maturity and therefore the property will be exposed to significant rollover risk at loan maturity. Moody's LTV is 93% compared to 90% at last review. The third largest conduit loan is the Stonegate Oklahoma Loan ($37.3 million -- 3.1%), which is secured by two suburban office buildings located in Birmingham, Alabama and Oklahoma City, Oklahoma. The two buildings total 476,000 square feet and are 100% occupied. The building in Birmingham (184,410 square feet) is 100% occupied by Vulcan Materials Company (senior unsecured rating Baa2 -- negative outlook). Vulcan was downgraded from A3 to Baa2 on November 13, 2008. Although the property performance has been stable since last review, Moody's value reflects a decline in tenant credit quality. Moody's LTV is 96% compared to 92% at last review. Moody's rating action is: -- Class A-2, $75,473,114, affirmed at Aaa; previously affirmed at Aaa on 10/29/2008 -- Class A-3, $104,606,000, affirmed at Aaa; previously affirmed at Aaa on 10/29/2008 -- Class A-4, $114,956,000, affirmed at Aaa; previously affirmed at Aaa on 10/29/2008 -- Class A-5, $502,796,000, affirmed at Aaa; previously affirmed at Aaa on 10/29/2008 -- Class A-1A, $203,527,085, affirmed at Aaa; previously affirmed at Aaa on 10/29/2008 -- Class X, Notional, affirmed at Aaa; previously affirmed at Aaa on 10/29/2008 -- Class B, $40,063,000, affirmed at Aaa; previously upgraded to Aaa from Aa2 on 10/29/2008 -- Class C, $16,692,000, affirmed at Aa2; previously upgraded to Aa2 from Aa3 on 10/29/2008 -- Class D, $28,378,000, affirmed at A2; previously affirmed at A2 on 10/29/2008 -- Class E, $25,039,000, affirmed at A3; previously affirmed at A3 on 10/29/2008 -- Class F, $15,023,000, affirmed at Baa1; previously affirmed at Baa1 on 10/29/2008 -- Class G, $13,354,000, affirmed at Baa2; previously affirmed at Baa2 on 10/29/2008 -- Class H, $11,685,000, downgraded to Ba1 from Baa3; previously affirmed at Baa3 on 10/29/2008 -- Class J, $11,685,000, downgraded to Ba3 from Ba1; previously affirmed at Ba1 on 10/29/2008 -- Class K, $6,677,000, downgraded to B1 from Ba2; previously affirmed at Ba2 on 10/29/2008 -- Class L, $3,339,000, downgraded to B3 from B1; previously downgraded to B1 from Ba3 on 10/29/2008 -- Class M, $5,008,000, downgraded to Caa1 from B2; previously downgraded to B2 from B1 on 10/29/2008 -- Class N, $5,007,000, downgraded to Caa3 from Caa1; previously downgraded to Caa1 from B2 on 10/29/08 -- Class O, $5,008,000, downgraded to Ca from Caa2; previously downgraded to Caa2 from B3 on 10/29/08 CORPORATE BACKED: S&P Downgrades Rating on $25 Mil. Certs. To 'D' ----------------------------------------------------------------- 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 to 'D' from 'C'. The rating action reflects the April 6, 2009, lowering of the rating on Ford Motor Co.'s 7.45% global landmark securities due July 16, 2031, to 'D' from 'C'. The rating on the certificates is dependent on the rating on Ford Motor Co.'s global landmark securities. CORPORATE BACKED: Moody's Cuts Ratings on Two Classes to 'Ba1' -------------------------------------------------------------- Moody's Investors Service downgraded its ratings of $55,000,000 7.00% Corporate Backed Callable Trust Certificates and $55,000,000 Notional Amount 0.625% I/O Certificates issued by Corporate Backed Callable Trust Certificates J.C. Penney Debenture-Backed Series 2007-1 Trust. The rating actions are: Corporate Backed Callable Trust Certificates J.C. Penney Debenture-Backed Series 2007-1 Trust -- $55,000,000 7.00% Corporate Backed Callable Trust Certificates Downgraded to Ba1; previously on 2/12/2009 Baa3 Placed Under Review for Possible Downgrade. -- $55,000,000 Notional Amount 0.625% I/O Certificates Downgraded to Ba1; previously on 2/12/2009 Baa3 Placed Under Review for Possible Downgrade. The transaction is a structured note whose ratings change with the rating of the Underlying Securities. The rating actions are a result of the change of the rating of J.C. Penney Corporation, Inc. 7.625% Debentures due March 1, 2097, which were downgraded to Ba1 from Baa3 on watch for downgrade on April 1, 2009. CORPORATE BACKED: Moody's Cuts Ratings on $27.5MM Notes to 'Ba1' ---------------------------------------------------------------- Moody's Investors Service downgraded its ratings of $27,500,000 7.00% Corporate Backed Callable Trust Certificates and $27,500,000 Notional Amount 0.625% I/O Certificates issued by Corporate Backed Callable Trust Certificates J.C. Penney Debenture-Backed Series 2006-1 Trust. The rating actions are: Corporate Backed Callable Trust Certificates J.C. Penney Debenture-Backed Series 2006-1 Trust -- $27,500,000 7.00% Corporate Backed Callable Trust Certificates Downgraded to Ba1; previously on 2/12/2009 Baa3 Placed Under Review for Possible Downgrade. -- $27,500,000 Notional Amount 0.625% I/O Certificates Downgraded to Downgraded to Ba1; previously on 2/12/2009 Baa3 Placed Under Review for Possible Downgrade. The transaction is a structured note whose ratings change with the rating of the Underlying Security. The rating actions are a result of the change of the rating of J.C. Penney Corporation, Inc. 7.625% Debentures due March 1, 2097, which was downgraded to Ba1 from Baa3 on watch for downgrade on April 1, 2009. CORPORATE BACKED: S&P Corrects Rating on $73.991 Mil. Certs. ------------------------------------------------------------ Standard & Poor's Ratings Services corrected its ratings on the Corporate Backed Trust Certificates American General Institutional Capital A Series 2002-17's $73.991 million class A-1 and A-2 certificates by affirming the 'B' rating on both classes and removing them from CreditWatch with negative implications, where they were placed on Sept. 22, 2008. The ratings on the CBTC certificates are dependent on the rating on American General Institutional's $500 million 7.57% capital securities series A ('B'). The rating actions follow the March 2, 2009, affirmation of the rating on American General Institutional's $500 million 7.57% capital securities series A, and its removal from CreditWatch negative. CORTS TRUST: S&P Downgrades Ratings on $219 Mil. Certs. To 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on CorTS Trust II For Ford Notes' $219 million series 2003-3 trust certificates to 'D' from 'C'. The rating action reflects the April 6, 2009, lowering of the rating on Ford Motor Co.'s 7.45% global landmark securities due July 16, 2031, to 'D' from 'C'. The rating on the trust certificates is dependent on the rating on Ford Motor Co.'s global landmark securities. CORTS TRUST: S&P Downgrades Rating on $300 Mil. Certs. To 'D' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on CorTS Trust For Ford Debentures' $300 million certificates to 'D' from 'C'. The rating action reflects the April 6, 2009, lowering of the rating on Ford Motor Co.'s 7.4% debentures due Nov. 1, 2046, to 'D' from 'C'. The rating on the certificates is dependent on the rating on Ford Motor Co.'s debentures. COUNTRYWIDE MORTGAGE: Moody's Downgrades Ratings on 49 Tranches --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 49 tranches from 6 Alt-A RMBS transactions issued by Countrywide. The collateral backing these transactions consists primarily of first-lien, fixed and adjustable-rate, Alt-A residential mortgage loans. These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Once expected losses have been determined, Moody's assesses available credit enhancement from subordination, over collateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. List of actions: Alternative Loan Trust 2002-12 -- Cl. B-2, Downgraded to Baa1; previously on 2/6/2006 Upgraded to A2 Alternative Loan Trust 2003-J11 -- Cl. 1-A-1, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa -- Cl. 1-A-2, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa -- Cl. 1-A-3, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa -- Cl. 1-A-4, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa -- Cl. 1-A-5, Downgraded to Aa1; previously on 9/26/2003 Assigned Aaa -- Cl. 1-A-6, Downgraded to Aa1; previously on 9/26/2003 Assigned Aaa -- Cl. 1-A-8, Downgraded to Aa1; previously on 9/26/2003 Assigned Aaa -- Cl. 2-A-1, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa -- Cl. 2-A-2, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa -- Cl. 2-A-3, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa -- Cl. 2-X, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa -- Cl. 3-A-1, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa -- Cl. 3-A-2, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa -- Cl. 3-A-3, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa -- Cl. 3-X, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa -- Cl. 4-A-1, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa -- Cl. 4-X, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa -- Cl. PO, Downgraded to Aa2; previously on 9/26/2003 Assigned Aaa Alternative Loan Trust 2004-2CB -- Cl. 1-A-1, Downgraded to Aa1; previously on 2/25/2004 Assigned Aaa -- Cl. 1-A-2, Downgraded to Aa2; previously on 2/25/2004 Assigned Aaa -- Cl. 1-A-3, Downgraded to Aa2; previously on 2/25/2004 Assigned Aaa -- Cl. 1-A-4, Downgraded to Aa2; previously on 2/25/2004 Assigned Aaa -- Cl. 1-A-5, Downgraded to Aa2; previously on 2/25/2004 Assigned Aaa -- Cl. 1-A-8, Downgraded to Aa2; previously on 2/25/2004 Assigned Aaa -- Cl. 1-A-9, Downgraded to Aa2; previously on 2/25/2004 Assigned Aaa -- Cl. 2-A-1, Downgraded to Aa2; previously on 2/25/2004 Assigned Aaa -- Cl. 3-A-1, Downgraded to Aa2; previously on 2/25/2004 Assigned Aaa -- Cl. 4-A-1, Downgraded to Aa2; previously on 2/25/2004 Assigned Aaa -- Cl. PO, Downgraded to Aa2; previously on 2/25/2004 Assigned Aaa Alternative Loan Trust 2004-4CB -- Cl. 1-A-1, Downgraded to Aa1; previously on 3/31/2004 Assigned Aaa -- Cl. 1-A-2, Downgraded to Aa1; previously on 3/31/2004 Assigned Aaa -- Cl. 1-A-3, Downgraded to Aa1; previously on 3/31/2004 Assigned Aaa -- Cl. 1-A-4, Downgraded to Aa1; previously on 3/31/2004 Assigned Aaa -- Cl. 1-A-5, Downgraded to Aa1; previously on 3/31/2004 Assigned Aaa -- Cl. 1-A-6, Downgraded to Aa1; previously on 3/31/2004 Assigned Aaa -- Cl. 2-A-1, Downgraded to Aa1; previously on 3/31/2004 Assigned Aaa -- Cl. 3-A-2, Downgraded to Aa1; previously on 3/31/2004 Assigned Aaa -- Cl. 3-A-3, Downgraded to Aa1; previously on 3/31/2004 Assigned Aaa -- Cl. 3-A-4, Downgraded to Aa1; previously on 3/31/2004 Assigned Aaa -- Cl. PO, Downgraded to Aa1; previously on 3/31/2004 Assigned Aaa Alternative Loan Trust 2004-5CB -- Cl. 1-A-1, Downgraded to A2; previously on 5/14/2004 Assigned Aaa -- Cl. 2-A-1, Downgraded to A2; previously on 5/14/2004 Assigned Aaa -- Cl. 3-A-1, Downgraded to A2; previously on 5/14/2004 Assigned Aaa -- Cl. PO, Downgraded to A2; previously on 5/14/2004 Assigned Aaa Alternative Loan Trust 2004-6CB -- Cl. A, Downgraded to Baa1; previously on 5/10/2004 Assigned Aaa -- Cl. M-1, Downgraded to Ba3; previously on 5/10/2004 Assigned Aa2 -- Cl. M-2, Downgraded to Caa3; previously on 10/1/2007 Downgraded to Baa3 -- Cl. M-3, Downgraded to Ca; previously on 10/1/2007 Downgraded to B3 CRAFT 2007-1: Moody's Reviews 'Ba2' Rating on Class E Notes ----------------------------------------------------------- Moody's Investors Service placed under review for possible downgrade these notes issued by CRAFT 2007-1, Ltd.: -- $20,000,000 Class D Deferrable Credit Linked Notes due 2017, Baa2 Placed Under Review for Possible Downgrade; previously on February 12, 2007 Assigned Baa2; -- $16,000,000 Class E Deferrable Credit Linked Notes due 2017, Ba2 Placed Under Review for Possible Downgrade; previously on February 12, 2007 Assigned Ba2. According to Moody's, the rating actions reflect the expected potential impact of applying certain revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. In its February 4, 2009 announcement, "Moody's updates key assumptions for rating CLOs," Moody's stated that it had increased its default probability assumptions for corporate credits in the collateral pools of CLOs by a factor of 30% across all rating categories. In addition, Moody's stated that assets with negative outlooks or that are on review for possible downgrade would be treated as if they had already been downgraded by one or two notches, respectively. At the same time, Moody's changed its calculation of the primary measure of industry and issuer diversification in CLOs (the Diversity Score) to increase the estimate of correlation in most pools of corporate credits. CRAFT CLO: Moody's Reviews 'Ba2' Rating on 2004-2 Notes ------------------------------------------------------- Moody's Investors Service placed under review for possible downgrade these notes issued by CRAFT CLO 2004-2, Ltd.: -- Class C, Ba2 Placed Under Review for Possible Downgrade; previously on July 22, 2004 Assigned Ba2. According to Moody's, the rating actions reflect the expected potential impact of applying certain revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. In its February 4, 2009 announcement, Moody's stated that it had increased its default probability assumptions for corporate credits in the collateral pools of CLOs by a factor of 30% across all rating categories. In addition, Moody's stated that assets with negative outlooks or that are on review for possible downgrade would be treated as if they had already been downgraded by one or two notches, respectively. At the same time, Moody's changed its calculation of the primary measure of industry and issuer diversification in CLOs (the Diversity Score) to increase the estimate of correlation in most pools of corporate credits. CREDIT SUISSE: Moody's Downgrades Ratings on Eight 2005-CND1 Notes ------------------------------------------------------------------ Moody's Investors Service downgraded eight pooled classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Pass-Through Certificates, Series 2005-CND1. The downgrades are due to interest shortfalls in the amount of $362,827 reflected in the March 16, 2009 remittance statement and the expected accumulation of additional interest shortfalls. The interest shortfalls, which affect all eight outstanding classes, are due to the special servicer's termination of advancing for interest and property protection on the Hotel 71 Loan. The Hotel 71 Loan (45% of the pool balance) became REO in July 2008 and recent attempts by the special servicer to sell the property have been unsuccessful. Moody's rating action is: - Class A-2, $77,488,045, downgraded to Ca from A1; previously downgraded to A1 from Aaa on 3/11/2009 - Class A-X-1, Notional, downgraded to Ca from A1; previously downgraded to A1 from Aaa on 3/11/2009 - Class AX-3, Notional, downgraded to Ca from A1; previously downgraded to A1 from Aaa on 3/11/2009 - Class A-Y, Notional, downgraded to Ca from A1; previously downgraded to A1 from Aaa on 3/11/2009 - Class B, $16,000,000, downgraded to C from Baa1; previously downgraded to Baa1 from Aa3 on 3/11/2009 - Class C, $15,000,000, downgraded to C from Ba2; previously downgraded to Ba2 from Baa1 on 3/11/2009 - Class D, $22,000,000, downgraded to C from Caa2; previously downgraded to Caa2 from Ba1 on 3/11/2009 - Class E, $4,825,229, downgraded to C from Ca; previously downgraded to Ca from Ba2 on 3/11/2009 DIVERSIFIED ASSET: Fitch Cuts Ratings on $30 Mil. Notes to 'CC' --------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed one class of notes issued by Diversified Asset Securitization Holdings III, L.P/Corp.: -- $65,206,387 class A-1L notes downgraded to 'BBB' from 'AA', Outlook Negative; -- $21,229,987 class A-2 notes downgraded to 'BBB' from 'AA', Outlook Negative; -- $30,000,000 class A-3L notes downgraded to 'CC' from 'CCC' DR3; -- $25,177,210 class B-1L notes affirmed at 'C'. Additionally, Fitch has removed classes A-1L and A-2 from Rating Watch Negative, and has removed the Distressed Recovery ratings from classes A-3L and B-1L. The class A-1L and class A-2 notes were assigned Negative Outlooks 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. Fitch does not assign Rating Outlooks to classes rated 'CCC' or below. These rating actions are a result of negative credit migration in the underlying portfolio and incorporate Fitch's recently adjusted default and recovery rate assumptions for analyzing structured finance collateralized debt obligations. The credit quality of the portfolio has deteriorated since the last review in August 2007. The Fitch weighted average rating factor has decreased to the 'B/B-' category from the 'BBB+/BBB' category at last review. Approximately 43.3% of the portfolio is rated below investment grade and 36.9% of the portfolio is rated 'CCC' and lower. The class A-1L and A-2 notes pay pro-rata except for principal distributions during normal amortization. All principal proceeds along with remaining interest proceeds after the class A-3L interest is paid are being used to pay down the class A-1L and class A-2 notes due to the failure of the class A overcollateralization test with a ratio of 88.8%, falling short of its covenant of 105.0%. The class A-1L and A-2 notes have paid off 69.7% since closing and 32.6% since the last review. The class A-3 notes are downgraded to 'CC' as they continue to receive interest payments but any principal repayment is not anticipated. The class B-1L notes are downgraded to 'C' as they are deferring interest and Fitch does not expect future interest or principal payments to be made to the notes. DASH III is a CDO that closed June 28, 2001. The portfolio was originally selected by Asset Allocation & Management, LLC and management changed in October 2002 to TCW Asset Management Co. The reinvestment period ended in June 2005 and TCW continues to monitor the portfolio. The portfolio is primarily comprised of commercial mortgage-backed securities (29.5%), subprime RMBS (21.4%), commercial asset backed securities (19.1%), prime RMBS (14.1%), manufactured housing RMBS (13.2%), and real-estate investment trusts (2.7%). The rating actions resolve the 'Under Analysis' status issued on Oct. 14, 2008, following Fitch's announcement of its proposed criteria revision for analyzing structured finance 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. -- $26.7 million class C 'AAA'; Rating Watch Negative; -- $8.9 million class D 'AAA'; Rating Watch Negative; -- $20.7 million class E 'AA'; Rating Watch Negative; -- $7.4 million class F 'BBB'; Rating Watch Negative. Fitch also affirms and assigns Rating Outlooks to these classes: -- $216.9 million class A-2 at 'AAA'; Outlook Stable; -- Interest only class IO at 'AAA'; Outlook Stable. Additionally, Fitch affirms these classes: -- $23.7 million class G at 'CC/RR3; -- $20.7 million class H at 'C/RR6'. The long-term rating of the $2.4 million class J has been lowered to 'D/RR6' due to already incurred realized losses. Class K has been reduced to zero due to realized losses, and class A-1 has paid in full. 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. The Rating Watch Negative placements are due to future anticipated interest shortfalls on classes B through F. The master servicer has declared previous advances on a specially serviced loan non- recoverable. It is anticipated that these advances will be recouped from the trust in June 2009 and will impact classes B through F. The Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. The advances deemed non-recoverable were due to a specially serviced loan (1.7%) where the asset was disposed after the loan became real estate-owned. There has been ongoing litigation between the trust and the former borrower due to the borrower's bankruptcy filing and a dispute regarding the asset's sale proceeds. A favorable settlement to the trust has been reached; however, the timing and the amount of proceeds that will be applied to the trust are unknown at this time. The master servicer is electing to recoup the advances before the majority of loans in the trust mature in 2009. Currently, there are two other assets (8.3%) in special servicing. The largest asset is an office building (4.2%) in Dallas, TX, that lost its sole tenant. As of January 2009, the building was 11% occupied. The debt service payments are currently being made by reserves. The next largest specially serviced asset has been real-estate owned since 2005 and is listed for sale. he property is an office building (4.1%) in Irving, TX, that is currently 60% occupied. As of the March 2009 distribution date, the transaction balance has been reduced by 39.2% to $360.0 million from $592.5 million at issuance. In total, 23 loans (31%) have defeased, including three (11.6%) of the top 10 loans in the pool. DLJ COMMERCIAL: Fitch Downgrades Ratings on 2000-CF1 Certificates ----------------------------------------------------------------- Fitch Ratings downgrades and assigns Rating Outlooks to DLJ Commercial Mortgage Corp.'s commercial mortgage pass-through certificates, series 2000-CF1: -- $8.9 million class B-7 to 'B-' from 'B+'; Outlook Negative; -- $8.9 million class B-8 to 'CCC/RR3' from 'B-'. Fitch also affirms and assigns Rating Outlooks: -- $509.1 million class A-1B at 'AAA'; Outlook Stable; -- Interest-only class S at 'AAA'; Outlook Stable; -- $44.3 million class A-2 at 'AAA'; Outlook Stable; -- $37.7 million class A-3 at 'AAA'; Outlook Stable; -- $13.3 million class A-4 at 'AAA'; Outlook Stable; -- $31 million class B-1 at 'AAA'; Outlook Stable; -- $11.1 million class B-2 at 'AAA'; Outlook Stable; -- $31 million class B-3 at 'A'; Outlook Stable; -- $8.9 million class B-4 at 'BBB+'; Outlook Negative; -- $2.2 million class B-5 at 'BBB'; Outlook Negative; -- $6.6 million class B-6 at 'BBB-'; Outlook Negative. Class A-1A has paid in full. Fitch does not rate the $4.7 million class C certificates. Class D has been reduced to zero due to realized losses. The downgrades are the result of Fitch's loss expectations on four of the six loans (3.1%) transferred to special servicing since the prior review. 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 pool's aggregate certificate balance has decreased 19% to $717.6 million from $886.2 million at issuance. Forty-seven loans (54.8%) have defeased. There are currently 17 Fitch Loans of Concern (9%), including the six loans in special servicing. The largest specially serviced loan (1.1%) is a hotel property in Clinton, NJ. The loan is 60 days delinquent. The servicer-reported debt service coverage ratio and occupancy as of September 2008 were -0.30 times (x) and 48%, respectively. The borrower has indicated that they do not have sufficient income to operate the property. The second largest specially loan (0.6%) is a multifamily property in Colorado Springs, CO. The loan, which is current, was transferred to the special servicer in February 2009 for imminent default. The special servicer has reported that cash flow and occupancy have decreased. The fourth largest specially serviced loan (0.3%) has the same sponsor and was transferred in February 2009 as well. Of the non-defeased loans, approximately 36% have a maturity or anticipated repayment dates in the next 12 months. The weighted average debt service coverage ratio and interest rate for these loans were 1.2x and 8.5%, respectively. DRYDEN VI-LEVERAGED: Moody's Reviews Ratings on Various 2004 Notes ------------------------------------------------------------------ Moody's Investors Service has placed under review for possible downgrade these notes issued by Dryden VI-Leveraged Loan CDO 2004 Inc.: -- A-2 Floating Rate Senior Notes Due 2016, A2 Placed Under Review for Possible Downgrade; previously on December 17, 2008 Downgraded to A2; -- B-1 Floating Rate Deferrable Senior Subordinate Notes Due 2016, Baa1 Placed Under Review for Possible Downgrade; previously on December 17, 2008 Downgraded to Baa1; -- B-2 Fixed Rate Deferrable Senior Subordinate Notes Due 2016, Baa1 Placed Under Review for Possible Downgrade; previously on December 17, 2008 Downgraded to Baa1; -- C-1 Floating Rate Deferrable Senior Subordinate Notes Due 2016, Ba1 Placed Under Review for Possible Downgrade; previously on December 17, 2008 Downgraded to Ba1; -- C-2 Fixed Rate Deferrable Senior Subordinate Notes Due 2016, Ba1 Placed Under Review for Possible Downgrade; previously on December 17, 2008 Downgraded to Ba1; -- Q-1 Securities Due 2016, Baa1 Placed Under Review for Possible Downgrade; previously on December 17, 2008 Downgraded to Baa1; -- Q-2 Securities Due 2016, Ba2 Placed Under Review for Possible Downgrade; previously on December 17, 2008 Downgraded to Ba2. According to Moody's, the rating actions reflect the expected potential impact of applying certain revised assumptions with respect to default probability, the treatment of ratings on "review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. In its February 4, 2009 announcement, "Moody's updates key assumptions for rating CLOs," Moody's stated that it had increased its default probability assumptions for corporate credits in the collateral pools of CLOs by a factor of 30% across all rating categories. In addition, Moody's stated that assets with negative outlooks or that are on review for possible downgrade would be treated as if they had already been downgraded by one or two notches, respectively. At the same time, Moody's changed its calculation of the primary measure of industry and issuer diversification in CLOs (the Diversity Score) to increase the estimate of correlation in most pools of corporate credits. EATON VANCE: Moody's Takes Rating Actions on Medium Term Notes -------------------------------------------------------------- Moody's Investors Service has taken these negative rating actions on the medium term notes issued by Eaton Vance Variable Leverage Fund Ltd.: Medium-Term Notes Program (US$ 26,012,801 currently outstanding) -- Current Long-Term Rating: Ca -- Prior Long-Term Rating: Caa3, on review for downgrade -- Prior Rating Date: October 17, 2008 EVVLF is a structured investment vehicle that invested primarily in the leveraged bank loan market where the obligors are typically corporations with non-investment grade ratings. EVVLF is managed by Eaton Vance Management. EVVLF has been in Enforcement since October 14, 2008, at which time it had $456 million in outstanding MTNs. EVVLF has been liquidating its portfolio and using the proceeds to pay its outstanding debt, of which approximately $430 million has been paid down. EVVLF expects to make a final distribution within a week in the approximate amount of $16 million, but this is less than the $26 million owed and will result in a nearly 40% loss to the remaining MTNs. Moody's further explained that the Ca rating is consistent with this known loss to the remaining MTNs. The ratings of the Capital Notes (US$ 209,000,000 currently outstanding) remain C. No recoveries are expected for the Capital Notes. FIRST FRANKLIN: Moody's Downgrades Ratings on 2006-FF12 Tranches+ ---------------------------------------------------------------- Moody's Investors Service has downgraded and confirmed the ratings of certain tranches from First Franklin Mortgage Loan Trust 2006- FF12. These actions are a correction to rating actions announced on March 19th where certain specific features of the First Franklin 2006-FF12 were not fully accounted for. In the previous release the two ratings now being confirmed had been erroneously downgraded. The two ratings being downgraded had previously been erroneously downgraded to different ratings. The corrected rating actions are: First Franklin Mortgage Loan Trust 2006-FF12 -- Cl. A2, Confirmed at Aaa; previously on 3/19/2009 erroneously Downgraded to Aa2 -- Cl. A3, Confirmed at Aaa; previously on 3/19/2009 erroneously Downgraded to Ba3 -- Cl. A4, Downgraded to Baa2; previously on 3/19/2009 erroneously Downgraded to Caa2 -- Cl. A5, Downgraded to Ca; previously on 3/19/2009 erroneously Downgraded to Caa3 The updated press release is: Moody's Investors Service has downgraded 275 ratings and confirmed 45 ratings from 39 First Franklin subprime residential mortgage- backed securities transactions. The collateral backing these transactions consists primarily of first-lien, fixed- and adjustable-rate, subprime residential mortgage loans. The actions are triggered by a combination of factors that can include increased delinquencies, higher loss severities, slower prepayments and mounting losses in the underlying collateral. Additionally, the continued deterioration of the housing market has also contributed to the increased loss expectations for subprime pools. The actions reflect Moody's updated loss projections for the subprime RMBS sector first announced in a press release on February 29, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on collateral performance and updated pool-level loss expectations relative to current levels of tranche-specific credit enhancement. Moody's took into account credit enhancement provided by subordination, cross- collateralization, excess spread, time tranching, and other structural features. Moody's approach to analyzing more seasoned pools (prior to the 2nd half of 2005) takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses annualized roll rates of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO, respectively. Moody's then applies deal- specific severity assumptions to arrive at projected losses. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Complete rating actions are: First Franklin Mortgage Loan Trust 2005-FF1 -- Cl. A-1A, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-1B, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa1; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C; previously on 2/26/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C; previously on 2/26/2009 B3 Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2005-FF11 -- Cl. A-1, Downgraded to Aa3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Aa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to A2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B1; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2; previously on 2/26/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2005-FF12 -- Cl. A-1, Downgraded to Aa3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Baa1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Baa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba3; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2005-FF2 -- Cl. A-1, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Aa3; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to A3; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Baa2; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ba3; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to B3; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Caa3; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2005-FF3 -- Cl. A3, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A4, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M1, Confirmed at Aa1; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Aa3; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Baa1; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to Ba2; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to B3; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to Caa3; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. M7, Downgraded to Ca; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. M8, Downgraded to Ca; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. M9, Downgraded to C; previously on 2/26/2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2005-FF4 -- Cl. I-A1, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A4, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A1; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1; previously on 2/26/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B1; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa2; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C; previously on 2/26/2009 B3 Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2005-FF6 -- Cl. A-1A, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-1B, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2B, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Confirmed at Aa1; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to A1; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to A2; previously on 2/26/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ba2; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to B1; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to B3; previously on 2/26/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2005-FF7 -- Cl. A-1, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A1; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Baa1; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ba2; previously on 2/26/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to B1; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa2; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C; previously on 2/26/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2005-FF8 -- Cl. A-1, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to A1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B1; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2; previously on 2/26/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C; previously on 4/21/2008 Downgraded to B2 and Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2005-FFH1 -- Cl. A-1A, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-1B, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A3; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba3; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca; previously on 2/26/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on 2/26/2009 B3 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2005-FFH2 -- Cl. A3, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to A1; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to B1; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Caa2; previously on 2/26/2009 A3 Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to C; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2005-FFH3 -- Cl. I-A1, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A2, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A3, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa1; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba2; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B1; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa2; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on 2/26/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2005-FFH4 -- Cl. I-A1, Downgraded to Aa1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A3, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A4, Downgraded to Aa1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa2; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B1; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on 2/26/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on 2/26/2009 Caa1 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF1 -- Cl. I-A, Downgraded to A2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Ba1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Ba2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B2; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 2/26/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on 2/26/2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF10 -- Cl. A1, Downgraded to B3; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A2, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A3, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Ba2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to Caa2; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A6, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A7, Downgraded to Ba2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF11 -- Cl. I-A-1, Downgraded to B1; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Caa3; previously on 2/26/2009 A3 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Ba3; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Caa2; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Caa3; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF12 -- Cl. A1, Downgraded to B3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A2, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A3, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Baa2; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to Ca; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on 2/26/2009 B1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF13 -- Cl. A-1, Downgraded to B3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2A, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ba3; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Caa2; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Caa3; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 2/26/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF14 -- Cl. A1, Downgraded to B3; previously on 2/26/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A2, Confirmed at Aa1; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A3, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A4, Confirmed at Aa2; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to B3; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. A6, Downgraded to Ca; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF15 -- Cl. A1, Downgraded to Caa1; previously on 2/26/2009 A3 Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to B2; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A3, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to A1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to B3; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A6, Downgraded to C; previously on 2/26/2009 B1 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on 2/26/2009 Caa3 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF16 -- Cl. I-A1, Downgraded to Caa1; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. II-A1, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A2, Downgraded to B3; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. II-A3, Downgraded to Caa3; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. II-A4, Downgraded to Caa3; previously on 2/26/2009 B3 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF17 -- Cl. A1, Downgraded to B3; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to Caa2; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A3, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to A1; previously on 2/26/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to Caa1; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. A6, Downgraded to C; previously on 2/26/2009 B3 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF18 -- Cl. A-1, Downgraded to Caa2; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Aa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Caa2; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Caa3; previously on 2/26/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Caa3; previously on 2/26/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF3 -- Cl. A-1, Downgraded to Ba1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ba3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to B1; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa2; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 2/26/2009 B1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF4 -- Cl. A-2, Downgraded to B1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B2; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 2/26/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF5 -- Cl. I-A, Downgraded to B1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to B1; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to B2; previously on 2/26/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to B1; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-IO, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa2; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 2/26/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 2/26/2009 B3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF6 -- Cl. A-2, Downgraded to A2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B2; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF7 -- Cl. I-A, Downgraded to B2; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to A2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to B3; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Caa2; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-IO, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF8 -- Cl. I-A-1, Downgraded to Ba1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Baa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Ba3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to B1; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa2; previously on 2/26/2009 A3 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FF9 -- Cl. I-A, Downgraded to B2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Baa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Caa2; previously on 2/26/2009 A3 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Ca; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-IO, Confirmed at Aaa; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 2/26/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2006-FFH1 -- Cl. A-3, Downgraded to A3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Baa1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B1; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on 2/26/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on 2/26/2009 B3 Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2007-FF1 -- Cl. A-1, Downgraded to Caa2; previously on 2/26/2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Baa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Caa3; previously on 2/26/2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on 2/26/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Ca; previously on 2/26/2009 B1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade First Franklin Mortgage Loan Trust 2007-FF2 -- Cl. A-1, Downgraded to Caa3; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to B3; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Caa3; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on 2/26/2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Ca; previously on 2/26/2009 Caa1 Placed Under Review for Possible Downgrade Merrill Lynch First Frank Mtge Ln Tr 2007-H1 -- Cl. 1-A1, Downgraded to B1; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Ca; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to C; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Caa2; previously on 2/26/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Ca; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A3A, Downgraded to Ca; previously on 2/26/2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A3B, Downgraded to Ca; previously on 2/26/2009 B3 Placed Under Review for Possible Downgrade -- Cl. X-A, Downgraded to B1; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade Merrill Lynch First Frank Mtge Loan Tr 2007-1 -- Cl. A-1, Downgraded to Caa2; previously on 2/26/2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Ba3; previously on 2/26/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Caa3; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on 2/26/2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Ca; previously on 2/26/2009 Caa1 Placed Under Review for Possible Downgrade Merrill Lynch First Frank Mtge Loan Tr 2007-2 -- Cl. A-1, Downgraded to Caa2; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Baa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Caa2; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on 2/26/2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Ca; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 2/26/2009 Ca Placed Under Review for Possible Downgrade Merrill Lynch First Frank Mtge Loan Tr 2007-3 -- Cl. A-1A, Downgraded to B3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to Caa1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-1C, Downgraded to Caa3; previously on 2/26/2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-1D, Downgraded to Caa3; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to A2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Caa2; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Caa3; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Caa3; previously on 2/26/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-1-1, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. M-1-2, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade Merrill Lynch First Frank Mtge Loan Tr 2007-4 -- Cl. 1-A, Downgraded to Caa2; previously on 2/26/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Ba3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Caa3; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to Ca; previously on 2/26/2009 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A4, Downgraded to Ca; previously on 2/26/2009 B3 Placed Under Review for Possible Downgrade Merrill Lynch First Frank Mtge Loan Tr 2007-5 -- Cl. 1-A, Downgraded to B3; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Aa2; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Caa1; previously on 2/26/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to Caa2; previously on 2/26/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on 2/26/2009 A1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on 2/26/2009 A3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 2/26/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on 2/26/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on 2/26/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on 2/26/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C; previously on 8/20/2008 Downgraded to B1 and Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C; previously on 2/26/2009 Caa2 Placed Under Review for Possible Downgrade FLATIRON RE: S&P Withdraws 'BB+' Rating on $256 Mil. Facility ------------------------------------------------------------- Standard & Poor's Ratings Services said it withdrew its 'BB+' bank loan rating on Flatiron Re Ltd.'s $256 million credit facility. The withdrawal follows the full repayment of outstanding amounts under this facility. At the same time, Standard & Poor's withdrew its 'BBB-' counterparty credit rating on Flatiron at the company's request. FMC REAL: Moody's Confirms Ratings on Three 2005-1 Notes -------------------------------------------------------- Moody's Investors Service confirmed the ratings of three classes and downgraded the ratings of six classes of Notes issued by FMC Real Estate CDO 2005-1, LTD. The rating actions are: -- Class A-1, $131,825,000, Floating Rate Notes Due 2045, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $43,941,000, Floating Rate Notes Due 2045, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $43,941,000, Floating Rate Notes Due 2045, confirmed at Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $49,434,000, Floating Rate Notes Due 2045, downgraded to A3 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $34,055,000, Floating Rate Notes Due 2045, downgraded to Ba1 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $13,182,000, Floating Rate Notes Due 2045, downgraded to Ba2 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $21,970,000, Floating Rate Notes Due 2045, downgraded to Ba3 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $35,153,000, Fixed Rate Notes Due 2045, downgraded to B2 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class H, $12,084,000, Fixed Rate Notes Due 2045, downgraded to Caa1 from B2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's confirmed Classes A-1, A-2, and B and downgraded Classes C, D, E, F, G, and H due to deteriorating pool performance and revised modeling parameters. Moody's ratings are based on the current credit quality of the collateral and may not reflect potential migration as per the legal documentation. Moody's expects the aggregate default rate on CMBS loans (1.59% as of March 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 21% from the peak reached in October 2007, are expected to decline an additional 5% to 15% 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 its 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 have 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 full review since securitization. Moody's review at securitization is summarized in a Pre-Sale Report dated June 13, 2005. GE CAPITAL: Fitch Downgrades Ratings on Two 2001-2 Certificates --------------------------------------------------------------- Fitch Ratings downgrades two classes of GE Capital Corp.'s commercial mortgage pass-through certificates, series 2001-2 and assigns Rating Outlooks: -- $7.5 million class K to 'BB-' from 'BB+'; Outlook Negative; -$12.5 million class L to 'CCC/RR1' from 'B'. Additionally, Fitch affirms the ratings and assigns Rating Outlooks to these classes: -- $11.6 million class A-2 at 'AAA'; Outlook Stable; -- $35.5 million class A-3 at 'AAA'; Outlook Stable; -- $519.5 million class A-4 at 'AAA'; Outlook Stable; -- $40.1 million class B at 'AAA'; Outlook Stable; -- $45.1 million class C at 'AAA'; Outlook Stable; -- Interest-only classes X-1 and X-2 at 'AAA'; Outlook Stable; -- $12.5 million class D at 'AAA'; Outlook Stable; -- $10 million class E at 'AAA'; Outlook Stable; -- $18.8 million class F at 'AA+'. Outlook Stable; -- $11.3 million class G at 'AA-'; Outlook Stable; -- $21.3 million class H at 'A-'; Outlook Stable; -- $18.8 million class I at 'BBB'; Outlook Negative; -- $5 million class J at 'BBB-'; Outlook Negative. Fitch does not rate the $7.5 million class M and the $5.7 million class N. Class A-1 has been paid in full. The downgrades are due to the expected losses from two loans (2%) which transferred to special servicing since Fitch's last rating action. The loans are secured by apartment complexes in Atlanta, GA and share a common sponsor. The properties have experienced a decline in performance due to the economic downturn. The special servicer is pursuing foreclosure. Fitch is also concerned about an additional loan (0.7%) in the pool with the same sponsor and considers it possible that this additional loan will transfer to special servicing as well. As of the March 2009 distribution date, the pool's aggregate certificate balance has decreased 23.7% to $765.7 million from $1,002.9 million at issuance. In total, 29 loans (27%) have defeased. Two non-defeased loans (2.3%) mature in 2010 and the majority of the remaining non-defeased loans (63.5%) mature in 2011. There is one shadow rated loan in the pool which is also the pool's largest loan (5.5%). It is secured by Holiday Inn West 57th Street, a 596-room full service hotel located in New York, NY. As of year-end 2007, the most recent data available, Occupancy, RevPAR and ADR were 89.2%, $205.99 and $183.74, respectively. The loan retains its investment grade shadow rating. Fitch has identified 11 loans (10.13%) as Fitch Loans of Concern inclusive of the specially serviced loans. The largest Fitch Loan of Concern (1.9%) is secured by an apartment complex in Athens, GA which is suffering from a decline in occupancy and increased expenses. The second largest Loan of Concern (1.37%) is secured by an office property located in Santa Monica, CA which is 79.3% occupied and has been struggling with a decline in occupancy since 2006. The remaining Loans of Concern generally have experienced declines in performance or have sponsorship issues. These concerns are reflected in the Negative Outlooks. GE COMMERCIAL: Moody's Affirms Ratings on 13 2005-C4 Classes ------------------------------------------------------------ Moody's Investors Service affirmed the ratings of 13 classes and downgraded 12 classes of GE Commercial Mortgage Corporation, Commercial Mortgage Pass-Through Certificates, Series 2005-C4. The downgrades are due to higher expected losses for the pool resulting from higher leverage, increased dispersion and realized and anticipated losses from specially serviced loans. