/raid1/www/Hosts/bankrupt/TCR_Public/090426.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 26, 2009, Vol. 13, No. 114
Headlines
ABACUS 2005-1: S&P Downgrades Ratings on Four Classes of Notes
ABSPOKE 2005-IB: S&P Withdraws 'BB-' Rating on Notes
BEAR STEARNS: Fitch Junks Ratings on Two Classes of 2000-WF2 Notes
BEXAR COUNTY HOUSING: Moody's Affirms 'Ba1' Rating on 2001A Bonds
BXG RECEIVABLES: Moody's Reviews Ratings on 21 Classes of Notes
BRASCAN STRUCTURED: Moody's Cuts Ratings on Three 2005-2 Notes
BRUSHFIELD 2007-1: Writedowns Cue S&P's Note Rating Cut to 'D'
CHASE COMMERCIAL: Fitch Raises Rating on $8.1 Mil. Notes to 'B+'
CITICORP MORTGAGE: Moody's Downgrades Ratings on 136 Tranches
CITIGROUP COMMERCIAL: GGP Bankruptcy Cudes Moody's Review on Bonds
CORIOLANUS LIMITED: Moody's Junks Rating on $125 Mil. Notes
CORONADO CDO: Fitch Junks Ratings on Four Classes of Notes
CORPORATE BACKED: S&P Raises Rating on $25 Mil. Certs. to 'CCC-'
CORTS TRUST: S&P Raises Rating on $219.584 Mil. Notes to 'CCC-'
CORTS TRUST: S&P Raises Rating on $300 Mil. Certs. to 'CCC-'
CRAFT 2005-3: Moody's Junks Ratings on Series M-2 Notes
EL PASO HOUSING: Moody's Affirms 'Ba3' Rating on Jr. Sub Bonds
GALLERY AT HARBORPLACE: GGP Bankruptcy Cues Moody's Study on Bonds
GE COMMERCIAL: GGP Bankruptcy Cues Moody's Review on Rake Bonds
GENERAL GROWTH: Bankruptcy Cues Moody's Review on 15 Rake Bonds
GMAC COMMERCIAL: Fitch Puts Ratings on 11 Notes on Negative Watch
GS MORTGAGE: GGP Bankruptcy Cudes Moody's Review on Rake Bonds
HARTFORD MEZZANINE: Moody's Downgrades Ratings on 10 2007-1 Notes
JP MORGAN: Moody's Affirms Ratings on 14 Classes of 2003-C1 Notes
KEYCORP STUDENT: Moody's Cuts Ratings on 3 Note Classes to Low-B
KLIO STRUCTURED: Moody's Junks Ratings on Two 2005-1 Notes
LEGG MASON: Moody's Cuts Ratings on 5 Classes of Notes to Low-B
LEGG MASON: Moody's Cuts Rating on Class C Notes Due 2045 to Ba2
LE MONDE: S&P Withdraws 'CC' Ratings on Two Classes of Notes
LOUISIANA PUBLIC: S&P Cuts L-T Ratings on 1993, 1999 Bonds to 'BB'
MCKINLEY 2005-5: Moody's Downgrades Rating on $4,792,450 Certs.
MERRILL LYNCH: Moody's Affirms Ratings on 2003-Canada 11 Certs.
MERRILL LYNCH: Moody's Junks Rating on Cl. I-A2 2007-2 Securities
MORGAN STANLEY: Fitch Corrects Rating Outlooks on 2005 IQ9 Notes
MORGAN STANLEY: Fitch Affirms Ratings on 2003-IQ5 Certificates
MORGAN STANLEY: S&P Downgrades Ratings on NG5FG Notes to 'B-srp'
MORGAN STANLEY: S&P Downgrades Ratings on NG5FG Notes to 'B-srp'
N-45 FIRST: Fitch Affirms 'BB+' Rating on Class E Notes
N-STAR REL: Moody's Confirms Ratings on 12 Classes of Notes
NYU HOSPITALS: Moody's Upgrades Bond Ratings from 'Ba2'
OCWEN RESIDENTIAL: Moody's Downgrades Ratings on 16 Tranches
PPLUS TRUST: S&P Raises Rating on $40 Mil. Certs. to 'CCC-'
PREFERRED CPO: Moody's Downgrades Ratings on Two Tranches
PREFERREDPLUS TRUST: S&P Cuts Rating on $31 Mil. Certs. to 'B'
PUBLIC STEERS: S&P Raises Rating on $231.903 Mil. Certs. to 'CCC-'
RAIT CRE: Moody's Downgrades Ratings on Five Classes of Notes
RESOURCE REAL: Moody's Downgrades Ratings on 10 2007-1 Notes
RESOURCE REAL: Moody's Downgrades Ratings on Eight 2006-1 Notes
RESTRUCTURED ASSET: Moody's Cuts Rating on 2002-10-TR Certificates
RESTRUCTURED ASSET: S&P Corrects Rating on 2006-18-C Certs. to 'D'
RESTRUCTURED ASSET: S&P Corrects Rating on $87 Mil. Certs. to 'D'
RESTRUCTURED ASSET: S&P Corrects Rating on Certificates to 'D'
RFC CDO: Moody's Downgrades Ratings on 10 Classes of 2006-1 Notes
RFMSI SERIES: Moody's Downgrades Ratings on 193 Tranches
SATURNS TRUST: Moody's Downgrades Rating on 2003-1 Notes to 'Ba3'
SATURNS TRUST: S&P Raises Ratings on $75 Mil. Units to 'CCC-'
SATURNS TRUST: S&P Downgrades Ratings on 2003-7 Notes to 'BB'
SATURNS TRUST: S&P Affirms 'BB-' Rating on $60.192 Mil. Certs.
SEQUOIA MORTGAGE: Moody's Junks 16 Class of Pass-Through Certs.
SLATE CDO: S&P Downgrades Ratings on All Classes of 2007-1 Notes
SPGS SPC: S&P Downgrades Ratings on Four Classes to 'D'
SPRING ASSET: Moody's Confirms Ratings on 11 Classes of Notes
STRUCTURED ENHANCED: Moody's Downgrades Rating on 2004-2 Notes
STEERS CDO: S&P Junks Rating on $130 Mil. 2005-1 Certificates
TIMES SQUARE: S&P Downgrades Rating on Amortizing Certs. to 'BB'
WACHOVIA BANK: GGP Bankruptcy Cudes Moody's Review on Rake Bonds
WELLS FARGO: Moody's Downgrades Ratings on 100 2007-11 Tranches
* Fitch Sees Negative Trend in U.S. Public Finance Rating Actions
* Moody's Downgrades Ratings on 77 Notes by 17 CDO Transactions
* Moody's Downgrades Ratings on 131 Notes by 37 CDO Transactions
* Moody's Downgrades Ratings on 138 Notes by 38 CDO Transactions
* Moody's Downgrades Ratings on 141 Notes by 37 CDO Transactions
* Moody's Reports Impact of Auto Industry on Municipal Issuers
* S&P Downgrades Ratings on 36 Classes from 11 RMBS Transactions
* S&P Downgrades Ratings on 39 Tranches from Nine Hybrid CDO Deals
* S&P Downgrades Ratings on 55 Classes of Notes from Five CDOs
* S&P Downgrades Ratings on 57 Classes from 18 Prime Jumbo RMBS
* S&P Downgrades Ratings on 77 Classes from 12 RMBS Transactions
* S&P Downgrades Ratings on 96 Classes from 40 Prime RMBS Deals
* S&P Downgrades Ratings on 244 Classes from 27 RMBS Transactions
* S&P Downgrades Ratings on 272 Classes of Certificates to 'D'
* S&P Downgrades Ratings on Classes of Notes by Various Issuers
*********
ABACUS 2005-1: S&P Downgrades Ratings on Four Classes of Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of notes issued by ABACUS 2005-1 CB1 Ltd.
The lowered ratings follow a number of recent credit events within
the underlying portfolio. Specifically, write downs in the
transaction's underlying reference portfolio have caused the class
C and D notes to incur principal losses. S&P lowered its ratings
on the other two classes in connection with decreased
subordination levels available to support the notes.
Ratings Lowered
ABACUS 2005-1 CB1 Ltd.
Rating
------
Class To From
----- -- ----
A-1 BB+ BBB-
A-2 B B+
C D CCC-
D D CCC-
Other Ratings Outstanding
ABACUS 2005-1 CB1 Ltd.
Class Rating
----- ------
B CCC-
E-1 D
E-2 D
F D
G D
ABSPOKE 2005-IB: S&P Withdraws 'BB-' Rating on Notes
----------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'BB-' rating on
the notes issued by ABSpoke 2005-IB Ltd.
S&P withdrew the rating following the optional termination
redemption that took place on April 15, 2009, pursuant to section
8.06(a)(i) of the indenture dated May 19, 2005.
Rating Withdrawn
ABSpoke 2005-IB Ltd.
Rating
------
Class To From
----- -- ----
ABSpoke NR BB-
NR -- Not rated.
BEAR STEARNS: Fitch Junks Ratings on Two Classes of 2000-WF2 Notes
------------------------------------------------------------------
Fitch Ratings downgrades and assigns Recovery Ratings to Bear
Stearns Commercial Mortgage Securities Inc.'s commercial mortgage
pass-through certificates, series 2000-WF2:
-- $4.2 million class L to 'CCC/RR2' from 'B';
-- $8.9 million class M to 'CC/RR5' from 'B-'.
Fitch also affirms and assigns Rating Outlooks:
-- $514.8 million class A-2 at 'AAA'; Outlook Stable;
-- Interest-only class X at 'AAA'; Outlook Stable;
-- $28.3 million class B at 'AAA'; Outlook Stable;
-- $26.2 million class C at 'AAA'; Outlook Stable;
-- $8.4 million class D at 'AAA'; Outlook Stable;
-- $23.1 million class E at 'A+'; Outlook Stable;
-- $7.3 million class F at 'A-'; Outlook Stable.
Fitch does not rate classes G, H, I, J, K and N. Class A-1 has
paid in full.
The downgrades are the result of Fitch's loss expectations on two
loans (2.9%) transferred to special servicing since the prior
Fitch 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 22.5% to $649.9 million from $838.5 million at
issuance. Thirty-seven loans (36.0%) have defeased.
There are currently 13 Fitch Loans of Concern (6.4%), including
the two loans in special servicing. The largest specially
serviced loan (1.7%) is secured by two industrial properties in
Webster, New York. The loan has been delinquent since January
2008. The servicer-reported occupancy as of January 2009 was 32%.
The special servicer is pursuing foreclosure.
The second specially serviced asset (1.2%) is an industrial
property in Westborough, Massachusetts. The property has been
vacant for three years and borrower has been unable to locate a
new tenant or buyer. The loan became real estate owned as of
February 2009, and the special servicer will begin marketing the
property shortly.
Fitch reviewed the two shadow-rated loans in the pool, the MHC
Portfolio (13.2%) and FM Global Headquarters (0.5%). The FM
Global Headquarters loan has fully defeased. Both loans maintain
their investment grade shadow ratings based on their stable
performance.
The MHC Portfolio is secured by six manufactured housing
communities located in Florida, California and Illinois. The
servicer reported occupancy has improved to 100% as of year-end
2008, as compared to 85% as of YE 2007. The YE 2008 servicer
reported net cash flow has improved 24% since issuance.
Of the non-defeased loans, approximately 16% have maturity dates
in the next 12 months. The weighted average debt service coverage
ratio and interest rate for these loans were 1.6 times and 8.1%,
respectively.
BEXAR COUNTY HOUSING: Moody's Affirms 'Ba1' Rating on 2001A Bonds
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on Bexar County
Housing Finance Corporation Multifamily Housing Revenue Bonds
(American Opportunity for Housing - Colinas LLC Project) at Ba1
for Series 2001A ($26,475,000 outstanding) and at B1 for Series
2001C ($3,600,000 outstanding). The Senior Bonds also carry the
enhanced rating based on the municipal bond insurance policy
provided by MBIA. The affirmations are reflective of the improved
weighted average occupancy levels and debt service coverage levels
in 2008 that are comparable with the benchmarks for the current
rating categories. The outlook on both Series is Stable due to
improved occupancy levels and financial performance from 2006 to
2008, balanced with rising repair and maintenance expenses and the
use of concessions to attract renters in a difficult economic
environment.
The bonds are secured by the revenues from three cross
collateralized properties, Las Colinas Apartments, Huebner Oaks
Apartments and Perrin Crest Apartments, as well as by funds and
investments pledged to the trustee under the indenture as security
for the bonds. Las Colinas is a 232-unit garden style apartment
complex built in 1978, composed of 30 two-story buildings and is
located approximately 20 miles north west of the San Antonio
central business district. Huebner Oaks is a 344-unit garden
style apartment complex built in 1984, composed of 23 two-story
buildings and is located approximately 12 miles north west of the
San Antonio central business district. Perrin Crest is a 200-unit
garden style apartment complex built in 1985, composed of 13 two-
story buildings and is located approximately 12 miles north east
of the San Antonio central business district. The three
properties are owned by American Opportunity for Housing, a non-
profit organization that maintains a Community Housing Development
Organization status in the state of Texas. Management of the
properties is overseen by The Lynd Company which manages over
6,000 units in the state of Texas alone.
Recent Developments
Debt service coverage ratios, derived from 2008 audited financial
statements have improved to 1.30 from 1.18 (2006) for 2001A and to
1.11 from 1.01 (2006) for 2001C. Weighted average monthly
occupancy averaged 90.6% in 2008, with the weakness attributed to
the Las Colinas properties (87.7%) that experienced high vacancy
from move-outs of students at University of Texas at San Antonio.
March 2009 weighted average occupancy is 92.1%, with Heubner Oaks
the weakest at 91%. The Lynd company has been actively managing
lease expirations by offering concessions two months prior to
lease termination dates in order to mitigate turnover expenses; a
recently completed a lease-a-thon at the Heubner Oaks property was
successful in filing February turnover. Operational costs have
increased across the properties as numerous underground water line
breaks have caused unanticipated but necessary contractor repair
expenses in early 2009 which has been mitigated through cut backs
in administrative expenses. The addition of wi-fi to all three
properties has increased curb appeal and received positive feed-
back from residents.
Torto Wheaton Research forecasts rent growth of -0.5% in 2009 and
2.7% in 2010 for the Huebner Oaks' and Las Colinas' submarket.
Occupancy in the submarket is forecasted to improve from 92.8% in
2008 to 93.9% in 2010. Perrin Crest's submarket is forecasted to
under perform with -0.04% rent growth in 2009 and 2.9% in 2010.
Occupancy is forecast to improve from 92.8% in 2008 to 94.1% in
2010.
Legal Security: The bonds are limited obligations payable solely
from the revenues, receipts and security pledged in the Trust
Indenture.
Interest Rate Derivatives: None
Credit Strengths
* Debt service reserves are fully funded as of 3/20/2009
* Excess cash in the surplus fund of $709,754.26 as of 3/20/2009
* Audited financial statements for 2007 and 2008 indicate improved
debt service coverage
Credit Challenges
* High concentration of renters at Las Colinas from the student
population of the University Texas at San Antonio and a high
concentration of contract employees from USAA World Headquarters
who live at Huebner Oaks could negatively impact occupancy if
university attendance declines or large layoffs occur
* Raising operating expenses from maintenance and repair costs for
the upkeep of these older properties could negatively impact
debt service coverage levels if turnover levels increase
* Investments are tied to an MBIA Inc. GIC
Outlook
The outlook for the bonds is stable as improved financial
performance and occupancy levels from 2006-2008 is mitigated by
increased operating expenses and rental concessions.
What could change the rating - UP
* Stable weighted average occupancy
* Improved debt service coverage
* Fully funded debt service funds.
What could change the rating - DOWN
* Declines in debt service coverage levels
* Weakened occupancy or concessions having a negative impact on
rental income
* Tapping of the Debt Service Reserve Funds
The last rating action was on February 19, 2008 when Bexar County
Housing Finance Corporation Multifamily Housing Revenue Bonds
(American Opportunity for Housing - Colinas LLC Project) was
affirmed at Ba1 for Series 2001A and at B1 for Series 2001C with a
Stable outlook.
BXG RECEIVABLES: Moody's Reviews Ratings on 21 Classes of Notes
---------------------------------------------------------------
Moody's Investors Service placed on review for possible downgrade
the ratings of twenty one notes issued by five BXG Receivables
Note trusts issued in 2004, 2005, 2006, 2007 and 2008. The
underlying collateral consists of timeshare loan receivables.
The review of the notes was prompted by worse than expected
performance of the underlying collateral pools as indicated by
rising defaults and delinquencies. The analysis was primarily
focused on the ratio of credit enhancement to expected gross
charge-offs. Gross charge-offs on the remaining pools were
assessed based on the level and shape of the cumulative gross
charge-off curves and cumulative gross charge-off to amortization
curve with additional consideration of the current economic
environment and the nature of the asset class. The total credit
enhancement available includes over collateralization, reserve
fund and excess spread.
As of February 28, 2009, over collateralization of BXG 2004-B,
2005-A, 2006-B, 2007-A and 2008-A represented 9.00%, 10.00%,
9.00%, 11.50% and 12.50% of the outstanding pool balance
respectively. In addition, the reserve for 2004-B, 2005-A, 2006-B
and 2007-A was at the floor or 1.50%, 1.50%, 1.50% and 5.00% of
the initial pool balance whereas the reserve of the 2008-A was 7%
of the outstanding pool balance.
The complete rating actions are:
Issuer: BXG Receivables Note Trust 2004-B
-- Class D, Placed Under Review for Possible Downgrade;
previously on 7/19/2004 Assigned Baa3.
Issuer: BXG Receivables Note Trust 2005-A
-- Class B, Placed Under Review for Possible Downgrade;
previously on 1/11/2006 Assigned Aa2;
-- Class C, Placed Under Review for Possible Downgrade;
previously on 1/11/2006 Assigned A2;
-- Class D, Placed Under Review for Possible Downgrade;
previously on 1/11/2006 Assigned Baa1;
-- Class E, Placed Under Review for Possible Downgrade;
previously on 1/11/2006 Assigned Baa3;
-- Class F, Placed Under Review for Possible Downgrade;
previously on 1/11/2006 Assigned Ba2.
Issuer: BXG Receivables Note Trust 2006-B
-- Class B, Placed Under Review for Possible Downgrade;
previously on 9/25/2006 Assigned Aa2;
-- Class C, Placed Under Review for Possible Downgrade;
previously on 9/25/2006 Assigned A2;
-- Class D, Placed Under Review for Possible Downgrade;
previously on 9/25/2006 Assigned Baa1;
-- Class E, Placed Under Review for Possible Downgrade;
previously on 9/25/2006 Assigned Baa3;
-- Class F, Placed Under Review for Possible Downgrade;
previously on 9/25/2006 Assigned Ba2.
Issuer: BXG Receivables Note Trust 2007-A
-- Class C, Placed Under Review for Possible Downgrade;
previously on 10/21/2007 Assigned A3;
-- Class D, Placed Under Review for Possible Downgrade;
previously on 10/21/2007 Assigned Baa1;
-- Class E, Placed Under Review for Possible Downgrade;
previously on 10/21/2007 Assigned Baa2;
-- Class F, Placed Under Review for Possible Downgrade;
previously on 10/21/2007 Assigned Baa3;
-- Class G, Placed Under Review for Possible Downgrade;
previously on 10/21/2007 Assigned Ba2.
Issuer: BXG Receivables Note Trust 2008-A
-- Class C, Placed Under Review for Possible Downgrade;
previously on 3/31/2008 Assigned A3;
-- Class D, Placed Under Review for Possible Downgrade;
previously on 3/31/2008 Assigned Baa1;
-- Class E, Placed Under Review for Possible Downgrade;
previously on 3/31/2008 Assigned Baa2;
-- Class F, Placed Under Review for Possible Downgrade;
previously on 3/31/2008 Assigned Baa3;
-- Class G, Placed Under Review for Possible Downgrade;
previously on 3/31/2008 Assigned Ba2.
BRASCAN STRUCTURED: Moody's Cuts Ratings on Three 2005-2 Notes
--------------------------------------------------------------
Moody's Investors Service confirmed the ratings two classes and
downgraded three classes of Notes issued by Brascan Structured
Notes 2005-2, Ltd. The rating actions are:
-- Class A, $103,050,000, Floating Rate Notes Due 2040,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class B, $29,700,000, Revolving Floating Rate Notes Due 2040,
confirmed at Aa2; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class C, $34,500,000, Floating Rate Notes Due 2040,
downgraded to A3 from A2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class D, $34,500,000, Floating Rate Notes Due 2040,
downgraded to Ba1 from Baa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class E, $13,350,000, Floating Rate Notes Due 2040,
downgraded to B2 from Baa3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
Moody's confirmed Classes A and B, and downgraded the remaining
Classes due to deteriorating pool performance and revised modeling
parameters.
The pool contains a 5% concentration in CMBS collateral all of
which was issued prior to 2006. The remaining pool collateral
includes ABS securities, whole loans, subordinate debt 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. Moody's prior review is summarized in a
press release dated May 16, 2008.
BRUSHFIELD 2007-1: Writedowns Cue S&P's Note Rating Cut to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of notes issued by Brushfield 2007-1 Ltd. to 'D' from
'CCC-'.
The lowered ratings follow a number of recent credit events within
the underlying portfolio. Writedowns in the underlying reference
portfolio have caused all classes to incur a principal loss.
Ratings Lowered
Brushfield 2007-1 Ltd.
Rating
------
Class To From
----- -- ----
A-1LB D CCC-
A-2L D CCC-
A-3L D CCC-
B-1L D CCC-
B-2L D CCC-
CHASE COMMERCIAL: Fitch Raises Rating on $8.1 Mil. Notes to 'B+'
----------------------------------------------------------------
Fitch Ratings upgrades and assigns Rating Outlooks to Chase
Commercial Mortgage Securities Corp., series 1997-2:
-- $12.2 million class H to 'A+' from 'BB+'; Stable Outlook;
-- $8.1 million class I to 'B+' from 'B-'; Stable Outlook.
In addition, Fitch affirms and assigns Rating Outlooks to these
classes:
-- Interest-only class X at 'AAA'; Stable Outlook;
-- $16.9 million class F at 'AAA'; Stable Outlook;
-- $6.1 million class G at 'AAA'; Stable Outlook.
The $4.7 million class J certificates are not rated by Fitch.
Classes A-1, A-2, B, C, D and E are paid in full.
The rating upgrades are the result of additional pay down of 8.6%
and increase in subordination since Fitch's last rating action.
As of the March 2009 distribution date, the pool's aggregate
collateral balance has been reduced 94.1%, to $48 million from
$814 million at issuance. Nine loans remain outstanding, three of
which are defeased (27.5%). The remaining loans are all
amortizing and interest rates range from 7.20% to 8.52%.
The largest remaining loan (38.3%) is secured by a 239,179 square
foot retail center located in Norwalk, California. The servicer
reported occupancy as of year-end 2008 was 99.3% with a debt
service coverage ratio of 1.58 times (x). The loan is scheduled
to mature in 2012.
The second largest non-defeased loan (13.2%) is secured by a
retail plaza located in Cambridge, Massachusetts. The servicer
reported occupancy as of YE 2008 was 92.9% with a DSCR of 4.43x.
The loan is scheduled to mature in 2012.
Fitch has identified two loans as Fitch Loans of Concern (9.8%)
due to declining occupancy. Both loans remain current and are
scheduled to mature in 2012.
CITICORP MORTGAGE: Moody's Downgrades Ratings on 136 Tranches
-------------------------------------------------------------
Moody's Investors Service has downgraded 136 tranches from 11
deals issued by Citicorp Mortgage Securities Trust and Citigroup
Mortgage Loan Trust in 2006 and 2007.
The collateral backing these transactions consists primarily of
first-lien, fixed and 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:
Citicorp Mortgage Securities Tr Ser 2007-8
-- Cl. IA-1, Downgraded to Ba2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-2, Downgraded to Baa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-3, Downgraded to Baa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-4, Downgraded to Ba3; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. IA-IO, Downgraded to Baa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIA-1, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIA-IO, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIIA-1, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIIA-IO, Downgraded to Ba1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
Citicorp Mortgage Securities Trust 2006-4
-- Cl. IA-1, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-2, Downgraded to Baa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-3, Downgraded to Baa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-4, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-5, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-6, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-7, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-8, Downgraded to Baa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-9, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-10, Downgraded to Baa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-11, Downgraded to Baa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-12, Downgraded to Baa1; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. IA-IO, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIA-1, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIA-IO, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIIA-1, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIIA-IO, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to Baa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
Citicorp Mortgage Securities Trust 2006-5
-- Cl. IA-1, Downgraded to Aa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-2, Downgraded to Aa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-3, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-4, Downgraded to Aa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-6, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-7, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-8, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-9, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-10, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-11, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-12, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-13, Downgraded to Baa1; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. IA-14, Downgraded to Baa1; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. IA-IO, Downgraded to Aa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIA-1, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIA-IO, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIIA-1, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIIA-IO, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
Citicorp Mortgage Securities Trust 2006-6
-- Cl. A-1, Downgraded to A1; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to A2; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to A2; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Aa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Aa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Aa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to A2; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to A1; previously on 3/19/2009 Aaa Placed
Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to A2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to A3; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to A1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-13, Downgraded to A1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-IO, Downgraded to Aa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to A2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
Citicorp Mortgage Securities Trust 2006-7
-- Cl. IA-1, Downgraded to Ba3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-IO, Downgraded to Ba3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIA-1, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIA-IO, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIIA-1, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIIA-IO, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to Ba3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
Citicorp Mortgage Securities Trust 2007-2
-- Cl. IA-1, Downgraded to Aa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-2, Downgraded to Aa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-3, Downgraded to Aa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-4, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-5, Downgraded to Aa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-6, Downgraded to Aa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-7, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-IO, Downgraded to Aa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIA-I, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIA-IO, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIIA-1, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIIA-IO, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
Citicorp Mortgage Securities Trust 2007-5
-- Cl. IA-6, Downgraded to Baa1; previously on 3/19/2009
Aaa Placed Under Review for Possible Downgrade
-- Cl. IA-9, Downgraded to Baa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
Citicorp Mortgage Securities Trust 2007-6
-- Cl. IA-1, Downgraded to Baa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-2, Downgraded to Baa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-3, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-4, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-5, Downgraded to A1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-6, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-7, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-8, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-9, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-10, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-11, Downgraded to Ba1; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. IA-12, Downgraded to Ba1; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. IA-13, Downgraded to A2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-14, Downgraded to Ba1; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. IA-IO, Downgraded to A1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIA-1, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIA-IO, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIIA-1, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIIA-IO, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to Baa3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
Citicorp Mortgage Securities Trust 2007-9
-- Cl. IA-1, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. IA-2, Downgraded to Ca; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. IA-IO, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. IIA-1, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIA-IO, Downgraded to B3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to Caa1; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
Citicorp Mortgage Securities, Inc. 2006-3
-- Cl. IA-1, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-2, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-3, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-4, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-5, Downgraded to Baa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-6, Downgraded to Ba1; previously on 10/6/2008 Aa1
Placed Under Review for Possible Downgrade
-- Cl. IA-7, Downgraded to Baa1; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-8, Downgraded to Baa1; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-9, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-10, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-11, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-12, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-13, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-14, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-15, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-16, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-17, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IA-18, Downgraded to Ba1; previously on 10/6/2008 Aa1
Placed Under Review for Possible Downgrade
-- Cl. IA-19, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIA-1, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIA-PO, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIIA-1, Downgraded to Baa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IIIA-2, Downgraded to Ba1; previously on 10/6/2008 Aa1
Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to Baa3; previously on 10/6/2008 Aaa
Placed Under Review for Possible Downgrade
Citigroup Mortgage Loan Trust 2007-AR4
-- Cl. 1-A1A, Downgraded to B3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 1-A1B, Downgraded to Ca; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 1-IO, Downgraded to B3; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
CITIGROUP COMMERCIAL: GGP Bankruptcy Cudes Moody's Review on Bonds
------------------------------------------------------------------
Moody's Investors Service placed the ratings of 15 rake or non-
pooled bonds from six CMBS transactions on review for possible
downgrade due to concerns about potential non-reimbursed trust
expenses and interest shortfalls related to the Chapter 11
bankruptcy filing of General Growth Properties and affiliates on
April 16, 2009. In these transactions, Moody's rated promise is
to the timely payment of interest and ultimate payment of
principal by the final rated distribution date. Moody's action
reflects the possibility that non-reimbursed trust expenses and
interest shortfalls may cause a disruption in the timely payment
of interest on the rake or non-pooled bonds.
Like non-pooled bonds, rake bonds are exposed to the first loss
occurring on a single loan, or to the non-reimbursed trust
expenses and interest shortfalls that may occur as a result of the
loan being transferred to special servicing. There is no benefit
from the pooling of cash flows from other loans. As a result,
special servicing fees, legal expenses, and other trust expenses
may create interest shortfalls that could negatively impact the
non-rated or rated classes in reverse sequential order. In some
cases, these shortfalls and expenses may not be reimbursed by the
loan borrower upon the return of the loan to master servicing.
The bankruptcy filing includes 158 properties. Of these, 46
properties are in 39 Moody's rated U.S. CMBS transactions.
Moody's has reviewed the 39 deals and has concluded that no action
is warranted at this time on the remaining 33 deals where pooled
GGP loans were subject to the Chapter 11 filing. Moody's will
continue to monitor the GGP bankruptcy case and the transactions
with exposure to GGP; if there are any material changes, rating
actions will be taken, if warranted.
In Moody's review, Moody's concluded that the GGP exposure was not
material in some deals. In others, prior rating actions reflected
a below-investment grade underlying rating for the asset
commensurate with the current risk. Finally, in the remaining
deals, amortization and improved property performance, along with
bond level paydowns and increased credit enhancement, mitigated
the increased probability of default and expected loss associated
with GGP's bankruptcy filing. In addition, when interest
shortfalls and non-reimbursed trust expenses occur in the
transactions in which the GGP affected loans are pooled, there is
a non-rated class or classes that have an appropriate low rating
to absorb these shortfalls.
Moody's rating action is:
Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2006-C5
-- Class AMP-1, $40,000,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from Baa1
on 2/9/2009
-- Class AMP-2, $48,000,000, currently rated Baa3; on review for
possible downgrade; previously downgraded to Baa3 from Baa2
on 2/9/2009
-- Class AMP-3, $27,000,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from Baa3 on
2/9/2009.
These classes are supported by a B note secured by the borrower's
interest in Ala Moana Center, a 2.0 million square foot regional
mall and office component located in Honolulu, Hawaii. The Ala
Moana Center is the dominant retail center in its trade area and
is considered the world's largest open-air shopping center. The
property recently completed an expansion that included a 200,000
square foot Nordstrom department store as well as 100,000 square
feet of additional retail space.
Moody's prior full review is summarized in a press release dated
February 9, 2009.
Gallery at Harborplace Mortgage Trust Commercial Mortgage Pass-
Through Certificates, Series 2000-C5C
-- Class B-1, $3,200,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from A3 on
3/11/2009
-- Class B-2, $5,100,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from Baa2 on
3/11/2009
-- Class B-3, $2,200,000, currently rated Ba2, on review for
possible downgrade; previously downgraded to Ba2 from Baa3 on
3/11/2009
These classes are supported by a B note secured by the borrower's
interest in Gallery at Harborplace, a 404,000 square foot office
and retail mixed use complex located within the Inner Harbor
development in Baltimore, Maryland. The property was developed in
1987 by The Rouse Company which was acquired by GGP in 2004.
Moody's prior full review is summarized in a press release dated
March 11, 2009.
GE Commercial Mortgage Corporation, Commercial Mortgage Pass-
Through Certificates, Series 2003-C2
-- Class BLVD-1, $1,706,377, currently rated A2, on review for
possible downgrade; previously affirmed at A2 on 11/7/2007
-- Class BLVD-2, $2,501,000, currently rated A3, on review for
possible downgrade; previously affirmed at A3 on 11/7/2007
-- Class BLVD-3, $4,502,000, currently rated Baa1, on review for
possible downgrade; previously affirmed at Baa1 on 11/7/2007
-- Class BLVD-4, $3,549,000, currently rated Baa2, on review for
possible downgrade; previously affirmed at Baa2 on 11/7/2007
-- Class BLVD-5, $7,960,750, currently rated Baa3, on review for
possible downgrade; previously affirmed at Baa3 on 11/7/2007
These classes are supported by a B note secured by the borrower's
interest in Boulevard Mall, a 1.2 million square foot shopping
center located in Las Vegas, Nevada. The center is anchored by
Sears, Dillard's, Macy's and J.C. Penney.
Moody's prior full review is summarized in a press release dated
November 7, 2007.
GS Mortgage Securities Corporation II, Commercial Pass-Through
Certificates, Series 2001-GL III
-- Class F-NFC, $10,460,000, currently rated Aa3, on review for
possible downgrade; previously downgraded to Aa3 from Aa2 on
3/19/2009
-- Class G-NFC, $5,910,569, currently rated A1, on review for
possible downgrade; previously downgraded to A1 from Aa3 on
7/31/2008
These classes are supported by a B note secured by the borrower's
interest in Northridge Fashion Center, a 1.4 million square foot
regional mall located in Northridge, California. The mall is
anchored by Macy's, Sears and J.C. Penney.
Moody's prior full review is summarized in a press release dated
July 31, 2008.
Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2004-C14
-- Class PP, $37,145,889, currently rated Ba1, on review for
possible downgrade; previously affirmed at Ba1 on 5/4/2007
The class is supported by a B note secured by the borrower's
interest in Park Place Mall, a 1.0 million square foot regional
mall located in Tucson, Arizona. The center is anchored by Sears,
Dillard's and Macy's.
Moody's prior full review is summarized in a press release dated
May 4, 2007.
Wachovia Bank Commercial Mortgage Trust 2006-C26, Commercial Pass-
Through Certificates, Series 2006-C26
-- Class WM, $10,000,000, currently rated Baa3, on review for
possible downgrade; previously affirmed at Baa3 on 2/10/2009
The class is supported by a B note secured by the borrower's
interest in Woodlands Mall, 1.4 million square foot mall located
in Woodlands, Texas. The center is anchored by Dillard's,
Foley's, Sears and J.C. Penney.
Moody's prior full review is summarized in a press release dated
February 10, 2009.
CORIOLANUS LIMITED: Moody's Junks Rating on $125 Mil. Notes
-----------------------------------------------------------
Moody's Investors Service downgraded its rating of Series 82
$125,000,000 Variable Floating Rate CDO Linked Secured Notes due
2051 issued pursuant to its EUR10,000,000,000 Secured Note
Programme issued by Coriolanus Limited.
The rating actions are:
Class Description: Series 82 $125,000,000 Variable Floating Rate
CDO Linked Secured Notes due 2051
-- Current Rating: Ca
-- Prior Rating: B1 on review for possible downgrade
-- Prior Rating Date: 07/22/08
The transaction is a repackaged security whose rating changes with
the ratings of the underlying securities. The rating action is a
result of the change of the ratings of Class A-1 Senior Secured
Floating Rate Notes Due December 2051 and Class A-2 Senior Secured
Floating Rate Notes Due December 2051.
CORONADO CDO: Fitch Junks Ratings on Four Classes of Notes
----------------------------------------------------------
Fitch Ratings downgrades six classes of notes issued by Coronado
CDO, Ltd./Inc.:
-- $242,473,673 class A-1 notes to 'BB' from 'AA'; Outlook
Negative;
-- $3,215,831 class A-2 notes to 'BB' from 'AA'; Outlook
Negative;
-- $62,000,000 class B-1 notes to 'CC' from 'BB';
-- $15,000,000 class B-2 notes to 'CC' from 'BB';
-- $6,750,000 class C-1 notes to 'C' from 'B';
-- $13,500,000 class C-2 notes to 'C' from 'B'.
Fitch has also removed the class B-1, B-2 (together, class B), C-1
and C-2 (together, class C) notes from Rating Watch Negative.
The class A-1 and A-2 (together, class A) notes were assigned a
Negative Outlook 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.
The downgrades to the notes are the result of credit deterioration
experienced since Fitch's review in May 2008, and reflect 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 38.7% of the portfolio to
be rated below investment grade with 21.5% of the portfolio
considered rated 'CCC+' or lower. Approximately 19% of the
portfolio is now considered defaulted per the transaction's
governing documents.
MBIA Inc. insures the class A notes via an unconditional,
irrevocable financial guarantee. However, because Fitch no longer
rates MBIA, the current rating of the class A notes is based
solely on the credit quality of the portfolio and on structural
features of the transaction. Interest proceeds have been diverted
to redeem class A principal after paying class B accrued interest
on the previous two distribution dates due to the failure of the
class B overcollateralization test. The class B OC ratio was
89.3% versus its trigger of 104.9% as of the March 31, 2009
trustee report. The class A OC test began to fail as of the March
31, 2009 trustee report with a ratio of 117.3% versus a 118.9%
threshold. Class B will continue to receive interest even if the
class A OC test continues to fail on the June 2009 payment date as
class B accrued interest is paid prior the class A OC test.
The class B notes will continue to receive timely accrued interest
distributions due to its position in the priority of payments.
However, based on the performance expectations of the 'CCC+' or
lower rated portion of the portfolio, they are not expected to
receive any significant principal distributions. The class C-1
and C-2 notes are not expected to receive any interest or
principal distributions going forward due to the failure of the
class B OC test, which is unlikely to be cured.
Coronado is a SF CDO that closed on Sept. 4, 2003 and is managed
by Western Asset Management Company. Coronado exited its
reinvestment period in March 2007. The portfolio is comprised
primarily of RMBS (63.9%), asset-backed securities (17.1%),
commercial mortgage-backed securities (15%) and corporate CDOs
(3.6%).
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.
CORPORATE BACKED: S&P Raises Rating on $25 Mil. Certs. to 'CCC-'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on Corporate
Backed Trust Certificates Ford Motor Co. Note-Backed Series 2003-6
Trust's $25 million class A-1 8.0% pass-through certificates
series 2003-6 to 'CCC-' from 'D'.
The rating action follows the April 13, 2009, raising of S&P's
rating on Ford Motor Co.'s 7.45% global landmark securities due
July 16, 2031, the underlying security, to 'CCC-' from 'D'.
The rating on the class A-1 certificates is dependent on the
rating on the underlying security.
CORTS TRUST: S&P Raises Rating on $219.584 Mil. Notes to 'CCC-'
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on CorTS
Trust II for Ford Notes' $219.584 million 8.0% pass-through trust
certificates series 2003-3 to 'CCC-' from 'D'.
The rating action follows the April 13, 2009, raising of S&P's
rating on Ford Motor Co.'s 7.45% global landmark securities due
July 16, 2031, the underlying security, to 'CCC-' from 'D'.
The rating on the series 2003-3 trust certificates is dependent on
the rating on the underlying security.
CORTS TRUST: S&P Raises Rating on $300 Mil. Certs. to 'CCC-'
------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on CorTS
Trust For Ford Debentures' $300 million 7.4% pass-through
certificates to 'CCC-' from 'D'.
The rating action follows the April 13, 2009, raising of S&P's
rating on Ford Motor Co.'s 7.4% debentures due Nov. 1, 2046, the
underlying security, to 'CCC-' from 'D'.
The rating on the certificates is dependent on the rating on the
underlying security.
CRAFT 2005-3: Moody's Junks Ratings on Series M-2 Notes
-------------------------------------------------------
Moody's Investors Service has downgraded its rating of notes
issued by CRAFT 2005-3, Ltd., replenishable synthetic Balance
Sheet collateralized debt obligation transactions referencing a
pool of bank originated corporate loans.
The rating action reflects (a) the deterioration in the credit
quality of the transaction's reference portfolio and (b) the
revision of certain key assumptions that the agency uses to rate
and monitor corporate synthetic CDOs. These revised assumptions
incorporate Moody's expectation that global corporate default
rates are likely to greatly exceed their historical long-term
averages and reflect the heightened interdependence of credit
markets in the current global economic contraction.
Specifically, the changes include: (1) a 30% increase in the
assumed likelihood of default for corporate credits in CDOs (2) an
increase in the degree to which ratings are adjusted according to
other credit indicators such as rating Reviews and Outlooks and
(3) an increase in the default correlation applied to corporate
portfolios as generated through a combination of higher default
rates and increased asset correlations.
These revised assumptions are described in greater detail in the
press release titled "Moody's updates key assumptions for rating
corporate synthetic CDOs" published on January 15, 2009. Moody's
notes that the global corporate loan sector currently has a
negative outlook and has shown signs of increasing weakness in
terms of credit performance.
In addition, for the majority of the underlying referenced assets,
the equivalent Moody's ratings used in Moody's analysis are
obtained through a mapping process between the originator's
internal rating scale and Moody's public rating scale. To
compensate for the absence of credit indicators such as ratings
reviews and outlooks in mapped ratings, a half notch stress was
applied to the mapping scale. Because this mapping was performed
prior to 1st April 2007, an additional stress was applied to
capture potential deviations from the established mapping.
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 Approach To Rating Corporate Collateralized Synthetic
Obligations (March 2009)
-- Modeling Recovery Rates in European CDOs
The rating action is:
Class Description: Series M-2 Mezzanine Credit Linked Notes due
2012
-- Current Rating: Caa3
-- Prior Rating: Ba2
-- Prior Rating Date: September 28, 2006
EL PASO HOUSING: Moody's Affirms 'Ba3' Rating on Jr. Sub Bonds
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on El Paso
Housing Corporation, Multifamily Housing Revenue Bonds (La Plaza
Apartments): Baa1 on the Series 2000 A and B; Baa3 on the
Subordinate Series C; and Ba3 on the Junior Subordinate Series D.
The outlook is revised to negative from stable.
Use Of Proceeds: The bonds were issued for the purpose of
financing the acquisition, rehabilitation and equipping of a 129
unit multifamily housing development located in El Paso, Texas and
occupied by persons of low and moderate income.
Legal Security: The bonds are limited obligations of the issuer
payable solely from and secured, to the extent and as provided in
the indenture, by pledge of: 1) all right and title interest of
the issuer; 2) funds, including monies and investments held by the
trustee pursuant to the indenture.
Strengths:
* Strong reserve balances with maximum annual debt service reserve
fully funded. As of September 30, 2008, the senior, junior and
junior subordinate funds are fully funded.
* The project consistently maintains strong debt service coverage
(1.52/1.31/1.13) senior, junior and junior subordinate
respectively.
* The project consistently maintains high occupancy levels (97% as
of March 2009).
Challenges
* Growing expenses charged to reserve and replacement balances may
become recurring expenses, thereby reducing net operating income
* Small size of the projects make cash flow somewhat volatile, as
small swings in revenues or expenses can have a
disproportionately large impact on NOI;
* Potential market competition arising from increased multifamily
building may attract tenants, possible increasing vacancy.
* Market forecast indicates slow or stagnant rental revenue growth
which may necessitate prolonged concessions as well as limiting
rental increases
Outlook
The outlook is revised to negative from stable for the Senior,
Subordinate and Junior Subordinate Bonds. This reflects Moody's
the projects declining debt service coverage as well as a
weakening growth in the El Paso rental market.
What Could Cause the rating to go UP
Significant improvement in debt service coverage.
What Could Cause the rating to go DOWN
The deterioration of occupancy levels or declines in debt service
coverage.
Capital expenditures becoming more frequent, thereby reducing net
operating income.
GALLERY AT HARBORPLACE: GGP Bankruptcy Cues Moody's Study on Bonds
------------------------------------------------------------------
Moody's Investors Service placed the ratings of 15 rake or non-
pooled bonds from six CMBS transactions on review for possible
downgrade due to concerns about potential non-reimbursed trust
expenses and interest shortfalls related to the Chapter 11
bankruptcy filing of General Growth Properties and affiliates on
April 16, 2009. In these transactions, Moody's rated promise is
to the timely payment of interest and ultimate payment of
principal by the final rated distribution date. Moody's action
reflects the possibility that non-reimbursed trust expenses and
interest shortfalls may cause a disruption in the timely payment
of interest on the rake or non-pooled bonds.
Like non-pooled bonds, rake bonds are exposed to the first loss
occurring on a single loan, or to the non-reimbursed trust
expenses and interest shortfalls that may occur as a result of the
loan being transferred to special servicing. There is no benefit
from the pooling of cash flows from other loans. As a result,
special servicing fees, legal expenses, and other trust expenses
may create interest shortfalls that could negatively impact the
non-rated or rated classes in reverse sequential order. In some
cases, these shortfalls and expenses may not be reimbursed by the
loan borrower upon the return of the loan to master servicing.
The bankruptcy filing includes 158 properties. Of these, 46
properties are in 39 Moody's rated U.S. CMBS transactions.
Moody's has reviewed the 39 deals and has concluded that no action
is warranted at this time on the remaining 33 deals where pooled
GGP loans were subject to the Chapter 11 filing. Moody's will
continue to monitor the GGP bankruptcy case and the transactions
with exposure to GGP; if there are any material changes, rating
actions will be taken, if warranted.
In Moody's review, Moody's concluded that the GGP exposure was not
material in some deals. In others, prior rating actions reflected
a below-investment grade underlying rating for the asset
commensurate with the current risk. Finally, in the remaining
deals, amortization and improved property performance, along with
bond level paydowns and increased credit enhancement, mitigated
the increased probability of default and expected loss associated
with GGP's bankruptcy filing. In addition, when interest
shortfalls and non-reimbursed trust expenses occur in the
transactions in which the GGP affected loans are pooled, there is
a non-rated class or classes that have an appropriate low rating
to absorb these shortfalls.
Moody's rating action is:
Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2006-C5
-- Class AMP-1, $40,000,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from Baa1
on 2/9/2009
-- Class AMP-2, $48,000,000, currently rated Baa3; on review for
possible downgrade; previously downgraded to Baa3 from Baa2
on 2/9/2009
-- Class AMP-3, $27,000,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from Baa3 on
2/9/2009.
