/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/090503.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, May 3, 2009, Vol. 13, No. 121 Headlines ABACUS 2006-11: S&P Downgrades Ratings on Class C Notes to 'D' ACADEMICA CHARTER: S&P Withdraws 'BB' Rating on 2004-A Bonds ALON REFINING: S&P Raises Corporate Credit Rating to 'B' APPLETON PAPERS: Moody's Confirms 'B2' Corporate Family Rating ARBOR REALTY: Moody's Downgrades Ratings on Four 2004-1 Notes BAC CAPITAL: Moody's Downgrades Ratings on Securities to 'Ba3' BANC OF AMERICA: Fitch Downgrades Ratings on 2003-2 Certificates BEAR STEARNS: Fitch Affirms Ratings on 2004-PWR3 Certificates BEAR STEARNS: Moody's Downgrades Ratings on 89 Tranches BERNOULLI HIGH: Moody's Cuts Rating on $750 Mil. Notes to 'C' BIRMINGHAM-JEFFERSON CIVIC: Moody's Raises Bond Ratings from 'B3' BLUE HERON: Fitch Junks Ratings on Two Classes of Notes BLUE HERON: Fitch Junks Rating on Class A-1 and A-2 Notes BRANDYWINE REALTY: Fitch Cuts Credit Ratings; Affirms 'BB+' Rating BROADRIDGE FINANCIAL: S&P Raises Counterparty Rating from 'BB+/B' BUCHANAN SPC: S&P Downgrades Ratings on Three Classes to 'D' C-BASS SERIES: Moody's Downgrades Ratings on 56 Tranches CABCO TRUST: S&P Downgrades Rating on $52.65 Mil. Certs. to 'BB' CANADIAN REVOLVING: Moody's Takes Rating Actions on Various Notes CHASE MORTGAGE: Moody's Downgrades Ratings on 147 Tranches CHRYSLER CANADA: DBRS Keeps Lease and Loan Securitizations Ratings CHRYSLER FINANCIAL: Moody's Takes Rating Actions on Dealer Notes CHRYSLER FINANCIAL: Moody's Reviews Ratings on Five Tranches CHRYSLER FINANCIAL: Moody's Downgrades Ratings on Two Classes CHRYSLER FINANCIAL: DBRS Puts Ratings on 2 Deals Under Review CIFC FUNDING: No Rating Action on 2006-I Notes From Moody's CIFC FUNDING: No Rating Actions on 2006-II Notes From Moody's CIFC FUNDING: No Rating Action on 2006-I B Notes From Moody's CITIGROUP MORTGAGE: DBRS Junks Ratings on 5 Re-REMIC 2009-4 Certs. CLEARWATER FUNDING: Moody's Junks Ratings on Two 2001-A Notes COMM 2005-C6: Moody's Affirms Ratings on 10 Classes of Certs. CORDS 2004-4: Moody's Junks Ratings on Class IV Units from 'Ba2' CORIOLANUS LIMITED: Moody's Cuts Rating on $125 Mil. Notes to 'C' CORTS TRUST: S&P Cuts Rating on $100 Mil. Certificates to 'BB' COUNTRYWIDE HOME: Moody's Downgrades Ratings on 42 Tranches CRESS 2008-1: Moody's Downgrades Ratings on Five Classes of Notes CW CAPITAL: Moody's Downgrades Ratings on 11 Classes of Notes CWABS INC: Moody's Downgrades Ratings on 145 Securities DALTON CDO: Fitch Downgrades Ratings on Six Classes of Notes DLJ COMMERCIAL: Fitch Affirms Ratings on 1999-CG1 Certificates DPL CAPITAL: S&P Raises Ratings on 2002-1 SAT Units to 'BB+' DPL CAPITAL: S&P Raises Ratings on 2002-3 SAT Units from 'BB+' EMERALD INVESTMENT: Moody's Junks Ratings on $30 Mil. Notes EQUIFIRST MORTGAGE: Moody's Downgrades Rating on 15 Securities FINANCIAL GUARANTY: S&P Withdraws Ratings on Three Note Issues FLORIDA DEVELOPMENT: S&P Puts Neg Outlook on 'BB-' Bond Rating FOLEY SQUARE: Moody's Downgrades Ratings on 2007-1 Notes FORD MOTOR: S&P Affirms 'CCC-' Rating on $59MM Corp. Backed Certs. GMAC COMMERCIAL: Fitch Puts Ratings on 2004-C3 Notes on Neg. Watch GS MORTGAGE: Moody's Affirms Ratings on 20 2005-GG4 Certificates HAMPDEN CBO: Moody's Downgrades Ratings on Various Classes HEARTLAND FUNDING: S&P Downgrades Ratings on Various Notes to 'D' HEWETT'S ISLAND: No Rating Action on CLO III Notes From Moody's I-PREFERRED: A.M. Best Junks Rating on $6.2MM Class D Notes INDEPENDENCE II: Fitch Cuts Rating on Class B Notes to 'CC' INFINITI SPC: S&P Downgrades Ratings on Three Notes to 'D' INMAN SQUARE: Moody's Downgrades Rating on Class I to 'B2' JC PENNEY: S&P Downgrades Ratings on 2007-1 SAT Units to 'BB' JC PENNEY: S&P Cuts Rating on 2007-1 Corp. Backed Certs. to 'BB' JC PENNEY: S&P Cuts Ratings on 2006-1 Corp. Backed Certs. to 'BB' JEFFERSON COUNTY: Failure to Make Payments Cue Moody's Junk Rating JP MORGAN: Fitch Downgrades Ratings on 2004-PNC1 Certificates JP MORGAN: Fitch Downgrades Ratings on 2007-FL1 Certificates KENT HOSPITAL: S&P Downgrades Rating on $135 Mil. Bonds to 'BB+' KLEROS PREFERRED: Fitch Junks Rating on Two Classes of Notes KLEROS PREFERRED: Fitch Junks Ratings on Four Classes of Notes LAS VEGAS MONORAIL: Moody's Cuts Ratings on $439MM Bonds to 'Caa2' LSP BATESVILLE: S&P Puts 'B' Rating on $246.2 Mil. Senior Bonds LUBBOCK HOUSING: Moody's Affirms 'Ba3' Rating on Refunding Bonds MESA WEST: Moody's Downgrades Ratings on 10 2007-1 Notes MERRILL LYNCH: Moody's Downgrades Ratings on 15 Securities MEZZ CAP: Fitch Downgrades Ratings on 2005-C3 Certificates MORGAN STANLEY: Fitch Affirms Ratings on 2005-TOP19 Notes MORGAN STANLEY: Fitch Affirms Rating on 2000-LIFE2 Certificates MORGAN STANLEY: Moody's Downgrades Ratings on 94 Tranches MORGAN STANLEY: Moody's Downgrades Ratings on Three Tranches MORGAN STANLEY: S&P Junks Rating on $3 Mil. Class A-9 Notes MORGAN STANLEY: S&P Cuts Rating on $3 Mil. Class A-5 Notes to 'D' OCEANVIEW CBO: Moody's Downgrades Ratings on Two Classes to 'Ca' PARCS MASTER: S&P Downgrades Ratings on 2007-24 Notes to 'D' PNC MORTGAGE: Fitch Downgrades Ratings on 2000-C1 Certificates PNC MORTGAGE: Fitch Downgrades Ratings on 1999-CM1 Certificates PURSUIT RESECURITIZATION: Moody's Cuts Rating on 2006-1 Notes RAFFLES PLACE: S&P Downgrades Ratings on Three Notes to 'CC' RAMP SERIES: Moody's Downgrades Ratings on 57 RAMP-RZ RMBS Deals RESTRUCTURED ASSET: Moody's Junks Ratings on 2003-1 Certificates RESTRUCTURED ASSET: Moody's Junks Rating on 2003-2EP Certificates REVELSTOKE CDO: DBRS Junks Rating on Class A-1 Notes RICHMOND REDEVELOPMENT: Moody's Affirms 'Ba3' Rating on Bonds RUTLAND RATED: Moody's Downgrades Ratings on Notes to 'C' SALOMON BROTHERS: Moody's Affirms Ratings on 13 2002-KEY2 Notes SANDELMAN REALTY: Moody's Downgrades Ratings on 12 Classes SASCO 2008-C2: Moody's Junks Rating on $1,639,621,398 Notes SATURNS TRUST: S&P Raises Ratings on 2002-4 Units from 'BB+' SIGNATURE 5: Moody's Has Not Taken Rating Actions on Notes SOUNDVIEW HOME: Moody's Downgrades Rating on 14 Securities TANEY COUNTY: S&P Downgrades Rating on $40.63 Mil. Bonds to 'BB' TRADEWINDS II: Moody's Junks Rating on Class A 2006-1 Notes TRANSFERABLE CUSTODIAL: Moody's Lifts Rating on Receipts from Ba3 TRUST CERTIFICATES: S&P Raises Rating on $32 Mil. Certs. to 'CCC-' UBS 2007-FL1: Fitch Downgrades Ratings on Various Classes of Notes WACHOVIA BANK: Fitch Downgrades Ratings on 2007-WHALE 8 Certs. WASHINGTON MUTUAL: Moody's Affirms Ratings on 2003-C1 Notes WELLS FARGO: Moody's Downgrades Rating on Securities to 'B2' WELLS FARGO: Moody's Downgrades Ratings on 94 Tranches WILMINGTON TRUST: Moody's Cuts Multiple Shelf Rating to 'Ba1' WINGS CBO: Moody's Downgrades Rating on 2004-2 Notes to 'Ca' * Fitch Downgrades Ratings on 84 Classes from Action Rate Reviews * Fitch Releases Results on Rating Review of Student Loan ABS * Moody's Downgrades Rating on 19 Combination Note Securities * Moody's Downgrades Ratings on 94 Notes by 23 CDO Transactions * Moody's Downgrades Ratings on 122 Notes by 41 CDO Transactions * Moody's Downgrades Ratings on 99 Notes by 38 CDO Transactions * Moody's Downgrades Ratings on 126 Notes by 42 CDO Transactions * S&P Downgrades Ratings on Four Classes of Mortgage Certs. to 'D' * S&P Downgrades Ratings on Nine Classes of Mortgage Certs. to 'D' * S&P Downgrades Ratings on 75 Classes from Seven Alt-A RMBS * S&P Downgrades Ratings on 39 Tranches from 10 Hybrid CDOs * S&P Downgrades Ratings on 67 Tranches from 19 Hybrid CDO Deals * S&P Downgrades Ratings on 329 Classes from 303 Alt-A RMBS to 'D' * S&P Downgrades Ratings on 39 Classes from 35 Prime RMBS Deals * S&P Downgrades Ratings on 17 Classes from 16 Closed-End RMBS * S&P Downgrades Ratings on 151 Classes from 17 RMBS Transactions ********* ABACUS 2006-11: S&P Downgrades Ratings on Class C Notes to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class C notes issued by ABACUS 2006-11 Ltd. to 'D' from 'CCC-'. The lowered rating follows a number of recent write-downs of underlying reference entities, which has caused the class C notes to incur a partial principal loss. Rating Lowered ABACUS 2006-11 Ltd. Rating ------ Class To From ----- -- ---- C D CCC- Other Outstanding Ratings ABACUS 2006-11 Ltd. Class Rating ----- ------ A CCC- A-2 ser1 CCC- A-2 ser2 CCC- B CCC- B ser2 CCC- D D ACADEMICA CHARTER: S&P Withdraws 'BB' Rating on 2004-A Bonds ------------------------------------------------------------ Standard & Poor's Rating Services has withdrawn its 'BB' rating on Academica Charter Schools Finance LLC, Florida's mortgage loan revenue bonds series 2004A due to a lack of information on the issuer required to maintain a rating. ALON REFINING: S&P Raises Corporate Credit Rating to 'B' -------------------------------------------------------- Standard & Poor's Ratings Services raised the corporate credit rating on refining and marketing company Alon Refining Krotz Springs Inc. to 'B' from 'B-'. At the same time, S&P revised the CreditWatch listing to positive implications from negative. Additionally, S&P raised the senior secured rating on Krotz Springs' $302 million term loan to 'B+' from 'B'. The recovery rating of '2' on the loan remains unchanged. The rating actions reflect much improved debt leverage and liquidity levels following the announcement that Krotz