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the April 11, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 3% to $2.34 billion from $2.40 billion at securitization. The Certificates are collateralized by 165 loans, ranging in size from less than 1% to 5% of the pool, with the top 10 loans representing 35% of the pool. At securitization the pool included two loans with investment grade underlying ratings. However, the largest loan, the DDR/Macquarie Mervyn's Portfolio, is currently in special servicing and it no longer has an underlying rating. The remaining loan with an underlying rating represents 0.7% of the pool. Fourteen loans, representing 10% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the trust, resulting in a $3.9 million loss. Currently there are six loans, representing 6% of the pool, in special servicing. The largest specially serviced loan is the DDR/Macquarie Meryvyn's Portfolio Loan ($106.3 million -- 4.6%), which represents a pari-passu interest in a $237.5 million first mortgage loan. At securitization, the loan was secured by 35 single tenant buildings leased to Mervyn's. Mervyn's filed for Chapter 11 bankruptcy protection in July 2008 and subsequently closed all its stores. Mervyn's has rejected the leases on all the properties in this portfolio. The loan was transferred to special servicing in October 2008 due to imminent default. The loan is current and the borrower is focused on selling or releasing the properties prior to the loan maturity in October 2010. Three properties have been sold, resulting in a $21.0 million prepayment to the floating rate component of the pari-passu loan. Two other sites have been re-leased and two sales are pending. The servicer is negotiating a loan modification with the borrower that would include a significant prepayment of the loan. The loan sponsors are Diversified Realty Corporation (Moody's senior unsecured rating Baa3, negative outlook) and Macquarie DDR Trust, a publicly traded real estate investment trust. Moody's estimates an aggregate loss of $30.8 million for the specially serviced loans. Moody's was provided with full-year 2007 and partial-year 2008 operating results for 95% and 55% of the pool, respectively. Moody's weighted average loan to value ratio for the conduit component, excluding the specially serviced loans, is 109% compared to 104% at Moody's prior review in July 2007. In addition to the increase in overall LTV, the pool has experienced increased LTV dispersion. Based on Moody's analysis, 31% of the pool has an LTV in excess of 120% compared to 9% at last review. The loan with an underlying rating is the Selden Plaza Shopping Center Loan ($17.0 million -- 0.7%), which is secured by a 222,000 square foot community shopping center located in Selden (Nassau County), New York. The center is anchored by Waldbaums and T.J. Maxx. The in-line space was 94.0% occupied as of December 2008, essentially the same as last review. Moody's current underlying rating is Baa3, the same as at last review and securitization. The top three conduit loans represent 12.8% of the pool. The largest conduit loan is the 123 North Wacker Drive Loan ($122.0 million -- 5.2%), which is secured by a 541,000 square foot Class A office building located in Chicago, Illinois. The property was 90.0% occupied as of December 2008 compared to 97.0% at last review and securitization. Moody's LTV is 118% compared to 115% at last review. The second largest conduit loan is the Design Center of the Americas Loan ($91.7 million -- 3.9%), which represents a 50.0% pari-passu interest in a 775,000 square foot design and showroom center located in Dania Beach (Ft. Lauderdale), Florida. The property was 77% leased as of February 2009, compare to 89.0% at last review and 94% at securitization. Moody's valuation of this loan reflects a stressed cash flow because of concerns about continued declines in occupancy due to the stressed economic environment. Moody's LTV is 109%, compared to 100% at last review. The third largest conduit loan is the Fireman's Fund Loan ($85.7 million -- 3.7%), which represents a pari-passu interest in a $180.4 million first mortgage loan secured by a 710,000 square foot office complex located in Novato, California. The property is 100% leased to Fireman's Fund Insurance Company through November 2018. Performance has been stable and the loan has benefited from amortization. The loan has amortized 4% since last review. Moody's LTV is 101%, compared to 103% at last review. Moody's rating action is: -- Class A-1, $12,674,849, affirmed at Aaa; previously affirmed at Aaa on 7/23/07 -- Class A-1A, $210,648,120, affirmed at Aaa; previously affirmed at Aaa on 7/23/07 -- Class A-1D, $34,821,014 affirmed at Aaa; previously affirmed at Aaa on 7/23/07 -- Class A-2, $224,800,000, affirmed at Aaa; previously affirmed at Aaa on 7/23/07 -- Class A-3A, $197,000,000, affirmed at Aaa; previously affirmed at Aaa on 7/23/07 -- Class A-3B, $25,000,000, affirmed at Aaa; previously affirmed at Aaa on 7/23/07 -- Class A-4, $775,100,000, affirmed at Aaa; previously affirmed at Aaa on 7/23/07 -- Class A-SB, $140,040,000, affirmed at Aaa; previously affirmed at Aaa on 7/23/07 -- Class A-M, $239,803,000, affirmed at Aaa; previously affirmed at Aaa on 7/23/07 -- Class A-J, $152,876,000, affirmed at Aaa; previously affirmed at Aaa on 7/23/07 -- Class X-W, Notional, affirmed at Aaa; previously affirmed at Aaa on 7/23/07 -- Class B, $23,980,000, affirmed at Aa1; previously affirmed at Aa1 on 7/23/07 -- Class C, $29,975,000, affirmed at Aa2; previously affirmed at Aa2 on 7/23/07 -- Class D, $23,981,000, downgraded to A1 from Aa3; previously affirmed at Aa3 on 7/23/07 -- Class E, $44,963,000, downgraded to A3 from A2; previously affirmed at A2 on 7/23/07 -- Class F, $26,978,000, downgraded to Baa1 from A3; previously affirmed at A3 on 7/23/07 -- Class G, $32,973,000, downgraded to Baa2 from Baa1; previously affirmed at Baa1 on 7/23/07 -- Class H, $23,980,000, downgraded to Baa3 from Baa2; previously affirmed at Baa2 on 7/23/07 -- Class J, $26,978,000, downgraded to Ba2 from Baa3; previously affirmed at Baa3 on 7/23/07 -- Class K, $11,990,000, downgraded to B1 from Ba1; previously affirmed at Ba1 on 7/23/07 -- Class L, $11,990,000, downgraded to B2 from Ba2; previously affirmed at Ba2 on 7/23/07 -- Class M, $8,993,000, downgraded to B3 from Ba3; previously affirmed at Ba3 on 7/23/07 -- Class N, $8,993,000, downgraded to Caa1 from B1; previously affirmed at B1 on 7/23/07 -- Class O, $5,995,000, downgraded to Caa2 from B2; previously affirmed at B2 on 7/23/07 -- Class P, $8,992,000, downgraded to Caa3 from B3; previously affirmed at B3 on 7/23/07 GEM LIGOS: Moody's Downgrades Ratings on Various Classes of Notes ----------------------------------------------------------------- Moody's Investors Service downgraded notes issued by GEM LIGOs III, Limited, 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: -- Moody's revises its methodology for Emerging Market CDOs (April 2007) -- Moody's Approach to Rating Collateralized Loan Obligations (December 2008) The rating actions are: GEM LIGOs III, Limited Class Description: US$84,000,000 Class A-2 Floating Rate Senior Secured Term Notes Due 2021 -- Current Rating: Aa2 -- Prior Rating: Aaa -- Prior Rating Date: March 23, 2006, assigned Aaa Class Description: US$30,000,000 Class A-3 Floating Rate Senior Secured Term Notes Due 2021 -- Current Rating: A1 -- Prior Rating: Aa2 -- Prior Rating Date: March 23, 2006, assigned Aa2 Class Description: US$29,000,000 Class B Floating Rate Senior Subordinated Secured Term Notes Due 2021 -- Current Rating: Baa3 -- Prior Rating: A3 -- Prior Rating Date: March 23, 2006, assigned A3 Class Description: US$24,000,000 Class C Floating Rate Subordinate Secured Term Notes Due 2021 -- Current Rating: Ba2 -- Prior Rating: Baa2 -- Prior Rating Date: March 23, 2006, assigned Baa2 Class Description: US$12,000,000 Class D Floating Rate Junior Subordinate Secured Term Notes Due 2021 -- Current Rating: B1 -- Prior Rating: Ba2 -- Prior Rating Date: March 23, 2006, assigned Ba2 Class Description: the US$2,000,000 Class Q Notes Due 2021 Notes Due 2021 -- Current Rating: Ba3 -- Prior Rating: Ba2 -- Prior Rating Date: March 23, 2006, assigned Ba2 GFCM LLC: Fitch Junks Ratings on Three 2003-1 Certificates ---------------------------------------------------------- Fitch Ratings downgrades these classes of GFCM LLC Commercial Mortgage Pass-Through Certificates, series 2003-1 and assigns Rating Outlooks: -- $12.3 million class F to 'B-' from 'BB+'; Outlook Negative; -- $7.2 million class G to 'CC/RR3' from 'BB'; -- $2.1 million class H to 'C/RR6' from 'BB-'; -- $2.1 million class J to 'C/RR6' from 'B-'. In addition, Fitch affirms and assigns Rating Outlooks to these classes: -- $10.5 million class A-3 at 'AAA'; Outlook Stable; -- $270 million class A-4 at 'AAA'; Outlook Stable; -- $112.7 million class A-5 at 'AAA'; Outlook Stable; -- Interest-only class X at 'AAA'; Outlook Stable; -- $11.3 million class B at 'AA+'; Outlook Stable; -- $13.4 million class C at 'A+'; Outlook Stable; -- $11.3 million class D at 'BBB'; Outlook Stable; and -- $10.3 million class E at 'BBB-'; Outlook Negative. Classes A-1 and A-2 have paid in full. The downgrades are due to expected losses on the one specially serviced loan (1.8%) in the transaction. The Negative Rating Outlooks are the result of Fitch identified Loans of Concern (11.5%). As of the March 2009 distribution date, the transaction has paid down 43.7% to $463,114,097 from $822,649,204 at issuance. The Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. The specially serviced loan is secured by a 249,600 sf industrial property in Plano, TX. The loan transferred due to a payment default after a large tenant vacated their space upon lease expiration. Occupancy has dropped to 47% from a peak of 100%. The servicer is currently in negotiations with the borrower on potential workout options. The largest Loan of Concern is secured by a 79,203 sf office complex in Sarasota, FL. Occupancy has steadily declined from 100% at issuance to 72% as of Feb. 6, 2009. The borrower continues to actively market the available space. The servicer reported the properties were in good condition based on a site inspection in September 2008. The pool is geographically diverse with the highest concentration in North Carolina (11%). Other concentrations include Florida (10.5%), California (9%), Maryland (8.5%), and New York (7.9%). The highest property type concentration in the pool is retail (33.3%), with other concentrations including industrial (27.9%), office (22.4%), multifamily (15.8%) and self storage (0.8%). Approximately 4.8% of the pool is scheduled to mature in 2010, 3.9% in 2011, and 12.6% in 2012. No loans mature for the remainder of 2009. GMAC COMMERCIAL: Moody's Affirms Ratings on Seven 1999-C2 Notes --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of seven classes, upgraded three classes and downgraded one class of GMAC Commercial Mortgage Securities, Inc., Commercial Mortgage Pass-Through Certificates, Series 1999-C2. The upgrades are due to overall stable pool performance and increased credit subordination due to amortization and payoffs. The pool balance has decreased by 58% since Moody's last review. The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced loans. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the March 15, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 74% to $255.6 million from $974.5 million at securitization. The Certificates are collateralized by 44 loans ranging in size from less than 1% to 16% of the pool, with the top 10 loans representing 62% of the pool. The pool includes a loan with an investment grade underlying rating, representing 9% of the pool, and a credit tenant lease component, representing 37% of the pool. Sixteen loans, representing 21% of the pool, have defeased and are collateralized with U.S. Government securities. Eleven loans, representing 13% 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. Nine loans have been liquidated from the pool, resulting in an aggregate $19.5 million realized loss. There are four loans, representing 13% of the pool, currently in special servicing. The largest specially serviced loan is Red Rose Commons ($24.9 million -- 10%), which is secured by a 263,000 square foot power center located in Lancaster, Pennsylvania. The loan was transferred to special servicing in February 2009 due to imminent default. The property recently experienced a significant decline in occupancy due to the bankruptcy of Linens'N Things and Circuit City, which together occupied 28% of the premises. The loan matures in May 2009. Moody's estimates an aggregate loss of $7.5 million for the specially serviced loans. Moody's was provided with partial or full-year 2008 operating results for 82% of the pool. Moody's weighted loan to value ratio for the conduit component, excluding non-performing assets, is 76% compared to 80% at Moody's prior review in March 2007. The loan with the underlying rating is the Holiday Inn Mart Plaza Loan ($21.7 million -- 8.5%), which is secured by a 528-room full service hotel located in downtown Chicago. RevPAR for the twelve- month period ending June 2008 was $116.00 compared to $107.50 at last review. Moody's valuation of this loan incorporates a stressed cash flow to reflect Moody's concerns about hotel performance in the current stressed economic environment. The loan matures in June 2009. Moody's current underlying rating is Baa1, the same at last review. The top three non-defeased conduit loans represent 8% of the outstanding pool balance. The largest loan is the Briarcliff Summit Apartments Loan ($7.7 million -- 3.0%), which is secured by a 201 unit federally subsidized apartment complex located in Atlanta, Georgia. The property was 96% occupied as of April 2009, essentially the same as at last review. Despite the property's high occupancy, performance has been negatively impacted by increased operating expenses. The loan is on the servicer's watch list due to a low debt service coverage ratio. Moody's LTV is 143% compared to 97% at last review. The second largest loan is the Bal Seal Engineering Loan ($6.9 million -- 2.7%), which is secured by a 125,000 square foot industrial property located in Foothill Ranch, California. The property is 100% occupied by Bal Seal Engineering Company through January 2019. Performance has been stable since securitization, but Moody's valuation of this loan reflects market vacancy and rental rates. Moody's LTV is 55% compared to 49% at last review. The third largest loan is the Anchorage Business Park Loan ($5.2 million -- 2.0%), which is secured by a 190,000 square food retail center located in anchorage, Alaska. The property was 97% occupied as of September 2008, essentially the same as at last review. Performance has been stable. Moody's LTV is 47% compared to 48% at last review. The CTL component includes seven loans ($91.6 million -- 35.8%) secured by properties leased to six tenants under bondable leases. The largest exposures are Ingram Micro Inc. (Moody's LT Corporate Family rating Ba1, stable outlook; 23%), CarMax (7%), and Costco Wholesale Corporation (Moody's senior unsecured rating A2; stable outlook; 4%). Moody's rating action is: -- Class X, Notional, affirmed at Aaa; previously affirmed at Aaa on 3/30/2007 -- Class B, $51,136,460, affirmed at Aaa; previously affirmed at Aaa on 3/30/2007 -- Class C, $48,725,000, affirmed at Aaa; previously upgraded to Aaa from Aa2 on 3/30/2007 -- Class D, $14,618,000, affirmed at Aaa; previously upgraded Aaa from Aa3 on 3/30/2007 -- Class E, $41,416,000, upgraded to Aaa from Aa2; previously upgraded to Aa2 from Baa1 on 3/30/2007 -- Class F, $12,181,000, upgraded to Aa2 from A1; previously upgraded to A1 from Baa2 on 3/30/2007 -- Class G, $12,182,000, upgraded to A2 from A3; previously upgraded to A3 from Baa3 on 3/30/2007 -- Class H, $46,289,000, affirmed at Ba2; previously affirmed at Ba2 on 3/30/2007 -- Class J, $7,308,000, affirmed at B1; previously affirmed at B1 on 3/30/2007 -- Class K, $19,490,000, downgraded to C from Ca; previously downgraded to Ca from Caa2 on 3/30/2007 -- Class L, $2,230,395, affirmed at C; previously downgraded to C from Ca on 3/30/2007 GOLDEN CROSSING: Moody's Reviews 'Ba1' Rating on Bank Facilities ---------------------------------------------------------------- Moody's Investors Service placed Golden Crossing Finance Inc. underlying Ba1 rating for the backed senior secured bank facilities under review for downgrade. "The project is on target for substantial completion in the near future and Moody's expects that the operating performance will be satisfactory says Catherine Deluz, Moody's analyst for GCFI. However overlaying the fundamental operational strength of the project is the project's exposure to weakening counterparties. The key risk at this stage is a provision in the loan agreement for the project credit facilities whereby a financial guarantor's event of default would trigger a GCFI's event of default. One of the financial guarantors is XL Capital Assurance (UK) Ltd (a.k.a Syncora). Syncora's insurance strength rating has been downgraded now to Ca and while the sponsor has been working diligently on dealing with that cross default provision, there is no final resolution as yet, and a resolution could be a few days or weeks away. In the meantime the deadline for Syncora to complete its restructuring is fast approaching, and Syncora has announced that it would suspend the payment of claims as of April 26, 2009 under certain circumstances. As a result, the risk that a financial guarantor's event of default and a cross default could be triggered before any resolution is reached is increasing." The last rating action was on February 19, 2009 when GCFI was downgraded to Ba1 with a negative outlook. Debt list: -- Insured Senior Secured Bank Credit Facilities: C$963.4 million. Golden Crossing Finance and Golden Crossing General Partnership are special purpose vehicles indirectly owned by Bilfinger Berger AG (not rated). Both GCFI and GCGP are headquartered in Vancouver, British Columbia. GCFI is the financial conduit created to provide funding to GCGP for the development of the Golden Ears Bridge project, which consists of a new six-lane bridge across the Fraser River east of Vancouver, British Columbia, and approximately 13 kilometres of new and existing roads. The project is a Public Private Partnership with the South Coast British Columbia Transportation Authority. GREENPOINT MORTGAGE: Moody's Cuts Ratings on Six 2004-1 Tranches ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 6 tranches from Greenpoint Mortgage Loan Trust 2004-1. The collateral backing this transaction consists primarily of first-lien, fixed- rate, Alt-A residential mortgage loans. These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Once expected losses have been determined, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. Complete rating actions are: Greenpoint Mortgage Loan Trust 2004-1 -- Cl. A, Downgraded to Aa3; previously on 6/17/2005 Assigned Aaa -- Cl. SP, Downgraded to Aa3; previously on 6/17/2005 Assigned Aaa -- Cl. B-1, Downgraded to Baa1; previously on 6/17/2005 Assigned Aa2 -- Cl. B-2, Downgraded to Ba2; previously on 6/17/2005 Assigned A2 -- Cl. B-3, Downgraded to B3; previously on 6/17/2005 Assigned Baa2 -- Cl. B-4, Downgraded to Caa3; previously on 6/17/2005 Assigned Ba2 GSR MORTGAGE: Moody's Downgrades Ratings on 18 2004-14 Tranches --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 18 tranches from GSR Mortgage Loan Trust 2004-14. The collateral backing this transaction consists primarily of first-lien, adjustable-rate, Alt-A residential mortgage loans. These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Once expected losses have been determined, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. List of actions: GSR Mortgage Loan Trust 2004-14 -- Cl. 1A1, Downgraded to Aa2; previously on 1/27/2005 Assigned Aaa -- Cl. 1AX, Downgraded to Aa2; previously on 1/27/2005 Assigned Aaa -- Cl. 1B1, Downgraded to Baa2; previously on 1/27/2005 Assigned Aa2 -- Cl. 1B2, Downgraded to B3; previously on 1/27/2005 Assigned A2 -- Cl. 1B3, Downgraded to Caa3; previously on 1/27/2005 Assigned Baa2 -- Cl. 1BX, Downgraded to Baa2; previously on 1/27/2005 Assigned Aa2 -- Cl. 2A1, Downgraded to Aa2; previously on 1/27/2005 Assigned Aaa -- Cl. 2AX, Downgraded to Aa2; previously on 1/27/2005 Assigned Aaa -- Cl. 2B1, Downgraded to B3; previously on 1/27/2005 Assigned Aa2 -- Cl. 2B2, Downgraded to Caa3; previously on 1/27/2005 Assigned A2 -- Cl. 2B3, Downgraded to Ca; previously on 1/27/2005 Assigned Baa2 -- Cl. 3A1, Downgraded to Baa3; previously on 1/27/2005 Assigned Aaa -- Cl. 3A2, Downgraded to Baa3; previously on 1/27/2005 Assigned Aaa -- Cl. 3AX, Downgraded to Baa3; previously on 1/27/2005 Assigned Aaa -- Cl. 4A1, Downgraded to Baa3; previously on 1/27/2005 Assigned Aaa -- Cl. 5A1, Downgraded to Baa3; previously on 1/27/2005 Assigned Aaa -- Cl. 5A2, Downgraded to Baa3; previously on 1/27/2005 Assigned Aaa -- Cl. 5AX, Downgraded to Baa3; previously on 1/27/2005 Assigned Aaa GSR MORTGAGE: S&P Downgrades Ratings on 44 Classes of Notes ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 44 classes from GSR Mortgage Loan Trust 2006-1F and 20 classes from WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust. S&P removed 49 of the lowered ratings from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on 16 classes from the same transactions and removed 11 of the affirmed ratings from CreditWatch with negative implications. The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given S&P's current projected losses In its analysis, S&P incorporated the loss and delinquency trends S&P observed for the transactions backed by prime jumbo collateral that were issued in these vintages. Some transactions are experiencing foreclosures and delinquencies at rates that exceed S&P's initial projections, and these transactions have also started to experience losses. The loss projections for the two transactions rated in 2006 and 2007 are based on a forward-looking default curve. S&P's lifetime projected losses for the different structures from the transactions in this release are: Transaction Original Loss (various structure groups) bal. (mil. $) projection (%) -------------------------- ------------- -------------- GSR Mortgage Loan Trust 2006-1F 847.1 2.55 GSR Mortgage Loan Trust 2006-1F 539.2 4.56 WaMu Mortgage Pass-Through Certificates 2007-HY4 377.6 5.95 WaMu Mortgage Pass-Through Certificates 2007-HY4 1,063.4 11.92 WaMu Mortgage Pass-Through Certificates 2007-HY4 262.9 7.16 To assess the creditworthiness of each class, S&P reviewed the individual delinquency and loss trends of each transaction for changes, if any, in risk characteristics, servicing, and the ability to withstand additional credit deterioration. For mortgage pools that are continuing to experience increasing delinquencies, S&P increased its stresses to account for potential increases in monthly losses. In order to maintain a rating higher than 'B', S&P assessed whether, in S&P's view, a class could absorb losses in excess of the base-case loss assumptions S&P assumed in S&P's analysis. For example, generally, S&P assessed whether one class could, in S&P's view, withstand approximately 130% of S&P's base-case loss assumptions in order to maintain a 'BB' rating, while S&P assessed whether a different class could withstand 155% of S&P's base-case loss assumptions to maintain a 'BBB' rating. Each class that has an affirmed 'AAA' rating can, in S&P's view, withstand approximately 235% of S&P's base-case loss assumptions under S&P's analysis. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses at these rating levels. Subordination provides credit support for the affected transactions. The underlying pool of loans backing these transactions consists of fixed- and adjustable-rate, first-lien prime jumbo mortgage loans. Standard & Poor's will continue to closely monitor the performance of these transactions and take further ratings actions as S&P consider appropriate. Rating Actions GSR Mortgage Loan Trust 2006-1F Series 2006-1F Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-2 3623416J3 AAA AAA/Watch Neg 1A-3 3623416K0 BBB- AAA/Watch Neg 1A-5 3623416M6 BBB- AAA/Watch Neg 1A-6 3623416N4 BBB- AAA/Watch Neg 1A-7 3623416P9 BBB- AAA/Watch Neg 1A-8 3623416Q7 BBB- AAA/Watch Neg 1A-9 3623416R5 AAA AAA/Watch Neg 1A-10 3623416S3 BBB- AAA/Watch Neg 1A-11 3623416T1 BBB- AAA/Watch Neg 1A-13 3623416V6 BBB- AAA/Watch Neg 1A-14 3623416W4 BBB- AAA/Watch Neg 1A-15 3623416X2 AAA AAA/Watch Neg 1A-16 3623416Y0 BBB- AAA/Watch Neg 1A-17 3623418W2 BBB- AAA/Watch Neg 2A-2 3623417A1 BBB- BBB/Watch Neg 2A-3 3623417B9 BBB- BBB/Watch Neg 2A-4 3623417C7 BBB- BBB/Watch Neg 2A-5 3623417D5 AAA AAA/Watch Neg 2A-6 3623417E3 BBB- BBB/Watch Neg 2A-7 3623417F0 A A/Watch Neg 2A-8 3623417G8 A A/Watch Neg 2A-9 3623417H6 AAA AAA/Watch Neg 2A-10 3623417J2 BBB- BBB/Watch Neg 2A-11 3623417K9 BBB- BBB/Watch Neg 2A-12 3623417L7 BBB- BBB/Watch Neg 2A-14 3623417N3 BBB- BBB/Watch Neg 2A-15 3623417P8 BBB- BBB/Watch Neg 2A-16 362334AN4 AAA AAA/Watch Neg 2A-17 362334AP9 BBB- BBB/Watch Neg 3A-1 3623417Q6 BBB- AAA/Watch Neg 3A-2 3623417R4 BBB- AAA/Watch Neg 7A-1 3623418J1 BBB- AAA/Watch Neg 7A-2 3623418K8 BBB- AAA/Watch Neg 1A-P 3623418L6 BBB- AAA/Watch Neg 2A-P 3623418M4 BBB- BBB/Watch Neg 1A-X 3623418N2 AAA AAA/Watch Neg 4A-1 3623417S2 A+ AAA/Watch Neg 4A-2 3623417T0 B AAA/Watch Neg 5A-1 3623417Z6 AAA AAA/Watch Neg 5A-2 3623418A0 B AAA/Watch Neg 5A-8 362334AQ7 AAA AAA/Watch Neg 5A-9 362334AR5 B AAA/Watch Neg 6A-1 3623418F9 B AAA/Watch Neg 6A-2 3623418G7 B AAA/Watch Neg 6A-3 3623418H5 B AAA/Watch Neg 1A-1 3623416H7 BBB- AAA 1A-4 3623416L8 BBB- AAA 1A-12 3623416U8 BBB- AAA 2A-1 3623416Z7 BBB- BBB 2A-13 3623417M5 BBB- BBB 4A-3 3623417U7 A+ AAA 4A-4 3623417V5 A+ AAA 4A-5 3623417W3 A+ AAA 4A-6 3623417X1 A+ AAA 4A-7 3623417Y9 A+ AAA WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust Series 2007-HY4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 933636AA0 B BBB/Watch Neg 1-A2 933636AB8 CCC B/Watch Neg 2-A1 933636AC6 B BBB/Watch Neg 2-A2 933636AD4 B BBB/Watch Neg 2-A3 933636AE2 B BBB/Watch Neg 2-A4 933636AF9 CCC B/Watch Neg L-B-1 933636AN2 CC CCC L-B-2 933636AP7 CC CCC 3-A1 933636AG7 A- AAA/Watch Neg 3-A2 933636AH5 CCC BBB/Watch Neg 3-B-1 933636AR3 CC B/Watch Neg 3-B-2 933636AS1 CC CCC 3-B-3 933636AT9 CC CCC 4-A1 933636AJ1 BBB- AAA/Watch Neg 4-A2 933636AK8 B A-/Watch Neg 5-A1 933636AL6 BBB- AAA/Watch Neg 5-A2 933636AM4 B A-/Watch Neg M-B-1 933636AU6 CCC BB/Watch Neg M-B-2 933636AV4 CC B/Watch Neg M-B-3 933636AW2 CC CCC Ratings Affirmed GSR Mortgage Loan Trust 2006-1F Series 2006-1F Class CUSIP Rating ----- ----- ------ 5A-3 3623418B8 AAA 5A-4 3623418C6 AAA 5A-5 3623418D4 AAA 5A-6 3623418E2 AAA 5A-7 3623418X0 AAA GUGGENHEIM STRUCTURED: Moody's Cuts Ratings on Six 2005-2 Notes --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of six classes of Notes issued by Guggenheim Structured Real Estate Funding 2005-2. The rating actions are: -- Class S, $5,000,000, Fixed Rate Interest-Only Notes Due 2010, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A, $163,800,000, Floating Rate Notes Due 2030, downgraded to Aa2 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $31,300,000, Floating Rate Notes Due 2030, downgraded to Baa1 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $27,300,000, Floating Rate Deferrable Interest Notes Due 2030, downgraded to Ba1 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $22,543,000, Floating Rate Deferrable Interest Notes Due 2030, downgraded to B1 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $10,700,000, Floating Rate Deferrable Interest Notes Due 2030, downgraded to Caa1 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $10,000,000, Fixed Rate Deferrable Interest Notes Due 2030, downgraded to Caa2 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded Classes A, B, C, D, E and F due to deteriorating pool performance and revised modeling parameters. The pool contains a 19% concentration in CMBS collateral of which 100% was issued between 2006 and 2007. The remaining collateral includes real estate bank loans, senior debt, subordinated debt and mezzanine debt. Moody's expects the aggregate default rate on CMBS loans (1.59% as of March 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 21% from the peak reached in October 2007, are expected to decline an additional 5 to 15% 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 its 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 have 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 (PD) 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. GUGGENHEIM STRUCTURED: Moody's Cuts Ratings on 11 2006-4 Notes -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of eleven classes of Notes issued by Guggenheim Structured Real Estate Funding 2006-4, LTD. The rating actions are: - Class S, $6,000,000, Fixed Rate Interest-Only Notes Due 2012, confirmed at Aaa from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class A-1, $254,644,355, Floating Rate Notes Due 2047, downgraded to A2 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class A-2, $34,833,426, Floating Rate Notes Due 2047, downgraded to Ba1 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class B, $42,040,342, Floating Rate Notes Due 2047, downgraded to Ba2 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class C, $25,824,781, Floating Rate Notes Due 2047, downgraded to Caa1 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class D, $13,813,255, Floating Rate Notes Due 2047, downgraded to Caa2 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class E, $13,212,679, Floating Rate Notes Due 2047, downgraded to Caa3 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class F, $13,212,679, Floating Rate Notes Due 2047, downgraded to Caa3 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class G, $14,413,831, Floating Rate Notes Due 2047, downgraded to Caa3 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class H, $10,209,797, Floating Rate Notes Due 2047, downgraded to Caa3 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class J, $10,209,797, Floating Rate Notes Due 2047, downgraded to Caa3 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade - Class K, $22,821,900, Floating Rate Notes Due 2047, downgraded to Caa3 from B2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded Classes A-1, A-2, B, C, D, E, F, G, H, J and K due to deteriorating pool performance and revised modeling parameters. The pool contains a 18.6% concentration in CMBS collateral of which 100.0% was issued between 2006 and 2007. The remaining collateral includes CRE CDO securities, ABS Securities, real estate bank loans, senior debt, subordinated debt and mezzanine debt. Moody's expects the aggregate default rate on CMBS loans (1.59% as of March 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 21% from the peak reached in October 2007, are expected to decline an additional 5 to 15% 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 its 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 (CMBS) 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 have 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 (PD) 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. HELIOS FINANCE: Moody's Reviews Ratings on Four 2007-S1 Notes ------------------------------------------------------------- Moody's has placed on review for possible downgrade, four credit- linked notes issued by HELIOS Finance Limited Partnership 2007-S1 and HELIOS Finance Corporation 2007-S1 as co-issuers. The Notes were issued in connection with a credit default swap tied to a reference portfolio, under which Wachovia Bank, National Association is the protected party. The reference portfolio consists of loans originated and serviced by Wachovia Dealer Services, Inc. (formerly WFS Financial Inc.). Wachovia Dealer Services, Inc. is a wholly-owned subsidiary of Wachovia Bank, which, as of December 31, 2008, is a wholly-owned subsidiary of Wells Fargo & Company. The rating actions reflect Moody's updated higher loss expectations relative to current levels of credit enhancement. Moody's outlook for the US vehicle sector is negative. The economy will drive loss rates, particularly unemployment. The downgrades primarily reflect the impact of the economic downturn, heightened by an overweight in California for the loans in the reference portfolio. Moody's currently anticipates the transaction to incur lifetime cumulative net losses between 6.00% and 8.00%. Moody's had originally expected cumulative net losses to be between 3.00% and 4.50%. During its review, Moody's will continue to refine its assessment of the transaction relative to the credit enhancement available. Complete rating actions are: Co-Issuers: HELIOS Finance Limited Partnership 2007-S1 and HELIOS Finance Corporation 2007-S1 Credit-Linked Notes, Series 2007-S1 -- Class B-1 Notes, Placed on Review for Possible Downgrade; previously on 05/16/2007 Assigned Baa3 -- Class B-2 Notes, Placed on Review for Possible Downgrade; previously on 05/16/2007 Assigned Ba2 -- Class B-3 Notes, Placed on Review for Possible Downgrade; previously on 05/16/2007 Assigned B1 -- Class B-4 Notes, Placed on Review for Possible Downgrade; previously on 05/16/2007 Assigned B3 HIGHLAND PARK: Moody's Downgrades Ratings on Seven Classes ---------------------------------------------------------- Moody's Investors Service downgraded the ratings of seven classes of Notes issued by Highland Park CDO I Ltd. The rating actions are: -- Class A-1, $329,000,000, Floating Rate Notes Due 2051, downgraded to A3 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $75,000,000, Floating Rate Notes Due 2051, downgraded to B1 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $44,000,000, Floating Rate Notes Due 2051, downgraded to Caa1 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $35,000,000, Floating Rate Deferrable Interest Notes Due 2051, downgraded to Ca from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $33,000,000, Floating Rate Deferrable Interest Notes Due 2051, downgraded to Ca from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $11,000,000, Floating Rate Deferrable Interest Notes Due 2051, downgraded to Ca from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $24,000,000, Floating Rate Deferrable Interest Notes Due 2051, downgraded to Ca from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded all Classes due to deteriorating pool performance and revised modeling parameters. The pool contains a 27% concentration in CMBS collateral of which approximately 86% was issued between 2006 and 2008. The remaining collateral includes CRE CDO debt, real estate bank loans, senior debt, subordinated debt and mezzanine debt. Moody's expects the aggregate default rate on CMBS loans (1.59% as of March 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 21% from the peak reached in October 2007, are expected to decline an additional 5% to 15% 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 its 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 have 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. Moody's review at securitization is summarized in a Pre-Sale Report dated December 19, 2006. IBIS RE: S&P Rates Class A and B Series 2009-1 Notes at Low-B ------------------------------------------------------------- Standard & Poor's Ratings Services said that it has rated Ibis Re Ltd.'s Series 2009-1 Class A and B notes 'BB' and 'BB-', respectively. The cedents will be certain selected operating subsidiaries of Assurant Inc., including American Security Insurance Co. and American Bankers Insurance Co. (A-/Negative/--), though some might not be rated. At least one rated entity will be responsible for the quarterly payment due under the reinsurance contract with Ibis Re. The notes are exposed to U.S. hurricane risk. On a per occurrence basis, the class A notes will cover losses to Assurant between the initial attachment point of $725 million and $1.24 billion, and the Class B notes will cover losses between the initial attachment point of $445 million and $725 million. The risk period will begin on the day after closing and go through April XX, 2012. The trigger for estimating covered losses to Ibis Re is based on the sum of PCS insured personal property losses per state multiplied by the pre-determined state payout factors. The state PCS loss amount will reflect residential personal lines only, while commercial lines, automobile and vehicle lines, workers' compensation lines losses, and estimate of loss-adjustment expenses are excluded. Ratings List Ibis Re Ltd. Series 2009-1 Class A notes BB Series 2009-1 Class B notes BB- INDYMAC ARM:: Moody's Cuts Ratings on 85 Tranches from 10 RMBS -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 85 tranches from 10 Alt-A RMBS transactions issued by IndyMac. The collateral backing these transactions consists primarily of first- lien, adjustable-rate, Alt-A residential mortgage loans. The IndyMac INDX Mortgage Loan Trust 2004-AR12 and IndyMac INDX Mortgage Loan Trust 2004-AR7 are backed by pools of negative amortization, Alt-A mortgage loans. These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Additionally, Moody's further stresses the default rate assumptions for deals with extremely low pool factors to account for volatility arising from the small number of loans backing these transactions. Once expected losses have been determined, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. Complete rating actions: c Trust Series 2001-H1 -- Cl. I-A, Downgraded to B1; previously on 8/1/2001 Assigned Aaa -- Cl. II-A, Downgraded to B1; previously on 8/1/2001 Assigned Aaa -- Cl. III-A-1, Downgraded to B1; previously on 8/1/2001 Assigned Aaa -- Cl. III-A-2, Downgraded to B1; previously on 8/1/2001 Assigned Aaa -- Cl. X-1-I, Downgraded to B1; previously on 8/1/2001 Assigned Aaa -- Cl. X-1-II, Downgraded to B1; previously on 8/1/2001 Assigned Aaa -- Cl. X-1-III, Downgraded to B1; previously on 8/1/2001 Assigned Aaa -- Cl. X-2-I, Downgraded to B1; previously on 8/1/2001 Assigned Aaa -- Cl. X-2-II, Downgraded to B1; previously on 8/1/2001 Assigned Aaa -- Cl. X-2-III, Downgraded to B1; previously on 8/1/2001 Assigned Aaa -- Cl. B-1, Downgraded to Caa3; previously on 9/30/2004 Upgraded to Aaa -- Cl. B-2, Downgraded to C; previously on 7/12/2007 Downgraded to Ba1 -- Cl. B-3, Downgraded to C; previously on 5/24/2005 Downgraded to Ca IndyMac ARM Trust Series 2001-H2 -- Cl. A-3, Downgraded to A1; previously on 12/21/2001 Assigned Aaa -- Cl. B-1, Downgraded to Baa3; previously on 12/21/2001 Assigned Aa2 -- Cl. B-2, Downgraded to B3; previously on 12/21/2001 Assigned A2 -- Cl. B-3, Downgraded to Ca; previously on 5/3/2006 Downgraded to Ba1 IndyMac INDX Mortgage Loan Trust 2004-AR11 -- Cl. 1-A, Downgraded to Baa3; previously on 1/3/2005 Assigned Aaa -- Cl. 1-X, Downgraded to Baa3; previously on 1/3/2005 Assigned Aaa -- Cl. 2-A, Downgraded to Baa3; previously on 1/3/2005 Assigned Aaa -- Cl. 2-X, Downgraded to Baa3; previously on 1/3/2005 Assigned Aaa -- Cl. B-1, Downgraded to B3; previously on 1/3/2005 Assigned Aa2 -- Cl. B-2, Downgraded to Ca; previously on 1/3/2005 Assigned A2 -- Cl. B-3, Downgraded to C; previously on 1/3/2005 Assigned Baa2 IndyMac INDX Mortgage Loan Trust 2004-AR12 -- Cl. A-1, Downgraded to Baa3; previously on 11/29/2004 Assigned Aaa -- Cl. A-2, Downgraded to B1; previously on 11/29/2004 Assigned Aaa -- Cl. A-X-1, Downgraded to Baa3; previously on 11/29/2004 Assigned Aaa -- Cl. A-X-2, Downgraded to Baa3; previously on 11/29/2004 Assigned Aaa -- Cl. B-1, Downgraded to Caa3; previously on 11/29/2004 Assigned Aa2 -- Cl. B-2, Downgraded to C; previously on 11/29/2004 Assigned A2 -- Cl. B-3, Downgraded to C; previously on 11/29/2004 Assigned Baa2 IndyMac INDX Mortgage Loan Trust 2004-AR13 -- Cl. 1-A-1, Downgraded to Baa2; previously on 1/3/2005 Assigned Aaa -- Cl. 2-A-1, Downgraded to A3; previously on 1/3/2005 Assigned Aaa -- Cl. 2-A-2, Downgraded to A3; previously on 1/3/2005 Assigned Aaa -- Cl. 2-A-3, Downgraded to Baa2; previously on 1/3/2005 Assigned Aaa -- Cl. X, Downgraded to A3; previously on 1/3/2005 Assigned Aaa -- Cl. B-1, Downgraded to B3; previously on 9/12/2008 Downgraded to A2 -- Cl. B-2, Downgraded to C; previously on 9/12/2008 Downgraded to Ba2 -- Cl. B-3, Downgraded to C; previously on 9/12/2008 Downgraded to B3 IndyMac INDX Mortgage Loan Trust 2004-AR15 -- Cl. 1-A-1, Downgraded to Baa3; previously on 1/17/2005 Assigned Aaa -- Cl. 2-A-1, Downgraded to Baa3; previously on 1/17/2005 Assigned Aaa -- Cl. 3-A-1, Downgraded to Baa3; previously on 1/17/2005 Assigned Aaa -- Cl. 4-A-1, Downgraded to A3; previously on 1/17/2005 Assigned Aaa -- Cl. 4-A-2, Downgraded to Baa3; previously on 1/17/2005 Assigned Aa1 -- Cl. 5-A-1, Downgraded to A2; previously on 1/17/2005 Assigned Aaa -- Cl. 5-A-2, Downgraded to Baa3; previously on 1/17/2005 Assigned Aa1 -- Cl. 6-A-1, Downgraded to Baa3; previously on 1/17/2005 Assigned Aaa IndyMac INDX Mortgage Loan Trust 2004-AR4 -- Cl. 1-A, Downgraded to Baa1; previously on 7/15/2004 Assigned Aaa -- Cl. 2-A, Downgraded to Baa1; previously on 7/15/2004 Assigned Aaa -- Cl. 3-A, Downgraded to Baa1; previously on 7/15/2004 Assigned Aaa IndyMac INDX Mortgage Loan Trust 2004-AR6 -- Cl. 1-A, Downgraded to Baa2; previously on 9/21/2004 Assigned Aaa -- Cl. 2-A, Downgraded to Baa2; previously on 9/21/2004 Assigned Aaa -- Cl. 3-A-1, Downgraded to A3; previously on 9/21/2004 Assigned Aaa -- Cl. 3-A-2, Downgraded to A3; previously on 9/21/2004 Assigned Aaa -- Cl. 3-A-3, Downgraded to Baa2; previously on 9/21/2004 Assigned Aa1 -- Cl. 4-A, Downgraded to Baa2; previously on 9/21/2004 Assigned Aaa -- Cl. 5-A-1, Downgraded to A1; previously on 9/21/2004 Assigned Aaa -- Cl. 5-A-2, Downgraded to Baa2; previously on 9/21/2004 Assigned Aa1 -- Cl. 6-A-1, Downgraded to A1; previously on 9/21/2004 Assigned Aaa -- Cl. 6-A-2, Downgraded to Baa2; previously on 9/21/2004 Assigned Aa1 -- Cl. B-1, Downgraded to Ba3; previously on 9/21/2004 Assigned Aa2 -- Cl. B-2, Downgraded to Caa2; previously on 9/21/2004 Assigned A2 -- Cl. B-3, Downgraded to C; previously on 9/21/2004 Assigned Baa2 IndyMac INDX Mortgage Loan Trust 2004-AR7 -- Cl. A-1, Downgraded to Ba1; previously on 9/16/2004 Assigned Aaa -- Cl. A-2, Downgraded to Baa3; previously on 9/16/2004 Assigned Aaa -- Cl. A-3, Downgraded to Ba1; previously on 9/16/2004 Assigned Aaa -- Cl. A-5, Downgraded to Ba1; previously on 9/16/2004 Assigned Aaa -- Cl. A-X, Downgraded to Ba1; previously on 9/16/2004 Assigned Aaa -- Cl. B-1, Downgraded to Caa3; previously on 9/16/2004 Assigned Aa3 -- Cl. B-2, Downgraded to Ca; previously on 9/16/2004 Assigned A3 -- Cl. B-3, Downgraded to C; previously on 9/16/2004 Assigned Baa2 IndyMac INDX Mortgage Loan Trust 2004-AR9 -- Cl. 1-A, Downgraded to B1; previously on 10/29/2004 Assigned Aaa -- Cl. 2-A, Downgraded to B1; previously on 10/29/2004 Assigned Aaa -- Cl. 3-A, Downgraded to B1; previously on 10/29/2004 Assigned Aaa -- Cl. 4-A, Downgraded to B1; previously on 10/29/2004 Assigned Aaa -- Cl. 5-A-1, Downgraded to Aa2; previously on 10/29/2004 Assigned Aaa -- Cl. 5-A-2, Downgraded to Aa2; previously on 10/29/2004 Assigned Aaa -- Cl. 5-A-3, Downgraded to Aa3; previously on 10/29/2004 Assigned Aaa -- Cl. 5-M-1, Downgraded to Baa3; previously on 10/29/2004 Assigned Aa3 -- Cl. 5-M-2, Downgraded to B2; previously on 10/29/2004 Assigned A3 -- Cl. 5-M-3, Downgraded to Caa2; previously on 10/29/2004 Assigned Baa1 -- Cl. 5-M-4, Downgraded to C; previously on 10/29/2004 Assigned Baa3 -- Cl. B-1, Downgraded to Ca; previously on 10/29/2004 Assigned Aa3 -- Cl. B-2, Downgraded to C; previously on 10/29/2004 Assigned A3 -- Cl. B-3, Downgraded to C; previously on 10/29/2004 Assigned Baa3 INMAN SQUARE: Fitch Junks Ratings on Three Classes of Notes ----------------------------------------------------------- Fitch Ratings has downgraded four and affirmed two classes of notes issued by Inman Square Funding I, Ltd./Corp.: -- $13,057,668 class I notes downgraded to 'A' from 'AA', Outlook Stable; -- $7,000,000 class II-fixed notes downgraded to 'CCC' from 'BB'; -- $30,000,000 class II-floating notes downgraded to 'CCC' from 'BB'; -- $18,856,553 class III notes downgraded to 'C' from 'CCC'; -- $3,542,117 class IV-fixed notes affirmed at 'C'; -- $13,256,609 class IV-floating notes affirmed at 'C'. Additionally, Fitch has removed classes I and II from Rating Watch Negative. The class I notes were assigned a Stable Outlook reflecting Fitch's expectation that the ratings will remain stable over the next one to two years. Fitch does not assign Rating Outlooks to classes rated 'CCC' or below. These rating actions are a result of the continued credit deterioration of the portfolio since the last review in September 2008. Approximately 88.6% of the portfolio is now rated below investment grade with 56.8% of the portfolio rated 'CCC' and lower. As of the March 10, 2009 trustee report, 52.9% of the portfolio is defaulted per the transaction documents compared to 43.5% at last review. The Class I/II overcollateralization ratio of 85.4% is failing its covenant of 138.9% and continues to redirect interest proceeds that would otherwise pay interest to classes III and IV to pay down the class I notes. The class I notes have paid off approximately 92.1% since closing and 25.1% since last review. Fitch has downgraded this class to 'A' as this is a better reflection of the risk to these notes due to the deterioration of the portfolio. The class II notes are downgraded to 'CCC' as they continue to receive interest but Fitch anticipates principal impairment. The class III notes are downgraded to 'C' as they are deferring interest and Fitch does not expect any future interest payments or principal payments. Inman Square I is a structured finance collateralized debt obligation, which closed on Oct. 20, 2004 and the portfolio is monitored by TCW Asset Management Company. The transaction's revolving period ended in October 2006. The rating actions are due to Fitch's recently adjusted default and recovery rate assumptions for analyzing structured finance CDOs, in addition to negative credit migration in the underlying portfolio. The portfolio is primarily composed of prime residential mortgage- backed securities (44.1%), subprime RMBS (43.8%), SF CDOs (4.2%), commercial and consumer ABS (4.2%), and other CDOs (3.7%). These rating actions resolve the 'Under Analysis' status issued on Oct. 14, 2008, following Fitch's announcement of its proposed criteria revision for analyzing structured finance 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. ISTAR FINANCIAL: S&P Puts 'BB' Senior Rating on Negative Watch -------------------------------------------------------------- Standard & Poor's Ratings Services said that it placed its 'BB' senior unsecured debt rating on iStar Financial Inc. on CreditWatch with negative implications. At the same time, S&P affirmed its 'BB' long-term counterparty credit rating and 'B-' preferred stock rating on iStar. The outlook remains negative. "The CreditWatch placement follows management's announcement that iStar will offer to exchange a portion of its existing senior unsecured notes for up to $1.0 billion of new, second-lien senior secured notes. The amount of assets pledged as security for the new notes will depend on participation in the exchange, but it is likely to be significant. S&P believes the additional claims on iStar's assets may effectively place the firm's unsecured claims in a subordinated position to those of senior secured creditors," said Standard & Poor's credit analyst Jeffrey Zaun. S&P has affirmed the counterparty credit rating because S&P view the exchange as opportunistic rather than distressed, under S&P's criteria. Although the firm is tendering for its debt at a steep discount to par, and in some cases extending maturities of its obligations, iStar's liquidity position should allow it to meet its obligations through 2010 regardless of whether the offer is successful. S&P's negative outlook on iStar incorporates S&P's belief that the amount of troubled assets could increase to $6 billion and that recoveries on troubled assets will deteriorate considerably. S&P could downgrade the firm if losses are greater than S&P now expect and begin to re-exert pressure on the firm's funding or capital levels. S&P could revise the outlook to stable if the firm maintains stable capital and improves asset-quality metrics while sustaining adequate recovery values for its troubled assets. JEFFERIES RESECURITIZATION: DBRS Assigns 'B' to Six 2009-R4 Certs. ------------------------------------------------------------------ Dominion Bond Rating Service assigned these ratings to the Resecuritization Trust Certificates, Series 2009-R4 issued by Jefferies Resecuritization Trust 2009-R4: -- $6.1 million Class 1-A1 rated at AAA -- $714.0 thousand Class 1-A2 rated at "A" -- $535.5 thousand Class 1-A3 rated at BBB -- $535.5 thousand Class 1-A4 rated at B -- $10.3 million Class 2-A1 rated at AAA -- $1.2 million Class 2-A2 rated at "A" -- $908.4 thousand Class 2-A3 rated at BBB -- $908.4 thousand Class 2-A4 rated at B -- $6.0 million Class 3-A1 rated at AAA -- $985.2 thousand Class 3-A2 rated at "A" -- $447.8 thousand Class 3-A3 rated at BBB -- $447.8 thousand Class 3-A4 rated at B -- $5.5 million Class 4-A1 rated at AAA -- $1.0 million Class 4-A2 rated at "A" -- $500.0 thousand Class 4-A3 rated at BBB -- $1.3 million Class 4-A4 rated at B -- $7.4 million Class 5-A1 rated at AAA -- $1.6 million Class 5-A2 rated at "A" -- $545.1 thousand Class 5-A3 rated at BBB -- $545.1 thousand Class 5-A4 rated at B -- $11.6 million Class 6-A1 rated at AAA -- $1.9 million Class 6-A2 rated at "A" -- $645.2 thousand Class 6-A3 rated at BBB -- $1.1 million Class 6-A4 rated at B There are a total of 33 groups in this resecuritization trust, each consisting of one seasoned senior residential mortgage-backed security. Within each group, the AAA ratings on the Class A1 certificates, the "A" ratings on the Class A2 certificates, the BBB ratings on the Class A3 certificates and the B ratings on the Class A4 certificates reflect the credit enhancement provided by subordination. The ratings also reflect the quality of the underlying securities. DBRS does not rate the Class 1-A5, 2-A5, 3-A5, 4-A5, 5-A5 and 6-A5 certificates or the Group 7 through Group 33 certificates. Interest and principal payments on the notes and certificates will generally be made on the 26th day of each month, commencing in April 2009. Within each group, interest payments will be distributed on a pro rata basis to the certificates and principal payments will be distributed on a sequential basis to the certificates until the certificate principal balance has been reduced to zero. Any losses realized from the underlying securities will be allocated reverse sequentially to the certificates within each group until their principal balances have been reduced to zero. The Trust is a resecuritization consisting of 33 senior residential mortgage-backed securities represented by various real estate mortgage investment conduits (REMICs). The REMIC trusts are backed by pools of prime and Alt-A, first lien, one- to four- family residential mortgages. JEFFERSON COUNTY: S&P Retains Negative Watch on Warrants' Ratings ----------------------------------------------------------------- Standard & Poor's Ratings Services has maintained its CreditWatch with negative implications on the rating on Jefferson County, Alabama's general obligation warrants outstanding, except for the rating on the series 2001B warrants, which was recently lowered to 'D'. Also remaining on CreditWatch negative is the rating on Jefferson County Public Building Authority's series 2006 lease- revenue warrants. Revenues available for payment of debt service on the general obligation warrants include ad valorem, sales, business license and occupational taxes; however, none of these legally available revenues is specifically pledged for payment of debt service. Also, in the event of a bankruptcy filing by the county, the entire balance of the 2001B warrants could become due immediately at the request of at least 25% of holders of the warrants, all of which are being held as bank warrants at this time. The rating on Birmingham-Jefferson Civic Center Authority's special tax bonds series 2002-C and 2005-A special tax bonds; the ratings on Jefferson County's limited obligation school warrants outstanding; and the rating on Jefferson County's series 2000 limited-obligation school warrants, issued for the board of education and secured by lease payments from the Jefferson County Board of Education to the county also remain on CreditWatch with negative implications. "The CreditWatch reflects our opinion of the potential for county bankruptcy," said Standard & Poor's credit analyst James Breeding. Standard & Poor's continues to monitor the situation and will adjust ratings as S&P consider appropriate. JG WENTWORTH: Moody's Upgrades Ratings on Notes from Two Deals -------------------------------------------------------------- Moody's Investors Service has upgraded the notes issued in two J.G. Wentworth structured settlement transactions. The transactions involve the securitization of litigation claimants' rights to receive future scheduled payments under settlement agreements (structured settlements). The majority of the assets of the pools are non-court ordered receivables. The securities are supported by an insurance policy issued by MBIA Insurance Corporation. The rating actions are prompted by rating actions affecting the insurer and are part of an ongoing review of ABS transactions. The current rating on the securities is consistent with Moody's practice of rating insured securities at the higher of (1) the guarantor's insurance financial strength rating and (2) the underlying rating, based on Moody's modified approach to rating structured finance securities wrapped by financial guarantors. As part of evaluating the current rating for the securities, Moody's Investors Service also reviewed the underlying rating. The underlying rating reflects the intrinsic credit quality of the securities in the absence of the guarantee. The complete rating actions: Issuer: J.G. Wentworth Receivables IV LLC, Series 1998-A -- Class A Notes, Upgrade to Aa2; Previously on Nov 16, 2008, A2 Placed on Watch Direction Uncertain -- Financial Guarantor: MBIA Insurance Corporation, Insurance Financial Strength Rating of B3; Previously on Feb 18, 2009 Downgraded from Baa1 Issuer: J.G. Wentworth Receivables V LLC, Series 2001-A -- Class A1 Notes, Upgrade to Aa3; Previously on Nov 16, 2008, A2 Placed on Watch Direction Uncertain -- Class A2 Notes, Upgrade to Aa3; Previously on Nov 16, 2008, A2 Placed on Watch Direction Uncertain -- Financial Guarantor: MBIA Insurance Corporation, Insurance Financial Strength Rating of B3; Previously on Feb 18, 2009 Downgraded from Baa1 JP MORGAN: Fitch Junks Ratings on Five 2004-CIBC9 Certificates -------------------------------------------------------------- Fitch Ratings has downgraded and assigned Rating Outlooks or Recovery Ratings to these classes of J.P. Morgan Chase Commercial Mortgage Securities Corp.'s commercial pass-through certificates, series 2004-CIBC9: -- $20.7 million class D to 'A-' from 'A'; Outlook Stable; -- $11 million class E to 'BBB+' from 'A-'; Outlook Stable; -- $15.2 million class F to 'BBB-' from 'BBB+'; Outlook Stable; -- $9.6 million class G to 'BB+' from 'BBB'; Outlook Stable; -- $17.9 million class H to 'B-' from 'BBB-'; Outlook Negative; -- $2.8 million class J to 'B-' from 'BB+'; Outlook Negative; -- $4.1 million class K to 'CCC/RR1' from 'BB'; -- $5.5 million class L to 'CCC/RR1' from 'BB-'; -- $5.5 million class M to 'CC/RR4' from 'B+'; -- $2.8 million class N to 'C/RR6' from 'B'; -- $2.8 million class P to 'C/RR6' from 'B-'. In addition, Fitch has affirmed and assigned Rating Outlooks to these classes: -- $11.2 million class A-1 at 'AAA'; Outlook Stable; -- $146 million class A-2 at 'AAA'; Outlook Stable; -- $103.7 million class A-3 at 'AAA'; Outlook Stable; -- $466.4 million class A-4 at 'AAA'; Outlook Stable; -- $158 million class A-1A at 'AAA'; Outlook Stable; -- Interest-only class X at 'AAA'; Outlook Stable; -- $27.5 million class B at 'AA'; Outlook Stable; -- $13.8 million class C at 'AA-'; Outlook Stable. Fitch does not rate the $13.8 million class NR. The downgrades to classes D through P are due to projected losses on the three specially serviced loans (5.1%). The affirmations to classes A-1 through C reflect sufficient Fitch-expected credit enhancement to the senior classes. The Rating Outlooks indicate the likely direction of any changes to the ratings over the next one to two years. There are three loans in special servicing (5.1%) with losses expected. The largest specially serviced loan (4.3%) is secured by 433,829 square feet of owned space at a 603,207 sf retail property located in Sacramento, CA. The loan transferred March 11, 2008 due to imminent default. The borrower continues to forward excess cash flow, and the loan is paid through March 2009 except for a portion of the replacement reserves. The largest tenant at the property, Gottschalk's (48%), filed for Chapter 11 Bankruptcy protection in January 2009, and in March 2009 announced liquidation of all remaining stores. Another major tenant (10%) indicated that rent payments will cease, but has been paying one month in arrears. The recent appraised value indicates losses. The second largest specially serviced loan (0.5%) transferred April 3, 2006 due to monetary default. The loan is secured by three industrial properties located in Portage, MI which comprise a total of 119,211 sf. The special servicer is discussing a potential deed-in-lieu of foreclosure with the borrower. Fitch expects losses on the loan. The smallest specially serviced loan (0.3%) was transferred to the special servicer Dec. 3, 2008 due to monetary default. The collateral is a 126-unit multifamily complex located in Humble, TX. The year-end 2007 debt service coverage ratio was reported at 1.30x, compared to a reported DSCR of 0.95x through second-quarter 2008. The property was 80% occupied as of June 30, 2008. Losses on the loan are possible. In addition to the specially serviced loans, two loans (1.6%) are currently 30 days delinquent. Fitch expects a higher probability of transfer to the special servicer and eventual losses on these loans. Including the specially serviced and the delinquent loans, 15 loans (12.7%) have been designated as Fitch Loans of Concern. Fitch reviewed financial statements, rent rolls, and other information corresponding to the shadow rated loans: Centro Retail Portfolio II (13.7%) and Grace Building (11%). Based on stable performance since issuance, both loans maintain investment-grade shadow ratings. As of the March 2009 distribution date, the pool's aggregate principal balance has been reduced 5.8 % to $1.04 billion, from $1.1 billion at issuance. Eight loans (6.2%) have defeased since issuance. Five loans (1.8%) mature in 2009, of which two (0.5%) have defeased. For the non-defeased loans maturing in 2009, the weighted-average coupon is 4.57% and the weighted-average servicer-reported DSCR is 1.82x. No loans mature or are anticipated to repay in 2010. JP MORGAN: Moody's Reviews Ratings on 17 Classes of 2008-C2 Notes ----------------------------------------------------------------- Moody's Investors Service placed 17 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass- Through Certificates, Series 2008-C2 on review for possible downgrade due to the magnitude of the recent appraisal reductions for two loans currently in special servicing and the transfer of a third loan to special servicing. As of the April 13, 2009 distribution date, the cumulative appraisal reduction for the pool is $89.9 million which represents 8% of the outstanding pool balance. The appraisal reductions exceed Moody's expected loss for the pool. Moody's will review the recent appraisals for the two loans subject to the appraisal reductions and will continue to monitor the performance of the specially serviced loans and the progress of the special servicer's resolution strategies. Moody's rating action is: -- Class A-M, $116,589,000, on review for possible downgrade; previously affirmed at Aaa on 2/6/2009 -- Class A-J, $61,209,000, on review for possible downgrade; previously downgraded to A2 from Aaa on 2/6/2009 -- Class B, $14,574,000, on review for possible downgrade; previously downgraded to A3 from Aa1 on 2/6/2009 -- Class C, $14,574,000, on review for possible downgrade; previously downgraded to Baa1 from Aa2 on 2/6/2009 -- Class D, $10,201,000, on review for possible downgrade; previously downgraded to Baa2 from Aa3 on 2/6/2009 -- Class E, $10,202,000, on review for possible downgrade; previously downgraded to Baa3 from A1 on 2/6/2009 -- Class F, $13,116,000, on review for possible downgrade; previously downgraded to Ba1 from A2 on 2/6/2009 -- Class G, $11,659,000, on review for possible downgrade; previously downgraded to Ba3 from A3 on 2/6/2009 -- Class H, $16,031,000, on review for possible downgrade; previously downgraded to B2 from Baa1 on 2/6/2009 -- Class J, $14,574,000, on review for possible downgrade; previously downgraded to B3 from Baa2 on 2/6/2009 -- Class K, $14,573,000, on review for possible downgrade; previously downgraded to Caa1 from Baa3 on 2/6/2009 -- Class L, $8,745,000, on review for possible downgrade; previously downgraded to Caa3 from Ba1 on 2/6/2009 -- Class M, $4,372,000, on review for possible downgrade; previously downgraded to Caa3 from Ba2 on 2/6/2009 -- Class N, $5,829,000, on review for possible downgrade; previously downgraded to Ca from Ba3 on 2/6/2009 -- Class P, $4,372,000, on review for possible downgrade; previously downgraded to Ca from B1 on 2/6/2009 -- Class Q, $2,915,000, on review for possible downgrade; previously downgraded to Ca from B2 on 2/6/2009 -- Class T, $4,372,000, on review for possible downgrade; previously downgraded to Ca from B3 on 2/6/2009 LANDMARK II: Moody's Downgrades Ratings on Various Classes ---------------------------------------------------------- Moody's Investors Service downgraded and left under review for possible downgrade these notes issued by Landmark II CDO Ltd.: -- $188,000,000 Class A Senior Secured Floating Rate Notes, Due 2012, Downgraded to Aa3 and Placed Under Review for Possible Downgrade; previously on September 18, 2002 Assigned Aaa; -- $12,000,000 Class B Second Priority Floating Rate Notes, Due 2012, Downgraded to Ba1 and Placed Under Review for Possible Downgrade; previously on March 4, 2009 Aa2, Placed Under Review for Possible Downgrade. Additionally, Moody's downgraded these notes: -- $24,000,000 Class C Third Priority Floating Rate Notes, Due 2012, Downgraded to Ca; previously on March 4, 2009 B1, Placed Under Review for Possible Downgrade; -- $6,000,000 Class D Fourth Priority Floating Rate Notes, Due 2012, Downgraded to C; previously on October 16, 2008 Downgraded to Ca. Landmark II CDO Ltd. is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The trustee has reported that it has received a Notice of Default dated March 27, 2009, from a party identifying itself to be the Holder of more than twenty-five percent of the Aggregate Outstanding Amount of the Controlling Class. The Class A Notes are currently the Controlling Class. Such Notice of Default states that a Default has occurred under Section 5.1(e) of the Indenture, as a result of the purchase by the Issuer of numerous obligations in violation of the maturity requirements set forth in Clause (f)(3)(ii) of the definition of "Collateral Debt Obligation" contained in the Indenture. The Notice of Default further states, among other things, that such acquisition of obligations, the subsequent sale of some of those obligations, and the continued holding of others has had a material adverse effect on the Holder of the Notes. Pursuant to Section 5.1(e) of the Indenture, if the breach cited in the Notice of Default is not cured within 30 days, an Event of Default will occur under the Indenture. The rating actions taken reflect the risk of occurrence of an Event of Default, the application of Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," the calculation of the Diversity Score, and consideration of credit deterioration in the underlying portfolio. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009. Credit deterioration of the collateral pool is observed in, among others, a decline in the average credit rating (as measured through the weighted average rating factor), an increase in the dollar amount of defaulted securities, and failure of the Class C and D Overcollateralization Tests. The rating actions also reflect increased concerns about the uncertainties arising from the potential for acceleration of the Notes or liquidation of the collateral should an Event of Default occur and continue. As provided in Article 5 of the Indenture, during the occurrence and continuance of an Event of Default, a majority of the Controlling Class may vote to accelerate the payments on the Notes by declaring the principal of all the Notes to be immediately due and payable. In addition, the Holders of at least 66-2/3% of the Aggregate Outstanding Amount of the Controlling Class may direct the trustee to proceed with the sale and liquidation of the collateral. The severity of any potential losses to the Notes may depend on the timing and choice of these remedies following an Event of Default. As a result of these uncertainties, the Class A and B Notes were downgraded. They remain under review for possible further downgrade as the possibility for an Event of Default arising from the Notice of Default continues. In concluding its review, Moody's expects to analyze the likelihood of an Event of Default that results in subsequent acceleration and liquidation. LANDMARK II: S&P Downgrades Ratings on Four Classes of Notes ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on the class A, B, C, and D notes issued by Landmark II CDO Ltd., an arbitrage high-yield collateralized loan obligation transaction managed by Aladdin Capital Management LLC. At the same time, S&P placed its ratings on the class A and B notes on CreditWatch with negative implications. The downgrades reflect a decline in par value caused by the sale of long-dated assets (assets with maturity dates that are beyond the stated maturity date of the transaction) that the transaction was carrying in its portfolio. Since the time of S&P's analysis for the last rating action, the transaction has sold more than $57.0 million of its long-dated securities, netting $47.9 million in proceeds. Based on the February 2009 report, the transaction holds approximately $15.0 million in long-dated securities, or 12.3% of the collateral, which is more than the transaction's covenant maximum of 2.5%. The transaction's loss of par has eroded the credit support available to the rated notes. Additionally, the loss in par from the sale of the long-dated securities caused the transaction to fail its class C and D par coverage tests during the March 2009 payment period, resulting in the deferment of interest to the class D notes. On March 27, 2009, a party representing 25% of the aggregate outstanding amount of the controlling class issued a notice of default pursuant to section 5.1(e) of the indenture. If the long- dated securities are not back in compliance with the deal covenants within 30 days of the notice, the trustee could issue an event of default notice. If the event of default is issued, the majority of the controlling class will have the ability to call for a liquidation of the portfolio. The CreditWatch placements of the class A and class B note ratings will remain in effect pending the potential resolution of the notice of default and reflect the uncertainties regarding the outcome. Standard & Poor's will continue to monitor the performance of the transaction to ensure that the ratings continue to reflect the credit quality of the obligors within the collateral pool and that the credit enhancement available is sufficient to support the rated notes. Rating And Creditwatch Actions Landmark II CDO Ltd. Rating Balance ($ mil.) ------ ---------------- Class To From Current Previous ----- -- ---- ------- -------- A AA/Watch Neg AAA 67.84 130.51 B BBB/Watch Neg AA 12.00 12.00 C CCC B/Watch Neg 24.00 24.32 D CC CCC/Watch Neg 6.31 6.15 Transaction Information ----------------------- Issuer: Landmark II CDO Ltd. Co-issuer: Landmark II CDO Inc. Current manager: Aladdin Capital Management LLC Underwriter: Mizuho International PLC Trustee: Deutsche Bank Trust Co. Americas Transaction type: Arbitrage high-yield CLO LASALLE COMMERCIAL: Moody's Cuts Ratings on 12 2005-MF1 Notes ------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 12 classes and affirmed one class of Lasalle Commercial Mortgage Securities, Inc., Commercial Mortgage Pass-Through Certificates, Series 2005- MF1. The downgrades are due to higher expected losses for the pool resulting from increased leverage, reduced debt service coverage, and anticipated losses from loans in special servicing. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the March 20, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 26% to $287.0 million from $387.3 million at securitization. The Certificates are collateralized by 279 mortgage loans with an average loan size of $1.0 million. The top 10 loans represent 10% of the pool. One hundred fifteen loans, representing 39% 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. Nine loans have been liquidated from the trust, resulting in an aggregate realized loss of approximately $2.4 million. Eighteen loans, representing 9% of the pool, are currently in special servicing. Six of the loans, representing 2% of the pool, are real estate owned and six loans, representing 4% of the pool, are in the process of foreclosure. Moody's is estimating an aggregate $6.7 million loss from the specially serviced loans. As of the March 20, 2009 distribution date, cumulative unpaid interest totaled $563,000, resulting in interest shortfalls to Classes H, J, K, L, M and N. In general, interest shortfalls are caused by trust expenses associated with specially serviced loans, including special servicing fees, legal expenses and other expenses associated with the resolution of a loan. Interest shortfalls can also result when the servicer only advances a portion of the monthly principal and interest payment for a specially serviced loan because of a decline in the value of the underlying property (based on an appraisal reduction determination), or the servicer recovers previous P&I over- advances prior to a loan being liquidated. Moody's was provided with full-year 2007 and partial-year 2008 operating results for 89% and 13% of the pool, respectively. Moody's weighted average loan to value ratio is 109% compared to 96% at Moody's prior full review in November 2008. Moody's rating action is: -- Class A, $240,916,396, downgraded to Aa1 from Aaa; previously affirmed at Aaa on 11/12/2008 -- Class X, Notional, downgraded to Aa1 from Aaa; previously affirmed at Aaa on 11/12/2008 -- Class B, $7,263,000, downgraded to A1 from Aa2; previously affirmed at Aa2 on 11/12/2008 -- Class C, $10,168,000, downgraded to Baa1 from A2; previously affirmed at A2 on 11/12/2008 -- Class D, $6,779,000, downgraded to Ba1 from Baa1; previously affirmed at Baa1 on 11/12/2008 -- Class E, $2,905,000, downgraded to Ba2 from Baa2; previously affirmed at Baa2 on 11/12/2008 -- Class F, $2,905,000, downgraded to B1 from Ba1; previously downgraded to Ba1 from Baa3 on 11/12/2008 -- Class G, $4,842,000, downgraded to B3 from Ba3; previously downgraded to Ba3 from Ba1 on 11/12/2008 -- Class H, $1,936,000, downgraded to Caa1 from B1; previously downgraded to B1 from Ba2 on 11/12/2008 -- Class J, $1,937,000, downgraded to Caa3 from B3; previously downgraded to B3 from B1 on 11/12/2008 -- Class K, $968,000, downgraded to Ca from Caa1; previously downgraded to Caa1 from B2 on 11/12/2008 -- Class L, $1,937,000, downgraded to Ca from Caa2; previously downgraded to Caa2 from B3 on 11/12/2008 -- Class M, $969,000, affirmed at Ca; previously downgraded to Ca from Caa2 on 11/12/2008 LEHMAN BROTHERS: Moody's Affirms 'B/MR1+' Rating on Liquidity Fund ------------------------------------------------------------------ Moody's Investors Service confirmed the B/MR1+ fund rating of the Lehman Brothers US Dollar Liquidity Fund. This concludes a review of the rating, which Moody's initiated on September 22, 2008. The Fund was terminated on March 30, 2009. Shareholders of the Fund received 98% of their redemption proceeds on the date of termination. Moody's will withdraw the rating as the Fund has terminated. The last rating action concerning this fund was taken on September 22, 2008 when Moody's downgraded the rating of the fund to B/MR1+ following its suspension of redemptions and placed the rating on review for possible further downgrade. LEHMAN MORTGAGE: S&P Downgrades Ratings on 22 Classes of Notes -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 22 classes from Lehman Mortgage Trust 2005-1, a U.S. prime jumbo residential mortgage-backed securities transaction issued in 2005. At the same time, S&P removed 21 of the lowered ratings from CreditWatch with negative implications, affirmed S&P's ratings on 10 classes, and removed seven of the affirmed ratings from CreditWatch negative. To assess the creditworthiness of each class, S&P reviewed the individual delinquency and loss trends of this 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 127% of S&P's base-case loss assumptions in order to maintain a 'BB' rating, while S&P considers whether a different class can withstand approximately 154% 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 S&P's 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 this deal 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 this transaction 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 this transaction and take additional rating actions as S&P deems appropriate. Rating Actions Lehman Mortgage Trust Series 2005-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 52520MAA1 AAA AAA/Watch Neg 1-A3 52520MAC7 BB AAA/Watch Neg 2-A1 52520MAD5 BB AAA/Watch Neg 2-A2 52520MAE3 AAA AAA/Watch Neg 2-A3 52520MAF0 AAA AAA/Watch Neg 2-A4 52520MAG8 AAA AAA/Watch Neg 2-A5 52520MAH6 BB AAA/Watch Neg 3-A1 52520MAJ2 BB AAA/Watch Neg 4-A1 52520MAK9 BB AAA/Watch Neg 4-A2 52520MAL7 BB AAA/Watch Neg 4-A3 52520MAM5 BB AAA/Watch Neg 4-A4 52520MAN3 BB AAA/Watch Neg 4-A5 52520MAP8 BB AAA/Watch Neg 4-A6 52520MAQ6 AAA AAA/Watch Neg 4-A7 52520MAR4 BB AAA/Watch Neg 4-A8 52520MAS2 BB AAA/Watch Neg 4-A9 52520MAT0 AAA AAA/Watch Neg 4-A10 52520MAU7 BB AAA/Watch Neg 5-A1 52520MAV5 AAA AAA/Watch Neg 5-A2 52520MAW3 BB AAA/Watch Neg 6-A1 52520MAX1 BB AAA/Watch Neg 7-A1 52520MAY9 BB AAA/Watch Neg AP 52520MAZ6 BB AAA/Watch Neg B1 52520MBD4 CCC AA+/Watch Neg B2 52520MBE2 CCC AA/Watch Neg B3 52520MBF9 CC BB/Watch Neg B4 52520MBG7 CC B/Watch Neg B5 52520MBH5 CC B-/Watch Neg B6 52520MBK8 CC CCC Ratings Affirmed Lehman Mortgage Trust Series 2005-1 Class CUSIP Rating ----- ----- ------ 1-A2 52520MAB9 AAA AX 52520MBB8 AAA PAX 52520MBC6 AAA MAGNOLIA FINANCE: S&P Downgrades Ratings on Various Notes to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the notes from Magnolia Finance II PLC's series 2006-8B, 2006-8C, 2006-8DG, 2006-8DU, 2006-8E, and 2006-8F to 'D' from 'CCC-'. The lowered ratings follow a number of recent write-downs on the underlying reference entities, which have caused the notes to incur principal losses. Ratings Lowered Magnolia Finance II PLC Series 2006-8B Rating ------ Class To From ----- -- ---- Notes D CCC- Magnolia Finance II PLC Series 2006-8C Rating ------ Class To From ----- -- ---- Notes D CCC- Magnolia Finance II PLC Series 2006-8DG Rating ------ Class To From ----- -- ---- Notes D CCC- Magnolia Finance II PLC Series 2006-8DU Rating ------ Class To From ----- -- ---- Notes D CCC- Magnolia Finance II PLC Series 2006-8E Rating ------ Class To From ----- -- ---- Notes D CCC- Magnolia Finance II PLC Series 2006-8F Rating ------ Class To From ----- -- ---- Notes D CCC- MAGNOLIA FINANCE: S&P Cuts Ratings on 2006-5 Notes to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the notes from Magnolia Finance II PLC's series 2006-5CE, 2006-5CG, 2006-5CU, and 2006-5D2 to 'D' from 'CCC-'. The lowered ratings follow a number of recent write-downs on the underlying reference entities, which have caused the notes to incur principal losses. Ratings Lowered Magnolia Finance II PLC Series 2006-5CE Rating ------ Class To From ----- -- ---- Notes D CCC- Magnolia Finance II PLC Series 2006-5CG Rating ------ Class To From ----- -- ---- Notes D CCC- Magnolia Finance II PLC Series 2006-5CU Rating ------ Class To From ----- -- ---- Notes D CCC- Magnolia Finance II PLC Series 2006-5D2 Rating ------ Class To From ----- -- ---- Notes D CCC- MERRILL LYNCH: Fitch Puts Ratings on 1999-C1 Certs. on Neg. Watch ----------------------------------------------------------------- Fitch Ratings places five classes of Merrill Lynch Mortgage Investors, Inc.'s mortgage pass-through certificates, series 1999- C1 on Rating Watch Negative: -- $32.6 million class B 'AAA'; Rating Watch Negative; -- $26.7 million class C 'AAA'; Rating Watch Negative; -- $8.9 million class D 'AAA'; Rating Watch Negative; -- $20.7 million class E 'AA'; Rating Watch Negative; -- $7.4 million class F 'BBB'; Rating Watch Negative. Fitch also affirms and assigns Rating Outlooks to these classes: -- $216.9 million class A-2 at 'AAA'; Outlook Stable; -- Interest only class IO at 'AAA'; Outlook Stable. Additionally, Fitch affirms these classes: -- $23.7 million class G at 'CC/RR3; -- $20.7 million class H at 'C/RR6'. The long-term rating of the $2.4 million class J has been lowered to 'D/RR6' due to already incurred realized losses. Class K has been reduced to zero due to realized losses, and class A-1 has paid in full. 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. The Rating Watch Negative placements are due to future anticipated interest shortfalls on classes B through F. The master servicer has declared previous advances on a specially serviced loan non- recoverable. It is anticipated that these advances will be recouped from the trust in June 2009 and will impact classes B through F. The Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. The advances deemed non-recoverable were due to a specially serviced loan (1.7%) where the asset was disposed after the loan became real estate-owned. There has been ongoing litigation between the trust and the former borrower due to the borrower's bankruptcy filing and a dispute regarding the asset's sale proceeds. A favorable settlement to the trust has been reached; however, the timing and the amount of proceeds that will be applied to the trust are unknown at this time. The master servicer is electing to recoup the advances before the majority of loans in the trust mature in 2009. Currently, there are two other assets (8.3%) in special servicing. The largest asset is an office building (4.2%) in Dallas, TX, that lost its sole tenant. As of January 2009, the building was 11% occupied. The debt service payments are currently being made by reserves. The next largest specially serviced asset has been real-estate owned since 2005 and is listed for sale. he property is an office building (4.1%) in Irving, TX, that is currently 60% occupied. As of the March 2009 distribution date, the transaction balance has been reduced by 39.2% to $360.0 million from $592.5 million at issuance. In total, 23 loans (31%) have defeased, including three (11.6%) of the top 10 loans in the pool. MEZZ CAP: S&P Puts Ratings on 28 Classes on Negative Watch ---------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on 28 classes of certificates from Mezz Cap Commercial Mortgage Trust's series 2004-C1, 2004-C2, 2005-C3, 2006-C4, and 2007-C5 on CreditWatch with negative implications. The negative CreditWatch placements reflect Standard & Poor's preliminary analysis of the specially serviced loans and other credit-impaired loans in the transactions. S&P's analysis assumes higher loss severities than are typical for commercial mortgage- backed securities loans due to the subordinated nature of the collateral, which consists of class B notes. In addition, the CreditWatch placements reflect the unfavorable performance of each of the collateral pools, which have an average delinquency rate of 13.31%. Our analysis also considered the reported interest shortfalls as of the March 17, 2009, trustee remittance reports and anticipated shortfalls for each of the respective transactions. The shortfalls occurred after the master servicer, Wachovia Bank N.A. (Wachovia), declared future payment advances nonrecoverable on 67 loans of 494 loans (14%) in the five transactions. 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 the specially serviced assets. Standard & Poor's preliminary assessment indicates that the shortfalls are likely to recur for a prolonged period of time. Standard & Poor's will resolve the CreditWatch negative placements when S&P completes its review of the specially serviced assets and review the credit characteristics of the remaining loans in the pools. Ratings Placed On Creditwatch Negative Mezz Cap Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A AAA/Watch Neg AAA 38.72 B AA+/Watch Neg AA+ 32.68 C AA-/Watch Neg AA- 27.75 D BBB+/Watch Neg BBB+ 21.71 E BBB/Watch Neg BBB 18.56 G BB/Watch Neg BB 12.66 Mezz Cap Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-C2 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A AAA/Watch Neg AAA 32.04 B AA/Watch Neg AA 27.86 C A/Watch Neg A 24.60 D BBB/Watch Neg BBB 19.51 E BB+/Watch Neg BB+ 17.42 Mezz Cap Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-C3 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A AAA/Watch Neg AAA 33.82 B AA/Watch Neg AA 30.87 C A/Watch Neg A 27.80 D BBB/Watch Neg BBB 22.68 E BBB-/Watch Neg BBB- 19.73 Mezz Cap Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-C4 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A AAA/Watch Neg AAA 29.39 B AA/Watch Neg AA 26.77 C A/Watch Neg A 24.15 D BBB/Watch Neg BBB 19.95 E BBB-/Watch Neg BBB- 18.51 F BB/Watch Neg BB 15.50 Mezz Cap Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2007-C5 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A AAA/Watch Neg AAA 29.53 B AA/Watch Neg AA 27.40 C A/Watch Neg A 24.52 D BBB/Watch Neg BBB 20.39 E BBB-/Watch Neg BBB- 18.51 F BB/Watch Neg BB 15.38 ML-CFC COMMERCIAL: DBRS Junks Series 2006-1 Notes Classes N and P ----------------------------------------------------------------- Dominion Bond Rating Service downgraded the ratings of six classes of ML-CFC Commercial Mortgage Trust, Series 2006-1: -- Class J to BB from BB (high) -- Class K to BB (low) from BB -- Class L to B (high) from BB (low) -- Class M to B from B (high) -- Class N to CCC from B -- Class P to CCC from B (low) The changes primarily reflect an increase in the number of delinquent loans and the potential losses that may result since DBRS's last review. While the estimated losses are expected to be contained to the unrated Class Q, the resulting credit enhancement levels were not sufficient to confirm all ratings within the transaction. Credit enhancement was sufficient to confirm the A Classes and Classes B through H. All trends of the transaction are Stable. Since its last review, the number of delinquent loans has increased from one 30-day delinquent loan (0.1% of the pool) to six delinquent or specially serviced loans, totaling 1.8% of the pool. These six loans are collateralized by three multi-family complexes, two office properties and one retail center and have all reported significant declines in performance. Of the five loans in special servicing (1.7% of the pool), only one loan, New City Office (0.5% of the pool), is current. The special servicer is currently evaluating resolution options and DBRS has estimated potential losses for these loans, which can be found within the performance update report. DBRS also increased its HotList to a total of ten loans, or 5.2% of the transaction. The two largest of these loans, Inglewood Park and Colonial Mall Glynn Place (combined 3.1% of the transaction), were previously HotListed and have continued to experience occupancy-related issues; however, both loans remain current. DBRS will continue to monitor the transaction's delinquent, specially serviced and HotListed loans closely through its "Monthly CMBS Surveillance Report." The majority of the remaining loans in the transaction have maintained stable performance since issuance, reporting a weighted-average debt service coverage ratio (WADSCR) of 1.60 times (x) (on a whole-loan and P&I basis). There has been little change in the pool's underlying collateral since issuance as 148 of the original 152 loans remain after four small loans (0.4% of the pool balance at issuance) prepaid from the pool. The deal is concentrated, with its 10 largest loans accounting for 46.2% of the pool. It also has a high concentration in retail properties, which represent 38.4% of the current pool balance. The retail concentration, however, is diversified by type, including regional malls and anchored and unanchored shopping centers. As of April 2009, the transaction has a total balance of $2,094,775,873, representing a cumulative collateral reduction of 2.2% since issuance. The transaction also benefits from having three shadow-rated investment-grade loans (totaling 13.5% of the pool). These shadow ratings are associated with the A-Note piece(s) of Kenwood Towne Centre (Kenwood, 6.7% of the current pool balance), rated AAA; 60 State Street (6.2% of the current pool balance), rated AAA; and Southern California Ground Lease Portfolio (0.6% of the pool), rated "A". The Kenwood loan is jointly owned by Teacher's Retirement System of the State of Illinois and a General Growth Properties (GGP) related special-purpose entity (SPE). GGP has recently filed for bankruptcy protection after having difficulties with financing its maturing debt. The loan's shadow rating continues to be supported by the performance of the asset and credit enhancement provided by the subordinate B-Note. However, if the loan is ultimately transferred to special servicing as a result of the bankruptcy, the transaction will be subject to a loss from a potential 1% special servicing fee and additional expenses. DBRS will continue to monitor the events following GGP's filing. ML-CFC COMMERCIAL: Fitch Cuts Ratings on 2006-1 Certs. to Low-B --------------------------------------------------------------- Fitch Ratings downgrades nine classes of ML-CFC Commercial Mortgage Trust's 2006-1 commercial mortgage pass-through certificates and revises Rating Outlooks: -- $24.1 million class F to 'BBB' from 'BBB+'; Outlook Negative; -- $16.1 million class G to 'BBB-' from 'BBB'; Outlook Negative; -- $26.8 million class H to 'BB+' from 'BBB-'; Outlook Negative; -- $5.4 million class J to 'BB' from 'BB+'; Outlook Negative; -- $5.4 million class K to 'BB-' from 'BB'; Outlook Negative; -- $8 million class L to 'B+' from 'BB-'; Outlook Negative; -- $2.7 million class M to 'B' from 'B+'; Outlook Negative; -- $8 million class N to 'B-' from 'B'; Outlook Negative; -- $5.4 million class P to 'CCC/RR1' from 'B-'. Additionally, Fitch affirms these classes and revises Rating Outlooks: -- $27.8 million class A-1 at 'AAA'; Outlook Stable; -- $337.5 million class A-2 at 'AAA'; Outlook Stable; -- $66.1 million class A-3 at 'AAA'; Outlook Stable; -- $105.1 million class A-3FL at 'AAA'; Outlook Stable; -- $75 million class A-3B at 'AAA'; Outlook Stable; -- $121 million class A-SB at 'AAA'; Outlook Stable; -- $489.5 million class A-4 at 'AAA'; Outlook Stable; -- $240 million class A-1A at 'AAA'; Outlook Stable; -- $214.2 million class AM at 'AAA'; Outlook Stable; -- $82.1 million class AJ at 'AAA'; Outlook Stable; -- $100 million class AN-FL at 'AAA'; Outlook Stable; -- Interest-only class X at 'AAA'; Outlook Stable; -- $50.9 million class B at 'AA'; Outlook Stable; -- $21.4 million class C at 'AA-'; Outlook revised to Negative from Stable; -- $29.4 million class D at 'A'; Outlook revised to Negative from Stable; -- $16.1 million class E at 'A-'; Outlook revised to Negative from Stable. Fitch does not rate the $26.8 million class Q. The downgrades are due to the expected losses from five loans (1.7%) which transferred to special servicing since Fitch's last rating action. All of the specially serviced loans are currently delinquent and the special servicer is still in negotiations with the borrowers. In total, Fitch considers 19 loans (10.01%) to be Fitch Loans of Concern, including the specially serviced loans, due to low occupancies, low debt service coverage ratios or sponsors with issues. These concerns are reflected in the Negative Outlooks. The largest specially serviced loan (0.51%) is secured by an office property in New City, NY. The largest tenant recently vacated the property and the borrower is having difficulty leasing the vacant space. The second largest specially serviced loan (0.32%) is secured by an unanchored retail center in Kissimmee, FL. The property was approximately 55% occupied as of year-end 2008 and cash flow from the property is insufficient to cover debt service. The third (0.3%) and fourth (0.27%) largest specially serviced loans have common sponsorship and are secured by multi-family properties in Barstow, CA. The loans were transferred pending sale of the properties and assumption of the loans which have now fallen through. The properties remain on the market. The final specially serviced loan (0.27%) is secured by a multi- family property in Stanford, FL. The loan transferred due to notice of imminent default by the borrower. Fitch believes that losses on all of the specially serviced loans are likely though not yet imminent. As of the March 2009 remittance report, the transaction has paid down 2.1% to $2.1 billion from $2.14 billion at issuance. There are no loans maturing in 2009 and 8.4% mature in 2010. Three loans (13.5%) are shadow rated by Fitch: Kenwood Towne Centre (6.7%), 60 State Street (6.2%) and Southern California Ground Leases (0.6%). Based on their stable performance since issuance the loans maintain their investment grade credit assessments. The Kenwood Towne Center loan is secured by 867,504 square feet (sf) of in-line space within a 1.13 million sf regional mall in Cincinnati, OH. As of year-end 2008, in-line occupancy at the property was 95.5% compared to 98.8% at issuance. The loan's sponsor is General Growth Properties and the loan matures in December 2010. The 60 State Street loan is secured by an 823,014 sf office building in Boston, MA. Major tenants include Wilmer Cutler Pickering Hale & Dorr and The Pioneering Group. Occupancy as of year-end 2008 was 96.6% compared to 98% at issuance. The Southern California Ground Leases loan is secured by the ground leases of four industrial properties located in Los Angeles, Brea, and Culver City, CA. Occupancy at the properties as of year-end 2008 has remained stable at 100% since issuance. MORGAN STANLEY: Fitch Affirms 'BB+' Rating on Class H Notes ----------------------------------------------------------- Fitch Ratings has affirmed and assigned Rating Outlooks to Morgan Stanley Dean Witter Capital I Inc.'s commercial mortgage pass- through certificates, series 2003-HQ2: -- $124 million class A-1 at 'AAA'; Outlook Stable; -- $522.2 million class A-2 at 'AAA'; Outlook Stable; -- Interest-only classes X-1 and X-2 at 'AAA'; Outlook Stable; -- $39.6 million class B at 'AAA'; Outlook Stable; -- $41.9 million class C at 'AA-'; Outlook Stable; -- $9.3 million class D at 'A'; Outlook Stable; -- $9.3 million class E at 'A-'; Outlook Stable; -- $10.5 million class F at 'BBB'; Outlook Stable; -- $8.2 million class G at 'BBB-'; Outlook Negative; -- $14 million class H at 'BB+'; Outlook Negative. Fitch does not rate classes J, K, L, M, N, and O. The affirmations are the result of stable pool performance since Fitch's last rating action. The Rating Outlooks reflect the likely direction of any changes to the ratings over the next one to two years. As of the March 2009 distribution date, the pool's aggregate principal balance has decreased 13.9% to $801.8 million, from $931.6 million at issuance. Thirteen loans (17.8%) have defeased since issuance. There are currently two specially serviced loans (1.7%). The larger specially serviced loan (1.1%) is secured by a 142,322 square foot retail property located in Aberdeen, WA. The loan transferred Jan. 9, 2009 after the tenant-in-common sponsor and master lessee, DBSI, filed for Chapter 11 bankruptcy protection. The loan is 90 days delinquent. As of third-quarter 2008, the servicer-reported debt service coverage ratio was 1.63 times (x), and the occupancy was 93%. The smaller specially serviced loan (0.5%) transferred Jan. 9, 2009 and is secured by a 40,331 sf retail property located in Lake Worth, TX. The property was 64% occupied as of the March remittance date, and had a servicer-reported DSCR of 0.90x through Sept. 30, 2008, compared to 0.59x at year-end 2007. According to the special servicer, the property is well located but suffers from poor visibility. The Fitch-projected losses for both specially serviced assets are expected to be fully absorbed by the unrated class O. Including the specially serviced loans (1.7%), four loans (2.9%) have been designated Fitch Loans of Concern. Five loans (42.1%), one of which has repaid in full, were shadow rated investment grade at issuance. The four remaining shadow ratings remain investment grade. The 1290 Avenue of the Americas loan (20%) is secured by a 43- story class A office building totaling 2 million sf, which is located in Midtown Manhattan. The whole loan was divided into four pari passu notes and a subordinate B note. Only the $126.5 million A-4 and the $34.1 million A-5 notes are included in the trust. As of Sept. 30, 2008, occupancy stood at 99%, unchanged from issuance. The Fitch stressed DSCR through third-quarter 2008 was 1.66x, compared to 1.46x at issuance. The Oakbrook Center loan (9.4%) is secured by the fee interest in 942,039 sf of owned retail space; 240,223 sf of office space in three buildings; and the ground leases for a 172-room Renaissance Hotel, and the Nordstrom, Neiman Marcus, and Bloomingdale's Home Store anchor spaces. The property is located in Oak Brook, IL. The whole loan was divided into four pari passu notes, one of which is included in the trust. Occupancy was 95% as of September 2008, compared to 94% at issuance. The Fitch stressed DSCR through third-quarter 2008 was 2.13x, compared to 1.49x at issuance. General Growth Properties and California Public Employees' Retirement System are the loan sponsors. The loan matures Oct. 1, 2012. The 52 Broadway loan (6.9%) is secured by a 399,935 sf single tenant office property located in the downtown submarket of Manhattan. The property has been 100% occupied since issuance, and the tenant's lease extends through 2034. The Fitch stressed DSCR was 1.63x through year-end 2008, compared to 1.52x at issuance. The TruServ Portfolio I loan (3.1%) is secured by three industrial properties located in Springfield, OR, Fogelsville, PA, and Kingman, AZ. The properties are leased to TruServ on three separate triple-net leases expiring 2022, and the portfolio has remained 100% occupied since issuance. Through third-quarter 2008, the Fitch stressed DSCR was 1.90x. This compares to 1.60x at issuance. There is limited near-term refinance risk to the transaction. The next scheduled maturities do not occur until 2012, when 33.8% of the loans mature. The Negative Rating Outlooks reflect the pool's concentration risk, as the top 10 loans represent 70.3% of the outstanding principal balance. MORGAN STANLEY: Fitch Puts Ratings on 2007-XLF Notes on Neg. Watch ------------------------------------------------------------------ Fitch Ratings has placed these classes of Morgan Stanley Capital I Inc., series 2007-XLF on Rating Watch Negative: -- $41.2 million class C at 'AA'; Rating Watch Negative; -- $25.2 million class D at 'AA-'; Rating Watch Negative; -- $27.4 million class E at 'A+'; Rating Watch Negative; -- $26.3 million class F at 'A'; Rating Watch Negative; -- $26.6 million class G at 'A-'; Rating Watch Negative; -- $13.5 million class H from at 'BBB-'; Rating Watch Negative; -- $20.6 million class J at 'BB+'; Rating Watch Negative; -- $20.6 million class K at 'BB'; Rating Watch Negative; -- $21.1 million class L at 'BB-'; Rating Watch Negative; -- $5.5 million class M-HRO at 'BBB'; Rating Watch Negative; -- $8.4 million class N-HRO at 'BBB-'; Rating Watch Negative. The Rating Watch Negative is due to the transfer of two loans, HRO Hotel Portfolio (18.7%) and Le Meridian Cancun (3.2%), to special servicing since Fitch's last review in November 2008. The HRO Portfolio transferred on April 15, 2009 and Le Meridian transferred on March 20, 2009. The special servicers are still in the process of determining a workout strategy for the loans. The HRO Hotel Portfolio, the largest loan in the pool, transferred to the special servicer due to imminent default. The loan is collateralized by six full-service hotels (there were seven at issuance, one has been released) that are all undergoing significant renovations. The loan is currently delinquent and the borrower has requested relief from debt service payments. The combination of ongoing renovations at the properties and the economic downturn has put significant pressure on the cash flow at the properties. The servicer also reported a mechanics lien may be filed on one of the properties due to unpaid bills for the renovations. At closing, the sponsors, Morgan Stanley Real Estate fund, California State Teachers Retirement System and Pyramid Advisors, LLC posted a letter of credit in the amount of $102.1 million ($43,000/key) for the renovations. As of April 9, 2009, the LOC had a remaining balance of $31.5 million. The loan exercised its first extension option and has an extended maturity date of Oct. 9, 2009. There are two one-year extensions remaining. Le Meridian transferred to the special servicer due to imminent default. The loan is currently delinquent. The property, located in Cancun, Mexico has experienced a decline in Fitch-stressed net cash flow by approximately 60% since issuance based on servicer- provided Feb. 28, 2009 trailing 12 month financial statements. The decline is due primarily to lower occupancy and average daily rate over the past year as compared to issuance and continued pressures on vacation destinations such as Cancun. MORGAN STANLEY: Moody's Affirms Ratings on Two 1998-CF1 Classes --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of two classes and upgraded three classes of Morgan Stanley Capital I Inc., Commercial Mortgage Pass-Through Certificates, Series 1998-CF1. The upgrades are due to increased subordination due to amortization and payoffs and overall stable pool performance. The pool balance has decreased by 58% since last review. 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 89% to $124.7 million from $1.1 billion at securitization. The Certificates are collateralized by 58 loans ranging in size from less than 1% to 8% of the pool, with the 10 largest loans representing 51% of the pool. Five loans, representing 8% of the pool, have defeased and are secured by U.S. Government securities. Twelve loans, representing 26% 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. Forty-seven loans have been liquidated from the pool, resulting in an aggregate realized loss of approximately $76.5 million. Classes J, K, L, M and N have been eliminated entirely due to losses and Class H has experienced a loss of $6.2 million. Three loans, representing 8% of the pool, are currently in special servicing. Two of the loans, representing 2.5% of the pool, are secured by healthcare properties and the third is secured by a multifamily property. Moody's is estimating an aggregate loss of approximately $3.9 million for the specially serviced loans. As of the most recent distribution date, unpaid interest totaled $5.8 million for Class H. In general, interest shortfalls are caused by trust expenses associated with specially serviced loans, including special servicing fees, legal expenses and other expenses associated with the resolution of a loan. Interest shortfalls can also result when the servicer only advances a portion of the monthly principal and interest payment for a specially serviced loan because of a decline in the value of the underlying property (based on an appraisal reduction determination), or the servicer recovers previous P&I over- advances prior to a loan being liquidated. Moody's was provided with full-year 2007 and partial or full-year 2008 operating results for 83% and 71% of the pool, respectively. Moody's loan to value ratio is 74%, the same as in Moody's prior full review in April 2008. The top three non-defeased loans represent 7.9% of the pool. The largest loan is the Bristol Market Place Loan ($9.9 million -- 7.9%) which is secured by a 99,256 square foot retail center located in Santa Ana, California. The major tenants include Smart & Final and a Sav-On. The center was 92% occupied as of February 2009 compared to 98% at last review. Moody's LTV is 71% compared to 72% at last review. The second largest loan is the Preston Place Apartments Loan ($9.2 million -- 7.4%) which is secured by a 239-unit multifamily property located in Plano, Texas. Performance has been stable since last review. Moody's LTV is 50% compared to 51% at last review. The third largest loan is the Van Dorn Station Loan ($7.4 million -- 6.0%) which is secured by a 75,000 square foot retail center located in Alexandria, Virginia. The center is primarily tenanted by restaurants and service tenants. Performance has been stable since last review. Moody's valuation of this loan incorporates a stressed cash flow due to Moody's concerns about the retail environment. Moody's LTV is 50% compared to 49% at last review. Moody's rating action is: -- Class X, Notional, affirmed at Aaa; previously affirmed at Aaa on April 7, 2008 -- Class D, $45,081,272, upgraded to Aaa from Aa2; previously upgraded to Aa2 from Aa3 on April 7, 2008 -- Class E, $19,378,000, upgraded to A2 from Baa2; previously upgraded to Baa2 from Ba2 on April 7, 2008 -- Class F, $22,146,000, upgraded to B2 from B3; previously upgraded to B3 from Caa2 on April 7, 2008 -- Class G, $33,218,000, affirmed at C; previously affirmed at C on April 7, 2008 -- Class H, $4,850,335, affirmed at C; previously affirmed at C on April 7, 2008 MORGAN STANLEY: S&P Corrects Rating on Two Classes of 2006-8 Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services corrected its ratings on two classes of Morgan Stanley ACES SPC's secured fixed-rate notes series 2006-8 by lowering its rating on the $3 million class A-7 notes to 'CCC+' from 'B' and raising its rating on the $3 million class A-11 notes to 'BB+' from 'BB'. The class A-7 notes remain on CreditWatch with negative implications, where they were placed June 29, 2007. The rating actions follow the March 17, 2009, lowering of S&P's rating on Huntsman International LLC's $175 million 7.375% senior subordinated notes due Jan. 1, 2015 (the reference obligation of the class A-7 notes) to 'CCC+' from 'B' and the March 18, 2009, raising of S&P's rating on Rock-Tenn Co.'s $250 million 8.2% senior secured notes due Aug. 15, 2011 (the reference obligation of the class A-11 notes) to 'BB+' from 'BB'. The Huntsman International notes remain on CreditWatch negative, where they were placed Feb. 11, 2005. The ratings on the class A-7 and A-11 notes are dependent on the lowest of the rating on the related reference obligation; the rating on Morgan Stanley ('A'), which acts as the swap payments guarantor; or the rating on the underlying security, BA Master Credit Card Trust II's class A floating-rate asset-backed certificates series 2001-B due Aug. 15, 2013 ('AAA'). MWAM CBO: Fitch Upgrades Rating on Class B Notes to 'CCC' --------------------------------------------------------- Fitch Ratings downgrades one class, affirms two classes, and upgrades one class of notes issued by MWAM CBO 2001-1 Ltd./Inc.: -- $77,198,607 class A notes downgraded to 'BBB' from 'AA+'; Outlook Stable; -- $21,875,000 class B notes upgraded to 'CCC' from 'C'; -- $16,943,840 class C-1 notes affirmed at 'C'; -- $12,122,443 class C-2 notes affirmed at 'C'. Fitch has also removed class A from Rating Watch Negative. Additionally, Fitch has removed the Distressed Recovery ratings from the class B, C-1 and C-2 notes. The class A notes were assigned a Stable Outlook reflecting Fitch's expectation that the rating will remain stable over the next one to two years. Fitch does not assign Rating Outlooks to classes rated 'CCC' or below. The downgrade to the class A notes is the result of credit deterioration experienced since Fitch's review in September 2007 and reflects Fitch's view on the credit risk of the rated notes following the release of its new rating criteria for structured finance collateralized debt obligations. Fitch now considers 49.7% of the portfolio to be rated below investment grade and 28.3% to be rated 'CCC+' or lower. Approximately 4.1% of the portfolio is now considered defaulted per the transaction's governing documents. The class B notes are expected to continue receiving timely accrued interest distributions as the class A overcollateralization ratio is 113.3% relative to its trigger of 110% and the class A interest coverage test is passing by a large margin. Further, there is a cash flow swap with CDC Financial Products, Inc. that ensures timely interest distributions to both class A and class B. Based on the performance expectations of the 'CCC+' or lower rated portion of the portfolio, there is potential for principal losses to the class B notes. The class C-1 and C-2 notes are not expected to receive any distributions going forward, because the class B OC test is failing its covenant and unlikely to cure. Approximately 26.9% of the portfolio supporting MWAM 2001-1 consists of investment grade inverse floater (7.7%) and range floater (19.2%) securities. Due to the current interest rate environment, the inverse floaters are paying close to their respective interest rate caps, some of which are greater than 20% per annum, while the range floaters are not paying any interest because LIBOR is below their respective lower bounds. Fitch tested the impact of the performance of these securities on the rated notes using various interest rate and default timing stresses. MWAM 2001-1 is a SF CDO that closed on Jan. 24, 2001 and is managed by Metropolitan West Asset Management. The portfolio is comprised of corporate bonds (44.4%), residential mortgage-backed securities (27.6%), commercial asset-backed securities (12.5%), commercial mortgage-backed securities (7.1%), SF CDOs (6.2%), and real estate investment trusts (2.2%) issued between 1997 and 2003. 