These classes are supported by a B note secured by the borrower's
interest in Ala Moana Center, a 2.0 million square foot regional
mall and office component located in Honolulu, Hawaii. The Ala
Moana Center is the dominant retail center in its trade area and
is considered the world's largest open-air shopping center. The
property recently completed an expansion that included a 200,000
square foot Nordstrom department store as well as 100,000 square
feet of additional retail space.
Moody's prior full review is summarized in a press release dated
February 9, 2009.
Gallery at Harborplace Mortgage Trust Commercial Mortgage Pass-
Through Certificates, Series 2000-C5C
-- Class B-1, $3,200,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from A3 on
3/11/2009
-- Class B-2, $5,100,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from Baa2 on
3/11/2009
-- Class B-3, $2,200,000, currently rated Ba2, on review for
possible downgrade; previously downgraded to Ba2 from Baa3 on
3/11/2009
These classes are supported by a B note secured by the borrower's
interest in Gallery at Harborplace, a 404,000 square foot office
and retail mixed use complex located within the Inner Harbor
development in Baltimore, Maryland. The property was developed in
1987 by The Rouse Company which was acquired by GGP in 2004.
Moody's prior full review is summarized in a press release dated
March 11, 2009.
GE Commercial Mortgage Corporation, Commercial Mortgage Pass-
Through Certificates, Series 2003-C2
-- Class BLVD-1, $1,706,377, currently rated A2, on review for
possible downgrade; previously affirmed at A2 on 11/7/2007
-- Class BLVD-2, $2,501,000, currently rated A3, on review for
possible downgrade; previously affirmed at A3 on 11/7/2007
-- Class BLVD-3, $4,502,000, currently rated Baa1, on review for
possible downgrade; previously affirmed at Baa1 on 11/7/2007
-- Class BLVD-4, $3,549,000, currently rated Baa2, on review for
possible downgrade; previously affirmed at Baa2 on 11/7/2007
-- Class BLVD-5, $7,960,750, currently rated Baa3, on review for
possible downgrade; previously affirmed at Baa3 on 11/7/2007
These classes are supported by a B note secured by the borrower's
interest in Boulevard Mall, a 1.2 million square foot shopping
center located in Las Vegas, Nevada. The center is anchored by
Sears, Dillard's, Macy's and J.C. Penney.
Moody's prior full review is summarized in a press release dated
November 7, 2007.
GS Mortgage Securities Corporation II, Commercial Pass-Through
Certificates, Series 2001-GL III
-- Class F-NFC, $10,460,000, currently rated Aa3, on review for
possible downgrade; previously downgraded to Aa3 from Aa2 on
3/19/2009
-- Class G-NFC, $5,910,569, currently rated A1, on review for
possible downgrade; previously downgraded to A1 from Aa3 on
7/31/2008
These classes are supported by a B note secured by the borrower's
interest in Northridge Fashion Center, a 1.4 million square foot
regional mall located in Northridge, California. The mall is
anchored by Macy's, Sears and J.C. Penney.
Moody's prior full review is summarized in a press release dated
July 31, 2008.
Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2004-C14
-- Class PP, $37,145,889, currently rated Ba1, on review for
possible downgrade; previously affirmed at Ba1 on 5/4/2007
The class is supported by a B note secured by the borrower's
interest in Park Place Mall, a 1.0 million square foot regional
mall located in Tucson, Arizona. The center is anchored by Sears,
Dillard's and Macy's.
Moody's prior full review is summarized in a press release dated
May 4, 2007.
Wachovia Bank Commercial Mortgage Trust 2006-C26, Commercial Pass-
Through Certificates, Series 2006-C26
-- Class WM, $10,000,000, currently rated Baa3, on review for
possible downgrade; previously affirmed at Baa3 on 2/10/2009
The class is supported by a B note secured by the borrower's
interest in Woodlands Mall, 1.4 million square foot mall located
in Woodlands, Texas. The center is anchored by Dillard's,
Foley's, Sears and J.C. Penney.
Moody's prior full review is summarized in a press release dated
February 10, 2009.
GE COMMERCIAL: GGP Bankruptcy Cues Moody's Review on Rake Bonds
----------------------------------------------------------------
Moody's Investors Service placed the ratings of 15 rake or non-
pooled bonds from six CMBS transactions on review for possible
downgrade due to concerns about potential non-reimbursed trust
expenses and interest shortfalls related to the Chapter 11
bankruptcy filing of General Growth Properties and affiliates on
April 16, 2009. In these transactions, Moody's rated promise is
to the timely payment of interest and ultimate payment of
principal by the final rated distribution date. Moody's action
reflects the possibility that non-reimbursed trust expenses and
interest shortfalls may cause a disruption in the timely payment
of interest on the rake or non-pooled bonds.
Like non-pooled bonds, rake bonds are exposed to the first loss
occurring on a single loan, or to the non-reimbursed trust
expenses and interest shortfalls that may occur as a result of the
loan being transferred to special servicing. There is no benefit
from the pooling of cash flows from other loans. As a result,
special servicing fees, legal expenses, and other trust expenses
may create interest shortfalls that could negatively impact the
non-rated or rated classes in reverse sequential order. In some
cases, these shortfalls and expenses may not be reimbursed by the
loan borrower upon the return of the loan to master servicing.
The bankruptcy filing includes 158 properties. Of these, 46
properties are in 39 Moody's rated U.S. CMBS transactions.
Moody's has reviewed the 39 deals and has concluded that no action
is warranted at this time on the remaining 33 deals where pooled
GGP loans were subject to the Chapter 11 filing. Moody's will
continue to monitor the GGP bankruptcy case and the transactions
with exposure to GGP; if there are any material changes, rating
actions will be taken, if warranted.
In Moody's review, Moody's concluded that the GGP exposure was not
material in some deals. In others, prior rating actions reflected
a below-investment grade underlying rating for the asset
commensurate with the current risk. Finally, in the remaining
deals, amortization and improved property performance, along with
bond level paydowns and increased credit enhancement, mitigated
the increased probability of default and expected loss associated
with GGP's bankruptcy filing. In addition, when interest
shortfalls and non-reimbursed trust expenses occur in the
transactions in which the GGP affected loans are pooled, there is
a non-rated class or classes that have an appropriate low rating
to absorb these shortfalls.
Moody's rating action is:
Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2006-C5
-- Class AMP-1, $40,000,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from Baa1
on 2/9/2009
-- Class AMP-2, $48,000,000, currently rated Baa3; on review for
possible downgrade; previously downgraded to Baa3 from Baa2
on 2/9/2009
-- Class AMP-3, $27,000,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from Baa3 on
2/9/2009.
These classes are supported by a B note secured by the borrower's
interest in Ala Moana Center, a 2.0 million square foot regional
mall and office component located in Honolulu, Hawaii. The Ala
Moana Center is the dominant retail center in its trade area and
is considered the world's largest open-air shopping center. The
property recently completed an expansion that included a 200,000
square foot Nordstrom department store as well as 100,000 square
feet of additional retail space.
Moody's prior full review is summarized in a press release dated
February 9, 2009.
Gallery at Harborplace Mortgage Trust Commercial Mortgage Pass-
Through Certificates, Series 2000-C5C
-- Class B-1, $3,200,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from A3 on
3/11/2009
-- Class B-2, $5,100,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from Baa2 on
3/11/2009
-- Class B-3, $2,200,000, currently rated Ba2, on review for
possible downgrade; previously downgraded to Ba2 from Baa3 on
3/11/2009
These classes are supported by a B note secured by the borrower's
interest in Gallery at Harborplace, a 404,000 square foot office
and retail mixed use complex located within the Inner Harbor
development in Baltimore, Maryland. The property was developed in
1987 by The Rouse Company which was acquired by GGP in 2004.
Moody's prior full review is summarized in a press release dated
March 11, 2009.
GE Commercial Mortgage Corporation, Commercial Mortgage Pass-
Through Certificates, Series 2003-C2
-- Class BLVD-1, $1,706,377, currently rated A2, on review for
possible downgrade; previously affirmed at A2 on 11/7/2007
-- Class BLVD-2, $2,501,000, currently rated A3, on review for
possible downgrade; previously affirmed at A3 on 11/7/2007
-- Class BLVD-3, $4,502,000, currently rated Baa1, on review for
possible downgrade; previously affirmed at Baa1 on 11/7/2007
-- Class BLVD-4, $3,549,000, currently rated Baa2, on review for
possible downgrade; previously affirmed at Baa2 on 11/7/2007
-- Class BLVD-5, $7,960,750, currently rated Baa3, on review for
possible downgrade; previously affirmed at Baa3 on 11/7/2007
These classes are supported by a B note secured by the borrower's
interest in Boulevard Mall, a 1.2 million square foot shopping
center located in Las Vegas, Nevada. The center is anchored by
Sears, Dillard's, Macy's and J.C. Penney.
Moody's prior full review is summarized in a press release dated
November 7, 2007.
GS Mortgage Securities Corporation II, Commercial Pass-Through
Certificates, Series 2001-GL III
-- Class F-NFC, $10,460,000, currently rated Aa3, on review for
possible downgrade; previously downgraded to Aa3 from Aa2 on
3/19/2009
-- Class G-NFC, $5,910,569, currently rated A1, on review for
possible downgrade; previously downgraded to A1 from Aa3 on
7/31/2008
These classes are supported by a B note secured by the borrower's
interest in Northridge Fashion Center, a 1.4 million square foot
regional mall located in Northridge, California. The mall is
anchored by Macy's, Sears and J.C. Penney.
Moody's prior full review is summarized in a press release dated
July 31, 2008.
Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2004-C14
-- Class PP, $37,145,889, currently rated Ba1, on review for
possible downgrade; previously affirmed at Ba1 on 5/4/2007
The class is supported by a B note secured by the borrower's
interest in Park Place Mall, a 1.0 million square foot regional
mall located in Tucson, Arizona. The center is anchored by Sears,
Dillard's and Macy's.
Moody's prior full review is summarized in a press release dated
May 4, 2007.
Wachovia Bank Commercial Mortgage Trust 2006-C26, Commercial Pass-
Through Certificates, Series 2006-C26
-- Class WM, $10,000,000, currently rated Baa3, on review for
possible downgrade; previously affirmed at Baa3 on 2/10/2009
The class is supported by a B note secured by the borrower's
interest in Woodlands Mall, 1.4 million square foot mall located
in Woodlands, Texas. The center is anchored by Dillard's,
Foley's, Sears and J.C. Penney.
Moody's prior full review is summarized in a press release dated
February 10, 2009.
GENERAL GROWTH: Bankruptcy Cues Moody's Review on 15 Rake Bonds
--------------------------------------------------------------
Moody's Investors Service placed the ratings of 15 rake or non-
pooled bonds from six CMBS transactions on review for possible
downgrade due to concerns about potential non-reimbursed trust
expenses and interest shortfalls related to the Chapter 11
bankruptcy filing of General Growth Properties and affiliates on
April 16, 2009. In these transactions, Moody's rated promise is
to the timely payment of interest and ultimate payment of
principal by the final rated distribution date. Moody's action
reflects the possibility that non-reimbursed trust expenses and
interest shortfalls may cause a disruption in the timely payment
of interest on the rake or non-pooled bonds.
Like non-pooled bonds, rake bonds are exposed to the first loss
occurring on a single loan, or to the non-reimbursed trust
expenses and interest shortfalls that may occur as a result of the
loan being transferred to special servicing. There is no benefit
from the pooling of cash flows from other loans. As a result,
special servicing fees, legal expenses, and other trust expenses
may create interest shortfalls that could negatively impact the
non-rated or rated classes in reverse sequential order. In some
cases, these shortfalls and expenses may not be reimbursed by the
loan borrower upon the return of the loan to master servicing.
The bankruptcy filing includes 158 properties. Of these, 46
properties are in 39 Moody's rated U.S. CMBS transactions.
Moody's has reviewed the 39 deals and has concluded that no action
is warranted at this time on the remaining 33 deals where pooled
GGP loans were subject to the Chapter 11 filing. Moody's will
continue to monitor the GGP bankruptcy case and the transactions
with exposure to GGP; if there are any material changes, rating
actions will be taken, if warranted.
In Moody's review, Moody's concluded that the GGP exposure was not
material in some deals. In others, prior rating actions reflected
a below-investment grade underlying rating for the asset
commensurate with the current risk. Finally, in the remaining
deals, amortization and improved property performance, along with
bond level paydowns and increased credit enhancement, mitigated
the increased probability of default and expected loss associated
with GGP's bankruptcy filing. In addition, when interest
shortfalls and non-reimbursed trust expenses occur in the
transactions in which the GGP affected loans are pooled, there is
a non-rated class or classes that have an appropriate low rating
to absorb these shortfalls.
Moody's rating action is:
Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2006-C5
-- Class AMP-1, $40,000,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from Baa1
on 2/9/2009
-- Class AMP-2, $48,000,000, currently rated Baa3; on review for
possible downgrade; previously downgraded to Baa3 from Baa2
on 2/9/2009
-- Class AMP-3, $27,000,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from Baa3 on
2/9/2009.
These classes are supported by a B note secured by the borrower's
interest in Ala Moana Center, a 2.0 million square foot regional
mall and office component located in Honolulu, Hawaii. The Ala
Moana Center is the dominant retail center in its trade area and
is considered the world's largest open-air shopping center. The
property recently completed an expansion that included a 200,000
square foot Nordstrom department store as well as 100,000 square
feet of additional retail space.
Moody's prior full review is summarized in a press release dated
February 9, 2009.
Gallery at Harborplace Mortgage Trust Commercial Mortgage Pass-
Through Certificates, Series 2000-C5C
-- Class B-1, $3,200,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from A3 on
3/11/2009
-- Class B-2, $5,100,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from Baa2 on
3/11/2009
-- Class B-3, $2,200,000, currently rated Ba2, on review for
possible downgrade; previously downgraded to Ba2 from Baa3 on
3/11/2009
These classes are supported by a B note secured by the borrower's
interest in Gallery at Harborplace, a 404,000 square foot office
and retail mixed use complex located within the Inner Harbor
development in Baltimore, Maryland. The property was developed in
1987 by The Rouse Company which was acquired by GGP in 2004.
Moody's prior full review is summarized in a press release dated
March 11, 2009.
GE Commercial Mortgage Corporation, Commercial Mortgage Pass-
Through Certificates, Series 2003-C2
-- Class BLVD-1, $1,706,377, currently rated A2, on review for
possible downgrade; previously affirmed at A2 on 11/7/2007
-- Class BLVD-2, $2,501,000, currently rated A3, on review for
possible downgrade; previously affirmed at A3 on 11/7/2007
-- Class BLVD-3, $4,502,000, currently rated Baa1, on review for
possible downgrade; previously affirmed at Baa1 on 11/7/2007
-- Class BLVD-4, $3,549,000, currently rated Baa2, on review for
possible downgrade; previously affirmed at Baa2 on 11/7/2007
-- Class BLVD-5, $7,960,750, currently rated Baa3, on review for
possible downgrade; previously affirmed at Baa3 on 11/7/2007
These classes are supported by a B note secured by the borrower's
interest in Boulevard Mall, a 1.2 million square foot shopping
center located in Las Vegas, Nevada. The center is anchored by
Sears, Dillard's, Macy's and J.C. Penney.
Moody's prior full review is summarized in a press release dated
November 7, 2007.
GS Mortgage Securities Corporation II, Commercial Pass-Through
Certificates, Series 2001-GL III
-- Class F-NFC, $10,460,000, currently rated Aa3, on review for
possible downgrade; previously downgraded to Aa3 from Aa2 on
3/19/2009
-- Class G-NFC, $5,910,569, currently rated A1, on review for
possible downgrade; previously downgraded to A1 from Aa3 on
7/31/2008
These classes are supported by a B note secured by the borrower's
interest in Northridge Fashion Center, a 1.4 million square foot
regional mall located in Northridge, California. The mall is
anchored by Macy's, Sears and J.C. Penney.
Moody's prior full review is summarized in a press release dated
July 31, 2008.
Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2004-C14
-- Class PP, $37,145,889, currently rated Ba1, on review for
possible downgrade; previously affirmed at Ba1 on 5/4/2007
The class is supported by a B note secured by the borrower's
interest in Park Place Mall, a 1.0 million square foot regional
mall located in Tucson, Arizona. The center is anchored by Sears,
Dillard's and Macy's.
Moody's prior full review is summarized in a press release dated
May 4, 2007.
Wachovia Bank Commercial Mortgage Trust 2006-C26, Commercial Pass-
Through Certificates, Series 2006-C26
-- Class WM, $10,000,000, currently rated Baa3, on review for
possible downgrade; previously affirmed at Baa3 on 2/10/2009
The class is supported by a B note secured by the borrower's
interest in Woodlands Mall, 1.4 million square foot mall located
in Woodlands, Texas. The center is anchored by Dillard's,
Foley's, Sears and J.C. Penney.
Moody's prior full review is summarized in a press release dated
February 10, 2009.
GMAC COMMERCIAL: Fitch Puts Ratings on 11 Notes on Negative Watch
-----------------------------------------------------------------
Fitch Ratings-New York-20 April 2009: Fitch Ratings has placed on
Rating Watch Negative these 11 classes of GMAC Commercial Mortgage
Securities, Inc.'s commercial mortgage pass-through certificates,
series 2005-C1:
-- $127.8 million class A-J 'AAA'; Rating Watch Negative;
-- $34 million class B 'AA'; Rating Watch Negative;
-- $12 million class C 'A+'; Rating Watch Negative;
-- $24 million class D 'A-'; Rating Watch Negative;
-- $16 million class E 'BBB+'; Rating Watch Negative;
-- $16 million class F 'BBB-'; Rating Watch Negative;
-- $16 million class G 'BB-'; Rating Watch Negative;
-- $20 million class H 'B-'; Rating Watch Negative;
-- $6 million class J 'CCC/DR1'; Rating Watch Negative;
-- $6 million class K 'CCC/DR2'; Rating Watch Negative;
-- $8 million class L 'CC/DR4'; Rating Watch Negative.
The Rating Watch Negative placements on classes A-J through L are
due to the recent transfer of the sixth largest loan in the
transaction: 3301 N. Buffalo Drive (3.9%).
The 3301 N. Buffalo Drive loan is collateralized by a 321,041
square foot class A office property located in Las Vegas, NV. The
loan was transferred to special servicing on April 17, 2009 due to
imminent default. The property suffered a substantial decline in
occupancy that has affected the borrower's ability to service the
debt. Based on the most recent rent roll, an additional 114,353
square feet of space at the property (36%) corresponds to leases
that expire in 2009 or that are currently operating on a month-to-
month basis. The most recent servicer-reported debt service
coverage ratio was 1.43 times (x) as of year-end 2008, and the
occupancy was 59.2% as of the same date. This compares to a
reported DSCR of 1.90x and occupancy of 93.4% at year-end 2007.
In addition to the newly transferred loan, an additional five
assets (3.6%) are currently with the special servicer, one of
which (0.9%) transferred subsequent to the previous Fitch rating
action. Fitch expects losses on four of the five assets (3.4%)
that transferred prior to the April remittance date.
Fitch expects to resolve the Rating Watch status of these classes
as more information about the potential workout scenarios and an
updated valuation of the loan become available. Fitch considers
the Outlooks on the 'AAA' rated classes senior to class A-J to be
Stable due to potential losses having limited impact on credit
enhancement given the size of the A-J class.
GS MORTGAGE: GGP Bankruptcy Cudes Moody's Review on Rake Bonds
--------------------------------------------------------------
Moody's Investors Service placed the ratings of 15 rake or non-
pooled bonds from six CMBS transactions on review for possible
downgrade due to concerns about potential non-reimbursed trust
expenses and interest shortfalls related to the Chapter 11
bankruptcy filing of General Growth Properties and affiliates on
April 16, 2009. In these transactions, Moody's rated promise is
to the timely payment of interest and ultimate payment of
principal by the final rated distribution date. Moody's action
reflects the possibility that non-reimbursed trust expenses and
interest shortfalls may cause a disruption in the timely payment
of interest on the rake or non-pooled bonds.
Like non-pooled bonds, rake bonds are exposed to the first loss
occurring on a single loan, or to the non-reimbursed trust
expenses and interest shortfalls that may occur as a result of the
loan being transferred to special servicing. There is no benefit
from the pooling of cash flows from other loans. As a result,
special servicing fees, legal expenses, and other trust expenses
may create interest shortfalls that could negatively impact the
non-rated or rated classes in reverse sequential order. In some
cases, these shortfalls and expenses may not be reimbursed by the
loan borrower upon the return of the loan to master servicing.
The bankruptcy filing includes 158 properties. Of these, 46
properties are in 39 Moody's rated U.S. CMBS transactions.
Moody's has reviewed the 39 deals and has concluded that no action
is warranted at this time on the remaining 33 deals where pooled
GGP loans were subject to the Chapter 11 filing. Moody's will
continue to monitor the GGP bankruptcy case and the transactions
with exposure to GGP; if there are any material changes, rating
actions will be taken, if warranted.
In Moody's review, Moody's concluded that the GGP exposure was not
material in some deals. In others, prior rating actions reflected
a below-investment grade underlying rating for the asset
commensurate with the current risk. Finally, in the remaining
deals, amortization and improved property performance, along with
bond level paydowns and increased credit enhancement, mitigated
the increased probability of default and expected loss associated
with GGP's bankruptcy filing. In addition, when interest
shortfalls and non-reimbursed trust expenses occur in the
transactions in which the GGP affected loans are pooled, there is
a non-rated class or classes that have an appropriate low rating
to absorb these shortfalls.
Moody's rating action is:
Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2006-C5
-- Class AMP-1, $40,000,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from Baa1
on 2/9/2009
-- Class AMP-2, $48,000,000, currently rated Baa3; on review for
possible downgrade; previously downgraded to Baa3 from Baa2
on 2/9/2009
-- Class AMP-3, $27,000,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from Baa3 on
2/9/2009.
These classes are supported by a B note secured by the borrower's
interest in Ala Moana Center, a 2.0 million square foot regional
mall and office component located in Honolulu, Hawaii. The Ala
Moana Center is the dominant retail center in its trade area and
is considered the world's largest open-air shopping center. The
property recently completed an expansion that included a 200,000
square foot Nordstrom department store as well as 100,000 square
feet of additional retail space.
Moody's prior full review is summarized in a press release dated
February 9, 2009.
Gallery at Harborplace Mortgage Trust Commercial Mortgage Pass-
Through Certificates, Series 2000-C5C
-- Class B-1, $3,200,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from A3 on
3/11/2009
-- Class B-2, $5,100,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from Baa2 on
3/11/2009
-- Class B-3, $2,200,000, currently rated Ba2, on review for
possible downgrade; previously downgraded to Ba2 from Baa3 on
3/11/2009
These classes are supported by a B note secured by the borrower's
interest in Gallery at Harborplace, a 404,000 square foot office
and retail mixed use complex located within the Inner Harbor
development in Baltimore, Maryland. The property was developed in
1987 by The Rouse Company which was acquired by GGP in 2004.
Moody's prior full review is summarized in a press release dated
March 11, 2009.
GE Commercial Mortgage Corporation, Commercial Mortgage Pass-
Through Certificates, Series 2003-C2
-- Class BLVD-1, $1,706,377, currently rated A2, on review for
possible downgrade; previously affirmed at A2 on 11/7/2007
-- Class BLVD-2, $2,501,000, currently rated A3, on review for
possible downgrade; previously affirmed at A3 on 11/7/2007
-- Class BLVD-3, $4,502,000, currently rated Baa1, on review for
possible downgrade; previously affirmed at Baa1 on 11/7/2007
-- Class BLVD-4, $3,549,000, currently rated Baa2, on review for
possible downgrade; previously affirmed at Baa2 on 11/7/2007
-- Class BLVD-5, $7,960,750, currently rated Baa3, on review for
possible downgrade; previously affirmed at Baa3 on 11/7/2007
These classes are supported by a B note secured by the borrower's
interest in Boulevard Mall, a 1.2 million square foot shopping
center located in Las Vegas, Nevada. The center is anchored by
Sears, Dillard's, Macy's and J.C. Penney.
Moody's prior full review is summarized in a press release dated
November 7, 2007.
GS Mortgage Securities Corporation II, Commercial Pass-Through
Certificates, Series 2001-GL III
-- Class F-NFC, $10,460,000, currently rated Aa3, on review for
possible downgrade; previously downgraded to Aa3 from Aa2 on
3/19/2009
-- Class G-NFC, $5,910,569, currently rated A1, on review for
possible downgrade; previously downgraded to A1 from Aa3 on
7/31/2008
These classes are supported by a B note secured by the borrower's
interest in Northridge Fashion Center, a 1.4 million square foot
regional mall located in Northridge, California. The mall is
anchored by Macy's, Sears and J.C. Penney.
Moody's prior full review is summarized in a press release dated
July 31, 2008.
Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2004-C14
-- Class PP, $37,145,889, currently rated Ba1, on review for
possible downgrade; previously affirmed at Ba1 on 5/4/2007
The class is supported by a B note secured by the borrower's
interest in Park Place Mall, a 1.0 million square foot regional
mall located in Tucson, Arizona. The center is anchored by Sears,
Dillard's and Macy's.
Moody's prior full review is summarized in a press release dated
May 4, 2007.
Wachovia Bank Commercial Mortgage Trust 2006-C26, Commercial Pass-
Through Certificates, Series 2006-C26
-- Class WM, $10,000,000, currently rated Baa3, on review for
possible downgrade; previously affirmed at Baa3 on 2/10/2009
The class is supported by a B note secured by the borrower's
interest in Woodlands Mall, 1.4 million square foot mall located
in Woodlands, Texas. The center is anchored by Dillard's,
Foley's, Sears and J.C. Penney.
Moody's prior full review is summarized in a press release dated
February 10, 2009.
HARTFORD MEZZANINE: Moody's Downgrades Ratings on 10 2007-1 Notes
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of 10 classes and
confirmed the ratings of two classes of Notes issued by Hartford
Mezzanine Investors -- CRE CDO 2007-1, Ltd. The rating actions
are:
-- Class A-1, $137,500,000, Floating Rate Notes Due 2042,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A-2, $50,000,000, Floating Rate Notes Due 2042,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A-3, $52,500,000, Floating Rate Notes Due 2042,
downgraded to Aa3 from Aaa; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class B, $35,000,000, Floating Rate Notes Due 2042,
downgraded to A3 from Aa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class C, $10,000,000, Floating Rate Notes Due 2042,
downgraded to Baa2 from A1; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class D, $10,000,000, Floating Rate Notes Due 2042,
downgraded to Baa3 from A2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class E, $15,000,000, Floating Rate Notes Due 2042,
downgraded to Baa3 from A3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class F, $25,000,000, Floating Rate Notes Due 2042,
downgraded to Ba2 from Baa1; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class G, $20,000,000, Floating Rate Notes Due 2042,
downgraded to B1 from Baa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class H, $21,250,000, Floating Rate Notes Due 2042,
downgraded to B2 from Baa3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class J, $23,750,000, Fixed Rate Notes Due 2042, downgraded
to Caa1 from Ba2; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class K, $38,750,000, Fixed Rate Notes Due 2042, downgraded
to Caa2 from B2 previously on 3/12/2009 Placed Under Review
for Possible Downgrade
Moody's downgraded Classes A-3, 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 5.0% 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.
We have updated Moody's asset correlation assumption for the
commercial real estate sector to be consistent with one of Moody's
CDO rating models, CDOROM v2.5 (released on February 3, 2009),
which incorporates these new parameters. However, for CRE CDOs
with non-CUSIP collateral, Moody's is reducing the maximum over
concentration stress applied to correlation factors by half due to
the diversity of tenants, property types, and geographic locations
inherent in the collateral pools. Previously, the average asset
correlations used for CMBS within CRE CDO deals ranged between 15%
and 35%, depending on vintage and issuer diversity. In light of
the systemic seizure of the credit markets, as well as higher
intra industry and inter industry asset correlations, the updated
correlation parameters for CRE CDOs will imply an average range of
asset correlations of between 30% and 60% for the underlying
collateral.
Moody's has previously stated that CRE CDO deals with collateral
concentrations in CMBS certificates will likely be among the first
transactions to be affected by credit issues that arise, and that
the additional leverage inherent in these deals creates the
potential for greater ratings transitions compared to that of a
first order transaction (i.e., those containing non-CUSIP assets).
For CRE CDOs with CUSIP collateral, the additional default
probability stress sometimes applied to resecuritization
collateral will not be applied to Moody's review of conduit and
fusion commercial mortgage backed securities collateral from the
2006 to 2008 vintages due to a recent ratings sweep of these
transactions. Based on Moody's current expectations for
commercial real estate performance, Moody's has migrated the
ratings for recent vintage CMBS to levels that Moody's 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 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 July 11, 2007.
JP MORGAN: Moody's Affirms Ratings on 14 Classes of 2003-C1 Notes
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 14 classes and
downgraded six classes of J.P. Morgan Chase Commercial Mortgage
Securities Corp., Commercial Mortgage Pass-Through Certificates,
Series 2003-C1 due to realized and anticipated losses related to
specially serviced loans and increased dispersion in loan credit
quality. The action is the result of Moody's on-going
surveillance of commercial mortgage backed securities
transactions.
As of the March 31, 2009 distribution date, the transaction's
aggregate principal balance has decreased by approximately 15% to
$928.9 million from $1.09 billion at securitization. The
Certificates are collateralized by 95 loans, ranging in size from
less than 1% to 16% of the pool, with the top ten loans
representing 43% of the pool. The pool includes two loans,
representing 21% of the pool, with investment grade underlying
ratings. Twenty-four loans, representing 21% of the pool, have
defeased and are collateralized by U.S. Government securities.
Eleven loans, representing 11% of the pool, are on the master
servicer's watchlist. The master servicer's 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 watch-list to assess which
loans have material issues that could impact performance. Not all
loans on the watch-list are delinquent or have significant issues.
One loan has been liquidated from the pool, resulting in a $5
million realized loss. Currently, there is one loan in special
servicing, representing 2% of the pool. The loan is secured by a
73,000 square foot retail property located in St. Petersburg,
Florida. The loan became real estate owned in February 2009.
Moody's is estimating an $8 million loss for this specially
serviced loan.
Moody's was provided with full and partial year 2008 operating
results for 87% of the pool. Moody's weighted average loan to
value ratio for the conduit component is 93% compared to 89% at
Moody's prior full review in July 2007. In addition to an overall
increase in LTV, the pool has experienced greater LTV dispersion
since last review. Based on Moody's analysis, 19% of the pool has
an LTV greater than 100% compared to 16% at last review.
The largest loan with an underlying rating is the Concord Mills
Loan ($148.5 million -- 15.8%), which represents the pooled
component of a $168.0 million mortgage loan. The loan is secured
by a 1.3 million square foot regional mall located 15 miles north
of Charlotte in Concord, North Carolina. Major tenants include
Bass Pro Outdoor World, Burlington Coat Factory and TJ Maxx. The
in-line shops were 88% occupied as of
December 2008, essentially the same as at last review. Financial
performance has been stable since last review. The loan sponsor
is the Simon Property Group (Moody's preferred stock rating Baa1,
stable outlook). The non-pooled component is held within the
trust and is the security for non-pooled Classes CM-1, CM-2 and
CM-3. Moody's current underlying rating of the pooled loan is A2,
the same as at last review.
The second loan with an underlying rating is the Bishops Gate Loan
($34.5 million -- 3.7%), which is secured by two office buildings
totaling 484,000 square feet located in Mt. Laurel, New Jersey.
The collateral is 100% leased to PHH Mortgage (formerly Cendant
Mortgage), a subsidiary of PHH Corporation (Moody's senior
unsecured rating Ba2; negative outlook). The lease to PHH
Mortgage is triple net expiring in December 2022. The loan
matures in January 2013. Moody's current underlying rating is A3,
the same as at last review.
The top three conduit loans represent 11.7% of the pool. The
largest conduit loan is the Crossroads Mall Loan ($40.9 million -
4.4%), which is secured by the borrower's interest in a 858,000
square foot regional mall located in Omaha, Nebraska. The mall is
anchored by Sears and Target. At last review, Dillard's was the
third anchor; however, it closed in September 2008. The in-line
shops were 57% occupied as of December 2008, compared to 61% at
last review. The mall has been impacted by competition from two
other malls located within nine miles of the property. The loan
is on the master servicer's watch-list due to low occupancy.
Moody's is concerned about the future performance of this property
given its low occupancy, the possibility of additional tenants
vacating the center and the stressed retail environment. The loan
sponsor is Simon Property Group. Moody's LTV is 228% compared to
201% at last review.
The second largest conduit loan is the Crossways/Newington
Portfolio ($40.5 million -- 4.4%), which consists of two cross-
collateralized loans secured by two industrial/office buildings
totaling 812,000 square feet. Both properties are located in
Virginia. As of December 2008, the two properties were 93%
occupied, compared 89.0% at last review. Moody's LTV is 74%
compared to 78% at last review.
The third largest conduit loan is the Somerset Shoppes Loan ($27.5
million -- 3.0%), which is secured by a 187,000 square foot
community shopping center located in Boca Raton, Florida. Major
tenants include T.J. Maxx, Michaels and Loehmans. The center was
97% occupied as of December 2008. Moody's LTV is 88%, the same as
at last review.
Moody's rating action is:
-- Class A-1, $114,095,862, affirmed at Aaa; previously affirmed
Aaa on 7/31/2008
-- Class A-2, $595,147,000, affirmed at Aaa; previously affirmed
Aaa on 7/31/2008
-- Class X-1, Notional, affirmed at Aaa; previously affirmed Aaa
on 7/31/2008
-- Class X-2, Notional, affirmed at Aaa; previously affirmed Aaa
on 7/31/2008
-- Class B, $34,700,000, affirmed at Aaa; previously affirmed
Aaa on 7/31/2008
-- Class C, $10,676,000, affirmed at Aaa; previously affirmed
Aaa on 7/31/2008
-- Class D, $32,031,000, affirmed at Aaa; previously upgraded to
Aaa from Aa2 on 7/31/2008
-- Class E, $14,680,000, affirmed Aa3; previously upgraded to
Aa3 from A1 on 7/31/2008
-- Class F, $17,350,000, affirmed at A2; previously upgraded to
A2 from A3 on 7/31/2008
-- Class G, $17,350,000, affirmed at Baa2; previously affirmed
at Baa2 on 7/31/2008
-- Class H, $12,011,000, affirmed at Baa3; previously affirmed
at Baa3 on 7/31/2008
-- Class J, $16,015,000, downgraded to Ba3 from Ba1; previously
affirmed at Ba1 on 7/31/2008
-- Class K, $10,677,000, downgraded to B2 from Ba2; previously
affirmed at Ba2 on 7/31/2008
-- Class L, $6,673,000, downgraded to Caa2 from Ba3; previously
affirmed at Ba3 on 7/31/2008
-- Class M, $8,007,000, downgraded to Caa2 from B1; previously
affirmed at B1 on 7/31/2008
-- Class N, $4,004,000, downgraded to Caa3 from B3; previously
downgraded to B3 from B2 on 7/31/2008
-- Class P, $1,776,000, downgraded to Caa3 from Caa1; previously
downgraded to Caa1 from B3 on 7/31/2008
-- Class CM-1, $2,156,331, affirmed at A3; previously upgraded
to A3 from Baa1 on 7/31/2008
-- Class CM-2, $3,965,729, affirmed at Baa1; previously upgraded
to Baa1 from Baa2 on 7/31/2008
-- Class CM-3, $3,965,729, affirmed at Baa2; previously upgraded
to Baa2 from Baa3 on 7/31/2008
KEYCORP STUDENT: Moody's Cuts Ratings on 3 Note Classes to Low-B
----------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of three
classes and downgraded the ratings of seven classes of Group II
notes issued by three KeyCorp Student Loan Trusts. The Group II
notes are backed by pools of private student loans, originated and
serviced by KeyBank National Association. Each trust also issued
Group I notes that are backed by pools of government guaranteed
student loans which were not part of the review. The rating
actions conclude Moody's review of the notes, which commenced in
March 2009.
The downgrades were driven by the worse than expected collateral
performance compared to that at closing as indicated by rising
delinquencies, and defaults. In light of the weakened collateral
performance Moody's reassessed its projected lifetime losses and
evaluated whether the available credit enhancement adequately
protects investors against collateral losses. Moody's projection
of lifetime net losses on the collateral pools was increased to a
range of 15-20% from a range of 8-13%. The increase in net losses
was largely driven by the underperformance of Career and Campus
Door loans.
In its review, Moody's assessed the available credit enhancement,
such as the reserve account, overcollateralization, subordination,
excess spread and limited support in the form of residual cash
flow from Group I, for each class of notes relative to Moody's
revised expected loss. Moody's also considered the significant
uncertainties regarding future unemployment rates arising from the
current economic downturn. The ratings also reflect additional
qualitative factors such as structural protections available in
the transactions. Significant structural features include floor
level to the reserve fund, no release of excess spread at 10% pool
factor, and the change of interest and principal payment
priorities upon the occurrence of certain events, which would
benefit the senior classes.
The complete rating actions are:
KeyCorp Student Loan Trust 2004-A
-- Class II-A-2, Confirmed at Aaa; previously on 3/23/2009 Aaa
Placed Under Review for Possible Downgrade
-- Class II-B, Downgraded to Aa3; previously on 3/23/2009 Aa2
Placed Under Review for Possible Downgrade
-- Class II-C, Downgraded to Baa3; previously on 3/12/2009 A3
Placed Under Review for Possible Downgrade
-- Class II-D, Downgraded to B2; previously on 3/12/2009 Baa3
Placed Under Review for Possible Downgrade
KeyCorp Student Loan Trust 2005-A
-- Cl. II-A-4, Confirmed at Aaa; previously on 3/23/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. II-B, Confirmed at A2; previously on 3/23/2009 A2 Placed
Under Review for Possible Downgrade
-- Cl. II-C, Downgraded to Ba3; previously on 3/12/2009 Baa2
Placed Under Review for Possible Downgrade
KeyCorp Student Loan Trust 2006-A
-- Cl. II-A-4, Downgraded to Aa1; previously on 3/23/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. II-B, Downgraded to Baa2; previously on 3/12/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. II-C, Downgraded to B1; previously on 3/12/2009 Baa2
Placed Under Review for Possible Downgrade
KLIO STRUCTURED: Moody's Junks Ratings on Two 2005-1 Notes
----------------------------------------------------------
Moody's Investors Service downgraded its rating of two Notes
issued by Klio Structured Investments 2005-1.
The rating actions are:
Klio Structured Investments 2005-1
-- Class C Notes, Downgraded to C; Previously on 7/28/2005
Assigned Baa2
-- Class D Notes, Downgraded to C; Previously on 6/1/2006
Assigned Ba1
The Class C and D Notes are repacks of the Preferred Shares
originally issued by Klio Funding Ltd., a multisector CDO that
closed in April 2004 and later upsized in June 2004. Preferred
Shares are currently receiving no cash flows. The class B notes
issued by KLIO Funding, Ltd/KLIO Funding Corp, which are senior to
the Preferred Shares in payment priority, were downgraded on
02/26/2009 to C.
LEGG MASON: Moody's Cuts Ratings on 5 Classes of Notes to Low-B
---------------------------------------------------------------
Moody's Investors Service confirmed the ratings of two classes and
downgraded the ratings of eight classes of Notes issued by Legg
Mason Real Estate CDO I Ltd. The rating actions are:
-- Class A1-R, $55,324,248, Floating Rate Notes Due 2038,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A1-T, $194,000,000, Floating Rate Notes Due 2038,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A2, $90,440,000, Floating Rate Notes Due 2038,
downgraded to Aa2 from Aaa; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class B, $31,920,000, Floating Rate Notes Due 2038,
downgraded to Baa1 from Aa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class C, $5,601,000, Floating Rate Notes Due 2038, downgraded
to Baa3 from A1; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class D, $26,000,000, Floating Rate Notes Due 2038,
downgraded to Ba2 from A2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class E, $8,299,000, Floating Rate Notes Due 2038, downgraded
to Ba3 from A3; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class F1, $6,970,000, Floating Rate Notes Due 2038,
downgraded to B1 from Baa1; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class F2, $5,000,000, Fixed Rate Notes Due 2038, downgraded
to B1 from Baa1; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class G, $11,970,000, Floating Rate Notes Due 2038,
downgraded to B3 from Baa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
Moody's downgraded Classes A2, B, C, D, E, F1, F2 and G 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 4.7% concentration in CMBS collateral, which
was issued between 2006 and 2007. The remaining collateral
includes Whole Loans, B-Notes and Mezzanine 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 full review since
securitization. Moody's review at securitization is summarized in
a Pre-Sale report dated March 10, 2006.
LEGG MASON: Moody's Cuts Rating on Class C Notes Due 2045 to Ba2
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of three classes
of Notes and confirmed two classes of Notes issued by Legg Mason
Real Estate CDO II, Corp. The rating actions are:
-- Class A-1R, $53,901,944, Floating Rate Notes Due 2045,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A-1T, $233,100,000, Floating Rate Notes Due 2045,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A-2, $60,375,000, Floating Rate Notes Due 2045;
downgraded to Aa2 from Aaa; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class B, $34,650,000, Floating Rate Notes Due 2045,
downgraded to Baa1 from Aa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class C, $49,350,000, Floating Rate Notes Due 2045,
downgraded to Ba2 from A3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
Moody's downgraded Classes A-2, B, and C 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 an 11.0% concentration in commercial mortgage
backed securities and collateralized debt obligations collateral
with the remaining balance comprised of whole loans, B-Notes, 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.
We have updated Moody's asset correlation assumption for the
commercial real estate sector to be consistent with one of Moody's
CDO rating models, CDOROM v2.5 (released on February 3, 2009),
which incorporates these new parameters. However, for CRE CDOs
with non-CUSIP collateral, Moody's is reducing the maximum over
concentration stress applied to correlation factors by half due to
the diversity of tenants, property types, and geographic locations
inherent in the collateral pools. Previously, the average asset
correlations used for CMBS within CRE CDO deals ranged between 15%
and 35%, depending on vintage and issuer diversity. In light of
the systemic seizure of the credit markets, as well as higher
intra industry and inter industry asset correlations, the updated
correlation parameters for CRE CDOs will imply an average range of
asset correlations of between 30% and 60% for the underlying
collateral.
Moody's has previously stated that CRE CDO deals with collateral
concentrations in CMBS certificates will likely be among the first
transactions to be affected by credit issues that arise, and that
the additional leverage inherent in these deals creates the
potential for greater ratings transitions compared to that of a
first order transaction (i.e., those containing non-CUSIP assets).
For CRE CDOs with CUSIP collateral, the additional default
probability stress sometimes applied to resecuritization
collateral will not be applied to Moody's review of conduit and
fusion commercial mortgage backed securities collateral from the
2006 to 2008 vintages due to a recent ratings sweep of these
transactions. Based on Moody's current expectations for commercial
real estate performance, Moody's has migrated the ratings for
recent vintage CMBS to levels that Moody's 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 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 April 27, 2007.
LE MONDE: S&P Withdraws 'CC' Ratings on Two Classes of Notes
------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on the
class A-2MM and A-3MM notes issued by Le Monde CDO I PLC, a hybrid
high-grade structured finance collateralized debt obligation
transaction managed by TCW Asset Management Co. At the same time,
S&P assigned ratings to the new class A-2MML and A-3MML long-term
notes.
The rating withdrawals and assignments follow the March 2009
conversion of the class A-2MM and A-3MM short-term notes into the
class A-2MML and A-3MML long-term notes.
Ratings Withdrawn
Le Monde CDO I PLC
Rating Balance (mil. $)
------ ----------------
Class To From Current Original
----- -- ---- ------- --------
A-2MM NR CC 0.000 840.000
A-3MM NR/NR CC/C 0.000 160.000
Ratings Assigned
Le Monde CDO I PLC
Class Rating Balance (mil. $)
----- ------ ----------------
A-2MML CC 803.119
A-3MML CC 152.974
Other Outstanding Ratings
Le Monde CDO I PLC
Class Rating
----- ------
A-1 CC
A-1R(USD) CC
A-1R(EUR) CC
A-2 CC
A-3 (EUR) CC
A-4 CC
B CC
C CC
D CC
E CC
NR -- Not rated.
LOUISIANA PUBLIC: S&P Cuts L-T Ratings on 1993, 1999 Bonds to 'BB'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its long-term ratings
to 'BB' from 'BBB-' on Louisiana Public Facilities Financing
Authority's series 1993 and 1999 bonds, issued for Touro
Infirmary, reflecting ongoing operating and nonoperating losses,
high leverage, and very limited liquidity. The ratings are being
placed on CreditWatch with negative implications pending the
outcome of an announced affiliation agreement with Louisiana
Children's Medical Center, the parent of Children's Hospital.
More specifically, the rating reflects Touro's depleted liquidity
from operating and investment losses; 68% long-term debt to
capitalization; continued sizable, although moderating operating
losses; and insufficient cash flow to fully cover maximum annual
debt service.
On Feb. 3, 2009, Touro signed a preliminary health system
agreement to affiliate with LCMC. Pursuant to the agreement
LCMC's governing board will have ultimate authority over both
Touro and Children's, although each hospital will maintain a
separate board and will continue to operate as separate 501c3
organizations.
"Should the agreement with LCMC not be consummated, the rating on
the bonds would likely be lowered as Touro's viability over the
intermediate term will be less certain, particularly given the
weakness in the hospital's balance sheet, continued operating
losses, and challenging payor mix," said Standard & Poor's credit
analyst Karl Propst. "According to management, the failure to
close on the agreement with Children's would likely result in a
'going concern' opinion from Touro's auditors," said Mr. Propst.