Springs monetized hedges on heating oil for total proceeds of about $185 million including the release of $50 million cash collateral. Proceeds reduced debt levels by almost half ($185 million), and the company should be well within its amended financial covenants. Proceeds were used to repay outstanding debt on its $302 million term loan (about $135 million) and credit facility (about $50 million). Additionally, liquidity will further improve thanks to revised crude oil purchasing terms that will allow Krotz Springs to post letters of credit rather than post cash collateral on its $250 million credit facility. S&P expects this change to be completed by June 30. Furthermore, Alon USA and Alon Israel (parent of Alon USA Energy) have provided an additional equity investment of $25 million and $25 million of letter of credit support. APPLETON PAPERS: Moody's Confirms 'B2' Corporate Family Rating -------------------------------------------------------------- Moody's Investors Service confirmed all ratings of Appleton Papers Inc. that were placed under review for downgrade on February 3, 2009, including the company's corporate family rating and probability of default rating of B2, its senior secured bank facility rating of Ba3, its senior unsecured notes rating of B3, and its senior subordinated notes rating of Caa1. At the same time, Moody's affirmed the company's speculative grade liquidity rating of SGL-4. A negative ratings outlook was assigned. In March 2009, Appleton successfully renogotiated its financial covenants, which should provide the company with improved financial flexibility over the near to intermediate term. Per the covenant amendments, Appleton relaxed its total leverage ratio through June 2011, added a senior secured leverage ratio, and replaced its interest coverage ratio with a fixed charge coverage ratio. Despite the improved financial flexibility, Moody's expects the cushion under Appleton's revised financial covenants to be modest at best in 2009, and to erode considerably in 2010 as required covenant levels step down. Appleton's B2 corporate family rating reflects the challenges it will face with respect to covenant compliance and liquidity; eroding credit metrics; sharp expected declines in the carbonless paper segment; and the lower margins associated with a migration away from the carbonless paper segment. The ratings also consider Moody's expectation for less pressure on materials costs; the potential for future robust thermal papers growth as a result of the recent capacity expansion at the company's West Carrollton, Ohio mill; and the company's strong market position within both the carbonless and thermal paper segments. The outlook revision to negative reflects Moody's expectation that further volume declines in the company's carbonless segment will continue to pressure margins, cash flow generation, and leverage. The speculative grade liquidity rating looks ahead 12-18 months and considers internal sources of liquidity (cash on hand plus free cash flow generation), external sources of liquidity, covenant compliance, and alternate sources of liquidity. The company's SGL-4 rating indicates weak liquidity. While Appleton's recent credit facility amendment provides the company with increased flexibility under its financial covenants, Moody's expects compliance to be challenging in 2009 and 2010. In addition, Moody's expects the company to rely heavily on its committed facilities to augment its small cash balance and limited cash flow generation. These ratings were affected: -- Corporate family rating confirmed at B2; -- Probability of default rating confirmed at B2; -- Senior secured revolving credit facility confirmed at Ba3 (LGD2, 24%); -- Senior secured term loan B confirmed at Ba3 (LGD2, 24%); -- Senior unsecured notes confirmed at B3 (LGD4, 65%); -- Senior subordinated notes confirmed at Caa1 (LGD5, 89%); -- Speculative grade liquidity rating affirmed at SGL-4; -- Outlook changed to negative from stable. The last rating action on Appleton occurred on February 3, 2009 when Moody's lowered the company's corporate family rating to B2 from B1, and placed its ratings under review for further downgrade. Appleton Papers Inc., headquartered in Appleton, Wisconsin, develops and manufactures specialty coated paper products, including carbonless paper, thermal paper, and other specialty papers. It also develops and manufactures flexible packaging products. ARBOR REALTY: Moody's Downgrades Ratings on Four 2004-1 Notes ------------------------------------------------------------- Moody's Investors Service downgraded the ratings of four classes of Notes issued by Arbor Realty Mortgage Securities Series 2004-1. The rating actions are: -- Class A, $182,910,000, Floating Rate Notes Due 2040, downgraded to Aa1 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $51,590,000, Floating Rate Notes Due 2040, downgraded to Baa2 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $27,635,768,000, Floating Rate Notes Due 2040, downgraded to Ba2 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $11,183,232, Floating Rate Notes Due 2040, downgraded to Ba3 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded Classes A, B, C and D 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 2.9% 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. BAC CAPITAL: Moody's Downgrades Ratings on Securities to 'Ba3' -------------------------------------------------------------- Moody's Investors Service downgraded to Ba3 from Baa3 the ratings on the Floating Rate Hybrid Income Trust Securities issued by BAC Capital Trust XIII and BAC Capital Trust XIV. Both issuers are subsidiaries of Bank of America Corporation. The rating outlook for both issuers is negative. All other ratings of BAC were affirmed. The rating action was taken as a followup to Moody's March 25 ratings actions on BAC, in order to address the differential between the ratings assigned to the HITS and the ratings assigned to BAC's preferred stock. BAC's HITS were issued in February 2007 by trusts that hold junior subordinated notes of BAC plus a forward purchase contract that obligates the trust to purchase non-cumulative perpetual preferred stock from BAC five years from the date of issuance. Beginning in 2012 the junior subordinated notes will be remarketed to new investors and the proceeds of the remarketing will be used to satisfy the trusts' obligations to purchase BAC non-cumulative preferred stock under the terms of the forward contract. If the remarketing is not successful, then the trust is obligated to exchange the junior subordinated notes for BAC non-cumulative preferred stock no later than March 2013. This process can be accelerated only if BAC's regulatory capital ratios fall below "well capitalized" or its regulator determines that the company is at risk of falling below "well capitalized." BAC's current regulatory capital ratios exceed the "well capitalized" threshold by at least 200 to 400 basis points (between $55 and $70 billion). It is Moody's normal practice to rate bank hybrid securities at the same rating level as preferred stock if the hybrid's ultimate claim on the banking company is a preferred stock claim, even if for an interim period the hybrid is backed by a subordinated debt security -- as is the case with the BAC HITS. However the Ba3 rating on these securities is three notches higher than the B3 rating on BAC's non-cumulative preferred stock. The higher rating on the HITS reflects two key factors. First, Moody's believes that BAC's sizable amount of preferred stock outstanding limits the risk of a near-term dividend suspension or distressed exchange for the HITS where the forward contract would have to be accelerated first. Second, the timing of the BAC HITS conversion to a preferred stock position in 2012/2013 is likely later than the timing of any distressed exchange of existing preferred stock that BAC might seek to undertake, which would benefit BAC's entire capital structure including the HITS. To address the first point, BAC has approximately $33 billion in outstanding non-cumulative preferred stock, and another $45 billion in cumulative preferred stock issued to the U.S. government. This compares with approximately $60 billion of tangible common equity (before unrealized gains on securities and excluding after-tax fair value gains on BAC's own debt). Moody's believes that an exchange of all or even just a portion of these preferred securities into common equity would substantially strengthen BAC's tangible common equity position -- and this could be achieved without impairing the BAC HITS securities. To address the second point, in Moody's view, given the pressures facing BAC and the U.S. government, the risk of such any distressed exchange is greatest over the next year or two. Under the terms of the instrument, the HITS are likely to continue to be backed by junior subordinated debt, rather than by preferred stock, during this period. As a result, Moody's believes that the risk of a distressed exchange involving the HITS is considerably more limited than it is for BAC's outstanding preferred stock. In addition, if the distressed exchange of BAC's preferred stock happened, the HITS would also benefit from the layer of new common equity below it. For this reason, the Ba3 rating for the HITS is three notches