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 made 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. NEWCASTLE CDO: Moody's Downgrades Ratings on 15 Classes of Notes ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of fifteen classes of Notes issued by Newcastle CDO VIII 1, Limited and Newcastle CDO VIII 2, Limited. The rating actions are: -- Class S, $33,869,009, Notional Due 2011, downgraded to A1 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class I-A, $462,500,000, Floating Rate Notes Due 2052, downgraded to A1 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class I-AR, $60,000,000, Floating Rate Notes Due 2052, downgraded to A1 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class I-B, $38,000,000, Floating Rate Notes Due 2052, downgraded to Baa3 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class II, $42,750,000, Floating Rate Notes Due 2052, downgraded to Ba1 from Aa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class III, $42,750,000, Floating Rate Notes Due 2052, downgraded to Ba3 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class IV, $28,500,000, Floating Rate Notes Due 2052, downgraded to B1 from Aa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class V, $28,500,000, Deferrable Floating Rate Notes Due 2052, downgraded to Caa1 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class VI, $27,312,500, Deferrable Floating Rate Notes Due 2052, downgraded to Caa2 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class VII, $21,375,000, Deferrable Floating Rate Notes Due 2052, downgraded to Caa3 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class VIII, $22,562,500, Deferrable Floating Rate Notes Due 2052, downgraded to Caa3 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class IX-FL, $6,000,000, Deferrable Floating Rate Notes Due 2052, downgraded to Caa3 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class IX-FX, $7,600,000, Deferrable Fixed Rate Notes Due 2052, downgraded to Caa3 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class X, $19,650,000, Deferrable Floating Rate Notes Due 2052, downgraded to Caa3 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class XII, $28,500,000, Deferrable Fixed Rate Notes Due 2052, downgraded to Caa3 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded all Classes due to deteriorating pool performance and revised modeling parameters. Moody's ratings are based on the current credit quality of the collateral and may not reflect potential migration as per the legal documentation. The pool contains a 36.6% concentration in mezzanine loans. The remaining collateral includes real estate bank loans, commercial mortgage backed securities, commercial real estate collateralized debt obligations, asset backed securities, B-Notes, real estate investment trust debt and rake bonds. Moody's expects the aggregate default rate on CMBS loans (1.59% as of March 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 21% from the peak reached in October 2007, are expected to decline an additional 5% to 15% 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 its 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 have 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. Moody's prior full review is summarized in a press release dated November 1, 2007. NOMURA ASSET: Moody's Downgrades Ratings on 39 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 39 tranches from 9 Alt-A RMBS transactions issued by Nomura. The collateral backing these transactions consists primarily of first- lien, fixed and adjustable-rate, Alt-A residential mortgage loans. These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Once expected losses have been determined, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. For securities insured by a financial guarantor, the rating on the securities is equal to the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guarantyand is as described in the two previous paragraphs. List of actions: Nomura Asset Acceptance Corp ALT 2003-A2 -- Cl. B6, Downgraded to Ca; previously on 10/16/2008 Downgraded to Caa1 Nomura Asset Acceptance Corp ALT 2004-AP1 -- Cl. A-5, Downgraded to A3; previously on 3/16/2004 Assigned Aaa -- Cl. A-6, Downgraded to A1; previously on 3/16/2004 Assigned Aaa -- Cl. M-1, Downgraded to Ba1; previously on 10/16/2008 Downgraded to Aa3 -- Cl. M-2, Downgraded to Caa3; previously on 10/16/2008 Downgraded to Baa3 -- Cl. M-3, Downgraded to Ca; previously on 10/16/2008 Downgraded to B3 Nomura Asset Acceptance Corp ALT 2004-AP2 -- Cl. A-5, Downgraded to A2; previously on 10/16/2008 Downgraded to Aa1 -- Cl. A-6, Downgraded to Aa3; previously on 10/16/2008 Downgraded to Aa1 -- Cl. M-1, Downgraded to Baa3; previously on 10/16/2008 Downgraded to A1 -- Cl. M-2, Downgraded to Caa1; previously on 10/16/2008 Downgraded to Baa2 -- Cl. M-3, Downgraded to Ca; previously on 10/16/2008 Downgraded to B3 Nomura Asset Acceptance Corp ALT 2004-AP3 -- Cl. A-5A, Downgraded to A3; previously on 10/16/2008 Downgraded to Aa2 -- Cl. A-5B, Downgraded to A3; previously on 10/16/2008 Downgraded to Aa2 -- Cl. A-6, Downgraded to A1; previously on 10/16/2008 Downgraded to Aa2 -- Financial Guarantor: Ambac Assurance Corporation (currently Ba3 ) -- Cl. M-1, Downgraded to Ba1; previously on 10/16/2008 Downgraded to A3 -- Cl. M-2, Downgraded to Ca; previously on 10/16/2008 Downgraded to B2 Nomura Asset Acceptance Corp ALT 2004-AR1 -- Cl. I-A, Downgraded to A3; previously on 9/17/2004 Assigned Aaa -- Cl. II-A, Downgraded to A3; previously on 9/17/2004 Assigned Aaa -- Cl. III-A, Downgraded to A3; previously on 9/17/2004 Assigned Aaa -- Cl. IV-A, Downgraded to A3; previously on 9/17/2004 Assigned Aaa -- Cl. IV-X, Downgraded to A3; previously on 9/17/2004 Assigned Aaa -- Cl. V-A-1, Downgraded to A1; previously on 9/17/2004 Assigned Aaa -- Cl. V-A-3, Downgraded to A1; previously on 9/17/2004 Assigned Aaa -- Cl. V-M-1, Downgraded to B2; previously on 10/16/2008 Downgraded to Baa1 -- Cl. V-M-2, Downgraded to Caa3; previously on 10/16/2008 Downgraded to B2 -- Cl. C-B-1, Downgraded to Ba2; previously on 9/17/2004 Assigned Aa3 -- Cl. C-B-2, Downgraded to Ca; previously on 10/16/2008 Downgraded to Baa1 -- Cl. C-B-3, Downgraded to C; previously on 10/16/2008 Downgraded to B1 Nomura Asset Acceptance Corp ALT 2004-AR2 -- Cl. M-2, Downgraded to Baa2; previously on 10/16/2008 Downgraded to A2 -- Cl. M-3, Downgraded to B3; previously on 10/16/2008 Downgraded to B1 Nomura Asset Acceptance Corp ALT 2004-AR3 -- Cl. M-1, Downgraded to Ba1; previously on 10/16/2008 Downgraded to Aa3 -- Cl. M-2, Downgraded to Caa3; previously on 10/16/2008 Downgraded to Ba2 Nomura Asset Acceptance Corp ALT 2004-AR4 -- Cl. M-1, Downgraded to Baa2; previously on 2/16/2005 Assigned Aa2 -- Cl. M-2, Downgraded to B2; previously on 10/16/2008 Downgraded to A3 -- Cl. M-3, Downgraded to Ca; previously on 10/16/2008 Downgraded to Caa1 Nomura Asset Sec Corp 1994-3 -- Cl. A-6, Downgraded to Aa3; previously on 9/21/1994 Assigned Aaa -- Financial Guarantor: MBIA (currently B3) -- Cl. IO, Downgraded to Aa3; previously on 9/21/1994 Assigned Aa2 -- Cl. PO, Downgraded to Aa3; previously on 9/21/1994 Assigned Aa2 -- Cl. M-3, Downgraded to Caa2; previously on 9/21/1994 Assigned Ba2 NOMURA CRE: Moody's Downgrades Ratings on 14 2007-2 Notes --------------------------------------------------------- Moody's Investors Service downgraded the ratings of 14 classes of Notes and confirmed two classes of Notes issued by Nomura CRE CDO 2007-2 Ltd. The rating actions are: -- Class A-R, $75,000,000, Floating Rate Notes Due 2042, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-1, $471,131,250, Floating Rate Notes Due 2042, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $60,681,250, Floating Rate Notes Due 2042; downgraded to Aa2 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $70,537,500, Floating Rate Notes Due 2042, downgraded to A3 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $26,600,000, Floating Rate Notes Due 2042, downgraded to Baa2 from Aa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $27,075,000, Floating Rate Notes Due 2042, downgraded to Ba1 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $20,425,000, Floating Rate Notes Due 2042, downgraded to Ba2 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $21,612,500, Floating Rate Notes Due 2042, downgraded to Ba3 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $24,937,500, Floating Rate Notes Due 2042, downgraded to B1 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class H, $20,187,500, Floating Rate Notes Due 2042, downgraded to B2 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class J, $25,175,000, Floating Rate Notes Due 2042, downgraded to B3 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class K, $22,800,000, Floating Rate Notes Due 2042, downgraded to Caa1 from Ba1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class L, $8,787,500, Floating Rate Notes Due 2042, downgraded to Caa2 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class M, $5,700,000, Floating Rate Notes Due 2042, downgraded to Caa2 from Ba3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class N, $8,075,000, Floating Rate Notes Due 2042, downgraded to Caa3 from B1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class O, $12,825,000, Floating Rate Notes Due 2042, downgraded to Caa3 from B3; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded Classes A-2, B, C, D, E, F, G, H, J, K, L, M, N, and O due to revised modeling parameters. The pool contains approximately a 9.0% concentration in CMBS and CDO collateral and the remaining is comprised of whole loans, B- Notes, and mezzanine debt. Moody's ratings are based on the current credit quality of the collateral and may not reflect potential migration as per the legal documentation. Moody's expects the aggregate default rate on CMBS loans (1.59% as of March 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 21% from the peak reached in October 2007, are expected to decline an additional 5% to 15% 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 its 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 have 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 full review since securitization. Moody's review at securitization is summarized in a Pre-Sale Report dated March 13, 2007. OWS CLO: S&P Downgrades Ratings on Various Classes of Notes ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class A-1, A-2, X-1, X-2, B, C, and D notes issued by OWS CLO I Ltd., a collateralized loan obligation transaction backed by corporate loans. At the same time, S&P placed its ratings on the class A-1, A-2, X-1, and X-2 on CreditWatch with negative implications. The class B, C, and D note ratings remain on CreditWatch negative. The lowered ratings reflect, among other factors, an increase in defaults and deterioration in the credit quality of the underlying collateral in the portfolio since S&P initially assigned the ratings in November 2005. Based on the Feb. 28, 2009, monthly trustee report, 6.96% ($20.24 million) of the total securities in the underlying collateral pool have ratings of 'CCC+' and below, up from 2.02% ($5.95 million) as of November 2005. OWS CLO I Ltd. triggered an event of default on March 20, 2009, under section 5.01(h) of the indenture, when the class A over collateralization ratio fell below 100%. The class A O/C ratio calculation includes a market value-based haircut. Based on the trustee report dated Feb. 28, 2009, the haircut was $48.65 million. As a result of defaults and the market value-based haircuts in the calculation of the par coverage tests, the transaction failed its O/C ratio tests. Based on the trustee report dated Feb. 28, 2009, the O/C ratio for the class A notes was 84.94%, versus the required 108.50%. The failure of the O/C ratio tests has prevented the mezzanine and subordinate classes from receiving current interest, and the diverted interest is being used to reduce the balance of the senior notes. Standard & Poor's will continue to monitor the performance of the transaction to determine the stability of the tranches at their respective rating levels. Rating Actions OWS CLO I Ltd. Rating ------ Class To From Current balance (mil. $) ----- -- ---- ------------------------ A-1 AA+/Watch Neg AAA 235.500 A-2 AA-/Watch Neg AAA 14.500 X-1 BB+/Watch Neg A+ 1.985 X-2 BB+/Watch Neg A+ 7.568 B B/Watch Neg A-/Watch Neg 14.000 C CCC/Watch Neg BBB-/Watch Neg 8.048 D CCC-/Watch Neg BB/Watch Neg 8.695 PASS-THROUGH AUCTION: Moody's Cuts Ratings on 2007-1 Notes to 'B3' ------------------------------------------------------------------ Moody's Investors Service has downgraded its ratings of $65,000,000 Class A Certificates and $16,250,000 Class B Certificates issued by Pass-Through Auction Market Preferred Securities, Series 2007-1. The rating actions are: Class Description: $65,000,000 Class A Certificates -- Current Rating: B3 -- Prior Rating: Baa1 -- Prior Rating Date: 01/30/09 Class Description: $16,250,000 Class B Certificates -- Current Rating: B3 -- Prior Rating: Baa1 -- Prior Rating Date: 01/30/09 The transaction is a structured note whose ratings change with the ratings of the Underlying Securities. The rating actions are a result of the change of the ratings of Floating Rate Non- Cumulative Preferred Stock, Series 2 issued by Merrill Lynch & Co., Inc. and Floating Rate Non-Cumulative Preferred Stock, Series 5 issued by Merrill Lynch & Co., Inc. which were both downgraded to B3 on March 25, 2009. POOLED COLLEGE: Moody's Downgrades Rating on 2007 Bonds to 'Ba1' ---------------------------------------------------------------- Moody Investors Service has downgraded to Ba1 from Baa3, the rating on The Pooled College and University Projects, Series 2007 Revenue Bonds issued by the California Educational Facilities Authority, based on the change in the mix of credit quality of the pool. Moody's believes the credit fundamentals of pool participant Keck Graduate Institute, have noticeably weakened. The rating outlook remains stable. The rating action affects $36.6 million of outstanding bonds. Moody's rating is based on a blended assessment of California College of the Arts (Baa3/stable), Dominican University of California (Baa3/stable), Keck Graduate Institute (not rated) and Woodbury University (Baa3/stable). Moody's have considered the relative share of each participant in the remaining bond maturities of the pool, the participants' underlying credit quality and the corresponding expected loss (default frequency times loss severity) for their rating categories. Moody's then calculated a weighted average of the expected loss of all pool participants, and assign an overall pool rating that corresponds to the weighted average expected loss. LEGAL SECURITY: The bonds are secured by several, not joint, obligations of each borrower with respect to its own bonds. As several obligations, borrowing institutions have obligations to the pool for only their own pro rata share of the total debt service and are not responsible for the default of other borrowers. The debt service reserve fund is comprised of separate portions of the debt service reserve fund covering each participant, with no joint reserve fund. The bonds are secured equally and ratably by the base loan payments made by each borrowing institution. Additionally, each borrower will grant a lien on certain property and have a gross revenue pledge. There is no credit support at the pool level, such as over- collateralization or a shared reserve fund. * Participant: California College of the Arts * Percentage of Pool: 29% * Rating: Baa3 * Outlook: Stable * Last report date: September 2, 2008 California College of the Arts' Baa3 rating with a stable outlook is based on its market niche as an urban art and design college enrolling approximately 1,500 FTE in fall 2007; adequate operating cash flow supported by ongoing growth in tuition revenue; increased diversification in its investment portfolio and recent fundraising success on a $25 million capital campaign. Offsetting these strengths is a highly competitive California student market with dependency on student charges (83% in FY07) making the CCA vulnerable to fluctuation in enrollment; weakened financial performance with declining operating margins; thin expendable resources providing a limited cushion of 0.56 times and 0.49 times in FY07); no additional debt capacity at the current rating level as the College is highly leveraged, with debt service still consuming nearly 9% of operations. * Participant: Dominican University of California * Percentage of Pool: 29% * Rating: Baa3 * Outlook: Stable * Last report date: April 18, 2008 Dominican University of California's Baa3 rating with a stable outlook is based on the solid market position as a private, independent institution in Marin County, enrollment is expected to remain relatively stable at 1,934 FTE in fall 2007; healthy increases in net tuition per student; continued improvement in operating performance with a FY2007 three-year average operating margin of 10.5%. Challenges offsetting the strengths are a leveraged capital profile with decreasing expendable financial resources now thinly cushioning outstanding debt 0.28 times; historically limited fundraising, strong competition in California for higher education and limited room at the current rating level to support additional debt without growth in unrestricted liquidity. * Participant: Keck Graduate Institute of Applied Sciences (Keck * or KGI) * Percentage of Pool: 23% * Rating: Not Rated Keck Graduate Institute is a small graduate school, established in 1997 as a member of the Claremont Colleges consortium. Providing a masters and a PhD program in biosciences, Keck enrolled a small 87 full-time equivalent in fall 2008, well below the projection of 120 FTE, while discount rates remain relatively high at 45%. Applications continue to rise with 194 applications in fall 2008, compared to 97 in 2004. However, Moody's remains concerned over medium-term enrollment given KGI's international student draw and weakened access to international student loan programs as well as increased competition from within California and abroad. Matriculation rates have fallen to 45% from 61% over the past four years. Financial performance has improved from large double-digit deficits to negative 6.4% in FY08, however Keck remains heavily reliant on gifts from the W. M. Keck Foundation to support operations. Substantial operating imbalances in the previous years were driven by start-up (research) expenses and substantial discounting to recruit students. While large start-up investments are no longer needed, the need for student discounting is likely to persist, as are the operating deficits. The second round of support from the Keck Foundation provides $20 million over a seven year period (2004-2011), with a required match (1.5 times) from KGI. To date, KGI has received $15 million from the Foundation and has raised over $26 million in matching funds. Moody's remains concerned that operations will begin to weaken considerably after the last $2 million installment of the Foundation's grant is received in 2011. Notably, in the current year, KGI has received $10.4 million in cash due to a land sale. Given the extent of the support required by operations, these funds do not provide a long-term solution. KGI will begin paying principal on their portion of the Series 2007 bonds in 2011. Operating cash flow in FY08 provided an adequate 1.1 times maximum annual debt service. At the end of FY08, KGI's $14.7 million of expendable financial resources provided adequate cushion of 1.7x debt and one year of operations. Moody's note that financial resources have been pressured since the end of the fiscal year however, given the recent investment market volatility. Management notes a negative 18% investment return for the first six months of the fiscal year. Assuming a 30% decline in financial resources to reflect investment losses and endowment spending, expendable resources would provide 1.2 times coverage of debt and 0.7 times coverage of annual operations. The $10.4 million in cash which KGI received is maintained outside the endowment, improving Keck's liquidity to approximately $13 million. KGI has no plans for additional borrowing. * Participant: Woodbury University * Percentage of Pool: 19% * Rating: Baa3 * Outlook: Stable * Last report date: June 9, 2008 Woodbury University's Baa3 rating with a stable outlook is based on its focus on programs in architecture and business as well as its location in Burbank, leading to continued enrollment growth with 1,400 FTE in fall 2007, up 23% over the past five years; solid increases in net tuition per student due primarily to increase in tuition charges, management's priority on endowment growth for both operations and fundraising has translated into a nearly 70% increase in financial resources over the past three years to a $16.8 million total base in FY2007. Challenges offsetting the strengths are strong competition in the region for higher education with dependency on student charges (89% in FY2007) stressing the importance of continued successful recruitment and retention of students; limited room at the current rating level to support additional debt without growth in unrestricted liquidity; financial resources providing limited coverage of debt and operations despite strong growth in unrestricted resources. Outlook The rating outlook is stable based on the current blend of credit quality of the pool with three of the four participants maintaining a stable outlook. Further deterioration in the credit quality of the other participant, KGI, would not directly impact the pool rating unless it moved more than one rating notch. What Could Change the Rating - Up/Down Because Moody's ratings are based on the overall credit quality of each pool, there are likely to be rating changes as the mix of credit quality in the pool changes over time. These changes are based not only on upgrades and downgrades of the individual participants, but also on changes over time in the participants' relative share of the debt obligation, due to both scheduled maturities and refundings. The last rating action and report with respect to this series, was published on January 23, 2007, when the rating and outlook was affirmed. PPLUS TRUST: S&P Downgrades Ratings on $40 Mil. Certs. To 'D' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on PPLUS Trust Series FMC-1's $40 million trust certificates to 'D' from 'C'. The rating action reflects the April 6, 2009, lowering of the rating on Ford Motor Co.'s 7.45% global landmark securities due July 16, 2031, to 'D' from 'C'. The rating on the trust certificates is dependent on the rating on Ford Motor Co.'s global landmark securities. PREFERRED PASS-THROUGH: Moody's Cuts Ratings on Two Notes to 'B3' ----------------------------------------------------------------- Moody's Investors Service has downgraded its ratings of $50,000,000 Class A Auction Rate Trust Certificates and $10,000,000 Class B Leveraged Trust Certificates issued by Preferred Pass-Through Trust 2007-A. The rating actions are: Class Description: $50,000,000 Class A Auction Rate Trust Certificates -- Current Rating: B3 -- Prior Rating: Baa1 -- Prior Rating Date: 01/30/09 Class Description: $10,000,000 Class B Leveraged Trust Certificates -- Current Rating: B3 -- Prior Rating: Baa1 -- Prior Rating Date: 01/30/09 The transaction is a structured note whose ratings change with the rating of the Underlying Securities. The rating actions are a result of the change of the rating of Floating Rate Non-Cumulative Preferred Stock, Series 5 issued by Merrill Lynch & Co., Inc. which was downgraded to B3 on March 25, 2009. PREFERREDPLUS TRUST: S&P Cuts Rating on $50 Mil. Certs. To 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on PreferredPLUS Trust Series FRD-1's $50 million trust certificates to 'D' from 'C'. The rating action reflects the April 6, 2009, lowering of the rating on Ford Motor Co.'s 7.40% debentures due Nov. 1, 2046, to 'D' from 'C'. The rating on the certificates is dependent on the rating on Ford Motor Co.'s debentures. PREMIUM LOAN: S&P Downgrades Ratings on Four Classes of Notes ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class X, B, C, and D notes issued by Premium Loan Trust I Ltd., a collateralized loan obligation transaction originated in November 2004 and backed by corporate loans managed by Lehman Bros. Asset Management LLC. The ratings on the class B, C, and D notes remain on CreditWatch with negative implications. At the same time, S&P placed its rating on the class X notes on CreditWatch with negative implications. Lastly, the rating on the class A notes remains on CreditWatch negative. The lowered ratings reflect an increase in defaults and deterioration in the credit quality of the underlying collateral in the portfolio since the notes were issued. As of Feb. 27, 2009, Standard & Poor's collateralized debt obligation asset database indicated that 8.34% ($12.8 million) of the assets in the transaction had ratings in the 'CCC' category, compared with 3.49% ($8.9 million) as of March 24, 2005. In addition, the amount of assets rated 'D' increased to 3.87% ($5.9 million) from 3.23% ($8.0 million) over the same period. The increases in credit deterioration and defaults have reduced the level of credit enhancement (provided primarily by overcollateralization) available to support the rated notes. In addition, due to an over collateralization ratio feature that carries discounted assets at the lower of the market value and the purchase price of the underlying loans, the class A over collateralization ratio has fallen below 103%, which triggered an event of default. Due to the failure of the class A over collateralization test, all waterfall payments after administrative expenses are currently being used to pay down the class A notes, which is causing the deferment of payments to the subordinate notes. The rating on the class A notes remains at its current level due to the existence of adequate credit to support the rating at its current level and because the class A notes currently receive all waterfall payments after administrative expenses. The class A notes have paid down approximately 45.63% of their original balance. Standard & Poor's will continue to monitor the performance of the transaction to determine the stability of the tranches at their current rating levels. Rating And Creditwatch Actions Premium Loan Trust I Ltd. Rating ------ Class To From ----- -- ---- X BB+/Watch Neg A+ B BB/Watch Neg A/Watch Neg C B-/Watch Neg BBB-/Watch Neg D CCC-/Watch Neg B+/Watch Neg Rating Remaining On Creditwatch Negative Premium Loan Trust I Ltd. Class Rating ----- ------ A AAA/Watch Neg Transaction Information ----------------------- Issuer: Premium Loan Trust I Ltd. Co-issuer: Premium Loan I Corp. Collateral manager: Lehman Bros. Asset Management LLC Underwriter: Institutional Credit Partners LLC Indenture trustee: U.S. Bank N.A. PRINCE GEORGE'S: Fitch Affirms 'CC' Rating on 1997 Revenue Bonds ---------------------------------------------------------------- Fitch Ratings has affirmed the rating of 'CC' on $74.5 million Prince George's County, Maryland, project and refunding revenue bonds, series 1994, issued on behalf of Dimensions Health Corporation and Subsidiaries. The affirmation of 'CC' reflects the continued relative stability of DHC's financial profile due to the ongoing financial support of the state of Maryland (rated 'AAA' with a Stable Outlook by Fitch) and Prince George's County (rated 'AA+' with a Stable Outlook by Fitch) and the continuing efforts to provide long-term stabilization of DHC's operations. Operating performance continues to be poor; in fiscal year ending June 2008, the system received a 'going concern' opinion in its audited financial statements for the fourth consecutive year citing liquidity concerns and the system's unfunded pension liabilities. DHC lost $3.5 million from operations (negative 1% operating margin) in fiscal 2008, after $17 million in governmental support, producing an operating EBITDA margin of 2.3%. Investment earnings of $1.5 million reduced the bottom loss to $2 million (negative 0.5% excess margin). Coverage of maximum annual debt service dropped to 1.6x vs 3.9x in the prior year. According to bond documents, DHC's rate covenant is set at 1.10 times maximum annual debt service. Failure to meet the rate covenant for two consecutive years is considered an event of default. Liquidity was weak at 20.8 days of cash on hand compared to 16.9 in the prior year. Other liquidity ratios were also weak with a cushion ratio of 2.3x and a cash to debt ratio of 25.5%. For the eight month period ending February 2009, the system earned $1.1 million in operating income (0.4 operating margin) with an operating EBIDTA of 3.6% but days cash on hand dropped to 11 days. MADS coverage improved slightly to 1.6x for the eight month period. DHC, along with Greater Southeast, serves as one of two safety net hospitals in Washington, D.C., providing for the essential healthcare needs of the economically depressed, underinsured and uninsured regional population. Fitch believes that the essentiality of DHC's role in serving the medical needs of the region and the history of subsidization from the state and the county provides some confidence that the possibility of imminent bond default or hospital closure is unlikely. Operating grants from the state and county totaling almost $50 million since 2006 have supported DHC's operations, but a permanent solution is critical for long-term stability. To that end, both the state and the county have agreed to continue to provide annual funding of hospital operations of $24 million through May 2010. The Prince George's County Hospital Authority, created in 2007 to find a viable partner for the system, is in discussion with several potential candidates that may be interested in acquiring the system. In addition, the governor has also proposed approximately $150 million of federal support for the system to fund capital needs and to help facilitate either an acquisition or partner relationship with potential buyers, however, the success of these efforts is unknown at this point. As of June 30, 2008 DHC's debt service reserve fund was fully funded and all debt service payments are current. DHC had $368 million in total revenues for the fiscal year 2008. Fitch deems DHC's disclosure practices as poor. DHC has not posted any recent financial information on the NRMSIRs or its Web site, but financial information was provided to Fitch upon request. PRO RATA FUNDING: Moody's Downgrades Ratings on Various Classes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded these notes issued by Pro Rata Funding Ltd.: -- US$30,000,000 Class A-1 Floating Rate Senior Notes Due 2013, Downgraded to Aa3; previously on February 2, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$13,000,000 Class A-2 Fixed Rate Senior Notes Due 2013, Downgraded to Aa3; previously on February 2, 2009 Aaa Placed Under Review for Possible Downgrade. Moody's also placed under review for possible downgrade these notes: -- US$54,000,000 Class B Floating Rate Deferrable Senior Subordinate Notes Due 2013, A3 Placed Under Review for Possible Downgrade; previously on September 25, 2003 Assigned A3; -- US$13,000,000 Class C Floating Rate Deferrable Subordinate Notes Due 2013, Baa2 Placed Under Review for Possible Downgrade; previously on September 25, 2003 Assigned Baa2; -- US$7,000,000 Class D Floating Rate Deferrable Subordinate Notes Due 2013, Ba2 Placed Under Review for Possible Downgrade; previously on September 25, 2003 Assigned Ba2. According to Moody's, the rating actions taken on the Class A-1 Notes and Class A-2 Notes are a result of the additional risk posed to the noteholders due to the action taken by Moody's on the senior unsecured rating of General Electric Capital Corporation, which acts as Guarantor under the Investment Agreement in the transaction. On March 23, 2009, Moody's downgraded the senior unsecured rating of GECC from Aaa to Aa2. In its analysis, Moody's took into account the Aa2 default risk associated with GECC, resulting in an Aa3 rating for the Class A-1 notes and Class A-2 notes in expected loss terms. In addition, Moody's placed under review for possible downgrade the Class B notes, Class C notes and Class D notes in order to reflect the expected potential impact of applying certain revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. In its February 4, 2009 announcement, "Moody's updates key assumptions for rating CLOs," Moody's stated that it had increased its default probability assumptions for corporate credits in the collateral pools of CLOs and other cash-flow CDO transactions by a factor of 30% across all rating categories. In addition, Moody's stated that assets with negative outlooks or that are on review for possible downgrade would be treated as if they had already been downgraded by one or two notches, respectively. At the same time, Moody's changed its calculation of the primary measure of industry and issuer diversification in CLOs (the Diversity Score) to increase the estimate of correlation in most pools of corporate credits. PRUDENTIAL SECURITIES: Moody's Affirms Ratings on 1999-NRF1 Notes ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of seven classes, upgraded two classes and downgraded two classes of Prudential Securities Secured Financing Corporation, Commercial Mortgage Pass-Through Certificates, Series 1999-NRF1. The upgrades are due to increased subordination due to amortization and payoffs. The pool balance has decreased by 67% since Moody's last review. The downgrades are due to higher expected losses due to realized and anticipated losses from loans in special servicing, increased dispersion and concerns about near-term refinancing risk of a portion of the pool. Six loans, representing 53% of the pool, mature within the next 12 months. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the March 17, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 82% to $170.1 million from $928.9 million at securitization. The Certificates are collateralized by 36 mortgage loans ranging in size from less than 1% to 36% of the pool, with the top 10 loans representing 76% of the pool. One loan, representing 2% of the pool, has defeased and is collateralized with U.S. Government securities. Eight loans, representing 12% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the 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. Fourteen loans have been liquidated from the pool resulting in an aggregate realized loss of approximately $7.6 million. Seven loans, representing 18% of the pool, are currently in special servicing. The largest specially serviced loan is the Louisville Marriott East ($18.7 million -- 11%), which is secured by a 254 room hotel located in suburban Louisville, Kentucky. The hotel's performance has been negatively impacted by new competition in the area. Six of the remaining specially serviced loans, representing 7.2% of the pool, were transferred to special servicing due to maturity default. Moody's has estimated a loss of approximately $13.9 million for the specially serviced loans. Moody's was provided with year-end 2007 and partial-year 2008 operating statements for 96% and 97% of the pool, respectively. Moody's loan to value ratio, excluding the specially serviced loans, is 74%, compared to 76% at Moody's prior full review in November 2007. Although the pool's overall performance has been stable, LTV dispersion has increased since last review. Based on Moody's analysis, 12% of the performing loans have an LTV in excess of 120% compared to 4% at last review. The top three loans represent 53% of the pool. The largest loan is the Three Park Avenue Loan ($60.6 million -- 35.6%), which is secured by a 657,000 square foot office building located in New York City. The property was 90% occupied as of December 2008 compared to 96% at last review. The loan matures in November 2009. Moody's LTV is 58% compared to 56% at last review. The second largest loan is the Kansas City FBI Building East Loan ($10.8 million -- 6.4%), which is secured by an 87,000 square foot office building located in Kansas City, Missouri. The property is 100% leased to the FBI through June 2013. The loan originally maturated in September 2008 but the maturity date was extended to September 2009. Although the property's performance has been stable since securitization, the FBI's rent is approximately 25% above current market levels. Moody's made a downward adjustment to the property's cash flow to reflect market vacancy and rent. In addition, Moody's utilized a higher capitalization rate due to Moody's concerns about refinancing risk given the relatively short term remaining on the FBI lease. Moody's LTV is 167% compared to 79% at last review. The third largest loan is the Bonita Center Loan ($8.6 million -- 5.1%), which is secured by a 98,000 square foot retail center located in Chula Vista, California. The center is anchored by Vons and was 96% occupied as of December 2008. Moody's valuation of this loan incorporates a stressed cash flow due to Moody's concerns about the weak retail environment. Moody's LTV is 53% compared to 51% at last review. Moody's rating action is: -- Class A-EC, Notional, affirmed at Aaa; previously affirmed at Aaa on 11/1/2007 -- Class C, $15,100,443, affirmed at Aaa; previously affriemd at Aaa on 11/1/2007 -- Class D, $46,447,000, affirmed at Aaa; previously affirmed at Aaa on 11/1/2007 -- Class E, $13,935,000, upgraded to Aaa from Aa1; previously affirmed at Aa1 on 11/1/2007 -- Class F, $20,903,000, upgraded to A1 from A2; previously upgraded to A2 from A3 on 11/1/2007 -- Class G, $25,546,000, affirmed at Baa3; previously upgraded to Baa3 from Ba1 on 11/1/2007 -- Class H, $9,291,000, affirmed at Ba2; previously affirmed at Ba2 on 11/1/2007 -- Class J, $9,291,000, affirmed at B1; previously affirmed at B1 in 11/1/2007 -- Class K, $15,794,000, downgraded to Caa3 from B3; previously affirmed at B3 on 11/1/2007 -- Class L, $6,502,000, downgraded to C from Caa1; previously affirmed at Caa1 on 11/1/2007 PUBLIC STEERS: S&P Cuts Rating on 1998 F-Z4 Certs. To 'D' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Public STEERS Series 1998 F-Z4 Trust's class A and B certificates to 'D' from 'C'. The rating actions reflect the April 6, 2009, lowering of the rating on Ford Motor Co.'s 7.70% debentures due May 15, 2097, to 'D' from 'C'. The rating on the certificates is dependent on the rating on Ford Motor Co.'s debentures. RACERS SERIES: Moody's Cuts Ratings on 2001-12-E Notes to 'B2' -------------------------------------------------------------- Moody's Investors Service downgraded its rating of RACERS Series 2001-12-E issued by RACERS Series 2001-12-E Trust. The rating action is: RACERS Series 2001-12-E Trust -- RACERS Series 2001-12-E, Downgraded to B2; Previously on 8/8/2002 Assigned Baa3 The transaction is a repackaged security whose rating is based primarily upon the transaction's structure and the credit quality of the Deposited Asset which consists of 6,500,000 of the PAMCO CLO Series 1997-1 Class B Second Senior Secured Notes Due 2009, currently rated Caa2(WD). RAIT PREFERRED: Moody's Downgrades Ratings on Nine Classes ---------------------------------------------------------- Moody's Investors Service confirmed the ratings of two classes and downgraded the ratings of nine classes of Notes issued by RAIT Preferred Funding II, Ltd. The rating actions are: -- Class A-1T, $207,500,000, Floating Rate Notes Due 2045, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-1R, $200,000,000, Floating Rate Notes Due 2045, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $100,500,000, Floating Rate Notes Due 2045, downgraded to Aa1 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $71,750,000, Floating Rate Notes Due 2045, downgraded to A3 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $34,500,000, Floating Rate Notes Due 2045, downgraded to Baa3 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $14,625,000, Floating Rate Notes Due 2045, downgraded to Ba1 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $14,400,000, Floating Rate Notes Due 2045, downgraded to Ba2 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $20,625,000, Floating Rate Notes Due 2045, downgraded to B1 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $13,500,000, Floating Rate Notes Due 2045, downgraded to B2 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class H, $14,800,000, Floating Rate Notes Due 2045, downgraded to B3 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class J, $30,500,000, Floating Rate Notes Due 2045, downgraded to Caa2 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's confirmed Classes A-1T and A-1R and downgraded Classes A- 2, B, C, D, E, F, G, H, and J due to revised modeling parameters. Moody's ratings are based on the current credit quality of the collateral and may not reflect potential migration as per the legal documentation. Moody's expects the aggregate default rate on CMBS loans (1.59% as of March 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 21% from the peak reached in October 2007, are expected to decline an additional 5% to 15% 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 its 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 have 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. Moody's review at securitization is summarized in a Pre-Sale Report dated May 18, 2007. REPACS TRUST: Moody's Junks Rating on $5 Mil. Debt Units -------------------------------------------------------- Moody's Investors Service downgraded its ratings of notes issued by REPACS Trust Series Bayshore II, a synthetic collateralized debt obligation transaction. REPACs Trust Series Bayshore II synthetically references a portfolio of structured finance entities and six bespoke synthetic collateralised debt obligation tranches each referencing a portfolio of corporate entities. Moody's explained that the rating action taken is the result primarily of the downgrade of the insurance financial strength rating of MBIA Insurance Corporation, which acts as Guarantor under the Investment Agreement in the transaction. On February 18, 2009, the insurance financial strength rating of MBIA Insurance Corporation was downgraded to B3. The rating action also accounts for the application of revised and updated key modeling parameter assumptions that Moody's uses to rate and monitor ratings of synthetic CDOs as well as the deterioration in the credit quality of the transaction's reference portfolio, including the occurrence of four credit events. 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 structured finance CDOs as described in Moody's Special Reports: -- 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: US$5,000,000 Debt Units, due December 2009 -- Current Rating: Caa1 -- Prior Rating Date: December 22, 2008 -- Prior Rating: Baa2, on watch for downgrade REPACS TRUST: Moody's Junks Ratings on Two Classes of Notes ----------------------------------------------------------- Moody's Investors Service downgraded its ratings of notes issued by REPACs Trust Series Bayshore I, a synthetic collateralized debt obligation transaction. REPACs Trust Series Bayshore I synthetically references a portfolio of structured finance entities and six bespoke synthetic collateralised debt obligation tranches each referencing a portfolio of corporate entities. Moody's explained that the rating action taken is the result of the downgrade of the insurance financial strength rating of MBIA Insurance Corporation, which acts as Guarantor under the Investment Agreement in the transaction. On February 18, 2009, the insurance financial strength rating of MBIA Insurance Corporation was downgraded to B3. The rating action is also resulting from the application of revised and updated key modeling parameter assumptions that Moody's uses to rate and monitor ratings of synthetic CDOs as well as the deterioration in the credit quality of the transaction's reference portfolio, including the occurrence of four credit events. 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 structured finance CDOs as described in Moody's Special Reports: -- 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: Class A Debt Unit -- Current Rating: Ca -- Prior Rating Date: December 22, 2008 -- Prior Rating: Baa3, on review for possible downgrade Class Description: Class B Debt Unit -- Current Rating: Ca -- Prior Rating Date: December 22, 2008 -- Prior Rating: Baa3, on review for possible downgrade REPACS TRUST: Moody's Downgrades Ratings on Two Classes of Notes ---------------------------------------------------------------- Moody's Investors Service downgraded its ratings of notes issued by REPACs Trust Series: Warwick, a synthetic collateralized debt obligation transaction. REPACs Trust Series: Warwick synthetically references a portfolio of structured finance entities and eight bespoke synthetic CDO tranches each referencing a portfolio of corporate entities. Moody's explained that the rating action taken is the result primarily of the downgrade of the insurance financial strength rating of MBIA Insurance Corporation, which acts as Guarantor under the Investment Agreement in the transaction. On February 18, 2009, the insurance financial strength rating of MBIA Insurance Corporation was downgraded to B3. The rating action also accounts for the application of revised and updated key modeling parameter assumptions that Moody's uses to rate and monitor ratings of synthetic CDOs as well as the deterioration in the credit quality of the transaction's reference portfolio including the occurrence of nine credit events. 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 structured finance CDOs as described in Moody's Special Reports: -- 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$50,000,000 Class A Debt Units, due May 2012 -- Current Rating: Ca -- Prior Rating Date: December 17, 2008 -- Prior Rating: Baa3, on watch for downgrade Class Description: US$1,020,500 Class B Debt Units, due May 2012 -- Current Rating: Ca -- Prior Rating Date: December 17, 2008 -- Prior Rating: Ba1, on watch for downgrade RESERVE MANAGEMENT: Moody's Confirms Ratings on Three Funds ----------------------------------------------------------- Moody's Investors Service has confirmed the fund ratings of three Reserve Management Company Inc. money market funds. This concludes a review of these ratings, which Moody's initiated on September 23, 2008. The ratings of these funds have been confirmed: -- Reserve Treasury & Repo Fund: prior Rating- B, on review for further downgrade -- Reserve US$ International Treasury & Repo Fund: prior Rating- B/MR1+, on review for further downgrade -- Reserve US$ International Treasury Fund Ltd.: prior Rating- B/MR1+, on review for further downgrade Moody's will withdraw the ratings as the funds have been liquidated. The funds liquidated at a net asset value of $1.00 per share. The last rating action concerning these four funds was taken on September 23, 2008, when Moody's downgraded the Reserve Treasury & Repo Fund to a B rating, Reserve US$ International Treasury & Repo Fund and Reserve US$ International Treasury Fund Ltd. to B/MR1+ following their suspension of redemptions, and placed them on review for possible further downgrade. The ratings of the other Reserve funds that were downgraded on September 23rd remain on review. RESIDENTIAL ASSET: Moody's Junks Rating on Class 2-A-5 Tranche -------------------------------------------------------------- Moody's Investors Service has downgraded Class 2-A-5 tranche from Residential Asset Securitization Trust 2006-A14CB. Rating action is: Issuer: Residential Asset Securitization Trust 2006-A14CB -- Cl. 2-A-5, Downgraded to C; previously on 8/14/2008 Downgraded to Ba1 The collateral backing this transaction consists primarily of first-lien, fixed-rate, Alt-A mortgage loans. The action is triggered by rapidly increasing delinquencies, higher severities, slower prepayments and mounting losses in the underlying collateral. Additionally, the continued deterioration of the housing market has also contributed to the increased loss expectations for Alt-A pools. The action reflects Moody's updated expected losses on the Alt-A sector announced in a press release on January 22, 2009, and is part of Moody's on-going review process. Moody's final rating action is 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. General loss estimation methodology is outlined. 