A lower rating is precluded at this time by the added stability
that is expected to come from Touro's affiliation with LCMC,
although benefits from the affiliation will take time to have a
material positive effect on Touro's financial position.
Additional positive rating factors include the hospital's recent
successes with clinical staff recruiting, stronger-than-expected
volumes year to date--although year-to-date volume improvements
are based on only two months of data, and Touro's substantial
medical residency program with a New Orleans-based medical school
A gross revenue pledge secures the bonds. On Dec. 31, 2008, Touro
had $91.2 million of long-term debt outstanding.
MCKINLEY 2005-5: Moody's Downgrades Rating on $4,792,450 Certs.
---------------------------------------------------------------
Moody's Investors Service downgraded its rating of US$4,792,450
Tiers Credit Backed Trust Certificates, Series McKinley 2005-5:
The rating action is:
Class Description: US$4,792,450 Tiers Credit Backed Trust
Certificates , Series McKinley 2005-5
-- Current Rating: C
-- Prior Rating: Ba2
-- Prior Rating Date: 11/30/2005
The transaction is a repackaged security whose rating changes with
the ratings of the underlying securities. The rating action is a
result of the change of the ratings of McKinley Funding, Ltd.
Class C Notes.
MERRILL LYNCH: Moody's Affirms Ratings on 2003-Canada 11 Certs.
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings of six classes and
upgraded three classes Merrill Lynch Financial Assets Inc.,
Commercial Mortgage Pass Through Certificates, Series 2003-Canada
11. The upgrades are due to increased credit subordination due to
amortization and payoffs. The pool balance has decreased by 85%
since Moody's last review. The action is the result of Moody's
on-going surveillance of commercial mortgage backed securities
transactions.
As of the April 13, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 91%
to $24.1 million from $270.9 million at securitization. The
Certificates are collateralized by seven loans ranging in size
from 11% to 20% of the pool, with the top three loans non-defeased
representing 53% of the pool. One loan, representing 11% of the
pool, has defeased and is collateralized by Canadian government
securities.
Five loans, representing 77% of the pool, are on the master
servicer's watchlist. All of the loans are on the watchlist
because they have matured or are scheduled to mature within the
next six months. 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 pool performance.
There have been no realized losses since securitization and
currently there are no loans in special servicing.
Moody's received limited financial information for this
transaction. Year-end 2007 and 2008 operating results were
provided for 78% and 42% of the pool, respectively. Moody's loan
to value ratio is 92% compared to 72% at Moody's last full review
in June 2008.
Moody's rating action is:
-- Class X, Notional, affirmed at Aaa; previously affirmed at
Aaa on 6/19/08
-- Class C, $1,068,406, affirmed at Aaa; previously upgraded to
Aaa from Aa2 on 6/19/08
-- Class D, $6,800,000, upgraded to Aaa from A2; previously
upgraded to A2 from Baa1 on 6/19/08
-- Class E, $2,370,000, upgraded to A1 from A3; previously
upgraded to A3 from Baa2 on 6/19/08
-- Class F, $2,377,000, upgraded to Baa1 from Baa2; previously
upgraded to Baa2 from Ba1 on 6/19/08
-- Class G, $2,370,000, affirmed at Ba1; previously upgraded to
Ba1 from Ba2 on 6/19/08
-- Class H, $1,355,000, affirmed at Ba3; previously affirmed at
Ba3 on 6/19/08
-- Class J, $2,370,000, affirmed at B2; previously affirmed at
B2 on 6/19/08
-- Class K, $1,015,000, affirmed at B3; previously affirmed at
B3 on 6/19/08
MERRILL LYNCH: Moody's Junks Rating on Cl. I-A2 2007-2 Securities
-----------------------------------------------------------------
Moody's Investors Service has downgraded 17 tranches and confirmed
5 tranches from 4 deals issued by Merrill Lynch Mortgage Investors
Trust and Merrill Lynch Mortgage Backed Securities Trust in 2006
and 2007.
The collateral backing these transactions consists primarily of
first-lien, fixed and 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 19, 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: Merrill Lynch Mortgage Backed Securities Trust 2007-2
-- Cl. I-A1, Downgraded to B3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. I-A2, Downgraded to Ca; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. X-A, Downgraded to B3; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
Issuer: Merrill Lynch Mortgage Investors Trust 2006-F1
-- Cl. I-A1, Confirmed at Ba3; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. I-A2, Confirmed at Ba3; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. I-A3, Confirmed at Ba1; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. I-A4, Downgraded to B1; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. I-A6, Confirmed at Ba3; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. I-A7, Downgraded to B1; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. I-A8, Downgraded to B1; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. PO, Downgraded to B1; previously on 3/19/2009 Ba3 Placed
Under Review for Possible Downgrade
-- Cl. IO, Confirmed at Ba3; previously on 3/19/2009 Ba3 Placed
Under Review for Possible Downgrade
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2006-1
-- Cl. I-A, Downgraded to Baa1; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Downgraded to A3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Downgraded to Baa2; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2006-2
-- Cl. I-A, Downgraded to Aa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. II-A, Downgraded to Aa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. III-A, Downgraded to Aa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. IV-A, Downgraded to Aa2; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to A3; previously on 3/19/2009 Aa2 Placed
Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Baa3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to B1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
MORGAN STANLEY: Fitch Corrects Rating Outlooks on 2005 IQ9 Notes
----------------------------------------------------------------
Fitch Ratings issued a revised press release to correct the Rating
Outlooks on classes E and F to Negative of the Morgan Stanley
Capital I Trust Pass-Through Certificates, Series 2005 IQ9.
Specificially, Fitch downgrades and assigns Rating Outlooks and
Recovery Ratings to Morgan Stanley Capital I Trust Pass-Through
Certificates, Series 2005 IQ9:
-- $11.5 million class G to 'BBB-'from 'BBB'; Negative Outlook;
-- $17.2 million class H to 'BB+' from 'BBB-'; Negative Outlook,
-- $5.7 million class J to 'BB' from 'BB+'; Negative Outlook,
-- $7.7 million class K to 'BB-'from 'BB'; Negative Outlook,
-- $5.7 million class L to 'B+' from 'BB-'; Negative Outlook,
-- $5.7 million class M to 'B-'from 'B+'; Negative Outlook,
-- $3.8 million class N to 'B-' from 'B'; Negative Outlook;
-- $5.7 million class O to 'CCC/RR2' from 'B-'; Negative
Outlook.
In addition, Fitch affirms these classes and assigns Rating
Outlooks:
-- $35.9 million class A-1 at 'AAA'; Stable Outlook;
-- $262.7 million class A-1A at 'AAA'; Stable Outlook,
-- $112.6 million class A-2 at 'AAA'; Stable Outlook,
-- $194.7 million class A-3 at 'AAA'; Stable Outlook,
-- $94.4 million class A-4 at 'AAA'; Stable Outlook,
-- $43.8 million class A-AB at 'AAA'; Stable Outlook,
-- $446.2 million class A-5 at 'AAA'; Stable Outlook,
-- $130.2 million class A-J at 'AAA'; Stable Outlook,
-- Interest-only class X-1 at 'AAA'; Stable Outlook,
-- Interest-only class X-2 at 'AAA'; Stable Outlook,
-- interest-only class X-Y at 'AAA'; Stable Outlook,
-- $32.6 million class B at 'AA'; Stable Outlook,
-- $11.5 million class C at 'AA-'; Stable Outlook,
-- $26.8 million class D at 'A'; Stable Outlook,
-- $15.3 million class E at 'A-'; Negative Outlook,
-- $15.3 million class F at 'BBB+'; Negative Outlook.
Fitch does not rate the $11.5 million class P.
The downgrades are due to an increase in Fitch expected losses on
two of the special serviced assets in the transaction, and the
increased number of Fitch designated Loans of Concern. The Rating
Outlooks reflect the likely direction of any rating changes over
the next one to two years.
As of the April 2009 distribution date, the pool's aggregate
certificate balance has decreased 4.75% to $1.46 billion from
$1.53 billion at issuance. Four loans (2.15%) have defeased.
At issuance, Fitch credit assessed the 540 Madison Avenue loan.
The loan maintains its investment grade shadow rating due to
stable performance. The loan is secured by the leasehold interest
in a 39-story, 1,818,613 square foot office property located in
midtown Manhattan. Occupancy in the property remains strong at
93% as of September.
The largest special serviced loan (0.58%) is secured by a 165
unit/532 bed student housing project located in Statesboro,
Georgia, home of Georgia Southern University. The property is in
good overall condition. The market has become oversaturated with
newer and slightly better quality properties. Additionally, much
of the newer product is better located, closer to campus, and on
the campus bus route.
The second largest special serviced loan (0.27%) is secured by a
49,442 sf unanchored neighborhood strip center located in
Mariemont, Ohio, which is an eastern suburb of Cincinnati. The
loan transferred due to imminent default because of erosion of the
hillside at the rear of the property. The hillside collapsed,
causing six tenants to vacate their spaces, and shut down
utilities to additional tenants.
MORGAN STANLEY: Fitch Affirms Ratings on 2003-IQ5 Certificates
--------------------------------------------------------------
Fitch Ratings has affirmed Morgan Stanley Capital I Trust
commercial mortgage pass-through certificates, series 2003-IQ5 and
assigned Rating Outlooks:
-- $9.3 million class A-3 at 'AAA'; Outlook Stable;
-- $373.7 million class A-4 at 'AAA'; Outlook Stable;
-- Interest-only classes X-1 and X-2 at 'AAA'; Outlook Stable;
-- $22.4 million class B at 'AAA'; Outlook Stable;
-- $30.2 million class C at 'AA+'; Outlook Stable;
-- $7.8 million class D at 'AA-'; Outlook Stable;
-- $5.8 million class E at 'A+'; Outlook Stable;
-- $6.8 million class F at 'A-'; Outlook Stable;
-- $7.8 million class G at 'BBB'; Outlook Stable;
-- $5.8 million class H at 'BBB-'; Outlook Stable;
-- $2.9 million class J at 'BB+'; Outlook Stable;
-- $4.9 million class K at 'BB'; Outlook Stable;
-- $2.9 million class L at 'B+'; Outlook Negative;
-- $1.9 million class M at 'B'; Outlook Negative;
-- $1 million class N at 'B-'; Outlook Negative.
Class A-1 has paid in full. Fitch does not rate the $7.8 million
class O.
The affirmations are the result of stable pool performance since
Fitch's last rating action. As of the March 2009 distribution
date, the pool's aggregate principal balance has decreased 36.9%
to $491.1 million from $778.8 million at issuance. Six loans
(11.73%) have been defeased. Approximately 8.2% of the non-
defeased loans mature in 2009 or 2010. These loans have a
weighted average coupon of 5.73%. General Growth Properties, which
filed for chapter 11 bankruptcy protection on April 16, 2009, is
the sponsor on two loans (5.43%) maturing in July 2010. Both
loans have interest rates of 4.7%. While there are currently no
specially serviced or delinquent loans in the pool, Fitch
considers it likely that these two loans will transfer to the
special servicer due to the recent GGP bankruptcy filing.
The Rating Outlooks represent the likely direction of rating
actions over the next one to two years. The Negative Outlooks on
classes L through N are due to the concentration of near-term
maturities as well as the loan size, and property type
concentrations. The top 10 loans represent 55% of the pool and
loans collateralized by office properties represent 44% of the
pool.
Six loans (33.5%) were shadow rated investment grade at issuance.
Fifty-five East Monroe (7.5% at issuance), International Plaza (6%
at issuance), and 200 Berkley & Stephen L. Brown Buildings (3.2%
at issuance) have paid in full. One other loan (6.53%) has
defeased. The two remaining shadow rated loans retain their
investment grade ratings.
The largest shadow rated loan is Two Commerce Square (11%). The
loan is secured by a 40-story class A office building totaling
953,276 square feet located in Philadelphia, Pennsylvania. Two of
the four pari-passu notes (A-1 and A-2) serve as collateral for
this transaction. As of year-end 2008, occupancy had declined to
86.1% from 97.4%. The decline was due to the lease expiration of
a major tenant. Due to the decrease in occupancy the shadow
rating was downgraded, however, it still remains investment grade.
The other shadow rated loan 3 Times Square (5.8%) is secured by an
883,405 sf office building located in Manhattan, New York.
Property performance remains stable demonstrated by its September
2008 occupancy of 99.5%, up slightly since issuance.
MORGAN STANLEY: S&P Downgrades Ratings on NG5FG Notes to 'B-srp'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
notes from two Morgan Stanley Capital Services Inc. credit default
swap transactions.
Both transactions are total return swaps that are directly linked
to the rating on the junior super-senior notes from Morgan Stanley
Managed Aces SPC's series 2006-6, which S&P lowered to 'B-'on
April 9, 2009.
Ratings Lowered
Credit Default Swap
Morgan Stanley Capital Services Inc - K2 Corp. Series NG5FG
Rating
------
Class To From
----- -- ----
Notes B-srp B+srp
Credit Default Swap
Morgan Stanley Capital Services Inc - K2 Corporation, Series NG5FR
Rating
------
Class To From
----- -- ----
Notes B-srp B+srp
MORGAN STANLEY: S&P Downgrades Ratings on NG5FG Notes to 'B-srp'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
notes from two Morgan Stanley Capital Services Inc. credit default
swap transactions.
Both transactions are total return swaps that are directly linked
to the rating on the junior super-senior notes from Morgan Stanley
Managed Aces SPC's series 2006-6, which S&P lowered to 'B-'on
April 9, 2009.
Ratings Lowered
Credit Default Swap
Morgan Stanley Capital Services Inc - K2 Corp. Series NG5FG
Rating
------
Class To From
----- -- ----
Notes B-srp B+srp
Credit Default Swap
Morgan Stanley Capital Services Inc - K2 Corporation, Series NG5FR
Rating
------
Class To From
----- -- ----
Notes B-srp B+srp
N-45 FIRST: Fitch Affirms 'BB+' Rating on Class E Notes
-------------------------------------------------------
Fitch Ratings affirms N-45 First CMBS Issuer Corporation, series
2003-3 and assigns Rating Outlooks:
-- C$171.5 million class A-2 at 'AAA'; Outlook Stable;
-- C$47.6 million class B at 'AAA'; Outlook Stable;
-- Interest-only class IO at 'AAA'; Outlook Stable;
-- C$31.4 million class C at 'AA'; Outlook Stable;
-- C$31.4 million class D at 'BBB-'; Outlook Stable; and
-- C$3.7 million class E at 'BB+'; Outlook Stable.
Class A-1 has paid in full.
The affirmations are attributed to continued stable performance of
the two remaining loans in the transaction, Place Bell (50.3%) and
Fitch Avenue Place (49.7%). Based on the March 2009 remittance,
the transaction has paid down approximately 38.2% to $285.7
million from $462.4 million at issuance. The Rating Outlooks
reflect the likely direction of any rating changes over the next
one to two years.
Place Bell, located in Ottawa, Canada, consists of a 990,526
square foot class A office building built in 1971 and renovated in
the late 1990s. The Place Bell loan is full recourse to the
sponsor. As of February 2008, Place Bell was 99% occupied. Bell
Canada, the largest tenant, is Canada's largest telephone and
telecommunications company. The tenant represents approximately
48.6% of the net rentable area and is on a long-term lease until
2022. The trailing twelve ending February 2008 Fitch debt service
coverage ratio was 1.42 times (x), compared to 1.36x at issuance.
The loan matures on Dec. 1, 2012.
Fifth Avenue Place consists of two 34-story office towers totaling
1.5 million sf in downtown Calgary. Approximately 48,000 sf of
the property's NRA consists of retail and storage space. The
tenant base is concentrated in the oil and gas industry, such as
Devon Estates, which is owned by Imperial Oil Limited, Anadarko,
Canada (rated 'BBB-' by Fitch), and Enbridge, Inc. As of December
2008, occupancy was 94%, as compared to 99% at issuance. The
year-end 2008 Fitch stressed DSCR improved to 2.74x from 1.49x at
issuance largely due to rent bumps and new leases signed at higher
rates than at the time of origination. The loan matures Aug. 5,
2011.
N-STAR REL: Moody's Confirms Ratings on 12 Classes of Notes
-----------------------------------------------------------
Moody's Investors Service confirmed the ratings 12 classes of
Notes issued by N-Star REL CDO VI Ltd. The rating actions are:
-- Class A-1, $174,800,000, Floating Rate Notes Due 2041,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A-R, $70,000,000, Revolving Floating Rate Notes Due
2041, confirmed at Aaa; previously on 3/12/2009 Placed Under
Review for Possible Downgrade
-- Class A-2, $27,225,000, Floating Rate Notes Due 2041,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class B, $21,825,000, Floating Rate Notes Due 2041, confirmed
at Aa2; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class C, $12,825,000, Floating Rate Notes Due 2041, confirmed
at A1; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class D, $13,950,000, Floating Rate Notes Due 2041, confirmed
at A3; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class E, $10,125,000, Floating Rate Notes Due 2041, confirmed
at Baa1; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class F, $7,650,000, Floating Rate Notes Due 2041, confirmed
at Baa2; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class G, $9,900,000, Floating Rate Notes Due 2041, confirmed
at Baa3; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class H, $6,075,000, Floating Rate Notes Due 2041, confirmed
at Ba2; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class J, $18,000,000, Floating Rate Notes Due 2041, confirmed
at Ba3; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class K, $13,950,000, Floating Rate Notes Due 2041, confirmed
at B2; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
The pool collateral includes CDO securities, whole loans,
subordinate debt 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 January 31, 2006.
NYU HOSPITALS: Moody's Upgrades Bond Ratings from 'Ba2'
-------------------------------------------------------
Moody's Investors Service has upgraded to Baa2 from Ba2 the rating
assigned to New York University Hospitals Center's outstanding
bonds issued by the Dormitory Authority of the State of New York.
The outlook is stable at this new rating level. The multi-notch
upgrade and return to investment grade reflects improving
financial performance and a change in governance signaling closer
integration with Aa3-rated New York University (NYU or
University)and its School of Medicine that create a halo effect
for recruitment of physicians, strategic direction, and ultimately
provide for a platform for financial stability.
Legal Security: The outstanding bonds are jointly secured by a
pledge of gross receipts and a mortgage of all health care
facilities of NYUHC. Sale/leaseback transactions that may include
a portion of the mortgaged property are permitted. Long term debt
service coverage ratio of at least 1.10 times. Debt service
reserve fund in place. Following the withdrawal from the Mount
Sinai NYU Health Obligated Group (MSNYU) in 2006, NYUHC received
approval to substitute New York University as the sole corporate
member of NYUHC. NYU has the power to elect NYUHC's board of
trustees and to review its mission, strategic plans, financial
plans and budgets and to approve certain transactions. NYUHC
financial statements are now consolidated with the University's
and the fiscal year of NYUHC has been changed from December 31 to
August 31 as of August 31, 2008 to reflect the new governance
structure. (A December 31 audit will also be prepared for cost
reporting purposes) NYUHC, together with the NYU School of
Medicine (a division of New York University) are separate entities
(with separate tax identification numbers) functioning as an
integrated academic medical center under the name, NYU Langone
Medical Center. The debt of NYUHC is not an obligation of NYU and
is separately secured. For more information on NYU, please see
Moody's report dated April 23, 2009.
Interest Rate Derivatives: None
Strengths
* Integrated academic medical center provides opportunities to
grow market share in the fragmented New York City market.
Realignment with the School of Medicine and renewed medical
center model enhances recruitment of physicians, operations and
philanthropy between the hospital and School of Medicine.
* Programmatic growth aiding physician recruitment that has
translated into a multi-year trend of increasing volume.
Designated centers of excellence in cancer, cardiovascular,
children's services, musculoskeletal and neurosciences are
growing and generate profit margins.
* Significant and profitable outpatient services and visits,
contributes to an atypical payer mix for a NYC hospital and
provides a differentiating niche for the hospital.
* Much improved financial performance with cashflow demonstrating
steady increases since FY2004.
* Improved contracting ability as an independent organization has
resulted in increased revenue from payers.
* Improved liquidity although absolute cash is modest for a
hospital of this size and stature and some of the recent gains
were lost in the first quarter 2009 because of the market's
turmoil.
* Majority of debt is fixed rate.
Challenges
* Leveraged balance sheet with weak balance sheet indicators,
characterized by modest cash and high debt load. Cash balances
expected to improve on an absolute basis, but days' cash on hand
is not expected to improve until at least 2010.
* Fragmented New York City market highlighted by the ability of
physicians to change referral patterns and move volume within
the market. Recruitment of significant number of physicians
critical to meeting volume growth targets in key service lines.
* Reductions in Medicaid funding and graduate education funding
are expected.
* Integration of NYUHC and the NYU School of Medicine into a more
aligned academic medical center will include cash transfer to
NYU School of Medicine to fund shared programs that may limit
NYUHC balance sheet gains.
* Future debt in the longer term could be material, including
financing for a new clinical building in the longer term
Recent Developments/Results
NYUHC has made great strides in turning its operating losses into
operating profits since the disaffiliation with Mount Sinai
Hospital in 2003 and re-integration with the NYU School of
Medicine and New York University to form a "Medical Center." By
consolidating the management team responsible for the medical
center's strategic vision, NYUHC has been reinvigorated and able
to drive efficiencies and cost reductions while focusing on growth
opportunities within its key competencies. The School of Medicine
has historically been the benefactor of significant annual
philanthropy, and by becoming part of the medical center, NYUHC
expects to benefit from these donor relationships as well through
its role as the teaching hospital for the School of Medicine.
The new governance structure is a key component incorporated in
Moody's rating upgrade. The executive team for NYUHC is the
executive team responsible for the Medical Center. The executive
team includes the University's Senior Vice President for Health,
which ensures coordination of vision and that the strategic
direction of the Medical Center is met by the School of Medicine
and NYUHC. This is a relatively new structure, as is the
University becoming the sole member of NYUHC with the power to
elect its board of trustees, review its mission, strategic plans,
financial plans and budgets and approve certain transactions.
This new alignment with the University and inclusion of NYUHC's
financial statements with the consolidating statements of the
University necessitated changing NYUHC's fiscal year end to August
31 for FY2008 to coordinate with the fiscal year of the University
and stresses the new linkage to the University. While the
University has articulated to Moody's that it does not plan to
provide financial support to NYUHC, Moody's believe that future
cash transfers from NYUHC to the University, the ripple effect of
recruitment of faculty, research programs that will aid clinical
growth and a common institutional identity created by the overlap
of trustees signal closer integration and will provide tangible
benefits to NYUHC over time. Moody's believe the spirit and
personality of NYUHC has become more integrated with the
University as a result of the restructured governance model which
is a new and improved credit strength. NYUHC has benefited from
the development of the School of Medicine's new ambulatory care
sites in Manhattan and Queens that have increased referrals to
NYUHC's own outpatient programs. NYUHC's future plans to build a
new clinical pavilion in the intermediate period for short-stay
and high tech outpatient volume will largely be financed through
philanthropy that has been enhanced by the closer relationship
with the University and School of Medicine. In the immediate
term, funding for the installation of the EPIC software system
will also be shared with the School of Medicine since the benefits
will accrue to each entity.
Financially, NYUHC's performance has improved in each of the last
four years, reaching an operating profit of $22.2 million for
fiscal year 2008 (ending August 31, 2008) compared to an operating
profit of $11.8 million in FY 2007 ending December 31, 2007
(Moody's excludes investment income from other operating revenue).
Inpatient volume was up 2.3% over the prior year, and outpatient
visits which include its growing cancer program, were up 8.5% over
the prior year. Improved contract terms for its eight largest
contracts (93% of its managed care revenue) which included
material rate increases for growing service lines and an
increasing case mix index has been the most significant
contributor to the improved performance. NYUHC continues to meet
the benchmark goals established from its Navigant engagement and
revenue cycle initiatives (days in A/R are low at 45 days) that in
conjunction with length of stay reductions and performance
management have kept NYUHC on an improving financial trend.
Additionally, NYUHC will not transfer $10 million to the School of
Medicine as expected for the current year because of the favorable
performance posted of the School.
The balance sheet remains a limiting credit factor, with cash of
$194.5 million at FYE2008 equating to an improved but still modest
63.3 days of cash on hand. Liquidity has dropped through February
28, 2009 (2Q09) to $186.6 million due to market factors and
increased unrealized losses, causing days to decline to 57.3 days
of cash on hand (39.2% cash to debt). Cash is invested in
accordance with the University's investment policy. NYUHC's total
debt includes $23.5 million outstanding as of December 31, 2008 of
taxable debt that was used to fund NYUHC's 2007 required pension
contribution, which allowed NYUHC to retain its cash but has
exacerbated the leverage measures. A defined contribution plan
was established for new employees after July 2000 but the defined
benefit plan remains underfunded by $35.7 million at FYE2008; it
will require a $15.9 million contribution in FY2009.
The hospital is limited in its ability to grow cash by its
significant debt load and annual debt service requirements through
at least 2011, before annual MADS declines to $33 million/year
from the current MADS of $44.2 million. Variable debt is limited
to the Series 2000D bonds ($49.7 million or 13% of total debt
outstanding) which was privately placed following the termination
of the Mount Sinai-NYU Hospitals Center Obligated Group and is not
rated. Additional, non-rated variable rate debt is outstanding
for patient account receivable financing ($21.8 million) and the
pension loan ($23.5 million) discussed above. Projections do not
anticipate days cash on hand growing beyond current levels.
Routine capital spending for FY2009 approximates $45 million. For
FY2009, capital spending has been curtailed as NYUHC reevaluates
its master facilities plan with the School of Medicine.
Outlook
The stable outlook is based on Moody's belief that financial
performance will remain at current levels and support stable
coverage of the outstanding debt and the renewed alignment with
NYU provides a platform for financial stability.
What could change the rating--UP
Material improvement in financial performance and cashflow,
evidence of increased University oversight or financial support as
well as additional seasoning of this newer relationship
What could change the rating--DOWN
Material reduction in liquidity, downturn in financial
performance, change from current governance structure
Key Indicators
Assumptions & Adjustments:
-- Based on financial statements for NYU Hospitals Center for
FY2007.
-- Based on financial statements for New York University
Consolidated Financial Statements for FY2008
-- First number reflects audit year ended December 31, 2007
-- Second number reflects audit year August 31, 2008
-- Investment returns normalized at 6% unless otherwise noted
* Inpatient admissions: 37,555; 38,435
* Total operating revenues: $1.12 billion; $1.18 billion
* Moody's-adjusted net revenue available for debt service: $92.7
million; $114.0 million
* Total debt outstanding: $494.1 million; $478.7 million
* Maximum annual debt service (MADS): $44.160 million; $44.160
million
* MADS Coverage with reported investment income: 2.26 times; 2.48
times
* Moody's-adjusted MADS Coverage with normalized investment
income: 2.1 times; 2.6 times
* Debt-to-cash flow: 6.78 times; 5.22 times
* Days cash on hand: 52.1 days; 63.5 days
* Cash-to-debt: 30.7%; 40.6%
* Operating margin: 1.1%; 1.9%
* Operating cash flow margin: 6.7%; 7.5%
Rated Debt (debt outstanding as of August 31, 2008)
-- Series 2006A, $97.0 million outstanding, Baa2 rating, fixed
rate
-- Series 2007A, $166.5 million, Baa2 rating, fixed rate
-- Series 2007B, $91.0 million; Baa2 rating, fixed rate
The last rating action was on October 30, 2007 when the ratings of
NYU Hospitals Center were affirmed at Ba2 and the positive outlook
was affirmed.
OCWEN RESIDENTIAL: Moody's Downgrades Ratings on 16 Tranches
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 16
tranches issued in three transactions of the Ocwen Residential MBS
Corporation Series shelf. The collateral backing each tranche
consists primarily of first lien adjustable-rate and fixed-rate
"scratch and dent" mortgage loans, most of which were experiencing
some type of delinquency at closing.
The actions are triggered by higher than anticipated delinquency
levels and severity of loss as well as slower than anticipated
voluntary prepayments, resulting in higher updated loss
expectation for the underlying collateral and lower coverage for
the rated debt given available credit enhancement.
The ratings on the securities are monitored by evaluating factors
determined to be applicable to the credit profile of the
securities, such as i) the nature, sufficiency, and quality of
historical performance information regarding the asset class ii)
an analysis of the collateral being securitized, iii) an analysis
of the transaction's allocation of collateral cash flow and
capital structure, and (iv) a comparison of these attributes
against those of other similar transactions.
General loss estimation methodology is outlined.
For seasoned vintages (before 2005), Moody's calculates estimated
losses for Scratch and Dent RMBS:
-- Current delinquencies are used to project pipeline losses.
-- Annual roll rates are assumed at 0% for 30 days, 15% for 60
days, 30% for 90 days, 65% for foreclosures and 90% for REO.
-- Severities used are higher of 65% or actual historical
severity for each transaction.
-- Adjustments to roll rates and severities were made for very
seasoned transactions and when pool factors were very low.
-- Loss is calculated for the previous year. Expected annual
loss is then derived from a weighted average of previous year
loss and expected pipeline loss. The transaction expected
loss is projected out over the deal's expected remaining
life. Depending on a transaction's time of origination, a
75% weight can be applied to pipeline loss when it is
considered to be more representative of future expected
performance than the previous year's losses.
-- Expected loss is finally compared to credit enhancement to
derive a rating.
Loss estimates are subject to variability and, as a result,
realized losses could ultimately turn out higher or lower than
Moody's current expectations. Moody's will continue to evaluate
performance data as it becomes available and will assess the
pattern of potential future defaults and adjust loss expectations
accordingly if necessary.
Complete rating actions are:
Ocwen Residential MBS Corporation 1998-R2
-- B1-F, Downgraded to A3; previously on 6/29/1998 Assigned Aa2
-- B2-F, Downgraded to Ca; previously on 6/29/1998 Assigned A2
-- B3-F, Downgraded to Ca; previously on 6/29/1998 Assigned Baa2
-- B4-F, Downgraded to Ca; previously on 7/27/2004 Downgraded to
B1
-- B5-F, Downgraded to C; previously on 7/27/2004 Downgraded to
Ca
-- B1-A, Downgraded to A1; previously on 6/29/1998 Assigned Aa2
-- B2-A, Downgraded to Caa1; previously on 6/29/1998 Assigned A2
-- B3-A, Downgraded to Ca; previously on 6/29/1998 Assigned Baa2
-- B4-A, Downgraded to C; previously on 3/1/2007 Downgraded to
B2
-- B5-A, Downgraded to C; previously on 3/1/2007 Downgraded to
Caa2
Ocwen Residential MBS Corporation 1999-R1
-- B3-F, Downgraded to Ba3; previously on 3/31/1999 Assigned
Baa2
-- B4-F, Downgraded to Ca; previously on 5/1/2006 Downgraded to
Caa2
-- B4-A, Downgraded to Ca; previously on 11/30/2006 Downgraded
to B1
Ocwen Residential MBS Corporation 1999-R2
-- AP, Downgraded to A1; previously on 6/30/1999 Assigned Aaa
-- B1, Downgraded to Ba3; previously on 7/27/2004 Upgraded to
Aaa
-- B2, Downgraded to C; previously on 6/30/1999 Assigned A3
PPLUS TRUST: S&P Raises Rating on $40 Mil. Certs. to 'CCC-'
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on PPLUS
Trust Series FMC-1's $40 million 8.25% pass-through trust
certificates series FMC-1 to 'CCC-' from 'D'.
The rating action follows the April 13, 2009, raising of S&P's
rating on Ford Motor Co.'s 7.45% global landmark securities due
July 16, 2031, the underlying security, to 'CCC-' from 'D'.
The rating on the trust certificates is dependent on the rating on
the underlying security.
PREFERRED CPO: Moody's Downgrades Ratings on Two Tranches
---------------------------------------------------------
Moody's has downgraded 2 tranches of Preferred CPO Limited, a
Trust Preferred CDO. This downgrade was prompted by the exposure
of this TRUP CDO to trust preferred securities issued by small to
medium sized U.S. community bank, insurance companies, and
corporate securities.
The rating actions are the result of using a combination of these
analysis: (1) Coverage level and problem bank analysis (2) Event
of default analysis (3) Cash-flow analysis
Coverage Level And Problem Bank Analysis
For each rated tranche, Moody's calculated a coverage ratio. The
coverage ratio was the performing collateral par over the current
tranche being evaluated, including more senior tranches. The
performing collateral excluded all Moody's defaulted par. To
calculate the Moody's defaulted par, Moody's assumed there will be
zero recovery on the 99 bank trust preferred securities in the 89
rated TRUP CDOs that are currently deferring interest payment or
were closed by their regulator. The coverage ratios are used in
benchmarking the general rating levels for tranches across the
capital structure of these transactions. For example, for super
senior tranches, Moody's generally requires more than 400%
coverage to achieve a Aaa rating, more than 200% coverage to
achieve a Aa rating level or more than 150% to achieve a single-A
rating level.
Moody's also calculated two financial ratios for every bank in the
collateral portfolio. The first ratio is calculated: (non-current
loans plus other real estate owned) divided by (tangible common
equity plus allowance for loan losses). The second ratio is
calculated: (non-current loans plus other real estate owned plus
20% of current construction and development loans) divided by
(tangible common equity plus allowance for loan losses). If the
First Ratio is above 150% or the Second Ratio is above 175%, for
purposes of these rating actions, Moody's assumed these banks to
be defaulted with a zero recovery.
These cutoffs for the First Ratio and Second Ratio were used to
identify about 200 banks and thrifts that Moody's considered
problematic of the roughly 8400 FDIC insured US banks and thrifts.
Moody's also used the quantitative V3.1 Risk Calc Model for
private banks, with an adjustment to account for Moody's position
in the current credit cycle downturn (the "Model") to identify
another 100 US banks and thrifts that scored poorly and were
assumed defaulted with a zero recovery. Most banks that have been
closed by the FDIC have deferred on their trust preferred
securities, had levels above the First Ratio or Second Ratio, or
scored poorly in the Model. In addition, there are three
insurance companies that are currently deferring interest payment
or have defaulted. Moody's assumed these insurance names were
defaulted with zero recovery.
Event of Default analysis
This CDO has not declared an Event of Default. The most likely
reason a TRUP CDO would trigger an EOD is non-payment of interest
on a non-deferrable tranche or a senior coverage test falling
below 100% caused by deferral of payment by a sufficient number of
the underlying securities. EOD vary across TRUP CDOs and was
taken into account for each rating action. For this rating
action, Moody's assumed liquidation would not result if EOD occurs
because most of the underlying collateral does not have an active
market making it difficult to sell the portfolio. Instead, if EOD
occurs, Moody's assumed the controlling class would rather elect
to accelerate cash flows from the underlying performing
securities.
There are uncertainties with EOD and although no tranches remain
on review for possible downgrade, further downgrades may be
warranted if an EOD is triggered within the TRUP CDO.
Cash Flow Modeling Analysis
Moody's looked at scenarios from its cash flow model using the
correlated binomial distribution with a higher emphasis on
scenarios in which deferrals were spiked in the first year of the
analysis. The major inputs into the cash flow model are the
default probability, correlations, and recovery rates.
To calculate the default probability of banks, Moody's first
removed all assumed defaults. Next, two financial ratios were
calculated for every bank in the collateral portfolio. If the
First Ratio is above 100% or the Second Ratio is above 130%,
Moody's assumed these banks had an implied default probability
Rating Factor of 6500, which translates into an implied default
probability rating of Caa2. Although these banks were not
considered defaulted, the likelihood of moving to default is high.
For any bank which was not publicly rated or which did not exceed
the First or Second Ratio thresholds, default probability was
determined using the Model. To account for the inherent
limitations of statistical models and adverse selection, the most
favorable implied default probability Rating Factor assumed from
the Model was 360, which translates into an implied default
probability rating of Baa2. This is about equal to the 30 year
historical U.S. bank default rate. To account for the increased
likelihood of deferral on the bank TRUPs in the current
environment, the pool-wide default probability was multiplied by
1.25. Although there is not any historical context to evaluate
the likeliness of bank deferrals, Moody's ultimately believes
there will be more deferrals than defaults.
For insurance companies, Moody's now supplements the use of the
quantitative insurance model developed by MKMV for estimating
default probabilities of unrated companies with an independent
fundamental review by an analyst from Moody's rating estimates
team. Similar to Moody's approach to the modeling of banks,
Moody's accounts for model limitations and adverse selection by
capping the implied default probability Rating Factor. The cap is
set at Baa3, one notch below the Baa2 level for banks because of
the uncertainties of the investment portfolios for the insurance
companies. Also, similarly to account for the increased
likelihood of deferral/default in the current environment, the
pool-wide default probability was multiplied by 1.25. Much like
banks, Moody's believes there will be more deferrals than defaults
in the current environment.
For correlation, Moody's discontinued the practice of granting
diversity credit for the distinction between banks and thrifts.
Moody's also increased the assumed correlation between bank
regions, to 10% from 0%. The assumed correlation between banks
within any one of the five US regions remained at 45%. Moody's
modified the correlation approach for insurance companies by
breaking out P&C issuers by region opposed to 12 product lines.
Moody's assumed five property/casualty regions, which are the same
regions used for banks, and one life/health classification. The
correlation for P&C issuers, L&H issuers, and bank issuers in the
same region was 45%. The inter-industry correlation between P&C
issuers, L&H issuers, and bank issuers in different regions was
10%. Among these various modifications to Moody's rating
parameters, the update to the default probability assumptions was
a much larger driver than the correlation update.
Moody's continued to assume a 10% recovery rate for bank trust
preferred securities in its cash flow analysis. This recovery
rate represents the likelihood that some banks that defer interest
payments may ultimately pay cumulative interest without
defaulting. Moody's also continued to assume a 5% recovery rate
for insurance companies in its cash flow analysis due to less
support by the industry to problem insurance companies.
Other than the assumptions noted, the cash flow model also used
the approach outlined in Moody's Approach to Rating U.S. Bank
Trust Preferred Security CDOs, April 14, 2004 and Moody's Approach
to Rating Insurance Trust Preferred Security CDOs, April 1, 2004.
* Preferred CPO Limited
* Current Model WARF [1]: 907
* Current Assumed Defaulted Amount: $10,000,000
-- US$103,000,000 of Class A Senior Secured Notes due July 26,
2030, Downgraded to Aa1; previously on 8/14/2000 was Aaa
-- US$74,000,000 Class B Senior Subordinated Notes due July 26,
2030, Downgraded to Ba3; previously on 8/14/2000 was Baa3
PREFERREDPLUS TRUST: S&P Cuts Rating on $31 Mil. Certs. to 'B'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on
PreferredPLUS Trust Series CTR-1's $31 million trust certificates
to 'B' from 'B+'.
The rating action reflects the April 2, 2009, lowering of the
rating on Cooper Tire & Rubber Co.'s 8.00% notes due Dec. 15,
2019, to 'B' from 'B+'.
The rating on the trust certificates is dependent on the rating on
the 8.00% Cooper Tire & Rubber Co. notes.
PUBLIC STEERS: S&P Raises Rating on $231.903 Mil. Certs. to 'CCC-'
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on Public
STEERS Series 1998 F-Z4 Trust's $231.903 million class A and B
pass-through certificates series 1998 F-Z4 to 'CCC-' from 'D'.
The rating action reflects the April 13, 2009, raising of S&P's
rating on Ford Motor Co.'s 7.7% debentures due May 15, 2097, the
underlying security, to 'CCC-' from 'D'.
The rating on the class A and B certificates is dependent on the
rating on the underlying security.
RAIT CRE: Moody's Downgrades Ratings on Five Classes of Notes
-------------------------------------------------------------
Moody's Investors Service confirmed the ratings of six classes and
downgraded the ratings of five classes of Notes issued by RAIT CRE
CDO I, Ltd. The rating actions are:
-- Class A1-A, $200,000,000, Floating Rate Notes Due 2046,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A1-B, $275,000,000, Floating Rate Notes Due 2046,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A-2, $90,000,000, Floating Rate Notes Due 2046,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class B, $110,000,000, Floating Rate Notes Due 2046,
confirmed at Aa2; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class C, $41,500,000, Floating Rate Notes Due 2046, confirmed
at A1; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class D, $25,000,000, Floating Rate Notes Due 2046, confirmed
at A2; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class E, $16,000,000, Floating Rate Notes Due 2046,
downgraded to Baa1 from A3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class F, $22,000,000, Floating Rate Notes Due 2046,
downgraded to Baa2 from Baa1; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class G, $20,500,000, Fixed Rate Notes Due 2046, downgraded
to Baa3 from Baa2; previously on 3/12/2009 Placed Under
Review for Possible Downgrade
-- Class H, $18,000,000, Floating Rate Notes Due 2046,
downgraded to Ba2 from Baa3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class J, $35,000,000, Floating Rate Notes Due 2046,
downgraded to B1 from Ba2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
Moody's downgraded Classes E, F, G, H 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 0.8% concentration in REIT collateral, which
was issued in 2008. 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. This is Moody's first full review since
securitization. Moody's review at securitization is summarized in
a press release dated November 20, 2006.
RESOURCE REAL: Moody's Downgrades Ratings on 10 2007-1 Notes
------------------------------------------------------------
Moody's Investors Service downgraded the ratings of 10 classes and
confirmed the ratings of four classes of Notes issued by Resource
Real Estate Funding CDO 2007-1, Ltd. The rating actions are:
-- Class A-1, $180,000,000, Floating Rate Notes Due 2046,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A-1R, $50,000,000, Floating Rate Notes Due 2046,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class A-2, $57,500,000, Floating Rate Notes Due 2046,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class B, $22,500,000, Floating Rate Notes Due 2046, confirmed
at Aa1; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class C, $7,000,000, Fixed Rate Notes Due 2046, downgraded to
Aa3 from Aa2; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class D, $26,750,000, Floating Rate Notes Due 2046,
downgraded to A3 from Aa3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class E, $11,875,000, Floating Rate Notes Due 2046,
downgraded to Baa2 from A1; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class F, $11,875,000, Floating Rate Notes Due 2046,
downgraded to Baa3 from A2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class G, $11,250,000, Floating Rate Notes Due 2046,
downgraded to Ba1 from A3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class H, $11,250,000, Floating Rate Notes Due 2046,
downgraded to Ba2 from Baa1; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class J, $11,250,000, Floating Rate Notes Due 2046,
downgraded to Ba3 from Baa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class K, $10,000,000, Floating Rate Notes Due 2046,
downgraded to B2 from Baa3 previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class L, $18,750,000, Fixed Rate Notes Due 2046, downgraded
to Caa1 from Ba2; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class M, $28,750,000, Fixed Rate Notes Due 2046, downgraded
to Caa2 from B2; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
Moody's downgraded Classes C, D, E, F, G, H, J, K, L and M 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 9.8% concentration in CMBS collateral of which
100% was issued between 2006 and 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.
We have updated Moody's asset correlation assumption for the
commercial real estate sector to be consistent with one of Moody's
CDO rating models, CDOROM v2.5 (released on February 3, 2009),
which incorporates these new parameters. However, for CRE CDOs
with non-CUSIP collateral, Moody's is reducing the maximum over
concentration stress applied to correlation factors by half due to
the diversity of tenants, property types, and geographic locations
inherent in the collateral pools. Previously, the average asset
correlations used for CMBS within CRE CDO deals ranged between 15%
and 35%, depending on vintage and issuer diversity. In light of
the systemic seizure of the credit markets, as well as higher
intra industry and inter industry asset correlations, the updated
correlation parameters for CRE CDOs will imply an average range of
asset correlations of between 30% and 60% for the underlying
collateral.
Moody's has previously stated that CRE CDO deals with collateral
concentrations in CMBS certificates will likely be among the first
transactions to be affected by credit issues that arise, and that
the additional leverage inherent in these deals creates the
potential for greater ratings transitions compared to that of a
first order transaction (i.e., those containing non-CUSIP assets).
For CRE CDOs with CUSIP collateral, the additional default
probability stress sometimes applied to resecuritization
collateral will not be applied to Moody's review of conduit and
fusion commercial mortgage backed securities collateral from the
2006 to 2008 vintages due to a recent ratings sweep of these
transactions. Based on Moody's current expectations for
commercial real estate performance, Moody's has migrated the
ratings for recent vintage CMBS to levels that Moody's 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 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 May 23, 2007.
RESOURCE REAL: Moody's Downgrades Ratings on Eight 2006-1 Notes
---------------------------------------------------------------
Moody's Investors Service downgraded the ratings of eight classes
of Notes and confirmed one class of Notes issued by Resource Real
Estate Funding CDO 2006-1, Ltd. The rating actions are:
-- Class A-1, $129,370,000, Floating Rate Notes Due 2046,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class B, $6,900,000, Floating Rate Notes Due 2046, downgraded
to A3 from Aa2; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class C, $20,700,000, Floating Rate Notes Due 2046;
downgraded to Baa2 from A1; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class D, $15,520,000, Floating Rate Notes Due 2046,
downgraded to Baa3 from A3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class E, $20,700,000, Floating Rate Notes Due 2046,
downgraded to Ba1 from Baa1; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class F, $19,830,000, Floating Rate Notes Due 2046,
downgraded to Ba2 from Baa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class G, $17,250,000, Floating Rate Notes Due 2046,
downgraded to B1 from Baa3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class J, $14,660,000, Floating Rate Notes Due 2046,
downgraded to Caa1 from Ba2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class K, $28,460,000, Floating Rate Notes Due 2046,
downgraded to Caa3 from B2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
Moody's downgraded Classes B, C, D, E, F, G, 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 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 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 itss asset correlation assumption for the
commercial real estate sector to be consistent with one of Moody's
CDO rating models, CDOROM v2.5 (released on February 3, 2009),
which incorporates these new parameters. However, for CRE CDOs
with non-CUSIP collateral, Moody's is reducing the maximum over
concentration stress applied to correlation factors by half due to
the diversity of tenants, property types, and geographic locations
inherent in the collateral pools. Previously, the average asset
correlations used for CMBS within CRE CDO deals ranged between 15%
and 35%, depending on vintage and issuer diversity. In light of
the systemic seizure of the credit markets, as well as higher
intra industry and inter industry asset correlations, the updated
correlation parameters for CRE CDOs will imply an average range of
asset correlations of between 30% and 60% for the underlying
collateral.