higher than the B3 rating on BAC's preferred stock. The latest rating action on BAC Capital Trust XIII and BAC Capital Trust XIV was on March 25, 2009 when Moody's lowered the rating to Baa3 from Baa1. These ratings were affected: Issuer: BAC Capital Trust XIII -- Preferred Stock downgraded to Ba3 from Baa3 Issuer: BAC Capital Trust XIV -- Preferred Stock downgraded to Ba3 from Baa3 Bank of America Corporation is headquartered in Charlotte, North Carolina. The bank reported total assets of $2.3 trillion as of March 31, 2009. BANC OF AMERICA: Fitch Downgrades Ratings on 2003-2 Certificates ---------------------------------------------------------------- Fitch Ratings downgrades and maintains the Rating Outlooks on Banc of America Commercial Mortgage Inc., series 2003-2, commercial mortgage pass-through certificates: -- $8.4 million class M to 'B+' from 'BB-'; Outlook Negative; -- $8.4 million class N to 'B-' from 'B+'; Outlook Negative; -- $4.2 million class O to 'CCC/RR1' from 'B'. Additionally, Fitch affirms and revises the Rating Outlooks for these classes: -- $21 million class H at 'A'; Outlook to Negative from Stable; -- $18.9 million class J at 'BBB+'; Outlook to Negative from Stable; -- $10.5 million class K at 'BBB-'; Outlook to Negative from Stable; Fitch also affirms and maintains Rating Outlooks on these classes: -- $419.3 million class A-1A at 'AAA'; Outlook Stable; -- $52.4 million class A-2 at 'AAA'; Outlook Stable; -- $168.1 million class A-3 at 'AAA'; Outlook Stable; -- $482.3 million class A-4 at 'AAA'; Outlook Stable; -- Interest-only class XC at 'AAA'; Outlook Stable; -- Interest-only class XP at 'AAA'; Outlook Stable; -- $56.7 million class B at 'AAA'; Outlook Stable; -- $21 million class C at 'AAA'; Outlook Stable; -- $44.1 million class D at 'AAA'; Outlook Stable; -- $23.1 million class E at 'AAA'; Outlook Stable; -- $21 million class F at 'AA'; Outlook Stable; -- $23.1 million class G at 'AA-'; Outlook Stable; -- $10.5 million class L at 'BB'; Outlook Negative; -- $2.7 million class BW-A at 'AAA'; Outlook Stable; -- $1.2 million class BW-B at 'AAA'; Outlook Stable; -- $8.7 million class BW-C at 'AAA'; Outlook Stable; -- $2.6 million class BW-D at 'AAA'; Outlook Stable; -- $3.6 million class BW-E at 'AAA'; Outlook Stable; -- $3.2 million class BW-F at 'AAA'; Outlook Stable; -- $3.1 million class BW-G at 'AAA'; Outlook Stable; -- $2.6 million class BW-H at 'AAA'; Outlook Stable; -- $2.6 million class BW-J at 'AAA'; Outlook Stable; -- $2.1 million class BW-K at 'AAA'; Outlook Stable; -- $3.5 million class BW-L at 'AAA'; Outlook Stable. Fitch does not rate the $23.2 million class P or classes HS-A, HS- B, HS-C, HS-D or HS-E. Class A-1 is paid in full. The downgrades and additional Negative Outlook assignments are due to an increase in expected losses on one of the loans currently in special servicing since the last Fitch review, as well as an increased concentration of Fitch Loans of Concern. The affirmations are due to sufficient credit enhancement due to paydown and defeasance. The Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. Fitch has identified 17 Loans of Concern (12.1%), including the two loans in special servicing (4.2%), as well as other loans with weak performance. The largest specially serviced loan is Newgate Mall (2.7%). The loan transferred to special servicing on April 17, 2009 as a result of the recent Chapter 11 bankruptcy filing of General Growth Properties. For more information on the GGP bankruptcy filing, please reference the Fitch press release entitled 'Fitch Revises Outlook to Negative on 20 U.S. CMBS Deals after GGP Bankruptcy' dated April 21, 2009. The second largest specially serviced asset is a real estate owned (REO) multi-family property located in Irving, TX. The loan transferred to the special servicer in August 2008 and the asset became REO in February 2009. The servicer is working to stabilize the property before marketing it for sale. Losses are expected. As of the April 2009 distribution date, the pool's aggregate certificate balance has decreased 15% to $1.5 billion from $1.77 billion at issuance. In total 27 loans (30.6%) have defeased, including 1328 Broadway (8.5%), a shadow rated loan and the second largest loan in the pool. Due to the GGP bankruptcy filing, Newgate Mall no longer maintains its investment grade shadow rating. The Hines-Sumitomo Portfolio (14.1%) maintains its investment grade shadow rating, although it has been lowered, in spite of a bankruptcy filing of a large tenant at one of the properties. The Hines Sumitomo portfolio, the largest loan in the pool, is secured by three office properties, two of which are located in New York, New York and the third in Washington, DC. Dreier LLP, 35.2% of the Net Rentable Area of one of the New York office buildings, and 8.3% of the total roll-up NRA, petitioned for bankruptcy protection in December 2008. Additionally, the property located in Washington DC is undergoing a complete redevelopment after the two largest tenants vacated at the end of 2007. The property is essentially vacant except for a few retail tenants. Three additional floors are being added to the building to bring the total square footage to 335,000 from 235,000. Construction is expected to be completed in the second quarter of 2009. Approximately 70,000 sf to 80,000 sf of the new building is pre-leased. The loan is interest only with a maturity date in 2013. No loans are scheduled to mature in 2009 and 9.2% of the nondefeased loans are scheduled to mature in 2010. The weighted average coupon rate for all of the nondefeased loans is 5.36% and the weighted average debt service coverage ratio for the nondefeased loans is 1.65 times (x). BEAR STEARNS: Fitch Affirms Ratings on 2004-PWR3 Certificates ------------------------------------------------------------- Fitch Ratings affirms and assigns Rating Outlooks to Bear Stearns commercial mortgage pass-through certificates series 2004-PWR3: -- $28.5 million class A-2 at 'AAA'; Stable Outlook; -- $158 million class A-3 at 'AAA'; Stable Outlook; -- $469.9 million class A-4 at 'AAA'; Stable Outlook; -- Interest only class X-1 at 'AAA'; Stable Outlook; -- Interest only class X-2 at 'AAA' Stable Outlook; -- $26.3 million class B at 'AAA'; Stable Outlook; -- $12.5 million class C at 'AA+'; Stable Outlook; -- $16.6 million class D at 'AA'; Stable Outlook; -- $9.7 million class E at 'A+'; Negative Outlook; -- $15.2 million class F at 'A-'; Negative Outlook; -- $11.1 million class G at 'BBB+'; Negative Outlook; -- $13.9 million class H at 'BBB-'; Negative Outlook; -- $2.8 million class J at 'BB+'; Negative Outlook; -- $5.5 million class K at 'BB'; Negative Outlook; -- $6.9 million class L at 'BB-'; Negative Outlook; -- $5.5 million class M at 'B+'; Negative Outlook; -- $2.8 million class N at 'B'; Negative Outlook; -- $2.8 million class P at 'B-'; Negative Outlook. Fitch does not rate the $12.5 million class Q certificates. The rating affirmations reflect the stable performance of the pool and additional 14.8% pay down since Fitch's last rating action. The Negative Outlooks reflect the overall high percentage of Fitch Loans of Concern (25.7%). 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 to $962.2 million from $1.1 billion at issuance. Seven loans (8.6%) are defeased. Fitch reviewed the transaction's three shadow rated loans: Two Commerce Square, the Great Northern Mall and Lion Industrial Portfolio. Due to their stable performance, the loans maintain investment grade shadow ratings. Two Commerce Square (6.8%) is the largest remaining loan, and 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-3 and A-4) 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. Per PPR, the expected vacancy rate for the Philadelphia central business district is expected to increase significantly to approximately 18% over the next one to two years. The Great Northern Mall (4.9%) is collateralized by 504,743 sf of an 897,687 sf regional mall located in Clay, New York, which is a suburb of Syracuse. The servicer reported YE 2008 debt service coverage ratio is 2.09 times (x), compared to 2.30x at YE 2007. YE 2008 in-line occupancy was 84.3% compared to 85.8% at issuance. Overall occupancy at the mall has declined because one of the anchor tenants, Bon-Ton, vacated in January 2006, and its former space remains vacant. Fitch will continue to monitor the loan as overall performance in the retail sector has deteriorated. Lion Industrial Portfolio (2.5%) is the third largest shadow rated loan remaining in the transaction. The whole loan has an A-B structure, of which the A-note was included in this transaction. The five-year tranche has paid in full and the seven-year tranche remains, with a scheduled maturity of January 2011. The loan is secured by a diverse cross-collateralized and cross-defaulted pool of 43 industrial properties located in various cities and states. The servicer-reported occupancy as of November 2008 was 90.5% compared to 92% at YE 2007. Fitch has identified 20 Loans of Concern (25.7%), including two assets in specially servicing (1.6%). The largest specially serviced asset (1.2%) is an anchored retail property located Middletown, Rhode Island which had a scheduled maturity of February 2009. The borrower is negotiating an extension with the servicer. The property lost one of its large