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. The rating on the note was assigned by evaluating factors determined to be applicable to the credit profile, such as i) the nature, sufficiency, and quality of historical performance information regarding the asset class as well as for the transaction sponsor, ii) an analysis of the collateral, 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. RESTRUCTURED ASSET: Moody's Junks Ratings on 2007-2-E Certs. ------------------------------------------------------------ Moody's Investors Service has downgraded and left on review for possible further downgrade its rating of Restructured Asset Certificates with Enhanced Returns, Series 2007-2-E Certificates issued by Restructured Asset Certificates with Enhanced Returns, Series 2007-2-E Trust. The rating action is: Class Description: Restructured Asset Certificates with Enhanced Returns, Series 2007-2-E Certificates -- Current Rating: Caa2 on review for possible downgrade -- Prior Rating: Baa3 -- Prior Rating Date: 02/27/07 The transaction is a repackaged security whose rating is based primarily upon the transaction's structure and the credit quality of the Underlying Securities. The rating action is a result of the change of the ratings of the Class A-1L Floating Rate Notes due 2036, issued by Mid Ocean 2000 and Class A-1 6.5563% Notes due 2036, issued by Mid Ocean 2001. The Class A-1L Floating Rate Notes due 2036, issued by Mid Ocean 2000 and the Class A-1 6.5563% Notes due 2036, issued by Mid Ocean 2001 are currently rated Caa2 on review for possible downgrade. RESTRUCTURED ASSET: Moody's Cuts Ratings on 2004-13-E Notes To B2 ----------------------------------------------------------------- Moody's Investors Service downgraded its rating of RACERs, Series 2004-13-E Deferrable Certificates issued by Restructured Asset Certificates with Enhanced Returns, Series 2004-13-E. The rating action is: Restructured Asset Certificates with Enhanced Returns, Series 2004-13-E -- Deferrable Certificates,Downgraded to B2; Previously on 29 JUL 2008 Aa2 Placed under Review for Downgrade. The transaction is a repackaged security whose rating is based primarily upon the transaction's structure and the credit quality of the Underlying Assets which include (i) $50MM SFA CABS II CDO Ltd., Class B Notes that are currently rated Ca by Moody's and (ii) a credit default swap that references corporate obligors as the reference portfolio. SFA CABS II CDO Ltd., is a Structured Finance CDO. The Class B Notes were downgraded to Ca from Ba2 on 6/20/2008. Prior to that, on 3/20/2006 Class B notes were downgraded to Ba2 from Aa3 on watch for possible downgrade. RESTRUCTURED ASSET: S&P Corrects Rating on 2006-18-C Certs. to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services corrected its rating on Restructured Asset Certificates w/ Enhanced Returns Series 2006- 18-C (ABX_A_06_1_i)'s $75 million credit-linked certificates by lowering the rating to 'D' from 'CCC'. The rating action reflects the April 3, 2009, lowering of S&P's rating on Restructured Asset Certificates With Enhanced Returns Series 2006-15-A Trust's $500 million certificates to 'D' from 'CCC' due to a payment default on the December 2008 payment due date. The rating action did not occur contemporaneously with the payment default on RACERS Series 2006-15-A Trust's $500 million certificates due to a delay in S&P's analytical process. The ratings on the series 2006-18-C certificates are dependent on the lower of the rating on (i) the certificates issued by RACERS Series 2006-15-A Trust ('D') and (ii) the $30.559 million class M- 5 certificates Series 2005-HE7 due Nov. 25, 2035, issued by ACE Securities Corp. Home Equity Loan Trust ('CC'). RFC CDO: Moody's Downgrades Ratings on 12 Classes of 2007-1 Notes ----------------------------------------------------------------- Moody's Investors Service confirmed the ratings of two classes and downgraded the ratings of 12 classes of Notes issued by RFC CDO 2007-1, Ltd. The rating actions are: -- Class A-1, $450,000,000, Floating Rate Notes Due 2052, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-1R, $50,000,000, Floating Rate Notes Due 2052, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $125,000,000, Floating Rate Notes Due 2052, downgraded to Baa2 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2R, $2,200,000, Floating Rate Notes Due 2052, downgraded to Baa2 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $86,500,000, Floating Rate Notes Due 2052, downgraded to B1 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $48,000,000, Floating Rate Deferrable Interest Notes Due 2052, downgraded to Caa1 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $19,000,000, Floating Rate Deferrable Interest Notes Due 2052, downgraded to Caa2 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $15,000,000, Floating Rate Deferrable Interest Notes Due 2052, downgraded to Caa2 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $22,500,000, Floating Rate Deferrable Interest Notes Due 2052, downgraded to Caa2 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $15,000,000, Floating Rate Deferrable Interest Notes Due 2052, downgraded to Caa3 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class H, $24,000,000, Floating Rate Deferrable Interest Notes Due 2052, downgraded to Caa3 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class J, $17,000,000, Floating Rate Deferrable Interest Notes Due 2052, downgraded to Caa3 from Ba1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class K, $15,500,000, Floating Rate Deferrable Interest Notes Due 2052, downgraded to Caa3 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class L, $9,500,000, Floating Rate Deferrable Interest Notes Due 2052, downgraded to Caa3 from Ba3; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded Classes A-2, A-2R, B, C, D, E, F, G, H, J, K and L due to deteriorating pool performance and revised modeling parameters. Moody's ratings are based on the current credit quality of the collateral and may not reflect potential migration as per the legal documentation. The pool contains a 20.3% concentration in commercial mortgage backed securities collateral of which approximately 74% was issued between 2006 and 2007. The remaining includes commercial real estate collateralized debt obligations, whole loan debt, B-note debt, and mezzanine debt. Moody's expects the aggregate default rate on CMBS loans (1.59% as of March 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 21% from the peak reached in October 2007, are expected to decline an additional 5% to 15% 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 its 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 have 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 full review since securitization. Moody's review at securitization is summarized in a Pre-Sale Report dated February 23, 2007. RFSC SERIES: Moody's Downgrades Ratings on Two 2001-RM2 Tranches ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 2 tranches from RFSC Series 2001-RM2 Trust. The collateral backing this transaction consists primarily of first-lien, fixed and adjustable-rate, Alt-A residential mortgage loans. These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Once expected losses have been determined, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. List of actions: Issuer: RFSC Series 2001-RM2 Trust -- Cl. M-I-2, Downgraded to Baa1; previously on 1/31/2002 Assigned A2 -- Cl. M-I-3, Downgraded to Caa3; previously on 10/8/2008 Downgraded to Ba1 SAGUARO ISSUER: Moody's Downgrades Ratings on Various Units ----------------------------------------------------------- Moody's Investors Service has downgraded its ratings of US$20,000,000 aggregate face amount of Principal Units, Series F, US$20,000,000 aggregate face amount of Principal Units, Series G, US$14,550,000 aggregate face amount of Principal Units, Series H, US$20,800,000 aggregate face amount of Principal Units, Series I, US$11,000,000 aggregate face amount of Principal Units, Series K, US$34,000,000 aggregate face amount of Principal Units, Series L and $25,000,000 aggregate face amount of Principal Units, Series M issued by Saguaro Issuer Trust. The rating actions are: Class Description: US$20,000,000 aggregate face amount of Principal Units, Series F -- Current Rating: A3 -- Prior Rating: A1 -- Prior Rating Date: 02/19/09 Class Description: US$20,000,000 aggregate face amount of Principal Units, Series G -- Current Rating: A3 -- Prior Rating: A1 -- Prior Rating Date: 02/19/09 Class Description: US$14,550,000 aggregate face amount of Principal Units, Series H -- Current Rating: Aa3 -- Prior Rating: Aa2 -- Prior Rating Date: 12/23/08 Class Description: US$20,800,000 aggregate face amount of Principal Units, Series I -- Current Rating: Aa3 -- Prior Rating: Aa2 -- Prior Rating Date: 12/23/08 Class Description: US$11,000,000 aggregate face amount of Principal Units, Series K -- Current Rating: Baa3 on review for possible downgrade -- Prior Rating: A1 on review for possible downgrade -- Prior Rating Date: 01/30/09 Class Description: US$34,000,000 aggregate face amount of Principal Units, Series L -- Current Rating: Baa3 on review for possible downgrade -- Prior Rating: A1 on review for possible downgrade -- Prior Rating Date: 01/30/09 Class Description: $25,000,000 aggregate face amount of Principal Units, Series M -- Current Rating: Ba1 on review for possible downgrade -- Prior Rating: A2 on review for possible downgrade -- Prior Rating Date: 01/30/09 The transaction is a structured note whose ratings change with the rating of the underlying Principal Certificates. The Series F Principal Units are related to the Principal Certificates, Series F issued by IIG Funding Trust, which are, in turn, related to the U.S. $20,000,000 face amount of Primary Capital Undated Floating Rate Notes of Lloyd Bank PLC. The U.S. $20,000,000 face amount of Primary Capital Undated Floating Rate Notes of Lloyd Bank PLC were downgrade to A3 on 04/03/2009. The Series G Principal Units are related to the Principal Certificates, Series G issued by IIG Funding Trust, which are, in turn, related to the U.S. $20,000,000 face amount of Undated Capital Floating Rate Notes, Series 2 of Lloyds Bank PLC. The U.S. $20,000,000 face amount of Undated Capital Floating Rate Notes, Series 2 of Lloyds Bank PLC were downgraded to A3 on 04/03/2009. The Series H Principal Units are related to the Principal Certificates, Series H issued by IIG Funding Trust, which are, in turn, related to the U.S. $14,550,000 face amount of Undated Floating Rate Primary Capital Notes of Midland Bank plc. The U.S. $14,550,000 face amount of Undated Floating Rate Primary Capital Notes of Midland Bank plc were downgraded to Aa3 on 03/09/2009. The Series I Principal Units are related to the Principal Certificates, Series I issued by IIG Funding Trust, which are, in turn, related to the U.S. $20,800,000 face amount of Undated Floating Rate Primary Capital Notes of Midland Bank plc. The U.S. $20,800,000 face amount of Undated Floating Rate Primary Capital Notes of Midland Bank plc were downgraded to Aa3 on 03/09/2009. The Series K Principal Units are related to the Principal Certificates, Series K issued by IIG Funding Trust, which are, in turn, related to the U.S. $11,000,000 face amount of Undated Primary Capital Floating Rate Notes, Series A of National Westminster Bank PLC. The U.S. $11,000,000 face amount of Undated Primary Capital Floating Rate Notes, Series A of National Westminster Bank PLC were downgraded to Baa3 and left on review for possible further downgrade on 04/03/2009. The Series L Principal Units are related to the Principal Certificates, Series L issued by IIG Funding Trust, which are, in turn, related to the U.S. $34,000,000 face amount of Undated Primary Capital Floating Rate Notes, Series A of National Westminster Bank PLC. The U.S. $34,000,000 face amount of Undated Primary Capital Floating Rate Notes, Series A of National Westminster Bank PLC were downgraded to Baa3 and left on review for possible further downgrade on 04/03/2009. The Series M Principal Units are related to the Principal Certificates, Series M issued by IIG Funding Trust, which are, in turn, related to the U.S. $25,000,000 face amount of Undated Floating Rate Primary Capital Notes of Royal Bank of Scotland Group plc. The U.S. $25,000,000 face amount of Undated Floating Rate Primary Capital Notes of Royal Bank of Scotland Group plc were downgraded to Ba1 and left on review for possible further downgrade on 04/03/2009. SANTA ROSA BAY: Fitch Junks Rating on 1996 Revenue Bonds -------------------------------------------------------- Fitch Ratings downgrades its underlying rating on approximately $114 million in outstanding Santa Rosa Bay Bridge Authority (the authority), Florida, revenue bonds, series 1996 to 'CCC' from 'BB-'. The Rating Outlook is Negative. A 'CCC' category rating means that default is a real possibility and capacity for meeting financial commitments is solely reliant upon sustained, favorable business or economic conditions. The authority's revenue generating asset is the Garcon Point Bridge, which traverses the Pensacola Bay from Garcon Point on the mainland to the Gulf Breeze Peninsula to the south. The toll facility extends from US 98 in the south to I-10 in the north, covering approximately 12 miles. The 'CCC' rating reflects the increasingly poor traffic and revenue performance and weak financial profile of the Garcon Point Bridge; repeated draws on debt service reserves by the authority in order to meet obligations; lack of clear management guidance to deal with declining traffic and escalating debt service; existence of free competing facilities; and reliance on Florida Dept. of Transportation for operating support. The Negative Outlook reflects the expectation that near- to medium-term debt obligations will fully exhaust the debt service reserve in the next two to three years; and continued negative pressure on traffic and revenues due to the overall economic downturn that could accelerate reserve depletion. It is also uncertain that higher toll increases would be revenue positive, as Fitch views the current toll levels as at or close to the facility's revenue maximization point. Year-over-year traffic declines since July 2007 resulted in the authority being placed on Rating Watch Negative in February 2008. Since this time, traffic has continued to decline (down 13.3% year-over-year for fiscal 2008, down 9.9% for the first half of 2009), and management has not provided the necessary changes to enhance revenue or explore refinancing options. Overall traffic has been considerably lower than the original plan of finance, with the authority's initial 1996 forecast projecting 3.2 million transactions in fiscal 2008 versus actual performance of 1.4 million, approximately 45% of originally forecasted levels. Following some improvement in 2004-2006, traffic stagnated in 2007 with 0.3% growth, and declined 13.3% in 2008. This reversal largely reflects declines in the Florida economy and housing market, rising fuel prices, the July 2007 toll increase, and the reopening of the toll-free I-10 Bridge. Fitch expects further traffic and revenue erosion in 2009 and 2010. Three $0.25 toll increases, planned for 2011, 2014, and 2017, partially mitigate revenue shortfalls, but are insufficient to meet debt service requirements in the near to medium term. Furthermore, with the existence of two free alternative routes (Pensacola Bay Bridge/US 98 to West, and State Route 87 to the East, which is currently being expanded from two lanes to four), ratemaking ability is increasingly limited. Fiscal 2006 and 2007 are the only years since 2001 that the authority did not use its debt service reserve fund to pay current debt service. In those years, operating revenues in conjunction with investment earnings provided approximately 1.00 times (x) coverage of debt service. Approximately $4.1 million was drawn down between fiscal 2002-2008, reducing the reserve fund to $5 million as of fiscal 2008. Under Fitch's base and stress scenarios which reflect the planned 2011, 2014, and 2017 toll increases, the debt service reserve will be fully drawn by the end of fiscal 2011. Fitch's analysis suggests that barring annual traffic growth of 6% or greater over the next 20 years, the bonds will default. Under a lease purchase agreement with the authority, FDOT pays operating and maintenance (O&M) expenses for the bridge and remits all tolls collected to the authority as lease payments. The term of the lease runs through the life of the bonds and terminates in 2028, at which point FDOT will own the bridge. Though the current agreement states that FDOT is to be reimbursed annually from toll revenues for payment of O&M, these reimbursements are deeply subordinated to debt service and roll over to These year should sufficient revenues be unavailable. FDOT has paid O&M expenses since the project's inception and is expected to do so for the foreseeable future. The authority's total liability to FDOT to date includes O&M advances of $12.8 million accrued as long-term debt and $7.9 million from non-interest-bearing Toll Facility Revolving Trust Fund loans made to the authority to cover initial bridge design costs. SATURNS TRUST: Hertz Rating Cut Cues S&P's Junk Rating on Units --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on SATURNS Trust No. 2003-8's $25 million class A and B units to 'CCC+' from 'B+' and removed them from CreditWatch, where they were placed with negative implications on March 13, 2009. The rating actions reflect the March 31, 2009, lowering of the rating on Hertz Corp.'s 7.625% debentures due June 1, 2012, to 'CCC+' from 'B+' and its removal from CreditWatch with negative implications. The ratings on the units are dependent on the ratings on the Hertz Corp. debentures. SATURNS TRUST: S&P Downgrades Rating on $75 Mil. Units to 'D' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on SATURNS Trust No. 2003-5's $75 million callable units to 'D' from 'C'. The rating action reflects the April 6, 2009, lowering of the rating on Ford Motor Co.'s 7.45% global landmark securities due July 16, 2031, to 'D' from 'C'. The rating on the callable units is dependent on the rating on Ford Motor Co.'s global landmark securities. SATURNS TRUST: S&P Corrects Rating on $78 Mil. 2002-11 Certs. ------------------------------------------------------------- Standard & Poor's Ratings Services corrected its ratings on SATURNS Trust No. 2002-11's $78 million class A and B units, by affirming the 'B' ratings on both classes and removing them from CreditWatch with negative implications, where they were placed on Sept. 22, 2008. The ratings on the SATURNS units are dependent on the rating on American General Institutional Capital's $500 million 7.57% capital securities series A ('B'). The rating actions follow the March 2, 2009, affirmation of the rating on American General Institutional Capital's $500 million 7.57% capital securities series A and its removal from CreditWatch negative. SOLAR TRUST: Moody's Downgrades Ratings on Two 2003-CC1 Certs. -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of two classes and affirmed 12 classes of Solar Trust, Commercial Mortgage Pass- Through Certificates, Series 2003-CC1. The downgrades are due to higher expected losses resulting from increased leverage. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the March 12, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 30% to $326.4 million from $468.2 million at securitization. The Certificates are collateralized by 59 loans ranging in size from less than 1% to 7% of the pool, with the top 10 loans representing 48% of the pool. Five loans, representing 5% of the pool, have defeased and are collateralized with U.S. Government securities. Nine loans, representing 5% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. There have been no realized losses since securitization and there are currently no delinquent or specially serviced loans. Moody's was provided with full year 2007 and partial year 2008 operating statements for 94% and 24% of the pool, respectively. Moody's loan to value ratio is 78% compared to 74% at Moody's prior review in July 2006. In addition to an overall decline in credit quality, the pool has experienced increased LTV dispersion since last review. Based on Moody's analysis, 11% of the pool has an LTV in excess of 100% compared to 3% at last review and 6% of the pool has an LTV in excess of 120% compared to 0% at last review. The three largest loans represent 19% of the pool. The largest loan is the Kirkland Centre Loan ($22.8 million -- 7.0%), which is secured by a 225,000 square foot retail center located in suburban Montreal. The property was 92% occupied as of February 2009 compared to 100% at last review. Anchor tenants include Winners and Business Depot, both of which are on long-term leases. The loan is full recourse to the borrower and the loan sponsor is RioCan Real Investment Trust, Canada's largest real estate investment trust. Moody's stressed the property's cash flow to reflect Moody's concerns about the weak retail environment. Moody's LTV is 67% compared to 63% at Moody's last review. The second largest loan is the Eglinton Square Loan ($22.6 million -- 6.9%), which is secured by a 275,000 square foot retail center located in the Greater Toronto area. The property was 91% occupied as of August 2008 compared to 94.0% at last review. Moody's LTV is 80%, essentially the same as at last review. The third largest loan is the Matheson Boulevard Loan ($16.5 million -- 5.0%), which is secured by a 187,000 square foot Class A suburban office building located in Mississauga, Ontario. The property has been 100% occupied since securitization, however, a lease for 20% of the premises expires at year end 2009. Moody's LTV is 84% compared to 83% at last review. Moody's rating action is: -- Class A-1, $49,245,987, affirmed at Aaa; previously affirmed at Aaa on 7/27/2006 -- Class A-2, $208,100,000, affirmed at Aaa; previously affirmed at Aaa on 7/27/2006 -- Class IO-1, Notional, affirmed at Aaa; previously affirmed at Aaa on 7/27/2006 -- Class IO-2, Notional, affirmed at Aaa; previously affirmed at Aaa on 7/27/2006 -- Class B, $9,400,000, affirmed at Aaa; previously upgraded to Aaa from Aa2 on 7/27/2006 -- Class C, $14,040,000, affirmed at Aa1; previously upgraded to Aa1 from Aa3 on 9/25/2008 -- Class D-1, $7,610,000, affirmed at Baa1; previously upgraded toBaa1 from Baa2 on 9/25/2008 -- Class D-2, $7,610,000, affirmed at Baa1; previously upgraded to Baa1 from Baa2 on 9/25/2008 -- Class E, $4,681,705, affirmed at Baa3; previously affirmed at Baa3 on 7/27/2006 -- Class F, $2,340,852, affirmed at Ba1; previously affirmed at Ba1 on 7/27/2006 -- Class G, $4,681,705, affirmed at Ba2; previously affirmed at Ba2 on 7/27/2006 -- Class H, $2,340,852, affirmed at Ba3; previously affirmed at Ba3 on 7/27/2006 -- Class J, $7,022,557, downgraded to B3 from B2; previously affirmed at B2 on 7/27/2006 -- Class K, $2,340,852, downgraded to Caa1 from B3; previously affirmed at B3 on 7/27/2006 SPRINGHILL/COURTLAND: S&P Cuts Rating on 1999A Bonds to "B-" ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on Springhill/Courtland Heights Public Facility Corp., Texas' senior- lien multifamily housing revenue bonds (Springhill I and II, Courtland Heights Project) series 1999A to 'B-' from 'B'. The outlook is negative. "The downgrade reflects the continued deterioration in the financial performance of the property with a decline in debt service coverage to 0.19x in the 2008 fiscal year, rising expenses, and declining rental revenues," said Standard & Poor's credit analyst Raymond Kim. The rating reflects the decline in debt service coverage to 0.19x maximum annual debt servicein the 2008 fiscal year, the fourth consecutive decline in DSC; sharp increase in expenses coupled with declining rental revenues; very high loan-to-value ratio; and declining occupancy levels at the property. STARS & STRIPES: Moody's Cuts Ratings on Two Classes to 'B3' ------------------------------------------------------------ Moody's Investors Service downgraded its ratings of $36,400,000 Structured Auction Rate Securities Stock Custodial Receipts, Merrill Series 2 and $19,600,000 Structured Residual Interest Preferred Enhanced Securities Stock Custodial Receipts, Merrill Series 2 issued by STARS & STRIPES Custodial Receipts. The rating actions are: STARS & STRIPES Custodial Receipts (Merrill Series 2) -- $36,400,000 Structured Auction Rate Securities Stock Custodial Receipts, Merrill Series 2 Downgraded to B3; previously on 1/30/2009 Confirmed Baa1. -- $19,600,000 Structured Residual Interest Preferred Enhanced Securities Stock Custodial Receipts, Merrill Series 2 Downgraded to B3; previously on 1/30/2009 Confirmed Baa1. The transaction is a structured note whose ratings change with the rating of the Underlying Security. The rating actions are a result of the change of the rating of Merrill Lynch & Co., Inc.'s Floating Rate Non-Cumulative Preferred Stock, Series 2 which was downgraded to B3 from Baa1 on watch for downgrade on March 25, 2009. STRAITS GLOBAL: Fitch Junks Ratings on Three Classes of Notes ------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed two classes of notes issued by Straits Global ABS CDO I, Ltd.: -- $72,471,758 class A-1 notes downgraded to 'BB' from 'A'; -- $72,000,000 class A-2 notes downgraded to 'CC' from 'BB'; -- $41,000,000 class B-1 notes downgraded to 'C' from 'CCC'; -- $7,000,000 class B-2 notes downgraded to 'C' from 'CCC'; -- $11,005,865 class C-1 notes affirmed at 'C'; -- $3,238,360 class C-2 notes affirmed at 'C'. Fitch also assigns a Negative Rating Outlook to the class A-1 notes. The class A-2 notes are removed from Rating Watch Negative. 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 Outlook on the class A-1 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. Since the last review in August 2008, the portfolio experienced further negative credit migration. Approximately 50% of the portfolio has been downgraded a weighted average of 4.9 notches. Assets rated below investment grade comprise 73.4% of the current portfolio, as compared to 43% during the time of the last review, of which assets rated 'CCC+' and below comprise 41.5% of the current portfolio, up from 24.4% during the last review. Straits CDO I declared an event of default on May 7, 2008 following a drop of the class A/B over collateralization ratio to below 100%. As of the latest Trustee report dated March 10, 2009, the class A/B OC ratio is 78.7%, versus its trigger of 103.7%. On Jan. 27, 2009, the majority of the class A-1 noteholders elected to accelerate the transaction. Commencing on the February 2009 distribution date, all collected interest proceeds will be used to pay transaction related fees and expenses, including management fees, to satisfy hedge counterparty payments, if any due for the period, and to pay current interest due on the class A-1 notes. The remaining interest proceeds, if any, will be transferred to the Principal Collections Account and used to amortize the class A-1 notes until their principal is paid in full. On the last payment date, $8 million, or approximately 10%, of the outstanding principal of class A-1 notes was paid down bringing its balance to $72.5 million, or 32.2% of the current capital structure. Approximately $1 million of this amortization was from interest proceeds that were diverted as a result of the acceleration of maturity. To date, 70.8% of the original principal balance of the class A-1 notes has been amortized. As a result of the acceleration, the class A-2 notes will not receive any interest until class A-1 is paid in full. On the February 2009 distribution date, the interest due the class A-2 notes in the amount of $552,825 was deferred. Given the composition and performance of the portfolio, Fitch expects the class A-2 notes to receive most, if not all, of its deferred interest in the future. It is possible that class A-2 will also receive some potential principal repayment once the class A-1 notes and deferred interest is paid in full. The amount of principal received will largely depend on the future performance of the portfolio, including recovery values on defaulted assets and amount of interest proceeds used for the amortization of the class A-1 notes. Similarly, interest due on the class B-1 and B-2 notes began deferring on the last payment date and will continue to do so until the principal of the class A-1, and then class A-2 notes, is paid in full. Fitch does not expect class B-1 or B-2 to receive any of its deferred interest or any future principal payments. The class C-1 and C-2 notes interest payments have been paid-in- kind since May 2008, whereby the principal balance of the notes has been written up by the amount of interest owed. Fitch expects the class C notes to receive no further interest or principal distribution in the future. Straits CDO I is a cash flow CDO that closed on Oct. 28, 2004 and is managed by Declaration Management & Research LLC. Presently 50.2% of the portfolio is comprised of U.S. subprime RMBS, 15.7% consists of Alt-A RMBS, and 2.9% of prime RMBS. The remaining 31.2% of the portfolio consists of 5.2% commercial mortgage-backed securities, 3.3% of various consumer and commercial asset-backed securities, 9.3% of commercial real estate CDOs, and 13.4% corporate CDOs. 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. STRUCTURED ADJUSTABLE: Moody's Downgrades Ratings on 185 Tranches ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 185 tranches from 17 Alt-A RMBS transactions issued by Structured Adjustable Mortgage Loan Trust. Additionally, 2 senior tranches were confirmed at Aaa.The collateral backing these transactions consists primarily of first-lien, adjustable-rate, Alt-A residential mortgage loans. These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Once expected losses have been assigned to each collateral group, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. List of actions: Structured Adj Rate Mtge Loan Trust 2004-11 -- Cl. B2, Downgraded to Baa1; previously on 9/10/2004 Assigned A2 -- Cl. B3, Downgraded to Caa2; previously on 12/14/2007 Downgraded to Ba3 -- Cl. B4, Downgraded to C; previously on 12/14/2007 Downgraded to Ca Structured Adj Rate Mtge Loan Trust 2004-13 -- Cl. A1, Downgraded to Aa1; previously on 10/12/2004 Assigned Aaa -- Cl. A4, Downgraded to Aa1; previously on 10/12/2004 Assigned Aaa -- Cl. B1, Downgraded to A1; previously on 12/14/2007 Upgraded to Aa1 -- Cl. B2, Downgraded to Baa2; previously on 12/14/2007 Upgraded to A1 -- Cl. B3, Downgraded to B3; previously on 12/14/2007 Upgraded to Baa1 Structured Adj Rate Mtge Loan Trust 2004-14 -- Cl. 1-A, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-PAX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A1, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-PAX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 7-A, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Baa3; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B1-X, Downgraded to Baa3; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to B2; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B3-X, Downgraded to B2; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Caa3; previously on 9/17/2008 Baa2 Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Tr 2004-1 -- Cl. 1-A, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A3, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A2, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A3, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A4, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-PAX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 6-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Tr 2004-9XS -- Cl. A, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Trust 2004-10 -- Cl. 1-A1, Downgraded to A3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to A3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to A3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to A3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to A3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-AX, Downgraded to A3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Trust 2004-12 -- Cl. 1-A1, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-AX, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 7-A1, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 7-A2, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 7-A3, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 7-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 8-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 9-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Baa2; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B1-X, Downgraded to Baa2; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to B1; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B3-X, Downgraded to B1; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Caa3; previously on 9/17/2008 Baa2 Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Trust 2004-15 -- Cl. A, Downgraded to A2; previously on 11/30/2004 Assigned Aaa -- Cl. B1, Downgraded to Baa3; previously on 11/30/2004 Assigned Aa2 -- Cl. B2, Downgraded to Caa1; previously on 11/30/2004 Assigned A2 -- Cl. B3, Downgraded to Caa3; previously on 11/30/2004 Assigned Baa2 -- Cl. BX, Downgraded to Caa1; previously on 11/30/2004 Assigned Baa2 Structured Adj. Rate Mtge. Loan Trust 2004-16 -- Cl. 1-A1, Downgraded to A3; previously on 12/30/2004 Assigned Aaa -- Cl. 1-A2, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 2-A, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 3-A1, Downgraded to A3; previously on 12/30/2004 Assigned Aaa -- Cl. 3-AX, Downgraded to A3; previously on 12/30/2004 Assigned Aaa -- Cl. 3-PAX, Downgraded to A3; previously on 12/30/2004 Assigned Aaa -- Cl. 4-A, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 4-AX, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 4-PAX, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 5-A1, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 5-A2, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 5-A3, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 5-AIO, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 5-AX, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 6-A, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. B1, Downgraded to Ba1; previously on 12/30/2004 Assigned Aa2 -- Cl. B1X, Downgraded to Ba1; previously on 12/30/2004 Assigned Aa2 -- Cl. B3, Downgraded to Caa1; previously on 12/30/2004 Assigned A2 -- Cl. B3X, Downgraded to Caa1; previously on 12/30/2004 Assigned A2 -- Cl. B5, Downgraded to Caa3; previously on 12/30/2004 Assigned Baa2 Structured Adj. Rate Mtge. Loan Trust 2004-17 -- Cl. A1, Downgraded to A3; previously on 1/27/2005 Assigned Aaa -- Cl. A1X, Downgraded to A3; previously on 1/27/2005 Assigned Aaa -- Cl. A2, Downgraded to A3; previously on 1/27/2005 Assigned Aaa -- Cl. A2X, Downgraded to A3; previously on 1/27/2005 Assigned Aaa -- Cl. A3, Downgraded to A3; previously on 1/27/2005 Assigned Aaa -- Cl. B1, Downgraded to Ba3; previously on 1/27/2005 Assigned Aa2 -- Cl. B3, Downgraded to Caa1; previously on 1/27/2005 Assigned A2 -- Cl. B5, Downgraded to Ca; previously on 1/27/2005 Assigned Baa2 Structured Adj. Rate Mtge. Loan Trust 2004-18 -- Cl. 1-A1, Downgraded to Ba2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Ba1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Ba1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Baa1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to Baa1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-AX, Downgraded to Baa1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-PAX, Downgraded to Baa1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Ba1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-AX, Downgraded to Ba1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to B3; previously on 9/17/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. MX, Downgraded to B3; previously on 9/17/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Caa2; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B1X, Downgraded to Caa2; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Caa3; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B3X, Downgraded to Caa3; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Ca; previously on 9/17/2008 Baa2 Placed Under Review for Possible Downgrade -- Cl. B5X, Downgraded to Ca; previously on 9/17/2008 Baa2 Placed Under Review for Possible Downgrade -- Cl. B6X, Downgraded to C; previously on 9/17/2008 Baa3 Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Trust 2004-2 -- Cl. 1-A1, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A2, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A3, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-AX, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Trust 2004-20 -- Cl. 1-A1, Downgraded to Ba1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Baa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Baa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Baa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Ba1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Baa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Baa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to B1; previously on 9/17/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. B1X, Downgraded to B1; previously on 9/17/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Caa1; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B-2X, Downgraded to Caa1; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Caa3; previously on 9/17/2008 Aa3 Placed Under Review for Possible Downgrade -- Cl. B3X, Downgraded to Caa3; previously on 9/17/2008 Aa3 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Ca; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B5X, Downgraded to Ca; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B7, Downgraded to C; previously on 9/17/2008 Baa2 Placed Under Review for Possible Downgrade -- Cl. B7X, Downgraded to C; previously on 9/17/2008 Baa2 Placed Under Review for Possible Downgrade -- Cl. B8, Downgraded to C; previously on 9/17/2008 Baa3 Placed Under Review for Possible Downgrade -- Cl. B8X, Downgraded to C; previously on 9/17/2008 Baa3 Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Trust 2004-4 -- Cl. 1-A1, Downgraded to Aa3; previously on 4/26/2004 Assigned Aaa -- Cl. 1-A2, Downgraded to Aa2; previously on 4/26/2004 Assigned Aaa -- Cl. 2A, Downgraded to Aa3; previously on 4/26/2004 Assigned Aaa -- Cl. 3-A1, Downgraded to Aa2; previously on 4/26/2004 Assigned Aaa -- Cl. 3-A2, Downgraded to Aa3; previously on 4/26/2004 Assigned Aaa -- Cl. 3-A3, Downgraded to Aa3; previously on 4/26/2004 Assigned Aaa -- Cl. 3-A4, Downgraded to Aa3; previously on 4/26/2004 Assigned Aaa -- Cl. 3-A5, Downgraded to Aa3; previously on 4/26/2004 Assigned Aaa -- Cl. 4-A, Downgraded to Aa2; previously on 4/26/2004 Assigned Aaa -- Cl. 4-AX, Downgraded to Aa2; previously on 4/26/2004 Assigned Aaa -- Cl. 5-A, Downgraded to Aa2; previously on 4/26/2004 Assigned Aaa Structured Adj. Rate Mtge. Loan Trust 2004-5 -- Cl. 1-A, Downgraded to Aa2; previously on 5/21/2004 Assigned Aaa -- Cl. 2-A, Downgraded to Aa2; previously on 5/21/2004 Assigned Aaa -- Cl. 3-A1, Downgraded to Aa1; previously on 5/21/2004 Assigned Aaa -- Cl. 3-A2, Downgraded to Aa2; previously on 5/21/2004 Assigned Aaa -- Cl. 3-A3, Downgraded to Aa2; previously on 5/21/2004 Assigned Aaa -- Cl. 3-A4, Downgraded to Aa2; previously on 5/21/2004 Assigned Aaa -- Cl. 3-A5, Downgraded to Aa2; previously on 5/21/2004 Assigned Aaa -- Cl. 3-AX, Downgraded to Aa1; previously on 5/21/2004 Assigned Aaa -- Cl. 3-PAX, Downgraded to Aa1; previously on 5/21/2004 Assigned Aaa -- Cl. 4-A, Downgraded to Aa1; previously on 5/21/2004 Assigned Aaa -- Cl. 4-AX, Downgraded to Aa1; previously on 5/21/2004 Assigned Aaa -- Cl. 5-A, Downgraded to Aa1; previously on 5/21/2004 Assigned Aaa -- Cl. 5-AX, Downgraded to Aa1; previously on 5/21/2004 Assigned Aaa Structured Adj. Rate Mtge. Loan Trust 2004-6 -- Cl. 1-A, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A1, Confirmed at Aaa; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A2, Downgraded to Aa1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A3, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A4, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A5, Confirmed at Aaa; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Trust 2004-7 -- Cl. A1, Downgraded to A1; previously on 6/10/2004 Assigned Aaa -- Cl. A3, Downgraded to A1; previously on 6/10/2004 Assigned Aaa STRUCTURED ASSET: Moody's Downgrades Ratings on 92 Tranches ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 92 tranches from 16 Alt-A RMBS transactions issued by Structured Asset Securities Corp Trust. The collateral backing these transactions consists primarily of first-lien, fixed-rate, Alt-A residential mortgage loans. These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Once expected losses have been assigned to each collateral group, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. For securities insured by a financial guarantor, the rating on the securities is equal to the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described in the two previous paragraphs. List of actions: Structured Asset Securities Corp 2003-12XS Tr -- Cl. A5, Downgraded to A2; previously on 4/9/2003 Assigned Aaa -- Cl. M1, Downgraded to B3; previously on 1/25/2008 Downgraded to Baa3 -- Cl. M2, Downgraded to C; previously on 1/25/2008 Downgraded to Caa3 Structured Asset Securities Corp Tr 2002-23XS -- Cl. A7, Downgraded to Aa3; previously on 11/5/2002 Assigned Aaa -- Cl. M1, Downgraded to Baa3; previously on 11/5/2002 Assigned Aa2 -- Cl. M2, Downgraded to B3; previously on 11/5/2002 Assigned A2 Structured Asset Securities Corp Tr 2003-18XS -- Cl. A5, Downgraded to Aa3; previously on 6/16/2003 Assigned Aaa -- Financial Guarantor: MBIA Insurance Corporation (currently B3) -- Cl. A6, Downgraded to Aa2; previously on 6/16/2003 Assigned Aaa -- Cl. A7, Downgraded to Aa3; previously on 1/25/2008 Aa1 Placed Under Review for Possible Upgrade -- Cl. M1, Downgraded to A3; previously on 6/16/2003 Assigned Aa2 -- Cl. M2, Downgraded to Ba1; previously on 6/16/2003 Assigned A2 Structured Asset Securities Corp Tr 2003-25XS -- Cl. A5, Downgraded to Baa1; previously on 8/25/2003 Assigned Aaa -- Financial Guarantor: MBIA Insurance Corporation (currently B3) -- Cl. A6, Downgraded to Baa1; previously on 8/25/2003 Assigned Aaa -- Financial Guarantor: MBIA Insurance Corporation (currently B3) -- Cl. M1, Downgraded to Caa2; previously on 8/19/2008 Downgraded to Baa1 -- Cl. M2, Downgraded to C; previously on 8/19/2008 Downgraded to Ba1 Structured Asset Securities Corp Tr 2003-28XS -- Cl. A4, Downgraded to Aa2; previously on 9/11/2003 Assigned Aaa -- Cl. A5, Downgraded to A1; previously on 9/11/2003 Assigned Aaa -- Financial Guarantor: MBIA Insurance Corporation (currently B3) -- Cl. A6, Downgraded to A1; previously on 9/11/2003 Assigned Aaa -- Financial Guarantor: MBIA Insurance Corporation (currently B3) -- Cl. M1, Downgraded to Baa3; previously on 9/11/2003 Assigned Aa2 -- Cl. M2, Downgraded to Caa2; previously on 9/11/2003 Assigned A2 -- Cl. M3, Downgraded to Ca; previously on 8/31/2007 Downgraded to Ba2 Structured Asset Securities Corp Tr 2003-36XS -- Cl. A4, Downgraded to Aa1; previously on 11/14/2003 Assigned Aaa -- Cl. A5, Downgraded to Aa3; previously on 11/14/2003 Assigned Aaa -- Financial Guarantor: MBIA Insurance Corporation (currently B3) -- Cl. M1, Downgraded to Baa3; previously on 11/14/2003 Assigned Aa2 -- Cl. M2, Downgraded to B2; previously on 11/14/2003 Assigned A2 Structured Asset Securities Corp Tr 2003-3XS -- Cl. A8, Downgraded to A1; previously on 2/18/2003 Assigned Aaa -- Cl. M1, Downgraded to Ba1; previously on 2/18/2003 Assigned Aa2 -- Cl. M2, Downgraded to Ca; previously on 2/18/2003 Assigned A2 Structured Asset Securities Corp Tr 2004-11XS -- Cl. 1-A4A, Downgraded to Aa3; previously on 6/15/2004 Assigned Aaa -- Cl. 1-A4B, Downgraded to Aa3; previously on 6/15/2004 Assigned Aaa -- Cl. 1-A5A, Downgraded to A1; previously on 6/15/2004 Assigned Aaa -- Cl. 1-A5B, Downgraded to A1; previously on 6/15/2004 Assigned Aaa -- Financial Guarantor: MBIA Insurance Corporation (currently B3) -- Cl. 1-A6, Downgraded to A1; previously on 6/15/2004 Assigned Aaa -- Financial Guarantor: MBIA Insurance Corporation (currently B3) -- Cl. 1-M1, Downgraded to Baa1; previously on 6/15/2004 Assigned Aa2 -- Cl. 1-M2, Downgraded to Ba2; previously on 6/15/2004 Assigned A2 -- Cl. M3, Downgraded to Caa3; previously on 6/15/2004 Assigned Baa3 Structured Asset Securities Corp Tr 2004-16XS -- Cl. A3A, Downgraded to Baa3; previously on 9/3/2004 Assigned Aaa -- Cl. A3B, Downgraded to Baa3; previously on 9/3/2004 Assigned Aaa -- Financial Guarantor: MBIA Insurance Corporation (currently B3) -- Cl. A4A, Downgraded to Baa3; previously on 9/3/2004 Assigned Aaa -- Cl. A4B, Downgraded to Baa3; previously on 9/3/2004 Assigned Aaa -- Financial Guarantor: MBIA Insurance Corporation (currently B3) -- Cl. M1, Downgraded to Ba3; previously on 9/3/2004 Assigned Aa2 -- Cl. M2, Downgraded to Caa1; previously on 9/3/2004 Assigned A2 -- Cl. M3, Downgraded to Caa3; previously on 9/3/2004 Assigned Baa3 Structured Asset Securities Corp Tr 2004-17XS -- Cl. A3A, Downgraded to A1; previously on 2/25/2005 Assigned Aaa -- Financial Guarantor: Ambac Assurance Corporation (currently Baa1 on review for possible downgrade) -- Cl. A3B, Downgraded to A1; previously on 2/25/2005 Assigned Aaa -- Cl. A4A, Downgraded to A1; previously on 2/25/2005 Assigned Aaa -- Financial Guarantor: Ambac Assurance Corporation (currently Baa1 on review for possible downgrade) -- Cl. A4B, Downgraded to A1; previously on 2/25/2005 Assigned Aaa -- Cl. M1, Downgraded to Baa2; previously on 2/25/2005 Assigned Aa2 -- Cl. M2, Downgraded to Ba3; previously on 2/25/2005 Assigned A2 -- Cl. M3, Downgraded to Caa3; previously on 2/25/2005 Assigned Baa2 Structured Asset Securities Corp Tr 2004-19XS -- Cl. A3A, Downgraded to A1; previously on 11/29/2004 Assigned Aaa -- Cl. A3B, Downgraded to A1; previously on 11/29/2004 Assigned Aaa -- Cl. A3C, Downgraded to A1; previously on 11/29/2004 Assigned Aaa -- Cl. A4, Downgraded to Aa3; previously on 11/29/2004 Assigned Aaa -- Cl. A5, Downgraded to A1; previously on 11/29/2004 Assigned Aaa -- Cl. A6A, Downgraded to A1; previously on 11/29/2004 Assigned Aaa -- Cl. A6B, Downgraded to A1; previously on 11/29/2004 Assigned Aaa -- Cl. A6C, Downgraded to A1; previously on 11/29/2004 Assigned Aaa -- Cl. M1, Downgraded to B1; previously on 11/29/2004 Assigned Aa2 -- Cl. M2, Downgraded to Caa2; previously on 11/29/2004 Assigned A2 -- Cl. M3, Downgraded to Caa3; previously on 11/29/2004 Assigned Baa2 Structured Asset Securities Corp Tr 2004-21XS -- Cl. 1-A4, Downgraded to Aa3; previously on 11/17/2008 Upgraded to Aaa -- Financial Guarantor: Ambac Assurance Corporation (currently Baa1 on review for possible downgrade) -- Cl. 1-A5, Downgraded to Aa3; previously on 2/14/2005 Assigned Aaa Structured Asset Securities Corp Tr 2004-23XS -- Cl. 1-A3A, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A3B, Downgraded to Ba1; previously on 9/17/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A3C, Downgraded to Baa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A3D, Downgraded to Baa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to Baa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Baa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Baa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to Ba1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-AIO, Downgraded to Baa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to B3; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Caa3; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Ca; previously on 9/17/2008 Baa2 Placed Under Review for Possible Downgrade Structured Asset Securities Corp Tr 2004-4XS -- Cl. 1-M2, Downgraded to Baa1; previously on 2/18/2004 Assigned A3 Structured Asset Securities Corp Tr 2004-6XS -- Cl. A3, Downgraded to Aa3; previously on 3/26/2004 Assigned Aaa -- Cl. A5A, Downgraded to Aa3; previously on 3/26/2004 Assigned Aaa -- Cl. A5B, Downgraded to Aa3; previously on 3/26/2004 Assigned Aaa -- Financial Guarantor: Ambac Assurance Corporation (currently Baa1 on review for possible downgrade) -- Cl. A6, Downgraded to Aa3; previously on 3/26/2004 Assigned Aaa -- Cl. M1, Downgraded to A3; previously on 3/26/2004 Assigned Aa2 -- Cl. M2, Downgraded to Ba2; previously on 8/19/2008 Downgraded to Baa1 -- Cl. M3, Downgraded to Caa2; previously on 8/19/2008 Downgraded to Ba2 Structured Asset Securities Corp Tr 2004-9XS -- Cl. 1-A4A, Downgraded to Aa1; previously on 5/10/2004 Assigned Aaa -- Cl. 1-A4B, Downgraded to Aa1; previously on 5/10/2004 Assigned Aaa -- Cl. 1-A4C, Downgraded to Aa1; previously on 5/10/2004 Assigned Aaa -- Cl. 1-A4D, Downgraded to Aa1; previously on 5/10/2004 Assigned Aaa -- Cl. 1-A5, Downgraded to Aa2; previously on 5/10/2004 Assigned Aaa -- Financial Guarantor: MBIA Insurance Corporation (currently B3) -- Cl. 1-A6, Downgraded to Aa2; previously on 5/10/2004 Assigned Aaa -- Financial Guarantor: MBIA Insurance Corporation (currently B3) -- Cl. 1-M1, Downgraded to A2; previously on 5/10/2004 Assigned Aa2 -- Cl. 1-M2, Downgraded to Baa2; previously on 5/10/2004 Assigned A2 -- Cl. M3, Downgraded to Ba1; previously on 5/10/2004 Assigned Baa2 STRUCTURED ASSET: Moody's Cuts Ratings on $25 Mil. Notes to 'Ba2' ----------------------------------------------------------------- Moody's Investors Service downgraded its ratings of US$25,000,000 of 6.25% Class A Callable Units and US 525,000,000 Notional Amount of Interest-Only 0.598% Class B Callable Units issued by Structured Asset Trust Unit Repackagings The May Department Stores Company Debenture Backed Series 2003-7. The rating actions are: Structured Asset Trust Unit Repackagings The May Department Stores Company Debenture Backed Series 2003-7 -- US$25,000,000 of 6.25% Class A Callable Units Downgraded to Ba2; previously on 2/10/2009 Baa3 Placed Under Review for Possible Downgrade. -- US$25,000,000 Notional Amount of Interest-Only 0.598% Class B Callable Units Downgraded to Ba2; previously on 2/10/2009 Baa3 Placed Under Review for Possible Downgrade. The transaction is a structured note whose ratings change with the rating of the Underlying Security. The rating actions are a result of the change of the rating of 6.90% debentures due January 15, 2032, issued by May Department Stores Company which was downgraded to Ba2 from Baa3 on watch for downgrade on April 1, 2009. STRUCTURED ASSET: Moody's Downgrades Ratings on Two Notes to 'Ba1' ------------------------------------------------------------------ Moody's Investors Service downgraded its ratings of US$54,500,000 of 7.625% Callable Units and $3,690,000 Initial Notional Amortizing Balance of Interest-Only Class B Callable Units issued by Structured Asset Trust Unit Repackagings Series 2007-1. The rating actions are: Structured Asset Trust Unit Repackagings Series 2007-1 -- US$54,500,000 of 7.625% Callable Units Downgraded to Ba1; previously on 2/10/2009 Baa3 Placed Under Review for Possible Downgrade. -- $3,690,000 Initial Notional Amortizing Balance of Interest- Only Class B Callable Units Downgraded to Ba1; previously on 2/10/2009 Baa3 Placed Under Review for Possible Downgrade. The transaction is a structured note whose ratings change with the rating of the Underlying Security. The rating actions are a result of the change of the rating of J.C. Penney Corporation, Inc. 7.625% Debentures due March 1, 2097, which were downgraded to Ba1 from Baa3 on watch for downgrade on April 1, 2009. Moody's initially analyzed and continues to monitor this tra STRUCTURED ASSET: S&P Junks Ratings on 2003-15 Debentures --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on Structured Asset Trust Unit Repackagings The Hertz Corp. Debenture Backed Series 2003-15's $25 million class A and B units to 'CCC+' from 'B+' and removed them from CreditWatch, where they were placed with negative implications on March 13, 2009. The rating actions reflect the March 31, 2009, lowering of the rating on Hertz Corp.'s 7.625% debentures due June 1, 2012, to 'CCC+' from 'B+' and its removal from CreditWatch with negative implications. The ratings on the units are dependent on the ratings on the Hertz Corp. debentures. STRUCTURED ASSET: S&P Corrects Rating on Class B6 to 'B' from 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on class B6 from Structured Asset Securities Corp. Trust 2005-6, raising it to 'B' from 'D' and placing it on CreditWatch with negative implications. On Feb. 2, 2009, S&P incorrectly lowered the rating to 'D' based on the trustee's December 2008 remittance report, which indicated that this class had experienced a payment default. However, the class did not incur a loss, and therefore S&P is restoring the prior 'B' rating on the class. On Feb. 2, S&P also placed its ratings on 47 other classes from this transaction on CreditWatch with negative implications. Notwithstanding the correction, the ratings on these classes and on class B6 will remain on CreditWatch while S&P conduct a review of the entire transaction. Rating Corrected Structured Asset Securities Corp. Trust 2005-6 Rating ------ Class CUSIP Current 2/02/09 Pre-2/02/09 ----- ----- ------- ------- ----------- B6 86359DBD8 B/Watch Neg D B STRUCTURED ENHANCED: Fitch Junks Rating on $56,009,124 Notes ------------------------------------------------------------ Fitch Ratings has downgraded and removed from Rating Watch Negative the notes issued by Structured Enhanced Return Vehicle Trust, series 2001-6. This rating action is effective immediately: -- $56,009,124 notes downgraded to 'CCC' from 'BBB+'. The rating action reflects the credit deterioration in the portfolio since deal inception and also the application of methodology outlined under Fitch's updated Market Value Structures criteria, published April 18, 2008. The notes have benefited from an asset put agreement between the note investor and the swap counterparty. The put agreement has the economic effect of increasing the amount of market value declines the transaction can withstand before a termination event occurs. Because of the put agreement, the distance-to-trigger is at approximately 13% according to Fitch's most recent calculation, and would support a 'B' rating on a market value basis. However, the credit deterioration in the portfolio has led to a reduction in par coverage of the notes, which now supports a 'CCC' rating based on Fitch's analysis. As such, the notes are rated to the lower of the ratings indicated by the two risk exposures of the transaction. SERVES 2001-6 is a synthetic total rate of return collateralized loan obligation with a market value termination trigger. The transaction closed on Dec. 18, 2001 and is managed by PPM America, Inc. The rating on the notes addresses the timely payment of interest and ultimate payment of principal by the stated maturity date of Nov. 15, 2013. STRUCTURED INVESTMENT: Moody's Junks Rating on Series 77 Notes -------------------------------------------------------------- Moody's Investors Service downgraded its rating of SIC Series 77 Notes issued by Structured Investment Corporation Series 77 Notes. The rating action is: Structured Investment Corporation Series 77 Notes -- SIC Series 77 Notes, Downgraded to Caa2 and Placed Under Review for Downgrade; Previously on 2/23/2004 Assigned Aaa. The transaction is a repackaged security whose rating is based primarily upon the transaction's structure and the credit quality of the Deposited Assets which consist of Class A-1 notes of Millstone Funding, Ltd./Millstone Funding Corp rated Caa2 along with Preferred Shares that are currently receiving no cash payments. Millstone Funding, Ltd./Millstone Funding Corp is a Structured Finance CDO. Class A-1 was downgraded to Caa2 on 12/22/2008 and remains under review for possible downgrade. It was previously downgraded to Baa2 on 4/22/2008 and placed under review for possible downgrade. STRUCTURED INVESTMENTS: Moody's Cuts $10BB Series 80 Notes to Ba3 ----------------------------------------------------------------- Moody's Investors Service has downgraded its rating of Structured Investments Corporation US$10,000,000,000 Secured Euro Medium Term Note Programme Series 80 issued by Structured Investments Corporation Series 80. The rating action is: Class Description: Structured Investments Corporation US$10,000,000,000 Secured Euro Medium Term Note Programme Series 80 -- Current Rating: Ba3 -- Prior Rating: Ba2 -- Prior Rating Date: 05/28/04 The transaction is a repackaged security whose rating is based primarily upon the transaction's structure and the credit quality of the Term Assets. STRUCTURED INVESTMENTS: Moody's Cuts $10BB Series 81 Notes to Ba2 ----------------------------------------------------------------- Moody's Investors Service has downgraded its rating of Structured Investments Corporation US$10,000,000,000 Secured Euro Medium Term Note Programme Series 81 issued by Structured Investments Corporation Series 81. The rating action is: Class Description: Structured Investments Corporation US$10,000,000,000 Secured Euro Medium Term Note Programme Series 81 -- Current Rating: Ba2 -- Prior Rating: Baa1 -- Prior Rating Date: 07/30/04 The transaction is a repackaged security whose rating is based primarily upon the transaction's structure and the credit quality of the Term Assets. The Term Assets for this transaction are Class C-1 Floating Rate Deferrable Subordinate Notes due 2016 issued by Dryden VI-Leveraged Loan CDO 2004 and Preferred Shares, Par Value U.S. $0.01 per share issued by Dryden VI-Leveraged Loan CDO 2004. The Class C-1 Notes have been downgraded to Ba2. STRUCTURED ADJUSTABLE: Moody's Downgrades Ratings on 185 Tranches ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 185 tranches from 17 Alt-A RMBS transactions issued by Structured Adjustable Mortgage Loan Trust. Additionally, 2 senior tranches were confirmed at Aaa.The collateral backing these transactions consists primarily of first-lien, adjustable-rate, Alt-A residential mortgage loans. These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Once expected losses have been assigned to each collateral group, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. List of actions: Structured Adj Rate Mtge Loan Trust 2004-11 -- Cl. B2, Downgraded to Baa1; previously on 9/10/2004 Assigned A2 -- Cl. B3, Downgraded to Caa2; previously on 12/14/2007 Downgraded to Ba3 -- Cl. B4, Downgraded to C; previously on 12/14/2007 Downgraded to Ca Structured Adj Rate Mtge Loan Trust 2004-13 -- Cl. A1, Downgraded to Aa1; previously on 10/12/2004 Assigned Aaa -- Cl. A4, Downgraded to Aa1; previously on 10/12/2004 Assigned Aaa -- Cl. B1, Downgraded to A1; previously on 12/14/2007 Upgraded to Aa1 -- Cl. B2, Downgraded to Baa2; previously on 12/14/2007 Upgraded to A1 -- Cl. B3, Downgraded to B3; previously on 12/14/2007 Upgraded to Baa1 Structured Adj Rate Mtge Loan Trust 2004-14 -- Cl. 1-A, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-PAX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A1, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-PAX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 7-A, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Baa3; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B1-X, Downgraded to Baa3; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to B2; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B3-X, Downgraded to B2; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Caa3; previously on 9/17/2008 Baa2 Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Tr 2004-1 -- Cl. 1-A, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A3, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A2, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A3, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A4, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-PAX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 6-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Tr 2004-9XS -- Cl. A, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Trust 2004-10 -- Cl. 1-A1, Downgraded to A3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to A3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to A3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to A3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to A3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-AX, Downgraded to A3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Trust 2004-12 -- Cl. 1-A1, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-AX, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 7-A1, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 7-A2, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 7-A3, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 7-AX, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 8-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 9-A, Downgraded to A1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Baa2; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B1-X, Downgraded to Baa2; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to B1; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B3-X, Downgraded to B1; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Caa3; previously on 9/17/2008 Baa2 Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Trust 2004-15 -- Cl. A, Downgraded to A2; previously on 11/30/2004 Assigned Aaa -- Cl. B1, Downgraded to Baa3; previously on 11/30/2004 Assigned Aa2 -- Cl. B2, Downgraded to Caa1; previously on 11/30/2004 Assigned A2 -- Cl. B3, Downgraded to Caa3; previously on 11/30/2004 Assigned Baa2 -- Cl. BX, Downgraded to Caa1; previously on 11/30/2004 Assigned Baa2 Structured Adj. Rate Mtge. Loan Trust 2004-16 -- Cl. 1-A1, Downgraded to A3; previously on 12/30/2004 Assigned Aaa -- Cl. 1-A2, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 2-A, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 3-A1, Downgraded to A3; previously on 12/30/2004 Assigned Aaa -- Cl. 3-AX, Downgraded to A3; previously on 12/30/2004 Assigned Aaa -- Cl. 3-PAX, Downgraded to A3; previously on 12/30/2004 Assigned Aaa -- Cl. 4-A, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 4-AX, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 4-PAX, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 5-A1, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 5-A2, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 5-A3, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 5-AIO, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 5-AX, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. 