Moody's has previously stated that CRE CDO deals with collateral
concentrations in CMBS certificates will likely be among the first
transactions to be affected by credit issues that arise, and that
the additional leverage inherent in these deals creates the
potential for greater ratings transitions compared to that of a
first order transaction (i.e., those containing non-CUSIP assets).
For CRE CDOs with CUSIP collateral, the additional default
probability stress sometimes applied to resecuritization
collateral will not be applied to Moody's review of conduit and
fusion commercial mortgage backed securities collateral from the
2006 to 2008 vintages due to a recent ratings sweep of these
transactions. Based on Moody's current expectations for
commercial real estate performance, Moody's has migrated the
ratings for recent vintage CMBS to levels that Moody's 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 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 July 5, 2006
RESTRUCTURED ASSET: Moody's Cuts Rating on 2002-10-TR Certificates
------------------------------------------------------------------
Moody's Investors Service downgraded its rating of Restructured
Asset Certificates with Enhanced Returns, Series 2002-10-TR
Certificates issued by Restructured Asset Certificates with
Enhanced Returns, Series 2002-10-TR Trust.
The rating action is:
Class Description: Restructured Asset Certificates with Enhanced
Returns, Series 2002-10-TR Certificates
-- Current Rating: Ca
-- Prior Rating: Caa2 on review for possible downgrade
-- Prior Rating Date: 04/02/09
The transaction is a repackaged security whose rating is based
primarily upon the transaction's structure and the credit quality
of the Reference Obligation, Swap Counterparty and Underlying
Asset.
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_2_i)'s $75 million credit-linked certificates by
lowering the rating to 'D' from 'CC'.
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 2006-15-A Trust's $500 million certificates due to a
process delay.
The rating on the series 2006-18-C certificates is dependent on
the lower of the rating on (i) the certificates issued by RACERS
Series 2006-15-A Trust ('D') and (ii) the $40 million class M-5
certificates Series 2006-1 due Feb. 25, 2036, issued by Long Beach
Mortgage Loan Trust ('CC').
RESTRUCTURED ASSET: S&P Corrects Rating on $87 Mil. 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_iii)'s $87 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 2006-15-A Trust's $500 million certificates due to a
process delay.
The rating on the series 2006-18-C certificates is dependent on
the lower of the rating on (i) the certificates issued by RACERS
Series 2006-15-A Trust ('D') and (ii) the lowest-rated reference
obligations in the credit default swap, which are the $24.539
million class M-5 certificates due Sept. 25, 2035, issued by
Morgan Stanley ABS Capital I Inc. Trust 2005-HE5 ('CCC'); the
$12.829 million class M-5 certificates due Sept. 25, 2035, issued
by RAMP Series 2005-EFC4 Trust ('CCC'); and the $24.880 million
class M-5 certificates due Sept. 25, 2035, issued by Structured
Asset Investment Loan Trust 2005-HE3 ('CCC').
RESTRUCTURED ASSET: S&P Corrects Rating on Certificates 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_ii)'s $87 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 2006-15-A Trust's $500 million certificates due to a
process delay.
The rating on the series 2006-18-C certificates is dependent on
the lower of the rating on (i) the certificates issued by RACERS
Series 2006-15-A Trust ('D') and (ii) the lowest-rated reference
obligations in the credit default swap, which are the $32.425
million class M-5 certificates due Nov. 25, 2036, issued by First
Franklin Mortgage Loan Trust Series 2005-FF12 ('CCC'); the $24.750
million class M-5 certificates due Feb. 25, 2036, issued by Home
Equity Asset Trust 2005-8 ('CCC'); the $75.248 million class M-2
certificates due Oct. 25, 2035, issued by Structured Asset Backed
Receivables LLC Trust 2005-HE1 ('CCC'); and the $17.219 million
class M-5 certificates due March 25, 2036, issued by Soundview
Home Loan Trust 2005-4 ('CCC').
RFC CDO: Moody's Downgrades Ratings on 10 Classes of 2006-1 Notes
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of 10 classes of
Notes issued by RFC CDO 2006-1, Ltd. The rating actions are:
-- Class A-1, $353,124,418, Floating Rate Notes Due 2046,
downgraded to Aa2 from Aaa; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class A-2, $33,000,000, Floating Rate Notes Due 2046,
downgraded to Baa2 from Aaa; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class B, $34,500,000, Floating Rate Notes Due 2046,
downgraded to Ba1 from Aa2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class C, $15,000,000, Floating Rate Notes Due 2046,
downgraded to Ba2 from A1; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class D, $13,500,000, Floating Rate Notes Due 2046,
downgraded to B1 from A3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class E, $9,000,000, Floating Rate Notes Due 2046, downgraded
to B2 from Baa1; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class F, $10,500,000, Floating Rate Notes Due 2046,
downgraded to B3 from Baa1; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class G, $13,500,000, Floating Rate Notes Due 2046,
downgraded to Caa1 from Baa3; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class J, $24,000,000, Floating Rate Notes Due 2046,
downgraded to Caa3 from Ba2; previously on 3/12/2009 Placed
Under Review for Possible Downgrade
-- Class K, $20,250,000, Floating Rate Notes Due 2046,
downgraded to Caa3 from B2; 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 an 18.5% concentration in CMBS collateral, of
which 65.0% was issued between 2004 and 2006. The remaining
collateral includes Whole Loans, B-Notes and Mezzanine 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 full review since
securitization. Moody's review at securitization is summarized in
a Pre-Sale report dated February 24, 2006.
RFMSI SERIES: Moody's Downgrades Ratings on 193 Tranches
--------------------------------------------------------
Moody's Investors Service has downgraded 193 tranches and
confirmed 17 tranches from 16 RFMSI Series deals issued in 2006
and 2007.
The collateral backing these transactions consists primarily of
first-lien, fixed and 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:
RFMSI Series 2006-S1 Trust
-- Cl. I-A-1, Downgraded to B1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Downgraded to B1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. I-A-3, Downgraded to A1; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. I-A-4, Downgraded to B1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. I-A-5, Downgraded to B1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. I-A-6, Downgraded to B1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. I-A-8, Downgraded to B1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. I-A-9, Downgraded to B1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. II-A, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to B1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-V, Downgraded to A1; previously on 3/19/2009 Aa1 Placed
Under Review for Possible Downgrade
RFMSI Series 2006-S12 Trust
-- Cl. I-A-1, Confirmed at Aaa; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. I-A-P, Confirmed at Aaa; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. I-A-V, Confirmed at Aaa; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Downgraded to Ba2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Downgraded to Baa1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. II-A-3, Downgraded to Baa2; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. II-A-4, Downgraded to Ba3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. II-A-5, Downgraded to Ba2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. II-A-6, Downgraded to Baa2; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. II-A-7, Downgraded to Ba3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. II-A-P, Downgraded to Ba2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. II-A-V, Downgraded to Baa2; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. III-A-1, Downgraded to Ba1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. III-A-2, Downgraded to Ba1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. III-A-3, Downgraded to Ba1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. III-A-4, Downgraded to Baa2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. III-A-5, Downgraded to B3; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. III-A-6, Downgraded to B3; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. III-A-7, Downgraded to Ba1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. III-A-8, Downgraded to Caa3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. III-A-9, Downgraded to Ba1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. III-A-10, Downgraded to Caa3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. III-A-P, Downgraded to B3; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. III-A-V, Downgraded to Baa2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
RFMSI Series 2006-S5 Trust
-- Cl. A-1, Downgraded to Ba1; previously on 3/19/2009 A3 Placed
Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ba1; previously on 3/19/2009 A3 Placed
Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Baa3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Baa2; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to Caa1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to Ba1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. A-11, Confirmed at Aa3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-13, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-14, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-15, Downgraded to B1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-16, Downgraded to Ba1; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. A-17, Downgraded to B3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-18, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to B3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-V, Downgraded to Aa3; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
RFMSI Series 2006-S6 Trust
-- Cl. A-1, Downgraded to Ba3; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-2, Confirmed at Ba1; previously on 3/19/2009 Ba1 Placed
Under Review for Possible Downgrade
-- Cl. A-3, Confirmed at Ba1; previously on 3/19/2009 Ba1 Placed
Under Review for Possible Downgrade
-- Cl. A-4, Confirmed at Ba1; previously on 3/19/2009 Ba1 Placed
Under Review for Possible Downgrade
-- Cl. A-5, Confirmed at Ba1; previously on 3/19/2009 Ba1 Placed
Under Review for Possible Downgrade
-- Cl. A-6, Confirmed at Ba1; previously on 3/19/2009 Ba1 Placed
Under Review for Possible Downgrade
-- Cl. A-7, Confirmed at Ba1; previously on 3/19/2009 Ba1 Placed
Under Review for Possible Downgrade
-- Cl. A-8, Confirmed at Ba1; previously on 3/19/2009 Ba1 Placed
Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to Baa2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to Baa2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to Ba3; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to Baa2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. A-13, Downgraded to Baa2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. A-14, Downgraded to Baa2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. A-15, Downgraded to Baa2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. A-16, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to Ba3; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-V, Downgraded to Baa2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
RFMSI Series 2006-S7 Trust
-- Cl. A-1, Downgraded to B3; previously on 3/19/2009 A3 Placed
Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to B3; previously on 3/19/2009 A3 Placed
Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B3; previously on 3/19/2009 A3 Placed
Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to B2; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Ca; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to B3; previously on 3/19/2009 A3 Placed
Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to B2; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to B2; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to B2; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to Ca; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to B3; previously on 3/19/2009 A3 Placed
Under Review for Possible Downgrade
-- Cl. A-V, Downgraded to B2; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
RFMSI Series 2006-S8 Trust
-- Cl. A-1, Downgraded to Ba1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ba2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ba2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ba1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to B1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to A3; previously on 3/19/2009 Aa2 Placed
Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to Ba2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to A1; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to A1; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to Ba2; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to Ba2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to Ba2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-13, Downgraded to Ba2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-14, Downgraded to Ba2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-15, Downgraded to Ba2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-16, Downgraded to Ba2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to Ba2; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-V, Downgraded to A1; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
RFMSI Series 2006-S9 Trust
-- Cl. A-1, Downgraded to Ba1; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to B3; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ba3; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to B1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to B1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to B1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to B1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to B1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to Ba3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to B1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to Ba3; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to B1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-V, Downgraded to Ba3; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
RFMSI Series 2006-SA1 Trust
-- Cl. I-A-1, Downgraded to B3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Downgraded to Ca; previously on 3/19/2009 B2
Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Downgraded to B3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Downgraded to Ca; previously on 3/19/2009 B2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on 3/19/2009 Ca Placed
Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on 3/19/2009 Ca Placed
Under Review for Possible Downgrade
RFMSI Series 2006-SA4 Trust
-- Cl. I-A-1, Downgraded to Caa3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Downgraded to Ca; previously on 3/19/2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Downgraded to B3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Downgraded to Ca; previously on 3/19/2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. III-A-1, Downgraded to Caa2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. III-A-2, Downgraded to Caa2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. III-A-3, Downgraded to Ca; previously on 3/19/2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. III-A-X-1, Downgraded to Caa2; previously on 3/19/2009
Baa1 Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on 3/19/2009 Ca Placed
Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on 3/19/2009 Ca Placed
Under Review for Possible Downgrade
RFMSI Series 2007-S1 Trust
-- Cl. A-1, Downgraded to Ba1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ba1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to B3; previously on 3/19/2009 Ba2 Placed
Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Ba3; previously on 3/19/2009 A2 Placed
Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed
Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to B3; previously on 3/19/2009 Ba2 Placed
Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed
Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to B3; previously on 3/19/2009 Ba2 Placed
Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to Baa1; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to B3; previously on 3/19/2009 A2 Placed
Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to Ba2; previously on 3/19/2009 A1
Placed Under Review for Possible Downgrade
-- Cl. A-13, Downgraded to Caa3; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-14, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A-15, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A-16, Downgraded to Ca; previously on 3/19/2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-17, Downgraded to B3; previously on 3/19/2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to B3; previously on 3/19/2009 Ba2 Placed
Under Review for Possible Downgrade
-- Cl. A-V, Downgraded to Ba1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
RFMSI Series 2007-S2 Trust
-- Cl. A-6, Downgraded to B1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
RFMSI Series 2007-S4 Trust
-- Cl. A-1, Downgraded to B2; previously on 3/19/2009 Ba3 Placed
Under Review for Possible Downgrade
-- Cl. A-2, Confirmed at B3; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B3; previously on 3/19/2009 B2 Placed
Under Review for Possible Downgrade
-- Cl. A-4, Confirmed at B3; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to B2; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-6, Confirmed at B3; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. A-8, Confirmed at B3; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to B3; previously on 3/19/2009 B2 Placed
Under Review for Possible Downgrade
-- Cl. A-10, Confirmed at B3; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to Ca; previously on 3/19/2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to B3; previously on 3/19/2009 B2 Placed
Under Review for Possible Downgrade
-- Cl. A-13, Downgraded to B3; previously on 3/19/2009 B2 Placed
Under Review for Possible Downgrade
-- Cl. A-14, Downgraded to B3; previously on 3/19/2009 B2 Placed
Under Review for Possible Downgrade
-- Cl. A-15, Downgraded to B3; previously on 3/19/2009 B2 Placed
Under Review for Possible Downgrade
-- Cl. A-P, Confirmed at B3; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. A-V, Downgraded to B3; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
RFMSI Series 2007-S5 Trust
-- Cl. A-1, Downgraded to B3; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ba1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B3; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ba1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Caa1; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Caa1; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to Ba2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to Ba2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to Caa1; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to Caa1; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to B3; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-V, Downgraded to Ba1; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
RFMSI Series 2007-S6 Trust
-- Cl. I-A-4, Downgraded to B3; previously on 3/19/2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. I-A-6, Downgraded to B1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. I-A-13, Downgraded to B1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. I-A-14, Downgraded to Ca; previously on 3/19/2009 B1
Placed Under Review for Possible Downgrade
-- Cl. I-A-17, Downgraded to B1; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. I-A-19, Downgraded to Ca; previously on 3/19/2009 B2
Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Downgraded to B3; previously on 3/19/2009 B1
Placed Under Review for Possible Downgrade
-- Cl. II-A-4, Downgraded to B3; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. II-A-5, Downgraded to B1; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. II-A-7, Downgraded to B1; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. II-A-10, Downgraded to B1; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. II-A-14, Downgraded to Ca; previously on 3/19/2009 B2
Placed Under Review for Possible Downgrade
RFMSI Series 2007-SA1 Trust
-- Cl. I-A-1, Downgraded to Caa2; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Downgraded to Caa2; previously on 3/19/2009 B2
Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Downgraded to Caa1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. II-A-3, Downgraded to Ca; previously on 3/19/2009 B3
Placed Under Review for Possible Downgrade
-- Cl. II-A-X, Downgraded to Caa2; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. III-A, Downgraded to Caa2; previously on 3/19/2009 B3
Placed Under Review for Possible Downgrade
-- Cl. IV-A, Downgraded to B3; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on 3/19/2009 Caa2 Placed
Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on 3/19/2009 Ca Placed
Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on 3/19/2009 Ca Placed
Under Review for Possible Downgrade
RFMSI Series 2007-SA2 Trust
-- Cl. I-A, Downgraded to Caa3; previously on 3/19/2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Downgraded to Caa3; previously on 3/19/2009 B2
Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Downgraded to Caa1; previously on 3/19/2009 A3
Placed Under Review for Possible Downgrade
-- Cl. II-A-3, Downgraded to Ca; previously on 3/19/2009 B3
Placed Under Review for Possible Downgrade
-- Cl. III-A, Downgraded to Caa3; previously on 3/19/2009 B2
Placed Under Review for Possible Downgrade
-- Cl. IV-A, Downgraded to Caa3; previously on 3/19/2009 B2
Placed Under Review for Possible Downgrade
-- Cl. V-A, Downgraded to B3; previously on 3/19/2009 Aa2 Placed
Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on 3/19/2009 Caa2 Placed
Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on 3/19/2009 Ca Placed
Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on 3/19/2009 Ca Placed
Under Review for Possible Downgrade
SATURNS TRUST: Moody's Downgrades Rating on 2003-1 Notes to 'Ba3'
-----------------------------------------------------------------
Moody's Investors Service downgraded its rating of $60,191,699 of
7.25% Callable Units due June 1, 2032 issued by SATURNS Trust No.
2003-1.
The rating actions are:
Class Description: $60,191,699 of 7.25% Callable Units due June 1,
2032
-- Current Rating: Ba3
-- Prior Rating: Ba2
-- Prior Rating Date: 11/03/06
The transaction is a structured note whose rating changes with the
ratings of the Securities. The rating action is a result of the
change of the rating 7.00% Sears Roebuck Acceptance Corp.
debentures due June 1, 2032, which were downgraded to Ba3 on
March 23, 2009.
SATURNS TRUST: S&P Raises Ratings on $75 Mil. Units to 'CCC-'
-------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on SATURNS
Trust No. 2003-5's $75 million 8.125% pass-through callable units
series 2003-5 to 'CCC-' from 'D'.
The rating action follows the April 13, 2009, raising of S&P's
rating on Ford Motor Co.'s 7.45% global landmark securities due
July 16, 2031, the underlying security, to 'CCC-' from 'D'.
The rating on the callable units is dependent on the rating on the
underlying security.
SATURNS TRUST: S&P Downgrades Ratings on 2003-7 Notes to 'BB'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on SATURNS
Trust No. 2003-7's class A and B units to 'BB' from 'BBB-' and
removed them from CreditWatch, where they were placed with
negative implications on Feb. 12, 2009.
The rating actions reflect the April 16, 2009, lowering of the
rating on Macy's Retail Holdings Inc.'s 6.90% debentures due Jan.
15, 2032, to 'BB' and its removal from CreditWatch negative.
The ratings on the class A and B units are based solely on the
rating assigned to the Macy's Retail Holdings Inc. debentures.
SATURNS TRUST: S&P Affirms 'BB-' Rating on $60.192 Mil. Certs.
--------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its 'BB-' rating on
SATURNS Trust No. 2003-1's $60.192 million certificates and
removed it from CreditWatch, where it was placed with negative
implications on Feb. 13, 2009.
The actions reflect the April 16, 2009, affirmation of the 'BB-'
rating on Sears Roebuck Acceptance Corp.'s 7.00% notes due June 1,
2032, and its removal from CreditWatch negative.
The rating on the certificates is based solely on the rating
assigned to Sears Roebuck Acceptance Corp.'s debentures.
SEQUOIA MORTGAGE: Moody's Junks 16 Class of Pass-Through Certs.
---------------------------------------------------------------
Moody's Investors Service has downgraded 27 tranches from 3 deals
issued by Sequoia Mortgage Trust in 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: Sequoia Mortgage Trust 2007-2, Mortgage Pass-Through
Certificates, Series 2007-2
-- Cl. 1-A1, Downgraded to B3; previously on 3/19/2009 A3 Placed
Under Review for Possible Downgrade
-- Cl. 1-A2, Downgraded to Ba1; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 1-XA, Downgraded to Ba1; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 1-XB, Downgraded to C; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 1-B1, Downgraded to C; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 1-B2, Downgraded to C; previously on 3/19/2009 Ba3 Placed
Under Review for Possible Downgrade
Issuer: Sequoia Mortgage Trust 2007-3, Mortgage Pass-Through
Certificates, Series 2007-3
-- Cl. 1-A1, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A2, Downgraded to Caa3; previously on 3/19/2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 1-XA, Downgraded to Ba3; previously on 3/19/2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-XB, Downgraded to C; previously on 3/19/2009 Ba2 Placed
Under Review for Possible Downgrade
-- Cl. 1-B1, Downgraded to C; previously on 3/19/2009 Ba2 Placed
Under Review for Possible Downgrade
-- Cl. 1-B2, Downgraded to C; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. 1-B3, Downgraded to C; previously on 3/19/2009 Caa2
Placed Under Review for Possible Downgrade
Issuer: Sequoia Mortgage Trust 2007-4, Mortgage Pass-Through
Certificates, Series 2007-4
-- Cl. 1-A1, Downgraded to A2; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A2, Downgraded to Ca; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. 1-XA, Downgraded to A2; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A1, Downgraded to B3; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. 2-A2, Downgraded to Ca; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. 3-A1, Downgraded to B3; previously on 3/19/2009 A1 Placed
Under Review for Possible Downgrade
-- Cl. 3-A2, Downgraded to Ca; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. 4-A1, Downgraded to A3; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. 4-A2, Downgraded to Ca; previously on 3/19/2009 B2 Placed
Under Review for Possible Downgrade
-- Cl. 5-A1, Downgraded to B3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 5-A2, Downgraded to Ca; previously on 3/19/2009 B3 Placed
Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C; previously on 3/19/2009 Ca Placed
Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C; previously on 3/19/2009 Ca Placed
Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C; previously on 3/19/2009 Ca Placed
Under Review for Possible Downgrade
SLATE CDO: S&P Downgrades Ratings on All Classes of 2007-1 Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on all of
the rated classes of notes issued by Slate CDO 2007-1 Ltd., a
commercial real estate collateralized debt obligation transaction
backed by cash and synthetic commercial real estate assets. The
lowered ratings remain on CreditWatch with negative implications.
The transaction was originated in June 2007.
The rating actions reflect S&P's receipt of notice from the
trustee indicating the occurrence of an event of default under
section 5.1 (h) of the transaction's indenture. The EOD gives
holders of at least 50% in aggregate outstanding amount of the
class A1SA notes the right to direct the trustee to proceed with
the liquidation of the collateral backing the rated notes.
The rating actions reflect S&P's opinion that, should the
requisite A1SA noteholders direct the trustee to proceed with
liquidation, 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 prior to the end of any
liquidation period.
Standard & Poor's will continue to monitor the performance of the
transaction to determine the stability of the tranches at their
rating levels.
Rating And Creditwatch Actions
Slate CDO 2007-1 Ltd.
Rating
------
Class To From
----- -- ----
A1SA BBB/Watch Neg AAA/Watch Neg
A1SB BBB/Watch Neg AAA/Watch Neg
A1J BB/Watch Neg AAA/Watch Neg
A2 B/Watch Neg AA/Watch Neg
A3 B-/Watch Neg A/Watch Neg
B1 CCC+/Watch Neg BBB/Watch Neg
B2 CCC/Watch Neg BBB-/Watch Neg
B3 CCC-/Watch Neg BB+/Watch Neg
C CCC-/Watch Neg BB/Watch Neg
Transaction Information
-----------------------
Issuer: Slate CDO 2007-1 Ltd.
Co-issuer: Slate CDO 2007-1 LLC
Collateral manager: Petra Cap Management LLC
Underwriter: UBS Securities Inc.
Indenture trustee: Wells Fargo Bank N.A.
SPGS SPC: S&P Downgrades Ratings on Four Classes to 'D'
-------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on SPGS
SPC's Baldwin Series 2006-IV, 2006-V, 2006-VI, and 2006-VII notes.
The lowered ratings follow a number of recent write-downs of
underlying reference entities, which have caused the notes to
incur principal losses.
Ratings Lowered
SPGS SPC
Series Baldwin 2006-IV
Rating
------
Class To From
----- -- ----
Notes D CCC-
SPGS SPC
Series Baldwin 2006-V
Rating
------
Class To From
----- -- ----
Notes D CCC-
SPGS SPC
Series Baldwin 2006-VI
Rating
------
Class To From
----- -- ----
A D CCC-
SPGS SPC
Series Baldwin 2006-VII
Rating
------
Class To From
----- -- ----
A-2 D CCC-
Other Outstanding Ratings
SPGS SPC
Series Baldwin 2006-VII
Class Rating
----- ------
A-1 CCC-
SPRING ASSET: Moody's Confirms Ratings on 11 Classes of Notes
-------------------------------------------------------------
Moody's Investors Service confirmed the ratings eleven classes of
Notes issued by Spring Asset Funding Ltd. The rating actions are:
-- Class A, $868,750,000, Floating Rate Notes Due 2050,
confirmed at Aaa; previously on 3/12/2009 Placed Under Review
for Possible Downgrade
-- Class B, $81,250,000, Floating Rate Notes Due 2050, confirmed
at Aa2; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class C, $28,125,000, Floating Rate Notes Due 2050, confirmed
at A1; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class D, $9,375,000, Floating Rate Notes Due 2050, confirmed
at A2; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class E, $9,375,000, Floating Rate Notes Due 2050, confirmed
at A3; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class F, $18,750,000, Floating Rate Notes Due 2050, confirmed
at Baa1; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class G, $18,750,000, Floating Rate Notes Due 2050, confirmed
at Baa2; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class H, $15,625,000, Floating Rate Notes Due 2050, confirmed
at Baa3; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class J, $18,750,000, Floating Rate Notes Due 2050, confirmed
at Ba1; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class K, $18,750,000, Floating Rate Notes Due 2050, confirmed
at Ba2; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
-- Class L, $18,750,000, Floating Rate Notes Due 2050, confirmed
at Ba3; previously on 3/12/2009 Placed Under Review for
Possible Downgrade
The pool contains a 16.4% concentration in CMBS collateral of
which approximately 67.5% was issued between 2006 and 2008. The
remaining pool collateral includes CDO securities, whole loans,
subordinate debt 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 press release dated November 3, 2006.
STRUCTURED ENHANCED: Moody's Downgrades Rating on 2004-2 Notes
--------------------------------------------------------------
Moody's Investors Service downgraded its rating of Structured
Enhanced Trust Securities Series 2004-2 issued by SETS Trust No.
2004-2.
The rating action is:
Class Description: Structured Enhanced Trust Securities Series
2004-2
-- Current Rating: Ba1
-- Prior Rating: Baa1 on review for possible downgrade
-- Prior Rating Date: 03/18/09
The transaction is a structured note whose rating changes with the
rating of the Debt Securities Insurer as well as the rating of the
underlying assets.
STEERS CDO: S&P Junks Rating on $130 Mil. 2005-1 Certificates
-------------------------------------------------------------
Standard & Poor's Ratings Services corrected its rating on Steers
CDO Squared Trust Series 2005-1's $130 million trust certificates
series 2005-1 by lowering the rating to 'CCC' from 'B+'.
S&P initially rated these notes Feb. 20, 2009. However, due to an
analytical error at that time, S&P believed the transaction
benefited from 17.69% subordination. Upon further review, S&P
discovered that the transaction's actual subordination level is
7.96%, and S&P is adjusting its rating based on this corrected
subordination level.
Steers CDO Squared Trust Series 2005-1 has a remaining life of 15
months and is scheduled to mature in July 2010.
TIMES SQUARE: S&P Downgrades Rating on Amortizing Certs. to 'BB'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on Times
Square Hotel Trust's mortgage and lease amortizing certificates to
'BB' from 'BB+' and removed it from CreditWatch with negative
implications. The outlook is stable.
The action follows the April 16, 2009, lowering of the corporate
credit rating on Starwood Hotels & Resorts Worldwide Inc.
The rating on the Times Square Hotel Trust transaction is based on
the payments and obligations made by Starwood pursuant to a
triple-net-lease for the W New York -- Times Square Hotel on
Broadway at 47th Street in Manhattan.
WACHOVIA BANK: GGP Bankruptcy Cudes Moody's Review on Rake Bonds
----------------------------------------------------------------
Moody's Investors Service placed the ratings of 15 rake or non-
pooled bonds from six CMBS transactions on review for possible
downgrade due to concerns about potential non-reimbursed trust
expenses and interest shortfalls related to the Chapter 11
bankruptcy filing of General Growth Properties and affiliates on
April 16, 2009. In these transactions, Moody's rated promise is
to the timely payment of interest and ultimate payment of
principal by the final rated distribution date. Moody's action
reflects the possibility that non-reimbursed trust expenses and
interest shortfalls may cause a disruption in the timely payment
of interest on the rake or non-pooled bonds.
Like non-pooled bonds, rake bonds are exposed to the first loss
occurring on a single loan, or to the non-reimbursed trust
expenses and interest shortfalls that may occur as a result of the
loan being transferred to special servicing. There is no benefit
from the pooling of cash flows from other loans. As a result,
special servicing fees, legal expenses, and other trust expenses
may create interest shortfalls that could negatively impact the
non-rated or rated classes in reverse sequential order. In some
cases, these shortfalls and expenses may not be reimbursed by the
loan borrower upon the return of the loan to master servicing.
The bankruptcy filing includes 158 properties. Of these, 46
properties are in 39 Moody's rated U.S. CMBS transactions.
Moody's has reviewed the 39 deals and has concluded that no action
is warranted at this time on the remaining 33 deals where pooled
GGP loans were subject to the Chapter 11 filing. Moody's will
continue to monitor the GGP bankruptcy case and the transactions
with exposure to GGP; if there are any material changes, rating
actions will be taken, if warranted.
In Moody's review, Moody's concluded that the GGP exposure was not
material in some deals. In others, prior rating actions reflected
a below-investment grade underlying rating for the asset
commensurate with the current risk. Finally, in the remaining
deals, amortization and improved property performance, along with
bond level paydowns and increased credit enhancement, mitigated
the increased probability of default and expected loss associated
with GGP's bankruptcy filing. In addition, when interest
shortfalls and non-reimbursed trust expenses occur in the
transactions in which the GGP affected loans are pooled, there is
a non-rated class or classes that have an appropriate low rating
to absorb these shortfalls.
Moody's rating action is:
Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2006-C5
-- Class AMP-1, $40,000,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from Baa1
on 2/9/2009
-- Class AMP-2, $48,000,000, currently rated Baa3; on review for
possible downgrade; previously downgraded to Baa3 from Baa2
on 2/9/2009
-- Class AMP-3, $27,000,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from Baa3 on
2/9/2009.
These classes are supported by a B note secured by the borrower's
interest in Ala Moana Center, a 2.0 million square foot regional
mall and office component located in Honolulu, Hawaii. The Ala
Moana Center is the dominant retail center in its trade area and
is considered the world's largest open-air shopping center. The
property recently completed an expansion that included a 200,000
square foot Nordstrom department store as well as 100,000 square
feet of additional retail space.
Moody's prior full review is summarized in a press release dated
February 9, 2009.
Gallery at Harborplace Mortgage Trust Commercial Mortgage Pass-
Through Certificates, Series 2000-C5C
-- Class B-1, $3,200,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 from A3 on
3/11/2009
-- Class B-2, $5,100,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 from Baa2 on
3/11/2009
-- Class B-3, $2,200,000, currently rated Ba2, on review for
possible downgrade; previously downgraded to Ba2 from Baa3 on
3/11/2009
These classes are supported by a B note secured by the borrower's
interest in Gallery at Harborplace, a 404,000 square foot office
and retail mixed use complex located within the Inner Harbor
development in Baltimore, Maryland. The property was developed in
1987 by The Rouse Company which was acquired by GGP in 2004.
Moody's prior full review is summarized in a press release dated
March 11, 2009.
GE Commercial Mortgage Corporation, Commercial Mortgage Pass-
Through Certificates, Series 2003-C2
-- Class BLVD-1, $1,706,377, currently rated A2, on review for
possible downgrade; previously affirmed at A2 on 11/7/2007
-- Class BLVD-2, $2,501,000, currently rated A3, on review for
possible downgrade; previously affirmed at A3 on 11/7/2007
-- Class BLVD-3, $4,502,000, currently rated Baa1, on review for
possible downgrade; previously affirmed at Baa1 on 11/7/2007
-- Class BLVD-4, $3,549,000, currently rated Baa2, on review for
possible downgrade; previously affirmed at Baa2 on 11/7/2007
-- Class BLVD-5, $7,960,750, currently rated Baa3, on review for
possible downgrade; previously affirmed at Baa3 on 11/7/2007
These classes are supported by a B note secured by the borrower's
interest in Boulevard Mall, a 1.2 million square foot shopping
center located in Las Vegas, Nevada. The center is anchored by
Sears, Dillard's, Macy's and J.C. Penney.
Moody's prior full review is summarized in a press release dated
November 7, 2007.
GS Mortgage Securities Corporation II, Commercial Pass-Through
Certificates, Series 2001-GL III
-- Class F-NFC, $10,460,000, currently rated Aa3, on review for
possible downgrade; previously downgraded to Aa3 from Aa2 on
3/19/2009
-- Class G-NFC, $5,910,569, currently rated A1, on review for
possible downgrade; previously downgraded to A1 from Aa3 on
7/31/2008
These classes are supported by a B note secured by the borrower's
interest in Northridge Fashion Center, a 1.4 million square foot
regional mall located in Northridge, California. The mall is
anchored by Macy's, Sears and J.C. Penney.
Moody's prior full review is summarized in a press release dated
July 31, 2008.
Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2004-C14
-- Class PP, $37,145,889, currently rated Ba1, on review for
possible downgrade; previously affirmed at Ba1 on 5/4/2007
The class is supported by a B note secured by the borrower's
interest in Park Place Mall, a 1.0 million square foot regional
mall located in Tucson, Arizona. The center is anchored by Sears,
Dillard's and Macy's.
Moody's prior full review is summarized in a press release dated
May 4, 2007.
Wachovia Bank Commercial Mortgage Trust 2006-C26, Commercial Pass-
Through Certificates, Series 2006-C26
-- Class WM, $10,000,000, currently rated Baa3, on review for
possible downgrade; previously affirmed at Baa3 on 2/10/2009
The class is supported by a B note secured by the borrower's
interest in Woodlands Mall, 1.4 million square foot mall located
in Woodlands, Texas. The center is anchored by Dillard's,
Foley's, Sears and J.C. Penney.
Moody's prior full review is summarized in a press release dated
February 10, 2009.
WELLS FARGO: Moody's Downgrades Ratings on 100 2007-11 Tranches
---------------------------------------------------------------
Moody's Investors Service has downgraded 100 tranches from Wells
Fargo Mortgage-Backed Securities 2007-11 Trust.
The collateral backing these transactions consists primarily of
first-lien, fixed rate, Jumbo mortgage loans. The actions are
triggered by the quickly deteriorating performance -- marked by
rising delinquencies and loss severities, along with concerns
about the continuing drop in housing prices nationwide and the
rising unemployment levels. The actions listed below reflect
Moody's updated expected losses on the jumbo sector announced in a
press release on March 19th, 2009, and are part of Moody's on-
going review process.
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-
level loss expectations relative to current level of credit
enhancement. Moody's took into account credit enhancement
provided by seniority, cross-collateralization, 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.
Wells Fargo Mtge Backed Securities 2007-11 Trust
-- Cl. A-1, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to B1; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B1; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Baa3; previously on 3/19/2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Ba2; previously on 3/19/2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to B1; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to B1; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to B1; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to B1; previously on 3/19/2009 Aa3 Placed
Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-13, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-14, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-15, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-16, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-17, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-18, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-19, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-20, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-21, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-22, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-23, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-24, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-25, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-26, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-27, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-28, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-29, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-30, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-31, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-32, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-33, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-34, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-35, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-36, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-37, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-38, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-39, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-40, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-41, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-42, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-43, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-44, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-45, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-46, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-47, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-48, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-49, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-50, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-51, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-52, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-53, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-54, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-55, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-56, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-57, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-58, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-59, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-60, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-61, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-62, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-63, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-64, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-65, Downgraded to Caa3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-66, Downgraded to Caa3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-67, Downgraded to Caa3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-68, Downgraded to Caa3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-69, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-70, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-71, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-72, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-73, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-74, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-75, Downgraded to Ba2; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-76, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-77, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-78, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-79, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-80, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-81, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-82, Downgraded to B1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-83, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-84, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-85, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-86, Downgraded to B1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-87, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-88, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-89, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-90, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-91, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-92, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-93, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-94, Downgraded to Ba3; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-95, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-96, Downgraded to Ba3; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-97, Downgraded to Caa3; previously on 3/19/2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-98, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-99, Downgraded to B1; previously on 3/19/2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to B1; previously on 3/19/2009 Baa1
Placed Under Review for Possible Downgrade
The ratings on the notes were assigned after evaluating factors
determined applicable to the credit profile of the notes, such as:
i) the nature, sufficiency, and quality of historical performance
information available for the asset class as well as for the
transaction sponsor,
ii) collateral analysis,
iii) an analysis of the policies, procedures and alignment of
interests of the key parties to the transaction, most notably the
originator and the servicer,
iv) an analysis of the transaction's allocation of collateral
cashflow and capital structure,
v) an analysis of the transaction's governance and legal
structure, and
vi) a comparison of these attributes against those of other
similar transactions.
* Fitch Sees Negative Trend in U.S. Public Finance Rating Actions
-----------------------------------------------------------------
Fitch Ratings notes a significantly negative trend in U.S. Public
Finance rating actions during the first quarter of 2009 (1Q'09),
accelerating a decline in municipal credit from 2008. This
deterioration reflects the severe recessionary macro-economic
environment, dislocations in the credit markets, and increased
fiscal and liquidity pressures.
In the 1Q'09, Fitch's U.S. Public Finance group upgraded
underlying ratings on only 40 credits totaling $12.9 billion in
par value, while it downgraded underlying ratings on 56 credits
totaling $84.2 billion. This resulted in an upgrade-to-downgrade
ratio of only 0.71:1 in terms of rating changes and a ratio of
0.15:1 on a par value basis. This was considerably worse than the
annual ratios for 2007 and 2008, which were 3.67:1 in terms of
rating changes and 8.6:1 in terms of par value and 1.59:1 in terms
of rating changes and 5.13:1 in terms of par value, respectively.
Fitch notes also that last quarter saw the largest number of Fitch
U.S. Public Finance rating downgrades since at least 2002, when
Fitch began reporting quarterly municipal rating change totals.
The number of downgrades in the last quarter was nearly two-thirds
of the total number of downgrades in all of 2008 and greater than
the total number of downgrades in all of 2007.
The bulk of the par value in downgrades was attributable to the
state of California, whose $51.4 billion in general obligation
(GO) bonds were downgraded to 'A' from 'A+'; $8.9 billion in
lease-supported bonds were downgraded to 'A-' from 'A'; and $8.7
billion in special tax bonds were downgraded to 'A' from 'A+'
(California's special tax bonds were downgraded previously during
the 1Q'09 from 'AA-'). Other significant downgrades were the
Florida Department of Environmental Protection's $2.6 billion
Florida Forever and Preservation 2000 bonds and $200 million
Florida Everglades bonds (downgraded to 'A-' from 'A+'); Tennessee
Energy Acquisition Corporation's $2 billion gas prepaid revenue
bonds (downgraded to 'A+' from 'AA-' following Fitch's downgrade
of Goldman Sachs Group to 'A+' from 'AA-'); and various bonds
issued on behalf of Detroit, Michigan (the city) including $1.5
billion Detroit Retirement System's Funding Trust certificates of
participation (downgraded to 'BB' from 'BBB'), the city's $530
million unlimited tax GO bonds (downgraded to 'BB' from 'BB+'),
and the city's $314 million limited tax GO bonds (downgraded to
'BB-' from 'BB'). The largest upgrades on a par basis were for
Energy Northwest, WA's $6.6 billion electric revenue bonds
(upgraded to 'AA' from 'AA-'), and the Frisco Independent School
District's $1.1 billion unlimited tax general obligation bonds
(upgraded to 'A+' from 'A').
During the 1Q'09, there were 20 upgrades and 29 downgrades in the
tax-backed sector, four upgrades and eight downgrades in
healthcare, six upgrades and seven downgrades in water & sewer,
three upgrades and five downgrades in public power, no upgrades
and four downgrades in transportation, and four upgrades and no
downgrades in tax-exempt housing.
The ratio of Positive to Negative Rating Watches and Outlooks
indicates the declining trend in public finance ratings is likely
to continue for some time. As of the end of the 1Q'09, 44 credits
were on Rating Watch Negative, up from 25 credits at the end of
the 1Q'08. Five were on Rating Watch Positive at the end of the
1Q'09, down from seven at the end of the 1Q'08. During 1Q'09, six
credits were taken off Rating Watch Negative (four of them in
conjunction with a downgrade, and one due to a rating withdrawal),
while 11 were placed on Rating Watch Negative. Massachusetts
Turnpike Authority's Metropolitan Highway System revenue bonds and
subordinated revenue bonds were taken off and then placed back on
Rating Watch Negative within the 1Q'09.
There were 90 credits with a Positive Rating Outlook and 177 with
a Negative Rating Outlook at the end of the 1Q'09, yielding a
ratio of 0.51:1, down from 1.08:1 at the end of the 1Q'08; 1Q'09
was the fifth consecutive quarter that this ratio declined.
* Moody's Downgrades Ratings on 77 Notes by 17 CDO Transactions
---------------------------------------------------------------
Moody's Investors Service downgraded its ratings of 77 Notes
issued by 17 collateralized debt obligation transactions which
consist of significant exposure to one or more of Alt-A, Option-
ARM and subprime RMBS securities, CLOs, or CMBS. Moody's
explained that the rating actions reflect certain updates and
projections and recent rating actions on underlying assets on
these asset classes. Some of the deals have also experienced an
Event of Default.
Moody's revised loss projections for Alt-A RMBS securities which
were described in a press release published on January 22, 2009.
According to the press release, on average, Moody's is now
projecting cumulative losses of about 20% for 2006 securitizations
and about 24% for 2007 securitizations.
Moody's revised loss projections for subprime RMBS issued from
2005 to 2007 were described in a press release titled "2005-7
subprime RMBS on downgrade review" published on February 26, 2009.
The revised loss projection for 2006 vintage subprime pools is
expected to fall within the range of 28% to 32% of the original
balance of such pools, whereas Moody's previous estimate was 22%.
For 2005 and 2007 pools, such projections are expected to range
from 12% to 14% and 33% to 37% of original balance, respectively.
A review of all U.S. commercial mortgage backed securities conduit
and fusion transactions rated during the period from 2006 through
2008, and all large loan and single borrower transactions
regardless of vintage was concluded recently. The review was
announced in a Press Release titled "Moody's announces review of
Certain U.S. CMBS Ratings " on February 5, 2009.
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. The completion
of the first stage of its two-stage review of U.S. and EMEA cash
flow CLOs was announced on March 27, 2009. As of March 23,
Moody's had downgraded approximately 2,071 tranches from 668
transactions.
In addition, Moody's explained that the rating actions taken
incorporate the application of revised and updated key modeling
parameter assumptions that Moody's uses to rate and monitor
ratings of SF CDOs. The revisions affect the three key parameters
in Moody's model for rating SF CDOs: asset correlation, default
probability and recovery rate. Moody's announced the changes to
these assumptions in a press release published on December 11,
2008.
Moody's initially analyzed and continues to monitor these
transactions using primarily the methodology and its supplements
for ABS CDOs as described in Moody's Special Report below:
-- Moody's Approach to Rating SF CDOs (March 2009)
The rating actions are:
Abacus 2006-8, Ltd.
-- US$50,000,000 Class A-1 Floating Rate Notes, Due 2045,
Downgraded to C; previously on 12/16/2008 Downgraded to Ba3
and remains on Review for Possible Downgrade
-- US$35,000,000 Class A-2 Floating Rate Notes, Due 2045,
Downgraded to C; previously on 12/16/2008 Downgraded to B3
and remains on Review for Possible Downgrade
-- US$27,500,000 Class A-3 Floating Rate Notes, Due 2045,
Downgraded to C; previously on 12/16/2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
-- US$20,000,000 Class B Floating Rate Notes, Due 2045,
Downgraded to C; previously on 12/16/2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
-- US$32,500,000 Class C Floating Rate Notes, Due 2045,
Downgraded to C; previously on 5/30/2008 Downgraded to Ca
-- US$4,000,000 Class D Floating Rate Notes, Due 2045,
Downgraded to C; previously on 5/30/2008 Downgraded to Ca
ABACUS 2006-9, Ltd.
-- US$25,000,000 Class A-1 Variable Rate Notes Due 2041,
Downgraded to C; previously on 12/16/2008 Downgraded to B3
and remains on Review for Possible Downgrade
-- US$40,625,000 Class A-2 Variable Rate Notes, Due 2041,
Downgraded to C; previously on 12/16/2008 Downgraded to Caa1
and remains on Review for Possible Downgrade
-- US$35,937,500 Class B Variable Rate Notes, Due 2041,
Downgraded to C; previously on 12/16/2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
-- US$23,437,500 Class C Variable Rate Notes, Due 2041,
Downgraded to C; previously on 5/30/2008 Downgraded to Ca
ABSpoke 2006-IA Segregated Portfolio
-- US$100,000,000 Variable Floating Rate Notes Due 2046,
Downgraded to Ca; previously on 12/16/2008 Downgraded to B1
and remains on Review for Possible Downgrade
Burnham Harbor CDO 2006-1
-- Class A-1Lb, Downgraded to Caa2; previously on 12/16/2008
Downgraded to Ba2 and remains on Review for Possible
Downgrade
-- Class A-2L, Downgraded to C; previously on 12/16/2008
Downgraded to B1 and remains on Review for Possible Downgrade
-- Class A-3L, Downgraded to C; previously on 12/16/2008
Downgraded to B3 and remains on Review for Possible Downgrade
-- Class B-1L, Downgraded to C; previously on 12/16/2008
Downgraded to Caa1 and remains on Review for Possible
Downgrade
Class V Funding II, Ltd.
-- Class A-1, Downgraded to Caa1; previously on 12/16/2008
Downgraded to B1 and remains on Review for Possible Downgrade
-- Class A-2A, Downgraded to C; previously on 5/29/2008
Downgraded to Ca
-- Class A-2B, Downgraded to C; previously on 5/29/2008
Downgraded to Ca
Fort Duquesne CDO 2006-1 Ltd.