tenants, Linens 'n Things, and the space is now vacant. The servicer-reported September 2008 occupancy was 71%. The second specially serviced asset (0.4%) is a retail property located in Dallas, Texas and transferred to special servicing in February 2009. The property has suffered from a loss of tenants, with 71% occupancy reported as of September 2008. The largest Fitch Loan of Concern (5.6%) is secured by an anchored retail property located in Aurora, Colorado. The property has had a slight decline in occupancy due to the bankruptcy and closure of one of its large tenants, Linens 'n Things, representing 11% of the net rentable area. The servicer-reported YE 2008 occupancy was 92%. BEAR STEARNS: Moody's Downgrades Ratings on 89 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of eighty nine tranches issued in fourteen transactions from the Bear Stearns Asset Backed Securities Trust shelf. The collateral backing each tranche consists primarily of first lien adjustable- rate and fixed-rate "scratch and dent" mortgage loans. Scratch and dent loans in this shelf consist mainly of subprime or Alt-A loans, including negatively amortizing loans. A majority of the loans represent either one or more permitted or unintentional underwriting exceptions to applicable originator's guidelines. The most prevalent of the exceptions include delinquency history of the borrower, combined loan-to-value ratios, missing or incomplete documentation, borrower's debt-to-income ratios or borrower's credit score. 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, separately for recent and for more seasoned vintages. For recent vintages (2005 and later), Moody's calculates estimated losses for Scratch and Dent RMBS in a two-step process. First, serious delinquencies are projected through late 2009, primarily based upon recent historical performance. These projected delinquencies are converted into projected losses using lifetime roll rates (the probability of transition to default) averaging 60% for 60-day delinquencies, 90% for delinquencies greater than 90 days, 100% for foreclosure and 100% for REO, and severity assumptions based on the higher of actual severities and 65%. The second step is to determine losses beyond 2009. Depending on a deal's performance, as well as collateral characteristics, such as loan type, or loan-to-value ratios and geographic concentrations of remaining current loans, Moody's assumes varying degrees of slowing in the loss rate (which is measured by loss-to- liquidation) for the remaining life of the deal. Typical degrees of slowing in loss rate after late 2009 range from 15% to 35%. For more seasoned vintages (before 2005), Moody's calculates estimated losses for Scratch and Dent RMBS: -- Current delinquencies are used to project pipeline losses. -- Annual roll rates are assumed at 0% for 30 days, 15% for 60 days, 30% for 90 days, 65% for foreclosures and 90% for REO. -- Severities used are higher of 65% or actual historical severity for each transaction. -- Loss is calculated for the previous year. Expected annual loss is then derived from a weighted average of previous year loss and expected pipeline loss. The transaction expected loss is projected out over the deal's expected remaining life. Depending on a transaction's time of origination, a 75% weight can be applied to pipeline loss when it is considered to be more representative of future expected performance than the previous year's losses. -- Expected loss is finally compared to credit enhancement to derive a rating. Loss estimates are subject to variability and, as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly if necessary. Complete rating actions are: Bear Stearns Asset Backed Sec Tr 2005-4 -- Cl. M-1, Downgraded to Ba3; previously on 1/23/2006 Assigned Aa2 -- Cl. M-2, Downgraded to Ca; previously on 1/23/2006 Assigned A2 -- Cl. M-3, Downgraded to C; previously on 1/23/2006 Assigned A3 -- Cl. M-4, Downgraded to C; previously on 6/25/2008 Downgraded to Baa3 -- Cl. M-5, Downgraded to C; previously on 6/25/2008 Downgraded to B1 -- Cl. M-6, Downgraded to C; previously on 6/25/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C; previously on 6/25/2008 Downgraded to Caa2 Bear Stearns Asset Backed Sec Tr 2006-4 -- Cl. A-1, Downgraded to A1; previously on 11/20/2006 Assigned Aaa -- Cl. A-2, Downgraded to Baa1; previously on 11/20/2006 Assigned Aaa -- Cl. A-3, Downgraded to Baa1; previously on 11/20/2006 Assigned Aaa -- Cl. M-1, Downgraded to Caa3; previously on 6/25/2008 Downgraded to Ba3 -- Cl. M-2, Downgraded to C; previously on 6/25/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on 6/25/2008 Downgraded to Caa2 -- Cl. M-4, Downgraded to C; previously on 6/25/2008 Downgraded to Caa3 -- Cl. M-5, Downgraded to C; previously on 6/25/2008 Downgraded to Ca Bear Stearns Asset Backed Sec. Trust 2007-2 -- Cl. A-1, Downgraded to A1; previously on 5/21/2007 Assigned Aaa -- Cl. A-2, Downgraded to Baa2; previously on 5/21/2007 Assigned Aaa -- Cl. A-3, Downgraded to Baa2; previously on 5/21/2007 Assigned Aaa -- Cl. M-1, Downgraded to Caa1; previously on 6/25/2008 Downgraded to A2 -- Cl. M-2, Downgraded to C; previously on 6/25/2008 Downgraded to Baa2 -- Cl. M-3, Downgraded to C; previously on 6/25/2008 Downgraded to Caa3 -- Cl. M-4, Downgraded to C; previously on 6/25/2008 Downgraded to Ca -- Cl. M-5, Downgraded to C; previously on 6/25/2008 Downgraded to Ca Bear Stearns Asset Backed Secs I Tr 2004-BO1 -- Cl. M-3, Downgraded to A2; previously on 11/24/2004 Assigned A1 -- Cl. M-4, Downgraded to Baa1; previously on 11/24/2004 Assigned A2 -- Cl. M-5, Downgraded to Baa2; previously on 11/24/2004 Assigned A3 -- Cl. M-6, Downgraded to Ba1; previously on 9/4/2007 Downgraded to Baa3 -- Cl. M-7, Downgraded to Ba3; previously on 8/21/2008 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to Caa1; previously on 8/21/2008 B3 Placed Under Review for Possible Downgrade Bear Stearns Asset Backed Secs Tr 2006-1 -- Cl. M-1, Downgraded to Baa1; previously on 3/13/2006 Assigned Aa2 -- Cl. M-2, Downgraded to B1; previously on 3/13/2006 Assigned Aa3 -- Cl. M-3, Downgraded to Ca; previously on 6/25/2008 Downgraded to Baa1 -- Cl. M-4, Downgraded to C; previously on 6/25/2008 Downgraded to Baa3 -- Cl. M-5, Downgraded to C; previously on 6/25/2008 Downgraded to B2 -- Cl. M-6, Downgraded to C; previously on 6/25/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- Cl. M-7, Downgraded to C; previously on 6/25/2008 Downgraded to Caa1 Bear Stearns Asset Backed Secs Tr 2006-2 -- Cl. M-1, Downgraded to A1; previously on 7/25/2006 Assigned Aa2 -- Cl. M-2, Downgraded to A2; previously on 7/25/2006 Assigned Aa3 -- Cl. M-3, Downgraded to Ba1; previously on 7/25/2006 Assigned A2 -- Cl. M-4, Downgraded to B2; previously on 7/25/2006 Assigned A3 -- Cl. M-5, Downgraded to Caa3; previously on 6/25/2008 Downgraded to Ba1 -- Cl. M-6, Downgraded to C; previously on 6/25/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- Cl. M-7, Downgraded to C; previously on 6/25/2008 Downgraded to Caa1 Bear Stearns Asset Backed Secs Tr 2006-3 -- Cl. A-2, Downgraded to A1; previously on 9/8/2006 Assigned Aaa -- Cl. A-3, Downgraded to A1; previously on 9/8/2006 Assigned Aaa -- Cl. M-1, Downgraded to B1; previously on 6/25/2008 Downgraded to A1 -- Cl. M-2, Downgraded to Caa3; previously on 6/25/2008 Downgraded to Baa1 -- Cl. M-3, Downgraded to C; previously on 6/25/2008 Downgraded to B3 -- Cl. M-4, Downgraded to C; previously on 6/25/2008 Downgraded to Caa1 -- Cl. M-5, Downgraded to C; previously on 6/25/2008 Downgraded to Caa2 -- Cl. M-6, Downgraded to C; previously on 6/25/2008 Downgraded to Caa3 -- Cl. M-7, Downgraded to C; previously on 6/25/2008 Downgraded to Ca Bear Stearns Asset Backed Secs Tr 2007-SD2 -- Cl. II-A-1, Downgraded to B3; previously on 3/28/2007 Assigned Aaa -- Cl. II-A-2, Downgraded to Ca; previously on 6/25/2008 Downgraded to A3 -- Cl. II-M-1, Downgraded to C; previously on 6/25/2008 Downgraded to Ba1 -- Cl. II-M-2, Downgraded to C; previously on 6/25/2008 Downgraded to Caa2 -- Cl. II-M-3, Downgraded to C; previously on 6/25/2008 Downgraded to Ca Bear Stearns Asset Backed Secs Tr 2007-SD3 -- Cl. A, Downgraded to B3; previously on 6/1/2007 Assigned Aaa -- Cl. M-1, Downgraded to C; previously on 6/25/2008 Downgraded to A1 -- Cl. M-2, Downgraded to C; previously on 6/25/2008 Downgraded to A3 -- Cl. M-3, Downgraded to C; previously on 6/25/2008 Downgraded to Baa2 -- Cl. M-4, Downgraded to C; previously on 6/25/2008 Downgraded to Ba2 -- Cl. M-5, Downgraded to C; previously on 6/25/2008 Downgraded to B2 -- Cl. M-6, Downgraded to C; previously on 6/25/2008 Downgraded to Caa3 -- Cl. M-7, Downgraded to C; previously on 6/25/2008 Downgraded to Ca Bear Stearns Asset Backed Secs Trust 2007-1 -- Cl. A-1, Downgraded to A2; previously on 3/1/2007 Assigned Aaa -- Cl. A-2, Downgraded to Ba3; previously on 3/1/2007 Assigned Aaa -- Cl. A-3, Downgraded to B1; previously on 3/1/2007 Assigned Aaa -- Cl. M-1, Downgraded to Ca; previously on 6/25/2008 Downgraded to Ba2 -- Cl. M-2, Downgraded to C; previously on 6/25/2008 Downgraded to Caa1 -- Cl. M-3, Downgraded to C; previously on 6/25/2008 Downgraded to Caa2 -- Cl. M-4, Downgraded to C; previously on 6/25/2008 Downgraded to Caa3 -- Cl. M-5, Downgraded to C; previously on 6/25/2008 Downgraded to Ca Bear Stearns Asset Bkd Sec Trust 2003-SD2 -- Cl. B-5, Downgraded