6-A, Downgraded to Baa1; previously on 12/30/2004 Assigned Aaa -- Cl. B1, Downgraded to Ba1; previously on 12/30/2004 Assigned Aa2 -- Cl. B1X, Downgraded to Ba1; previously on 12/30/2004 Assigned Aa2 -- Cl. B3, Downgraded to Caa1; previously on 12/30/2004 Assigned A2 -- Cl. B3X, Downgraded to Caa1; previously on 12/30/2004 Assigned A2 -- Cl. B5, Downgraded to Caa3; previously on 12/30/2004 Assigned Baa2 Structured Adj. Rate Mtge. Loan Trust 2004-17 -- Cl. A1, Downgraded to A3; previously on 1/27/2005 Assigned Aaa -- Cl. A1X, Downgraded to A3; previously on 1/27/2005 Assigned Aaa -- Cl. A2, Downgraded to A3; previously on 1/27/2005 Assigned Aaa -- Cl. A2X, Downgraded to A3; previously on 1/27/2005 Assigned Aaa -- Cl. A3, Downgraded to A3; previously on 1/27/2005 Assigned Aaa -- Cl. B1, Downgraded to Ba3; previously on 1/27/2005 Assigned Aa2 -- Cl. B3, Downgraded to Caa1; previously on 1/27/2005 Assigned A2 -- Cl. B5, Downgraded to Ca; previously on 1/27/2005 Assigned Baa2 Structured Adj. Rate Mtge. Loan Trust 2004-18 -- Cl. 1-A1, Downgraded to Ba2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Ba1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Ba1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Baa1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to Baa1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-AX, Downgraded to Baa1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-PAX, Downgraded to Baa1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Ba1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-AX, Downgraded to Ba1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to B3; previously on 9/17/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. MX, Downgraded to B3; previously on 9/17/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Caa2; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B1X, Downgraded to Caa2; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Caa3; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B3X, Downgraded to Caa3; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Ca; previously on 9/17/2008 Baa2 Placed Under Review for Possible Downgrade -- Cl. B5X, Downgraded to Ca; previously on 9/17/2008 Baa2 Placed Under Review for Possible Downgrade -- Cl. B6X, Downgraded to C; previously on 9/17/2008 Baa3 Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Trust 2004-2 -- Cl. 1-A1, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to A2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A2, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A3, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-AX, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Trust 2004-20 -- Cl. 1-A1, Downgraded to Ba1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Baa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Baa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Baa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Ba1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Baa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Baa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to B1; previously on 9/17/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. B1X, Downgraded to B1; previously on 9/17/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Caa1; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B-2X, Downgraded to Caa1; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Caa3; previously on 9/17/2008 Aa3 Placed Under Review for Possible Downgrade -- Cl. B3X, Downgraded to Caa3; previously on 9/17/2008 Aa3 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Ca; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B5X, Downgraded to Ca; previously on 9/17/2008 A2 Placed Under Review for Possible Downgrade -- Cl. B7, Downgraded to C; previously on 9/17/2008 Baa2 Placed Under Review for Possible Downgrade -- Cl. B7X, Downgraded to C; previously on 9/17/2008 Baa2 Placed Under Review for Possible Downgrade -- Cl. B8, Downgraded to C; previously on 9/17/2008 Baa3 Placed Under Review for Possible Downgrade -- Cl. B8X, Downgraded to C; previously on 9/17/2008 Baa3 Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Trust 2004-4 -- Cl. 1-A1, Downgraded to Aa3; previously on 4/26/2004 Assigned Aaa -- Cl. 1-A2, Downgraded to Aa2; previously on 4/26/2004 Assigned Aaa -- Cl. 2A, Downgraded to Aa3; previously on 4/26/2004 Assigned Aaa -- Cl. 3-A1, Downgraded to Aa2; previously on 4/26/2004 Assigned Aaa -- Cl. 3-A2, Downgraded to Aa3; previously on 4/26/2004 Assigned Aaa -- Cl. 3-A3, Downgraded to Aa3; previously on 4/26/2004 Assigned Aaa -- Cl. 3-A4, Downgraded to Aa3; previously on 4/26/2004 Assigned Aaa -- Cl. 3-A5, Downgraded to Aa3; previously on 4/26/2004 Assigned Aaa -- Cl. 4-A, Downgraded to Aa2; previously on 4/26/2004 Assigned Aaa -- Cl. 4-AX, Downgraded to Aa2; previously on 4/26/2004 Assigned Aaa -- Cl. 5-A, Downgraded to Aa2; previously on 4/26/2004 Assigned Aaa Structured Adj. Rate Mtge. Loan Trust 2004-5 -- Cl. 1-A, Downgraded to Aa2; previously on 5/21/2004 Assigned Aaa -- Cl. 2-A, Downgraded to Aa2; previously on 5/21/2004 Assigned Aaa -- Cl. 3-A1, Downgraded to Aa1; previously on 5/21/2004 Assigned Aaa -- Cl. 3-A2, Downgraded to Aa2; previously on 5/21/2004 Assigned Aaa -- Cl. 3-A3, Downgraded to Aa2; previously on 5/21/2004 Assigned Aaa -- Cl. 3-A4, Downgraded to Aa2; previously on 5/21/2004 Assigned Aaa -- Cl. 3-A5, Downgraded to Aa2; previously on 5/21/2004 Assigned Aaa -- Cl. 3-AX, Downgraded to Aa1; previously on 5/21/2004 Assigned Aaa -- Cl. 3-PAX, Downgraded to Aa1; previously on 5/21/2004 Assigned Aaa -- Cl. 4-A, Downgraded to Aa1; previously on 5/21/2004 Assigned Aaa -- Cl. 4-AX, Downgraded to Aa1; previously on 5/21/2004 Assigned Aaa -- Cl. 5-A, Downgraded to Aa1; previously on 5/21/2004 Assigned Aaa -- Cl. 5-AX, Downgraded to Aa1; previously on 5/21/2004 Assigned Aaa Structured Adj. Rate Mtge. Loan Trust 2004-6 -- Cl. 1-A, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A1, Confirmed at Aaa; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A2, Downgraded to Aa1; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A3, Downgraded to Aa2; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A4, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 5-A5, Confirmed at Aaa; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to Aa3; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade Structured Adj. Rate Mtge. Loan Trust 2004-7 -- Cl. A1, Downgraded to A1; previously on 6/10/2004 Assigned Aaa -- Cl. A3, Downgraded to A1; previously on 6/10/2004 Assigned Aaa TERWIN MORTGAGE: Moody's Downgrades Ratings on Eight Tranches ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 8 tranches from Terwin Mortgage Trust 2004-13ALT. The collateral backing this transaction consists primarily of first-lien, fixed and adjustable-rate, Alt-A residential mortgage loans. These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Once expected losses have been determined, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. List of actions: Issuer: Terwin Mortgage Trust 2004-13ALT -- Cl. 1-A-2, Downgraded to Baa2; previously on 8/30/2004 Assigned Aaa -- Cl. 1-A-4, Downgraded to Baa2; previously on 8/30/2004 Assigned Aaa -- Cl. 2-PA-1, Downgraded to Aa1; previously on 8/30/2004 Assigned Aaa -- Cl. 2-P-X, Downgraded to Aa1; previously on 8/30/2004 Assigned Aaa -- Cl. 1-M-1, Downgraded to Ba3; previously on 2/26/2006 Downgraded A3 -- Cl. 1-M-2, Downgraded to Ca; previously on 2/26/2006 Downgraded Ba3 -- Cl. 1-M-3, Downgraded to Ca; previously on 2/26/2006 Downgraded Caa1 -- Cl. 2-B-2, Downgraded to Ba1; previously on 8/30/2004 Assigned A3 TRUST PREFERRED: Moody's Downgrades Ratings on 14 Notes ------------------------------------------------------- Moody's has downgraded 14 combination note securities whose underlying components are significantly linked to bank and insurance Trust Preferred CDO tranches. The ratings of the combination notes' underlying components were updated on March 27, 2009. The rating actions are the result of an analysis primarily based on the weighted average rating of the component ratings. ALESCO Preferred Funding V, Corp. -- US$5,000,000 Series I Combination Notes Due 2034, Downgraded to B3; previously on 9/29/2004 Assigned Aaa -- US$4,150,000 Series II Combination Notes Due 2034, Downgraded to Ca; previously on 9/29/2004 Assigned Baa1 -- US$4,000,000 Series III Combination Notes Due 2034, Downgraded to Ca; previously on 9/29/2004 Assigned Aa3 ALESCO Preferred Funding VI, Inc. -- Combination Notes Due 2035, Downgraded to Ca; previously on 12/27/2004 Assigned Baa3 Alesco Preferred Funding VII, Inc. -- US$6,000,000 Series I Combination Notes Due 2035, Downgraded to Ca; previously on 4/28/2005 Assigned Baa3 -- US$5,000,000 Series II Combination Notes Due 2035, Downgraded to Ca; previously on 4/28/2005 Assigned Baa3 MMCapS Funding XVIII, Ltd. -- US$10,000,000 Combination Notes Due 2039, Downgraded to Ca; previously on 12/21/2006 Assigned Baa1 TPREF Funding II, Ltd. -- Combination Notes (Salomon), Downgraded to Caa2; previously on 10/31/2002 Assigned A3 -- Combination Notes (Bear), Downgraded to Caa3; previously on 10/31/2002 Assigned A3 Trapeza CDO X, Ltd. -- Combo Note, Downgraded to Ca; previously on 4/24/2008 Downgraded to Baa3 TRAPEZA EDGE CDO, INC. -- Class 1 Combination Notes Due 2035, Downgraded to Ca; previously on 8/31/2005 Assigned Baa1 Tropic CDO V Ltd. -- Class C-1 Combination Notes, Downgraded to Ca; previously on 8/31/2006 Assigned Ba3 U.S. CAPITAL FUNDING IV -- COMBINATION TRUST U.S. $4,000,000 Series A Combination Certificates, Downgraded to Ca; previously on 12/28/2005 Assigned Baa1 USCFIII 2.5% Combination Security Trust - Ser -- Series A Trust Units, Downgraded to Caa2; previously on 11/30/2004 Assigned Baa2 TRUST PREFERRED: Moody's Downgrades Ratings on 14 Notes ------------------------------------------------------- Moody's has downgraded 14 combination note securities whose underlying components are significantly linked to bank and insurance Trust Preferred CDO tranches. The ratings of the combination notes' underlying components were updated on March 27, 2009. The rating actions are the result of an analysis primarily based on the weighted average rating of the component ratings. ALESCO Preferred Funding V, Corp. -- US$5,000,000 Series I Combination Notes Due 2034, Downgraded to B3; previously on 9/29/2004 Assigned Aaa -- US$4,150,000 Series II Combination Notes Due 2034, Downgraded to Ca; previously on 9/29/2004 Assigned Baa1 -- US$4,000,000 Series III Combination Notes Due 2034, Downgraded to Ca; previously on 9/29/2004 Assigned Aa3 ALESCO Preferred Funding VI, Inc. -- Combination Notes Due 2035, Downgraded to Ca; previously on 12/27/2004 Assigned Baa3 Alesco Preferred Funding VII, Inc. -- US$6,000,000 Series I Combination Notes Due 2035, Downgraded to Ca; previously on 4/28/2005 Assigned Baa3 -- US$5,000,000 Series II Combination Notes Due 2035, Downgraded to Ca; previously on 4/28/2005 Assigned Baa3 MMCapS Funding XVIII, Ltd. -- US$10,000,000 Combination Notes Due 2039, Downgraded to Ca; previously on 12/21/2006 Assigned Baa1 TPREF Funding II, Ltd. -- Combination Notes (Salomon), Downgraded to Caa2; previously on 10/31/2002 Assigned A3 -- Combination Notes (Bear), Downgraded to Caa3; previously on 10/31/2002 Assigned A3 Trapeza CDO X, Ltd. -- Combo Note, Downgraded to Ca; previously on 4/24/2008 Downgraded to Baa3 TRAPEZA EDGE CDO, INC. -- Class 1 Combination Notes Due 2035, Downgraded to Ca; previously on 8/31/2005 Assigned Baa1 Tropic CDO V Ltd. -- Class C-1 Combination Notes, Downgraded to Ca; previously on 8/31/2006 Assigned Ba3 U.S. CAPITAL FUNDING IV -- COMBINATION TRUST U.S. $4,000,000 Series A Combination Certificates, Downgraded to Ca; previously on 12/28/2005 Assigned Baa1 USCFIII 2.5% Combination Security Trust - Ser -- Series A Trust Units, Downgraded to Caa2; previously on 11/30/2004 Assigned Baa2 U-HAUL S FLEET: Moody's Cuts Ratings on 2007-1 Cargo Van Notes -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of the Series 2007-1 Cargo Van/ Pick-up Truck Asset Backed Notes issued by U-Haul S Fleet and certain co-issuers. The sponsor of the transaction is U-Haul International. The securities are supported by an insurance policy issued by Ambac Assurance Corp. The rating action is prompted by rating actions affecting the insurer and is part of an ongoing review of ABS transactions. The current rating on the securities is consistent with Moody's practice of rating insured securities at the higher of (1) the guarantor's insurance financial strength rating and (2) the underlying rating, based on Moody's modified approach to rating structured finance securities wrapped by financial guarantors. As part of evaluating the current rating for the securities, Moody's Investors Service also reviewed the underlying rating. The underlying rating reflects the intrinsic credit quality of the securities in the absence of the guarantee. The methodology applied in assigning the underlying rating of each security is summarized. The complete rating action is: Issuer: U-Haul S Fleet, LLC -- Series 2007-1 Cargo Van/Pick-up Truck Asset Backed Notes, downgraded to Baa3 under review for possible downgrade, previously on June 19, 2008, downgraded to Aa3 from Aaa -- Financial Guarantor: Ambac Assurance Corp., Insurance Financial Strength Rating of Ba3, previously on March 3, 2009, Baa1 placed on review for possible downgrade Principal Methodology Important factors in Moody's credit assessment include: liquidation/residual values of a revolving pool of new and to-be- acquired vehicles cargo vans and pick-up trucks (pick-ups) owned by the co-issuers; the cash flows anticipated to be generated by these vehicles; reserve account funded to cover 6 months of interest; overcollateralization in the form of a variable advance rate against the capitalized cost (purchase price) of each vehicle; the size and competitive position of the U-Haul system of do-it-yourself moving and storage rental locations; and expertise of UHI as Fleet Manager in managing the vehicles. The vehicle collateral generates revenues and incurs expenses, resulting in a net cash flow available to service debt. Revenues and expenses, hence net cash flow, are subject to fluctuation based on actual rental activity, expense levels, etc. As such a key indicator of performance is the debt service coverage ratio for the transaction. However the vehicle pool is revolving and vehicles must be liquidated or refinanced out of the transaction at or prior to reaching 15 months of age. Therefore while in this transaction the primary drivers of monthly available funds are revenues and expenses, the potential liquidation value of the collateral is a primary driver for return of principal in distressed scenarios. Two monte carlo simulation models are used as the primary quantitative techniques to assess the credit. In the first model, gross revenue generated monthly by each type of vehicle collateral is modeled through the simulation of utilization and rental rates. Other simulated variables include ancillary revenue, operating expenses and disposition values. Each of these variables is simulated via a distribution derived partly from historical operational performance data and partly through qualitative judgment. In addition, Moody's assesses the probability of U-Haul default and the magnitude of potential losses, if a default and ensuing liquidation were to occur. Due to the strength of the System, a U-Haul default is modeled probabilistically as either a Chapter 11 reorganization or a Chapter 7 liquidation; in a Chapter 11 default U-Haul could either reject or accept its role as Fleet Manager. Occurrence of a Chapter 7 default or Chapter 11 rejection causes a liquidation of the collateral. Additionally, because of the revolving nature of the transaction and potential reliance on liquidation at maturity, a second model based on Moody's rental car securitization model focusing primarily on the default likelihood of the Fleet manager and the potential liquidation value of the collateral excluding the revenue-generating capacity of the vehicles, is also utilized. U-HAUL S FLEET: Moody's Cuts Rating on 2007-1 Box Truck Notes ------------------------------------------------------------- Moody's Investors Service has downgraded the rating of the Series 2007-1 Box Truck Asset Backed Notes issued by U-Haul S Fleet and certain co-issuers. The sponsor of the transaction is U-Haul International. The securities are supported by an insurance policy issued by Ambac Assurance Corp. The rating action is prompted by rating actions affecting the insurer and is part of an ongoing review of ABS transactions. The current rating on the securities is consistent with Moody's practice of rating insured securities at the higher of (1) the guarantor's insurance financial strength rating and (2) the underlying rating, based on Moody's modified approach to rating structured finance securities wrapped by financial guarantors. As part of evaluating the current rating for the securities, Moody's Investors Service also reviewed the underlying rating. The underlying rating reflects the intrinsic credit quality of the securities in the absence of the guarantee. The methodology applied in assigning the underlying rating of each security is summarized. The complete rating action is: Issuer: U-Haul S Fleet, LLC -- Series 2007-1 Box Truck Asset Backed Notes, downgraded to Baa3 under review for possible downgrade, previously on June 19, 2008, downgraded to Aa3 from Aaa -- Financial Guarantor: Ambac Assurance Corp., Insurance Financial Strength Rating of Ba3, previously on March 3, 2009, Baa1 placed on review for possible downgrade Principal Methodology Important factors in Moody's credit assessment include: the cash flows anticipated to be generated by a static pool of box trucks owned by the co-issuers in service in the U Haul System and managed by UHI; liquidation values of the box truck collateral; reserve account funded to cover 9 months of interest; overcollateralization in the form of an advance rate against the assumed asset value of each box truck; the size and competitive position of the U-Haul system of do-it-yourself moving and storage rental locations; and the expertise of UHI as Fleet Manager in managing the box trucks. The box truck collateral generates revenues and incurs expenses, resulting in a net cash flow available to service debt. Revenues and expenses, hence net cash flow, is subject to fluctuation based on actual rental activity, expense levels, etc. As such the key indicator of performance is the debt service coverage ratio for the transaction. Monte carlo simulation of cash flows is the primary quantitative technique used to assess the credit. Gross revenue generated monthly by each type of box truck collateral (TM, DC and EL) is modeled through the simulation of box truck utilization and rental rates. Other simulated variables include ancillary revenue, operating expenses (insurance, maintenance, taxes and licensing) and box truck disposition values. Each variable is simulated via a distribution derived partly from historical operational performance data and partly through qualitative judgement. In addition, Moody's assesses the probability of a U-Haul default and the magnitude of potential losses, if a default and ensuing liquidation were to occur. Due to the strength of the System, a U-Haul default was modeled probabilistically as either a Chapter 11 reorganization or a Chapter 7 liquidation; in a Chapter 11 default U-Haul can either reject or accept its role as Fleet Manager. Occurrence of a Chapter 7 default or Chapter 11 rejection causes a liquidation of the collateral. USP SPC: S&P Downgrades Ratings on Various Notes to 'D' ------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the notes issued by USP SPC, acting for the account of Jackson 2006- II, Jackson 2006-III, Jackson 2006-IV, and Jackson 2006-V to 'D' from 'CCC-'. The lowered ratings follow a number of write-downs of underlying reference entities, which have caused the classes of notes from these synthetic collateralized debt obligation transactions to incur full principal losses. Ratings Lowered USP SPC Jackson 2006-II Rating ------ Class To From ----- -- ---- Notes D CCC- USP SPC Jackson 2006-III Rating ------ Class To From ----- -- ---- Notes D CCC- USP SPC Jackson 2006-IV Rating ------ Class To From ----- -- ---- Notes D CCC- USP SPC Jackson 2006-V Rating ------ Class To From ----- -- ---- Notes D CCC- VERMONT HOUSING: S&P Puts Underlying Rating on Negative Watch ------------------------------------------------------------- Standard & Poor's Ratings Services placed its 'BBB+' underlying rating on Vermont Housing Finance Agency's single-family housing bonds on CreditWatch with negative implications. This action reflects Standard & Poor's March 13, 2009, downgrade of the Mortgage Guaranty Insurance Corp. to BB/Watch Neg from A-/Watch Neg. Based on S&P's assessment, the portfolio's concentration in MGIC insured loans has had a deleterious effect on the indenture's assumed losses under Standard & Poor's stress scenario assumptions at the 'BBB+' level. As of Dec. 31, 2008, the indenture's mortgage assets were 100% whole loans. The overall whole loan portfolio has approximately 4,830 mortgages containing uninsured mortgages (40.39%), Rural Development Loans (11.18%), and a small amount of FHA loans (0.08%). Approximately 48.34% of all the mortgage loans within the portfolio are enhanced by private mortgage insurance primarily with these two providers: 86.85% of privately insured loans are insured with MGIC (BB/Watch Neg) and 12.59% of privately insured loans are insured with PMI Mortgage Insurance (A-/Watch Neg). Standard & Poor's typically assesses the sufficiency of loss coverage to provide credit and liquidity protection under its scenario assumptions. In assessing total loss coverage that would be required under this scenario, Standard & Poor's looks for coverage of credit losses and liquidity shortfalls associated with defaulted loans as well as the amount of foreclosure loss that mortgage insurers within a single-family loan portfolio will likely absorb. When evaluating private mortgage insurers for loss coverage, Standard & Poor's compares the financial strength ratings of the insurers to the current or prospective rating on the bonds. If insurers' FSR ratings are at least as high as the rating for the bonds, S&P assumes that the insurers will pay on all of their respective claims. Standard & Poor's reduces the credit for private insurance coverage from 100% if the provider is rated lower than the bonds. Should a rating fall below investment grade, Standard & Poor's assumes there will be no payment from that insurance provider in case of a mortgagor default. WACHOVIA PREFERRED: Moody's Cuts Ratings on Two Notes to 'B3' ------------------------------------------------------------- Moody's Investors Service has downgraded its ratings of $124,000,000 Class A Class A Money Market Preferred Trust Certificates and $31,000,000 Class B Leveraged Preferred Trust Certificates issued by Wachovia Preferred Pass-Through Trust 2006-B. The rating actions are: Class Description: $124,000,000 Class A Class A Money Market Preferred Trust Certificates -- Current Rating: B3 -- Prior Rating: Baa1 -- Prior Rating Date: 01/30/09 Class Description: $31,000,000 Class B Leveraged Preferred Trust Certificates -- Current Rating: B3 -- Prior Rating: Baa1 -- Prior Rating Date: 01/30/09 The transaction is a structured note whose ratings change with the rating of the Underlying Security. The rating actions are a result of the change of the rating of Floating Rate Non-Cumulative Preferred Stock, Series E issued by Bank of America Corporation, which was downgraded to B3 on March 25, 2009. WELLS FARGO: S&P Downgrades Ratings on 51 Classes from 23 RMBS -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 51 classes from 23 Wells Fargo residential mortgage-backed securities transactions issued in 2003 and 2004. At the same time, S&P affirmed its ratings on 526 classes from these transactions and 29 additional transactions issued between 2002 and 2004. The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given S&P's current projected losses. To review these transactions, S&P applied its methodology, which is discussed in "Methodology And Assumptions For U.S. RMBS Issued Before 2005," published March 12, 2009. In S&P's analysis, S&P incorporated the loss and delinquency trends observed for the transactions backed by prime jumbo collateral that were issued in these vintages. Some transactions are experiencing foreclosures and delinquencies at rates that exceed S&P's initial projections, and these transactions have also started to experience losses. To assess the creditworthiness of each class, S&P reviewed the individual delinquency and loss trends of each transaction for changes, if any, in risk characteristics, servicing, and the ability to withstand additional credit deterioration. For mortgage pools that are continuing to experience increasing delinquencies, S&P increased its stresses to account for potential increases in monthly losses. In order to maintain a rating higher than 'B', S&P assessed whether, in S&P's view, a class could absorb losses in excess of the base-case assumptions S&P assumed in its analysis. For example, generally, S&P assessed whether one class could, in S&P's view, withstand approximately 130% of S&P's base-case loss assumption in order to maintain a 'BB' rating, while S&P assessed whether a different class could withstand 155% of S&P's base-case loss assumptions to maintain a 'BBB' rating. Each class that has an affirmed 'AAA' rating can, in S&P's view, withstand approximately 235% of S&P's base-case loss assumptions under S&P's analysis. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. Subordination provides credit support for the affected transactions . The underlying pool of loans backing these transactions consists of fixed- and adjustable-rate, first-lien, prime jumbo mortgage loans. Standard & Poor's will continue to closely monitor the performance of these transactions and take further ratings actions as S&P deem appropriate. Rating Actions Wells Fargo Mortgage Backed Securities 2003-17 Trust Series 2003-17 Rating Class CUSIP To From ----- ----- -- ---- B-5 94981CAB5 CCC B Wells Fargo Mortgage Backed Securities 2004-3 Trust Series 2004-3 Rating Class CUSIP To From ----- ----- -- ---- B-5 949809AH0 CCC B Wells Fargo Mortgage Backed Securities 2004-5 Trust Series 2004-5 Rating Class CUSIP To From ----- ----- -- ---- B-5 94975DAL9 CCC B Wells Fargo Mortgage Backed Securities 2004-A Trust Series 2004-A Rating Class CUSIP To From ----- ----- -- ---- B-4 94980FAF0 B BB B-5 94980FAG8 CCC B Wells Fargo Mortgage Backed Securities 2004-C Trust Series 2004-C Rating Class CUSIP To From ----- ----- -- ---- B-5 94980AAB0 CCC B Wells Fargo Mortgage Backed Securities 2004-CC Trust Series 2004-CC Rating Class CUSIP To From ----- ----- -- ---- B-2 94981MAD9 BBB- A B-3 94981MAE7 B BBB B-4 94981MAF4 CCC BB B-5 94981MAG2 CCC B Wells Fargo Mortgage Backed Securities 2004-E Trust Series 2004-E Rating Class CUSIP To From ----- ----- -- ---- B-2 94981DAQ0 BBB A B-3 94981DAR8 B BBB B-4 94981DAS6 CCC BB B-5 94981DAT4 CCC B Wells Fargo Mortgage Backed Securities 2004-EE Trust Series 2004-EE Rating Class CUSIP To From ----- ----- -- ---- B-4 949779AQ5 B BB B-5 949779AR3 CCC B Wells Fargo Mortgage Backed Securities 2004-F Trust Series 2004-F Rating Class CUSIP To From ----- ----- -- ---- B-5 949770AS0 CCC B Wells Fargo Mortgage Backed Securities 2004-H Trust Series 2004-H Rating Class CUSIP To From ----- ----- -- ---- B-3 94979TAH9 BB BBB B-4 94979TAJ5 CCC BB B-5 94979TAK2 CCC B Wells Fargo Mortgage Backed Securities 2004-K Trust Series 2004-K Rating Class CUSIP To From ----- ----- -- ---- B-4 94981VAS6 B BB B-5 94981VAT4 CCC B Wells Fargo Mortgage Backed Securities 2004-L Trust Series 2004-L Rating Class CUSIP To From ----- ----- -- ---- B-2 94980PAM3 BBB- A B-3 94980PAN1 B BBB B-4 94980PAP6 CCC BB B-5 94980PAQ4 CCC B Wells Fargo Mortgage Backed Securities 2004-M Trust Series 2004-M Rating Class CUSIP To From ----- ----- -- ---- B-4 94979UAP8 B+ BB B-5 94979UAQ6 CCC B Wells Fargo Mortgage Backed Securities 2004-N Trust Series 2004-N Rating Class CUSIP To From ----- ----- -- ---- B-4 94979LAQ6 B BB B-5 94979LAR4 CCC B Wells Fargo Mortgage Backed Securities 2004-O Trust Series 2004-O Rating Class CUSIP To From ----- ----- -- ---- B-5 949758AB2 CCC B Wells Fargo Mortgage Backed Securities 2004-P Trust Series 2004-P Rating Class CUSIP To From ----- ----- -- ---- B-3 94980MAG3 B BBB B-4 94980NAA4 CCC BB B-5 94980NAB2 CC B Wells Fargo Mortgage Backed Securities 2004-Q Trust Series 2004-Q Rating Class CUSIP To From ----- ----- -- ---- B-3 94978LAK0 BB BBB B-4 94978LAL8 CCC BB B-5 94978LAM6 CC B Wells Fargo Mortgage Backed Securities 2004-R Trust Series 2004-R Rating Class CUSIP To From ----- ----- -- ---- B-3 94981GAL4 B+ BBB B-4 94981GAA8 CCC BB B-5 94981GAB6 CC B Wells Fargo Mortgage Backed Securities 2004-S Trust Series 2004-S Rating Class CUSIP To From ----- ----- -- ---- B-2 94981WAJ4 BBB A B-3 94981WAK1 B BBB B-4 94981WAM7 CCC BB B-5 94981WAN5 CCC B Wells Fargo Mortgage Backed Securities 2004-V Trust Series 2004-V Rating Class CUSIP To From ----- ----- -- ---- B-3 949810AJ4 BB BBB B-4 949810AK1 CCC BB B-5 949810AL9 CCC B Wells Fargo Mortgage Backed Securities 2004-X Trust Series 2004-X Rating Class CUSIP To From ----- ----- -- ---- B-5 94981TAP7 CCC B Wells Fargo Mortgage Backed Securities 2004-Y Trust Series 2004-Y Rating Class CUSIP To From ----- ----- -- ---- B-5 94982AAQ5 CCC B Wells Fargo Mortgage Backed Securities 2004-Z Trust Series 2004-Z Rating Class CUSIP To From ----- ----- -- ---- B-2 94980RAH0 BBB- A B-3 94980RAJ6 B BBB Ratings Affirmed Bank of America Mortgage 2002-5 Trust Series 2002-5 Class CUSIP Rating ----- ----- ------ A-6 06050HHW1 AAA A-WIO 06050HHZ4 AAA A-PO 06050HJA7 AAA RFMSI Series 2002-S11 Trust Series 2002-S11 Class CUSIP Rating ----- ----- ------ A-1 76111JVT8 AAA A-P 76111JVU5 AAA A-V 76111JVV3 AAA M-1 76111JVX9 AAA M-2 76111JVY7 AAA M-3 76111JVZ4 AAA Wells Fargo Asset Securities Corporation Series 2003-N Class CUSIP Rating ----- ----- ------ I-A-1 94980XAA2 AAA I-A-2 94980XAB0 AAA I-A-3 94980XAC8 AAA I-A-4 94980XAD6 AAA I-A-5 94980XAE4 AAA I-A-6 94980XAF1 AAA II-A-1 94980XAJ3 AAA II-A-2 94980XAK0 AAA II-A-3 94980XAL8 AAA II-A-4 94980XAM6 AAA III-A-1 94980XAN4 AAA III-A-2 94980XAP9 AAA III-A-3 94980XAQ7 AAA III-A-4 94980XAR5 AAA B-1 94980XAS3 AA B-2 94980XAT1 A B-3 94980XAU8 BBB B-4 94980XAV6 BB B-5 94980XAW4 B Wells Fargo Asset Securities Corporation Series 2003-18 Class CUSIP Rating ----- ----- ------ A-1 949775AA8 AAA A-2 949775AB6 AAA A-3 949775AC4 AAA A-4 949775AK6 AAA A-5 949775AD2 AAA A-PO 949775AE0 AAA B-1 949775AG5 AA B-2 949775AH3 A B-3 949775AJ9 BBB B-4 9497759A9 BB B-5 9497759B8 B Wells Fargo Mortgage Backed Securities 2002-20 Trust Series 2002-20 Class CUSIP Rating ----- ----- ------ A-4 94979MAD3 AAA A-5 94979MAE1 AAA A-PO 94979MAF8 AAA B-1 94979MAH4 AAA B-2 94979MAJ0 AAA B-3 94979MAK7 AA+ Wells Fargo Mortgage Backed Securities 2002-22 Trust Series 2002-22 Class CUSIP Rating ----- ----- ------ I-A-12 94979NAM1 AAA II-A-4 94979NAV1 AAA II-A-10 94979NBB4 AAA II-A-PO 94979NBC2 AAA I-A-WIO 94979NBK4 AAA II-A-WIO 94979NBL2 AAA B-1 94979NBG3 AAA B-2 94979NBH1 AAA B-3 94979NBJ7 AAA Wells Fargo Mortgage Backed Securities 2003-11 Trust Series 2003-11 Class CUSIP Rating ----- ----- ------ I-A-1 949761AA8 AAA I-A-2 949761AB6 AAA I-A-3 949761AC4 AAA I-A-4 949761AD2 AAA I-A-5 949761AE0 AAA I-A-6 949761AF7 AAA I-A-8 949761AH3 AAA I-A-9 949761AJ9 AAA I-A-10 949761AK6 AAA I-A-11 949761AL4 AAA I-A-12 949761AM2 AAA I-A-13 949761AN0 AAA I-A-PO 949761AP5 AAA II-A-1 949761AS9 AAA II-A-PO 949761AT7 AAA B-1 949761AU4 AA B-2 949761AV2 A B-3 949761AW0 BBB B-4 949761AX8 BB B-5 949761AY6 B Wells Fargo Mortgage Backed Securities 2003-12 Trust Series 2003-12 Class CUSIP Rating ----- ----- ------ A-1 94979FAA4 AAA A-2 94979FAB2 AAA A-3 94979FAC0 AAA A-PO 94979FAF3 AAA B-1 94979FAH9 AA B-2 94979FAJ5 A B-3 94979FAK2 BBB B-4 94979FAL0 BB B-5 94979FAM8 B Wells Fargo Mortgage Backed Securities 2003-13 Trust Series 2003-13 Class CUSIP Rating ----- ----- ------ A-1 949767AA5 AAA A-2 949767AB3 AAA A-3 949767AC1 AAA A-4 949767AD9 AAA A-5 949767AE7 AAA A-6 949767AF4 AAA A-7 949767AG2 AAA A-PO 949767AH0 AAA B-1 949767AK3 AA B-2 949767AL1 A B-3 949767AM9 BBB B-4 949767AN7 BB B-5 949767AP2 B Wells Fargo Mortgage Backed Securities 2003-14 Trust Series 2003-14 Class CUSIP Rating ----- ----- ------ I-A-1 94981AAA1 AAA I-A-2 94981AAB9 AAA I-A-3 94981AAC7 AAA I-A-4 94981AAD5 AAA II-A-1 94981AAF0 AAA II-A-2 94981AAG8 AAA A-PO 94981AAH6 AAA B-1 94981AAJ2 AA B-2 94981AAK9 A B-3 94981AAL7 BBB B-4 94981AAM5 BB B-5 94981AAN3 B Wells Fargo Mortgage Backed Securities 2003-15 Trust Series 2003-15 Class CUSIP Rating ----- ----- ------ I-A-1 94980WAA4 AAA I-A-2 94980WAB2 AAA I-A-3 94980WAC0 AAA II-A-1 94980WAE6 AAA A-PO 94980WAF3 AAA B-1 94980WAG1 AA B-2 94980WAH9 A B-3 94980WAJ5 BBB B-4 94980WAK2 BB B-5 94980WAL0 B Wells Fargo Mortgage Backed Securities 2003-16 Trust Series 2003-16 Class CUSIP Rating ----- ----- ------ I-A-1 94980YAA0 AAA II-A-1 94980YAE2 AAA II-A-2 94980YAF9 AAA II-A-3 94980YAG7 AAA II-A-4 94980YAH5 AAA II-A-IO 94980YAJ1 AAA III-A-1 94980YAL6 AAA III-A-2 94980YAM4 AAA A-PO 94980YAB8 AAA B-1 94980YAP7 AA B-2 94980YAQ5 A B-3 94980YAR3 BBB B-4 94980YAS1 BB B-5 94980YAT9 B Wells Fargo Mortgage Backed Securities 2003-17 Trust Series 2003-17 Class CUSIP Rating ----- ----- ------ I-A-1 94981CAD1 AAA I-A-2 94981CAE9 AAA I-A-3 94981CAF6 AAA I-A-4 94981CAG4 AAA I-A-5 94981CAH2 AAA I-A-6 94981CAJ8 AAA I-A-7 94981CAK5 AAA I-A-8 94981CAL3 AAA I-A-9 94981CAM1 AAA I-A-10 94981CAN9 AAA I-A-11 94981CAP4 AAA I-A-12 94981CAQ2 AAA I-A-13 94981CAR0 AAA I-A-14 94981CAS8 AAA I-A-IO 94981CAT6 AAA II-A-1 94981CAV1 AAA II-A-2 94981CAW9 AAA II-A-3 94981CAX7 AAA II-A-4 94981CAY5 AAA II-A-5 94981CAZ2 AAA II-A-6 94981CBA6 AAA II-A-7 94981CBB4 AAA II-A-8 94981CBC2 AAA II-A-9 94981CBD0 AAA II-A-10 94981CBE8 AAA II-A-11 94981CBF5 AAA A-PO 94981CBG3 AAA B-1 94981CBH1 AA B-2 94981CBJ7 A B-3 94981CBK4 BBB B-4 94981CAA7 BB Wells Fargo Mortgage Backed Securities 2003-6 Trust Series 2003-6 Class CUSIP Rating ----- ----- ------ I-A-1 949780AA8 AAA I-A-PO 949780AB6 AAA II-A-1 949780AE0 AAA II-A-2 949780AF7 AAA II-A-3 949780AG5 AAA II-A-PO 949780AH3 AAA B-1 949780AJ9 AA+ B-2 949780AK6 A+ B-3 949780AL4 BBB+ B-4 949780AM2 BB+ B-5 949780AN0 B Wells Fargo Mortgage Backed Securities 2003-8 Trust Series 2003-8 Class CUSIP Rating ----- ----- ------ A-1 94979RAA8 AAA A-2 94979RAB6 AAA A-4 94979RAD2 AAA A-5 94979RAE0 AAA A-6 94979RAF7 AAA A-7 94979RAG5 AAA A-9 94979RAJ9 AAA A-PO 94979RAK6 AAA B-1 94979RAN0 AA B-2 94979RAP5 A B-3 94979RAQ3 BBB B-4 94979RAR1 BB B-5 94979RAS9 B Wells Fargo Mortgage Backed Securities 2003-A Trust Series 2003-A Class CUSIP Rating ----- ----- ------ A-5 94980BAE2 AAA A-6 94980BAF9 AAA A-7 94980BAG7 AAA B-1 94980BAK8 AAA B-2 94980BAL6 AA+ B-3 94980BAM4 A+ B-4 94980BAN2 BBB+ B-5 94980BAP7 BB- Wells Fargo Mortgage Backed Securities 2003-C Trust Series 2003-C Class CUSIP Rating ----- ----- ------ A-4 94980EAD8 AAA A-5 94980EAE6 AAA A-6 94980EAF3 AAA A-7 94980EAG1 AAA A-8 94980EAH9 AAA A-9 94980EAJ5 AAA B-1 94980EAM8 AAA B-2 94980EAN6 AA B-3 94980EAP1 A+ B-4 94980EAQ9 BBB B-5 94980EAR7 BB Wells Fargo Mortgage Backed Securities 2003-D Trust Series 2003-D Class CUSIP Rating ----- ----- ------ A-1 949911AA9 AAA B-1 949911AC5 AAA B-2 949911AD3 AA B-3 949911AE1 A B-4 949911AF8 BBB- B-5 949911AG6 B+ Wells Fargo Mortgage Backed Securities 2003-F Trust Series 2003-F Class CUSIP Rating ----- ----- ------ A-1 94979QAA0 AAA B-1 94979QAC6 AA+ B-2 94979QAD4 A B-3 94979QAE2 BBB+ B-4 94979QAF9 BB B-5 94979QAG7 B Wells Fargo Mortgage Backed Securities 2003-G Trust Series 2003-G Class CUSIP Rating ----- ----- ------ A-1 94979WAA7 AAA A-IO 94979WAB5 AAA B-1 94979WAE9 AA B-2 94979WAF6 A B-3 94979WAG4 BBB B-4 94979WAH2 BB B-5 94979WAJ8 B Wells Fargo Mortgage Backed Securities 2003-H Trust Series 2003-H Class CUSIP Rating ----- ----- ------ A-1 94979XAA5 AAA B-1 94979XAC1 AA B-2 94979XAD9 A B-3 94979XAE7 BBB B-4 94979XAF4 BB B-5 94979XAG2 B Wells Fargo Mortgage Backed Securities 2003-J Trust Series 2003-J Class CUSIP Rating ----- ----- ------ I-A-2 949808AB5 AAA I-A-3 949808AC3 AAA I-A-4 949808AD1 AAA I-A-5 949808AE9 AAA I-A-7 949808AG4 AAA I-A-8 949808AH2 AAA I-A-9 949808AJ8 AAA I-A-10 949808AK5 AAA I-A-11 949808AL3 AAA I-A-12 949808AM1 AAA II-A-1 949808AP4 AAA II-A-2 949808AQ2 AAA II-A-3 949808AR0 AAA II-A-4 949808AS8 AAA II-A-5 949808AT6 AAA II-A-6 949808AU3 AAA II-A-7 949808AV1 AAA III-A-1 949808AW9 AAA III-A-2 949808AX7 AAA III-A-3 949808AY5 AAA IV-A-1 949808AZ2 AAA IV-A-2 949808BA6 AAA IV-A-3 949808BB4 AAA V-A-1 949808BC2 AAA B-1 949808BD0 AA B-2 949808BE8 A B-3 949808BF5 BBB B-4 949808BG3 BB B-5 949808BH1 B Wells Fargo Mortgage Backed Securities 2003-K Trust Series 2003-K Class CUSIP Rating ----- ----- ------ I-A-1 949768AA3 AAA I-A-2 949768AB1 AAA I-A-3 949768AC9 AAA I-A-4 949768AD7 AAA I-A-5 949768AE5 AAA II-A-2 949768AH8 AAA II-A-3 949768AJ4 AAA II-A-4 949768AK1 AAA II-A-5 949768AL9 AAA II-A-6 949768AM7 AAA II-A-7 949768AN5 AAA III-A-1 949768AP0 AAA III-A-2 949768AQ8 AAA III-A-3 949768AR6 AAA III-A-4 949768AS4 AAA IV-A-1 949768AT2 AAA B-1 949768AU9 AA B-2 949768AV7 A B-3 949768AW5 BBB B-4 949913AA5 BB B-5 949913AB3 B Wells Fargo Mortgage Backed Securities 2003-L Trust Series 2003-L Class CUSIP Rating ----- ----- ------ I-A-1 949769AA1 AAA I-A-2 949769AB9 AAA I-A-3 949769AC7 AAA I-A-4 949769AD5 AAA I-A-5 949769AE3 AAA II-A-1 949769AH6 AAA B-1 949769AJ2 AA B-2 949769AK9 A B-3 949769AL7 BBB B-4 949769AM5 BB B-5 949769AN3 B Wells Fargo Mortgage Backed Securities 2003-M Trust Series 2003-M Class CUSIP Rating ----- ----- ------ A-1 94980DAA6 AAA A-2 94980DAB4 AAA A-3 94980DAC2 AAA B-1 94980DAE8 AA B-2 94980DAF5 A B-3 94980DAG3 BBB B-4 94980DAH1 BB B-5 94980DAJ7 B Wells Fargo Mortgage Backed Securities 2003-O Trust Series 2003-O Class CUSIP Rating ----- ----- ------ I-A-1 94979YAD7 AAA I-A-2 94979YAE5 AAA I-A-3 94979YAF2 AAA I-A-4 94979YAG0 AAA I-A-5 94979YAH8 AAA I-A-6 94979YAJ4 AAA I-A-7 94979YAK1 AAA I-A-9 94979YAM7 AAA I-A-10 94979YAN5 AAA I-A-11 94979YAP0 AAA II-A-1 94979YAT2 AAA II-A-2 94979YAU9 AAA II-A-3 94979YAV7 AAA III-A-2 94979YAX3 AAA III-A-3 94979YAY1 AAA IV-A-1 94979YAZ8 AAA IV-A-2 94979YBA2 AAA V-A-1 94979YBB0 AAA B-1 94979YBC8 AA B-2 94979YBD6 A B-3 94979YBE4 BBB B-4 94979YAA3 BB B-5 94979YAB1 B Wells Fargo Mortgage Backed Securities 2004-2 Trust Series 2004-2 Class CUSIP Rating ----- ----- ------ A-1 949800AA4 AAA A-PO 949800AB2 AAA B-1 949800AD8 AA B-2 949800AE6 A B-3 949800AF3 BBB B-4 949800AG1 BB B-5 949800AH9 B Wells Fargo Mortgage Backed Securities 2004-3 Trust Series 2004-3 Class CUSIP Rating ----- ----- ------ A-1 949809AA5 AAA A-PO 949809AB3 AAA B-1 949809AD9 AA B-2 949809AE7 A B-3 949809AF4 BBB B-4 949809AG2 BB Wells Fargo Mortgage Backed Securities 2004-5 Trust Series 2004-5 Class CUSIP Rating ----- ----- ------ I-A-1 94975DAA3 AAA I-A-PO 94975DAB1 AAA II-A-1 94975DAC9 AAA II-A-PO 94975DAF2 AAA B-1 94975DAG0 AA B-2 94975DAH8 A B-3 94975DAJ4 BBB B-4 94975DAK1 BB Wells Fargo Mortgage Backed Securities 2004-A Trust Series 2004-A Class CUSIP Rating ----- ----- ------ A-1 94980FAA1 AAA B-1 94980FAC7 AA B-2 94980FAD5 A B-3 94980FAE3 BBB Wells Fargo Mortgage Backed Securities 2004-B Trust Series 2004-B Class CUSIP Rating ----- ----- ------ A-1 94981KAA9 AAA B-1 94981KAC5 AA B-2 94981KAD3 A B-3 94981KAE1 BBB B-4 94981KAF8 BB B-5 94981KAG6 B Wells Fargo Mortgage Backed Securities 2004-C Trust Series 2004-C Class CUSIP Rating ----- ----- ------ A-1 94980AAD6 AAA B-1 94980AAF1 AA B-3 94980AAH7 BBB B-4 94980AAA2 BB B-2 94980AAG9 A Wells Fargo Mortgage Backed Securities 2004-CC Trust Series 2004-CC Class CUSIP Rating ----- ----- ------ A-1 94981MAA5 AAA B-1 94981MAC1 AA Wells Fargo Mortgage Backed Securities 2004-D Trust Series 2004-D Class CUSIP Rating ----- ----- ------ A-1 949805AA3 AAA A-2 949805AB1 AAA A-IO 949805AC9 AAA B-1 949805AF2 AA B-2 949805AG0 A B-3 949805AH8 BBB B-4 949805AJ4 BB B-5 949805AK1 B Wells Fargo Mortgage Backed Securities 2004-E Trust Series 2004-E Class CUSIP Rating ----- ----- ------ A-1 94981DAA5 AAA A-2 94981DAB3 AAA A-3 94981DAC1 AAA A-5 94981DAE7 AAA A-6 94981DAF4 AAA A-7 94981DAG2 AAA A-8 94981DAH0 AAA A-9 94981DAJ6 AAA A-10 94981DAK3 AAA A-11 94981DAL1 AAA B-1 94981DAP2 AA Wells Fargo Mortgage Backed Securities 2004-EE Trust Series 2004-EE Class CUSIP Rating ----- ----- ------ I-A-1 949779AA0 AAA II-A-1 949779AB8 AAA II-A-2 949779AG7 AAA II-A-3 949779AH5 AAA II-A-R 949779AJ1 AAA III-A-1 949779AC6 AAA III-A-2 949779AL6 AAA III-A-3 949779AM4 AAA B-1 949779AD4 AA B-2 949779AE2 A B-3 949779AF9 BBB Wells Fargo Mortgage Backed Securities 2004-F Trust Series 2004-F Class CUSIP Rating ----- ----- ------ A-1 949770AA9 AAA A-2 949770AB7 AAA A-3 949770AC5 AAA A-4 949770AD3 AAA A-5 949770AE1 AAA A-6 949770AF8 AAA A-7 949770AG6 AAA A-8 949770AH4 AAA A-9 949770AJ0 AAA A-10 949770AK7 AAA A-11 949770AL5 AAA B-1 949770AN1 AA B-2 949770AP6 A B-3 949770AQ4 BBB B-4 949770AR2 BB Wells Fargo Mortgage Backed Securities 2004-G Trust Series 2004-G Class CUSIP Rating ----- ----- ------ A-1 94978JAA7 AAA A-2 94978JAB5 AAA A-3 94978JAC3 AAA A-4 94978JAD1 AAA B-1 94978JAF6 AA B-2 94978JAG4 A B-3 94978JAH2 BBB B-4 94978JAJ8 BB B-5 94978JAK5 B Wells Fargo Mortgage Backed Securities 2004-H Trust Series 2004-H Class CUSIP Rating ----- ----- ------ A-1 94979TAA4 AAA A-2 94979TAB2 AAA B-1 94979TAF3 AA B-2 94979TAG1 A Wells Fargo Mortgage Backed Securities 2004-K Trust Series 2004-K Class CUSIP Rating ----- ----- ------ I-A-1 94981VAA5 AAA I-A-2 94981VAB3 AAA I-A-3 94981VAC1 AAA II-A-1 94981VAF4 AAA II-A-2 94981VAG2 AAA II-A-3 94981VAH0 AAA II-A-4 94981VAJ6 AAA II-A-5 94981VAK3 AAA II-A-6 94981VAL1 AAA II-A-7 94981VAM9 AAA II-A-8 94981VAN7 AAA II-A-9 94981VAV9 AAA II-A-10 94981VAW7 AAA II-A-11 94981VAX5 AAA II-A-12 94981VAY3 AAA B-1 94981VAP2 AA B-2 94981VAQ0 A B-3 94981VAR8 BBB Wells Fargo Mortgage Backed Securities 2004-L Trust Series 2004-L Class CUSIP Rating ----- ----- ------ A-3 94980PAC5 AAA A-4 94980PAD3 AAA A-5 94980PAE1 AAA A-6 94980PAF8 AAA A-7 94980PAG6 AAA A-8 94980PAH4 AAA A-9 94980PAJ0 AAA B-1 94980PAL5 AA Wells Fargo Mortgage Backed Securities 2004-M Trust Series 2004-M Class CUSIP Rating ----- ----- ------ A-1 94979UAA1 AAA A-4 94979UAD5 AAA A-5 94979UAE3 AAA A-6 94979UAF0 AAA A-7 94979UAG8 AAA A-8 94979UAH6 AAA B-1 94979UAL7 AA B-2 94979UAM5 A B-3 94979UAN3 BBB Wells Fargo Mortgage Backed Securities 2004-N Trust Series 2004-N Class CUSIP Rating ----- ----- ------ A-4 94979LAD5 AAA A-5 94979LAE3 AAA A-6 94979LAF0 AAA A-7 94979LAG8 AAA A-8 94979LAH6 AAA A-9 94979LAJ2 AAA B-1 94979LAM5 AA B-2 94979LAN3 A B-3 94979LAP8 BBB Wells Fargo Mortgage Backed Securities 2004-O Trust Series 2004-O Class CUSIP Rating ----- ----- ------ A-1 949758AD8 AAA B-1 949758AF3 AA B-2 949758AG1 A B-3 949758AH9 BBB B-4 949758AA4 BB Wells Fargo Mortgage Backed Securities 2004-P Trust Series 2004-P Class CUSIP Rating ----- ----- ------ I-A-1 94980MAA6 AAA II-A-1 94980MAB4 AAA B-1 94980MAE8 AA B-2 94980MAF5 A Wells Fargo Mortgage Backed Securities 2004-Q Trust Series 2004-Q Class CUSIP Rating ----- ----- ------ I-A-1 94978LAA2 AAA I-A-2 94978LAB0 AAA I-A-3 94978LAC8 AAA II-A-1 94978LAF1 AAA II-A-2 94978LAG9 AAA B-1 94978LAH7 AA B-2 94978LAJ3 A Wells Fargo Mortgage Backed Securities 2004-R Trust Series 2004-R Class CUSIP Rating ----- ----- ------ I-A-1 94981GAD2 AAA I-A-2 94981GAE0 AAA II-A-1 94981GAF7 AAA B-1 94981GAJ9 AA B-2 94981GAK6 A Wells Fargo Mortgage Backed Securities 2004-S Trust Series 2004-S Class CUSIP Rating ----- ----- ------ A-1 94981WAA3 AAA A-4 94981WAD7 AAA A-5 94981WAE5 AAA A-6 94981WAF2 AAA A-7 94981WAL9 AAA B-1 94981WAH8 AA Wells Fargo Mortgage Backed Securities 2004-V Trust Series 2004-V Class CUSIP Rating ----- ----- ------ I-A-1 949810AA3 AAA I-A-2 949810AB1 AAA I-A-3 949810AC9 AAA II-A-1 949810AF2 AAA B-1 949810AG0 AA B-2 949810AH8 A Wells Fargo Mortgage Backed Securities 2004-X Trust Series 2004-X Class CUSIP Rating ----- ----- ------ I-A-1 94981TAA0 AAA I-A-2 94981TAB8 AAA I-A-3 94981TAC6 AAA I-A-4 94981TAD4 AAA I-A-5 94981TAE2 AAA II-A-1 94981TAH5 AAA II-A-2 94981TAJ1 AAA B-1 94981TAK8 AA B-2 94981TAL6 A B-3 94981TAM4 BBB B-4 94981TAN2 BB Wells Fargo Mortgage Backed Securities 2004-Y Trust Series 2004-Y Class CUSIP Rating ----- ----- ------ I-A-1 94982AAA0 AAA I-A-2 94982AAB8 AAA I-A-3 94982AAC6 AAA II-A-1 94982AAD4 AAA III-A-1 94982AAH5 AAA III-A-2 94982AAJ1 AAA III-A-3 94982AAK8 AAA III-A-4 94982AAE2 AAA III-A-5 94982AAF9 AAA B-1 94982AAL6 AA B-2 94982AAM4 A B-3 94982AAN2 BBB B-4 94982AAP7 BB Wells Fargo Mortgage Backed Securities 2004-Z Trust Series 2004-Z Class CUSIP Rating ----- ----- ------ I-A-1 94980RAA5 AAA I-A-2 94980RAB3 AAA II-A-1 94980RAC1 AAA II-A-2 94980RAD9 AAA II-A-IO 94980RAE7 AAA B-1 94980RAG2 AA WICHITA BRENTWOOD: S&P Affirms 'B' Rating on 1995 Bonds ------------------------------------------------------- Standard & Poor's Ratings Services revised its rating outlook on Wichita (Brentwood Manor Project), Kansas's multifamily housing revenue bonds series IX-A 1995 and IX-B 1995 to negative from stable. At the same time, Standard & Poor's affirmed its 'B' rating on project's series IX-A 1995 bonds, and its 'B-' rating on the project's series IX-B 1995 bonds. "The outlook revision reflects the property's reliance on advances from an affiliate, Christian Relief Services Charities Residential Inc., which is not obligated to pay debt service," said Standard & Poor's credit analyst Mikiyon Alexander. The ratings reflect project's reliance on advances from Christian Relief Services Charities Residential Inc. and low demand in the project's market, as demonstrated by occupancy rates below 90%. WRIGHTWOOD CAPITAL: Moody's Cuts Ratings on Nine 2005-1 Notes ------------------------------------------------------------- Moody's Investors Service downgraded the ratings of nine classes of Notes issued by Wrightwood Capital Real Estate CDO 2005-1, Ltd. The rating actions are: -- Class A-1, $376,775,000, Floating Rate Notes Due 2040, downgraded to Aa3 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-R*, up to $100,000,000, Floating Rate Notes Due 2040, downgraded to Aa3 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $48,750,000, Floating Rate Notes Due 2040, downg raded to Ba1 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $13,975,000, Floating Rate Capitalized Interest Notes Due 2040, downgraded to B1 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $9,750,000, Floating Rate Capitalized Interest Notes Due 2040, downgraded to B2 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $21,125,000, Floating Rate Capitalized Interest Notes Due 2040, downgraded to Caa1 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $14,625,000, Floating Rate Capitalized Interest Notes Due 2040, downgraded to Caa2 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $8,125,000, Floating Rate Capitalized Interest Notes Due 2040, downgraded to Caa3 from Ba1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class H, $6,500,000, Floating Rate Capitalized Interest Notes Due 2040, downgraded to Caa3 from Ba3; previously on 3/12/2009 Placed Under Review for Possible Downgrade * Outstanding Class A-R balance is $68,500,000 as of March 31, 2009 Moody's downgraded all Classes solely due to revised modeling parameters. Moody's ratings are based on the current credit quality of the collateral and may not reflect potential migration as per the legal documentation. The pool contains a 100% concentration in whole loans. Moody's expects the aggregate default rate on CMBS loans (1.59% as of March 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 21% from the peak reached in October 2007, are expected to decline an additional 5 to 15% 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 its 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 have 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. Moody's review at securitization is summarized in a Pre-Sale report dated October 3, 2005. * Moody's Downgrades Ratings on 62 Tranches by 13 Trust CDOs ------------------------------------------------------------ Moody's has downgraded 62 tranches across 13 Trust Preferred CDOs. The downgrades are prompted by the exposure of these