-- US$450,000,000 Class A-1A Senior Secured Floating Rate
Notes Due 2046, Downgraded to Ca; previously on 2/10/2009
Downgraded to Ba3
-- US$400,000,000 Class A-1B Senior Secured Floating Rate
Notes Due 2046, Downgraded to C; previously on 2/10/2009
Downgraded to Ca
-- US$11,000,000 Class X Senior Secured Notes Due 2046,
Downgraded to C; previously on 12/16/2008 Downgraded to B3
GSC ABS CDO 2006-2m, Ltd.
-- US$225,000,000 Class A-1A First Priority Senior Secured
Floating Rate Notes due 2045, Downgraded to C; previously on
6/9/2008 Downgraded to Ba2 and remains on Review for Possible
Downgrade
-- US$125,000,000 Class A-1B Second Priority Senior Secured
Floating Rate Delayed Draw Notes due 2045, Downgraded to C;
previously on 6/9/2008 Downgraded to Caa3 and remains on
Review for Possible Downgrade
-- US$13,500,000 Class A-2 Third Priority Senior Secured
Floating Rate Notes due 2045, Downgraded to C; previously on
6/9/2008 Downgraded to Ca
-- US$56,500,000 Class B Fourth Priority Senior Secured
Floating Rate Notes due 2045, Downgraded to C; previously on
6/9/2008 Downgraded to Ca
-- US$14,500,000 Class C Fifth Priority Senior Secured
Floating Rate Notes due 2045, Downgraded to C; previously on
6/9/2008 Downgraded to Ca
Lexington Capital Funding II, Ltd.
-- US$385,000,000 Class A-1 First Priority Senior Secured
Floating Rate Delayed Draw Notes Due 2046, Downgraded to C;
previously on 12/16/2008 Downgraded to B3 and remains on
Review for Possible Downgrade
-- US$17,050,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2046, Downgraded to C; previously on
12/16/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- US$64,625,000 Class B Third Priority Senior Secured
Floating Rate Notes Due 2046, Downgraded to C; previously on
5/8/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- US$19,800,000 Class C Fourth Priority Senior Secured
Floating Rate Notes Due 2046, Downgraded to C; previously on
5/8/2008 Downgraded to Ca
Libertas Preferred Funding I, Ltd.
-- Class A-1, Downgraded to C; previously on 12/16/2008
Downgraded to B3 and remains on Review for Possible Downgrade
-- Class A-2, Downgraded to C; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- Class B, Downgraded to C; previously on 12/16/2008 Caa3
Placed Under Review for Possible Downgrade
-- Class C, Downgraded to C; previously on 6/9/2008 Downgraded
to Ca
-- Class D, Downgraded to C; previously on 6/9/2008 Downgraded
to Ca
-- Class E, Downgraded to C; previously on 6/9/2008 Downgraded
to Ca
-- Class F, Downgraded to C; previously on 6/9/2008 Downgraded
to Ca
-- Class G, Downgraded to C; previously on 6/9/2008 Downgraded
to Ca
Mayflower CDO I Ltd.
-- US$609,000,000 Class A-1LA Investor Swap, Downgraded to C;
previously on 12/16/2008 Downgraded to B3 and remains on
Review for Possible Downgrade
-- US$157,000,000 Class A-1LB Floating Rate Notes Due June
2046, Downgraded to C; previously on 12/16/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
-- US$75,000,000 Class A-2L Floating Rate Notes Due June 2046,
Downgraded to C; previously on 5/9/2008 Downgraded to Ca
-- US$46,000,000 Class A-3L Floating Rate Notes Due June 2046,
Downgraded to C; previously on 5/9/2008 Downgraded to Ca
-- US$50,000,000 Class B-1L Floating Rate Notes Due June 2046,
Downgraded to C; previously on 3/26/2008 Downgraded to Ca
-- US$20,000,000 Class X Notes Due September 2012, Downgraded
to C; previously on 12/16/2008 Downgraded to Caa1 and remains
on Review for Possible Downgrade
Millerton II High Grade ABS CDO, Ltd.
-- US$1,118,000,000 Class A-1 Senior Secured Floating Rate
Notes Due 2051, Downgraded to Ca; previously on 12/16/2008
Downgraded to Ba2 and remains on Review for Possible
Downgrade
-- US$91,000,000 Class A-2 Senior Secured Floating Rate Notes
Due 2051, Downgraded to C; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- US$46,500,000 Class B Senior Secured Floating Rate Notes
Due 2051, Downgraded to C; previously on 12/16/2008
Downgraded to Ca
-- US$17,000,000 Class C Secured Floating Rate Notes Due 2051,
Downgraded to C; previously on 6/4/2008 Downgraded to Ca
Point Pleasant Funding 2007-1 Ltd.
-- US$6,000,000 Class S Floating Rate Notes due 2012,
Downgraded to C; previously on 12/11/2008 Downgraded to Caa1
and remains on Review for Possible Downgrade
RFC CDO IV Ltd.
-- Class A-2 Senior Secured Floating Rate Notes Due July 15,
2051, Downgraded to C; previously on 12/16/2008 Downgraded to
B3 and remains on Review for Possible Downgrade
-- Class A-3 Senior Secured Floating Rate Notes Due July 15,
2051, Downgraded to C; previously on 12/16/2008 Downgraded to
Caa1 and remains on Review for Possible Downgrade
-- Class B Senior Secured Floating Rate Notes Due July 15, 2051,
Downgraded to C; previously on 12/16/2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
-- Class C Secured Floating Rate Deferrable Interest Notes Due
July 15, 2051, Downgraded to C; previously on 6/3/2008
Downgraded to Ca
-- Class D Secured Floating Rate Deferrable Interest Notes Due
July 15, 2051, Downgraded to C; previously on 6/3/2008
Downgraded to Ca
-- Subordinated Notes Due July 15, 2051, Downgraded to C;
previously on 6/3/2008 Downgraded to Ca
-- Super Senior Facility, Downgraded to Ca; previously on
12/16/2008 Downgraded to Ba3 and remains on Review for
Possible Downgrade
South Coast Funding VII Ltd
-- US$45,000,000 Class A-1AV First Priority Senior Secured
Voting Floating Rate Notes Due 2041-1, Downgraded to Ca;
previously on 12/17/2008 Downgraded to Ba2 and remains on
Review for Possible Downgrade
-- US$773,750,000 Class A-1ANV First Priority Senior Secured
Non-Voting Floating Rate Notes Due 2041, Downgraded to Ca;
previously on 12/17/2008 Downgraded to Ba2 and remains on
Review for Possible Downgrade
-- US$250,000 Class A-1B First Priority Senior Secured
Floating Rate Notes Due 2041, Downgraded to Ca; previously on
12/17/2008 Downgraded to Ba2 and remains on Review for
Possible Downgrade
-- US$146,255,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2041, Downgraded to C; previously on
11/10/2008 Downgraded to Ca
-- US$75,450,000 Class B Third Priority Senior Secured
Floating Rate Notes Due 2041, Downgraded to C; previously on
11/10/2008 Downgraded to Ca
-- US$1,000,000 Class P-3 Combination Securities Due 2041,
Withdrawn; previously on 5/31/2005 Assigned Aaa
South Coast Funding VIII Ltd
-- Class A-1NV, Downgraded to C; previously on 12/16/2008
Downgraded to B3 and remains on Review for Possible Downgrade
-- Class A-1V, Downgraded to C; previously on 12/16/2008
Downgraded to B3 and remains on Review for Possible Downgrade
-- Class A-2, Downgraded to C; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- Class B, Downgraded to C; previously on 6/2/2008 Downgraded
to Ca
STAtic ResidenTial CDO 2006-A Ltd.
-- Class A-1(a) Floating Rate Notes, Downgraded to C; previously
on 12/16/2008 Downgraded to B1 and remains on Review for
Possible Downgrade
-- Class A-1(b) Floating Rate Notes, Downgraded to C; previously
on 12/16/2008 Downgraded to B3 and remains on Review for
Possible Downgrade
-- Class A-2 Floating Rate Notes, Downgraded to C; previously on
12/16/2008 Downgraded to Caa1 and remains on Review for
Possible Downgrade
-- Class B Floating Rate Notes, Downgraded to C; previously on
12/16/2008 Downgraded to Caa2 and remains on Review for
Possible Downgrade
-- Class C Deferrable Interest Floating Rate Notes, Downgraded
to C; previously on 12/16/2008 Downgraded to Ca
-- Class D Deferrable Interest Floating Rate Notes, Downgraded
to C; previously on 4/24/2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
-- Class E Deferrable Interest Floating Rate Notes, Downgraded
to C; previously on 4/24/2008 Downgraded to Ca
Wadsworth CDO, Ltd.
-- US$800,000,000 Class A-1A Senior Secured Floating Rate
Notes due 2046, Downgraded to Ca; previously on 12/16/2008
Downgraded to Ba2 and remains on Review for Possible
Downgrade
-- US$256,000,000 Class A-1B Senior Secured Floating Rate
Notes due 2046, Downgraded to Ca; previously on 12/16/2008
Downgraded to Ba2 and remains on Review for Possible
Downgrade
-- US$72,500,000 Class A-2 Senior Secured Floating Rate Notes
due 2046, Downgraded to C; previously on 6/25/2008 Downgraded
to Ca
-- US$38,000,000 Class B Senior Secured Floating Rate Notes
due 2046, Downgraded to C; previously on 3/31/2008 Downgraded
to Ca
* Moody's Downgrades Ratings on 131 Notes by 37 CDO Transactions
----------------------------------------------------------------
Moody's Investors Service downgraded its ratings of 131 Notes
issued by 37 collateralized debt obligation transactions, and
confirmed the ratings of 5 Notes issued by 2 collateralized debt
obligation transactions which consist of significant exposure to
one or more of Alt-A, Option-ARM and subprime RMBS securities,
CLOs, or CMBS. Moody's explained that the rating actions reflect
certain updates and projections and recent rating actions on
underlying assets on these asset classes. Some of the deals have
also experienced an Event of Default.
Moody's revised loss projections for subprime RMBS issued from
2005 to 2007 were described in a press release titled "2005-7
subprime RMBS on downgrade review" published on February 26, 2009.
The revised loss projection for 2006 vintage subprime pools is
expected to fall within the range of 28% to 32% of the original
balance of such pools, whereas Moody's previous estimate was 22%.
For 2005 and 2007 pools, such projections are expected to range
from 12% to 14% and 33% to 37% of original balance, respectively.
A review of all U.S. commercial mortgage backed securities conduit
and fusion transactions rated during the period from 2006 through
2008, and all large loan and single borrower transactions
regardless of vintage was concluded recently. The review was
announced in a Press Release on February 5, 2009.
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. The completion
of the first stage of its two-stage review of U.S. and EMEA cash
flow CLOs was announced on March 27, 2009. As of March 23,
Moody's had downgraded approximately 2,071 tranches from 668
transactions.
In addition, Moody's explained that the rating actions taken
incorporate the application of revised and updated key modeling
parameter assumptions that Moody's uses to rate and monitor
ratings of SF CDOs. The revisions affect the three key parameters
in Moody's model for rating SF CDOs: asset correlation, default
probability and recovery rate. Moody's announced the changes to
these assumptions in a press release published on December 11,
2008.
Moody's initially analyzed and continues to monitor these
transactions using primarily the methodology and its supplements
for ABS CDOs as described in Moody's Special Report below:
-- Moody's Approach to Rating SF CDOs (March 2009)
The rating actions are:
ABACUS 2005-1, Ltd.
-- Class A-1, Downgraded to Caa3; previously on 12/17/2008
Downgraded to Ba1 and remains on Review for Possible
Downgrade
-- Class A-2, Downgraded to Ca; previously on 12/17/2008
Downgraded to Caa2 and remains on Review for Possible
Downgrade
-- Class B, Downgraded to C; previously on 12/17/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
-- Class C, Downgraded to C; previously on 11/5/2008 Downgraded
to Ca
-- Class D, Downgraded to C; previously on 11/5/2008 Downgraded
to Ca
ABSpoke 2005-X, Ltd.
-- Yen2,000,000,000 Variable Floating Rate Notes Due 2015,
Downgraded to C; previously on 12/17/2008 Downgraded to B3
and remains on Review for Possible Downgrade
ABSpoke 2005-XII B
-- Variable Floating Rate Notes, Downgraded to Ca; previously on
12/16/ 2008 Downgraded to B1 and remains on Review for
Possible Downgrade
ACA ABS 2003-2, Limited
-- US$108,000,000 Class A1-J Floating Rate Notes, due
December 10, 2038, Downgraded to Caa3; previously on
12/23/2008 Downgraded to Caa1 and remains on Review for
Possible Downgrade
-- US$146,500,000 Class A1-SD Floating Rate Notes, due
December 10, 2038, Downgraded to Caa1; previously on
12/23/2008 Downgraded to B1 and remains on Review for
Possible Downgrade
-- US$315,000,000 Class A1-SU Floating Rate Notes, due
December 10, 2038, Downgraded to Caa1; previously on
12/23/2008 Downgraded to B1 and remains on Review for
Possible Downgrade
-- US$10,000,000 Class A1-SW Floating Rate Notes, due
December 10, 2038, Downgraded to Caa1; previously on
1/22/2009 Upgraded to Ba3
-- US$51,000,000 Class A2 Floating Rate Notes, due December
10, 2038, Downgraded to Ca; previously on 12/23/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
Ambassador Structured Finance CDO, Ltd
-- US$800,000,000 Class A-1 Floating Rate Notes Due July
2041, Downgraded to Ca; previously on 12/17/2008 Downgraded
to Ba1 and remains on Review for Possible Downgrade
-- US$112,000,000 Class A-2 Floating Rate Notes Due July
2041, Downgraded to C; previously on 12/17/2008 Downgraded to
Caa1 and remains on Review for Possible Downgrade
-- US$35,000,000 Class B Floating Rate Notes Due July 2041,
Downgraded to C; previously on 12/17/2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
-- US$26,000,000 Class C Floating Rate Deferrable Interest
Notes Due July 2041, Downgraded to C; previously on
10/31/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
Baldwin 2006-I Segregated Portfolio
-- US$35,000,000 Variable Floating Rate Notes Due 2046,
Downgraded to C; previously on 12/16/2008 Downgraded to B2
and remains on Review for Possible Downgrade
Bluegrass ABS CDO III, Ltd.
-- US $280,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2039, Downgraded to B2; previously on
12/22/2008 Downgraded to Ba1 and remains on Review for
Possible Downgrade
-- US $49,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2039, Downgraded to Ca; previously on
12/22/2008 Downgraded to Caa1 and remains on Review for
Possible Downgrade
-- US $27,000,000 Class B Third Priority Senior Secured Floating
Rate Notes Due 2039, Downgraded to C; previously on
12/22/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
Broadwick Funding, Ltd.
-- Class A-1-b Notes, Downgraded to Ca; previously on 10/23/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- Class A-2 Notes, Downgraded to C; previously on 10/23/2008
Downgraded to Ca
-- Class B Notes, Downgraded to C; previously on 10/23/2008
Downgraded to Ca
-- Class S, Confirmed at B1; previously on 12/16/2008 Downgraded
to B1 and remains on Review for Possible Downgrade
C-BASS CBO XV Ltd.
-- US$565,800,000 Class A First Priority Senior Secured
Floating Rate Notes Due 2041, Downgraded to Ca; previously on
12/16/2008 Downgraded to B3 and remains on Review for
Possible Downgrade
-- US$39,100,000 Class B Second Priority Senior Secured
Floating Rate Notes Due 2041, Downgraded to C; previously on
12/16/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- US$44,800,000 Class C Third Priority Secured Floating Rate
Deferrable Interest Notes Due 2041, Downgraded to C;
previously on 5/16/2008 Downgraded to Caa3 and remains on
Review for Possible Downgrade
-- US$19,500,000 Class D Fourth Priority Secured Floating
Rate Deferrable Interest Notes Due 2041, Downgraded to C;
previously on 5/16/2008 Downgraded to Ca
Dallaglio CDO 2005-3 Ltd.
-- Class B Fixed Rate Notes, Downgraded to C; previously on
12/17/2008 Downgraded to B2 and remains on Review for
Possible Downgrade
Diogenes CDO I Ltd
-- Class A-1, Downgraded to Ca; previously on 12/17/2008
Downgraded to B1 and remains on Review for Possible Downgrade
-- Class A-2, Downgraded to C; previously on 12/17/2008
Downgraded to Caa2 and remains on Review for Possible
Downgrade
-- Class B, Downgraded to C; previously on 12/17/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
-- Class C, Downgraded to C; previously on 5/29/2008 Downgraded
to Ca
Duke Funding High Grade I, Ltd.
-- $660,000,000 Class A-1 LT-a Senior Secured Floating Rate
Notes Due 2040, Downgraded to Caa2; previously on 12/17/2008
Downgraded to B2 and remains on Review for Possible Downgrade
-- Class A-1 LT-b1 Senior Secured Floating Rate Notes Due 2045,
Downgraded to Caa2; previously on 12/17/2008 Downgraded to B2
and remains on Review for Possible Downgrade
-- Class A-1 LT-b2 Senior Secured Floating Rate Notes Due 2045,
Downgraded to Caa2; previously on 12/17/2008 Downgraded to B2
and remains on Review for Possible Downgrade
-- $117,500,000 Class A-2 Senior Secured Floating Rate Notes Due
2045, Downgraded to Ca; previously on 11/5/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
-- $77,500,000 Class B Senior Secured Floating Rate Notes Due
2045, Downgraded to C; previously on 11/5/2008 Downgraded to
Ca
Dutch Hill Funding I Ltd
-- Class A-1A, Downgraded to Ca; previously on 12/17/2008
Downgraded to Ba1 and remains on Review for Possible
Downgrade
-- Class A-1B, Downgraded to C; previously on 12/17/2008
Downgraded to B2 and remains on Review for Possible Downgrade
-- Class A-2L, Downgraded to C; previously on 12/17/2008
Downgraded to Caa2 and remains on Review for Possible
Downgrade
-- Class A-2X, Downgraded to C; previously on 12/17/2008
Downgraded to Caa2 and remains on Review for Possible
Downgrade
-- Class B, Downgraded to C; previously on 12/17/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
-- Class C, Downgraded to C; previously on 5/9/2008 Downgraded
to Ca
Glacier Funding CDO II, Inc.
-- Class A-1NV Notes, Confirmed at B1; previously on 12/22/2008
Downgraded to B1 and remains on Review for Possible Downgrade
-- Class A-1V Notes, Confirmed at B1; previously on 12/22/2008
Downgraded to B1 and remains on Review for Possible Downgrade
-- Class A-2 Notes, Confirmed at Caa3; previously on 12/22/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- Class B Notes, Confirmed at Ca; previously on 4/30/2008
Downgraded to Ca
Highgate ABS CDO, Ltd.
-- US$601,200,000 Class A-1 First Priority Senior Secured
Floating Rate Delayed Draw Notes Due 2046, Downgraded to Ca;
previously on 12/17/2008 Downgraded to Ba3 and remains on
Review for Possible Downgrade
-- US$71,918,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2046, Downgraded to C; previously on
12/17/2008 Downgraded to Caa1 and remains on Review for
Possible Downgrade
-- US$50,201,000 Class B Third Priority Secured Floating Rate
Notes Due 2046, Downgraded to C; previously on 12/17/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
Independence V CDO, LTD
-- Class A-1 Senior Floating Rate Notes Due 2039, Downgraded to
Ca; previously on 12/22/2008 Downgraded to Ba3 and remains on
Review for Possible Downgrade
-- Class A-2A Senior Floating Rate Notes Due 2039, Downgraded to
C; previously on 6/5/2008 Downgraded to Ca
-- Class A-2B Senior Floating Rate Notes due 2039, Downgraded to
C; previously on 6/5/2008 Downgraded to Ca
Inman Square Funding II, Ltd.
-- Class I Senior Secured Floating Rate Notes, Downgraded to Ca;
previously on 12/17/2008 Downgraded to B1 and remains on
Review for Possible Downgrade
-- Class II Senior Secured Floating Rate Notes, Downgraded to C;
previously on 12/17/2008 Downgraded to Caa3 and remains on
Review for Possible Downgrade
-- Class III Mezzanine Secured Fixed Rate Notes, Downgraded to
C; previously on 12/17/2008 Downgraded to Ca
-- Class III Mezzanine Secured Floating Rate Notes, Downgraded
to C; previously on 12/17/2008 Downgraded to Ca
Ischus High Grade Funding I, Ltd.
-- Class A1J, Downgraded to C; previously on 10/20/2008
Downgraded to Ca
-- Class A1S, Downgraded to Ca; previously on 12/16/2008
Downgraded to B1 and remains on Review for Possible Downgrade
-- Class A2, Downgraded to C; previously on 10/20/2008
Downgraded to Ca
Jupiter High Grade CDO II, Ltd.
-- Class A-1, Downgraded to Ca; previously on 12/17/2008
Downgraded to Ba1 and remains on Review for Possible
Downgrade
-- Class A-2, Downgraded to C; previously on 12/17/2008
Downgraded to Caa2 and remains on Review for Possible
Downgrade
-- Class B, Downgraded to C; previously on 12/17/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Jupiter International Co. Ltd.
-- Jupiter 2006-1, Downgraded to Caa2 and remains on Review for
Possible Downgrade; previously on 12/16/2008 Downgraded to
Ba3 and Placed Under Review for Possible Downgrade
KLEROS PREFERRED FUNDING II, LTD.
-- US$250,000 Class A-1V First Priority Senior Secured Voting
Floating Rate Notes Due December 2042, Downgraded to Caa3;
previously on 12/16/2008 Downgraded to B3 and remains on
Review for Possible Downgrade
-- US$869,750,000 Class A-1NV First Priority Senior Secured
Non-Voting Floating Rate Notes Due December 2042, Downgraded
to Caa3; previously on 12/16/2008 Downgraded to B3 and
remains on Review for Possible Downgrade
-- US$60,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due December 2042, Downgraded to C;
previously on 10/20/2008 Downgraded to Ca
-- US$34,000,000 Class B Third Priority Senior Secured
Floating Rate Notes Due December 2042, Downgraded to C;
previously on 10/20/2008 Downgraded to Ca
-- US$8,000,000 Class C Fourth Priority Senior Secured
Floating Rate Notes Due December 2042, Downgraded to C;
previously on 10/20/2008 Downgraded to Ca
Lancer Funding, Ltd.
-- Class A1J, Downgraded to C; previously on 10/17/2008
Downgraded to Ca
-- Class A-1S1, Downgraded to Ca; previously on 12/16/2008
Downgraded to B3 and remains on Review for Possible Downgrade
-- Class A-1S2, Downgraded to C; previously on 10/17/2008
Downgraded to Ca
-- Class A2, Downgraded to C; previously on 10/17/2008
Downgraded to Ca
Le Monde CDO I PLC
-- US$120,000,000 Class A-1US Variable Funding Dollar Notes
Due 2052, Downgraded to Ca; previously on 12/11/2008
Downgraded to B3 and remains on Review for Possible Downgrade
-- US$80,000,000 and EUR69,500,000 Class A-1R Redenominatable
Floating Rate Notes Due 2052, Downgraded to Ca; previously on
12/11/2008 Downgraded to B3 and remains on Review for
Possible Downgrade
-- US$604,250,000 Class A-2US Floating Rate Dollar Notes Due
2052, Downgraded to Ca; previously on 12/11/2008 Downgraded
to B3 and remains on Review for Possible Downgrade
-- EUR360,000,000 Class A-3EU Floating Rate Euro Notes Due 2052,
Downgraded to Ca; previously on 12/11/2008 Downgraded to B3
and remains on Review for Possible Downgrade
-- US$62,500,000 Class A-4 Floating Rate Dollar Notes Due
2052, Downgraded to C; previously on 6/12/2008 Downgraded to
Ca
-- US$17,500,000 Class D Deferrable Floating Rate Dollar
Notes Due 2052, Downgraded to C; previously on 3/14/2008
Downgraded to Ca
-- US$22,500,000 Class C Deferrable Floating Rate Dollar
Notes Due 2052, Downgraded to C; previously on 3/14/2008
Downgraded to Ca
-- US$3,000,000 Class E Subordinated Deferrable Floating Rate
Dollar Notes Due 2052, Downgraded to C; previously on
3/14/2008 Downgraded to Ca
-- US$30,750,000 Class B Floating Rate Dollar Notes Due 2052,
Downgraded to C; previously on 6/12/2008 Downgraded to Ca
Lenox CDO, Inc.
-- US$75,000,000 Class A-1J Second Priority Senior Secured
Floating Rate Notes due 2043, Downgraded to C; previously on
12/17/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- US$70,000,000 Class A-1S First Priority Senior Secured
Floating Rate Delayed Draw Notes due 2043-1, Downgraded to
Ca; previously on 12/17/2008 Downgraded to Ba1 and remains on
Review for Possible Downgrade
-- US$2,000,000 Class A-2 Third Priority Senior Secured
Floating Rate Notes due 2043, Downgraded to C; previously on
5/30/2008 Downgraded to Ca
-- US$31,000,000 Class B-1 Fourth Priority Senior Secured
Floating Rate Notes due 2043, Downgraded to C; previously on
5/30/2008 Downgraded to Ca
-- US$14,000,000 Class B-2 Fourth Priority Senior Secured
Floating Rate Notes due 2043, Downgraded to C; previously on
5/30/2008 Downgraded to Ca
-- US$8,000,000 Class C Fifth Priority Senior Secured
Floating Rate Notes due 2043, Downgraded to C; previously on
5/30/2008 Downgraded to Ca
-- US$30,000,000 Combination Securities due 2043, Downgraded
to C; previously on 5/30/2008 Downgraded to Ca
Liberty Harbour CDO Ltd. 2005-1
-- Class A LT-1 Notes, Downgraded to Ca; previously on
12/17/2008 Downgraded to B1 and remains on Review for
Possible Downgrade
-- Class A LT-2 Notes, Downgraded to Ca; previously on
12/17/2008 Downgraded to B1 and remains on Review for
Possible Downgrade
-- US$117,600,000 Class B Secured Floating Rate Notes due
2040, Downgraded to C; previously on 12/17/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
-- US$84,000,000 Class C Secured Floating Rate Notes due
2040, Downgraded to C; previously on 12/17/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
-- Base Liquidity Advances, Downgraded to Ca; previously on
12/17/2008 Downgraded to B1 and remains on Review for
Possible Downgrade
Longshore CDO Funding 2006-1 Ltd.
-- Class A-1, Downgraded to Ca; previously on 12/16/2008
Downgraded to Ba1 and remains on Review for Possible
Downgrade
-- Class A-2, Downgraded to C; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- Class B, Downgraded to C; previously on 6/4/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
MANASQUAN CDO 2005-1, LTD.
-- US$195,000,000 Class A-ILA Floating Rate Notes Due 2045,
Downgraded to Ca; previously on 12/17/2008 Downgraded to Ba1
and remains on Review for Possible Downgrade
-- US$23,000,000 Class A-1LB Floating Rate Notes Due 2045,
Downgraded to C; previously on 12/17/2008 Downgraded to B1
and remains on Review for Possible Downgrade
-- US$42,000,000 Class A-2L Floating Rate Notes Due 2045,
Downgraded to C; previously on 7/11/2008 Downgraded to Ca
-- US$9,500,000 Class A-3L Floating Rate Notes Due 2045,
Downgraded to C; previously on 5/30/2008 Downgraded to Ca
Mercury CDO II, Ltd.
-- US$855,000,000 Class A-1 Senior Secured Floating Rate
Notes Due 2045, Downgraded to Ca; previously on 12/17/2008
Downgraded to B1 and remains on Review for Possible Downgrade
-- US$62,000,000 Class A-2 Senior Secured Floating Rate Notes
Due 2045, Downgraded to C; previously on 10/22/2008
Downgraded to Ca
-- US$55,000,000 Class B Senior Secured Floating Rate Notes
Due 2045, Downgraded to C; previously on 10/22/2008
Downgraded to Ca
North Cove CDO II, Ltd.
-- Class A, Downgraded to C; previously on 12/16/2008 Downgraded
to B3 and remains on Review for Possible Downgrade
-- Class B, Downgraded to C; previously on 12/16/2008 Downgraded
to Caa2 and remains on Review for Possible Downgrade
-- Class C, Downgraded to C; previously on 12/16/2008 Downgraded
to Ca
-- Class D, Downgraded to C; previously on 12/16/2008 Downgraded
to Ca
-- Class E, Downgraded to C; previously on 12/16/2008 Downgraded
to Ca
North Street Reference Linked Notes, 2005-8 L
-- Class A Floating Rate Notes, Downgraded to C; previously on
12/17/2008 Downgraded to B2 and remains on Review for
Possible Downgrade
-- Class B Floating Rate Notes, Downgraded to C; previously on
10/30/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- Class C Floating Rate Notes, Downgraded to C; previously on
10/30/2008 Downgraded to Ca
-- Class X Fixed Rate Notes, Downgraded to C; previously on
10/30/2008 Downgraded to Ca
Pinetree CDO LTD.
-- US$33,000,000 Class A-1J Senior Secured Floating Rate
Notes due 2045, Downgraded to C; previously on 12/17/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- US$195,000,000 Class A-1S Senior Secured Floating Rate
Notes due 2045, Downgraded to Ca; previously on 12/17/2008
Downgraded to B1 and remains on Review for Possible Downgrade
-- US$27,000,000 Class A-2 Senior Secured Floating Rate Notes
due 2045, Downgraded to C; previously on 12/17/2008
Downgraded to Ca
-- US$15,000,000 Class A-3 Senior Secured Deferrable Floating
Rate Notes due 2045, Downgraded to C; previously on 5/30/2008
Downgraded to Ca
-- US$18,000,000 Class B Secured Deferrable Floating Rate
Notes due 2045, Downgraded to C; previously on 5/30/2008
Downgraded to Ca
River North CDO Ltd
-- US$193,500,000 Class A-1 Senior Secured Floating Rate
Notes Due 2040, Downgraded to Caa3; previously on 12/17/2008
Downgraded to Ba1 and remains on Review for Possible
Downgrade
-- US$37,500,000 Class A-2 Senior Secured Floating Rate Notes
Due 2040, Downgraded to C; previously on 12/17/2008
Downgraded to B3 and remains on Review for Possible Downgrade
-- US$33,000,000 Class B Senior Secured Floating Rate Notes
Due 2040, Downgraded to C; previously on 12/17/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
STAtic ResidenTial CDO 2005-C Ltd.
-- Class A-1, Downgraded to Ca; previously on 12/16/2008
Downgraded to Ba1 and remains on Review for Possible
Downgrade
-- Class A-2, Downgraded to C; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
Stillwater ABS CDO 2006-1, Ltd.
-- Class A-1 First Priority Senior Secured Floating Rate Term
Notes Due 2046, Downgraded to Ca; previously on 12/16/2008
Downgraded to Ba2 and remains on Review for Possible
Downgrade
-- Class A-2 Second Priority Senior Secured Floating Rate Term
Notes Due 2046, Downgraded to C; previously on 7/30/2008
Downgraded to Ca
Tourmaline CDO I Ltd
-- US$487,500,000 Class I Senior Variable Funding Floating
Rate Notes Due 2040-1, Downgraded to Ca; previously on
12/17/2008 Downgraded to B1 and remains on Review for
Possible Downgrade
-- US$112,500,000 Class II Senior Floating Rate Notes Due
2040, Downgraded to C; previously on 12/17/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
-- US$64,500,000 Class III Senior Floating Rate Notes Due
2040, Downgraded to C; previously on 7/30/2008 Downgraded to
Ca
Tremonia CDO 2005-1 PLC
-- US$825,000,000 Class A-1 Tremonia CDO 2005-1 PLC Floating
Rate Notes Due 2045, Downgraded to Ca; previously on
12/17/2008 Downgraded to B3 and remains on Review for
Possible Downgrade
-- US$55,000,000 Class A-2 Tremonia CDO 2005-1 PLC Floating
Rate Notes Due 2045, Downgraded to C; previously on 12/1/2008
Downgraded to Ca
-- US$33,000,000 Class B Tremonia CDO 2005-1 PLC Floating
Rate Notes Due 2045, Downgraded to C; previously on 12/1/2008
Downgraded to Ca
ZAIS Investment Grade Limited VIII
-- Class A-1, Downgraded to Ca; previously on 12/16/2008
Downgraded to B1 and remains on Review for Possible Downgrade
-- Class A-2, Downgraded to C; previously on 10/6/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- Class B, Downgraded to C; previously on 10/6/2008 Downgraded
to Ca
* Moody's Downgrades Ratings on 138 Notes by 38 CDO Transactions
----------------------------------------------------------------
Moody's Investors Service downgraded its ratings of 138 Notes
issued by 38 collateralized debt obligation transactions which
consist of significant exposure to one or more of Alt-A, Option-
ARM and subprime RMBS securities, CLOs, or CMBS. Moody's
explained that the rating actions reflect certain updates and
projections and recent rating actions on underlying assets on
these asset classes. Some of the deals have also experienced an
Event of Default.
Moody's revised loss projections for Alt-A RMBS securities which
were described in a press release published on January 22, 2009.
According to the press release, on average, Moody's is now
projecting cumulative losses of about 20% for 2006 securitizations
and about 24% for 2007 securitizations.
Moody's revised loss projections for subprime RMBS issued from
2005 to 2007 were described in a press release titled "2005-7
subprime RMBS on downgrade review" published on February 26, 2009.
The revised loss projection for 2006 vintage subprime pools is
expected to fall within the range of 28% to 32% of the original
balance of such pools, whereas Moody's previous estimate was 22%.
For 2005 and 2007 pools, such projections are expected to range
from 12% to 14% and 33% to 37% of original balance, respectively.
A review of all U.S. commercial mortgage backed securities conduit
and fusion transactions rated during the period from 2006 through
2008, and all large loan and single borrower transactions
regardless of vintage was concluded recently. The review was
announced in a Press Release on February 5, 2009.
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. The completion
of the first stage of its two-stage review of U.S. and EMEA cash
flow CLOs was announced on March 27, 2009. As of March 23, Moody's
had downgraded approximately 2,071 tranches from 668 transactions.
In addition, Moody's explained that the rating actions taken
incorporate the application of revised and updated key modeling
parameter assumptions that Moody's uses to rate and monitor
ratings of SF CDOs. The revisions affect the three key parameters
in Moody's model for rating SF CDOs: asset correlation, default
probability and recovery rate. Moody's announced the changes to
these assumptions in a press release published on December 11,
2008.
Moody's initially analyzed and continues to monitor these
transactions using primarily the methodology and its supplements
for ABS CDOs as described in Moody's Special Report below:
-- Moody's Approach to Rating SF CDOs (March 2009)
The rating actions are:
ABS Capital Funding, Ltd.
-- Class A-1 Senior Secured Floating Rate Term Notes Due 2033,
Downgraded to Caa1; previously on 4/3/2008 Downgraded to B1
and Placed Under Review for Possible Downgrade
-- Class A-2 Senior Secured Floating Rate Revolving Notes Due
2033, Downgraded to Caa1; previously on 4/3/2008 Downgraded
to B1 and Placed Under Review for Possible Downgrade
-- Class A-2 Combined Passthrough Note Security Due 2033,
Downgraded to Caa1; previously on 4/3/2008 Downgraded to B1
and Placed Under Review for Possible Downgrade
-- Class B-1 Second Priority Floating Rate Term Notes Due 2033
Downgraded to C; previously on 8/29/2006 Downgraded to Ca
-- Class B-2 Second Priority Fixed Rate Term Notes Due 2033,
Downgraded to C; previously on 8/29/2006 Downgraded to Ca
Acacia CDO 9, Ltd.
-- Class A First Priority Senior Secured Floating Rate Notes,
Downgraded to Ca; previously on 12/16/2008 Downgraded to B1
and remains on Review for Possible Downgrade
-- Class B Second Priority Senior Secured Floating Rate Notes,
Downgraded to C; previously on 12/16/2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
Ayresome CDO I, Ltd.
-- Class A-1a Notes, Downgraded to B2; previously on 12/17/2008
Downgraded to Ba3 and remains on Review for Possible
Downgrade
-- Class A-1b Notes, Downgraded to Ca; previously on 12/17/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- Class A-2 Notes, Downgraded to C; previously on 12/17/2008
Downgraded to Ca
-- Class A-3 Notes, Downgraded to Ca; previously on 12/17/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- Class B Notes, Downgraded to C; previously on 10/28/2008
Downgraded to Ca
Bleecker Structured Asset Funding, Ltd.
-- Class A-1 First Priority Senior Secured Floating Rate Notes
Due 2035, Downgraded to Ca; previously on 4/3/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
-- Class A-2 First Priority Senior Secured Floating Rate Notes
Due 2035, Downgraded to Ca; previously on 4/3/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
Blue Heron Funding VI Ltd.
-- US$1,113,750,000 Class A-1 Blue Heron Funding VI Notes Due
May 21, 2047, Downgraded to Caa2; previously on 12/23/2008
Downgraded to Ba1 and remains on Review for Possible
Downgrade
-- US$25,000,000 Class A-2 Blue Heron Funding VI Notes Due
May 21, 2047, Downgraded to C; previously on 12/23/2008
Downgraded to Ca
-- Euro $89,936,000 (US$105,000,000) Class B Blue Heron
Funding VI Notes Due May 21, 2047, Downgraded to C;
previously on 5/16/2008 Downgraded to Ca
Blue Heron Funding VII Ltd
-- US$1,113,750,000 Class A-1 Blue Heron Funding VII Notes
Due May 30, 2047, Downgraded to Caa2; previously on
12/23/2008 Downgraded to Ba3 and remains on Review for
Possible Downgrade
-- US$25,000,000 Class A-2 Blue Heron Funding Vll Notes Due
May 30, 2047, Downgraded to C; previously on 12/23/2008
Downgraded to Ca
-- US$105,000,000 (Euro 88,451,000) Class B Blue Heron
Funding VII Notes Due May 20, 2047, Downgraded to C;
previously on 5/30/2008 Downgraded to Ca
Buckingham CDO LTD.
-- Class A LT Notes, Downgraded to Caa2; previously on
12/17/2008 Downgraded to Ba2 and remains on Review for
Possible Downgrade
-- B, Downgraded to C; previously on 11/10/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
-- Base Liquidity Advances, Downgraded to Caa2; previously on
12/17/2008 Downgraded to Ba2 and remains on Review for
Possible Downgrade
Class V Funding, Ltd.
-- Class A-1 First Priority Senior Secured Floating Rate Delayed
Draw Notes due 2045, Downgraded to Caa3; previously on
12/17/2008 Downgraded to Ba2 and remains on Review for
Possible Downgrade
-- Class A-2 Second Priority Senior Secured Floating, Downgraded
to C; previously on 12/17/2008 Downgraded to Ca
Crystal Cove CDO, Ltd.
-- US$ 350,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2039, Downgraded to Caa3; previously
on 12/22/2008 Downgraded to B1 and remains on Review for
Possible Downgrade
-- US$ 70,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2039, Downgraded to C; previously on
12/22/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- US$ 39,700,000 Class B Third Priority Senior Secured
Floating Rate Notes Due 2039, Downgraded to C; previously on
6/9/2008 Downgraded to Ca
Duke Funding High Grade III, Ltd.
-- A-1A Senior Secured Floating Rate Notes Due 2049, Downgraded
to Caa2; previously on 12/17/2008 Downgraded to B1 and
remains on Review for Possible Downgrade
-- A-1B1 Senior Secured Floating Rate Notes Due 2049, Downgraded
to Caa2; previously on 12/17/2008 Downgraded to B1 and
remains on Review for Possible Downgrade
-- A-1B2 Senior Secured Floating Rate Interest Only Notes Due
2049, Downgraded to Caa2; previously on 12/17/2008 Downgraded
to B1 and remains on Review for Possible Downgrade
-- A-2 Senior Secured Floating Rate Notes Due 2049, Downgraded
to C; previously on 11/5/2008 Downgraded to Ca
-- B-1 Senior Secured Floating Rate Notes Due 2049, Downgraded
to C; previously on 11/5/2008 Downgraded to Ca
-- B-2 Senior Secured Floating Rate Notes Due 2049, Downgraded
to C; previously on 11/5/2008 Downgraded to Ca
Duke Funding High Grade IV, Ltd.
-- Class A-1, Downgraded to Caa2; previously on 12/16/2008
Downgraded to Ba2 and remains on Review for Possible
Downgrade
-- Class A-2, Downgraded to Ca; previously on 12/16/2008
Downgraded to Caa2 and remains on Review for Possible
Downgrade
-- Class B-1, Downgraded to C; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- Class B-2, Downgraded to C; previously on 12/16/2008
Downgraded to Ca
-- Class C-1, Downgraded to C; previously on 7/21/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- Class C-2, Downgraded to C; previously on 7/21/2008
Downgraded to Ca
-- Class D, Downgraded to C; previously on 7/21/2008 Downgraded
to Ca
DUKE FUNDING IX, LTD.,
-- A1, Downgraded to C; previously on 12/17/2008 Downgraded to
B2 and remains on Review for Possible Downgrade
-- A2F, Downgraded to C; previously on 12/17/2008 Downgraded to
Caa1 and remains on Review for Possible Downgrade
-- A2V, Downgraded to C; previously on 12/17/2008 Downgraded to
Caa1 and remains on Review for Possible Downgrade
-- A3F, Downgraded to C; previously on 4/24/2008 Downgraded to
Ca
-- A3V, Downgraded to C; previously on 4/24/2008 Downgraded to
Ca
-- Combo Notes, Downgraded to Ca; previously on 12/17/2008
Downgraded to B3 and remains on Review for Possible Downgrade
-- Senior Swap, Downgraded to Ca; previously on 12/17/2008
Downgraded to Ba2 and remains on Review for Possible
Downgrade
Duke Funding V, Ltd.
-- US$175,000,000 Class I-A1 Senior Secured Floating Rate
Notes Due 2033 (the "Class I-A1 Notes"), Downgraded to Caa3;
previously on 1/23/2009 Downgraded to Caa1 and remains on
Review for Possible Downgrade
-- US$69,000,000 Class I-A2 Senior Secured Floating Rate
Notes Due 2033 (the "Class I-A2 Notes"), Downgraded to Caa3;
previously on 1/23/2009 Downgraded to Caa1 and remains on
Review for Possible Downgrade
-- US$6,000,000 Class I-B Senior Secured Fixed Rate Notes Due
2033 (the "Class I-B Notes"), Downgraded to Caa3; previously
on 1/23/2009 Downgraded to Caa1 and remains on Review for
Possible Downgrade
-- US$9,000,000 Class B Combination Securities Due 2038,
Downgraded to Caa2; previously on 1/23/2009 Downgraded to B3
and remains on Review for Possible Downgrade
Duke Funding VI, Ltd.
-- Class A1J Senior Secured Floating Rate Notes Due 2039,
Downgraded to C; previously on 12/22/2008 Downgraded to B2
and remains on Review for Possible Downgrade
-- Class A1S Senior Secured Floating Rate Notes Due 2039,
Downgraded to Caa2; previously on 12/22/2008 Downgraded to
Ba2 and remains on Review for Possible Downgrade
-- Class A2 Senior Secured FLoating Rate Notes Due 2039,
Downgraded to C; previously on 12/22/2008 Downgraded to Caa2
and remains on Review for Possible Downgrade
-- Class A3 Senior Secured Defferable Interest FLoating Rate
Notes Due 2039, Downgraded to C; previously on 4/24/2008
Downgraded to Ca
-- Class BF Mezzanine Secured Fixed Rate Notes Due 2039,
Downgraded to C; previously on 4/24/2008 Downgraded to Ca
-- Class BV Mezzanine Secured Floating Rate Notes Due 2039,
Downgraded to C; previously on 4/24/2008 Downgraded to Ca
-- Composite 1 Securities due 2039, Downgraded to Ca; previously
on 12/22/2008 Downgraded to B2 and Placed Under Review for
Possible Downgrade
-- Composite 2 Securities Due 2039, Downgraded to C; previously
on 4/24/2008 Downgraded to Ca
E*TRADE ABS CDO IV, LTD.
-- US$ 7,000,000 Class A-1A First Priority Senior Secured
Floating Rate Notes Due 2042-1, Downgraded to Ca; previously
on 12/17/2008 Downgraded to B1 and remains on Review for
Possible Downgrade
-- US$ 152,800,000 Class A-1B-1 First P riority Senior
Secured Floating Rate Delayed Draw Notes Due 2042, Downgraded
to Ca; previously on 12/17/2008 Downgraded to Ba2 and remains
on Review for Possible Downgrade
-- US$ 38,200,000 Class A-1B-2 First P riority Senior Secured
Floating Rate Notes Due 2042, Downgraded to C; previously on
12/17/2008 Downgraded to B3 and remains on Review for
Possible Downgrade
-- US$ 21,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2042 Downgraded to C; previously on
12/17/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- US$ 52,000,000 Class B Third Priority Senior Secured
Floating Rate Notes Due 2042, Downgraded to C; previously on
6/2/2008 Downgraded to Ca
Harbourview CDO III, Limited
-- $311,250,000 Class A First Priority Senior Secured Floating
Rate Notes Due 2031, Downgraded to Caa3; previously on
4/29/2008 Downgraded to B3
Harp High Grade CDO I, Ltd.
-- Class A-1 Notes, Downgraded to Caa3; previously on 12/16/2008
Downgraded to B2 and remains on Review for Possible Downgrade
-- Class A-2 Notes, Downgraded to C; previously on 8/14/2008
Downgraded to Ca
-- Class B Notes, Downgraded to C; previously on 8/14/2008
Downgraded to Ca
-- Class C Notes, Downgraded to C; previously on 8/14/2008
Downgraded to Ca
House of Europe Funding I Ltd.