to Caa2; previously on 11/17/2003 Assigned B2 Bear Stearns Asset Bkd Sec Trust 2005-SD1 -- Cl. I-A-3, Downgraded to Aa3; previously on 2/20/2005 Assigned Aaa -- Cl. II-M-1, Downgraded to Aa3; previously on 2/20/2005 Assigned Aa2 -- Cl. II-M-2, Downgraded to Baa1; previously on 2/20/2005 Assigned A2 -- Cl. II-M-3, Downgraded to Ba1; previously on 2/20/2005 Assigned Baa2 -- Cl. I-M-1, Downgraded to A2; previously on 2/20/2005 Assigned Aa2 -- Cl. I-M-2, Downgraded to Baa1; previously on 2/20/2005 Assigned A2 -- Cl. I-M-3, Downgraded to Baa2; previously on 2/20/2005 Assigned A3 -- Cl. I-M-4, Downgraded to Ba1; previously on 2/20/2005 Assigned Baa1 -- Cl. I-M-5, Downgraded to B1; previously on 2/20/2005 Assigned Baa2 -- Cl. I-M-6, Downgraded to Caa3; previously on 2/20/2005 Assigned Baa3 Bear Stearns Asset-Backed Sec Trust 2004-SD2 -- Cl. B-5, Downgraded to Caa1; previously on 6/18/2004 Assigned B2 Bear Stearns Mtg Sec Inc 1997-06 -- 3-B-4, Downgraded to B1; previously on 12/30/1997 Assigned Ba2 -- 3-B-5, Downgraded to Ca; previously on 5/9/2003 Downgraded to Caa2 BERNOULLI HIGH: Moody's Cuts Rating on $750 Mil. Notes to 'C' ------------------------------------------------------------- Moody's Investors Service has downgraded these notes issued by Bernoulli High Grade CDO II, Ltd.: -- US$750,000,000 Class A-1A First Priority Senior Secured Floating Rate Notes due October 2054, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and Placed on Review for Possible Downgrade Moody's explained that the rating action reflects certain updates and projections and recent rating actions on the transaction's underlying collateral pool consisting of exposure to subprime RMBS securities. 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. BIRMINGHAM-JEFFERSON CIVIC: Moody's Raises Bond Ratings from 'B3' ----------------------------------------------------------------- Moody's Investors Service has upgraded to Aa3 from B3 the rating on the Birmingham-Jefferson Civic Center Authority's Special Tax Refunding Bonds, Series 2002. The upgrade reflects the fulfillment of the county's obligation to remit a portion of its Occupational License Tax to secure the bonds; the bonds are now solely secured by the City of Birmingham's (G.O. rated Aa3) Occupational License Tax collections. The rating reflects the overall credit strength of the city, strong legal provisions, and the strong coverage from collected revenues. The upgrade to Aa3 reflects a change in the security of the bonds. The original security for the bonds included Jefferson County's (G.O. rated Caa1) annual remittance of $10 million of the Occupational License Tax collected by the county as well as $3 million of Occupational License Tax annually collected by the City of Birmingham. The county's obligation was fulfilled with its last required payment at the end of 2008 and the bonds are now solely secured by the city's annual remittance of the tax, pursuant to the Trust Indenture and Pledge and Appropriation Agreement between the city and the BJCCA. The issue has strong legal provisions that include a first lien on the city's collections of the tax. The Trust Indenture also substantially limits the amount of future debt under the proposed security structure. Aside from any debt refunding, the authority has covenanted not to issue any additional debt under the indenture. In addition to the closed-lien provisions included in the indenture, the pledged revenue stream from the city expires in conjunction with the maturity of the debt. In the absence of the closed-lien indenture provisions, any additional debt issued or extended beyond the maturity of the current issue (2013) would require the city to extend their pledge of a primary revenue source which Moody's believes is unlikely. The convention center debt remains subject to an additional bonds test and a rate covenant of 1.5 times. The city's tax is a license fee levied at 1.0% of the gross receipts of each person engaged in or following a trade, occupation or profession within the city. The city's tax collections have grown at an average annual rate 3.6% since 2003, although fiscal 2008 collection growth slowed considerably in fiscal 2008, growing a modest 0.8% to $76.9 million. Although Moody's expects a likely drop in the tax for fiscal 2009, current collections provide very strong debt service coverage of over 25 times, allowing ample coverage even in the case of significant decreases in collections. The last rating action was on September 24, 2008 when the issue was downgraded to B3. BLUE HERON: Fitch Junks Ratings on Two Classes of Notes ------------------------------------------------------- Fitch Ratings has downgraded two and affirmed three classes of notes issued by Blue Heron Funding VII, Ltd.: -- $973,444,210 class A-1 notes downgraded to 'CCC' from 'BBB-'; -- $25,000,000 class A-2 notes downgraded to 'CC' from 'B'; -- EUR88,451,000 (US$ equivalent $105,000,000) class B notes affirmed at 'C'; -- EUR88,451,000 (US$ equivalent $105,000,000) class B additional interest affirmed at 'C' (interest only); -- $6,250,000 certificates affirmed at 'AAA' (principal only). Additionally, Fitch has removed the class A-1 and A-2 notes from Rating Watch Negative. The notes were not assigned Rating Outlooks as Fitch does not assign Rating Outlooks to classes rated 'CCC' or below. These rating actions are a result of the continued credit deterioration of the portfolio since the last review in May 2008. Approximately 26.5% of the portfolio is rated below investment grade, of which 15.3% is rated 'CCC' and lower compared to 12.6% rated below investment grade at the last review. The class A overcollateralization ratio of 92.6% is failing its covenant of 102% and continues to redirect interest proceeds that would otherwise pay interest to classes B to pay down the class A- 1 notes. The class A-1 notes have paid off approximately 12.6% since closing. Fitch has downgraded this class to 'CCC' as this is a better reflection of the risk to these notes due to the deterioration of the portfolio. The downgrade also reflects the notes exposure to interest rate risk, as all notes have a floating-rate coupon while over 40% of assets pay a fixed-rate coupon and no interest rate swap exists. The class A-2 notes are downgraded to 'CC' as they continue to receive interest but Fitch does not anticipate future principal payments. The rating assigned to the certificates is based on the rating of the certificate protection asset, which is comprised of U.S. government-backed Resolution Funding Corp. zero-coupon bonds. Blue Heron VII is a structured finance CDO, which closed on Dec. 28, 2005. The portfolio is monitored by Brightwater Capital Management. The transaction's revolving period ended in May 2008. The rating actions reflect Fitch's recently adjusted default and recovery rate assumptions for analyzing structured finance CDOs, in addition to negative credit migration in the underlying portfolio. The portfolio is primarily composed of commercial mortgage-backed securities (44.8%), subprime residential mortgage- backed securities (28.7%), SF CDOs (13.9%), prime RMBS (5.9%), other CDOs (4.7%), and commercial ABS (1%). These rating actions resolve the 'Under Analysis' status issued on Oct. 14, 2008 following Fitch's announcement of its proposed criteria revision for analyzing SF CDOs. The revised criteria report, 'Global Rating Criteria for Structured Finance CDOs', was published in its final form on Dec. 16, 2008 along with an updated version of the Fitch Portfolio Credit Model that includes additional functionality for analyzing SF CDOs. As part of this review, Fitch makes standard adjustments for any names on Rating Watch Negative or with a Negative Outlook, downgrading such ratings for default analysis purposes by three and one notches, respectively. BLUE HERON: Fitch Junks Rating on Class A-1 and A-2 Notes --------------------------------------------------------- Fitch Ratings has downgraded two and affirmed three classes of notes issued by Blue Heron Funding VI, Ltd.: -- $975,573,547 class A-1 notes downgraded to 'CCC' from 'BBB-'; -- $25,000,000 class A-2 notes downgraded to 'CC' from 'B'; -- EUR89,936,000 (US$ equivalent $105,000,000) class B notes affirmed at 'C'; -- EUR89,936,000 (US$ equivalent $105,000,000) class B additional interest affirmed at 'C' (interest only); -- $6,250,000 certificates affirmed at 'AAA' (principal only). Additionally, Fitch has removed class A-1 and A-2 notes from Rating Watch Negative. The notes were not assigned Rating Outlooks as Fitch does not assign Rating Outlooks to classes rated 'CCC' or below. These rating actions are a result of the continued credit deterioration of the portfolio since the last review in May 2008. Approximately 27.4% of the portfolio is rated below investment grade, of which 16.1% is rated 'CCC' and lower compared to 13.6% rated below investment grade in May 2008. The class A over collateralization ratio of 93.2% is failing its covenant of 102% and continues to redirect interest proceeds that would otherwise pay interest to class B to pay down the class A-1 notes. The class A-1 notes have paid off approximately 12.4% since closing. Fitch has downgraded this class to 'CCC' as this is a better reflection of the risk to these notes due to the deterioration of the portfolio. The downgrade