TRUP CDOs to trust preferred or subordinated debt issued by real estate investment trusts, real estate operating companies, homebuilders, commercial mortgage backed securities, and real estate related loans. In April 2008, Moody's downgraded most REIT TRUP CDO tranches due to the increasing likelihood of defaults and low expected recoveries for mortgage REITs and homebuilders. Due to the continued credit crisis and weak economic conditions, defaults and interest payment deferrals for all collateral types backing REIT CDOs are expected to be worse than previously anticipated. Moody's believes the weak economic environment will continue throughout this year resulting in more defaults and low recoveries in this area. The rating actions are the result of using a combination of these analysis: (1) Cash-flow modeling analysis (2) Coverage analysis (3) Event of default analysis (4) Break-even analysis. Cash Flow Modeling Analysis Moody's looked at two scenarios from its cash flow model using the correlated binomial distribution. The major inputs into the cash flow model are the default probability, correlations, and recovery rates. In the first scenario, Moody's assumed any security currently defaulted, deferring payment, or with a rating of less than Caa2 to be defaulted with a zero recovery. In the second scenario, Moody's assumed any security currently defaulted, deferring payment, with a rating of less than Caa1, or a market capitalization less than $50 million to be defaulted with a zero recovery. These assumed defaults were removed from the total collateral par amount used to run the cash flow models. Moody's public ratings of the underlying securities were used as the basis for determining which securities in each scenario would be assumed to be defaulted as well as for calculating the default probability of the performing collateral. The default probability of the performing collateral was calculated by taking its weighted average rating factor and extrapolating the corresponding default probability from Moody's idealized default probability table based on the weighted average life of the collateral portfolio. The ratings used for the analysis were also adjusted one notch downward for a negative outlook and two notches downward for review for possible downgrade. For unrated REIT securities, Moody's assumed these names had an implied rating of B3 which is at the lowest range of the financial measures used to asses these credits. The financial measures are further described in Moody's Approach to Rating U.S. REIT CDOs, April 4, 2006. Moody's previously assumed many of these unrated names had implied ratings of B1 or B2. Moody's calculated a correlation using MOODY'S CDOROMv2.5(TM) which splits REITs into eight classifications. Moody's further stressed the correlations because each of these CDOs is completely backed by real estate related securities, which have proven to be more highly interdependent during this cycle. Moody's assumed a 10% recovery rate for all collateral types in REIT TRUP CDOs. Most of this collateral is either subordinated debt or trust preferred securities. Among the various model parameters, the assumed defaulted par had the greatest impact on ratings. Other than the assumptions noted, the cash flow model also used the approach outlined in the Methodology Paper. Coverage Analysis For each rated tranche, Moody's calculated coverage ratios using the par amounts from the two cash flow modeling scenarios. The coverage ratio was calculated as the performing collateral par over the par amounts of the tranche being evaluated and all tranches senior and pari passu to such tranche. The performing collateral excluded all assumed defaults as well as the default probability adjusted par. The default probability adjusted par was calculated by multiplying the pool default probability by the performing collateral. To achieve an investment grade rating on a super senior tranche, the coverage ratio using the assumed defaults from the second scenario was expected to be above 100%. Event of Default analysis To date, there are no Moody's rated REIT TRUP CDOs that have declared an Event of Default. The most likely reason for a REIT TRUP CDO to trigger an EOD is non-payment of interest on a non- deferrable tranche or a senior coverage test generally falling below 100% caused by a sufficient number of defaults or deferral of interest on the underlying securities. In the event of an EOD, most REIT TRUP CDOs allow the controlling class, generally the super senior tranche, the right to accelerate cash flows or liquidate the collateral portfolio. For these rating actions, Moody's assumed liquidation would not result if EOD occurs because much 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 any REIT TRUP CDO. Break-even analysis Moody's also looked at scenarios to see how many underlying securities would have to default before a loss is realized on a tranche. This analysis was mainly used as a supplement to the other methods in determining the sufficiency of the current subordination at 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. Attentus CDO I, Ltd. * First Scenario WARF: 2,903 * First Scenario Assumed Defaulted Amount: $128,704,886 * Second Scenario WARF: 2,704 * Second Scenario Assumed Defaulted Amount: $ 172,654,886 -- Class A-1, Downgraded to B1; previously on 4/24/2008 downgraded to Aa1 -- Class A-2, Downgraded to Caa2; previously on 4/24/2008 downgraded to A2 -- Class B, Downgraded to Ca; previously on 4/24/2008 downgraded to Ba1 -- Class C-1, Downgraded to Ca; previously on 4/24/2008 downgraded to B3 Attentus CDO II, Ltd. * First Scenario WARF: 2,661 * First Scenario Assumed Defaulted Amount: $152,252,500 * Second Scenario WARF: 2,264 * Second Scenario Assumed Defaulted Amount: $196,702,500 -- US$235,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2041, Downgraded to Ba2; previously on 4/24/2008 downgraded to Aa1 -- US$60,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2041, Downgraded to B3; previously on 4/24/2008 downgraded to Aa3 -- US$55,000,000 Class A-3A Third Priority Senior Secured Floating Rate Notes Due 2041, Downgraded to Caa2; previously on 4/24/2008 downgraded to A1 -- US$5,000,000 Class A-3B Third Priority Senior Secured Floating Rate Notes Due 2041, Downgraded to Caa2; previously on 4/24/2008 downgraded to A1 -- US$20,000,000 Class B Fourth Priority Deferrable Secured Floating Rate Notes Due 2041, Downgraded to C; previously on 4/24/2008 downgraded to Ba3 -- US$32,000,000 Class C Fifth Priority Deferrable Secured Floating Rate Notes Due 2041, Downgraded to C; previously on 4/24/2008 downgraded to Caa3 Attentus CDO III, Ltd. * First Scenario WARF: 2,909 * First Scenario Assumed Defaulted Amount: $ 97,355,538 * Second Scenario WARF: 2,483 * Second Scenario Assumed Defaulted Amount: $ 174,055,538 -- US$150,000,000 Class A-1A First Priority Delayed Draw Senior Secured Floating Rate Notes Due 2042, Downgraded to Baa2; previously on 1/26/2007 assigned Aaa -- US$100,000,000 Class A-1B Second Priority Senior Secured Floating Rate Notes Due 2042, Downgraded to B2; previously on 4/24/2008 downgraded to Aa1 -- US$100,000,000 Class A-2 Third Priority Senior Secured Floating Rate Notes Due 2042, Downgraded to Caa2; previously on 4/24/2008 downgraded to Aa3 -- US$34,000,000 Class B Fourth Priority Deferrable Secured Floating Rate Notes Due 2042, Downgraded to Ca; previously on 4/24/2008 downgraded to Baa1 -- US$16,000,000 Class C-1 Fifth Priority Deferrable Secured Floating Rate Notes Due 2042, Downgraded to C; previously on 4/24/2008 downgraded to Ba1 -- US$15,000,000 Class C-2 Fifth Priority Deferrable Secured Fixed/Floating Rate Notes Due 2042, Downgraded to C; previously on 4/24/2008 downgraded to Ba1 Kodiak CDO I, Ltd. * First Scenario WARF: 3,226 * First Scenario Assumed Defaulted Amount: $124,031,250 * Second Scenario WARF: 2,681 * Second Scenario Assumed Defaulted Amount: $292,781,250 -- US$338,500,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2037, Downgraded to Ba3; previously on 4/24/2008 downgraded to Aa1 -- US$103,500,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2037, Downgraded to Ca; previously on 4/24/2008 downgraded to Aa3 -- US$83,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2037, Downgraded to Ca; previously on 4/24/2008 downgraded to Aa3 -- US$30,000,000 Class C Fourth Priority Secured Deferrable Floating Rate Notes Due 2037, Downgraded to Ca; previously on 4/24/2008 downgraded to Ba1 Kodiak CDO II, Ltd. * First Scenario WARF: 3,148 * First Scenario Assumed Defaulted Amount: $35,250,000 * Second Scenario WARF: 2,948 * Second Scenario Assumed Defaulted Amount: $219,250,000 -- US$338,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2042, Downgraded to Ba1; previously on 6/29/2007 assigned Aaa -- US$53,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2042, Downgraded to Caa1; previously on 6/29/2007 assigned Aaa -- US$80,000,000 Class A-3 Senior Secured Floating Rate Notes Due 2042, Downgraded to Caa3; previously on 6/29/2007 assigned Aaa -- US$81,000,000 Class B-1 Senior Secured Floating Rate Notes Due 2042, Downgraded to Ca; previously on 6/29/2007 assigned Aa1 -- US$5,000,000 Class B-2 Senior Secured Fixed/Floating Rate Notes Due 2042, Downgraded to Ca; previously on 6/29/2007 assigned Aa1 TABERNA PREFERRED FUNDING II, LTD. * First Scenario WARF: 2,679 * First Scenario Assumed Defaulted Amount: $380,625,000 * Second Scenario WARF: 2,496 * Second Scenario Assumed Defaulted Amount: $ 488,057,000 -- Class A-1a, Downgraded to B2; previously on 4/24/2008 downgraded to A3, on review for possible downgrade -- Class A-1b, Downgraded to B2; previously on 4/24/2008 downgraded to A3, on review for possible downgrade -- Class A-1c, Downgraded to B2; previously on 4/24/2008 downgraded to A3, on review for possible downgrade -- Class B, Downgraded to Ca; previously on 4/24/2008 downgraded to Ba3, under review for possible downgrade Taberna Preferred Funding III, Ltd. * First Scenario WARF: 2,130 * First Scenario Assumed Defaulted Amount: $189,530,000 * Second Scenario WARF: 2,245 * Second Scenario Assumed Defaulted Amount: $286,955,000 -- Class A-1a, Downgraded to Ba1; previously on 4/24/2008 downgraded to Aa2 -- Class A-1b, Downgraded to Ba1; previously on 4/24/2008 downgraded to Aa2 -- Class A-1c, Downgraded to Ba1; previously on 4/24/2008 downgraded to Aa2 -- Class A-2a, Downgraded to B3; previously on 4/24/2008 downgraded to A2 -- Class B-1, Downgraded to Ca; previously on 4/24/2008 downgraded to Ba1 -- Class B-2, Downgraded to Ca; previously on 4/24/2008 downgraded to Ba1 TABERNA PREFERRED FUNDING IV, LTD. * First Scenario WARF: 2,134 * First Scenario Assumed Defaulted Amount: $145,625,000 * Second Scenario WARF: 1,940 * Second Scenario Assumed Defaulted Amount: $262,559,000 -- Class A-1, Downgraded to Ba1; previously on 4/24/2008 downgraded to Aa1 -- Class B-1, Downgraded to Ca; previously on 4/24/2008 downgraded to Ba1 -- Class B-2, Downgraded to Ca; previously on 4/24/2008 downgraded to Ba1 TABERNA PREFERRED FUNDING V, LTD. * First Scenario WARF: 3,088 * First Scenario Assumed Defaulted Amount: $207,031,250 * Second Scenario WARF: 2,726 * Second Scenario Assumed Defaulted Amount: $345,240,250 -- US$100,000,000 Class A-1LA Floating Rate Notes Due August 2036, Downgraded to B2; previously on 4/24/2008 downgraded to Aa1 -- US$250,000,000 Class A-1LAD Delayed Draw Floating Rate Notes Due August 2036, Downgraded to B2; previously on 4/24/2008 downgraded to Aa1 -- US$60,000,000 Class A-1LB Floating Rate Notes Due August 2036, Downgraded to Ca; previously on 4/24/2008 downgraded to Aa3 -- US$90,000,000 Class A-2L Deferrable Floating Rate Notes Due August 2036, Downgraded to Ca; previously on 4/24/2008 downgraded to Ba2 Taberna Preferred Funding VI, Ltd. * First Scenario WARF: 2,779 * First Scenario Assumed Defaulted Amount: $166,875,000 * Second Scenario WARF: 2,415 * Second Scenario Assumed Defaulted Amount: $ 267,500,000 -- Class A-1A, Downgraded to Ba2; previously on 4/24/2008 downgraded to Aa1 -- Class A-1B, Downgraded to Ba2; previously on 4/24/2008 downgraded to Aa1 -- Class A-2, Downgraded to Caa2; previously on 4/24/2008 downgraded to Aa3 -- Class B, Downgraded to Ca; previously on 4/24/2008 downgraded to Baa3 -- Class C, Downgraded to Ca; previously on 4/24/2008 downgraded to B1 Taberna Preferred Funding VII, Ltd. * First Scenario WARF: 2,971 * First Scenario Assumed Defaulted Amount: $134,218,750 * Second Scenario WARF: 2,653 * Second Scenario Assumed Defaulted Amount: $ 234,218,750 -- US$350,000,000 Class A-1LA Floating Rate Notes Due February 2037, Downgraded to Ba2; previously on 4/24/2008 downgraded to Aa1 -- US$120,000,000 Class A-1LB Floating Rate Notes Due February 2037, Downgraded to B2; previously on 4/24/2008 downgraded to Aa3 -- US$25,000,000 Class A-2LA Floating Rate Notes Due February 2037, Downgraded to Caa3; previously on 4/24/2008 downgraded to A2 -- US$50,000,000 Class A-2LB Deferrable Floating Rate Notes Due February 2037, Downgraded to Ca; previously on 4/24/2008 downgraded to Ba2 Taberna Preferred Funding VIII, Ltd. * First Scenario WARF: 3,098 * First Scenario Assumed Defaulted Amount: $ 25,000,000 * Second Scenario WARF: 2,920 * Second Scenario Assumed Defaulted Amount: $ 107,538,447 -- US$160,000,000 Class A-1A First Priority Delayed Draw Senior Secured Floating Rate Notes Due 2037, Downgraded to Ba1; previously on 7/2/2008 Aaa, under review for possible downgrade -- US$215,000,000 Class A-1B First Priority Senior Secured Floating Rate Notes Due 2037, Downgraded to Ba1; previously on 7/2/2008 Aaa, under review for possible downgrade -- US$120,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2037, Downgraded to Ba3; previously on 7/2/2008 Aaa, under review for possible downgrade -- US$75,000,000 Class B Deferrable Third Priority Secured Floating Rate Notes Due 2037, Downgraded to Ca; previously on 7/2/2008 Aa2, under review for possible downgrade -- US$40,000,000 Class C Deferrable Fourth Priority Secured Floating Rate Notes Due 2037, Downgraded to Ca; previously on 7/2/2008 A2, under review for possible downgrade Taberna Preferred Funding IX, Ltd. * First Scenario WARF: 3,161 * First Scenario Assumed Defaulted Amount: $ 50,000,000 * Second Scenario WARF: 3,067 * Second Scenario Assumed Defaulted Amount: $130,625,000 -- US$275,000,000 Class A-1LA Floating Rate Notes Due May 2038, Downgraded to Ba1; previously on 6/29/2007 assigned Aaa -- US$100,000,000 Class A 1LAD Delayed Draw Floating Rate Notes Due May 2038, Downgraded to Ba1; previously on 6/29/2007 assigned Aaa -- US$116,000,000 Class A 1LB Floating Rate Notes Due May 2038, Downgraded to B1; previously on 6/29/2007 assigned Aaa -- US$25,000,000 Class A-2LA Floating Rate Notes Due May 2038, Downgraded to B3; previously on 6/29/2007 assigned Aa2 -- US$53,000,000 Class A-2LB Deferrable Floating Rate Notes Due May 2038, Downgraded to Ca; previously on 7/2/2008 Aa3, under review for possible downgrade -- US$20,000,000 Class A-3LA Deferrable Floating Rate Notes Due May 2038, Downgraded to Ca; previously on 7/2/2008 A2, under review for possible downgrade * Moody's Downgrades Ratings on 142 Tranches from 17 Alt-A RMBS --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 142 tranches from 17 Alt-A RMBS transactions issued by Countrywide. The collateral backing these transactions consists primarily of first-lien, fixed and adjustable-rate, Alt-A residential mortgage loans. These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Once expected losses have been determined, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. Complete rating actions are: Alternative Loan Trust 2004-10CB -- Cl. A, Downgraded to Baa2; previously on 7/14/2004 Assigned Aaa -- Cl. M, Downgraded to Ba3; previously on 7/14/2004 Assigned Aa2 -- Cl. B-1, Downgraded to Caa2; previously on 7/14/2004 Assigned A2 -- Cl. B-2, Downgraded to Ca; previously on 7/14/2004 Assigned Baa2 -- Cl. B-3, Downgraded to C; previously on 7/14/2004 Assigned Ba2 -- Cl. B-4, Downgraded to C; previously on 7/14/2004 Assigned B2 Alternative Loan Trust 2004-12CB -- Cl. 1-A-1, Downgraded to A2; previously on 7/15/2004 Assigned Aaa -- Cl. 1-A-2, Downgraded to A1; previously on 7/15/2004 Assigned Aaa -- Cl. 1-A-3, Downgraded to A2; previously on 7/15/2004 Assigned Aaa -- Cl. 2-A-1, Downgraded to A2; previously on 7/15/2004 Assigned Aaa -- Cl. 2-A-2, Downgraded to A2; previously on 7/15/2004 Assigned Aaa -- Cl. 3-A-1, Downgraded to A2; previously on 7/15/2004 Assigned Aaa -- Cl. PO, Downgraded to A2; previously on 7/15/2004 Assigned Aaa Alternative Loan Trust 2004-13CB -- Cl. A-1, Downgraded to Aa3; previously on 6/23/2004 Assigned Aaa -- Cl. A-2, Downgraded to A1; previously on 6/23/2004 Assigned Aaa -- Cl. A-3, Downgraded to A2; previously on 6/23/2004 Assigned Aaa -- Cl. A-4, Downgraded to A2; previously on 6/23/2004 Assigned Aaa -- Cl. PO, Downgraded to A2; previously on 6/23/2004 Assigned Aaa -- Cl. B-2, Downgraded to Caa2; previously on 6/23/2004 Assigned Baa2 Alternative Loan Trust 2004-15 -- Cl. 1-A-1, Downgraded to B1; previously on 8/12/2004 Assigned Aaa -- Cl. 2-A-1, Downgraded to Baa3; previously on 8/12/2004 Assigned Aaa Alternative Loan Trust 2004-16CB -- Cl. 1-A-1, Downgraded to A1; previously on 7/30/2004 Assigned Aaa -- Cl. 1-A-2, Downgraded to Aa2; previously on 7/30/2004 Assigned Aaa -- Cl. 1-A-3, Downgraded to A1; previously on 7/30/2004 Assigned Aaa -- Cl. 1-A-4, Downgraded to A1; previously on 7/30/2004 Assigned Aaa -- Cl. 1-A-5, Downgraded to A1; previously on 7/30/2004 Assigned Aaa -- Cl. 1-A-6, Downgraded to A1; previously on 7/30/2004 Assigned Aaa -- Cl. 2-A-1, Downgraded to A1; previously on 7/30/2004 Assigned Aaa -- Cl. 2-A-2, Downgraded to A1; previously on 7/30/2004 Assigned Aaa -- Cl. 2-A-3, Downgraded to A1; previously on 7/30/2004 Assigned Aaa -- Cl. 2-A-4, Downgraded to A1; previously on 7/30/2004 Assigned Aaa -- Cl. 3-A-1, Downgraded to A1; previously on 7/30/2004 Assigned Aaa -- Cl. 4-A-1, Downgraded to Aa1; previously on 7/30/2004 Assigned Aaa -- Cl. 4-A-2, Downgraded to A1; previously on 7/30/2004 Assigned Aaa -- Cl. 4-A-3, Downgraded to A1; previously on 7/30/2004 Assigned Aaa -- Cl. 4-A-4, Downgraded to A1; previously on 7/30/2004 Assigned Aaa -- Cl. 4-A-5, Downgraded to A1; previously on 7/30/2004 Assigned Aaa -- Cl. 5-A-1, Downgraded to A1; previously on 7/30/2004 Assigned Aaa -- Cl. PO, Downgraded to A1; previously on 7/30/2004 Assigned Aaa Alternative Loan Trust 2004-17CB -- Cl. 1-A-1, Downgraded to Baa2; previously on 9/20/2004 Assigned Aaa -- Cl. 2-A-1, Downgraded to Baa2; previously on 9/20/2004 Assigned Aaa -- Cl. 3-A-1, Downgraded to Baa2; previously on 9/20/2004 Assigned Aaa -- Cl. A-M, Downgraded to Baa3; previously on 9/20/2004 Assigned Aaa -- Cl. M, Downgraded to Caa1; previously on 9/20/2004 Assigned Aa2 -- Cl. B-1, Downgraded to Ca; previously on 9/20/2004 Assigned A2 -- Cl. B-2, Downgraded to Ca; previously on 9/20/2004 Assigned Baa2 Alternative Loan Trust 2004-18CB -- Cl. 1-A-1, Downgraded to A1; previously on 8/12/2004 Assigned Aaa -- Cl. 2-A-4, Downgraded to Aa2; previously on 8/12/2004 Assigned Aaa -- Cl. 2-A-5, Downgraded to Aa3; previously on 8/12/2004 Assigned Aaa -- Cl. 2-A-6, Downgraded to Aa3; previously on 8/12/2004 Assigned Aaa -- Cl. 2-A-7, Downgraded to A1; previously on 8/12/2004 Assigned Aaa -- Cl. 2-A-8, Downgraded to A1; previously on 8/12/2004 Assigned Aaa -- Cl. 2-A-9, Downgraded to A1; previously on 8/12/2004 Assigned Aaa -- Cl. 3-A-1, Downgraded to A1; previously on 8/12/2004 Assigned Aaa -- Cl. 4-A-1, Downgraded to A1; previously on 8/12/2004 Assigned Aaa -- Cl. 5-A-1, Downgraded to A1; previously on 8/12/2004 Assigned Aaa -- Cl. 5-A-2, Downgraded to A1; previously on 8/12/2004 Assigned Aaa -- Cl. PO, Downgraded to A1; previously on 8/12/2004 Assigned Aaa Alternative Loan Trust 2004-22CB -- Cl. 1-A-1, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. 2-A-1, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. PO, Downgraded to A1; previously on 9/20/2004 Assigned Aaa Alternative Loan Trust 2004-24CB -- Cl. 1-A-1, Downgraded to A3; previously on 10/12/2004 Assigned Aaa -- Cl. 2-A-1, Downgraded to A3; previously on 10/12/2004 Assigned Aaa -- Cl. PO, Downgraded to A3; previously on 10/12/2004 Assigned Aaa Alternative Loan Trust 2004-25CB -- Cl. A-1, Downgraded to A3; previously on 12/20/2004 Assigned Aaa -- Cl. PO, Downgraded to A3; previously on 12/20/2004 Assigned Aaa Alternative Loan Trust 2004-27CB -- Cl. A-1, Downgraded to Baa1; previously on 12/14/2004 Assigned Aaa -- Cl. A-2, Downgraded to Baa1; previously on 12/14/2004 Assigned Aaa -- Cl. A-3, Downgraded to Baa1; previously on 12/14/2004 Assigned Aaa -- Cl. A-4, Downgraded to Baa1; previously on 12/14/2004 Assigned Aaa -- Cl. A-5, Downgraded to Baa1; previously on 12/14/2004 Assigned Aaa -- Cl. A-6, Downgraded to Baa1; previously on 12/14/2004 Assigned Aaa -- Cl. PO, Downgraded to Baa1; previously on 12/14/2004 Assigned Aaa Alternative Loan Trust 2004-28CB -- Cl. 1-A-1, Downgraded to A1; previously on 1/7/2005 Assigned Aaa -- Cl. 1-A-2, Downgraded to A2; previously on 1/7/2005 Assigned Aaa -- Cl. 1-A-3, Downgraded to A3; previously on 1/7/2005 Assigned Aaa -- Cl. 2-A-2, Downgraded to A3; previously on 1/7/2005 Assigned Aaa -- Cl. 2-A-3, Downgraded to A3; previously on 1/7/2005 Assigned Aaa -- Cl. 2-A-4, Downgraded to A3; previously on 1/7/2005 Assigned Aaa -- Cl. 2-A-5, Downgraded to A3; previously on 1/7/2005 Assigned Aaa -- Cl. 2-A-6, Downgraded to A3; previously on 1/7/2005 Assigned Aaa -- Cl. 2-A-7, Downgraded to A2; previously on 1/7/2005 Assigned Aaa -- Cl. 2-A-8, Downgraded to A3; previously on 1/7/2005 Assigned Aaa -- Cl. 2-A-9, Downgraded to A3; previously on 1/7/2005 Assigned Aaa -- Cl. 3-A-1, Downgraded to A3; previously on 1/7/2005 Assigned Aaa -- Cl. 4-A-1, Downgraded to A3; previously on 1/7/2005 Assigned Aaa -- Cl. 5-A-1, Downgraded to A3; previously on 1/7/2005 Assigned Aaa -- Cl. 6-A-1, Downgraded to A3; previously on 1/7/2005 Assigned Aaa -- Cl. 7-A-1, Downgraded to A3; previously on 1/7/2005 Assigned Aaa -- Cl. PO, Downgraded to A3; previously on 1/7/2005 Assigned Aaa Alternative Loan Trust 2004-30CB -- Cl. 1-A-1, Downgraded to Aa2; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-2, Downgraded to Aa2; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-3, Downgraded to A3; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-4, Downgraded to A3; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-5, Downgraded to Aa2; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-6, Downgraded to A2; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-7, Downgraded to Baa1; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-8, Downgraded to Baa1; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-9, Downgraded to Baa1; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-10, Downgraded to Baa1; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-11, Downgraded to Baa1; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-12, Downgraded to Baa1; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-13, Downgraded to Baa1; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-14, Downgraded to Baa1; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-15, Downgraded to Baa1; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-16, Downgraded to Baa1; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-17, Downgraded to Aa2; previously on 1/5/2005 Assigned Aaa -- Cl. 1-A-18, Downgraded to Baa1; previously on 1/5/2005 Assigned Aaa -- Cl. 2-A-1, Downgraded to A3; previously on 1/5/2005 Assigned Aaa -- Cl. 2-A-2, Downgraded to A3; previously on 1/5/2005 Assigned Aaa -- Cl. 2-A-3, Downgraded to Baa1; previously on 1/5/2005 Assigned Aaa -- Cl. 2-A-4, Downgraded to Baa1; previously on 1/5/2005 Assigned Aaa -- Cl. 3-A-1, Downgraded to Baa1; previously on 1/5/2005 Assigned Aaa -- Cl. PO, Downgraded to Baa1; previously on 1/5/2005 Assigned Aaa -- Cl. M, Downgraded to B1; previously on 1/5/2005 Assigned Aa3 -- Cl. B-1, Downgraded to Caa2; previously on 1/5/2005 Assigned A3 -- Cl. B-2, Downgraded to Ca; previously on 1/5/2005 Assigned Baa2 -- Cl. B-3, Downgraded to C; previously on 1/5/2005 Assigned Ba3 Alternative Loan Trust 2004-32CB -- Cl. 1-A-1, Downgraded to Baa2; previously on 1/27/2005 Assigned Aaa -- Cl. 2-A-1, Downgraded to Baa1; previously on 1/27/2005 Assigned Aaa -- Cl. 2-A-2, Downgraded to Baa1; previously on 1/27/2005 Assigned Aaa -- Cl. 2-A-3, Downgraded to Baa1; previously on 1/27/2005 Assigned Aaa -- Cl. 2-A-4, Downgraded to Baa1; previously on 1/27/2005 Assigned Aaa -- Cl. 2-A-5, Downgraded to Baa1; previously on 1/27/2005 Assigned Aaa -- Cl. PO, Downgraded to Baa1; previously on 1/27/2005 Assigned Aaa Alternative Loan Trust 2004-33 -- Cl. 1-A-1, Downgraded to Baa1; previously on 12/14/2004 Assigned Aaa -- Cl. 2-A-1, Downgraded to Baa1; previously on 12/14/2004 Assigned Aaa -- Cl. 3-A-1, Downgraded to Baa2; previously on 12/14/2004 Assigned Aaa -- Cl. 3-A-2, Downgraded to Baa1; previously on 12/14/2004 Assigned Aaa -- Cl. 3-A-3, Downgraded to Baa2; previously on 12/14/2004 Assigned Aa1 -- Cl. 3-X, Downgraded to Baa1; previously on 12/14/2004 Assigned Aaa -- Cl. 4-A-1, Downgraded to Baa2; previously on 12/14/2004 Assigned Aaa Alternative Loan Trust 2004-36CB -- Cl. 1-A-1, Downgraded to Baa3; previously on 1/27/2005 Assigned Aaa -- Cl. 2-A-1, Downgraded to Baa2; previously on 1/27/2005 Assigned Aaa -- Cl. 2-A-2, Downgraded to Baa3; previously on 1/27/2005 Assigned Aaa -- Cl. 2-A-3, Downgraded to Baa3; previously on 1/27/2005 Assigned Aaa -- Cl. 2-A-4, Downgraded to Baa3; previously on 1/27/2005 Assigned Aaa -- Cl. PO, Downgraded to Baa3; previously on 1/27/2005 Assigned Aaa Alternative Loan Trust 2004-8CB -- Cl. A, Downgraded to A3; previously on 6/17/2004 Assigned Aaa -- Cl. M-1, Downgraded to Baa3; previously on 6/17/2004 Assigned Aa2 -- Cl. M-2, Downgraded to B3; previously on 6/17/2004 Assigned A2 -- Cl. M-3, Downgraded to Ca; previously on 10/1/2007 Downgraded to Baa3 * Moody's Takes Rating Actions on Housing Loans-Backed Tranches --------------------------------------------------------------- Moody's Investors Service has taken rating actions with respect to the ratings of certain tranches of transactions collateralized by manufactured housing loans. These actions result in changes to ratings announced on January 16, 2009, which the rating agency determined had employed unduly conservative assumptions regarding loss multiples and severity of loss upon default and did not give full credit for scheduled principal payments. In taking these rating actions, Moody's applied an expanded ratings multiple table to provide loss multiples for transactions with higher loss levels, added credit for scheduled principal payments, and updated its loss severity assumption to 85%, which compares to actual recent severity experience of about 75%. This resulted in adjusted ratings on 19 tranches of 9 transactions. Moody's Investors Service also reviewed underlying ratings of insured certificates where applicable. The underlying rating reflects the intrinsic credit quality of the certificate in the absence of the guarantee. The adjusted ratings 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. The adjusted rating actions are: Issuer: CountryPlace Manufactured Housing Contract Trust 2007-1 Cl. A-2 -- Current Rating: Downgraded from Aa3 to Baa1 on 1/16/2009; changed to Aa3 on 4/10/2009; previously on 3/3/2009 Baa1 Placed on Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Company (Baa1; previously on 3/3/2009 Placed on Review for Possible Downgrade) Cl. A-3 -- Current Rating: Downgraded from Aa3 to Baa1 on 1/16/2009; Confirmed at Baa1 on 4/10/2009; previously on 3/3/2009 Baa1 Placed on Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Company (Baa1; previously on 3/3/2009 Placed on Review for Possible Downgrade) Issuer: GreenPoint Credit Manufactured Housing Contract Trust Pass-Through Certificates, Series 2001-2 Cl. I A-2 -- Current Rating: Downgraded from Aa3 to Baa1 on 1/16/2009; changed to A2 on 4/10/2009; previously on 3/3/2009 Baa1 Placed on Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Company (Baa1; previously on 3/3/2009 Placed on Review for Possible Downgrade) Cl. II A-2 -- Current Rating: Downgraded from Aa3 to Baa1 on 1/16/2009; changed to A2 on 4/10/2009; previously on 3/3/2009 Baa1 Placed on Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Company (Baa1; previously on 3/3/2009 Placed on Review for Possible Downgrade) Issuer:GreenPoint Manufactured Housing Contract Trust 1998-1 Cl. II A -- Current Rating: Downgraded from A2 to Baa1 on 1/16/2009; changed to Baa3 on 4/10/2009; previously on 2/18/2009 Downgraded to Ba3 from Baa1 -- Financial Guarantor: MBIA Insurance Corporation (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) Issuer: GreenPoint Manufactured Housing Contract Trust 1999-2 Cl. A-2 -- Current Rating: Downgraded from A2 to Baa1 on 1/16/2009; changed to Ba3 on 4/10/2009; previously on 2/18/2009 Downgraded to B3 from Baa1 -- Financial Guarantor: MBIA Insurance Corporation (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) Issuer: Greenpoint Manufactured Housing Contract Trust 1999-4 Cl. A-2 -- Current Rating: Downgraded from A2 to Baa1 on 1/16/2009; changed to B1 on 4/10/2009; previously on 2/18/2009 Downgraded to B3 from Baa1 -- Financial Guarantor: MBIA Insurance Corporation (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) Issuer: GreenPoint Manufactured Housing Contract Trust 1999-6 Cl. A-2 -- Current Rating: Downgraded from A2 to Baa1 on 1/16/2009; changed to Baa2 on 4/10/2009; previously on 2/18/2009 Downgraded to B1 from Baa1 -- Financial Guarantor: MBIA Insurance Corporation (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) Issuer: GreenPoint Manufactured Housing Contract Trust 2000-2 Cl. A-2 -- Current Rating: Downgraded from A2 to Baa1 on 1/16/2009; changed to B2 on 4/10/2009; previously on 2/18/2009 Downgraded to B3 from Baa1 -- Financial Guarantor: MBIA Insurance Corporation (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) Issuer: GreenPoint Manufactured Housing Contract Trust 2000-7 Cl. A-2 -- Current Rating: Downgraded from A2 to Baa1 on 1/16/2009; changed to Ba1 on 4/10/2009; previously on 2/18/2009 Downgraded to B2 from Baa1 -- Financial Guarantor: MBIA Insurance Corporation (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) Issuer: Lehman ABS Manufactured Housing Contract Trust 2001-B Cl. A-1 -- Current Rating: Downgraded from A1 to B2 on 1/16/2009; changed to A2 on 4/10/2009; previously on 09/28/2004 Downgraded to A1 from Aaa Cl. A-2 -- Current Rating: Downgraded from A1 to B2 on 1/16/2009; changed to A2 on 4/10/2009; previously on 09/28/2004 Downgraded to A1 from Aaa Cl. A-3 -- Current Rating: Downgraded from A1 to B2 on 1/16/2009; changed to A2 on 4/10/2009; previously on 09/28/2004 Downgraded to A1 from Aaa Cl. A-4 -- Current Rating: Downgraded from A1 to B2 on 1/16/2009; changed to A2 on 4/10/2009; previously on 09/28/2004 Downgraded to A1 from Aaa Cl. A-5 -- Current Rating: Downgraded from A1 to B2 on 1/16/2009; changed to A2 on 4/10/2009; previously on 09/28/2004 Downgraded to A1 from Aaa Cl. A-6 -- Current Rating: Downgraded from A1 to B2 on 1/16/2009; changed to A2 on 4/10/2009; previously on 09/28/2004 Downgraded to A1 from Aaa Cl. A-7 -- Current Rating: Downgraded from A1 to Baa1 on 1/16/2009; changed to A2 on 4/10/2009; previously on 11/17/2008 Downgraded to A1 from Aa3 -- Financial Guarantor: Ambac Assurance Company (Baa1; previously on 3/3/2009 Placed on Review for Possible Downgrade) Cl. A-IOC -- Current Rating: Downgraded from A1 to B2 on 1/16/2009; changed to A2 on 4/10/2009; previously on 09/28/2004 Downgraded to A1 from Aaa Cl. M-1 -- Current Rating: Downgraded from Baa3 to Ca on 1/16/2009; changed to Caa2 on 4/10/2009; previously on 09/28/2004 Downgraded to Baa3 from Aa2 * Moody's Reviews Ratings on 76 Net Interest Margin Securities -------------------------------------------------------------- Moody's Investors Service has placed the ratings of 76 net interest margin securities backed by residential mortgage-backed securitizations on review for possible downgrade. These NIM transactions rely on residual cash flows and prepayment penalties generated by the underlying mortgage-backed securitizations. These cash flows are sensitive to a number of factors: i) Prepayment speeds on the collateral backing the RMBS ii) Magnitude and timing of losses incurred on the collateral backing the underlying RMBS iii) Impact of trigger breaches (which in turn affects step-down and release of cash to residual bondholders) and iv) Volume and magnitude of interest rate modifications (which affects excess spread). These securities have been placed on review based on the poor performance on the underlying transactions that has negatively impacted residual payments to the NIM holders. Moody's analysis of NIM transactions with respect to this review primarily focuses on each transaction's recent average monthly principal paydown rate. As delinquency and losses have accumulated in the transactions underlying the NIM, residual cash flows have severely declined and, in most cases, disappeared. As a result, the large majority of these transactions have not received principal payments in recent months and many have accrued unpaid interest. Projected future loss levels on the large majority of underlying transactions are now higher than previously estimated. These elevated loss levels further reduce the likelihood that the net interest margin securities will ultimately be paid in full. During the review period, Moody's will analyze the likelihood of NIM repayment by reviewing potential sources of cash in relation to outstanding liabilities. The potential sources of cash to the NIM include i) excess spread net of projected future losses, ii) excess overcollateralization in the event of a step-down and iii) collections of prepayment penalties. To the extent the NIM has accrued unpaid interest obligations that must be paid prior to retiring the outstanding principal, such amounts will also be taken into account when evaluating the expected severity of loss to the NIM bondholders. It is expected that nearly all of the bonds placed under review would be downgraded to B1 or below. Additionally, to the extent that subordinate bonds of the underlying transactions have incurred principal impairments or have been downgraded to Ca or C, it is expected that the associated NIM security would be similarly downgraded to Ca or C. Final rating actions resolving these reviews are expected in the next 3 to 4 weeks. Asset Backed Funding Corporation NIM Trust 2001-AQ1 Notes -- Cl. A, Ca Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Ca Bear Stearns Structured Products Inc. NIM Trust 2004-10 -- Notes, B2 Placed Under Review for Possible Downgrade; previously on 2/16/2005 Assigned B2 BSSP NIM Trust 2004-QA1 -- Notes, Caa2 Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Caa2 Bear Stearns Structured Products Inc. NIM Trust 2007-N1 -- Cl. I-A-1, Ca Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Ca BSSP NIM Trust 2007-N2 Notes, Series 2007-N2-VIII -- Cl. VIII-A-1, Caa1 Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Caa1 BSSP NIM Trust 2007-N2 Notes, Series 2007-N2-X -- Cl. X-A-2, Ca Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Ca BSSP NIM Trust 2007-N3 Notes, Series 2007-N3-IV -- Cl. IV-A-1, Ca Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Ca -- Cl. IV-A-2, Ca Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Ca BSSP NIM Trust 2007-N3 Notes, Series 2007-N3-V -- Cl. V-A-1, Caa2 Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Caa2 Bear Stearns Structured Products Inc. NIM Trust 2007-N7 Notes, Series 2007-N7-II -- Cl. II-A-3, Ba2 Placed Under Review for Possible Downgrade; previously on 10/18/2007 Assigned Ba2 Bear Stearns Structured Products Inc. NIM Trust 2007-N7-IV -- Cl. IV-A-3, Ba2 Placed Under Review for Possible Downgrade; previously on 9/20/2007 Assigned Ba2 FFML Net Interest Margin Trust 2003-FFB -- Cl. A Notes, B3 Placed Under Review for Possible Downgrade; previously on 4/20/2007 Downgraded to B3 GSAA Home Equity Trust 2005-NIM6 -- Notes, B1 Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to B1 GSMSC Net Interest Margin Securities, Series 2007-NIM1 -- Cl. N2, Baa3 Placed Under Review for Possible Downgrade; previously on 2/9/2007 Assigned Baa3 -- Cl. N3, Ba3 Placed Under Review for Possible Downgrade; previously on 2/9/2007 Assigned Ba3 -- Cl. N4, B3 Placed Under Review for Possible Downgrade; previously on 2/9/2007 Assigned B3 Lehman XS NIM 1 Company 2005-7N -- Cl. A-2, Baa3 Placed Under Review for Possible Downgrade; previously on 2/1/2006 Assigned Baa3 Lehman XS Net Interest Margin Notes Series 2007-GPM1-1 -- Cl. A-2, Baa3 Placed Under Review for Possible Downgrade; previously on 3/26/2007 Assigned Baa3 -- Cl. A-3, Ba3 Placed Under Review for Possible Downgrade; previously on 3/26/2007 Assigned Ba3 -- Cl. A-4, B2 Placed Under Review for Possible Downgrade; previously on 3/26/2007 Assigned B2 Lehman XS Nim 1 Company 2007-GPM2 -- Cl. A-3, Ba3 Placed Under Review for Possible Downgrade; previously on 5/29/2007 Assigned Ba3 -- Cl. A-4, B2 Placed Under Review for Possible Downgrade; previously on 5/29/2007 Assigned B2 Lehman XS Net Interest Margin Notes Series 2005-1 -- Cl. A, B2 Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to B2 -- Cl. B, Ca Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Ca Lehman XS Net Interest Margin Notes Series 2005-10 -- Cl. A, A3 Placed Under Review for Possible Downgrade; previously on 2/10/2006 Assigned A3 -- Cl. B, B3 Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to B3 Lehman XS Net Interest Margin Notes Series 2005-2 -- Cl. A, Caa1 Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Caa1 -- Cl. B, Ca Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Ca Lehman XS NIM Company 2005-5N -- Cl. B, Baa3 Placed Under Review for Possible Downgrade; previously on 12/16/2005 Assigned Baa3 Lehman XS Net Interest Margin Notes Series 2005-6 -- Cl. A, B2 Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to B2 Lehman XS Net Interest Margin Notes Series 2005-8 -- Cl. B, Caa3 Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Caa3 Lehman XS Net Interest Margin Notes Series 2006-3 -- Cl. A, Ca Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Ca -- Cl. B, Ca Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Ca Lehman XS Net Interest Margin Notes Series 2006-7 -- Cl. A, Caa2 Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Caa2 -- Cl. B, Ca Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Ca Lehman XS NIM Company 2006-AR2 -- Cl. A-1, A3 Placed Under Review for Possible Downgrade; previously on 5/24/2006 Assigned A3 Lehman XS NIM Company 2006-AR4 -- Cl. A-4, Caa2 Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Caa2 Lehman XS Net Interest Margin Notes Series 2006-GP1 -- Cl. A-3, Ba3 Placed Under Review for Possible Downgrade; previously on 6/29/2006 Assigned Ba3 -- Cl. A-4, B2 Placed Under Review for Possible Downgrade; previously on 6/29/2006 Assigned B2 Lehman XS NIM Company 2006-GP2 -- Cl. A-3, Ba3 Placed Under Review for Possible Downgrade; previously on 8/2/2006 Assigned Ba3 -- Cl. A-4, B2 Placed Under Review for Possible Downgrade; previously on 8/2/2006 Assigned B2 Lehman XS Net Interest Margin Notes Series 2006-GP3 -- Cl. A-4, B2 Placed Under Review for Possible Downgrade; previously on 8/2/2006 Assigned B2 Lehman XS NIM Company 2006-GP4 -- Cl. A-3, Ba3 Placed Under Review for Possible Downgrade; previously on 8/22/2006 Assigned Ba3 -- Cl. A-4, B2 Placed Under Review for Possible Downgrade; previously on 8/22/2006 Assigned B2 Lehman XS Net Interest Margin Notes Series 2006-GPM4 -- Cl. A-3, Ba3 Placed Under Review for Possible Downgrade; previously on 9/26/2006 Assigned Ba3 -- Cl. A-4, B2 Placed Under Review for Possible Downgrade; previously on 9/26/2006 Assigned B2 Lehman XS Net Interest Margin Notes Series 2006-GPM5 -- Cl. A-4, B2 Placed Under Review for Possible Downgrade; previously on 10/27/2006 Assigned B2 Lehman XS Net Interest Margin Notes Series 2006-GPM6 -- Cl. A-4, B2 Placed Under Review for Possible Downgrade; previously on 12/1/2006 Assigned B2 Lehman XS Net Interest Margin Notes Series 2006-GPM7 -- Cl. A-3, Ba3 Placed Under Review for Possible Downgrade; previously on 1/8/2007 Assigned Ba3 -- Cl. A-4, B2 Placed Under Review for Possible Downgrade; previously on 1/8/2007 Assigned B2 Lehman XS Net Interest Margin Notes Series 2006-GPM8 -- Cl. A-3, Ba3 Placed Under Review for Possible Downgrade; previously on 1/25/2007 Assigned Ba3 -- Cl. A-4, B2 Placed Under Review for Possible Downgrade; previously on 1/25/2007 Assigned B2 Lehman XS Net Interest Margin Notes Series 2007-QO8 -- Cl. A-4, B2 Placed Under Review for Possible Downgrade; previously on 3/16/2007 Assigned B2 Lehman XS NIM Company 2005-9N -- Cl. A-2, Baa3 Placed Under Review for Possible Downgrade; previously on 3/6/2006 Assigned Baa3 Long Beach Asset Holdings Corp. CI 2006-WL2 NIM Notes, Series 2006-WL2 -- Cl. N-2, A3 Placed Under Review for Possible Downgrade; previously on 7/2/2008 Downgraded to A3 MASTR Alternative Loan NIM 2006-1 -- Cl. N-1, Baa2 Placed Under Review for Possible Downgrade; previously on 1/27/2006 Assigned Baa2 MASTR Alternative Loan NIM 2006-3 -- Cl. N-3, Caa1 Placed Under Review for Possible Downgrade; previously on 7/2/2008 Downgraded to Caa1 MASTR Alternative Loan NIM 2006-4 -- Cl. N-2, B3 Placed Under Review for Possible Downgrade; previously on 7/2/2008 Downgraded to B3 -- Cl. N-3, Caa1 Placed Under Review for Possible Downgrade; previously on 7/2/2008 Downgraded to Caa1 MASTR Alternative Loan NIM 2006-5 -- Cl. N-3, Caa1 Placed Under Review for Possible Downgrade; previously on 7/2/2008 Downgraded to Caa1 MASTR CI-CW1 NIM -- Cl. N-1, Ba2 Placed Under Review for Possible Downgrade; previously on 7/2/2008 Downgraded to Ba2 -- Cl. N-2, Caa1 Placed Under Review for Possible Downgrade; previously on 7/2/2008 Downgraded to Caa1 SAIL Net Interest Margin Notes, Series 2003-3 -- Cl. A Notes, Caa2 Placed Under Review for Possible Downgrade; previously on 7/2/2008 Downgraded to Caa2 SAIL Net Interest Margin Notes, Series 2003-5 -- Cl. A Notes, Caa2 Placed Under Review for Possible Downgrade; previously on 7/2/2008 Downgraded to Caa2 SARM Net Interest Margin Notes, Series 2005-19XS-1 -- Cl. A-2, Baa3 Placed Under Review for Possible Downgrade; previously on 11/21/2005 Assigned Baa3 SARM Net Interest Margin Notes, Series 2005-19XS-2 -- Cl. A-2, Baa3 Placed Under Review for Possible Downgrade; previously on 11/21/2005 Assigned Baa3 SARM Net Interest Margin Notes, Series 2005-16XS -- Cl. A, B2 Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to B2 SARM Net Interest Margin Notes, Series 2005-10 -- Cl. A, Ca Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Ca SASCO Net Interest Margin Trust 2003-12XS -- Cl. A, Caa3 Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Caa3 SASCO Net Interest Margin Trust 2003-36XS -- Cl. A, B2 Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to B2 SASCO ARC Net Interest Margin Notes, Series 2003-BC2 -- Cl. N2, Caa3 Placed Under Review for Possible Downgrade; previously on 7/1/2008 Downgraded to Caa3 Sharps SP I LLC Net Interest Margin Trust 2003-2XSN -- Notes, Baa2 Placed Under Review for Possible Downgrade; previously on 12/24/2003 Assigned Baa2 Sharps SP I LLC Net Interest Margin 2006-AHM3N -- Cl. N-3, Ba2 Placed Under Review for Possible Downgrade; previously on 10/9/2006 Assigned Ba2 Sharps SP I LLC Net Interest Margin Trust 2004-5N -- Notes, Baa3 Placed Under Review for Possible Downgrade; previously on 10/27/2004 Assigned Baa3 Sharps SP I LLC Net Interest Margin Trust 2006-AF1N -- Notes, Baa3 Placed Under Review for Possible Downgrade; previously on 6/9/2006 Assigned Baa3 Wachovia Amortization Controlled HELOC NIM Trust 2006-N1 -- Notes, A3 Placed Under Review for Possible Downgrade; previously on 1/4/2007 Assigned A3 * S&P Cuts Ratings on 37 Classes from 14 Scratch-And-Dent RMBS -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 37 classes from 14 U.S. scratch-and-dent residential mortgage-backed securities transactions issued from 2003 to 2007. S&P removed two of the lowered ratings from CreditWatch negative. S&P also affirmed its ratings on 122 classes from the same transactions and five additional transactions, and removed three of the affirmed ratings from CreditWatch negative. In addition, S&P placed five ratings on CreditWatch with negative implications, including one of the lowered ratings. The downgrades and affirmations incorporate S&P's projected losses based on the dollar amount of losses S&P has observed within the transactions over the prior 12 months. Based on the historic dollar loss experience of the pool, S&P calculated a monthly default rate, which S&P applied to the pool under different constant prepayment rate assumptions. S&P compares its loss projections with the amount of subordination on a class-by-class basis to identify the ratio of credit support to future loss projections. Generally, S&P's baseline loss projections will represent S&P's 'B' case rating scenario, and S&P adjust the projection based on credit enhancement multiples specific to each rating category. Typically, if the rating is commensurate with the ratio derived from subordination-to-remaining losses, S&P will affirm the rating. The lowered ratings reflect S&P's belief that the amount of credit enhancement available for the downgraded classes is not sufficient to cover losses at the previous rating levels, while the affirmations reflect S&P's belief that the amount of credit enhancement is sufficient to support the ratings at their current levels. S&P lowered the ratings on several classes to 'D' or placed ratings on CreditWatch with negative implications due to the continual accrual of interest shortfalls. The subordination of more-junior classes within each applicable structure provides credit support for the affected transactions. In addition, the loans are generally insured by third parties that cover a certain amount, up to a maximum, based on the insurer's regulations. The collateral backing the affected trusts consists predominantly of first-lien, fixed- or adjustable-rate residential reperforming mortgage loans secured by one- to four-family properties and insured by the Federal Housing Administration or U.S. Department of Veterans Affairs. S&P monitors these transactions to incorporate updated performance information to assess whether, in S&P's view, the applicable credit enhancement is 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 CWMBS Reperforming Loan REMIC Trust 2004-R2 Series 2004-R2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 12669UCG3 CCC BBB GSMPS Mortgage Loan Trust 2003-2 Series 2003-2 Rating ------ Class CUSIP To From ----- ----- -- ---- B4 36290PAN7 CCC B GSMPS Mortgage Loan Trust 2005-RP2 Series 2005-RP2 Rating ------ Class CUSIP To From ----- ----- -- ---- B4 36242DU76 CCC BB B5 36242DU84 CC B GSMPS Mortgage Loan Trust 2005-RP3 Series 2005-RP3 Rating ------ Class CUSIP To From ----- ----- -- ---- B5 362341LX5 CCC B GSMPS Mortgage Loan Trust 2006-RP2 Series 2006-RP2 Rating ------ Class CUSIP To From ----- ----- -- ---- B4 36298XAJ1 CCC BB B5 36298XAK8 CCC B MASTR Reperforming Loan Trust 2005-2 Series 2005-2 Rating ------ Class CUSIP To From ----- ----- -- ---- B4 57643QAS4 CCC BB MASTR Reperforming Loan Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- B5 57643QBZ7 CCC B+ MASTR Reperforming Loan Trust 2006-2 Series 2006-2 Rating ------ Class CUSIP To From ----- ----- -- ---- B1 57645LAE4 B AA B2 57645LAF1 CCC A B3 57645LAG9 CCC BBB B4 57645LAH7 CCC BB B5 57645LAJ3 CC B RBSGC Mortgage Loan Trust Series 2005-RP1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-F 74927UAA6 AAA/Watch Neg AAA I-SF 74927UAB4 AAA/Watch Neg AAA I-SB 74927UAC2 AA/Watch Neg AAA I-B-1 74927UAD0 AA/Watch Neg AA I-B-2 74927UAE8 A/Watch Neg A I-B-3 74927UAF5 D BBB I-B-4 74927UAG3 D B I-B-5 74927UAH1 D CCC Reperforming Loan REMIC Trust 2003-R1 Series T-054 Rating ------ Class CUSIP To From ----- ----- -- ---- 1B1 12669UBG4 B A 1B2 12669UBH2 CCC BBB Reperforming Loan REMIC Trust Certificates Series 2003-R2 Series 2003-T-056 Rating ------ Class CUSIP To From ----- ----- -- ---- M 12669UBU3 AA AA/Watch Neg B-1 12669UBV1 A A/Watch Neg B-2 12669UBW9 BBB BBB/Watch Neg B-3 12669UBX7 CC BB/Watch Neg Structured Asset Securities Corporation Series 2006-RF1 Rating ------ Class CUSIP To From ----- ----- -- ---- B4 86359DXV4 CCC BB B5 86359DXW2 CC B/Watch Neg Structured Asset Securities Corporation Mortgage Loan Trust, Series 2006-RF4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 863911AA1 AA AAA 1-AIO 863911AB9 AA AAA 2-A2 863911AD5 AA AAA 2-AP 863911AE3 AA AAA 3-A1 863911AG8 AA AAA B1 863911AH6 BB AA+ B2 863911AJ2 CCC AA B3 863911AK9 CCC A- B4 863911AL7 CC BB+ B5 863911AM5 D B Structured Asset Securities Corporation Mortgage Loan Trust, Series 2007-RF1 Rating ------ Class CUSIP To From ----- ----- -- ---- B2 86362CAE4 BB AA B3 86362CAF1 CCC A B4 86362CAG9 CCC BBB- B5 86362CAH7 CC B+ Ratings Affirmed CWMBS Reperforming Loan REMIC Trust 2004-R2 Series 2004-R2 Class CUSIP Rating ----- ----- ------ 1A-F1 12669UCB4 AAA 1A-F2 12669UCC2 AAA 1A-S 12669UCD0 AAA M 12669UCE8 AA B-1 12669UCF5 A CWMBS Reperforming Loan REMIC Trust 2005-R2 Series 2005-R2 Class CUSIP Rating ----- ----- ------ 1A-F1 12669GN64 AAA 1A-F2 12669GS51 AAA 1A-S 12669GN72 AAA 2A-1 12669GN98 AAA 2A-2 12669GP21 AAA 2A-3 12669GP39 AAA 2A-4 12669GP47 AAA 2A-IO 12669GN80 AAA M 12669GP54 AA B-1 12669GP62 A Fannie Mae REMIC Trust 2003-W1 Series 2003-W1 Class CUSIP Rating ----- ----- ------ M 31392GWD3 AA B-1 31392GWE1 A B-2 31392GWF8 BBB B-3 31392GWG6 BB GSMPS Mortgage Loan Trust 2003-2 Series 2003-2 Class CUSIP Rating ----- ----- ------ B1 36290PAK3 AA B2 36290PAL1 A B3 36290PAM9 BBB GSMPS Mortgage Loan Trust 2005-RP2 Series 2005-RP2 Class CUSIP Rating ----- ----- ------ 1AF 36242DT52 AAA 1AS 36242DT60 AAA 1A2 36242DT78 AAA 1A3 36242DT86 AAA 1A4 36242DT94 AAA AX 36242DU27 AAA 2A1 36242DU35 AAA B1 36242DU43 AA B2 36242DU50 A B3 36242DU68 BBB GSMPS Mortgage Loan Trust 2005-RP3 Series 2005-RP3 Class CUSIP Rating ----- ----- ------ 1AF 362341LL1 AAA 1AS 362341LM9 AAA 1A2 362341LN7 AAA 1A3 362341LP2 AAA 1A4 362341LQ0 AAA AX 362341LR8 AAA 2A1 362341LS6 AAA B1 362341LT4 AA B2 362341LU1 A B3 362341LV9 BBB B4 362341LW7 BB GSMPS Mortgage Loan Trust 2006-RP2 Series 2006-RP2 Class CUSIP Rating ----- ----- ------ 1AF1 36298XAA0 AAA 1AF2 36298XAB8 AAA 1AS1 36298XAC6 AAA 1AS2 36298XAD4 AAA 2A1 36298XAE2 AAA B1 36298XAF9 AA B2 36298XAG7 A B3 36298XAH5 BBB MASTR Reperforming Loan Trust 2005-2 Series 2005-2 Class CUSIP Rating ----- ----- ------ 1A1F 57643QAE5 AAA 1A1S 57643QAF2 AAA 1A2 57643QAG0 AAA 1A3 57643QAH8 AAA 1A4 57643QAJ4 AAA AX 57643QAK1 AAA 2A1 57643QAL9 AAA B1 57643QAP0 AA+ B2 57643QAQ8 AA B3 57643QAR6 BBB+ MASTR Reperforming Loan Trust 2006-1 Series 2006-1 Class CUSIP Rating ----- ----- ------ 1A1F 57643QBL8 AAA 1A1S 57643QBQ7 AAA 1A2 57643QBM6 AAA 1A3 57643QBN4 AAA 1A4 57643QBP9 AAA AX 57643QBR5 AAA 2A1 57643QBS3 AAA B1 57643QBV6 AA+ B2 57643QBW4 AA+ B3 57643QBX2 AA- B4 57643QBY0 BBB+ MASTR Reperforming Loan Trust 2006-2 Series 2006-2 Class CUSIP Rating ----- ----- ------ 1A1 57645LAA2 AAA 2A1 57645LAB0 AAA NAAC Reperforming Loan REMIC Trust 2004-R3 Series 2004-R3 Class CUSIP Rating ----- ----- ------ A1 62951MAY6 AAA AF 62951MAZ3 AAA AS 62951MBA7 AAA PT 62951MBB5 AAA M 62951MBC3 AA B-1 62951MBD1 A B-2 62951MBE9 BBB NAAC Reperforming Loan REMIC Trust Certificates Series 2004-R2 Class CUSIP Rating ----- ----- ------ Class CUSIP Rating A1 62951MAM2 AAA A2 62951MAN0 AAA A3 62951MAT7 AAA PT 62951MAP5 AAA M 62951MAQ3 AA B-1 62951MAR1 A B-2 62951MAS9 BBB NAAC Reperforming Loan REMIC Trust Certificates, Series 2004-R1 Class CUSIP Rating ----- ----- ------ Class CUSIP Rating A1 62951MAA8 AAA A2 62951MAB6 AAA PT 62951MAD2 AAA M 62951MAC4 AA B-1 62951MAF7 A B-2 62951MAG5 BBB RBSGC Mortgage Loan Trust Series 2005-RP1 Class CUSIP Rating ----- ----- ------ II-A 74927UAK4 AAA II-B-1 74927UAL2 AA II-B-2 74927UAM0 A II-B-3 74927UAN8 BBB II-B-4 74927UAP3 B II-B-5 74927UAQ1 CCC Reperforming Loan REMIC Trust 2003-R1 Series T-054 Class CUSIP Rating ----- ----- ------ 1M 12669UBF6 AA IIM 12669UBJ8 AA IIB1 12669UBK5 A IIB2 12669UBL3 BBB IIB3 12669UBQ2 BB IIB4 12669UBR0 B Structured Asset Securities Corporation Series 2006-RF1 Class CUSIP Rating ----- ----- ------ 1-A 86359DXP7 AAA 1-AIO 86359DXQ5 AAA 2-A 86359DXR3 AAA R 86359DXY8 AAA B1 86359DXS1 AA B2 86359DXT9 A B3 86359DXU6 BBB Structured Asset Securities Corporation Mortgage Loan Trust, Series 2006-RF4 Class CUSIP Rating ----- ----- ------ 2-A1 863911AC7 AAA 2-AX 863911AF0 AAA Structured Asset Securities Corporation Mortgage Loan Trust, Series 2007-RF1 Class CUSIP Rating ----- ----- ------ 1-A 86362CAA2 AAA 1-A-IO 86362CAB0 AAA 2-A 86362CAC8 AAA B1 86362CAD6 AA+ * S&P Downgrades Ratings on 53 Classes from Three RMBS Deals ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 53 classes from three residential mortgage-backed securities transactions backed by U.S. Alternative-A mortgage loan collateral from 2006 and 2007. S&P removed 35 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed 12 ratings from these transactions. 