-- Class A, Downgraded to B2; previously on 12/17/2008
Downgraded to B1 and remains on Review for Possible Downgrade
House of Europe Funding II PLC
-- Class A House of Europe Funding II Floating Rate Notes due
2044, Downgraded to B2; previously on 12/22/2008 Downgraded
to Ba1 and remains on Review for Possible Downgrade
-- Class B House of Europe Funding II Floating Rate Notes due
2044, Downgraded to Ca; previously on 12/22/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Independence I CDO, Ltd.
-- Class A First Priority Senior Secured Floating Rate Notes,
Downgraded to B1; previously on 4/8/2008 Downgraded to Ba1
and Placed Under Review for Possible Downgrade
-- Class B Second Priority Senior Secured Floating Rate Notes,
Downgraded to Ca; previously on 4/8/2008 Downgraded to Caa2
and Placed Under Review for Possible Downgrade
Independence VI CDO, Ltd.
-- US$675,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2041, Downgraded to Caa3; previously
on 12/17/2008 Downgraded to Ba1 and remains on Review for
Possible Downgrade
-- US$94,500,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2041, Downgraded to C; previously on
12/17/2008 Downgraded to B3 and remains on Review for
Possible Downgrade
-- US$92,000,000 Class B Third Priority Senior Secured
Floating Rate Notes Due 2041, Downgraded to C; previously on
12/17/2008 Downgraded to Ca
Ischus Mezzanine CDO IV, Ltd.
-- US$100,000,000 Class A-1 Second Priority Senior Secured
Floating Rate Notes Due 2047, Downgraded to C; previously on
10/20/2008 Downgraded to Ca
-- US$17,500,000 Class X First Priority Senior Secured
Amortizing Notes Due 2013, Downgraded to C; previously on
12/11/2008 Downgraded to B1 and remains on Review for
Possible Downgrade
-- US$150,000,000 Super Senior Swap dated as of June 27,
2007, Downgraded to C; previously on 10/20/2008 Downgraded to
Ca
Kent Funding II, Ltd.
-- Class A-1A, Downgraded to Ca; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- Class X, Downgraded to B1; previously on 9/2/2008 Downgraded
to Ba1 and remains on Review for Possible Downgrade
Knollwood CDO II Ltd.
-- Class A-1VF First Priority Senior Secured Floating Rate Notes
Due 2046, Downgraded to Ca; previously on 12/16/2008
Downgraded to B1 and remains on Review for Possible Downgrade
-- Class A-2J Third Priority Senior Secured Floating Rate Notes
Due 2046, Downgraded to C; previously on 12/16/2008
Downgraded to Caa2 and remains on Review for Possible
Downgrade
-- Class A-2S Second Priority Senior Secured Floating Rate Notes
Due 2046, Downgraded to C; previously on 12/16/2008
Downgraded to Caa1 and remains on Review for Possible
Downgrade
-- Class B Fourth Priority Senior Secured Floating Rate Notes
Due 2046, Downgraded to C; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- Class C Fifth Priority Senior Secured Deferrable Floating
Rate Notes Due 2046, Downgraded to C; previously on 4/23/2008
Downgraded to Ca
Knollwood CDO LTD.
-- Class A-1 First Priority Senior Secured Floating Rate Notes
due January 8, 2039, Downgraded to Caa2; previously on
12/22/2008 Downgraded to Ba3 and remains on Review for
Possible Downgrade
-- Class A-2 Second Priority Senior Secured Floating Rate Notes
due January 8, 2039, Downgraded to C; previously on
12/22/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- Class B Third Priority Senior Secured Floating Rate Notes due
January 8, 2039, Downgraded to C; previously on 12/22/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
Magnolia Finance II plc
-- Series 2006-6B ABS Portfolio Variable Rate Notes, Downgraded
to C; previously on 12/16/2008 Downgraded to B1 and remains
on Review for Possible Downgrade
-- Series 2006-6C ABS Portfolio Variable Rate Notes, Downgraded
to C; previously on 12/16/2008 Downgraded to Caa2 and remains
on Review for Possible Downgrade
-- Series 2006-6D ABS Portfolio Variable Rate Notes, Downgraded
to C; previously on 12/16/2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
-- Series 2006-6E ABS Portfolio Variable Rate Notes, Downgraded
to C; previously on 12/16/2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
-- Series 2006-6FE ABS Portfolio Variable Rate Notes, Downgraded
to C; previously on 10/1/2008 Downgraded to Ca
-- Series 2006-6FU ABS Portfolio Variable Rate Notes, Downgraded
to C; previously on 10/1/2008 Downgraded to Ca
-- Series 2006-6GE ABS Portfolio Variable Rate Notes, Downgraded
to C; previously on 10/1/2008 Downgraded to Ca
-- Series 2006-6GG ABS Portfolio Variable Rate Notes, Downgraded
to C; previously on 10/1/2008 Downgraded to Ca
-- Series 2006-6GU ABS Portfolio Variable Rate Notes, Downgraded
to C; previously on 10/1/2008 Downgraded to Ca
Monroe Harbor CDO 2005-1 Ltd.
-- Class A-1A Floating Rate Notes Due December 2040, Downgraded
to Caa3; previously on 12/17/2008 Downgraded to B1 and
remains on Review for Possible Downgrade
-- Class A-1B Floating Rate Notes Due December 2040, Downgraded
to Caa3; previously on 12/17/2008 Downgraded to B1 and
remains on Review for Possible Downgrade
-- Class A-2 Floating Rate Notes Due December 2040, Downgraded
to C; previously on 10/28/2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
-- Class B Floating Rate Notes Due December 2040, Downgraded to
C; previously on 10/28/2008 Downgraded to Ca
Mulberry Street CDO, Ltd.
-- Class A-1B Floating Rate Notes, Downgraded to Caa3;
previously on 1/20/2009 Downgraded to B3 and Placed Under
Review for Possible Downgrade
Neptune CDO II, Ltd.
-- US$198,000,000 Class A-1 Senior Secured Floating Rate
Notes Due 2045, Downgraded to Ca; previously on 12/17/2008
Downgraded to B1 and remains on Review for Possible Downgrade
-- US$52,000,000 Class A-2 Senior Secured Floating Rate Notes
Due 2045, Downgraded to C; previously on 12/17/2008
Downgraded to Ca
-- US$18,000,000 Class B Senior Secured Floating Rate Notes
Due 2045, Downgraded to C; previously on 7/17/2008 Downgraded
to Ca
North Street Referenced Linked Notes 2004-6 L
-- Class A Floating Rate Notes, Downgraded to Ca; previously on
12/22/2008 Downgraded to B1 and remains on Review for
Possible Downgrade
-- Class B Floating Rate Notes, Downgraded to Ca; previously on
12/22/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
Orient Point CDO, Ltd.
-- Class A-1NVA First Priority Senior Secured Non-Voting
Floating Rate Delayed Draw Notes, Downgraded to Ca;
previously on 12/17/2008 Downgraded to B2 and remains on
Review for Possible Downgrade
-- Class A 1NVB First Priority Senior Secured Non-Voting
Floating Rate Notes, Downgraded to Ca; previously on
12/17/2008 Downgraded to B2 and remains on Review for
Possible Downgrade
-- Class A-1V First Priority Senior Secured Voting Floating
Rate, Downgraded to Ca; previously on 12/17/2008 Downgraded
to B2 and remains on Review for Possible Downgrade
-- Class A-2 Second Priority Senior Secured Floating Rate Notes,
Downgraded to C; previously on 12/17/2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
-- Class B Third Priority Senior Secured Floating Rate Notes,
Downgraded to C; previously on 12/17/2008 Downgraded to Ca
-- Class C Fourth Priority Mezzanine Deferrable Secured Floating
Rate Notes, Downgraded to C; previously on 6/9/2008
Downgraded to Ca
Pine Mountain CDO III Ltd.
-- US$230,000,000 Class A-1 Floating Rate Notes Due July 7,
2047, Downgraded to Ca; previously on 12/11/2008 Downgraded
to B2 and remains on Review for Possible Downgrade
-- US$20,000,000 Class A-2 Floating Rate Notes Due July 7,
2047, Downgraded to C; previously on 12/11/2008 Downgraded to
Caa2 and remains on Review for Possible Downgrade
-- US$90,000,000 Class A-3 Floating Rate Notes Due July 7,
2047, Downgraded to C; previously on 12/11/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
-- US$41,250,000 Class A-4 Floating Rate Notes Due July 7,
2047, Downgraded to C; previously on 12/11/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
-- US$45,000,000 Class B Floating Rate Notes Due July 7,
2047, Downgraded to C; previously on 12/11/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
-- US$22,500,000 Class C Deferrable Interest Floating Rate
Notes Due July 7, 2047, Downgraded to C; previously on
5/9/2008 Downgraded to Ca
-- US$25,000,000 Class D Deferrable Interest Floating Rate
Notes Due July 7, 2047, Downgraded to C; previously on
5/9/2008 Downgraded to Ca
-- US$3,750,000 Class E Deferrable Interest Floating Rate
Notes Due July 7, 2047, Downgraded to C; previously on
5/9/2008 Downgraded to Ca
Porter Square CDO III, Ltd.
-- US$240,000,000 Class A-1 Senior Secured Floating Rate
Notes Due 2041, Downgraded to Ca; previously on 12/17/2008
Downgraded to Ba1 and remains on Review for Possible
Downgrade
-- US$56,000,000 Class A-2 Senior Secured Floating Rate Notes
Due 2041, Downgraded to C; previously on 12/17/2008
Downgraded to B3 and remains on Review for Possible Downgrade
-- US$48,000,000 Class B Senior Secured Floating Rate Notes
Due 2041, Downgraded to C; previously on 12/17/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
Rutland Rated Investments
-- Secured Floating Rate Credit Linked Notes due 2042,
Downgraded to Ca; previously on 12/17/2008 Downgraded to B2
and remains on Review for Possible Downgrade
Sunrise CDO I, Ltd.
-- Class A Notes, Downgraded to B2; previously on 5/29/2008
Downgraded to Ba1 and Placed Under Review for Possible
Downgrade
-- Class B Notes, Downgraded to Ca; previously on 5/29/2008
Downgraded to Caa1 and Placed Under Review for Possible
Downgrade
Talon Funding I, Ltd.
-- Class A Floating Rate Notes due 2035, Downgraded to Caa3;
previously on 4/29/2008 Downgraded to B2 and Placed Under
Review for Possible Downgrade
-- Class B Floating Rate Notes due 2035, Downgraded to C;
previously on 1/16/2008 Downgraded to Ca
Varick Structured Asset Fund, Ltd.
-- US$50,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes due 2035, Downgraded to Caa2; previously
on 5/9/2008 Downgraded to B3 and Placed Under Review for
Possible Downgrade
-- US$300,000,000 Class A-2 First Priority Senior Secured
Floating Rate Notes due 2035, Downgraded to Caa2; previously
on 5/9/2008 Downgraded to B3 and Placed Under Review for
Possible Downgrade
Vertical ABS CDO 2006-1, LTD.
-- A1, Downgraded to C; previously on 12/16/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
-- A2, Downgraded to C; previously on 12/16/2008 Downgraded to
Ca
-- A3, Downgraded to C; previously on 4/22/2008 Downgraded to Ca
-- A-S1VF, Downgraded to Ca; previously on 12/16/2008 Downgraded
to B2 and remains on Review for Possible Downgrade
* Moody's Downgrades Ratings on 141 Notes by 37 CDO Transactions
----------------------------------------------------------------
Moody's Investors Service has downgraded its ratings of 141 Notes
issued by 37 collateralized debt obligation transactions, and
confirmed the ratings of 1 Note issued by another transaction,
which consist of significant exposure to one or more of Alt-A,
Option-ARM and subprime RMBS securities, CLOs, or CMBS. Moody's
explained that the rating actions reflect certain updates and
projections and recent rating actions on underlying assets on
these asset classes. Some of the deals have also experienced an
Event of Default.
Moody's revised loss projections for Alt-A RMBS securities which
were described in a press release published on January 22, 2009.
According to the press release, on average, Moody's is now
projecting cumulative losses of about 20% for 2006 securitizations
and about 24% for 2007 securitizations.
Moody's revised loss projections for subprime RMBS issued from
2005 to 2007 were described in a press release titled "2005-7
subprime RMBS on downgrade review" published on February 26, 2009.
The revised loss projection for 2006 vintage subprime pools is
expected to fall within the range of 28% to 32% of the original
balance of such pools, whereas Moody's previous estimate was 22%.
For 2005 and 2007 pools, such projections are expected to range
from 12% to 14% and 33% to 37% of original balance, respectively.
A review of all U.S. commercial mortgage backed securities conduit
and fusion transactions rated during the period from 2006 through
2008, and all large loan and single borrower transactions
regardless of vintage was concluded recently. The review was
announced in a Press Release on February 5, 2009.
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. The completion
of the first stage of its two-stage review of U.S. and EMEA cash
flow CLOs was announced on March 27, 2009. As of March 23, Moody's
had downgraded approximately 2,071 tranches from 668 transactions.
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 titled "Moody's Updates its
Key Assumptions for Rating Structured Finance CDOs," published on
December 11, 2008.
Moody's initially analyzed and continues to monitor these
transactions using primarily the methodology and its supplements
for ABS CDOs as described in Moody's Special Report below:
-- Moody's Approach to Rating SF CDOs (March 2009)
The rating actions are:
Acacia CDO 12, Ltd.
-- US$291,500,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2047, Downgraded to C; previously on
12/11/2008 Downgraded to Ba1 and remains on Review for
Possible Downgrade
-- US$100,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2047, Downgraded to C; previously on
12/11/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- US$41,000,000 Class B Third Priority Senior Secured
Floating Rate Notes Due 2047, Downgraded to C; previously on
8/7/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
Adrastea SHG 2007-1, Ltd.
-- US$1,600,000,000 Class A-1M Variable Funding Floating Rate
Notes Due 2052, Downgraded to Ca; previously on 12/11/2008
Downgraded to Ba3 and remains on Review for Possible
Downgrade
-- US$200,000,000 Class A-1Q Floating Rate Notes Due 2052,
Downgraded to C; previously on 12/11/2008 Downgraded to B2
and remains on Review for Possible Downgrade
-- US$84,000,000 Class A-2 Floating Rate Notes Due 2052,
Downgraded to C; previously on 12/11/2008 Downgraded to B3
and remains on Review for Possible Downgrade
-- US$50,000,000 Class A-3 Floating Rate Notes Due 2052,
Downgraded to C; previously on 12/11/2008 Downgraded to Caa1
and remains on Review for Possible Downgrade
-- US$30,000,000 Class A-4 Floating Rate Notes Due 2052,
Downgraded to C; previously on 12/11/2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
Altius IV Funding, Ltd.
-- US$644,850,000 Class A-1B Floating Rate Notes Due 2042,
Downgraded to C; previously on 10/28/2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
-- US$300,000 Class A-1V Floating Rate Notes Due 2042,
Downgraded to C; previously on 12/11/2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
-- US$50,000,000 Class A-2a Floating Rate Notes Due 2042,
Downgraded to C; previously on 10/28/2008 Downgraded to Ca
-- US$55,000,000 Class A-2b Floating Rate Notes Due 2042,
Downgraded to C; previously on 10/28/2008 Downgraded to Ca
-- US$66,000,000 Class B Floating Rate Notes Due 2042,
Downgraded to C; previously on 6/9/2008 Downgraded to Ca
Anderson Mezzanine Funding 2007-1, Ltd.
-- US$130,000,000 Class A-1a Floating Rate Notes due July
2042, Downgraded to C; previously on 10/8/2008 Downgraded to
Ca
-- US$53,000,000 Class A-1b Floating Rate Notes due July
2042, Downgraded to C; previously on 10/8/2008 Downgraded to
Ca
-- US$30,500,000 Class A-2 Floating Rate Notes due July 2042,
Downgraded to C; previously on 3/24/2008 Downgraded to Ca
-- US$42,700,000 Class B Floating Rate Notes due July 2042,
Downgraded to C; previously on 3/24/2008 Downgraded to Ca
BFC Ajax CDO Ltd.
-- US$275,000,000 Class A Senior Floating Rate Notes Due 2046,
Downgraded to C; previously on 3/24/2009 Upgraded to Ba3
-- US$15,000,000 Class B Floating Rate Notes Due 2046,
Downgraded to C; previously on 12/16/2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
-- US$10,000,000 Class X Deferrable Floating Rate Notes Due
2046, Downgraded to C; previously on 5/23/2008 Downgraded to
Ca
C-BASS CBO VIII Ltd.
-- US$26,600,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due November 2028, Downgraded to Aa3;
previously on 12/23/2008 Downgraded to Aa2 and Placed Under
Review for Possible Downgrade
-- US$ 18,350,000 Class B Third Priority Senior Secured
Floating Rate Notes Due 2038, Downgraded to A3; previously on
2/6/2009 Downgraded to A2
-- US$ 20,700,000 Class C Fourth Priority Secured Floating
Rate Deferrable Interest Notes Due 2038, Downgraded to B2;
previously on 2/6/2009 Downgraded to Ba1
-- US$ 12,000,000 Class D-1 Fifth Priority Secured Floating
Rate Deferrable Interest Notes Due 2038, Downgraded to Ca;
previously on 2/6/2009 Downgraded to Ba3
-- US$ 4,950,000 Class D-2 Fifth Priority Secured Fixed Rate
Deferrable Interest Notes Due 2038, Downgraded to Ca;
previously on 2/6/2009 Downgraded to Ba3
C-BASS CBO XIX Ltd.
-- A-1, Downgraded to Ca; previously on 12/11/2008 Downgraded to
B1 and remains on Review for Possible Downgrade
-- A-2, Downgraded to C; previously on 12/11/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
-- B, Downgraded to C; previously on 4/24/2008 Downgraded to Ca
Coda CDO 2007-1 LTD.
-- US$145,000,000 Class A-1LA Investor Swap Due November
2047, Downgraded to C; previously on 12/11/2008 Downgraded to
Ba3 and remains on Review for Possible Downgrade
-- US$55,000,000 Class A-1LB Floating Rate Notes Due November
2047, Downgraded to C; previously on 12/11/2008 Downgraded to
Caa1 and remains on Review for Possible Downgrade
-- US$35,000,000 Class A-2L Floating Rate Notes Due November
2047, Downgraded to C; previously on 12/11/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
-- US$125,000,000 Class A-3L Deferrable Floating Rate Notes
Due November 2047, Downgraded to C; previously on 12/11/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- US$63,000,000 Class B-1L Deferrable Floating Rate Notes
Due November 2047, Downgraded to C; previously on 6/2/2008
Downgraded to Ca
-- US$40,000,000 Class X Notes Due November 2014, Downgraded
to C; previously on 12/11/2008 Downgraded to B2 and remains
on Review for Possible Downgrade
Collybus CDO I Ltd.
-- US$675,000,000 Class A-2 Senior Secured Floating Rate
Notes due 2047, Downgraded to Ca; previously on 12/11/2008
Downgraded to Ba2 and remains on Review for Possible
Downgrade
-- US$55,000,000 Class A-3 Senior Secured Floating Rate Notes
due 2047, Downgraded to C; previously on 12/11/2008
Downgraded to Caa2 and remains on Review for Possible
Downgrade
-- US$53,000,000 Class B Senior Secured Floating Rate Notes
due 2047, Downgraded to C; previously on 12/11/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
Credit Derivative Transaction Ref. No. NWGOC
-- Credit Default Swap, Downgraded to C; previously on
12/16/2008 Downgraded to B1 and remains on Review for
Possible Downgrade
Davis Square Funding VI, Ltd.
-- US$274,000,000 Class A-1LT-a Floating Rate Notes Due 2041,
Downgraded to C; previously on 12/16/2008 Downgraded to Ba3
and remains on Review for Possible Downgrade
-- US$300,000,000 Class A-1LT-b Floating Rate Notes Due 2041,
Downgraded to C; previously on 12/16/2008 Downgraded to Ba3
and remains on Review for Possible Downgrade
-- US$1,166,000,000 Class A-1LT-c Floating Rate Notes Due
2041, Downgraded to C; previously on 12/16/2008 Downgraded to
Ba3 and remains on Review for Possible Downgrade
-- US$85,000,000 Class A-2 Floating Rate Notes Due 2041,
Downgraded to C; previously on 12/16/2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
-- US$105,000,000 Class B Floating Rate Notes Due 2041,
Downgraded to C; previously on 12/16/2008 Downgraded to Ca
-- US$35,000,000 Class C Deferrable Floating Rate Notes Due
2041, Downgraded to C; previously on 5/9/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
-- US$25,000,000 Class D Deferrable Floating Rate Notes Due
2041, Downgraded to C; previously on 5/9/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
Diversified Asset Securitization Holdings I, LP
-- US$ 218,000,000 Class A-1Floating Rate Senior Secured Term
Notes Due 2034, Downgraded to Ba2; previously on 4/29/2008
Downgraded to Baa3
-- US$45,000,000 Class A-2 Fixed Rate Senior Secured Term
Notes Due 2034, Downgraded to Ba2; previously on 4/29/2008
Downgraded to Baa3
Duke Funding IV, Ltd.
-- Class A-1 First Priority Senior Secured Flt. Rt. Notes due
2023, Confirmed at Ba3; previously on 12/23/2008 Downgraded
to Ba3 and Placed Under Review for Possible Downgrade
Euler ABS CDO I, Ltd.
-- US$270,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes due 2050, Downgraded to C; previously on
12/11/2008 Downgraded to B2 and remains on Review for
Possible Downgrade
-- US$135,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes due 2050, Downgraded to C; previously on
12/11/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- US$93,750,000 Class A-3 Third Priority Senior Secured
Floating Rate Notes due 2050, Downgraded to C; previously on
12/11/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- US$53,000,000 Class B Fourth Priority Senior Secured
Floating Rate Notes due 2050, Downgraded to C; previously on
6/5/2008 Downgraded to Ca
-- US$20,000,000 Class C Fifth Priority Senior Secured
Floating Rate Notes due 2050, Downgraded to C; previously on
6/5/2008 Downgraded to Ca
-- US$24,500,000 Class D Sixth Priority Mezzanine Deferrable
Secured Floating Rate Notes due 2050, Downgraded to C;
previously on 6/5/2008 Downgraded to Ca
-- US$6,750,000 Class E Seventh Priority Mezzanine Deferrable
Secured Floating Rate Notes due 2050, Downgraded to C;
previously on 6/5/2008 Downgraded to Ca
-- US$22,500,000 Class F Eighth Priority Mezzanine Deferrable
Secured Floating Rate Notes due 2050, Downgraded to C;
previously on 6/5/2008 Downgraded to Ca
-- US$12,500,000 Class G Ninth Priority Mezzanine Deferrable
Secured Floating Rate Notes due 2050, Downgraded to C;
previously on 6/5/2008 Downgraded to Ca
-- US$14,000,000 Class H Tenth Priority Mezzanine Deferrable
Secured Floating Rate Notes due 2050, Downgraded to C;
previously on 3/31/2008 Downgraded to Ca
FACTS 2007-1
-- Floating Rate Notes, Downgraded to Ca; previously on
12/11/2008 Downgraded to B1 and remains on Review for
Possible Downgrade
Gemstone CDO VII Ltd.
-- US$159,000,000 Class A-2 Floating Rate Notes due December
2045, Downgraded to C; previously on 4/28/2008 Downgraded to
Ca
-- US$200,000,000 Class A-1b(i) Floating Rate Notes due
December 2045, Downgraded to C; previously on 12/11/2008
Downgraded to Caa1 and remains on Review for Possible
Downgrade
-- US$200,000,000 Class A-1b(ii) Floating Rate Notes due
December 2045, Downgraded to C; previously on 4/28/2008
Downgraded to Ca
-- US$244,000,000 Class A-1a Floating Rate Notes due December
2045, Downgraded to Ca; previously on 12/11/2008 Downgraded
to Ba2 and remains on Review for Possible Downgrade
-- US$400,000,000 Class A-1b Floating Rate Notes due December
2045, Downgraded to C; previously on 12/11/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
-- US$96,900,000 Class B Floating Rate Notes due December
2045, Downgraded to C; previously on 4/28/2008 Downgraded to
Ca
Glacier Funding CDO V, Ltd.
-- US$200,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2051, Downgraded to C; previously on
12/11/2008 Downgraded to B2 and remains on Review for
Possible Downgrade
-- US$122,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2051, Downgraded to C; previously on
12/11/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- US$46,000,000 Class A-3 Third Priority Senior Secured
Floating Rate Notes Due 2051, Downgraded to C; previously on
12/11/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- US$44,000,000 Class B Fourth Priority Senior Secured
Floating Rate Notes Due 2051, Downgraded to C; previously on
5/30/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- US$15,000,000 Class C Fifth Priority Senior Secured
Floating Rate Notes Due 2051, Downgraded to C; previously on
5/30/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- US$20,500,000 Class D Sixth Priority Mezzanine Secured
Deferrable Floating Rate Notes Due 2051, Downgraded to C;
previously on 3/27/2008 Downgraded to Ca
-- US$26,500,000 Class E Seventh Priority Mezzanin Secured
Deferrable Floating Rate Notes Due 2051, Downgraded to C;
previously on 3/27/2008 Downgraded to Ca
-- US$5,500,000 Class F Eighth Priority Mezzanine Secured
Deferrable Floating Rate Notes Due 2051, Downgraded to C;
previously on 3/27/2008 Downgraded to Ca
-- US$6,500,000 Class G Ninth Priority Mezzanine Secured
Deferrable Floating Rate Notes Due 2051, Downgraded to C;
previously on 3/27/2008 Downgraded to Ca
Halcyon Securitized Prod Inv ABS CDO II Ltd.
-- US$225,000,000 Class A-1(a) Senior Secured Floating Rate
Notes Due 2046, Downgraded to C; previously on 12/11/2008
Downgraded to B3 and remains on Review for Possible Downgrade
-- US$75,000,000 Class A-1(b) Senior Secured Floating Rate
Notes Due 2046, Downgraded to C; previously on 12/11/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- US$82,500,000 Class A-2 Senior Secured Floating Rate Notes
Due 2046, Downgraded to C; previously on 5/9/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
-- US$36,000,000 Class B Senior Secured Floating Rate Notes
Due 2046, Downgraded to C; previously on 5/9/2008 Downgraded
to Ca
-- US$27,500,000 Class C Senior Secured Floating Rate Notes
Due 2046, Downgraded to C; previously on 5/9/2008 Downgraded
to Ca
-- US$21,500,000 Class D-1 Senior Secured Deferrable Interest
Floating Rate Notes Due 2046, Downgraded to C; previously on
5/9/2008 Downgraded to Ca
-- US$6,000,000 Class D-2 Senior Secured Deferrable Interest
Floating Rate Notes Due 2046, Downgraded to C; previously on
5/9/2008 Downgraded to Ca
Halcyon Securitized Products Investors Ltd.
-- Class A-1 Senior Secured Floating Rate Notes, due 2050,
Downgraded to C; previously on 12/16/2008 Downgraded to Ba3
and remains on Review for Possible Downgrade
-- Class A-2 Senior Secured Floating Rate Notes, due 2050,
Downgraded to C; previously on 12/16/2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
-- Class B Senior Secured Floating Rate Notes, due 2050,
Downgraded to C; previously on 5/18/2008 Downgraded to Ca
Highridge ABS CDO II, Ltd.
-- US$800,000,000 Class A-1S First Priority Senior Secured
Floating Rate Notes due 2047, Downgraded to C; previously on
12/11/2008 Downgraded to Ba2 and remains on Review for
Possible Downgrade
HSPI Diversified CDO Fund I, Ltd.
-- US$384,000,000 Class A-1 Advance Swap Agreement,
Downgraded to C; previously on 9/2/2008 Downgraded to Ca
Ischus Synthetic ABS CDO 2006-2 Ltd.
-- US$575,000,000 Class A-1LA Investor Swap, Downgraded to C;
previously on 12/16/2008 Downgraded to B3 and remains on
Review for Possible Downgrade
-- US$11,000,000 Class B-2L Floating Rate Notes Due,
Downgraded to C; previously on 3/27/2008 Downgraded to Ca
-- US$203,000,000 Class A-1LB Floating Rate Notes D,
Downgraded to C; previously on 4/30/2008 Downgraded to Ca
-- US$32,000,000 Class X Notes Due January 2014, Downgraded to
C; previously on 4/30/2008 Downgraded to Ca
-- US$41,000,000 Class B-1L Floating Rate Notes Due,
Downgraded to C; previously on 3/27/2008 Downgraded to Ca
-- US$48,000,000 Class A-2L Floating Rate Notes Due,
Downgraded to C; previously on 3/27/2008 Downgraded to Ca
-- US$60,000,000 Class A-3L Floating Rate Notes Due,
Downgraded to C; previously on 3/27/2008 Downgraded to Ca
Kent Funding III, Ltd.
-- US$780,000,000 Class A-1 First Priority Senior Secured
Floating Rate Delayed Draw Notes due 2047, Downgraded to Ca;
previously on 12/16/2008 Downgraded to Ba1 and remains on
Review for Possible Downgrade
-- US$325,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes due 2047, Downgraded to C; previously on
12/16/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- US$113,000,000 Class A-3 Third Priority Senior Secured
Floating Rate Notes due 2047, Downgraded to C; previously on
5/30/2008 Downgraded to Ca
-- US$55,000,000 Class B Fourth Priority Senior Secured
Floating Rate Notes due 2047, Downgraded to C; previously on
5/30/2008 Downgraded to Ca
Kleros Preferred Funding IX, Ltd.
-- US$1,380,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2052, Downgraded to Ca; previously on
12/11/2008 Downgraded to Ba3
Los Robles CDO Ltd.
-- US$112,500,000 Class A-1b Floating Rate Notes D,
Downgraded to Ca; previously on 10/21/2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
-- US$225,000,000 Class A-2 Floating Rate Notes Due August
12, 2047, Downgraded to C; previously on 10/21/2008
Downgraded to Ca
-- US$67,500,000 Class A-3 Floating Rate Notes Due August 12,
2047, Downgraded to C; previously on 10/21/2008 Downgraded to
Ca
-- US$33,000,000 Class B Floating Rate Notes Due August 12,
2047, Downgraded to C; previously on 10/21/2008 Downgraded to
Ca
Lunar Funding V plc Series 2007-39
-- US$200,000,000 Limited Recourse Secured Floating Rate
Credit-Linked Notes due 2037, Downgraded to C; previously on
12/11/2008 Downgraded to B1 and remains on Review for
Possible Downgrade
Magnolia Finance II plc Series 2006-6A1
-- Series 2006-6A1 USD 50,000,000 ABS Portfolio Variable Rate
Notes due December 2038, Downgraded to C; previously on
12/11/2008 Downgraded to Ba1 and remains on Review for
Possible Downgrade
Magnolia Finance II plc Series 2006-6A2E
-- EUR7,500,000 ABS Portfolio Variable Rate Notes due December
2038, Downgraded to C; previously on 12/11/2008 Downgraded to
Ba1 and remains on Review for Possible Downgrade
Magnolia Finance II plc Series 2006-6A2G
-- GBP 6,000,000 ABS Portfolio Variable Rate Notes due December
2038, Downgraded to C; previously on 12/11/2008 Downgraded to
Ba1 and remains on Review for Possible Downgrade
Mantoloking CDO 2006-1, Ltd.
-- US$166,250,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes due 2046, Downgraded to Ca; previously on
10/6/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
-- US$40,000,000 Class A-3 Third Priority Senior Secured
Floating Rate Notes due 2046, Downgraded to C; previously on
10/6/2008 Downgraded to Ca
-- US$71,750,000 Class B Fourth Priority Senior Secured
Floating Rate Notes due 2046, Downgraded to C; previously on
5/30/2008 Downgraded to Ca
Orient Point CDO II, Ltd.
-- US$1,350,000,000 Class A First Priority Senior Secured
Floating Rate Notes due 2051, Downgraded to C; previously on
12/16/2008 Downgraded to B3 and remains on Review for
Possible Downgrade
-- US$36,000,000 Class B Second Priority Senior Secured
Floating Rate Notes due 2051, Downgraded to C; previously on
6/4/2008 Downgraded to Ca
-- US$75,000,000 Class C Third Priority Secured Floating Rate
Notes due 2051, Downgraded to C; previously on 6/4/2008
Downgraded to Ca
Sharps CDO II Ltd.
-- US$600,000,000 Class A-1 Senior Secured Floating Rate
Notes due 2046, Downgraded to C; previously on 12/11/2008
Downgraded to B1 and remains on Review for Possible Downgrade
-- US$100,000,000 Class A-2 Senior Secured Floating Rate
Notes due 2046, Downgraded to C; previously on 12/11/2008
Downgraded to Caa1 and remains on Review for Possible
Downgrade
-- US$60,000,000 Class A-3 Senior Secured Floating Rate Notes
due 2046, Downgraded to C; previously on 12/11/2008
Downgraded to Caa2 and remains on Review for Possible
Downgrade
-- US$82,000,000 Class B Senior Secured Floating Rate Notes
due 2046, Downgraded to C; previously on 12/11/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- US$52,000,000 Class C Senior Secured Deferrable Interest
Floating Rate Notes due 2046, Downgraded to C; previously on
5/9/2008 Downgraded to Ca
Silver Marlin CDO I Ltd.
-- US$625,000,000 Class A-1 First Priority Senior Secured
Floating Rate Delayed Draw Notes due 2050, Downgraded to C;
previously on 12/11/2008 Downgraded to B1 and remains on
Review for Possible Downgrade
-- US$437,500,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes due 2050, Downgraded to C; previously on
6/2/2008 Downgraded to Ca
-- US$62,500,000 Class A-3 Third Priority Senior Secured
Floating Rate Notes due 2050, Downgraded to C; previously on
6/2/2008 Downgraded to Ca
-- US$67,000,000 Class A-4 Fourth Priority Senior Secured
Floating Rate Notes due 2050, Downgraded to C; previously on
6/2/2008 Downgraded to Ca
-- US$21,500,000 Class B Fifth Priority Senior Secured
Floating Rate Notes due 2050, Downgraded to C; previously on
3/10/2008 Downgraded to Ca
-- US$9,400,000 Class C Sixth Priority Senior Secured Floating
Rate Notes due 2050, Downgraded to C; previously on 3/10/2008
Downgraded to Ca
Summer Street 2007-1, Ltd.
-- US$57,000,000 Class A-1A Senior Secured Floating Rate
Notes Due 2052, Downgraded to C; previously on 2/8/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- US$50,000,000 Class A-1B Senior Secured Floating Rate
Notes Due 2052, Downgraded to C; previously on 2/8/2008
Downgraded to Ca
-- US$80,000,000 Class A-1SA Senior Secured Floating Rate
Notes Due 2052, Downgraded to C; previously on 12/11/2008
Downgraded to Ba3 and remains on Review for Possible
Downgrade
-- US$63,000,000 Class A-1SB Senior Secured Floatng Rate
Notes Due 2052i, Downgraded to C; previously on 12/11/2008
Downgraded to Caa3 and remains on Review for Possible
Downgrade
-- US$37,500,000 Class A-2 Senior Secured Floating Rate Notes
Due 2052, Downgraded to C; previously on 2/8/2008 Downgraded
to Ca
-- US$55,000,000 Class B Senior Secured Floating Rate Notes
Due 2052, Downgraded to C; previously on 2/8/2008 Downgraded
to Ca
Term CDO 2007-1 Ltd.
-- Class A-1LA Floating Rate Notes Due July 2038, Downgraded to
Ca; previously on 12/11/2008 Downgraded to B2 and remains on
Review for Possible Downgrade
-- Class A-1LB Floating Rate Notes Due July 2038, Downgraded to
C; previously on 4/23/2008 Downgraded to Caa3 and remains on
Review for Possible Downgrade
-- Class A-2L Floating Rate Notes Due July 2038, Downgraded to
C; previously on 4/23/2008 Downgraded to Ca
-- Class A-3L Floating Rate Notes Due July 2038, Downgraded to
C; previously on 4/23/2008 Downgraded to Ca
-- Class B-1L Floating Rate Notes Due July 2038, Downgraded to
C; previously on 4/2/2008 Downgraded to Ca
AMP A CLO 2007-2
-- US$25,000,000 Credit Linked Notes, Downgraded to Caa2 and
remains on Review for Possible Downgrade; previously on
12/11/2008 Downgraded to B2 and Placed Under Review for
Possible Downgrade
West Trade Funding CDO III Ltd.
-- US$1,500,000,000 Class A-1 First Priority Senior Floating
Rate Delayed Draw Notes Due 2053, Downgraded to C; previously
on 12/11/2008 Downgraded to B3 and remains on Review for
Possible Downgrade
-- US$625,000,000 Class A-2 Second Priority Senior Floating
Rate Delayed Draw Notes Due 2053, Downgraded to C; previously
on 12/11/2008 Downgraded to Caa1 and remains on Review for
Possible Downgrade
-- US$125,000,000 Class A-3 Third Priority Senior Floating
Rate Delayed Draw Notes Due 2053, Downgraded to C; previously
on 5/20/2008 Downgraded to Ca
-- US$155,000,000 Class A-4 Fourth Priority Senior Floating
Rate Delayed Draw Notes Due 2053, Downgraded to C; previously
on 5/20/2008 Downgraded to Ca
-- US$27,000,000 Class B Fifth Priority Senior Floating Rate
Delayed Draw Notes Due 2053, Downgraded to C; previously on
5/20/2008 Downgraded to Ca
-- US$10,000,000 Class C Sixth Priority Senior Floating Rate
Delayed Draw Notes Due 2053, Downgraded to C; previously on
5/20/2008 Downgraded to Ca
Whitehawk CDO Funding, LTD.
-- Class B Floating Rate Notes, Downgraded to C; previously on
1/30/2009 Downgraded to Ca
* Moody's Reports Impact of Auto Industry on Municipal Issuers
--------------------------------------------------------------
The U.S. domestic automobile industry's severe distress has
growing potential to put downward pressure on credit ratings of
U.S. local and state governments that have historically relied on
the industry for tax revenue and employment opportunities, says
Moody's Investors Service in new report.
"The highest concentration of automakers remains in the Midwest,
with Detroit as the historic epicenter with rings emanating
outward throughout Michigan and neighboring Ohio, Indiana and
beyond," said Moody's Senior Vice President Edward Damutz, author
of the report, which identifies rated issuers most at risk.
He said continued distress is forecast for all three of the
Detroit domestic automakers, Ford (Caa3), General Motors (Ca), and
Chrysler (Ca).
The state and local issuers most likely to face downward rating
pressure from the automakers' turmoil include certain cities,
counties, school districts, and special districts located in
Michigan (general obligation rated Aa3/negative outlook), Indiana
(general obligation rated Aa1/stable outlook) and Ohio (general
obligation rated Aa1/negative outlook).
"The states themselves, particularly Michigan, will likely also
come under pressure," said Damutz. "The recent pressure on local
government credits has been a key driver in several recent
downgrades."
Rapidly rising unemployment rates in Michigan (12.0%), Indiana
(9.4%) and Ohio (9.4%) place further strain on state and local
governments, says the Moody's report. The looming threat of
potential bankruptcy of certain auto or auto-related companies has
also further exacerbated the situation.
Moody's maintains underlying ratings on 253 U.S. state and local
issuers that currently have or recently lost some type of Big
Three automotive industry manufacturing presence. Of these
entities, 32 have tax bases, as measured by assessed valuation, of
which the Detroit companies represent more than 5%.
The report identifies the rated issuers most at risk, the ways
these issuers are being affected, and mitigating factors that may
prevent or limit the erosion in credit quality.
"Analysis of the future credit quality of these issuers will focus
on the magnitude and timing of local shift reductions and job
cuts, as well as other local economic trends which may compound or
mitigate the effect of the industry's restructuring efforts," said
Damutz.
Also monitored, he said, will be the impact of these pressures on
issuers' key revenues and expenditures, and the actions taken by
management to address the fiscal pressures.
"In many cases, Moody's expect that these issuers will be able to
take timely action such as budget revisions, and avoid a rating
downgrade," said Damutz. "To the extent local government issuers
are unable to make needed budget corrections on a timely basis,
rating downgrades in this segment of the municipal market are
likely."
* S&P Downgrades Ratings on 36 Classes from 11 RMBS Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 36
classes from 11 U.S. residential mortgage-backed securities
transactions backed by subprime mortgage loan collateral and
issued in 1998, 2002, and 2004-2006. S&P removed 11 of the
lowered ratings from CreditWatch with negative implications. In
addition, S&P affirmed 65 ratings on 10 of the downgraded
transactions and one additional transaction, and S&P removed 15 of
the affirmed ratings from CreditWatch negative.
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is insufficient
to cover losses at the previous rating levels. Although
cumulative losses were generally low in comparison 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 reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover the losses associated with the respective rating levels.
The downgrades, affirmations, and CreditWatch resolutions
incorporate current losses and S&P's projected losses based on the
dollar amounts of loans currently in the transactions'
delinquency, foreclosure, and real estate owned pipelines, as well
as S&P's projection of future defaults. S&P also incorporated
cumulative losses to date in S&P's analysis when determining
rating outcomes.
The subordination of more-junior classes within each structure
provides credit support for the affected transactions. The
collateral backing these deals originally consisted predominantly
of subprime residential mortgage loans secured by one- to four-
family properties.
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.
S&P monitor these transactions over time 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
Asset Backed Securities Corporation Home Equity Loan Trust,
Series 2004-HE8
Rating
------
Class CUSIP To From
----- ----- -- ----
M4 04541GMR0 CCC BBB+
M5 04541GMS8 CCC BB
M6 04541GMT6 CC B
CWABS Asset-Backed Certificates Trust 2004-10
Series 2004-10
Rating
------
Class CUSIP To From
----- ----- -- ----
AF-5B 126673FV9 AAA AAA/Watch Neg
B-F 126673JK9 BB A
MV-4 126673JW3 A AA
MV-5 126673JX1 BB AA-
MV-6 126673JY9 CCC A+
MV-7 126673JZ6 CCC A
MV-8 126673KA9 CCC A-
BV 126673KB7 CCC BBB
CWABS Asset-Backed Certificates Trust 2004-AB2
Series 2004-AB2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-3 126673QE5 AAA AAA/Watch Neg
M-1 126673QF2 AA+ AA+/Watch Neg
M-2 126673QG0 AA+ AA+/Watch Neg
M-3 126673QH8 A AA/Watch Neg
M-4 126673QJ4 B AA/Watch Neg
M-5 126673QK1 CCC A+/Watch Neg
M-6 126673QL9 CC A+/Watch Neg
CWABS Inc.
Series 2002-BC1
Rating
------
Class CUSIP To From
----- ----- -- ----
A 126671NS1 AA AAA/Watch Neg
A-IO 126671NW2 AA AAA
M-1 126671NT9 D CCC
FFMLT Trust 2005-FF2
Series 2005-FF2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 36242DN82 CCC BB
B-2 36242DN90 CCC B
B-3 36242DP23 CC CCC
Securitized Asset Backed Receivables LLC Trust 2004-DO1
Series 2004-DO1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 81375WAU0 BB BBB
M-3 81375WAV8 CCC BBB-
B-1 81375WAW6 CCC BB
B-2 81375WAX4 CC B
Soundview Home Loan Trust 2006-3
Series 2006-3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 83612HAB4 AAA AAA/Watch Neg
A-3 83612HAC2 BBB BBB/Watch Neg
A-4 83612HAD0 B B/Watch Neg
M-1 83612HAE8 B- B-/Watch Neg
M-4 83612HAH1 CC CCC
M-5 83612HAJ7 CC CCC
Structured Asset Investment Loan Trust 2004-11
Series 2004-11
Rating
------
Class CUSIP To From
----- ----- -- ----
A4 86358EPP5 AAA AAA/Watch Neg
M1 86358EPQ3 AA+ AA+/Watch Neg
M2 86358EPR1 AA AA/Watch Neg
M3 86358EPS9 AA- AA-/Watch Neg
M4 86358EPT7 A A+/Watch Neg
M5 86358EPU4 BB A/Watch Neg
M6 86358EPV2 CCC A-/Watch Neg
M7 86358EPW0 CC BBB+/Watch Neg
Structured Asset Investment Loan Trust 2005-4
Series 2005-4
Rating
------
Class CUSIP To From
----- ----- -- ----
M5 86358ESP2 B BB
Structured Asset Investment Loan Trust 2006-BNC3
Series 2006-BNC3
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 86361KAA5 BBB BBB/Watch Neg
A2 86361KAB3 AAA AAA/Watch Neg
A3 86361KAC1 A AA/Watch Neg
A4 86361KAD9 BBB BBB/Watch Neg
M1 86361KAF4 CCC B-/Watch Neg
M2 86361KAG2 CC CCC
M3 86361KAH0 CC CCC
Structured Asset Securities Corp.