also reflects the notes exposure to interest rate risk, as all notes have a floating-rate coupon while over 40% of assets pay a fixed-rate coupon and no interest rate swap exists. The class A-2 notes are downgraded to 'CC' as they continue to receive interest but Fitch does not anticipate future principal payments. The rating assigned to the certificates is based on the rating of the certificate protection asset, which is comprised of U.S. government-backed Resolution Funding Corp. zero-coupon bonds. Blue Heron VI is a structured finance CDO, which closed on Dec. 21, 2005. The portfolio is monitored by Brightwater Capital Management. The transaction's revolving period ended in May 2008. The rating actions incorporate Fitch's recently adjusted default and recovery rate assumptions for analyzing structured finance CDOs, in addition to negative credit migration in the underlying portfolio. The portfolio is primarily composed of commercial mortgage-backed securities (44.1%), subprime residential mortgage- backed securities (27.7%), SF CDOs (14.3%), prime RMBS (7.5%), other CDOs (5.5%), and commercial and consumer ABS (0.9%). These rating actions resolve the 'Under Analysis' status issued on Oct. 14, 2008 following Fitch's announcement of its proposed criteria revision for analyzing SF CDOs. The revised criteria report, 'Global Rating Criteria for Structured Finance CDOs', was published in its final form on Dec. 16, 2008 along with an updated version of the Fitch Portfolio Credit Model that includes additional functionality for analyzing SF CDOs. As part of this review, Fitch makes standard adjustments for any names on Rating Watch Negative or with a Negative Outlook, downgrading such ratings for default analysis purposes by three and one notches, respectively. BRANDYWINE REALTY: Fitch Cuts Credit Ratings; Affirms 'BB+' Rating ------------------------------------------------------------------ Fitch Ratings downgraded the credit ratings of Brandywine Realty Trust on April 2, 2009. The Rating Outlook is Negative. The recent downgrade reflects Fitch's view that BDN's risk- adjusted capitalization ratio, leverage and liquidity positions are consistent with a 'BB+' Issuer Default Rating. Offsetting strengths include the large portfolio of unencumbered properties, granular tenant roster, solid leasing profile and manageable lease expiration schedule. The Negative Rating Outlook is based on the expectation that BDN's leverage will remain elevated as assets are encumbered to meet cash needs and increasing vacancy ratings, negative absorption, and weaker year over year rent growth in BDN's markets will challenge the company's portfolio. Fitch's current ratings for Brandywine Realty Trust are: -- IDR: 'BB+'; -- Unsecured bank credit facility: 'BB+'; -- Senior unsecured notes: 'BB+'; -- Preferred stock: 'BB-'. BROADRIDGE FINANCIAL: S&P Raises Counterparty Rating from 'BB+/B' ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its long-term counterparty credit rating on Broadridge Financial Solutions Inc. (Broadridge) to 'BBB-/A-3' from 'BB+/B'. The outlook on the long- term rating is positive. "The rating action follows our full annual review of the company's financial performance, competitive position, and enterprise risk- management policies and procedures. The rating action takes into account the company's consistently stable operating profitability and focus on debt reduction, as well as its thus-far successful navigation of the challenging market environment," said Standard & Poor's credit analyst Robert Hansen. The rating also reflects management's increased emphasis on the firm's risk-management practices and policies as they relate to approving and monitoring potential exposures, notably at its regulated broker-dealer, Ridge Clearing & Outsourcing Solutions Inc. However, S&P believes that there is room for further improvement in Broadridge's risk management and corporate governance, which S&P will continue to evaluate. The ratings also reflect the company's strong interest coverage and relatively modest credit risk. S&P thinks the company's financial profile is strong for the rating. Specifically, S&P views its operating cash flows as relatively stable, aided by the high proportion of revenue within the investor communications segment considered recurring (that is, repeated annually under long-term contracts). S&P expects operating cash flows will significantly exceed dividends and share repurchases, and contribute to management's focus on debt repayment. The counterparty credit ratings on Broadridge reflect its very strong and well-established competitive position in the industry despite its limited history as a public, stand-alone company. Consolidation within the financial services industry could present modest risks to its client base, given the company's significant customer concentration. In this context, S&P view favorably the fact that its profitability has not been substantially affected by the loss of Lehman Brothers, a major client, which was largely offset by a renewed contract with Barclays PLC (which acquired Lehman) and the addition of investment management firm Neuberger Berman Inc. as a client. "The positive outlook reflects our opinion that the rating could be raised in the next few months if Broadridge's financial performance stays consistent, and if it continues to improve its risk management policies and procedures. S&P expects operating profitability to remain satisfactory in fiscal 2009, bolstered by its continued strength in investor communications services. On the other hand (but not, in S&P's opinion, likely), S&P could lower the rating if its profitability declines, its leverage increases materially, or the credit risk increases materially in its clearing business," Mr. Hansen added. BUCHANAN SPC: S&P Downgrades Ratings on Three Classes to 'D' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on the notes from Buchanan SPC's series 2006-II, 2006-III, and 2006-IV notes to 'D' from 'CCC-'. The lowered ratings follow a number of recent write-downs of underlying reference entities, which have caused the Buchanan Series 2006-II notes to incur partial principal losses and the Buchanan Series 2006-III and 2006-IV notes to incur complete principal losses. Ratings Lowered Buchanan SPC Rating ------ Deal Class To From ---- ----- -- ---- Series 2006-II A2 D CCC- Series 2006-III A4 D CCC- Series 2006-IV B D CCC- C-BASS SERIES: Moody's Downgrades Ratings on 56 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 56 tranches issued in eight C-BASS transactions. The collateral backing each tranche consists primarily of first lien adjustable- rate and fixed-rate "scratch and dent" mortgage loans. Scratch and dent loans in the C-BASS shelf consist mainly of subprime or Alt-A loans and typically include loans which were delinquent before closing and / or 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, separately for recent and for more seasoned vintages. For recent vintages (2005 and later), Moody's calculates estimated losses for Scratch and Dent RMBS in a two-step process. First, serious delinquencies are projected through late 2009, primarily based upon recent historical performance. These projected delinquencies are converted into projected losses using lifetime roll rates (the probability of transition to default) averaging 60% for 60-day delinquencies, 90% for delinquencies greater than 90 days, 100% for foreclosure and 100% for REO, and severity assumptions based on the higher of actual severities and 65%. The second step is to determine losses beyond 2009. Depending on a deal's performance, as well as collateral characteristics, such as loan type, or loan-to-value ratios and geographic concentrations of remaining current loans, Moody's assumes varying degrees of slowing in the loss rate (which is measured by loss-to- liquidation) for the remaining life of the deal. Typical degrees of slowing in loss rate after late 2009 range from 15% to 35%. For more seasoned vintages (before 2005), Moody's calculates estimated losses for Scratch and Dent RMBS: -- Current delinquencies are used to project pipeline losses. -- Annual roll rates are assumed at 0% for 30 days, 15% for 60 days, 30% for 90 days, 65% for foreclosures and 90% for REO. -- Severities used are higher of 65% or actual historical severity for each transaction. -- Loss is calculated for the previous year. Expected annual loss is then derived from a weighted average of previous year loss and expected pipeline loss. The transaction expected loss is projected out over the deal's expected remaining life. Depending on a transaction's time of origination, a 75% weight can be applied to pipeline loss when it is considered to be more representative of future expected performance than the previous year's losses. -- Expected loss is finally compared to credit enhancement to derive a rating. Loss estimates are subject to variability and, as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly if necessary. C-BASS 2003-RP1 Trust -- Cl. M-1, Downgraded to A1; previously on 7/30/2003 Assigned Aa3 -- Cl. M-2, Downgraded to Ba1; previously on 7/1/2008 Downgraded to Baa3 -- Cl. B-1, Downgraded to Ca; previously on 7/1/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C; previously on 7/1/2008 Downgraded to Ca C-BASS Series 2004-RP1 Trust -- Cl. B-2, Downgraded