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 at 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. To maintain an '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. 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. S&P monitors these transactions to incorporate updated losses and delinquency pipeline performance to assess whether, in S&P's view, the applicable credit enhancement features are sufficient to support the current ratings. S&P will continue to monitor these transactions and take additional rating actions as S&P think appropriate. Rating Actions Alternative Loan Trust 2006-26CB Series 2006-26CB Rating ------ Class CUSIP To From ----- ----- -- ---- A-5 02147WAE9 CCC B/Watch Neg A-6 02147WAF6 CCC B/Watch Neg A-7 02147WAG4 CCC B/Watch Neg A-8 02147WAH2 B AAA/Watch Neg A-9 02147WAJ8 B AAA/Watch Neg A-10 02147WAK5 CCC B/Watch Neg A-11 02147WAL3 B AAA A-12 02147WAM1 CCC B/Watch Neg A-13 02147WAN9 CCC B A-14 02147WAP4 CCC B/Watch Neg A-15 02147WAQ2 CCC A/Watch Neg A-16 02147WAR0 CCC B/Watch Neg A-17 02147WAS8 CCC A/Watch Neg A-18 02147WAT6 CCC A/Watch Neg A-19 02147WAU3 CCC B/Watch Neg A-20 02147WAV1 CCC A/Watch Neg A-21 02147WAW9 CCC A X 02147WAX7 B AAA PO 02147WAY5 CCC B/Watch Neg M-2 02147WBB4 CC CCC M-3 02147WBC2 CC CCC B-1 02147WBE8 CC CCC Structured Adjustable Rate Mortgage Loan Trust Series 2007-3 Series 2007-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 86363GAA2 CCC BB/Watch Neg 1-A2 86363GAB0 CC B/Watch Neg 1-AX 86363GAC8 CCC BB M-1 86363GAQ7 CC CCC M-2 86363GAR5 CC CCC M-3 86363GAS3 D CCC 2-A1 86363GAD6 B AAA/Watch Neg 2-A2 86363GAE4 CCC B/Watch Neg 3-A1 86363GAF1 B AAA/Watch Neg 3-A2 86363GAG9 CCC B/Watch Neg 3-AX 86363GAH7 B AAA 4-A1 86363GAJ3 B AAA/Watch Neg 4-A2 86363GAK0 B AAA/Watch Neg 4-A3 86363GAL8 BB AAA/Watch Neg 4-A4 86363GAM6 B AAA/Watch Neg 4-A5 86363GAN4 CCC BBB/Watch Neg 4-AX 86363GAP9 BB AAA B3-III 86363GBC7 CC CCC Structured Adjustable Rate Mortgage Loan Trust, Series 2007-5 Series 2007-5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A2 86363XAB3 B AA/Watch Neg 1-A3 86363XAC1 CCC BB/Watch Neg M-1 86363XAL1 CCC B/Watch Neg M-3 86363XAN7 CC CCC 2-A1 86363XAD9 B AAA/Watch Neg 2-A2 86363XAE7 B AA/Watch Neg 2-A3 86363XAF4 B AA/Watch Neg 2-A4 86363XAG2 CCC B/Watch Neg 2-AX 86363XAH0 B AAA 3-A1 86363XAJ6 B AA/Watch Neg 3-A2 86363XAK3 CCC B/Watch Neg B2-II 86363XAU1 CC CCC B3-II 86363XAV9 CC CCC Ratings Affirmed Alternative Loan Trust 2006-26CB Series 2006-26CB Class CUSIP Rating ----- ----- ------ M-1 02147WBA6 CCC Structured Adjustable Rate Mortgage Loan Trust Series 2007-3 Series 2007-3 Class CUSIP Rating ----- ----- ------ 1-AP 86363GBN3 AAA 2-AP 86363GBP8 AAA 3-AP 86363GBQ6 AAA 4-AP 86363GBR4 AAA B1-III 86363GBA1 CCC B2-III 86363GBB9 CCC Structured Adjustable Rate Mortgage Loan Trust, Series 2007-5 Series 2007-5 Class CUSIP Rating ----- ----- ------ 1-A1 86363XAA5 AAA M-2 86363XAM9 CCC 1-AP 86363XBA4 AAA B1-II 86363XAT4 CCC 2-AP 86363XBB2 AAA * S&P Downgrades Ratings on 68 Classes from Six RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 68 classes from six residential mortgage-backed securities transactions backed by U.S. Alternative-A loan collateral issued in 2006 and 2007. S&P removed 36 of the lowered ratings from CreditWatch with negative implications. Lastly, S&P affirmed its ratings on four classes from three of the downgraded transactions. 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 assessing rating outcomes. The lowered ratings reflect S&P's belief that the amount of credit enhancement available for the downgraded classes is not sufficient to cover losses at the previous rating levels. Although cumulative losses were, in S&P's view, generally low in comparison with 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. 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 its base- case loss assumption. 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 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 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 to incorporate updated losses and delinquency pipeline performance to assess whether, in S&P's opinion, 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 2006-J3 Series 2006-J3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 021469AA9 CCC A/Watch Neg 1-A-2 021469AB7 CCC A 1-A-3 021469AC5 CCC BBB/Watch Neg 1-A-4 021469AD3 CCC BBB/Watch Neg 1-A-5 021469AE1 CCC BBB/Watch Neg 1-A-6 021469AF8 CCC BBB/Watch Neg 1-X 021469AN1 CCC A 2-A-1 021469AJ0 CCC BBB/Watch Neg 2-X 021469AP6 CCC BBB 3-A-1 021469AK7 CCC BBB/Watch Neg 3-X 021469AQ4 CCC BBB 4-A-1 021469AL5 CCC BBB/Watch Neg 4-A-2 021469AM3 CCC BBB/Watch Neg 4-X 021469BD2 CCC BBB PO-1 021469AR2 CCC BBB/Watch Neg PO-2 021469AS0 CCC BBB/Watch Neg PO-4 021469BC4 CCC BBB/Watch Neg M 021469AV3 CC CCC B-1 021469AW1 CC CCC B-2 021469AX9 CC CCC Alternative Loan Trust 2007-OA3 Series 2007-OA3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 02150TAA8 AA AAA 1-A-2 02150TAB6 CCC BBB/Watch Neg 1-A-3 02150TAC4 CCC B/Watch Neg 2-A-1 02150TAD2 AA AAA 2-A-2 02150TAE0 CCC BBB/Watch Neg 2-A-3 02150TAF7 CCC B/Watch Neg X 02150TAG5 AA AAA M-1 02150TAK6 CCC B-/Watch Neg M-2 02150TAL4 CC CCC M-3 02150TAM2 CC CCC M-4 02150TAN0 CC CCC M-5 02150TAP5 CC CCC HarborView Mortgage Loan Trust 2006-9 Series 2006-9 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1A 41161XAA4 CCC BBB/Watch Neg 2A-1A 41161XAC0 AA AAA 2A-1B1 41161XAD8 B AAA/Watch Neg 2A-1B2 41161XAN6 B AAA/Watch Neg 2A-1C1 41161XAM8 CCC BBB/Watch Neg 2A-1C2 41161XAP1 A AAA B-1 41161XAE6 CC B/Watch Neg B-2 41161XAF3 CC CCC B-3 41161XAG1 CC CCC B-7 41161XAL0 D CC IndyMac INDX Mortgage Loan Trust 2007-FLX3 Series 2007-FLX3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 45670AAB7 A AAA/Watch Neg A-3 45670AAC5 CCC B/Watch Neg M-1 45670AAE1 CC CCC M-2 45670AAF8 CC CCC M-3 45670AAG6 CC CCC M-4 45670AAH4 CC CCC RALI Series 2006 QO6 Series 2006-Q06 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 75114NAB0 B AAA A-3 75114NAC8 CCC B/Watch Neg M-1 75114NAD6 CC CCC M-2 75114NAE4 CC CCC M-3 75114NAF1 CC CCC M-4 75114NAG9 CC CCC M-5 75114NAH7 CC CCC M-6 75114NAJ3 CC CCC RALI Series 2006-QO5 Trust Series 2006-QO5 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-2 75114HAB3 B AAA/Watch Neg I-A-3 75114HAC1 CCC A/Watch Neg II-A-2 75114HAE7 B AAA/Watch Neg II-A-3 75114HAF4 CCC A/Watch Neg III-A-2 75114HAH0 B AAA/Watch Neg III-A-3 75114HAJ6 B AAA/Watch Neg III-A-4 75114HAK3 B AAA/Watch Neg III-A-5 75114HAL1 CCC A/Watch Neg M-1 75114HAP2 CC BB/Watch Neg M-2 75114HAQ0 CC B/Watch Neg M-3 75114HAR8 CC B-/Watch Neg M-4 75114HAS6 CC CCC Ratings Affirmed IndyMac INDX Mortgage Loan Trust 2007-FLX3 Series 2007-FLX3 Class CUSIP Rating ----- ----- ------ A-1 45670AAA9 AAA RALI Series 2006 QO6 Series 2006-Q06 Class CUSIP Rating ----- ----- ------ A-1 75114NAA2 AAA RALI Series 2006-QO5 Trust Series 2006-QO5 Class CUSIP Rating ----- ----- ------ I-A-1 75114HAA5 AAA II-A-1 75114HAD9 AAA * S&P Downgrades Ratings on 95 Classes from 66 NIM RMBS Deals ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 95 classes from 66 U.S. net interest margin securities residential mortgage-backed securities transactions issued from 2003 through 2007. At the same time, S&P removed eight of the lowered ratings from CreditWatch with negative implications and placed one of the lowered ratings on CreditWatch with negative implications to reflect the rating on the related bond insurer. The rating actions are based on S&P's view that the NIMS are not receiving adequate cash flows to pay the applicable interest and principal amounts due to the NIMS holders. S&P attributes these interest shortfalls to the inability of the underlying transactions to maintain sufficient over collateralization for residual interest to be released to the NIMS. For each of these NIMS transactions, the over collateralization levels for the underlying deals have been below their targets for a period of six months or greater, or the NIMS have experienced interest shortfalls for six months or more. Additionally, based on S&P's observations of the performance trends of the underlying transactions, S&P believes that it is unlikely that residential interest will be available for the NIMS going forward. Standard & Poor's expects to take more ratings actions on NIMS over the next several weeks. Additionally, S&P will continue to monitor NIMS as applicable and adjust the ratings as S&P think appropriate. Rating Actions Alliance NIM Trust 2007-OA1 Series 2007-OA1 Rating ------ Class CUSIP To From ----- ----- -- ---- N-2 Notes 01864QAB1 CC BBB- N-3 Notes 01864QAC9 CC BB N-4 Notes 01864QAD7 CC B Argent NIM 2005-WN3 Series 2005-WN3 Rating ------ Class CUSIP To From ----- ----- -- ---- C 040102AP0 CC B D 040102AQ8 CC B- Argent NIM 2006-M1 Series 2006-M1 Rating ------ Class CUSIP To From ----- ----- -- ---- N1 notes 04012YAA1 CC CCC Argent NIM Trust 2005-WN5 Series 2005-WN5 Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 040102AR6 CC CCC CMO Holdings II Ltd. Series 2005-3-HE3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 125879ED4 CC B- A-3 125879EE2 CC CCC CMO Holdings II Ltd. Series 2005-1 FR1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 125879FW1 CC B A-3 125879FX9 CC CCC CMO Holdings II Ltd. Series 2006-1 BSABS EC1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-3 125879LP9 CC CCC CMO Holdings II Ltd. Series 2006-2-EC2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 125879NA0 CC CCC CMO Holdings II Ltd. Series 2006-2-HE2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 125879NK8 CC CCC CMO Holdings II Ltd. Series 2006-16 Rating ------ Class CUSIP To From ----- ----- -- ---- III-A-4 125879PQ3 CC CCC IV-A-4 125879PU4 CC B-/Watch Neg CMO Holdings III Ltd. Series 2006-20 Rating ------ Class CUSIP To From ----- ----- -- ---- V-A-3 18976VAY9 CC BB/Watch Neg V-A-4 18976VAZ6 CC B/Watch Neg Countrywide Alternative Loan Trust 2004-J13N Series 2004-J13N Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 12667FD93 CC B Countrywide Alternative Loan Trust 2005-IM1N Series 2005-IM1N Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 12668A5D3 CC BBB Countrywide Alternative Loan Trust 2006-OC11N Series 2006-OC11N Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 23246GAB6 CC CCC Countrywide Home Loan Trust 2005-17N Series 2005-17N Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 126670SH2 CC CCC Countrywide Home Loan Trust 2006-14N Series 2006-14N Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 232432AA2 CC CCC CSFB NIMs Trust 2004-FRE1 NIM 29 Series 2004-FRE1 NIM29 Rating ------ Class CUSIP To From ----- ----- -- ---- A 12633PCL6 CC B CSFB NIMs Trust HEAT 2005-1 NIM34 Series 2005-1NIM3 Rating ------ Class CUSIP To From ----- ----- -- ---- A 12633PDA9 CC CCC CSFB NIMs Trust HEAT 2005-3 NIM36 Series 2005-3 Rating ------ Class CUSIP To From ----- ----- -- ---- A 12633PDG6 CC B- CSFB NIMS TRUST HEAT 2005-5 NIM38 Series 2005-5 Rating ------ Class CUSIP To From ----- ----- -- ---- A 12633PDS0 CC CCC B 12633PDT8 CC CCC CWABS 2006-BC3N Series CAYMAN 2006-BC3N Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 12666WAA7 CC CCC FFML CAYMAN NIM 2007-FF1-FF2, LTD. Series 2007-FF1-FF2 Rating ------ Class CUSIP To From ----- ----- -- ---- N1 302433AA5 CC CCC FFMLT 2005-FF8-N Ltd. Series 2005-FF8-N Rating ------ Class CUSIP To From ----- ----- -- ---- N1 302446AA7 CC CCC N2 302446AB5 CC CCC FFMLT 2006-FF13-N Ltd. Series 2006-FF13-N Rating ------ Class CUSIP To From ----- ----- -- ---- N1 30247YAA3 CC CCC FFMLT 2006-FF3-N Ltd. Series 2006-FF3 Rating ------ Class CUSIP To From ----- ----- -- ---- N1 31561AAA1 CC CCC FFMLT 2006-FF4-N Ltd. Series 2006-FF4-N Rating ------ Class CUSIP To From ----- ----- -- ---- N1 302448AA3 CC CCC First Franklin CI-17 Series 2006-FF16 Rating ------ Class CUSIP To From ----- ----- -- ---- N1 320294AA9 CC BB GSAA 2006-NIM6 Ltd. Series 2006-NIM6 Rating ------ Class CUSIP To From ----- ----- -- ---- N2 362391AB0 CC B-/Watch Neg GSAA Home Equity Trust 2006-NIM2 Series 2006-NIM2 Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 362334CJ1 CC B GSAA Home Equity Trust 2007-NIM2 Series 2007-NIM2 Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 3622E6AA7 CC A GSAMP 2005-HE6-N Ltd. Series 2005-HE6-N Rating ------ Class CUSIP To From ----- ----- -- ---- N1 36294KAA2 CC CCC N2 36294KAB0 CC CCC GSAMP 2006-HE1-N Ltd. Series 2006-HE1-N Rating ------ Class CUSIP To From ----- ----- -- ---- N1 36297RAA4 CC CCC GSAMP 2006-HE7-N Ltd. Series 2006-HE7-N Rating ------ Class CUSIP To From ----- ----- -- ---- N1 3622MXAA9 CC CCC HASCO NIM (Cayman) Company 2006-OPT1 Series 2006-OPT1 Rating ------ Class CUSIP To From ----- ----- -- ---- A notes 418093AE0 CC CCC HASCO NIM (Cayman) Company 2007-OPT1 Series 2007-OPT1 Rating ------ Class CUSIP To From ----- ----- -- ---- A notes 41809XAA2 CC CCC HSBC NIM Cayman Company 2006-FF1 Series 2006-FF1 Rating ------ Class CUSIP To From ----- ----- -- ---- C notes 404291AC0 CC CCC IMPAC NIM Trust 2005-2N Series 2005-2N Rating ------ Class CUSIP To From ----- ----- -- ---- N 45254TTG9 CC CCC IndyMac NIM Trust INABS 2005-A Series 2005-A Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 45660TAH5 CC CCC IndyMac NIM Trust INABS 2005-B Series 2005-B Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 45660TAJ1 CC B IXIS Real Estate Capital Inc. NIM 2005-HE4N Series 2005-HE4N Rating ------ Class CUSIP To From ----- ----- -- ---- N-1 46602NAA2 CC B+ N-2 46602NAB0 CC B- Lehman XS NIM Company 2006-AR8 Series 2006-AR8 Rating ------ Class CUSIP To From ----- ----- -- ---- A-3 notes 52523TAB1 CC BB-/Watch Neg A-4 notes 52523TAC9 CC B/Watch Neg Long Beach Asset Holdings Corp. CI 2006-WL2 Series 2006-WL2 Rating ------ Class CUSIP To From ----- ----- -- ---- N-1 54240KAA0 CC CCC N-2 54240KAB8 BB-/Watch Neg BBB+ MASTR Alternative Loan NIM 2007-HF2 Series 2007-HF2 Rating ------ Class CUSIP To From ----- ----- -- ---- N1 55291UAA3 CC A N2 55291UAB1 CC BBB- N3 55291UAC9 CC BB- MASTR CI-11 Series 2005-FF7 Rating ------ Class CUSIP To From ----- ----- -- ---- N1 57644CAA3 CC B N2 57644CAB1 CC B MASTR CI-14 Series 2006-WF1 Rating ------ Class CUSIP To From ----- ----- -- ---- N3 57644QAC8 CC CCC MASTR CI-15 Series 2006-NC1 Rating ------ Class CUSIP To From ----- ----- -- ---- N1 notes 57644NAA9 CC CCC Merrill Lynch Mortgage Investors NIM Trust, Series 2005-FF6 Series 2005-FF6 Rating ------ Class CUSIP To From ----- ----- -- ---- N1 59022MAL5 CC CCC MLMI Cayman NIM 2006-AMC1, Ltd. Series 2006-AMC1 Rating ------ Class CUSIP To From ----- ----- -- ---- N2 60687TAB6 CC B N3 60687QAA4 CC CCC New Century Cayman 2005-B Series 2005-B NIM Rating ------ Class CUSIP To From ----- ----- -- ---- N-2 64353WAB4 CC B Park Place NIM 2004-MHQN1 Series 2004-MHQN1 Rating ------ Class CUSIP To From ----- ----- -- ---- F 70069QAF0 CC CCC Park Place NIM 2005-WCWN1 Series 2005-WCWN1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 70069VAA0 CC B B 70069VAB8 CC B Park Place NIM 2005-WHQN3 Series 2005WHQN3 Rating ------ Class CUSIP To From ----- ----- -- ---- C 70070CAC5 CC B D 70070CAD3 CC B- SASCO ARC Company Series 2003-12 Rating ------ Class CUSIP To From ----- ----- -- ---- A 80382SBC1 CC BB/Watch Neg B 80382SBD9 CC B/Watch Neg SASCO ARC Company Series 2004-11 Rating ------ Class CUSIP To From ----- ----- -- ---- B 80382QBL5 CC BB+ SASCO ARC Company Series 2004-23XS Rating ------ Class CUSIP To From ----- ----- -- ---- A 80382SDH8 CC CCC SB Finance CI 05 ARW2 Series 2005-ARW2 Rating ------ Class CUSIP To From ----- ----- -- ---- N-1 80585AAA0 CC B N-2 80585AAB8 CC B N-3 80585AAC6 CC CCC N-4 80585AAD4 CC CCC SB Finance CI-05-OPT4 Series 2005-OPT4 Rating ------ Class CUSIP To From ----- ----- -- ---- N-1 78390UAA5 CC B N-2 78390UAB3 CC B SB Finance NIM Trust 2007-AMC1 Series 2007-AMC1 Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 78391JAA9 CC A- Securitized Asset Backed NIM Trust 2005-FR2 Series 2005-FR2 Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 81375XAM6 CC CCC Sharps SP I LLC Net Interest Margin Trust 2003-2XSN Series 2003-2XSN Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 820018AF6 CC B- Soundview CI-19 Series 2006-WF1 Rating ------ Class CUSIP To From ----- ----- -- ---- N1 notes 836138AA5 CC BB- Soundview CI-26 Series 2007-OPT2 Rating ------ Class CUSIP To From ----- ----- -- ---- N1 83613QAA5 CC A N2 83613QAB3 CC B N3 83613PAA7 CC CCC Soundview CI-28 Series 2007-OPT4 Rating ------ Class CUSIP To From ----- ----- -- ---- N2 83614GAB4 CC BBB+ N3 83614GAC2 CC BBB SURF Cayman NIM 2007-AB1, LTD Series 2007-AB1 Rating ------ Class CUSIP To From ----- ----- -- ---- N1 868743AA3 CC B+ N2 868743AB1 CC B Terwin Cayman NIM 2005-2 Ltd. Series TMTS2005-2 Rating ------ Class CUSIP To From ----- ----- -- ---- N1 88155QAA8 CC CCC N2 88155QAB6 CC CCC Washington Mutual WMABS Corp. CI Series 2006-HE1 Series 2006-HE1 Rating ------ Class CUSIP To From ----- ----- -- ---- N-1 notes 93934GAA8 CC CCC * S&P Downgrades Ratings on 110 Tranches from 11 Trust CDO Deals ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 110 tranches from 11 U.S. trust preferred collateralized debt obligation transactions and removed them from CreditWatch with negative implications. Concurrently, S&P affirmed its ratings on three tranches from two transactions and removed them from CreditWatch with negative implications. In addition, S&P withdrew its rating on the class C-2 combo notes from Taberna Preferred Funding VII Ltd. following their full paydown. The downgraded CDO tranches have a combined issuance amount of $7.2 billion. The downgrades of the trust preferred CDO tranches 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 the current economic dislocation continues, as reflected in S&P's recent downgrades 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. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Dekania CDO II Ltd. A-2 AA+ AAA/Watch Neg Dekania CDO II Ltd. B A+ AA/Watch Neg Dekania CDO II Ltd. C-1 BB+ A-/Watch Neg Dekania CDO II Ltd. C-2 BB+ A-/Watch Neg Dekania CDO II Ltd. D-1 B+ BBB/Watch Neg Dekania CDO II Ltd. D-2 B+ BBB/Watch Neg ICONS Ltd. A AA AAA/Watch Neg ICONS Ltd. B A+ AA/Watch Neg ICONS Ltd. C-1 BBB A/Watch Neg ICONS Ltd. C-2 BBB A/Watch Neg ICONS Ltd. C-3 BBB A/Watch Neg ICONS Ltd. D BB+ BBB/Watch Neg TABERNA Preferred Funding I Ltd. A-1A B AAA/Watch Neg TABERNA Preferred Funding I Ltd. A-1B B AAA/Watch Neg TABERNA Preferred Funding I Ltd. A-2 CCC+ AAA/Watch Neg TABERNA Preferred Funding I Ltd. B-1 CCC AA/Watch Neg TABERNA Preferred Funding I Ltd. B-2 CCC AA/Watch Neg TABERNA Preferred Funding I Ltd. C-1 CCC- BBB+/Watch Neg TABERNA Preferred Funding I Ltd. C-2 CCC- BBB+/Watch Neg TABERNA Preferred Funding I Ltd. C-3 CCC- BBB+/Watch Neg TABERNA Preferred Funding I Ltd. D CC BBB-/Watch Neg TABERNA Preferred Funding I Ltd. E CC BB+/Watch Neg TABERNA Preferred Funding I Ltd. Series I CCC- BBB+/Watch Neg TABERNA Preferred Funding I Ltd. Series II CC BBB+/Watch Neg TABERNA Preferred Funding I Ltd. Series III CC BB+/Watch Neg TABERNA Preferred Funding I Ltd. Series IV CC BBB-/Watch Neg TABERNA Preferred Funding I Ltd. Series V CCC AAA/Watch Neg TABERNA Preferred Funding I Ltd. Series VI CCC+ AAA/Watch Neg TABERNA Preferred Funding II Ltd. I Comb CC CCC/Watch Neg TABERNA Preferred Funding II Ltd. II Comb CC BB+/Watch Neg TABERNA Preferred Funding II Ltd. A-1A B- AAA/Watch Neg TABERNA Preferred Funding II Ltd. A-1B B- AAA/Watch Neg TABERNA Preferred Funding II Ltd. A-1C B- AAA/Watch Neg TABERNA Preferred Funding II Ltd. A-2 CCC AA/Watch Neg TABERNA Preferred Funding II Ltd. B CCC- A+/Watch Neg TABERNA Preferred Funding II Ltd. C-1 CC BB+/Watch Neg TABERNA Preferred Funding II Ltd. C-2 CC BB+/Watch Neg TABERNA Preferred Funding II Ltd. C-3 CC BB+/Watch Neg TABERNA Preferred Funding II Ltd. D CC B+/Watch Neg TABERNA Preferred Funding II Ltd. E-1 CC CCC/Watch Neg TABERNA Preferred Funding II Ltd. E-2 CC CCC/Watch Neg TABERNA Preferred Funding II Ltd. F CC CCC-/Watch Neg TABERNA Preferred Funding II Ltd. III Comb CCC- A+/Watch Neg TABERNA Preferred Funding III Ltd. A-1A BB- AAA/Watch Neg TABERNA Preferred Funding III Ltd. A-1B BB- AAA/Watch Neg TABERNA Preferred Funding III Ltd. A-1C BB- AAA/Watch Neg TABERNA Preferred Funding III Ltd. A-2A B- AAA/Watch Neg TABERNA Preferred Funding III Ltd. A-2B CCC+ AAA/Watch Neg TABERNA Preferred Funding III Ltd. B-1 CCC- AA-/Watch Neg TABERNA Preferred Funding III Ltd. B-2 CCC- AA-/Watch Neg TABERNA Preferred Funding III Ltd. C-1 CC BB+/Watch Neg TABERNA Preferred Funding III Ltd. C-2 CC BB+/Watch Neg TABERNA Preferred Funding III Ltd. D CC CCC+/Watch Neg TABERNA Preferred Funding III Ltd. E CC CCC-/Watch Neg TABERNA Preferred Funding IV Ltd. A-1 BB+ AAA/Watch Neg TABERNA Preferred Funding IV Ltd. A-2 B- AAA/Watch Neg TABERNA Preferred Funding IV Ltd. A-3 CCC+ AAA/Watch Neg TABERNA Preferred Funding IV Ltd. B-1 CCC- AA/Watch Neg TABERNA Preferred Funding IV Ltd. B-2 CCC- AA/Watch Neg TABERNA Preferred Funding IV Ltd. C-1 CC BB+/Watch Neg TABERNA Preferred Funding IV Ltd. C-2 CC BB+/Watch Neg TABERNA Preferred Funding IV Ltd. C-3 CC BB+/Watch Neg TABERNA Preferred Funding IV Ltd. D-1 CC CCC+/Watch Neg TABERNA Preferred Funding IV Ltd. D-2 CC CCC+/Watch Neg TABERNA Preferred Funding IV Ltd. E CC CCC-/Watch Neg Taberna Preferred Funding IX Ltd. A-1LA BBB+ AAA/Watch Neg Taberna Preferred Funding IX Ltd. A-1LAD BBB+ AAA/Watch Neg Taberna Preferred Funding IX Ltd. A-1LB BB+ AAA/Watch Neg Taberna Preferred Funding IX Ltd. A-2LA BB AA+/Watch Neg Taberna Preferred Funding IX Ltd. A-2LB B- AA/Watch Neg Taberna Preferred Funding IX Ltd. A-3LA CCC+ A/Watch Neg Taberna Preferred Funding IX Ltd. A-3LB CCC+ A-/Watch Neg Taberna Preferred Funding IX Ltd. B-1L CCC- BBB/Watch Neg Taberna Preferred Funding IX Ltd. B-2L CCC- BB/Watch Neg Taberna Preferred Funding V, Ltd. A-1LA BB- AAA/Watch Neg Taberna Preferred Funding V, Ltd. A-1LAD BB- AAA/Watch Neg Taberna Preferred Funding V, Ltd. A-1LB CCC+ AAA/Watch Neg Taberna Preferred Funding V, Ltd. A-2L CCC- AA/Watch Neg Taberna Preferred Funding V, Ltd. A-3FV CC B+/Watch Neg Taberna Preferred Funding V, Ltd. A-3FX CC B+/Watch Neg Taberna Preferred Funding V, Ltd. A-3L CC B+/Watch Neg Taberna Preferred Funding V, Ltd. B-1L CC CCC-/Watch Neg Taberna Preferred Funding VI Ltd. A-1A BBB- AAA/Watch Neg Taberna Preferred Funding VI Ltd. A-1B BBB- AAA/Watch Neg Taberna Preferred Funding VI Ltd. A-2 B- AAA/Watch Neg Taberna Preferred Funding VI Ltd. B CCC+ AA/Watch Neg Taberna Preferred Funding VI Ltd. C CCC- A/Watch Neg Taberna Preferred Funding VI Ltd. Comb Notes CC CCC-/Watch Neg Taberna Preferred Funding VI Ltd. D-1 CC BB/Watch Neg Taberna Preferred Funding VI Ltd. D-2 CC BB/Watch Neg Taberna Preferred Funding VI Ltd. E-1 CC CCC/Watch Neg Taberna Preferred Funding VI Ltd. E-2 CC CCC/Watch Neg Taberna Preferred Funding VI Ltd. F-1 CC CCC-/Watch Neg Taberna Preferred Funding VI Ltd. F-2 CC CCC-/Watch Neg Taberna Preferred Funding VII, Ltd. A-1LA BBB- AAA/Watch Neg Taberna Preferred Funding VII, Ltd. A-1LB B- AAA/Watch Neg Taberna Preferred Funding VII, Ltd. A-2LA CCC AA/Watch Neg Taberna Preferred Funding VII, Ltd. A-2LB CCC- AA/Watch Neg Taberna Preferred Funding VII, Ltd. A-3L CC BBB+/Watch Neg Taberna Preferred Funding VII, Ltd. B-1L CC BB/Watch Neg Taberna Preferred Funding VII, Ltd. B-2L CC CCC/Watch Neg Taberna Preferred Funding VII, Ltd. C-1(combo) CC BB/Watch Neg Taberna Preferred Funding VIII Ltd. A-1A A+ AAA/Watch Neg Taberna Preferred Funding VIII Ltd. A-1B A+ AAA/Watch Neg Taberna Preferred Funding VIII Ltd. A-2 BB+ AAA/Watch Neg Taberna Preferred Funding VIII Ltd. B B AA/Watch Neg Taberna Preferred Funding VIII Ltd. C CCC+ A/Watch Neg Taberna Preferred Funding VIII Ltd. D CCC BBB+/Watch Neg Taberna Preferred Funding VIII Ltd. E CCC- BBB-/Watch Neg Taberna Preferred Funding VIII Ltd. F CCC- B+/Watch Neg Rating Affirmed And Removed From Creditwatch Negative Rating ------ Transaction Class To From ----------- ----- -- ---- Dekania CDO II Ltd. A-1 AAA AAA/Watch Neg Dekania CDO II Ltd. Combo Nts BBB BBB/Watch Neg I-PreTSL II Combination, Ltd. Def Comb A- A-/Watch Neg Rating Withdrawn Rating ------ Transaction Class To From ----------- ----- -- ---- Taberna Preferred Funding VII Ltd. C-2(combo) NR A/Watch Neg Other Ratings Reviewed Transaction Class Rating ----------- ----- ------ TABERNA Preferred Funding II Ltd. P-1 Comb S AAA TABERNA Preferred Funding II Ltd. P-2 Comb S AAA TABERNA Preferred Funding II Ltd. P-3 Comb S AAA Taberna Preferred Funding V, Ltd. B-2FX CC Taberna Preferred Funding V, Ltd. B-2L CC NR -- Not rated. * S&P Downgrades Ratings on 120 Classes from Nine Alt-A and RMBS ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 120 classes from nine U.S. Alternative-A and prime jumbo residential mortgage-backed securities transactions issued in 2004 and 2005. S&P removed 72 of the lowered ratings from CreditWatch with negative implications. Concurrently, S&P affirmed its ratings on 18 other classes of certificates from various transactions and removed seven of the affirmed ratings from CreditWatch with negative implications. Six of the downgrades and three of the affirmations affected one U.S. prime jumbo transaction. The remaining rating actions affected various U.S. Alternative-A RMBS transactions. For the U.S. prime jumbo deal, to assess the creditworthiness of each class, S&P reviewed the individual delinquency and loss trends of the 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 its 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 affecting the prime jumbo transaction reflect S&P's opinion that the amount of credit enhancement and projected credit support available for the downgraded classes is insufficient to cover losses at the previous rating levels. The subordination of the more-junior classes provides credit support for the prime jumbo transaction. The collateral for this transaction consists of adjustable-rate prime jumbo mortgage loans secured by one- to four-family residential properties. For the Alternative-A RMBS deals, 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 with 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 on both the prime jumbo and Alternative-A transactions 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 on both the prime jumbo and Alternative-A 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. For the Alternative-A deals, subordination of 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, negative- amortization residential mortgage loans secured by one- to four- family properties. For the Alternative-A deals, 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 to incorporate updated losses and delinquency pipeline performance to assess whether, in S&P's view, the applicable credit enhancement features are sufficient to support the current ratings. S&P will continue to monitor these transactions and take additional rating actions as S&P think appropriate. Rating Actions Alternative Loan Trust 2005-41 Series 2005-41 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12667GR62 B AAA 1-A-2B 12667GW25 B AAA/Watch Neg 1-A-2C 12667GW33 B AAA/Watch Neg 2-A-1 12667GR96 B AAA/Watch Neg 2-A-2 12667GS20 B AA 2-A-3 12667G3K7 B AAA/Watch Neg 1-X 12667GR88 B AAA 2-X-1 12667GS38 B AAA 2-X-2 12667GS46 B AAA M 12667GS53 CCC BBB/Watch Neg B-1 12667GS61 CC B/Watch Neg B-2 12667GS79 CC CCC Alternative Loan Trust 2005-56 Series 2005-56 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12668AGN9 B AAA 1-A-2 12668AGP4 CCC BBB/Watch Neg 1-A-3 12668AGQ2 CCC B/Watch Neg 1-X 12668AGR0 CCC AAA 2-A-1 12668AGS8 CCC BBB 2-A-2 12668AGT6 CCC BBB 2-A-3 12668ALV5 CCC BBB 2-A-4 12668ALW3 CCC B/Watch Neg 2-x-1 12668AGU3 CCC BBB 2-X-2 12668AGV1 CCC BBB 3-A-1 12668AGW9 CCC BBB 3-A-2 12668AGX7 CCC BBB-/Watch Neg 3-A-3 12668AGY5 CCC BB/Watch Neg 3-X 12668AGZ2 CCC BBB 4-A-1 12668AHA6 CCC BBB 4-A-2 12668AHB4 CCC BB/Watch Neg 4-A-3 12668AHC2 CCC B/Watch Neg 4-X 12668AHD0 CCC BBB 5-A-1 12668AHE8 CCC BBB 5-A-2 12668AHF5 CCC BBB 5-A-3 12668AHG3 CCC BB/Watch Neg 5-A-4 12668ALX1 CCC B/Watch Neg M-2 12668ALZ6 CC CCC M-3 12668AMA0 CC CCC M-4 12668AMB8 CC CCC M-5 12668AMC6 CC CCC Alternative Loan Trust 2005-59 Series 2005-59 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12668AEV3 A AAA 1-A-2A 12668AEW1 B AAA/Watch Neg 1-A-2B 12668ARG2 AA AAA/Watch Neg 1-A-2C 12668ARH0 B AAA/Watch Neg 1-A-3B 12668ARJ6 CCC BBB/Watch Neg 1-X 12668AEY7 A AAA 2-X 12668ASJ5 AA AAA M 12668AEZ4 CCC B/Watch Neg B-1 12668AFA8 CC CCC CHL Mortgage Pass-Through Trust 2005-2 Series 2005-2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12669GPN5 AAA AAA/Watch Neg 1-A-2 12669GPP0 B AAA/Watch Neg 2-A-2 12669GPS4 B AAA/Watch Neg 2-A-3 12669GPT2 AAA AAA/Watch Neg 2-A-4 12669GPU9 B AAA/Watch Neg M-X 12669GPY1 CCC AAA M-1 12669GPX3 CCC AA+/Watch Neg M-2 12669GSF9 CCC AA+/Watch Neg M-3 12669GSG7 CCC A/Watch Neg M-4 12669GSH5 CCC BB/Watch Neg M-5 12669GSJ1 CCC B/Watch Neg M-6 12669GSK8 CCC B-/Watch Neg M-7 12669GSL6 CC CCC M-8 12669GSM4 CC CCC B-1 12669GPZ8 CC CCC B-2 12669GQA2 CC CCC CHL Mortgage Pass-Through Trust 2005-3 Series 2005-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12669GTP6 B AAA/Watch Neg 1-A-2 12669GTQ4 AAA AAA/Watch Neg 1-A-4 12669GTS0 AAA AAA/Watch Neg 1-A-5 12669GTT8 B AAA/Watch Neg 2-A-1 12669GTV3 AAA AAA/Watch Neg 2-A-2 12669GTW1 B AAA/Watch Neg M-1 12669GUA7 CCC AA+/Watch Neg M-2 12669GUB5 CCC AA+/Watch Neg M-3 12669GVZ1 CCC AA+/Watch Neg M-4 12669GWA5 CCC AA/Watch Neg M-5 12669GWB3 CCC A+/Watch Neg M-6 12669GWC1 CC A/Watch Neg M-7 12669GWD9 CC BBB+/Watch Neg B-1 12669GUC3 CC BBB/Watch Neg B-2 12669GUD1 CC BBB/Watch Neg B-3 12669GUE9 CC BB/Watch Neg DSLA Mortgage Loan Trust 2004-AR1 Series 2004-AR1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1B 23332UAB0 AA AAA A-2B 23332UAD6 AA AAA B-1 23332UAH7 BB AA+ B-2 23332UAJ3 CCC A+ B-3 23332UAK0 CCC BBB B-4 23332UAL8 CC B GreenPoint MTA Trust 2005-AR2 Series 2005-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 39538RBB4 AAA AAA/Watch Neg A-2 39538RBC2 B+ AAA/Watch Neg A-3 39538RBD0 B AAA/Watch Neg X-1 39538RBE8 AAA AAA/Watch Neg M-X 39538RBF5 CCC AAA/Watch Neg M-1 39538RBG3 CCC AA+/Watch Neg M-2 39538RBH1 CCC AA+/Watch Neg M-3 39538RBJ7 CC AA+/Watch Neg M-4 39538RBK4 CC AA+/Watch Neg M-5 39538RBL2 CC AA/Watch Neg M-6 39538RBM0 CC AA/Watch Neg Harborview Mortgage Loan Trust 2005-10 Series 2005-10 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1A 41161PTL7 B AAA/Watch Neg 1-A-1B 41161PTM5 A AAA/Watch Neg 2-A1A 41161PTN3 B AAA 2-A1B 41161PTP8 B AAA/Watch Neg 2-A1C1 41161PTQ6 A AAA/Watch Neg 2-A1C2 41161PTR4 B AAA/Watch Neg X 41161PTS2 B AAA PO 41161PTT0 B AAA B-1 41161PTV5 CCC A/Watch Neg B-2 41161PTW3 CCC BB/Watch Neg B-3 41161PTX1 CCC B/Watch Neg B-4 41161PTY9 CC CCC B-5 41161PTZ6 CC CCC B-6 41161PUA9 CC CCC B-7 41161PUB7 CC CCC B-10 41161PUE1 D CC WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust Series 2005-AR19 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1C3 92925CBH4 A AAA A-1C4 92925CBJ0 A AAA B-1 92925CBL5 B AA+/Watch Neg B-2 92925CBM3 CCC AA/Watch Neg B-3 92925CBN1 CCC AA/Watch Neg B-4 92925CBP6 CCC AA-/Watch Neg B-5 92925CBQ4 CCC A+/Watch Neg B-6 92925CBR2 CCC A/Watch Neg B-7 92925CBS0 CCC BBB+/Watch Neg B-8 92925CBT8 CC BBB/Watch Neg B-9 92925CBU5 CC BBB-/Watch Neg B-10 92925CBW1 CC BB+/Watch Neg B-11 92925CBX9 CC BB/Watch Neg B-12 92925CBY7 CC BB-/Watch Neg B-13 92925CBZ4 D B/Watch Neg Ratings Affirmed Alternative Loan Trust 2005-56 Series 2005-56 Class CUSIP Rating ----- ----- ------ M-X 12668AHK4 CCC M-1 12668ALY9 CCC CHL Mortgage Pass-Through Trust 2005-2 Series 2005-2 Class CUSIP Rating ----- ----- ------ 2-A-1 12669GPR6 AAA DSLA Mortgage Loan Trust 2004-AR1 Series 2004-AR1 Class CUSIP Rating ----- ----- ------ A-1A 23332UAA2 AAA A-2A 23332UAC8 AAA X-2 23332UAF1 AAA WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust Class CUSIP Rating ----- ----- ------ A-1A1 92925CBA9 AAA A-1A2 92925CBB7 AAA A-1B2 92925CBD3 AAA A-1B3 92925CBE1 AAA X 92925CBK7 AAA * S&P Downgrades Ratings on 147 Classes from 14 RMBS Deals ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 147 classes from 14 residential mortgage-backed securities transactions backed by U.S. Alternative-A loan collateral issued in 2005, 2006, and 2007. S&P removed 106 of the lowered ratings from CreditWatch with negative implications. Concurrently, S&P affirmed its ratings on 17 classes from the same transactions and removed six of the affirmed ratings from CreditWatch negative. In addition, S&P placed three ratings on CreditWatch with negative implications. 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 assessing rating outcomes. The lowered ratings reflect S&P's belief that the amount of credit enhancement available for the downgraded classes is not sufficient to cover losses at the previous rating levels. Although cumulative losses were, in S&P's view, generally low in comparison with 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. 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 consider whether a bond is able to withstand S&P's base-case loss assumption. 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 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 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 to incorporate updated losses and delinquency pipeline performance to assess whether, in S&P's opinion, 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 2005-32T1 Series 2005-32T1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 12667GC68 B AAA/Watch Neg A-2 12667GC76 B AAA/Watch Neg A-3 12667GC84 B AAA/Watch Neg A-4 12667GC92 B AAA/Watch Neg A-5 12667GD26 B AAA/Watch Neg A-6 12667GD34 B AAA/Watch Neg A-7 12667GD42 B AAA/Watch Neg A-8 12667GD59 B AAA/Watch Neg A-9 12667GD67 B AAA/Watch Neg A-10 12667GD75 B AAA/Watch Neg PO 12667GD83 B AAA/Watch Neg M 12667GE25 CCC AA/Watch Neg B-1 12667GE33 CCC A/Watch Neg B-2 12667GE41 CC BBB/Watch Neg B-3 12667GE58 CC BB/Watch Neg Alternative Loan Trust 2005-J8 Series 2005-J8 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12667GH89 AA AAA/Watch Neg 1-A-2 12667GH97 AA AAA 1-A-3 12667GJ20 AA AAA/Watch Neg 1-A-4 12667GJ38 AA AAA/Watch Neg 1-A-6 12667GR54 AA AAA/Watch Neg 2-A-1 12667GJ53 AA AAA/Watch Neg X-B 12667GJ79 AA AAA PO-A 12667GJ87 AAA AAA/Watch Neg PO-B 12667GJ95 AAA AAA/Watch Neg M 12667GK36 B AA/Watch Neg B-1 12667GK44 CCC A/Watch Neg B-2 12667GK51 CCC BBB/Watch Neg B-3 12667GK69 CC BB/Watch Neg B-4 12667GK77 CC B/Watch Neg Alternative Loan Trust 2006-OA6 Series 2006-OA6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1A 12668BD91 B AAA/Watch Neg 1A-1B 12668BE25 CCC BBB/Watch Neg 1A-2 12668BE33 BBB AAA 1A-3 12668BE41 B+ AAA/Watch Neg 1A-4A 12668BE58 CCC BBB/Watch Neg 1A-4B 12668BE66 AAA AAA/Watch Neg 1A-4C 12668BE74 CCC BBB/Watch Neg 1A-4D 12668BE82 CCC BBB/Watch Neg 2-A 12668BE90 CCC BBB/Watch Neg M-1 12668BF24 CC B/Watch Neg M-2 12668BF32 CC B-/Watch Neg M-3 12668BF40 CC B-/Watch Neg M-4 12668BF57 CC CCC Alternative Loan Trust 2007-OA4 Series 2007-OA4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 02150DAB1 B+ AAA A-3 02150DAC9 B AAA/Watch Neg M-1 02150DAD7 CCC AA+/Watch Neg M-2 02150DAE5 CC AA/Watch Neg M-3 02150DAF2 CC AA-/Watch Neg M-4 02150DAG0 CC A+/Watch Neg M-5 02150DAH8 CC A-/Watch Neg M-6 02150DAJ4 CC BBB+/Watch Neg M-7 02150DAK1 CC BB/Watch Neg M-8 02150DAL9 CC B/Watch Neg M-9 02150DAM7 CC CCC American Home Mortgage Investment Trust 2007-1 Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 026932AD5 B AA A-3 026932AE3 CCC B/Watch Neg M-2 026932AH6 CC CCC M-3 026932AJ2 CC CCC M-4 026932AK9 CC CCC M-5 026932AL7 CC CCC M-6 026932AM5 CC CCC CSAB Mortgage Backed Trust 2006-4 Series 2006-4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1-A 12628LAA8 AAA AAA/Watch Neg A-1-B 12628LAB6 AAA AAA/Watch Neg A-1-C 12628LAC4 A+ AAA/Watch Neg A-1-D 12628LAY6 A+ AAA/Watch Neg A-2-A 12628LAD2 BB AAA/Watch Neg A-2-B 12628LAE0 BB AAA/Watch Neg A-3 12628LAF7 B AAA/Watch Neg A-4 12628LAG5 AAA/Watch Neg AAA A-5 12628LAH3 B AA/Watch Neg A-6-A 12628LAJ9 B AAA/Watch Neg A-6-B 12628LAK6 B AA/Watch Neg M-1-A 12628LAM2 CCC BB/Watch Neg M-1-B 12628LAN0 CCC BB/Watch Neg M-2 12628LAP5 CC B/Watch Neg M-3 12628LAQ3 CC B/Watch Neg M-4 12628LAR1 CC B/Watch Neg M-5 12628LAS9 CC CCC First Horizon Alternative Mortgage Securities Trust 2005-FA11 Series 2005-FA11 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 32051GL37 B AAA/Watch Neg I-A-2 32051GL45 B AAA/Watch Neg I-A-3A 32051GL52 AA AAA/Watch Neg I-A-3B 32051GL60 B AAA/Watch Neg I-A-4A 32051GL78 AA AAA/Watch Neg I-A-4B 32051GL86 B AAA/Watch Neg I-A-5 32051GL94 B AAA/Watch Neg I-A-6 32051GM28 B AAA/Watch Neg I-A-7 32051GM36 B AAA/Watch Neg I-A-PO 32051GM44 B AAA/Watch Neg II-A-1 32051GM69 B AAA/Watch Neg II-A-PO 32051GM77 B AAA/Watch Neg B-1 32051GM85 CCC AA/Watch Neg B-2 32051GM93 CCC A/Watch Neg B-3 32051GN27 CC BBB/Watch Neg B-4 32051GK53 CC BB/Watch Neg HarborView Mortgage Loan Trust 2006-12 Series 2006-12 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1A 41162DAA7 CCC BBB/Watch Neg 2A-1A1 41162DAB5 AAA AAA/Watch Neg 2A-1A2 41162DAC3 BBB AAA/Watch Neg 2A-1A3 41162DAD1 B AAA/Watch Neg 2A-1B 41162DAE9 AAA/Watch Neg AAA 2A-2A 41162DAF6 AA AAA 2A-2B 41162DAG4 B AAA/Watch Neg 2A-2C 41162DAH2 AAA/Watch Neg AAA B-1 41162DAJ8 CCC B/Watch Neg B-2 41162DAK5 CC CCC B-3 41162DAL3 CC CCC B-4 41162DAM1 CC CCC HarborView Mortgage Loan Trust 2006-7 Series 2006-7 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A 41161VAA8 B AAA/Watch Neg 2A-1A 41161VAC4 BBB AAA 2A-1B 41161VAD2 B+ AAA/Watch Neg 2A-1C 41161VAE0 A AAA/Watch Neg B-1 41161VAF7 CCC BB/Watch Neg B-2 41161VAG5 CC B/Watch Neg B-3 41161VAH3 CC CCC B-4 41161VAJ9 CC CCC B-5 41161VAK6 CC CCC HarborView Mortgage Loan Trust 2006-8 Series 2006-8 Rating ------ Class CUSIP To From ----- ----- -- ---- 2A-1B 41161GAD5 BB AAA/Watch Neg 1A-1 41161GAA1 B AAA/Watch Neg 2A-1A 41161GAC7 A AAA 2A-1C 41161GAE3 B AAA/Watch Neg B-1 41161GAF0 CCC AA/Watch Neg B-2 41161GAG8 CCC BBB/Watch Neg B-3 41161GAH6 CC BBB/Watch Neg B-4 41161GAJ2 CC BB/Watch Neg B-5 41161GAK9 CC B/Watch Neg B-6 41161GAL7 CC CCC HarborView Mortgage Loan Trust 2007-3 Series 2007-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1A 41164UAA7 CCC B/Watch Neg 2A-1A 41164UAB5 BB AAA 2A-1B 41164UAC3 B BB/Watch Neg 2A-1C 41164UAD1 CCC B/Watch Neg B-2 41164UAF6 CC CCC RALI Series 2005-QO4 Trust Series 2005-QO4 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 761118NL8 A AAA I-A-2 761118NM6 CCC BBB/Watch Neg II-A-2 761118NP9 BB AAA/Watch Neg II-A-3 761118NQ7 CCC BBB/Watch Neg X-PO 761118NS3 CCC AAA/Watch Neg M-1 761118NV6 CCC B/Watch Neg M-2 761118NW4 CC CCC M-3 761118NX2 CC CCC RALI Series 2007-QO1 Trust Series 2007-QO1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 75115YAA7 AA AAA A-2 75115YAB5 CCC A/Watch Neg A-3 75115YAC3 CCC BB/Watch Neg M-1 75115YAD1 CC B/Watch Neg M-2 75115YAE9 CC CCC M-3 75115YAF6 CC CCC M-4 75115YAG4 CC CCC M-5 75115YAH2 CC CCC M-6 75115YAJ8 CC CCC RALI Series 2007-QO4 Trust Series 2007-QO4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 74923LAA0 AA AAA A-1-a 74923LAB8 AA AAA A-2 74923LAC6 B AA/Watch Neg A-3 74923LAD4 CCC BB/Watch Neg M-1 74923LAE2 CC B/Watch Neg M-2 74923LAF9 CC CCC M-3 74923LAG7 CC CCC M-4 74923LAH5 CC CCC M-5 74923LAJ1 CC CCC M-6 74923LAK8 CC CCC Ratings Affirmed Alternative Loan Trust 2005-J8 Series 2005-J8 Class CUSIP Rating ----- ----- ------ 1-A-5 12667GJ46 AAA X-A 12667GJ61 AAA Alternative Loan Trust 2007-OA4 Series 2007-OA4 Class CUSIP Rating ----- ----- ------ A-1 02150DAA3 AAA American Home Mortgage Investment Trust 2007-1 Series 2007-1 Class CUSIP Rating ----- ----- ------ A-1-A 026932AA1 AAA A-1-B 026932AB9 AAA A-1-C 026932AC7 AAA IO-P 026932AF0 AAA M-1 026932AG8 CCC CSAB Mortgage Backed Trust 2006-4 Series 2006-4 Class CUSIP Rating ----- ----- ------ P 12628LAW0 AAA RALI Series 2005-QO4 Trust Series 2005-QO4 Class CUSIP Rating ----- ----- ------ II-A-1 761118NN4 AAA X-IO 761118NR5 AAA * S&P Downgrades Ratings on 244 Classes from 19 RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 244 classes from 19 residential mortgage-backed securities transactions backed by U.S. Alternative-A mortgage loan collateral issued in 2006 and 2007. S&P removed 153 of the lowered ratings from CreditWatch with negative implications. S&P also affirmed the ratings on 60 classes from 14 of the downgraded transactions. S&P removed 13 of the affirmed ratings from CreditWatch with negative implications. The original balances and new lifetime expected losses for the transactions (and structure groups) which S&P has updated are: Orig. bal. Transaction (mil. $) Lifetime exp loss (%) ----------- ---------- --------------------- Lehman Mortgage Trust 2007-7 433 17.54 (structure 5) Structured Asset Mortgage 820 30.89 Investments II Trust 2007-AR7 Washington Mutual Mortgage 984 23.55 Pass-Through Certificates WMALT Series 2006-AR4 Trust Washington Mutual Mortgage 1,560 28.23 Pass-Through Certificates WMALT Series 2007-OA3 Trust (structure 2) S&P derived the losses for these transactions using the criteria that S&P outlined in "Standard & Poor's Revises Loss Assumptions For 2006 And 2007 Vintage U.S. Alternative-A RMBS," published Feb. 23, 2009. 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 lowered ratings reflect S&P's belief that the amount of credit enhancement available for the downgraded classes is not sufficient to cover losses at the previous rating levels. 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. 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 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 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." The affirmations reflect S&P's belief that there is sufficient credit enhancement to support the ratings at their current levels. 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 to incorporate updated losses and delinquency pipeline performance to assess whether 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 Harborview Mortgage Loan Trust 2006-CB1 Series 2006-CB1 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A1A 41161PF65 BBB AAA 2-A1B 41161PF73 BBB AAA 2-A1C 41161PF81 BBB AAA 2-A2 41161PE41 B AAA 2-X 41161PE58 BBB AAA/Watch Neg 2-PO 41161PE66 B AAA/Watch Neg 2-B1 41161PE82 CCC A/Watch Neg 2-B2 41161PE90 CC B/Watch Neg 2-B3 41161PF24 CC CCC 2-B4 41161PF99 D CC IndyMac INDA Mortgage Loan Trust 2006-AR1 Series 2006-AR1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 45662BAA7 AAA AAA/Watch Neg A-2 45662BAB5 AAA AAA/Watch Neg A-3 45662BAD1 AAA AAA/Watch Neg A-4 45662BAE9 AAA AAA/Watch Neg B-1 45662BAH2 B BB/Watch Neg IndyMac INDA Mortgage Loan Trust 2007-AR8 Series 2007-AR8 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 45671AAA8 AAA AAA/Watch Neg 1-A-2 45671AAB6 B AAA/Watch Neg 2-A-2 45671AAC4 B AAA/Watch Neg 3-A-2 45671AAD2 B AAA/Watch Neg B-1 45671AAF7 CCC AA/Watch Neg B-2 45671AAG5 CC A/Watch Neg B-3 45671AAH3 CC BBB/Watch Neg B-4 45671AAM2 CC BB/Watch Neg IndyMac INDX Mortgage Loan Trust 2007-AR13 Series 2007-AR13 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 456681AA3 CCC B/Watch Neg 2-A-1 456681AB1 CCC BB/Watch Neg 3-A-1 456681AC9 CCC A/Watch Neg 3-A-X 456681AD7 CCC AAA 4-A-1 456681AE5 CCC A/Watch Neg 4-A-X 456681AF2 CCC AAA C-M 456681AK1 CCC BB/Watch Neg B-1 456681AM7 CC CCC B-2 456681AN5 CC CCC B-3 456681AP0 CC CCC IndyMac INDX Mortgage Loan Trust 2007-AR17 Series 2007-AR17 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 45670HAA4 CCC B+/Watch Neg A-2 45670HAB2 CCC B/Watch Neg A-X 45670HAC0 CCC B+ B-2 45670HAF3 CC CCC B-3 45670HAG1 CC CCC Lehman Mortgage Trust 2007-7 Series 2007-7 Rating ------ Class CUSIP To From ----- ----- -- ---- AX1 52519BAA8 B AAA/Watch Neg AP1 52519BAB6 B AAA/Watch Neg 1-A1 52519BAC4 B AAA/Watch Neg 1-A2 52519BAD2 B AAA/Watch Neg 1-A3 52519BAE0 B AAA/Watch Neg 1-A4 52519BAF7 B AAA/Watch Neg 1-A5 52519BAG5 B AAA/Watch Neg 1-A6 52519BAH3 B AAA/Watch Neg 2-A1 52519BAJ9 B AAA/Watch Neg 2-A2 52519BAK6 B AAA/Watch Neg 2-A3 52519BAL4 B+ AAA/Watch Neg 2-A4 52519BAM2 B+ AAA/Watch Neg 2-A5 52519BAN0 B+ AAA/Watch Neg 2-A6 52519BAP5 B+ AAA/Watch Neg 2-A7 52519BAQ3 B AAA/Watch Neg 2-A8 52519BAR1 B+ AAA/Watch Neg 2-A9 52519BAS9 B+ AAA/Watch Neg 2-A10 52519BAT7 B AAA/Watch Neg 3-A1 52519BAW0 B AAA/Watch Neg 4-A1 52519BAX8 BB AAA/Watch Neg 4-A2 52519BAY6 BB AAA/Watch Neg 4-A3 52519BAZ3 BB AAA/Watch Neg 4-A5 52519BBB5 BB AAA/Watch Neg 4-A6 52519BBC3 BB AAA/Watch Neg 4-A7 52519BBD1 BB AAA/Watch Neg 4-A8 52519BBE9 B+ AAA/Watch Neg 4-A9 52519BBF6 B AAA/Watch Neg 4-A10 52519BBG4 B+ AAA/Watch Neg 5-A1 52519BBH2 BB AAA/Watch Neg 5-A2 52519BBJ8 BB AAA/Watch Neg 5-A3 52519BBK5 BB AAA/Watch Neg 5-A4 52519BBL3 BB AAA/Watch Neg 5-A5 52519BBM1 B AAA/Watch Neg 5-A6 52519BBN9 B+ AAA/Watch Neg 5-A7 52519BBP4 B+ AAA/Watch Neg 6-A-1 52519BBQ2 B+ AAA/Watch Neg 6-A2 52519BBR0 B+ AAA/Watch Neg 6-A3 52519BBS8 B AAA/Watch Neg 6-A4 52519BBT6 B+ AAA/Watch Neg 6-A5 52519BBU3 B+ AAA/Watch Neg AP2 52519BBV1 B AAA/Watch Neg AX2 52519BBW9 BB AAA/Watch Neg 2-B1 52519BCA6 CC AA/Watch Neg 2-B2 52519BCB4 CC A/Watch Neg 2-B3 52519BCC2 CC BBB/Watch Neg 4-A4 52519BBA7 B AAA/Watch Neg Lehman Mortgage Trust 2007-9 Series 2007-9 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 52522XAA5 AAA AAA/Watch Neg 1-A2 52522XAB3 BBB AAA/Watch Neg 1-A3 52522XAC1 BBB AAA/Watch Neg 2-A1 52522XAD9 AAA AAA/Watch Neg 2-A2 52522XAE7 BBB AAA/Watch Neg 2-A3 52522XAF4 BBB AAA/Watch Neg 2-A4 52522XAG2 AAA AAA/Watch Neg 2-A5 52522XAH0 AAA AAA/Watch Neg 2-A6 52522XAJ6 AAA AAA/Watch Neg 2-A8 52522XAL1 BBB AAA/Watch Neg AP 52522XAM9 BBB AAA/Watch Neg B1 52522XAP2 CCC BB/Watch Neg B4 52522XAT4 CC CCC RALI Series 2007-QA1 Trust Series 2007-QA1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 74923GAA1 CC BB/Watch Neg A-2 74923GAB9 CC BB/Watch Neg A-3 74923GAC7 CCC BBB/Watch Neg A-4 74923GAD5 CC BB/Watch Neg Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3 Series 2006-3 Rating Class CUSIP To From ----- ----- -- ---- 1-A1 863579X60 B- BB/Watch Neg 1-A2 863579X78 CCC B/Watch Neg 2-A1 863579X86 B- BB/Watch Neg 2-A2 863579X94 CCC B/Watch Neg 3-A1 863579Y28 B- BB/Watch Neg 3-A2 863579Y36 B- BB/Watch Neg 3-A3 863579Y44 CCC B/Watch Neg 3-AX 863579Y51 B- BB 4-A 863579Y69 CCC A/Watch Neg 4-AX 863579Y77 CCC A B3-II 863579Z68 CC CCC B4-II 863579Z76 CC CCC Structured Asset Mortgage Investments II Trust 2006-AR5 Series 2006-AR5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-2 86360JAB7 B+ AAA/Watch Neg 1-A-3 86360JAC5 B AAA/Watch Neg 2-A-2 86360JAF8 B+ AAA/Watch Neg 2-A-3 86360JAG6 B AA/Watch Neg 3-A-2 86360JAK7 B+ AAA/Watch Neg 3-A-3 86360JAL5 B BBB/Watch Neg 4-A-2 86360JAP6 B+ AAA/Watch Neg 4-A-3 86360JAQ4 B A/Watch Neg M-X 86360JAS0 CCC BB B-1 86360JAT8 CCC B/Watch Neg B-2 86360JAU5 CCC B-/Watch Neg B-6 86360JAY7 CC CCC Structured Asset Mortgage Investments II Trust 2007-AR7 Series 2007-AR7 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 86364KAA2 BBB+ AAA I-A-2 86364KAB0 BB- AAA I-X-1 86364KAC8 BBB+ AAA I-X-2 86364KAD6 BBB+ AAA II-A-1 86364KAE4 BB- AAA II-X-1 86364KAF1 BB- AAA III-A-1 86364KAG9 B AAA III-A-2 86364KAH7 B AAA/Watch Neg III-X-1 86364KAJ3 B AAA III-X-2 86364KAK0 B AAA A-4 86364KAL8 B AAA/Watch Neg X-4 86364KAM6 B AAA B-1 86364KAN4 CCC AA+/Watch Neg B-2 86364KAP9 CCC AA+/Watch Neg B-3 86364KAQ7 CCC AA/Watch Neg B-4 86364KAR5 CCC AA/Watch Neg B-5 86364KAS3 CCC AA-/Watch Neg B-6 86364KAT1 CCC A/Watch Neg B-7 86364KAU8 CC BB/Watch Neg B-8 86364KAV6 CC B/Watch Neg Washington Mutual Mortgage Pass-Through Certificates WMALT 2006-AR8 Trust Series 2006-AR8 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A 93935LAA6 B AA 2A 93935LAB4 B AA CA-1B 93935LAF5 CCC B+ CA-1C 93935LAG3 CCC B/Watch Neg CX-1 93935LAH1 B B+ CX-3 93935LAK4 B AA L-B-3 93935LAQ1 CC CCC L-B-4 93935LAR9 CC CCC L-B-5 93935LAS7 CC CCC L-B-6 93935LAT5 CC CCC L-B-7 93935LAU2 CC CCC L-B-8 93935LAV0 CC CCC 3A-1B 93935LAD0 B B/Watch Neg 3A-1C 93935LAE8 CCC B/Watch Neg 3-B-1 93935LAZ1 CC CCC Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR4 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- 1A 939345AA2 B AAA/Watch Neg 2A 939345AB0 B AAA/Watch Neg 3A 939345AC8 B AAA/Watch Neg DA 939345AD6 B AAA/Watch Neg CA-1B 939345AE4 CCC B/Watch Neg DA-1B 939345AF1 CCC B/Watch Neg X-1 939345AG9 B AAA X-2 939345AH7 B AAA X-3 939345AJ3 B AAA X-4 939345AK0 B AAA B-2 939345AM6 CC CCC B-3 939345AN4 CC CCC B-4 939345AP9 CC CCC B-5 939345AQ7 CC CCC B-6 939345AR5 CC CCC Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR9 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- 1A 939346AA0 B AAA/Watch Neg 2A 939346AB8 B AAA/Watch Neg CA-1B 939346AC6 CCC BB/Watch Neg CA-1C 939346AD4 CCC B/Watch Neg CX-1 939346AE2 B AAA B-2 939346AH5 CC CCC B-3 939346AJ1 CC CCC B-4 939346AK8 CC CCC B-5 939346AL6 CC CCC B-6 939346AM4 CC CCC B-7 939346AN2 CC CCC Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA1 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- 1A 93935NAA2 B A/Watch Neg 2A 93935NAB0 B A/Watch Neg CA-1B 93935NAC8 CCC BB/Watch Neg CA-1C 93935NAD6 CCC B/Watch Neg CX-1 93935NAE4 B A B-3 93935NAJ3 CC CCC B-4 93935NAK0 CC CCC B-5 93935NAL8 CC CCC B-6 93935NAM6 CC CCC B-7 93935NAN4 CC CCC B-8 93935NAP9 CC CCC B-9 93935NAQ7 CC CCC Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- 1A 939355AA1 B+ AAA 2A 939355AB9 B+ AAA CA-1B 939355AF0 B AAA/Watch Neg CA-1C 939355AG8 B AAA/Watch Neg CX-1 939355AK9 B+ AAA/Watch Neg CX-2-PPP 939355AL7 AAA AAA/Watch Neg L-B-1 939355AQ6 CCC BB+/Watch Neg L-B-2 939355AR4 CCC BB/Watch Neg L-B-3 939355AS2 CCC BB-/Watch Neg L-B-4 939355AT0 CC B/Watch Neg L-B-5 939355AU7 CC CCC 3A 939355AC7 B+ AAA 4A-B 939355BS1 B+ AAA 5A 939355AE3 B+ AAA DA-1B 939355AH6 B AAA/Watch Neg DA-1C 939355AJ2 B AAA/Watch Neg M-B-1 939355BB8 CCC BBB/Watch Neg M-B-2 939355BC6 CCC BB/Watch Neg M-B-3 939355BD4 CCC BB-/Watch Neg Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2006-AR5 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- 1A 93935AAA0 B AAA/Watch Neg 2A 93935AAB8 B AAA/Watch Neg 3A 93935AAC6 B AAA/Watch Neg 4A 93935AAD4 B AAA/Watch Neg 4A-1B 93935AAE2 CCC B/Watch Neg CA-1B 93935AAH5 CCC B/Watch Neg L-B-2 93935AAM4 CC CCC L-B-3 93935AAN2 CC CCC L-B-4 93935AAP7 CC CCC L-B-5 93935AAQ5 CC CCC L-B-6 93935AAR3 CC CCC L-B-7 93935AAS1 CC CCC 5A 93935AAF9 BBB AAA 5A-1B 93935AAG7 CCC B/Watch Neg 5-B-1 93935AAV4 CC CCC Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2006-AR7 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- A-1A 93935DAA4 B+ AAA/Watch Neg A-1B 93935DAB2 B AAA/Watch Neg A-1C 93935DAC0 B AAA/Watch Neg X-1 93935DAD8 B+ AAA/Watch Neg X-2-PPP 93935DAE6 AAA AAA/Watch Neg X-3 93935DAF3 B+ AAA/Watch Neg X-4 93935DAG1 B+ AAA/Watch Neg B-1 93935DAH9 CCC A/Watch Neg B-2 93935DAJ5 CCC BB/Watch Neg B-3 93935DAK2 CC B/Watch Neg B-4 93935DAL0 CC B/Watch Neg B-5 93935DAM8 CC CCC B-6 93935DAN6 CC CCC B-7 93935DAP1 CC CCC B-8 93935DAQ9 CC CCC Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2007-OA2 Trust Rating Class CUSIP To From ----- ----- -- ---- 1A 93935QAA5 B A/Watch Neg 2A 93935QAB3 B A/Watch Neg CA-1B 93935QAC1 CCC BB/Watch Neg CA-1C 93935QAD9 CCC B/Watch Neg CX-1 93935QAE7 B A B-2 93935QAH0 CC CCC B-3 93935QAJ6 CC CCC B-4 93935QAK3 CC CCC B-5 93935QAL1 CC CCC B-6 93935QAM9 CC CCC Ratings Affirmed IndyMac INDA Mortgage Loan Trust 2006-AR1 Series 2006-AR1 Class CUSIP Rating ----- ----- ------ A-2X 45662BAC3 AAA A-4X 45662BAF6 AAA B-2 45662BAJ8 CCC B-3 45662BAK5 CCC IndyMac INDX Mortgage Loan Trust 2007-AR17 Series 2007-AR17 Class CUSIP Rating ----- ----- ------ B-1 45670HAE6 CCC Lehman Mortgage Trust 2007-9 Series 2007-9 Class CUSIP Rating ----- ----- ------ 2-A7 52522XAK3 AAA AX 52522XAN7 AAA B2 52522XAQ0 CCC B3 52522XAR8 CCC Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3 Series 2006-3 Class CUSIP Rating ----- ----- ------ B1-II 863579Z43 CCC B2-II 863579Z50 CCC Structured Asset Mortgage Investments II Trust 2006-AR5 Series 2006-AR5 Class CUSIP Rating ----- ----- ------ 1-A-1 86360JAA9 AAA 1-X 86360JAD3 AAA 2-A-1 86360JAE1 AAA 2-X 86360JAH4 AAA 3-A-1 86360JAJ0 AAA 3-X 86360JAM3 AAA 4-A-1 86360JAN1 AAA 4-X 86360JAR2 AAA B-3 86360JAV3 CCC B-4 86360JAW1 CCC B-5 86360JAX9 CCC Washington Mutual Mortgage Pass-Through Certificates WMALT 2006-AR8 Trust Class CUSIP Rating ----- ----- ------ CX-2-PPP 93935LAJ7 AAA L-B-1 93935LAN8 CCC L-B-2 93935LAP3 CCC 3A-1A 93935LAC2 A 3X-1 93935LAL2 A 3X-2 93935LAM0 A 3-PPP 93935LBD9 AAA Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR4 Trust Class CUSIP Rating ----- ----- ------ PPP-1 939345BF0 AAA PPP-2 939345AV6 AAA B-1 939345AL8 CCC Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR9 Trust Class CUSIP Rating ----- ----- ------ CX-2-PPP 939346AF9 AAA B-1 939346AG7 CCC Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA1 Trust Class CUSIP Rating ----- ----- ------ CX-2-PPP 93935NAF1 A B-1 93935NAG9 CCC B-2 93935NAH7 CCC Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust Class CUSIP Rating ----- ----- ------ 4A-1 939355AD5 AAA 4A-2 939355BR3 AAA EX-PPP 939355AM5 AAA FX 939355AN3 AAA 5X-PPP 939355AP8 AAA Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2006-AR5 Trust Class CUSIP Rating ----- ----- ------ DX-PPP 93935AAJ1 AAA L-B-1 93935AAL6 CCC 5X-PPP 93935AAK8 AAA Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2007-OA2 Trust Class CUSIP Rating ----- ----- ------ CX-2-PPP 93935QAF4 A B-1 93935QAG2 CCC ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers' public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors' Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland, USA. Ma. Theresa Amor J. Tan Singco, 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 ***