Series 1998-6
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 863572UE1 CC CCC
Ratings Affirmed
Asset Backed Securities Corporation Home Equity Loan Trust
Series 2004-HE8
Class CUSIP Rating
----- ----- ------
M1 04541GMN9 AA+
M2 04541GMP4 A
M3 04541GMQ2 A-
Chase Funding Loan Acquisition Trust Series 2003-C2
Series 2003-C2
Class CUSIP Rating
----- ----- ------
IA 161542CY9 AAA
IIA 161542DB8 AAA
IA-X 161542CZ6 AAA
IIA-X 161542DC6 AAA
IA-P 161542DA0 AAA
IIA-P 161542DD4 AAA
B-1 161542DF9 AA+
B-2 161542DG7 A+
B-3 161542DH5 BBB+
B-4 161542DJ1 BB+
B-5 161542DK8 B+
CWABS Asset-Backed Certificates Trust 2004-10
Series 2004-10
Class CUSIP Rating
----- ----- ------
AF-4 126673HZ8 AAA
AF-5A 126673JA1 AAA
AF-6 126673JB9 AAA
MF-1 126673JC7 AA+
MF-2 126673JD5 AA+
MF-3 126673JE3 AA+
MF-4 126673JF0 AA+
MF-5 126673JG8 AA
MF-6 126673JH6 AA
MF-7 126673JJ2 AA-
MV-1 126673JT0 AA+
MV-2 126673JU7 AA+
MV-3 126673JV5 AA
FFMLT Trust 2005-FF2
Series 2005-FF2
Class CUSIP Rating
----- ----- ------
A-1 36242DM67 AAA
A-2C 36242DM91 AAA
M-1 36242DN25 AA+
M-2 36242DN33 AA
M-3 36242DN41 AA
M-4 36242DN58 AA-
M-5 36242DN66 A+
M-6 36242DN74 BBB
Securitized Asset Backed Receivables LLC Trust 2004-DO1
Series 2004-DO1
Class CUSIP Rating
----- ----- ------
A-1 81375WAZ9 AAA
A-2 81375WAS5 AAA
M-1 81375WAT3 AA+
Soundview Home Loan Trust 2006-3
Series 2006-3
Class CUSIP Rating
----- ----- ------
M-2 83612HAF5 CCC
M-3 83612HAG3 CCC
Structured Asset Investment Loan Trust 2005-4
Series 2005-4
Class CUSIP Rating
----- ----- ------
A3 86358ESG2 AAA
A4 86358ESH0 AAA
A5 86358ESJ6 AAA
M1 86358ESK3 AA+
M2 86358ESL1 AA
M3 86358ESM9 AA
M4 86358ESN7 AA-
M6 86358ESQ0 CCC
M7 86358ESR8 CCC
Structured Asset Securities Corp.
Series 1998-6
Class CUSIP Rating
----- ----- ------
B-1 863572UD3 AA
* S&P Downgrades Ratings on 39 Tranches from Nine Hybrid CDO Deals
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 39
tranches from nine U.S. cash flow and hybrid collateralized debt
obligation transactions. At the same time, S&P removed seven of
the lowered ratings from CreditWatch with negative implications.
The ratings on 29 of the downgraded tranches are on CreditWatch
with negative implications, indicating a significant likelihood of
further downgrades. In addition, S&P placed its ratings on two
tranches from two transactions on CreditWatch with negative
implications.
The CreditWatch placements primarily affect transactions for which
a significant portion of the collateral assets currently have
ratings on CreditWatch with negative implications or have
significant exposure to assets rated in the 'CCC' category.
The 39 downgraded U.S. cash flow and hybrid tranches have a total
issuance amount of $8.339 billion. Six of the nine affected
transactions are mezzanine structured finance CDOs of asset-backed
securities, which are collateralized in large part by mezzanine
tranches of residential mortgage-backed securities and other SF
securities. The other three transactions are high-grade SF CDOs
of ABS that were collateralized at origination primarily by 'AAA'
through 'A' rated tranches of RMBS and other SF securities. The
CDO downgrades reflect a number of factors, including credit
deterioration and recent negative rating actions on U.S. subprime
RMBS.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
Acacia CDO 6 Ltd A-1 A/Watch Neg AAA
Acacia CDO 6 Ltd A-2 BBB-/Watch Neg AAA
Acacia CDO 6 Ltd B BB/Watch Neg AA
Acacia CDO 6 Ltd C B/Watch Neg A
Acacia CDO 6 Ltd D B-/Watch Neg A-
Acacia CDO 6 Ltd E-1 CCC-/Watch Neg BB+
Acacia CDO 6 Ltd E-2 CCC-/Watch Neg BB+
Commodore CDO III, Ltd. A-1A A/Watch Neg AAA
Commodore CDO III, Ltd. A-1B AA/Watch Neg AAA
Commodore CDO III, Ltd. A-1C A/Watch Neg AAA
Commodore CDO III, Ltd. A-2 B+/Watch Neg A-
High Grade Structured Credit A-1 BBB+/Watch Neg AA+/Watch Neg
CDO 2005-1 LTD.
High Grade Structured Credit A-2 B/Watch Neg AA-/Watch Neg
CDO 2005-1 LTD.
High Grade Structured Credit B CCC+/Watch Neg A-/Watch Neg
CDO 2005-1 LTD.
High Grade Structured Credit X CCC/Watch Neg BBB/Watch Neg
CDO 2005-1 LTD.
High Grade Structured Credit C CCC-/Watch Neg BB/Watch Neg
CDO 2005-1 LTD.
River North CDO Ltd A-2 B/Watch Neg BB-/Watch Neg
Saybrook Point CBO II, Limited A A-/Watch Neg A+/Watch Neg
Saybrook Point CBO II, Limited B-1 B+/Watch Neg BB+/Watch Neg
Saybrook Point CBO II, Limited B-2 B+/Watch Neg BB+/Watch Neg
Saybrook Point CBO II, Limited C-1 CC CCC-/Watch Neg
Saybrook Point CBO II, Limited C-2 CC CCC-/Watch Neg
Straits Global ABS CDO I Ltd A-2 BB/Watch Neg A+/Watch Neg
Summer Street 2004-1, Ltd. A-1 BBB/Watch Neg AAA/Watch Neg
Summer Street 2004-1, Ltd. A-2 B/Watch Neg A/Watch Neg
Summer Street 2004-1, Ltd. A-3 CC CCC/Watch Neg
Triaxx Prime CDO 2006-2, Ltd. A-1A BB-/Watch Neg AA-/Watch Neg
Triaxx Prime CDO 2006-2, Ltd. A-1B1 BB/Watch Neg AA/Watch Neg
Triaxx Prime CDO 2006-2, Ltd. A-1B2 BB-/Watch Neg AA-/Watch Neg
Triaxx Prime CDO 2006-2, Ltd. A-1BV BB-/Watch Neg AA-/Watch Neg
Triaxx Prime CDO 2006-2, Ltd. A-2 CCC+/Watch Neg BB+/Watch Neg
Triaxx Prime CDO 2006-2, Ltd. B CCC/Watch Neg B/Watch Neg
Triaxx Prime CDO 2006-2, Ltd. X CC CCC
Triaxx Prime CDO 2006-2, Ltd. C CC CCC-
Triaxx Prime CDO 2007-1 Ltd A-1D CCC A/Watch Neg
Triaxx Prime CDO 2007-1 Ltd A-1T CCC A/Watch Neg
Triaxx Prime CDO 2007-1 Ltd A-2 CC BB/Watch Neg
Triaxx Prime CDO 2007-1 Ltd B CC B/Watch Neg
Triaxx Prime CDO 2007-1 Ltd X CC CCC
Ratings Placed On Creditwatch Negative
Rating
------
Transaction Class To From
----------- ----- -- ----
River North CDO Ltd A-1 A/Watch Neg A
Straits Global ABS CDO I Ltd A-1 AAA/Watch Neg AAA
Other Ratings Reviewed
Transaction Class Rating
----------- ----- ------
Commodore CDO III, Ltd. B CC
Commodore CDO III, Ltd. C-1 CC
Commodore CDO III, Ltd. C-2 CC
River North CDO Ltd B CC
River North CDO Ltd C CC
River North CDO Ltd D-1 CC
River North CDO Ltd D-2 CC
Straits Global ABS CDO I Ltd A Combo CC
Straits Global ABS CDO I Ltd B Combo CC
Straits Global ABS CDO I Ltd B-1 CC
Straits Global ABS CDO I Ltd B-2 CC
Straits Global ABS CDO I Ltd C-1 CC
Straits Global ABS CDO I Ltd C-2 CC
Summer Street 2004-1, Ltd. B CC
Summer Street 2004-1, Ltd. C CC
Summer Street 2004-1, Ltd. D Inc Nts CC
Triaxx Prime CDO 2007-1 Ltd C CC
* S&P Downgrades Ratings on 55 Classes of Notes from Five CDOs
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 55
classes of notes from two cash flow and five hybrid collateralized
debt obligation transactions following the liquidation of the
collateral in their portfolios.
The affected tranches have a combined issuance amount of $6.79
billion. S&P lowered its ratings on the two cash flow CDO
transactions to 'D' because the proceeds from the liquidations
have not been sufficient to make par payments to the rated notes.
S&P lowered its ratings on the hybrid CDO transactions to 'D'
because the transactions did not have proceeds to pay back par
payments to the noteholders after making the termination payments
on the credit default swap contracts.
The five hybrid CDOs are backed predominantly by mezzanine
residential mortgage-backed securities, and the two cash flow CDOs
are backed predominantly by high-grade RMBS securities. The deals
triggered events of default, after which, the controlling
noteholders subsequently voted to accelerate the maturity of the
notes and liquidate the collateral assets.
The current rating actions follow notice from the trustees that
the liquidation of the portfolio assets is complete and that the
available proceeds have been distributed to the noteholders.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
Costa Bella CDO Ltd. A1A D CCC-/Watch Neg
Costa Bella CDO Ltd. A2 D CC
Costa Bella CDO Ltd. B D CC
Costa Bella CDO Ltd. C D CC
Costa Bella CDO Ltd. D D CC
Costa Bella CDO Ltd. E D CC
Costa Bella CDO Ltd. F D CC
Costa Bella CDO Ltd. G D CC
Longridge ABS CDO I Ltd A-1 D CCC-/Watch Neg
Longridge ABS CDO I Ltd A-2 D CC
Longridge ABS CDO I Ltd B D CC
Longridge ABS CDO I Ltd C D CC
Longridge ABS CDO I Ltd D D CC
Longridge ABS CDO I Ltd E D CC
Longridge ABS CDO I Ltd F D CC
Longridge ABS CDO I Ltd UnfunSupSr D CCC-/Watch Neg
Mayflower CDO I Ltd. A-1LA D CCC/Watch Neg
Mayflower CDO I Ltd. A-1lB D CC
Mayflower CDO I Ltd. A-2L D CC
Mayflower CDO I Ltd. A-3L D CC
Mayflower CDO I Ltd. B-1L D CC
Mayflower CDO I Ltd. X D BB/Watch Neg
Octonion I CDO Ltd. A1 D CCC/Watch Neg
Octonion I CDO Ltd. A2 D CC
Octonion I CDO Ltd. A3 D CC
Octonion I CDO Ltd. B D CC
Octonion I CDO Ltd. C D CC
Octonion I CDO Ltd. D D CC
Octonion I CDO Ltd. E D CC
Octonion I CDO Ltd. S D CCC-/Watch Neg
Palmer Square 3 Ltd. X D CC
Palmer Square 3 Ltd. A1-M D CC
Palmer Square 3 Ltd. A1-Q D CC
Palmer Square 3 Ltd. A2 D CC
Palmer Square 3 Ltd. A3 D CC
Palmer Square 3 Ltd. A4 D CC
Palmer Square 3 Ltd. B D CC
Palmer Square 3 Ltd. C D CC
Palmer Square 3 Ltd. D D CC
Sagittarius CDO I Ltd A D CC
Sagittarius CDO I Ltd B D CC
Sagittarius CDO I Ltd C D CC
Sagittarius CDO I Ltd D-1 D CC
Sagittarius CDO I Ltd D-2 D CC
Sagittarius CDO I Ltd D-3 D CC
Sagittarius CDO I Ltd E D CC
Sagittarius CDO I Ltd S D CCC/Watch Neg
Sagittarius CDO I Ltd Super Sr D CCC+/Watch Neg
Sagittarius CDO I Ltd X D CC
Singa Funding, Ltd. A-1M D CCC/Watch Neg
Singa Funding Ltd. A-1Q D CCC/Watch Neg
Singa Funding Ltd. A-2 D CCC-/Watch Neg
Singa Funding Ltd. A-3 D CC
Singa Funding Ltd. A-4 D CC
Singa Funding Ltd. B D CC
* S&P Downgrades Ratings on 57 Classes from 18 Prime Jumbo RMBS
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 57
classes from 18 U.S. Prime Jumbo residential mortgage-backed
securities transactions issued from 2002 to 2004 and removed five
of them from CreditWatch with negative implications. At the same
time, S&P affirmed the ratings on 122 classes from the same
transactions and removed 10 of them from CreditWatch negative.
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 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 its view, a class could absorb
losses in excess of the base-case loss 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 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 assumption 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.
Rating Actions
CHL Mortgage Pass-Through Trust 2004-23
Series 2004-23
Rating
------
Class CUSIP To From
----- ----- -- ----
A 12669GAA9 AA AAA
X 12669GAC5 AA AAA
B-1 12669GAE1 B A+
B-2 12669GAF8 CCC BBB
B-3 12669GBJ9 CC BB
M 12669GAD3 BBB AA+
CHL Mortgage Pass-Through Trust 2004-HYB9
Series 2004-HYB9
Rating
------
Class CUSIP To From
----- ----- -- ----
2-M 12669GHN4 A AA
2-B-1 12669GHP9 B A
1-B-3 12669GHM6 BB BBB
2-B-2 12669GHQ7 CCC BBB
1-B-4 12669GHS3 CCC BB
2-B-3 12669GHV6 CC B
1-B-5 12669GHT1 CC B
Citigroup Mortgage Loan Trust Series 2004-HYB3
Series 2004 HYB3
Rating
------
Class CUSIP To From
----- ----- -- ----
B-4 17307GKF4 CCC B
Fifth Third Mortgage Loan Trust 2002-FTB1
Series 2002-FTB1
Rating
------
Class CUSIP To From
----- ----- -- ----
C-B-3 2254W0AZ8 B BB
GSR Mortgage Loan Trust 2004-11
Series 2004-11
Rating
------
Class CUSIP To From
----- ----- -- ----
B2 36242DGB3 B A
B3 36242DGC1 CCC BBB-
B4 36242DGE7 CC CCC
HarborView Mortgage Loan Trust 2003-3
Series 2003-3
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 41161PCT8 B BBB
B-4 41161PCU5 CCC B
Harborview Mortgage Loan Trust 2004-6
Series 2004-6
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 41161PFY4 BBB A
B-3 41161PFZ1 CCC BBB
B-4 41161PGA5 CC B
HarborView Mortgage Loan Trust 2004-7
Series 2004-7
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 41161PGS6 BB A
B-3 41161PGT4 CCC BBB
B-4 41161PGU1 CC B
HarborView Mortgage Loan Trust 2004-8
Series 2004-8
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 41161PHH9 BBB AA+
B-2 41161PHJ5 B A+
B-3 41161PHK2 CCC BBB+
B-4 41161PHL0 CC BB
Morgan Stanley Mortgage Loan Trust 2004-7AR
Series 2004-7AR
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 61748HCR0 B BBB
B-4 61748HCT6 CC B
Sequoia Mortgage Trust 11
Series 11
Rating
------
Class CUSIP To From
----- ----- -- ----
A 81744AAA6 AAA AAA/Watch Neg
X-1A 81744AAC2 AAA AAA/Watch Neg
X-1B 81744AAD0 AAA AAA/Watch Neg
X-B 81744AAE8 AA AAA/Watch Neg
B-1 81744AAB4 AA AA/Watch Neg
B-2 81744AAG3 A A/Watch Neg
Structured Adjustable Rate Mortgage Loan Trust
Series 2004-2
Rating
------
Class CUSIP To From
----- ----- -- ----
B2-I 86359BLN9 BBB A
B2X-I 86359BLP4 BBB A
B2-II 86359BLS8 BBB A
B3 86359BLT6 B BBB
B4 86359BLV1 CCC BB
Structured Adjustable Rate Mortgage Loan Trust
Series 2004-15
Rating
------
Class CUSIP To From
----- ----- -- ----
B2 863579DG0 BBB A
B3 863579DH8 CCC BBB
B4 863579DL9 CC CCC
Structured Asset Securities Corp.
Series 2002-14A
Rating
------
Class CUSIP To From
----- ----- -- ----
B1-I 86358RR82 BBB AA+
B1-I-X 86358RR90 BBB AA+
B2-I 86358RS24 B AA-
B2-I-X 86358RS32 B AA-
B1-II 86358RS40 A AA+
B2-II 86358RS73 B AA-
B3 86358RS57 CCC BBB+
Structured Asset Securities Corp.
Series 2003-32
Rating
------
Class CUSIP To From
----- ----- -- ----
B4 86359A7F4 CCC BB
B5 86359A7G2 CC B
Structured Asset Securities Corp.
Series 2004-13
Rating
------
Class CUSIP To From
----- ----- -- ----
B2 86359BVQ1 BBB A
B3 86359BVR9 BB BBB
B4 86359BVU2 CCC BB
Wells Fargo Mortgage Backed Securities 2004-J Trust
Series 2004-J
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 949813AA7 AAA AAA/Watch Neg
B-1 949813AC3 AA AA/Watch Neg
B-2 949813AD1 A A/Watch Neg
B-3 949813AE9 BB BBB/Watch Neg
B-4 949813AF6 CCC BB/Watch Neg
Wells Fargo Mortgage Backed Securities 2004-U Trust
Series 2004-U
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 949803AA8 AAA AAA/Watch Neg
B-1 949803AC4 AA+ AA+/Watch Neg
B-2 949803AD2 B A+/Watch Neg
B-3 949803AE0 CCC BBB+/Watch Neg
Ratings Affirmed
CHL Mortgage Pass-Through Trust 2004-HYB9
Series 2004-HYB9
Class CUSIP Rating
----- ----- ------
1-A-1 12669GHG9 AAA
2-A-1 12669GHH7 AAA
2-A-2 12669GHJ3 AAA
1-B-1 12669GHK0 AA
1-B-2 12669GHL8 A
Citigroup Mortgage Loan Trust Series 2004-HYB3
Series 2004 HYB3
Class CUSIP Rating
----- ----- ------
I-A 17307GJX7 AAA
II-A 17307GJY5 AAA
III-A 17307GJZ2 AAA
Fifth Third Mortgage Loan Trust 2002-FTB1
Series 2002-FTB1
Class CUSIP Rating
----- ----- ------
I-A-1 2254W0AN5 AAA
I-X 2254W0AT2 AAA
II-A-1 2254W0AP0 AAA
III-A-1 2254W0AQ8 AAA
III-X 2254W0AU9 AAA
IV-A-1 2254W0AR6 AAA
IV-X 2254W0AV7 AAA
V-A-1 2254W0AS4 AAA
V-X 2254W0AW5 AAA
C-B-1 2254W0AX3 AA+
C-B-2 2254W0AY1 AA
GSR Mortgage Loan Trust 2004-11
Series 2004-11
Class CUSIP Rating
----- ----- ------
1A1 36242DFP3 AAA
1A2 36242DFQ1 AAA
2A1 36242DFS7 AAA
2AX1 36242DFV0 AAA
2A2 36242DFT5 AAA
2AX2 36242DFW8 AAA
2A3 36242DFU2 AAA
3A1 36242DFX6 AAA
4A1 36242DFY4 AAA
5A1 36242DFZ1 AAA
B1 36242DGA5 AA
HarborView Mortgage Loan Trust 2003-3
Series 2003-3
Class CUSIP Rating
----- ----- ------
1A-1 41161PCK7 AAA
2A-1 41161PCL5 AAA
2A-2 41161PCM3 AAA
2A-3 41161PCN1 AAA
A-X 41161PCP6 AAA
B-1 41161PCR2 AA+
B-2 41161PCS0 A
Harborview Mortgage Loan Trust 2004-6
Series 2004-6
Class CUSIP Rating
----- ----- ------
1-A 41161PFP3 AAA
2-A 41161PFQ1 AAA
3-A-1 41161PFR9 AAA
3-A-2A 41161PFS7 AAA
3-A-2B 41161PFT5 AAA
4-A 41161PFU2 AAA
5-A 41161PFV0 AAA
B-1 41161PFX6 AA
HarborView Mortgage Loan Trust 2004-7
Series 2004-7
Class CUSIP Rating
----- ----- ------
1-A 41161PGF4 AAA
2-A-1 41161PGG2 AAA
2-A-2 41161PGH0 AAA
2-A-3 41161PGJ6 AAA
3-A-1 41161PGK3 AAA
3-A-2 41161PGL1 AAA
4-A 41161PGM9 AAA
X-1 41161PGN7 AAA
X-2 41161PGP2 AAA
B-1 41161PGR8 AA+
HarborView Mortgage Loan Trust 2004-8
Series 2004-8
Class CUSIP Rating
----- ----- ------
1-A 41161PGY3 AAA
2-A1 41161PGZ0 AAA
2-A2 41161PHA4 AAA
2-A3 41161PHB2 AAA
2-A4A 41161PHC0 AAA
2-A4B 41161PHD8 AAA
3-A1 41161PHE6 AAA
3-A2 41161PHF3 AAA
X 41161PHQ9 AAA
Morgan Stanley Mortgage Loan Trust 2004-7AR
Series 2004-7AR
Class CUSIP Rating
----- ----- ------
1-A 61748HCD1 AAA
2-A-1 61748HCE9 AAA
2-A-2 61748HCF6 AAA
2-A-3 61748HCG4 AAA
2-A-4 61748HCH2 AAA
2-A-5 61748HCJ8 AAA
2-A-6 61748HCK5 AAA
2-A-7 61748HCL3 AAA
3-A 61748HCM1 AAA
4-A 61748HCN9 AAA
A-R 61748HCS8 AAA
B-1 61748HCP4 AA
B-2 61748HCQ2 A
Structured Adjustable Rate Mortgage Loan Trust
Series 2004-2
Class CUSIP Rating
----- ----- ------
1-A1 86359BKY6 AAA
1-A2 86359BKZ3 AAA
1-AX 86359BLA7 AAA
2-A 86359BLB5 AAA
3-A 86359BLC3 AAA
4-A1 86359BLE9 AAA
4-A2 86359BLF6 AAA
4-A3 86359BMC2 AAA
5-A 86359BLJ8 AAA
5-AX 86359BLK5 AAA
B1-I 86359BLL3 AA
B1X-I 86359BLM1 AA
B1-II 86359BLQ2 AA
Structured Adjustable Rate Mortgage Loan Trust
Series 2004-15
Class CUSIP Rating
----- ----- ------
A 863579DE5 AAA
B1 863579DF2 AA
BX 863579DJ4 BBB
Structured Asset Securities Corp.
Series 2002-14A
Class CUSIP Rating
----- ----- ------
1-A1 86358RR41 AAA
1-A2 86358RR58 AAA
2-A1 86358RR66 AAA
Structured Asset Securities Corp.
Series 2003-32
Class CUSIP Rating
----- ----- ------
1-A1 86359A6T5 AAA
2-A1 86359A6U2 AAA
2-AP 86359A6V0 AAA
3-A1 86359A6W8 AAA
4-A1 86359A6X6 AAA
5-A1 86359A6Y4 AAA
AX 86359A6Z1 AAA
PAX 86359A7A5 AAA
B1 86359A7B3 AA
B2 86359A7C1 A
B3 86359A7D9 BBB
Structured Asset Securities Corp.
Series 2004-13
Class CUSIP Rating
----- ----- ------
1-A1 86359BVL2 AAA
1-A2 86359BVM0 AAA
1-A3 86359BVN8 AAA
2-A1 86359BVT5 AAA
B1 86359BVP3 AA
* S&P Downgrades Ratings on 77 Classes from 12 RMBS Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 77
classes from 12 residential mortgage-backed securities
transactions backed by U.S. Alternative-A mortgage loan collateral
issued from 2004, 2006, and 2007. S&P removed 56 of the lowered
ratings from CreditWatch with negative implications. S&P also
affirmed its ratings on 41 classes from seven of the downgraded
transactions as well as one additional deal. S&P removed 28 of
the affirmed ratings from 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 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 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 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 2006-10
Series 2006-10
Rating
------
Class CUSIP To From
----- ----- -- ----
1A-1A 41162CAA9 AA AAA/Watch Neg
1A-1B 41162CAB7 AAA AAA/Watch Neg
2A-1B 41162CAD3 BBB AAA/Watch Neg
2A-1C 41162CAE1 AAA AAA/Watch Neg
B-1 41162CAF8 CCC BB/Watch Neg
B-3 41162CAH4 CC CCC
B-4 41162CAJ0 CC CCC
B-5 41162CAK7 CC CCC
HarborView Mortgage Loan Trust 2006-13
Series 2006-13
Rating
------
Class CUSIP To From
----- ----- -- ----
A 41162KAA1 B AAA/Watch Neg
B-1 41162KAD5 CCC BB+/Watch Neg
B-2 41162KAE3 CC B/Watch Neg
B-3 41162KAF0 CC CCC
IndyMac INDX Mortgage Loan Trust 2004-AR13
Series 2004-AR13
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 45660N7J8 AAA AAA/Watch Neg
2-A-1 45660N7K5 AAA AAA/Watch Neg
2-A-2 45660N7L3 AAA AAA/Watch Neg
2-A-3 45660N7M1 AAA AAA/Watch Neg
X 45660N7N9 AAA AAA/Watch Neg
B-1 45660N7R0 B AA/Watch Neg
B-2 45660N7S8 CCC A/Watch Neg
B-3 45660N7T6 CC BBB/Watch Neg
IndyMac INDX Mortgage Loan Trust 2004-AR14
Series 2004-AR14
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1A 45660LAA7 A AAA/Watch Neg
1-A-1B 45660LAB5 B AAA/Watch Neg
2-A-1A 45660LAC3 AA AAA/Watch Neg
2-A-1B 45660LAD1 B AAA/Watch Neg
2-A-2A 45660LAE9 AAA AAA/Watch Neg
2-A-2B 45660LAF6 B AAA/Watch Neg
A-X-2 45660LAH2 AAA AAA/Watch Neg
B-1 45660LAK5 CCC AA/Watch Neg
B-2 45660LAL3 CCC A/Watch Neg
B-3 45660LAM1 CC BBB/Watch Neg
IndyMac INDX Mortgage Loan Trust 2004-AR15
Series 2004-AR15
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 45660LBE8 AAA AAA/Watch Neg
2-A-1 45660LBF5 AAA AAA/Watch Neg
3-A-1 45660LBG3 AAA AAA/Watch Neg
4-A-1 45660LBH1 AAA AAA/Watch Neg
4-A-2 45660LBJ7 AAA AAA/Watch Neg
5-A-1 45660LBK4 AAA AAA/Watch Neg
5-A-2 45660LBL2 AAA AAA/Watch Neg
6-A-1 45660LBM0 AAA AAA/Watch Neg
B-1 45660LBP3 CCC AA/Watch Neg
B-2 45660LBQ1 CCC A/Watch Neg
B-3 45660LBR9 CC BBB/Watch Neg
IndyMac INDX Mortgage Loan Trust 2004-AR2
Series 2004-AR2
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 45660NG66 AA AAA/Watch Neg
2-A-1 45660NG74 AA AAA/Watch Neg
A-X-2 45660NG90 AA AAA/Watch Neg
B-1 45660NH32 CCC AA/Watch Neg
B-2 45660NH40 CCC A/Watch Neg
B-3 45660NH57 CCC BBB/Watch Neg
B-4 45660NH65 CC BB/Watch Neg
IndyMac INDX Mortgage Loan Trust 2004-AR4
Series 2004-AR4
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 45660NQ24 AA AAA/Watch Neg
2-A 45660NQ32 AA AAA/Watch Neg
3-A 45660NQ40 AA AAA/Watch Neg
B-1 45660NQ65 CCC AA/Watch Neg
B-2 45660NQ73 CC A/Watch Neg
B-3 45660NQ81 CC BBB/Watch Neg
IndyMac INDX Mortgage Loan Trust 2004-AR5
Series 2004-AR5
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 45660NS22 AA AAA
2-A-2 45660NS55 AA AAA
B-1 45660NS97 CCC AA
B-2 45660NT21 CCC BBB
B-3 45660NT39 CCC B
B-4 45660NT47 CC CCC
IndyMac INDX Mortgage Loan Trust 2004-AR6
Series 2004-AR6
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 45660NX26 AAA AAA/Watch Neg
2-A 45660NX34 AAA AAA/Watch Neg
3-A-1 45660NX42 AAA AAA/Watch Neg
3-A-2 45660NX59 AAA AAA/Watch Neg
3-A-3 45660NX67 AAA AAA/Watch Neg
4-A 45660NX75 AAA AAA/Watch Neg
5-A-1 45660NX83 AAA AAA/Watch Neg
5-A-2 45660NX91 AAA AAA/Watch Neg
6-A-1 45660NY25 AAA AAA/Watch Neg
6-A-2 45660NY33 AAA AAA/Watch Neg
B-1 45660NY58 AA+ AA+/Watch Neg
B-2 45660NY66 B A+/Watch Neg
B-3 45660NY74 CCC BBB/Watch Neg
B-4 45660NZ57 CC BB/Watch Neg
IndyMac INDX Mortgage Loan Trust 2004-AR8
Series 2004-AR8
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 45660N2H7 B AAA/Watch Neg
2-A-1 45660N2L8 B AAA/Watch Neg
2-A-2A 45660N2J3 BBB AAA/Watch Neg
2-A-2B 45660N2K0 B AAA/Watch Neg
A-X-2 45660N2N4 BBB AAA/Watch Neg
B-1 45660N2Q7 CCC AA/Watch Neg
B-2 45660N2R5 CCC A/Watch Neg
B-3 45660N2S3 CC BBB/Watch Neg
B-4 45660N2T1 CC BB/Watch Neg
Lehman Mortgage Trust 2007-6
Series 2007-6
Rating
------
Class CUSIP To From
----- ----- -- ----
AX 52521NAN0 CCC AAA
AP 52521NAM2 CCC B/Watch Neg
1-A1 52521NAA8 CCC B+/Watch Neg
1-A2 52521NAB6 CCC B/Watch Neg
1-A3 52521NAC4 CCC B/Watch Neg
1-A4 52521NAD2 CCC B/Watch Neg
1-A5 52521NAE0 CCC B
1-A6 52521NAF7 CCC B/Watch Neg
1-A7 52521NAG5 CCC B+/Watch Neg
1-A8 52521NAH3 CCC B+/Watch Neg
1-A9 52521NAT7 CCC B
1-A10 52521NAU4 CCC B
1-A11 52521NAJ9 CCC B/Watch Neg
2-A1 52521NAK6 CCC B+/Watch Neg
2-A2 52521NAL4 CCC B/Watch Neg
B1 52521NAP5 CC CCC
B2 52521NAQ3 CC CCC
B3 52521NAR1 D CC
Washington Mutual MSC Mortgage Pass-Through Certificates
Series 2004-RA1 Trust
Rating
------
Class CUSIP To From
----- ----- -- ----
C-B-1 939336Q55 BBB A
C-B-2 939336Q63 CCC BB
C-B-3 939336Q71 CCC B
C-B-4 939336Q97 CC CCC
Ratings Affirmed
HarborView Mortgage Loan Trust 2006-10
Series 2006-10
Class CUSIP Rating
----- ----- ------
2A-1A 41162CAC5 AAA
B-2 41162CAG6 CCC
IndyMac INDX Mortgage Loan Trust 2004-AR5
Series 2004-AR5
Class CUSIP Rating
----- ----- ------
2-A-1A 45660NS30 AAA
2-A-1B 45660NS48 AAA
A-X-2 45660NS71 AAA
Washington Mutual MSC Mortgage Pass-Through Certificates
Series 2004-RA1 Trust
Class CUSIP Rating
----- ----- ------
I-A 939336P72 AAA
II-A 939336P80 AAA
I-X 939336P98 AAA
II-X 939336Q22 AAA
I-P 939336Q30 AAA
II-P 939336Q48 AAA
Wells Fargo Alternative Loan 2002-1 Trust
Series 2002-1
Class CUSIP Rating
----- ----- ------
I-A-1 94974SAA1 AAA
A-PO 94974SAC7 AAA
* S&P Downgrades Ratings on 96 Classes from 40 Prime RMBS Deals
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 96
classes from 40 U.S. prime jumbo residential mortgage-backed
securities transactions issued from 1989 to 2004. S&P removed one
of the lowered ratings from CreditWatch with negative
implications. Concurrently, S&P affirmed its ratings on 390 other
classes of certificates from the downgraded transactions and
removed 22 of the affirmed ratings from CreditWatch with negative
implications.
For the deals with outstanding subordinate bonds, to assess the
creditworthiness of each class, S&P reviewed the individual
delinquency and loss trends of each transaction for changes, if
any, in risk characteristics, servicing, and the expected ability
to withstand additional credit deterioration. In order to
maintain a rating higher than 'B', S&P considered whether a class
absorbed losses in excess of the base-case assumptions S&P made in
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 subordination of the more-junior classes provides credit
support for these transactions. The collateral for these
transactions consists of fixed and adjustable-rate prime jumbo
mortgage loans secured by one- to four-family residential
properties.
For the deals without subordinate bonds whose only outstanding
form of credit support is primarily based on insurance, be it pool
or bond insurance, S&P is lowering the rating on these bonds to
the highest of the ratings on the insurers. The collateral for
these transactions consists of fixed- and adjustable-rate prime
jumbo mortgage loans secured by one- to four-family residential
properties.
The affirmed ratings on these 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 these
transactions incorporate S&P's current and projected losses based
on the dollar amounts of loans currently in the transactions'
delinquency, foreclosure, and real estate owned pipelines, as well
as S&P's projection of future defaults. S&P also incorporated
cumulative losses to date in S&P's analysis when determining
rating outcomes.
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
Chase Mortgage Finance Trust Series 2003-S14
Series 2003-S14
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 16162WEU9 B BB
B-4 16162WEV7 CCC B
Chase Mortgage Finance Trust, Series 2003-S15
Series 2003-S15
Rating
------
Class CUSIP To From
----- ----- -- ----
IIA-1 16162WFF1 AAA AAA/Watch Neg
B-4 16162WEY1 CCC B
Citicorp Mortgage Securities Inc.
Series 2003-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-3 172973GJ2 AAA AAA/Watch Neg
Citicorp Mortgage Securities Inc.
Series 2003-3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-5 172973LZ0 AAA AAA/Watch Neg
A-16 172973ML0 AAA AAA/Watch Neg
A-17 172973MM8 AAA AAA/Watch Neg
A-18 172973MN6 AAA AAA/Watch Neg
A-19 172973MP1 AAA AAA/Watch Neg
A-20 172973MQ9 AAA AAA/Watch Neg
Citicorp Mortgage Securities Inc.
Series 2003-11
Rating
------
Class CUSIP To From
----- ----- -- ----
IIA-11 172973UT4 AAA AAA/Watch Neg
DLJ Mortgage Acceptance Corp.
Series 1993- 4A
Rating
------
Class CUSIP To From
----- ----- -- ----
A 23321PCN6 BB- AAA
First Horizon Mtg Pass-Through Trust 2000-H
Series 2000-H
Rating
------
Class CUSIP To From
----- ----- -- ----
I-B-1 32051DCJ9 AAA AAA/Watch Neg
II-B-1 32051DCN0 AAA AAA/Watch Neg
III-B-1 32051DCR1 AAA AAA/Watch Neg
IV-B-1 32051DCU4 AAA AAA/Watch Neg
V-B-1 32051DCX8 AAA AAA/Watch Neg
I-B-2 32051DCK6 AAA AAA/Watch Neg
II-B-2 32051DCP5 AAA AAA/Watch Neg
III-B-2 32051DCS9 AAA AAA/Watch Neg
IV-B-2 32051DCV2 AAA AAA/Watch Neg
V-B-2 32051DCY6 AAA AAA/Watch Neg
D-B-3 32051DCL4 A AAA/Watch Neg
GSR Mortgage Loan Trust 2004-13F
Series 2004-13F
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 36242DMC4 B BBB
B-3 36242DMD2 CCC B
B-4 36242DME0 CC CCC
MASTR Asset Securitization Trust 2003-1
Series 2003-1
Rating
------
Class CUSIP To From
----- ----- -- ----
2-A-4 55265KPY9 AAA AAA/Watch Neg
MASTR Asset Securitization Trust 2003-8
Series 2003-8
Rating
------
Class CUSIP To From
----- ----- -- ----
3-A-5 55265KK73 AAA AAA/Watch Neg
B-4 55265KN88 B BB
B-5 55265KN96 CCC B
MASTR Asset Securitization Trust 2004-9
Rating
------
Class CUSIP To From
----- ----- -- ----
30-B-4 57643MGS7 B BB
30-B-5 57643MGT5 CCC B
Prime Mortgage Trust 2003-1
Series 2003-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-11 74160MAL6 AAA AAA/Watch Neg
Prime Mortgage Trust 2004-CL1
Series 2004-CL1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 74160MEA6 B AA
B-2 74160MEB4 CCC BBB-
B-3 74160MEC2 CC CCC
Ryland Mortgage Securities Corp.
Series 1991-14
Rating
------
Class CUSIP To From
----- ----- -- ----
14-X 783766FX1 BBB+ AAA
14B-1 783766GG7 BBB+ AAA
Ryland Mortgage Securities Corp.
Series 1991-15
Rating
------
Class CUSIP To From
----- ----- -- ----
B 783766GV4 BBB+ AAA
Ryland Mortgage Securities Corp.
Series 1991-16
Rating
------
Class CUSIP To From
----- ----- -- ----
B 783766GY8 BBB+ AAA
I 783766GZ5 BBB+ AAA
Ryland Mortgage Securities Corp.
Series 1991-17
Rating
------
Class CUSIP To From
----- ----- -- ----
B 783766HB7 BBB+ AAA
Ryland Mortgage Securities Corp.
Series 1991-19
Rating
------
Class CUSIP To From
----- ----- -- ----
B 783766HF8 BBB+ AAA
Ryland Mortgage Securities Corp.
Series 1992- 4
Rating
------
Class CUSIP To From
----- ----- -- ----
B 783766JT6 BBB+ AA+
Ryland Mortgage Securities Corp.
Series 1992-1FBS
Rating
------
Class CUSIP To From
----- ----- -- ----
G 783766KJ6 BBB+ AAA
R 783766KM9 BBB+ AAA
RL 783766KN7 BBB+ AAA
M 783766KL1 BBB+ AAA
F 783766KK3 BBB+ AAA
SLH Mortgage Trust Series 1989-1
Series 1989- 1
Rating
------
Class CUSIP To From
----- ----- -- ----
H 863572AS2 BBB+ AAA
Z 863572AW3 BBB+ AAA
Structured Mortgage Asset Residential Trust Series 92-6
Series 1992- 6
Rating
------
Class CUSIP To From
----- ----- -- ----
BM 863573KN0 BBB+ AAA
BN 863573KP5 BBB+ AAA
BO 863573KQ3 BBB+ AAA
R-1 863573KT7 BBB+ AAA
G 863573KR1 BBB+ AAA
Structured Mortgage Asset Residential Trust Series 92-9
Series 1992-9
Rating
------
Class CUSIP To From
----- ----- -- ----
BX 863573NC1 BBB+ AAA
G 863573NJ6 BBB+ AAA
Structured Mortgage Asset Residential Trust, Series 91-1
Series 1991- 1
Rating
------
Class CUSIP To From
----- ----- -- ----
G 863573AH4 BBB+ AAA
H 863573AG6 BBB+ AAA
I 863573AU5 BBB+ AAA
J 863573AJ0 BBB+ AAA
K 863573AK7 BBB+ AAA
Structured Mortgage Asset Residential Trust, Series 91-5
Series 1991- 5
Rating
------
Class CUSIP To From
----- ----- -- ----
GA 863573CS8 BBB+ AAA
I 863573CR0 BBB+ AAA
R-1 863573CQ2 BBB+ AAA
G 863573CT6 BBB+ AAA
Structured Mortgage Asset Residential Trust, Series 91-7
Series 1991- 7
Rating
------
Class CUSIP To From
----- ----- -- ----
H 863573DY4 BB AAA
I 863573DU2 BB AAA
G 863573DZ1 BB AAA
Structured Mortgage Asset Residential Trust, Series 91-8
Series 1991- 8
Rating
------
Class CUSIP To From
----- ----- -- ----
E 863573EE7 BB AAA
F 863573EF4 BB AAA
G 863573EJ6 BB AAA
Structured Mortgage Asset Residential Trust, Series 92-1
Series 1992- 1
Rating
------
Class CUSIP To From
----- ----- -- ----
G 863573FG1 BBB+ AAA
Structured Mortgage Asset Residential Trust, Series 92-10
Series 1992-10
Rating
------
Class CUSIP To From
----- ----- -- ----
BH 863573NZ0 BBB+ AAA
BX 863573NX5 BBB+ AAA
BY 863573PA3 BBB+ AAA
G 863573PB1 BBB+ AAA
Structured Mortgage Asset Residential Trust, Series 92-2
Series 1992- 2
Rating
------
Class CUSIP To From
----- ----- -- ----
J 863573FL0 BBB+ AAA
I 863573FT3 BBB+ AAA
Structured Mortgage Asset Residential Trust, Series 92-3
Series 1992- 3
Rating
------
Class CUSIP To From
----- ----- -- ----
BI 863573GF2 BBB+ AAA
R 863573GH8 BBB+ AAA
Structured Mortgage Asset Residential Trust, Series 92-4
Series 1992- 4
Rating
------
Class CUSIP To From
----- ----- -- ----
BK 863573HA2 BBB+ AAA
BL 863573GY1 BBB+ AAA
R 863573HB0 BBB+ AAA
Structured Mortgage Asset Residential Trust, Series 92-5
Series 1992- 5
Rating
------
Class CUSIP To From
----- ----- -- ----
BP 863573JH5 BBB+ AAA
G 863573JL6 BBB+ AAA
Structured Mortgage Asset Residential Trust, Series 92-7
Series 1992- 7
Rating
------
Class CUSIP To From
----- ----- -- ----
BI 863573LC3 BBB+ AAA
BX 863573LF6 BBB+ AAA
Structured Mortgage Asset Residential Trust, Series 92-8
Series 1992- 8
Rating
------
Class CUSIP To From
----- ----- -- ----
BX 863573ML2 BBB+ AAA
BY 863573MM0 BBB+ AAA
G 863573MQ1 BBB+ AAA
BF 863573MK4 BBB+ AAA
Structured Mortgage Asset Residential Trust, Series 93-2
Series 1993- 2
Rating
------
Class CUSIP To From
----- ----- -- ----
BI 863573RX1 BBB+ AAA
BX 863573RY9 BBB+ AAA
BY 863573RZ6 BBB+ AAA
R-1 863573SB8 BBB+ AAA
G 863573QZ7 BBB+ AAA
Structured Mortgage Asset Residential Trust, Series 93-3
Series 1993- 3
Rating
------
Class CUSIP To From
----- ----- -- ----
CK 863573SP7 BBB+ AAA
CL 863573SQ5 BBB+ AAA
CX 863573SR3 BBB+ AAA
CY 863573SW2 BBB+ AAA
G 863573SC6 BBB+ AAA
Structured Mortgage Asset Residential Trust, Series 93-4
Series 1993- 4
Rating
------
Class CUSIP To From
----- ----- -- ----
AF 8635739A1 BBB+ AAA
AX 863573TC5 BBB+ AAA
AY 863573TB7 BBB+ AAA
R-1 863573TE1 BBB+ AAA
G 863573TG6 BBB+ AAA
Structured Mortgage Asset Residential Trust, Series 93-5
Series 1993- 5
Rating
------
Class CUSIP To From
----- ----- -- ----
CJ 863573TT8 BBB+ AAA
CX 863573TW1 BBB+ AAA
G 863573TH4 BBB+ AAA
Structured Mortgage Asset Residential Trust, Series 93-6
Series 1993- 6
Rating
------
Class CUSIP To From
----- ----- -- ----
BI 863573UJ8 BBB+ AAA
BX 863573UN9 BBB+ AAA
AA 863573UL3 BBB+ AAA
G 863573UA7 BBB+ AAA
Wells Fargo Mortgage Backed Securities 2004-1 Trust
Series 2004-1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-5 949814BZ9 CCC B
Wells Fargo Mortgage Backed Securities 2004-8 Trust
Series 2004-8
Rating
------
Class CUSIP To From
----- ----- -- ----
B-5 94980LAN0 CCC B
Ratings Affirmed
Banc of America Funding 2002-1 Trust
Series 2002-1
Class CUSIP Rating
----- ----- ------
A-1 06051GAA7 AAA
A-5 06051GAE9 AAA
A-WIO 06051GAG4 AAA
A-PO 06051GAH2 AAA
B-1 06051GAJ8 AAA
B-2 06051GAK5 AAA
B-3 06051GAL3 AAA
Banc of America Funding Corporation
Series 2000-1
Class CUSIP Rating
----- ----- ------
2A-2 05946XAV5 AAA
2A-WIO 05946XAW3 AAA
Charlie Mac Trust 2004-1
Series 2004-1
Class CUSIP Rating
----- ----- ------
A-1 160762AA8 AAA
A-2 160762AB6 AAA
A-3 160762AC4 AAA
A-4 160762AD2 AAA
A-5 160762AE0 AAA
A-6 160762AF7 AAA
A-7 160762AG5 AAA
A-8 160762AH3 AAA
A-9 160762AJ9 AAA
PO 160762AK6 AAA
B-1 160762AP5 AA
B-2 160762AQ3 A
B-3 160762AR1 BBB
B-4 160762AS9 BB
B-5 160762AT7 B
Charlie Mac Trust 2004-2
Series 2004-2
Class CUSIP Rating
----- ----- ------
A-1 160762AV2 AAA
A-2 160762AW0 AAA
A-3 160762AX8 AAA
A-R 160762BC3 AAA
B-1 160762AY6 AA
B-2 160762AZ3 A
B-3 160762BA7 BBB
L 160762BB5 AAA
Chase Mortgage Finance Trust Series 2003-S14
Series 2003-S14
Class CUSIP Rating
----- ----- ------
IA-1 16162WDM8 AAA
IA-2 16162WDN6 AAA
IA-3 16162WDP1 AAA
IA-4 16162WDQ9 AAA
IA-5 16162WDR7 AAA
IIA-1 16162WDS5 AAA
IIA-2 16162WDT3 AAA
IIA-3 16162WDU0 AAA
IIA-4 16162WDV8 AAA
IIA-5 16162WDW6 AAA
IIA-6 16162WDX4 AAA
IIA-7 16162WDY2 AAA
IIA-8 16162WDZ9 AAA
IIA-9 16162WEA3 AAA
IIA-10 16162WEB1 AAA
IIIA-1 16162WEC9 AAA
IIIA-2 16162WED7 AAA
IIIA-3 16162WEE5 AAA
IIIA-4 16162WEF2 AAA
IIIA-6 16162WEH8 AAA
IIIA-7 16162WEJ4 AAA
IIIA-8 16162WEK1 AAA
IIIA-9 16162WEL9 AAA
IIIA-10 16162WEM7 AAA
A-P 16162WEN5 AAA
A-X 16162WEP0 AAA
M 16162WER6 AA
B-1 16162WES4 A
B-2 16162WET2 BBB
Chase Mortgage Finance Trust, Series 2003-S15
Series 2003-S15
Class CUSIP Rating
----- ----- ------
IA-1 16162WFA2 AAA
IA-2 16162WFB0 AAA
IA-3 16162WFC8 AAA
IA-4 16162WFD6 AAA
IA-X 16162WFE4 AAA
IIA-2 16162WFG9 AAA
IIA-3 16162WFH7 AAA
IIA-4 16162WFJ3 AAA
IIA-5 16162WFK0 AAA
IIA-6 16162WFL8 AAA
IIA-7 16162WFM6 AAA
IIA-8 16162WFN4 AAA
IIA-9 16162WFP9 AAA
IIA-10 16162WFQ7 AAA
IIA-11 16162WFR5 AAA
IIA-12 16162WFS3 AAA
IIA-13 16162WFT1 AAA
IIA-14 16162WFU8 AAA
IIA-15 16162WFV6 AAA
IIA-16 16162WFW4 AAA
IIA-17 16162WFX2 AAA
IIA-18 16162WFY0 AAA
A-P 16162WFZ7 AAA
IIA-X 16162WGA1 AAA
M 16162WGC7 AA
B-1 16162WGD5 A-
B-2 16162WGE3 BBB-
B-3 16162WEX3 BB
Chase Mortgage Finance Trust, Series 2003-S2
Series 2003-S2
Class CUSIP Rating
----- ----- ------
A-1 16162T3Q7 AAA
A-2 16162T3R5 AAA
A-3 16162T3S3 AAA
A-4 16162T3T1 AAA
A-X 16162T3U8 AAA
A-P 16162T3V6 AAA
M 16162T3X2 AA+
B-1 16162T3Y0 AA
B-2 16162T3Z7 BBB+
B-3 16162T4A1 BB+
B-4 16162T4B9 B
Citicorp Mortgage Securities Inc.