to B2; previously on 7/5/2004 Assigned Baa3 PPT ABS LLC Trust 2004-1 -- Cl. A, Downgraded to A2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade C-BASS Series 2006-RP1 Trust -- Cl. A-2, Downgraded to Aa3; previously on 5/24/2006 Assigned Aaa -- Cl. M-1, Downgraded to A3; previously on 5/24/2006 Assigned Aa2 -- Cl. M-2, Downgraded to B3; previously on 5/24/2006 Assigned A2 -- Cl. M-3, Downgraded to Ca; previously on 5/24/2006 Assigned A3 -- Cl. B-1, Downgraded to C; previously on 5/24/2006 Assigned Baa1 -- Cl. B-2, Downgraded to C; previously on 5/24/2006 Assigned Baa2 -- Cl. B-3, Downgraded to C; previously on 5/24/2006 Assigned Baa3 -- Cl. B-4, Downgraded to C; previously on 5/24/2006 Assigned Ba1 C-BASS Series 2006-RP2 Trust -- Cl. A-2, Downgraded to B3; previously on 12/1/2006 Assigned Aaa -- Cl. A-3, Downgraded to B3; previously on 12/1/2006 Assigned Aaa -- Cl. A-4, Downgraded to Ca; previously on 12/1/2006 Assigned Aaa -- Cl. M-1, Downgraded to C; previously on 12/1/2006 Assigned Aa2 -- Cl. M-2, Downgraded to C; previously on 12/1/2006 Assigned A2 -- Cl. M-3, Downgraded to C; previously on 7/1/2008 Downgraded to Baa1 -- Cl. B-1, Downgraded to C; previously on 7/1/2008 Downgraded to Ba3 -- Cl. B-2, Downgraded to C; previously on 7/1/2008 Downgraded to B2 and Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C; previously on 7/1/2008 Downgraded to Caa1 -- Cl. B-4, Downgraded to C; previously on 7/1/2008 Downgraded to Caa3 C-BASS 2007-SP1 Trust -- Cl. A-3, Downgraded to Aa2; previously on 2/27/2007 Assigned Aaa -- Cl. A-4, Downgraded to Ba2; previously on 2/27/2007 Assigned Aaa -- Cl. M-1, Downgraded to B3; previously on 2/27/2007 Assigned Aa1 -- Cl. M-2, Downgraded to Ca; previously on 2/27/2007 Assigned Aa2 -- Cl. M-3, Downgraded to C; previously on 2/27/2007 Assigned Aa3 -- Cl. M-4, Downgraded to C; previously on 2/27/2007 Assigned A1 -- Cl. M-5, Downgraded to C; previously on 2/27/2007 Assigned A2 -- Cl. M-6, Downgraded to C; previously on 2/27/2007 Assigned A3 -- Cl. M-7, Downgraded to C; previously on 2/27/2007 Assigned Baa1 -- Cl. M-8, Downgraded to C; previously on 2/27/2007 Assigned Baa2 -- Cl. M-9, Downgraded to C; previously on 2/27/2007 Assigned Baa3 -- Cl. M-10, Downgraded to C; previously on 7/1/2008 Downgraded to B2 and Placed Under Review for Possible Downgrade -- Cl. M-11, Downgraded to C; previously on 7/1/2008 Downgraded to Caa1 C-BASS 2007-SP2 Trust -- Cl. A-2, Downgraded to A2; previously on 7/9/2007 Assigned Aaa -- Cl. A-3, Downgraded to B1; previously on 7/9/2007 Assigned Aaa -- Cl. M-1, Downgraded to B3; previously on 7/9/2007 Assigned Aa1 -- Cl. M-2, Downgraded to Ca; previously on 7/9/2007 Assigned Aa2 -- Cl. M-3, Downgraded to C; previously on 7/9/2007 Assigned Aa3 -- Cl. M-4, Downgraded to C; previously on 7/9/2007 Assigned A1 -- Cl. M-5, Downgraded to C; previously on 7/9/2007 Assigned A2 -- Cl. M-6, Downgraded to C; previously on 7/9/2007 Assigned A3 -- Cl. M-7, Downgraded to C; previously on 7/9/2007 Assigned Baa1 -- Cl. M-8, Downgraded to C; previously on 7/9/2007 Assigned Baa2 -- Cl. M-9, Downgraded to C; previously on 7/9/2007 Assigned Baa3 -- Cl. M-10, Downgraded to C; previously on 7/9/2007 Assigned Ba1 C-BASS Series 2007-RP1 Trust -- Cl. A, Downgraded to Caa3; previously on 6/27/2007 Assigned Aaa -- Cl. M-1, Downgraded to C; previously on 6/27/2007 Assigned Aa2 -- Cl. M-2, Downgraded to C; previously on 7/1/2008 Downgraded to Baa2 -- Cl. M-3, Downgraded to C; previously on 7/1/2008 Downgraded to Ba3 -- Cl. M-4, Downgraded to C; previously on 7/1/2008 Downgraded to Caa1 -- Cl. M-5, Downgraded to C; previously on 7/1/2008 Downgraded to Caa2 -- Cl. M-6, Downgraded to C; previously on 7/1/2008 Downgraded to Ca CABCO TRUST: S&P Downgrades Rating on $52.65 Mil. Certs. to 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on CABCO Trust for JC Penney Debentures' $52.65 million series 1999-1 trust certificates to 'BB' from 'BBB-' and removed it from CreditWatch with negative implications. The rating action follows the April 16, 2009, lowering of S&P's rating on the underlying securities, J.C. Penney Co. Inc.'s 7.625% debentures due March 1, 2097, to 'BB' from 'BBB-' and its removal from CreditWatch negative. The rating on the certificates is dependent on the rating on the underlying securities. CANADIAN REVOLVING: Moody's Takes Rating Actions on Various Notes ----------------------------------------------------------------- Moody's Investors Service has taken these ratings actions on dealer floorplan asset-backed notes issued by Canadian Revolving Auto Floorplan Trust: Issuer: Canadian Revolving Auto Floorplan Trust -- C$200,000,000 Series 2007-D1 downgraded from Aa3 to Ba1 and remain under review for possible downgrade; previously on February 27, 2009, downgraded from Aaa to Aa3, under review for further possible downgrade -- C$450,000,000 Series 2007-D2 downgraded from Aa3 to Ba1 and remain under review for possible downgrade; previously on February 27, 2009, downgraded from Aaa to Aa3, under review for further possible downgrade -- C$250,000,000 Series 2007-D3 downgraded from Aa3 to Ba1 and remain under review for possible downgrade; previusly, on February 27, 2009, downgraded from Aaa to Aa3, under review for further possible downgrade These transactions are secured by undivided co-ownership interests in a revolving pool of receivables payable by auto dealers and secured by the dealers' related inventory, which consists primarily of cars and light trucks manufactured by Chrysler LLC. The dealer accounts were originated and are serviced by Chrysler Financial Services Canada, Inc. Rationale On April 21, Moody's downgraded the Corporate Family Ratings for Chrysler to C. The downgrade of the corporate rating was driven by the impact that the unprecedented erosion in the North American auto markets is having on Chrysler's, and consequently Chrysler Canada Inc.'s, ongoing viability, and on the value of its tangible assets and its various brands. The actions on Chrysler floorplan securitizations also reflect the significant negative effect that a possible bankruptcy could have on key performance factors in the floorplan transactions. A potential Chrysler/Chrysler Canada bankruptcy (reorganization or liquidation) could lead to high dealer default rates, depressed collateral recovery values, and could severely constrain the servicer's ability to monitor dealers and secure collateral if numerous dealers default in a short period of time. Since Moody's last rating actions on the floorplan transactions on February 27, 2009, the probability of a Chrysler/Chrysler Canada bankruptcy has increased. The rating actions reflect the current bankruptcy probability and the significant event risk facing Chrysler's outstanding floorplan transactions caused by the near term uncertainty surrounding Chrysler's future. The notes remain on review for further possible downgrade due to significant uncertainty surrounding Chrysler in 2009. On March 31, the United States government (the "Administration") rejected the restructuring plans submitted by Chrysler. The Administration also affirmed its willingness to rely on the bankruptcy process to restructure the company unless it can formulate a new plan that the Administration determines will be effective in restoring its competitiveness. The Canadian government has also expressed its readiness to let Chrysler Canada enter bankruptcy if viable plans cannot be formulated. Chrysler faces a significant burden in demonstrating its viability due to a narrow window for submitting a revised plan (by April 30, 2009) and therefore has a high risk of filing for bankruptcy, in Moody's view. The ratings are now consistent with Moody's expectation that a Chapter 11 (reorganization) filing is quite likely but that an immediate Chapter 7 (liquidation) filing is not likely. Moody's will continue to monitor developments and will further assess the potential impact on their rated outstanding floorplan transactions as necessary. The uncertainty related to potential developments, particularly the potential for a Chapter 7 filing by Chrysler later this year, underlies the continuing review process for the transactions. Rating Methodology Moody's floorplan analysis is based on a joint-default probability analysis of both the manufacturer and dealers with loss given default determined by collateral at risk net of recoveries. The total collateral at risk with a joint-default is the remaining unpaid floorplan loan calculated based on the monthly payment rate prior to dealer default. The analysis is implemented through a simulation model, which simulates losses during a two year amortization period following an event of default based on a set of key modeled assumptions: * Manufacturer bankruptcy scenarios * Dealer default rates * Recovery rates * Payment rates In addition, Moody's includes other modeled assumptions in the simulation model such as linkage of default probability between manufacturer and dealer to macroeconomic activity, linkage between manufacturer and dealer default probability, and sold-out-of-trust assumptions. Modeled assumptions form the basis of the quantitative analysis executed through a simulation model. Manufacturer default is simulated, which is further specified into Chapter 11 and Chapter 7 bankruptcies. Manufacturer default probability is