Series 2003-1
Class CUSIP Rating
----- ----- ------
A-3A 172973GK9 AAA
A-4 172973GL7 AAA
A-65 172973JZ3 AAA
B-1 172973KB4 AAA
B-2 172973KC2 AA+
B-3 172973KD0 AA
Citicorp Mortgage Securities Inc.
Series 2003-3
Class CUSIP Rating
----- ----- ------
A-1 172973LV9 AAA
A-2 172973LW7 AAA
A-6 172973MA4 AAA
A-7 172973MB2 AAA
A-8 172973MC0 AAA
A-23 172973MT3 AAA
A-26 172973MW6 AAA
A-PO 172973NF2 AAA
Citicorp Mortgage Securities Inc.
Series 2003-11
Class CUSIP Rating
----- ----- ------
IA-1 172973TY5 AAA
IA-2 172973TZ2 AAA
IA-3 172973UA5 AAA
IA-4 172973UB3 AAA
IA-5 172973UC1 AAA
IA-6 172973UD9 AAA
IA-7 172973UE7 AAA
IA-8 172973UF4 AAA
IA-PO 172973UG2 AAA
IA-IO AAA
IIA-IO AAA
IIA-1 172973UH0 AAA
IIA-2 172973UJ6 AAA
IIA-3 172973UK3 AAA
IIA-4 172973UL1 AAA
IIA-5 172973UM9 AAA
IIA-6 172973UN7 AAA
IIA-7 172973UP2 AAA
IIA-9 172973UR8 AAA
IIA-10 172973US6 AAA
IIA-8 172973UQ0 AAA
IIA-12 172973UU1 AAA
IIA-13 172973UV9 AAA
IIA-14 172973UW7 AAA
GSR Mortgage Loan Trust 2004-13F
Series 2004-13F
Class CUSIP Rating
----- ----- ------
1A-1 36242DLQ4 AAA
2A-1 36242DLR2 AAA
2A-2 36242DLS0 AAA
3A-1 36242DLU5 AAA
3A-2 36242DLV3 AAA
3A-3 36242DLW1 AAA
4A-1 36242DLX9 AAA
4A-2 36242DLY7 AAA
A-X 36242DLZ4 AAA
A-P 36242DMA8 AAA
B-1 36242DMB6 AA
Guardian S&L Assn, Huntington Beach, CA
Series 1989- 7
Class CUSIP Rating
----- ----- ------
A 40145CAT2 BBB-
MASTR Asset Securitization Trust 2003-1
Series 2003-1
Class CUSIP Rating
----- ----- ------
1-A-1 55265KPU7 AAA
2-A-6 55265KQA0 AAA
2-A-8 55265KQC6 AAA
2-A-11 55265KQF9 AAA
2-A-12 55265KQG7 AAA
2-A-13 55265KQH5 AAA
2-A-14 55265KQJ1 AAA
2-A-15 55265KQK8 AAA
2-A-16 55265KQL6 AAA
2-A-17 55265KQM4 AAA
2-A-18 55265KQN2 AAA
2-A-20 55265KQQ5 AAA
3-A-1 55265KQT9 AAA
3-A-2 55265KQU6 AAA
3-A-4 55265KQW2 AAA
3-A-5 55265KQX0 AAA
3-A-6 55265KQY8 AAA
3-A-7 55265KQZ5 AAA
PO 55265KRA9 AAA
15-A-X 55265KRB7 AAA
30-A-X 55265KRC5 AAA
15-B-1 55265KRE1 AAA
15-B-2 55265KRF8 AA+
15-B-3 55265KRG6 A+
30-B-1 55265KRH4 AAA
30-B-2 55265KRJ0 AA+
30-B-3 55265KRK7 AA-
15-B-4 55265KPN3 BBB
15-B-5 55265KPP8 BB
30-B-4 55265KPR4 A-
30-B-5 55265KPS2 B+
MASTR Asset Securitization Trust 2003-8
Series 2003-8
Class CUSIP Rating
----- ----- ------
1-A-1 55265KJ91 AAA
2-A-1 55265KK24 AAA
3-A-1 55265KK32 AAA
3-A-2 55265KK40 AAA
3-A-3 55265KK57 AAA
3-A-4 55265KK65 AAA
3-A-6 55265KK81 AAA
3-A-7 55265KK99 AAA
3-A-8 55265KL23 AAA
3-A-9 55265KL31 AAA
3-A-10 55265KL49 AAA
3-A-11 55265KL56 AAA
3-A-12 55265KL64 AAA
3-A-13 55265KL72 AAA
4-A-1 55265KL80 AAA
4-A-2 55265KL98 AAA
5-A-1 55265KM22 AAA
5-A-2 55265KM30 AAA
6-A-1 55265KM48 AAA
7-A-1 55265KM55 AAA
8-A-1 55265KM63 AAA
15-PO 55265KM71 AAA
30-PO 55265KM89 AAA
PP-A-X 55265KM97 AAA
15-A-X 55265KN21 AAA
30-A-X 55265KN39 AAA
B-1 55265KN54 AA
B-2 55265KN62 A
B-3 55265KN70 BBB
MASTR Asset Securitization Trust 2004-9
Class CUSIP Rating
----- ----- ------
1-A-1 57643MFC3 AAA
2-A-1 57643MFD1 AAA
2-A-2 57643MFE9 AAA
2-A-3 57643MFF6 AAA
2-A-4 57643MFG4 AAA
3-A-1 57643MFH2 AAA
3-A-2 57643MFJ8 AAA
3-A-3 57643MFK5 AAA
3-A-4 57643MFL3 AAA
3-A-5 57643MFM1 AAA
3-A-6 57643MFN9 AAA
3-A-7 57643MFP4 AAA
4-A-1 57643MFQ2 AAA
5-A-1 57643MFR0 AAA
6-A-1 57643MFS8 AAA
7-A-1 57643MFT6 AAA
PO 57643MFU3 AAA
15-A-X 57643MFV1 AAA
30-A-X 57643MFW9 AAA
8-A-2 57643MGG3 AAA
15-B-1 57643MFZ2 AA
8-B-3 57643MGK4 BBB
30-B-3 57643MGE8 BBB-
15-B-4 57643MGP3 BB
8-B-4 57643MGL2 BB
8-B-5 57643MGM0 B
8-B-1 57643MGH1 AA
15-B-2 57643MGA6 A
8-B-2 57643MGJ7 A
15-B-3 57643MGB4 BBB
15-B-5 57643MGQ1 B
Mellon Residential Funding Corp.
Series 1998-2
Class CUSIP Rating
----- ----- ------
A-11 585525BM9 AAA
A-12 585525BN7 AAA
X-1 585525BG2 AAA
X-2 585525BH0 AAA
Prime Mortgage Trust 2003-1
Series 2003-1
Class CUSIP Rating
----- ----- ------
A-2 74160MAB8 AAA
A-3 74160MAC6 AAA
A-4 74160MAD4 AAA
A-5 74160MAE2 AAA
A-7 74160MAG7 AAA
A-8 74160MAH5 AAA
A-9 74160MAJ1 AAA
A-14 74160MAW2 AAA
A-15 74160MAX0 AAA
B-1 74160MAT9 AA+
B-2 74160MAU6 A+
B-3 74160MAV4 BBB
B-4 74160MAY8 BB
B-5 74160MAZ5 B
PO 74160MAP7 AAA
X 74160MAQ5 AAA
Prime Mortgage Trust 2004-CL1
Series 2004-CL1
Class CUSIP Rating
----- ----- ------
I-A-1 74160MDK5 AAA
I-A-2 74160MDL3 AAA
I-A-3 74160MDM1 AAA
I-A-4 74160MDN9 AAA
I-X 74160MDP4 AAA
I-PO 74160MDQ2 AAA
II-A-1 74160MDR0 AAA
II-A-2 74160MDS8 AAA
II-A-3 74160MDT6 AAA
II-X 74160MDU3 AAA
II-PO 74160MDV1 AAA
III-A-1 74160MDW9 AAA
Structured Asset Securities Corp.
Series 2002-AL1
Class CUSIP Rating
----- ----- ------
A1(B) 86358R9T3 AAA
A2(1) 86358RXY8 AAA
A2(2) 86358R9V9 AAA
A3(1) 86358RXZ5 AAA
A3(2) 86358R9X5 AAA
A3(3) 86358R9Y2 AAA
AIO(1) 86358RYA9 AAA
AIO(2) 86358ROA3 AAA
AIO(3) 86358ROB2 AAA
APO(1) 86358RYB7 AAA
APO(2) 86358ROD0 AAA
APO(3) 86358ROE9 AAA
B1 86358RYC5 AA
B2 86358RYD3 A
B3 86358RYE1 BBB
Structured Asset Securities Corp.
Series 2002-21A
Class CUSIP Rating
----- ----- ------
1-A1 86359ABP7 AAA
1-A3 86359ABR3 AAA
B1-I 86359ACA9 AA+
B1-I-X 86359ACB7 AA+
B2-I 86359ACG6 AA
B2-I-X 86359ACH4 AA
2-A1 86359ABS1 AAA
2-A2 86359ABT9 AAA
4-A1 86359ABW2 AAA
4-A2 86359ABX0 AAA
B1-II 86359ACC5 AA+
B2-II 86359ACD3 AA
B3 86359ACE1 A+
Structured Mortgage Asset Residential Trust, Series 92-1
Series 1992- 1
Class CUSIP Rating
----- ----- ------
BH 863573FC0 AAA
BI 863573FD8 AAA
Structured Mortgage Asset Residential Trust, Series 92-5
Series 1992- 5
Class CUSIP Rating
----- ----- ------
BN 863573JG7 AAA
BO 863573JK8 AAA
BQ 863573JJ1 AAA
Wells Fargo Mortgage Backed Securities 2002-18 Trust
Series 2002-18
Class CUSIP Rating
----- ----- ------
I-A-1 949784AA0 AAA
I-A-16 949784AR3 AAA
I-A-17 949784AS1 AAA
II-A-4 949784AY8 AAA
II-A-5 949784AZ5 AAA
II-A-18 949784BN1 AAA
II-A-WIO 949784BP6 AAA
A-PO 949784BQ4 AAA
B-1 949784BR2 AAA
B-2 949784BS0 AAA
B-3 949784BT8 AA+
Wells Fargo Mortgage Backed Securities 2004-1 Trust
Series 2004-1
Class CUSIP Rating
----- ----- ------
A-1 949814AA5 AAA
A-2 949814AB3 AAA
A-3 949814AC1 AAA
A-4 949814AD9 AAA
A-5 949814AE7 AAA
A-6 949814AF4 AAA
A-7 949814AG2 AAA
A-8 949814AH0 AAA
A-9 949814AJ6 AAA
A-10 949814AK3 AAA
A-11 949814AL1 AAA
A-12 949814AM9 AAA
A-13 949814AN7 AAA
A-14 949814AP2 AAA
A-15 949814AQ0 AAA
A-16 949814AR8 AAA
A-17 949814AS6 AAA
A-18 949814AT4 AAA
A-20 949814AV9 AAA
A-21 949814AW7 AAA
A-22 949814AX5 AAA
A-23 949814AY3 AAA
A-26 949814BB2 AAA
A-27 949814BC0 AAA
A-28 949814BD8 AAA
A-29 949814BE6 AAA
A-30 949814BF3 AAA
A-31 949814BG1 AAA
A-33 949814BJ5 AAA
A-34 949814BK2 AAA
A-35 949814BL0 AAA
A-36 949814BM8 AAA
A-37 949814BN6 AAA
A-39 949814BQ9 AAA
A-PO 949814BS5 AAA
A-WIO 949814CB1 AAA
B-1 949814BV8 AA
B-2 949814BW6 A
B-3 949814BX4 BBB
B-4 949814BY2 BB
Wells Fargo Mortgage Backed Securities 2004-8 Trust
Series 2004-8
Class CUSIP Rating
----- ----- ------
A-1 94980LAA8 AAA
A-2 94980LAB6 AAA
A-3 94980LAC4 AAA
A-4 94980LAD2 AAA
A-5 94980LAE0 AAA
A-6 94980LAF7 AAA
A-PO 94980LAG5 AAA
B-1 94980LAJ9 AA
B-2 94980LAK6 A
B-3 94980LAL4 BBB
B-4 94980LAM2 BB
* S&P Downgrades Ratings on 244 Classes from 27 RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 244
classes from 27 residential mortgage-backed securities
transactions backed by U.S. subprime and Alternative-A mortgage
loan collateral issued in 2005, 2006, and 2007. S&P removed 180
of the lowered ratings from CreditWatch with negative
implications. In addition, S&P affirmed 114 ratings from these
transactions as well as one additional deal and removed 74 of them
from CreditWatch negative.
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is insufficient
to cover losses at the previous rating levels. Although
cumulative losses were generally low in comparison to S&P's
projected lifetime losses for the transactions reviewed, S&P is
projecting an increase in losses due to increases in delinquencies
and the current negative condition of the housing market. Certain
senior classes also benefit from senior support classes that would
provide support, to a certain extent, before any applicable losses
could affect the super-senior certificates.
The loss projections for two transactions that have been revised
based on a forward-looking default curve are:
Original Loss
Transaction bal. (mil. $) projection (%)
----------- ------------- --------------
Deutsche Alt-A Securities
Mortgage Loan Trust Series 2007-OA2 447.7 27.30
Accredited Mortgage Loan Trust 2007-1 759.7 21.11
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover losses associated with these rating levels.
The downgrades, affirmations, and CreditWatch resolutions
incorporate S&P's current and projected losses based on the dollar
amounts of loans currently in the transactions' delinquency,
foreclosure, and real estate owned pipelines, as well as S&P's
projection of future defaults. S&P also incorporated cumulative
losses to date in S&P's analysis when assessing rating outcomes.
To maintain a 'AAA' rating, S&P consider 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 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 subprime or 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 S&P believes
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P think
appropriate.
Rating Actions
Accredited Mortgage Loan Trust 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 00438QAA2 AAA AAA/Watch Neg
A2 00438QAB0 AAA AAA/Watch Neg
A3 00438QAC8 AAA AAA/Watch Neg
A4 00438QAD6 AAA AAA/Watch Neg
M1 00438QAE4 A AA+/Watch Neg
M2 00438QAF1 BB AA+/Watch Neg
M3 00438QAG9 B+ AA/Watch Neg
M4 00438QAH7 B B/Watch Neg
Alternative Loan Trust 2006-19CB
Series 2006-19CB
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 02147QAA0 BB AAA/Watch Neg
A-2 02147QAB8 BB AAA/Watch Neg
A-3 02147QAC6 B AAA/Watch Neg
A-4 02147QAD4 B AAA/Watch Neg
A-5 02147QAE2 BB AAA/Watch Neg
A-6 02147QAF9 B AAA/Watch Neg
A-7 02147QAG7 B AAA/Watch Neg
A-8 02147QAH5 B AAA/Watch Neg
A-9 02147QAJ1 B AAA/Watch Neg
A-10 02147QAK8 B AAA/Watch Neg
A-11 02147QAL6 AAA AAA/Watch Neg
A-12 02147QAM4 B AAA/Watch Neg
A-13 02147QAN2 B AAA/Watch Neg
A-14 02147QAP7 BB AAA/Watch Neg
A-15 02147QAQ5 BB AAA/Watch Neg
A-16 02147QAR3 BB AAA/Watch Neg
A-17 02147QAS1 BB AAA/Watch Neg
A-18 02147QAT9 BB AAA/Watch Neg
A-19 02147QAU6 B AAA/Watch Neg
A-20 02147QAV4 B AAA/Watch Neg
A-21 02147QAW2 BB AAA/Watch Neg
A-22 02147QAX0 BB AAA/Watch Neg
A-23 02147QAY8 B AAA/Watch Neg
A-24 02147QAZ5 B AAA/Watch Neg
A-25 02147QBA9 B AAA/Watch Neg
A-26 02147QBB7 B AAA/Watch Neg
A-27 02147QBC5 B AAA/Watch Neg
A-28 02147QBD3 B AAA/Watch Neg
A-29 02147QBE1 B AAA/Watch Neg
A-30 02147QBF8 B AAA/Watch Neg
A-32 02147QBH4 B AAA/Watch Neg
A-33 02147QBJ0 B AAA/Watch Neg
X 02147QBK7 BB AAA
PO 02147QBL5 B AAA/Watch Neg
A-31 02147QBG6 CCC AA/Watch Neg
CHL Mortgage Pass-Through Trust 2006-3
Series 2006-3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-2 126694YK8 B AAA/Watch Neg
1-A-3 126694YL6 CCC A/Watch Neg
1-M-1 126694YU6 CC B/Watch Neg
1-M-2 126694YV4 CC CCC
1-M-3 126694YW2 CC CCC
2-A-2 126694YN2 AA- AAA/Watch Neg
2-A-3 126694YP7 B AAA/Watch Neg
2-M-1 126694ZB7 CCC BBB/Watch Neg
3-A-1 126694YQ5 AA AAA
3-A-2 126694YR3 CCC AA/Watch Neg
3-A-3 126694YS1 CCC BB/Watch Neg
3-M-1 126694ZJ0 CC CCC
3-M-2 126694ZK7 CC CCC
3-M-3 126694ZL5 CC CCC
3-M-6 126694ZP6 D CC
CIT Mortgage Loan Trust 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 12559QAA0 AAA AAA/Watch Neg
2-A-1 12559QAB8 AAA AAA/Watch Neg
2-A-2 12559QAC6 AAA AAA/Watch Neg
2-A-3 12559QAD4 AAA AAA/Watch Neg
1-M1 12559QAF9 AA+ AA+/Watch Neg
2-M1 12559QAG7 AA+ AA+/Watch Neg
1-M2 12559QAH5 AA AA/Watch Neg
2-M2 12559QAJ1 AA AA/Watch Neg
1-M3 12559QAK8 AA- AA-/Watch Neg
2-M3 12559QAL6 AA- AA-/Watch Neg
1-M4 12559QAM4 A+ A+/Watch Neg
2-M4 12559QAN2 A+ A+/Watch Neg
1-M5 12559QAP7 A A/Watch Neg
2-M5 12559QAQ5 A A/Watch Neg
1-M6 12559QAR3 BBB A-/Watch Neg
2-M6 12559QAS1 BBB A-/Watch Neg
B-1 12559QAT9 B BBB+/Watch Neg
B-2 12559QAU6 CCC BBB/Watch Neg
B-3 12559QAV4 CCC BBB-/Watch Neg
Citicorp Residential Mortgage Trust Series 2007-2
Series 2007-2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1a 17312HAA7 AAA AAA/Watch Neg
A-1b 17312HAT6 AAA AAA/Watch Neg
A-2 17312HAB5 AAA AAA/Watch Neg
A-3 17312HAC3 AAA AAA/Watch Neg
A-4 17312HAD1 AAA AAA/Watch Neg
A-5 17312HAE9 AAA AAA/Watch Neg
A-6 17312HAF6 AAA AAA/Watch Neg
M-1 17312HAG4 AA+ AA+/Watch Neg
M-2 17312HAH2 AA AA/Watch Neg
M-3 17312HAJ8 AA- AA-/Watch Neg
M-4 17312HAK5 A+ A+/Watch Neg
M-5 17312HAL3 A A/Watch Neg
M-6 17312HAM1 A- A-/Watch Neg
M-7 17312HAN9 BBB BBB/Watch Neg
M-8 17312HAP4 BBB- BBB-/Watch Neg
M-9 17312HAQ2 BB+ BB+/Watch Neg
Citigroup Mortgage Loan Trust 2006-HE2
Series 2006-HE2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 17309LAA3 AAA AAA/Watch Neg
A2-A 17309LAB1 AAA AAA/Watch Neg
2A-B 17309LAC9 AAA AAA/Watch Neg
A2-C 17309LAD7 AAA AAA/Watch Neg
A2-D 17309LAE5 AAA AAA/Watch Neg
M-1 17309LAF2 AA+ AA+/Watch Neg
M-2 17309LAG0 BBB A/Watch Neg
M-3 17309LAH8 BB BBB/Watch Neg
M-4 17309LAJ4 CCC BB/Watch Neg
M-5 17309LAK1 CCC B/Watch Neg
M-7 17309LAM7 CC CCC
M-8 17309LAN5 CC CCC
M-9 17309LAP0 CC CCC
M-10 17309LAQ8 CC CCC
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2006-OA1
Series 2006-OA1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 25150QAB3 BB AAA/Watch Neg
A-3 25150QAC1 CCC BBB/Watch Neg
M-1 25150QAD9 CC B/Watch Neg
M-2 25150QAE7 CC B-/Watch Neg
M-3 25150QAF4 CC CCC
M-4 25150QAG2 CC CCC
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA2
Series 2007-OA2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 25150UAA6 AAA AAA/Watch Neg
A-2 25150UAB4 B AAA/Watch Neg
A-3 25150UAC2 B- AAA/Watch Neg
M-1 25150UAD0 CCC AA+/Watch Neg
M-2 25150UAE8 CCC AA/Watch Neg
M-3 25150UAF5 CC AA-/Watch Neg
M-4 25150UAG3 CC A+/Watch Neg
M-5 25150UAH1 CC A+/Watch Neg
M-6 25150UAJ7 CC A-/Watch Neg
M-7 25150UAK4 CC BBB+/Watch Neg
M-8 25150UAL2 CC BBB/Watch Neg
M-9 25150UAM0 CC BB+/Watch Neg
Greenpoint Mortgage Funding Trust 2006-AR2
Series 2006-AR2
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-2 39538WGB8 A AA/Watch Neg
II-A-2 39538WGD4 A AA/Watch Neg
III-A-2 39538WGG7 CCC AAA/Watch Neg
III-A-3 39538WGH5 CCC BB/Watch Neg
IV-A-2 39538WGK8 CCC AAA/Watch Neg
IV-A-3 39538WGL6 CCC BB/Watch Neg
M-1 39538WGN2 CC CCC
M-2 39538WGP7 CC CCC
GreenPoint Mortgage Funding Trust Series 2007-AR2
Series 2007-AR2
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 39539LAA9 B AAA/Watch Neg
1-A2A 39539LAB7 BBB- AAA/Watch Neg
1-A2B 39539LAC5 B AAA/Watch Neg
1-A3 39539LAD3 B AAA/Watch Neg
1-A4A 39539LAE1 BB+ AAA
1-A4B 39539LAF8 BB AAA/Watch Neg
1-A4C 39539LAG6 B AAA/Watch Neg
1-M1 39539LAL5 CCC AA+/Watch Neg
1-M2 39539LAM3 CC AA/Watch Neg
2-A2 39539LAJ0 BBB AAA/Watch Neg
2-A3 39539LAK7 B AAA/Watch Neg
2-M1 39539LAV3 CCC AA+/Watch Neg
2-M2 39539LAW1 CCC AA/Watch Neg
2-M3 39539LAX9 CCC AA-/Watch Neg
2-M4 39539LAY7 CCC A+/Watch Neg
2-M5 39539LAZ4 CCC A/Watch Neg
2-M6 39539LBA8 CCC A-/Watch Neg
2-M7 39539LBB6 CC BBB/Watch Neg
HarborView Mortgage Loan Trust 2006-14
Series 2006-14
Rating
------
Class CUSIP To From
----- ----- -- ----
1A-1A 41162NAA5 CCC BB/Watch Neg
2A-1B 41162NAD9 BB AAA/Watch Neg
2A-1C 41162NAE7 A AAA/Watch Neg
2A-2C 41162NAH0 CCC BB/Watch Neg
B-1 41162NAJ6 CC B/Watch Neg
B-3 41162NAL1 CC CCC
B-4 41162NAM9 CC CCC
MASTR Asset Backed Securities Trust 2006-NC3
Series 2006-NC3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 55275RAA0 BB BBB/Watch Neg
A-2 55275RAB8 AAA AAA/Watch Neg
A-3 55275RAC6 AAA AAA/Watch Neg
A-4 55275RAD4 BB AA/Watch Neg
A-5 55275RAE2 BB BBB/Watch Neg
M-1 55275RAF9 CCC B/Watch Neg
M-3 55275RAH5 CC CCC
M-4 55275RAJ1 CC CCC
M-5 55275RAK8 CC CCC
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4
Series 2007-4
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 59025CAA8 CCC B/Watch Neg
2-A1 59025CAB6 AAA AAA/Watch Neg
2-A2 59025CAC4 B AA/Watch Neg
2-A3 59025CAD2 CCC B/Watch Neg
2-A4 59025CAE0 CCC B/Watch Neg
1-M2 59025CAH3 CC CCC
2-M2 59025CAJ9 CC CCC
1-M3 59025CAK6 CC CCC
2-M3 59025CAL4 CC CCC
M4 59025CAM2 CC CCC
M5 59025CAN0 CC CCC
M6 59025CAP5 CC CCC
B1 59025CAQ3 CC CCC
Morgan Stanley ABS Capital I Inc. Trust 2007-HE7
Series 2007-HE7
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 61756YAA1 BB AAA/Watch Neg
A-2a 61756YAB9 AAA AAA/Watch Neg
A-2b 61756YAC7 A AAA/Watch Neg
A-2c 61756YAD5 BB AAA/Watch Neg
M-1 61756YAE3 B+ AA+/Watch Neg
M-2 61756YAF0 CCC AA/Watch Neg
M-3 61756YAG8 CCC A+/Watch Neg
M-4 61756YAH6 CCC A/Watch Neg
M-5 61756YAJ2 CCC A-/Watch Neg
B-1 61756YAK9 CC BBB+/Watch Neg
B-2 61756YAL7 CC BBB/Watch Neg
B-3 61756YAM5 CC BBB-/Watch Neg
Morgan Stanley IXIS Real Estate Capital Trust 2006-1
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-fpt 61749QAA8 AAA AAA/Watch Neg
A-2 61749QAC4 AAA AAA/Watch Neg
A-3 61749QAD2 A AAA/Watch Neg
A-4 61749QAE0 BB AA/Watch Neg
M-1 61749QAF7 CCC B/Watch Neg
M-2 61749QAG5 CCC B-/Watch Neg
M-3 61749QAH3 CC CCC
M-4 61749QAJ9 CC CCC
M-5 61749QAK6 D CC
New Century Home Equity Loan Trust 2006-1
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 64352VQP9 AAA AAA/Watch Neg
A-2b 64352VQR5 AAA AAA/Watch Neg
A-2c 64352VQS3 AAA AAA/Watch Neg
M-1 64352VQT1 AA+ AA+/Watch Neg
M-2 64352VQU8 BBB BBB/Watch Neg
M-3 64352VQV6 BB BB/Watch Neg
M-6 64352VQY0 CC CCC
M-7 64352VQZ7 CC CCC
M-8 64352VRA1 D CCC
Option One Mortgage Loan Trust 2006-3
Series 2006-3
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 68389BAN3 CCC B/Watch Neg
II-A-1 68389BAA1 AAA AAA/Watch Neg
II-A-2 68389BAB9 BBB- AAA/Watch Neg
II-A-3 68389BAC7 CCC BB/Watch Neg
II-A-4 68389BAP8 CCC B/Watch Neg
M-1 68389BAD5 CC CCC
M-2 68389BAE3 CC CCC
M-3 68389BAF0 CC CCC
M-4 68389BAG8 CC CCC
RAMP Series 2006-NC3 Trust
Series 2006-NC3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 76112B4M9 BBB AAA/Watch Neg
A-3 76112B4N7 B AA/Watch Neg
M-1 76112B4P2 CCC BBB/Watch Neg
M-2 76112B4Q0 CCC B-/Watch Neg
RASC Series 2006-KS4 Trust
Series 2006-KS4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 75406EAB7 AAA AAA/Watch Neg
A-3 75406EAC5 AAA AAA/Watch Neg
A-4 75406EAD3 AAA AAA/Watch Neg
M-1 75406EAE1 AA+ AA+/Watch Neg
M-2 75406EAF8 A AA+/Watch Neg
M-3 75406EAG6 BB A/Watch Neg
M-4 75406EAH4 B BB/Watch Neg
M-5 75406EAJ0 CCC B/Watch Neg
M-6 75406EAK7 CC CCC
M-7 75406EAL5 CC CCC
RASC Series 2007-KS1 Trust
Series 2007-KS1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 74924SAA4 AAA AAA/Watch Neg
A-2 74924SAB2 AAA AAA/Watch Neg
A-3 74924SAC0 AAA AAA/Watch Neg
A-4 74924SAD8 AAA AAA/Watch Neg
M-1S 74924SAE6 A A+/Watch Neg
M-2S 74924SAF3 B BB/Watch Neg
M-3S 74924SAG1 CCC B+/Watch Neg
M-4 74924SAH9 CCC B/Watch Neg
M-6 74924SAK2 CC CCC
M-7 74924SAL0 CC CCC
RASC Series 2007-KS4 Trust
Series 2007-KS4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 74924NAA5 AAA AAA/Watch Neg
A-2 74924NAB3 AA AAA/Watch Neg
A-3 74924NAC1 BBB+ AA/Watch Neg
A-4 74924NAD9 BBB A/Watch Neg
M-1S 74924NAE7 B BB/Watch Neg
M-2S 74924NAF4 CCC B/Watch Neg
M-5 74924NAJ6 CC CCC
M-6 74924NAK3 CC CCC
M-7 74924NAL1 CC CCC
M-8 74924NAM9 CC CCC
M-9 74924NAN7 D CCC
Saxon Asset Securities Trust 2007-2
Series 2007-2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 80556YAA3 B BB/Watch Neg
A-2a 80556YAB1 AAA AAA/Watch Neg
A-2b 80556YAC9 A AAA/Watch Neg
A-2c 80556YAD7 BB- BBB/Watch Neg
A-2d 80556YAE5 B BB/Watch Neg
M-1 80556YAF2 CCC B/Watch Neg
M-2 80556YAG0 CCC B-/Watch Neg
M-5 80556YAK1 CC CCC
M-6 80556YAL9 CC CCC
B-1 80556YAM7 CC CCC
Soundview Home Loan Trust 2006-EQ1
Series 2006-EQ1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 83612JAB0 AAA AAA/Watch Neg
A-3 83612JAC8 BBB+ AAA/Watch Neg
A-4 83612JAD6 BBB- AAA/Watch Neg
M-1 83612JAE4 B AA+/Watch Neg
M-2 83612JAF1 CCC AA/Watch Neg
M-3 83612JAG9 CCC A/Watch Neg
M-4 83612JAH7 CCC BBB/Watch Neg
M-5 83612JAJ3 CCC BB/Watch Neg
M-6 83612JAK0 CCC B/Watch Neg
M-7 83612JAL8 CC CCC
M-8 83612JAM6 CC CCC
M-9 83612JAN4 CC CCC
Soundview Home Loan Trust 2006-OPT4
Series 2006-OPT4
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 83611YAA0 A AAA/Watch Neg
II-A-2 83611YAC6 AAA AAA/Watch Neg
II-A-3 83611YAD4 AA AAA/Watch Neg
II-A-4 83611YAE2 A AAA/Watch Neg
M-1 83611YAF9 B BBB/Watch Neg
M-2 83611YAG7 CCC B/Watch Neg
M-4 83611YAJ1 CC CCC
Structured Adjustable Rate Mortgage Loan Trust Series 2005-19XS
Series 2005 19XS
Rating
------
Class CUSIP To From
----- ----- -- ----
1-AA 863579YS1 AAA AAA/Watch Neg
1-AB 863579ZD3 AAA AAA/Watch Neg
1-A-3 863579YT9 A AAA/Watch Neg
M1-I 863579YX0 CCC AA/Watch Neg
M2-I 863579YY8 CC A/Watch Neg
M3-I 863579YZ5 CC BBB/Watch Neg
2-A3 863579YW2 AAA AAA/Watch Neg
Structured Asset Mortgage Investments II Trust 2006-AR6
Series 2006-AR6
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-2 86360UAB2 B AAA/Watch Neg
1-A-3 86360UAC0 B+ AAA/Watch Neg
I-A-4 86360UAD8 B AAA/Watch Neg
1-A-5 86360UAE6 CCC AA/Watch Neg
II-A-2 86360UAG1 B AAA/Watch Neg
II-A-3 86360UAH9 CCC AA/Watch Neg
B-1 86360UAK2 CC BBB/Watch Neg
B-2 86360UAL0 CC B+/Watch Neg
B-3 86360UAM8 CC B/Watch Neg
B-4 86360UAN6 CC CCC
B-5 86360UAP1 CC CCC
B-6 86360UAQ9 CC CCC
Structured Asset Securities Corporation Mortgage Loan
Trust 2006-BC2
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 86361GAA4 CCC BBB/Watch Neg
A2 86361GAB2 AAA AAA/Watch Neg
A3 86361GAC0 BBB+ AA/Watch Neg
A4 86361GAD8 CCC BBB/Watch Neg
M1 86361GAE6 CCC B-/Watch Neg
M2 86361GAF3 CC CCC
M3 86361GAG1 CC CCC
Structured Asset Securities Corporation Mortgage Loan
Trust 2006-BC3
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 86359PAA8 B BBB/Watch Neg
A2 86359PAB6 AAA AAA/Watch Neg
A3 86359PAC4 A A/Watch Neg
A4 86359PAD2 B BBB/Watch Neg
M1 86359PAE0 CCC B/Watch Neg
M2 86359PAF7 CC B-/Watch Neg
M3 86359PAG5 CC CCC
M4 86359PAH3 CC CCC
M6 86359PAK6 D CC
Ratings Affirmed
Accredited Mortgage Loan Trust 2007-1
Series 2007-1
Class CUSIP Rating
----- ----- ------
M5 00438QAJ3 CCC
M6 00438QAK0 CCC
M7 00438QAL8 CCC
M8 00438QAM6 CCC
M9 00438QAN4 CCC
CHL Mortgage Pass-Through Trust 2006-3
Series 2006-3
Class CUSIP Rating
----- ----- ------
1-A-1 126694YJ1 AAA
2-A-1 126694YM4 AAA
Citigroup Mortgage Loan Trust 2006-HE2
Series 2006-HE2
Class CUSIP Rating
----- ----- ------
M-6 17309LAL9 CCC
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2006-OA1
Class CUSIP Rating
----- ----- ------
A-1 25150QAA5 AAA
Greenpoint Mortgage Funding Trust 2006-AR2
Series 2006-AR2
Class CUSIP Rating
----- ----- ------
I-A-1 39538WGA0 AAA
II-A-1 39538WGC6 AAA
II-X 39538WGE2 AAA
III-A-1 39538WGF9 AAA
IV-A-1 39538WGJ1 AAA
IV-X 39538WGM4 AAA
GreenPoint Mortgage Funding Trust Series 2007-AR2
Series 2007-AR2
Class CUSIP Rating
----- ----- ------
1-AP 39539LBD2 AAA
2-A1 39539LAH4 AAA
2-AP 39539LBE0 AAA
HarborView Mortgage Loan Trust 2006-14
Series 2006-14
Class CUSIP Rating
----- ----- ------
2A-1A 41162NAC1 AAA
MASTR Asset Backed Securities Trust 2006-NC3
Series 2006-NC3
Class CUSIP Rating
----- ----- ------
M-2 55275RAG7 CCC
Merrill Lynch First Franklin Mortgage Loan Trust
Series 2007-4
Class CUSIP Rating
----- ----- ------
1-M1 59025CAF7 CCC
2-M1 59025CAG5 CCC
New Century Home Equity Loan Trust 2006-1
Series 2006-1
Class CUSIP Rating
----- ----- ------
M-4 64352VQW4 CCC
M-5 64352VQX2 CCC
RAMP Series 2006-NC3 Trust
Series 2006-NC3
Class CUSIP Rating
----- ----- ------
M-3 76112B4R8 CCC
M-4 76112B4S6 CCC
M-5 76112B4T4 CCC
M-6 76112B4U1 CCC
RASC Series 2007-KS1 Trust
Series 2007-KS1
Class CUSIP Rating
----- ----- ------
M-5 74924SAJ5 CCC
RASC Series 2007-KS4 Trust
Series 2007-KS4
Class CUSIP Rating
----- ----- ------
M-3S 74924NAG2 CCC
M-4 74924NAH0 CCC
Saxon Asset Securities Trust 2007-2
Series 2007-2
Class CUSIP Rating
----- ----- ------
M-3 80556YAH8 CCC
M-4 80556YAJ4 CCC
Soundview Home Loan Trust 2006-OPT4
Series 2006-OPT4
Class CUSIP Rating
----- ----- ------
M-3 83611YAH5 CCC
Structured Adjustable Rate Mortgage Loan Trust Series 2005-19XS
Series 2005 19XS
Class CUSIP Rating
----- ----- ------
1-A1 863579YR3 AAA
2-A-1 863579YU6 AAA
2-A2 863579YV4 AAA
Structured Asset Mortgage Investments II Trust 2006-AR6
Series 2006-AR6
Class CUSIP Rating
----- ----- ------
I-A-1 86360UAA4 AAA
II-A-1 86360UAF3 AAA
II-X 86360UAJ5 AAA
* S&P Downgrades Ratings on 272 Classes of Certificates to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D' on
272 classes of mortgage pass-through certificates from 266 U.S.
subprime residential mortgage-backed securities transactions from
various issuers. S&P removed four of the lowered ratings from
CreditWatch with negative implications. In addition, 50 other
ratings remain on CreditWatch with negative implications and S&P
placed two additional ratings on CreditWatch negative (see list).
The downgrades reflect S&P's assessment of principal write-downs
on the affected classes during recent remittance periods. S&P
lowered approximately 97.80% of the ratings on the 272 defaulted
classes from the 'CCC' or 'CC' rating categories, and S&P lowered
99.63% of the ratings from other speculative-grade categories.
S&P expects to resolve the CreditWatch placements affecting these
transactions after S&P completes its reviews of the underlying
credit enhancement. Standard & Poor's will continue to monitor
its ratings on securities that experience principal write-downs
and adjust the ratings as S&P deem appropriate.
* S&P Downgrades Ratings on Classes of Notes by Various Issuers
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes from Merrill Lynch Mortgage Investors Trust Series MLCC
2006-1, 10 classes from Sequoia Mortgage Trust 2007-2, and six
classes from Structured Asset Securities Corp. Trust 2005-6.
S&P removed 16 of the lowered ratings from CreditWatch with
negative implications. In addition, S&P affirmed the ratings on 47
classes from the same transactions and removed 46 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.
S&P's default curve for U.S. prime jumbo RMBS is a key component
of S&P's loss projection analysis of U.S. RMBS transactions.
These articles describe how S&P uses its loss curve forecasting
methodology and how S&P incorporate each transaction's current
delinquency (including 60- and 90-day delinquencies), default, and
loss trends. S&P is currently assuming a 35% loss severity on
prime jumbo collateral originated in 2005 and a 40% loss severity
on prime jumbo collateral originated in 2006 and 2007.
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 collateral 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
Merrill Lynch Mortgage Investors Trust Series MLCC 2006-1
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A 59020U4R3 AAA AAA/Watch Neg
II-A-1 59020U4S1 AAA AAA/Watch Neg
II-A-2 59020U4T9 AAA AAA/Watch Neg
M-1 59020U4U6 BB AA/Watch Neg
M-2 59020U4V4 CCC BBB/Watch Neg
M-3 59020U5A9 CCC B/Watch Neg
B-2 59020U4X0 CC CCC
Sequoia Mortgage Trust 2007-2
Series 2007-2
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 81744LAA2 BB A/Watch Neg
1-A2 81744LAZ7 AAA AAA/Watch Neg
1-A3 81744LBA1 BB A/Watch Neg
1-XA 81744LAC8 AAA AAA/Watch Neg
1-XB 81744LAD6 B BBB/Watch Neg
1-B1 81744LAE4 B BBB/Watch Neg
1-B2 81744LAF1 CCC BB/Watch Neg
1-B3 81744LAG9 CC CCC
2A-A1 81744LAL8 CCC BB/Watch Neg
2B-A1 81744LAN4 CCC BB/Watch Neg
2-B1 81744LAR5 CC CCC
2-B2 81744LAS3 CC CCC
Structured Asset Securities Corporation Trust 2005-6
Series 2005-6
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 863576BB9 AAA AAA/Watch Neg
1-A2 863576BC7 AAA AAA/Watch Neg
1-A3 863576BD5 AAA AAA/Watch Neg
1-A4 863576BE3 AAA AAA/Watch Neg
2-A1 863576BF0 AAA AAA/Watch Neg
2-A2 863576BG8 AAA AAA/Watch Neg
2-A3 863576BH6 AAA AAA/Watch Neg
2-A4 863576BJ2 AAA AAA/Watch Neg
2-A5 863576BK9 AAA AAA/Watch Neg
2-A6 863576BL7 AAA AAA/Watch Neg
2-A7 863576BM5 AAA AAA/Watch Neg
2-A8 863576BN3 AAA AAA/Watch Neg
2-A9 863576BP8 AAA AAA/Watch Neg
2-A10 863576BQ6 AAA AAA/Watch Neg
2-A12 863576BS2 AAA AAA/Watch Neg
2-A13 863576BT0 AAA AAA/Watch Neg
2-A14 863576BU7 AAA AAA/Watch Neg
2-A15 863576BV5 AAA AAA/Watch Neg
2-A16 863576BW3 AAA AAA/Watch Neg
2-A17 863576BX1 AAA AAA/Watch Neg
2-A18 863576BY9 AAA AAA/Watch Neg
2-A19 863576BZ6 AAA AAA/Watch Neg
2-A20 863576CA0 AAA AAA/Watch Neg
2-A21 863576CB8 AAA AAA/Watch Neg
3-A1 863576CC6 AAA AAA/Watch Neg
3-A2 863576CD4 AAA AAA/Watch Neg
4-A1 863576CE2 AAA AAA/Watch Neg
5A-1 863576CF9 AAA AAA/Watch Neg
5A-2 863576CG7 AAA AAA/Watch Neg
5A-3 863576CH5 AAA AAA/Watch Neg
5A-4 863576CJ1 AAA AAA/Watch Neg
5A-5 863576CK8 AAA AAA/Watch Neg
5A-6 863576CL6 AAA AAA/Watch Neg
5A-7 863576CM4 AAA AAA/Watch Neg
5A-8 863576CN2 AAA AAA/Watch Neg
5A-9 863576CP7 AAA AAA/Watch Neg
5A-10 863576CQ5 AAA AAA/Watch Neg
5A-11 863576CR3 AAA AAA/Watch Neg
AP 863576CS1 AAA AAA/Watch Neg
AX 863576CT9 AAA AAA/Watch Neg
PAX 863576CU6 AAA AAA/Watch Neg
B1 863576CV4 BBB AA/Watch Neg
B2 863576CW2 B A/Watch Neg
B3 863576CX0 CCC BBB/Watch Neg
B4 863576CY8 CCC BBB-/Watch Neg
B5 86359DBC0 CCC BB/Watch Neg
B6 86359DBD8 CC B/Watch Neg
Ratings Affirmed
Merrill Lynch Mortgage Investors Trust Series MLCC 2006-1
Series 2006-1
Class CUSIP Rating
----- ----- ------
B-1 59020U4W2 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
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are $25 each. For subscription information, contact Christopher
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*** End of Transmission ***