modeled based on committee assessment, often with reference to the manufacturer rating. Next, the simulation model simulates dealer default, which takes place randomly throughout the two year amortization period. The final step in simulation is to calculate total principal collections. For non-defaulting dealers, outstanding floorplan balances are assumed to be paid in full at the end of the two year amortization period and losses will be zero. For defaulted dealers, the model calculates total collateral at risk determined by payment rate prior to dealer default and then applies a recovery rate under different circumstances where the manufacturer is either in a non-bankrupt status, a Chapter 11 bankruptcy or a Chapter 7 bankruptcy. Each simulation run simulates a total loss and corresponding internal rate of return reduction for each bond. This IRR helps form the quantitative basis of Moody's rating assessment. Moody's also evaluates qualitative factors such as the quality of provided information, servicer strength, and dealership profile. Combining the qualitative and quantitative analysis, a final rating level is determined. Servicer Chrysler Financial Canada is a wholly-owned subsidiary of Chrysler Financial Services Americas LLC, which is an indirect wholly-owned subsidiary of Chrysler Holding LLC, and engages in providing consumer and dealer automotive financing for the products of Chrysler Canada and other manufacturers, including retail and lease financing for vehicles, dealer inventory and other financing needs. Chrysler Holding owns both Chrysler Financial Canada and Chrysler Canada. Long-term senior unsecured debt ratings for Chrysler Financial and Chrysler Holding are Ca and C, respectively. The rating outlook for Chrysler Financial is negative. CHASE MORTGAGE: Moody's Downgrades Ratings on 147 Tranches ---------------------------------------------------------- Moody's Investors Service has downgraded 147 tranches and confirmed 4 tranches from 9 Chase Mortgage Finance Trust 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: Chase Mortgage Finance Trust Series 2006-S2 -- Cl. 1-A1, Downgraded to Ba2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A6, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A7, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A8, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A9, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A10, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A11, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A12, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A13, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A14, Downgraded to Ba3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 1-A15, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A16, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A17, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A18, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A19, Downgraded to B1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to Ba2; previously on 3/19/2009 Aa3 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 Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A4, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A5, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A6, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A7, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A8, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-AX, Confirmed at A1; 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-M, Downgraded to C; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade Chase Mortgage Finance Trust Series 2006-S3 -- Cl. 1-A1, Downgraded to Ba3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to B1; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to B2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to A3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to Ba2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A6, Downgraded to Ba3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A7, Downgraded to B1; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to Ba2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Ba3; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Ba2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to B2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2-AX, Downgraded to Ba2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B1; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-M, Downgraded to C; previously on 3/19/2009 B2 Placed Under Review for Possible Downgrade Chase Mortgage Finance Trust Series 2006-S4 -- 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-3, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Baa1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Ca; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to B3; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to B3; previously on 3/19/2009 Baa3 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 Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to Ba1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-20, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-21, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-22, Downgraded to B3; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-23, Downgraded to B3; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Baa1; previously on 3/19/2009 A1 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-M, Downgraded to C; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade Chase Mortgage Finance Trust Series 2007-S1 -- Cl. A-1, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba3; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ca; previously on 3/19/2009 Ba2 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 A2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to A3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to B2; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to A2; previously on 3/19/2009 Aa2 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-M, Downgraded to C; previously on 3/19/2009 Caa2 Placed Under Review for Possible Downgrade Chase Mortgage Finance Trust Series 2007-S2 -- Cl. 1-A1, Downgraded to Baa3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Baa3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to Ca; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A6, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A7, Confirmed at Baa3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A8, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A9, Confirmed at Ba2; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to Baa3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to B3; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to B3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2-AX, Downgraded to B3; previously on 3/19/2009 Baa3 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-M, Downgraded to C; previously on 3/19/2009 Caa2 Placed Under Review for Possible Downgrade Chase Mortgage Finance Trust Series 2007-S4 -- Cl. A-1, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B2; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B2; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B3; previously on 3/19/2009 Baa1 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 B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to B2; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to B3; previously on 3/19/2009 Ba2 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 B3; previously on 3/19/2009 Ba2 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-18, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-X, 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 Ba3 Placed Under Review for Possible Downgrade Chase Mortgage Finance Trust Series 2007-S5 -- Cl. 1-A1, Downgraded to Ba3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Ba3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A19, Downgraded to Ba3; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade Chase Mortgage Finance Trust Series 2007-S6 -- Cl. 1-A1, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Ca; previously on 3/19/2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to B3; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to B3; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-AX, Downgraded to B1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B3; previously on 3/19/2009 B1 Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C; previously on 3/19/2009 Caa3 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 Chase Mortgage Finance Trust, Series 2006-A1 -- Cl. 1-A1, Downgraded to B1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to B3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to B3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to Ca; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to B1; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to B2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A4, Downgraded to Ca; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-AX, Downgraded to B2; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to B2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Ca; previously on 3/19/2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to Ba1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 4-A2, Downgraded to Ca; previously on 3/19/2009 Ba1 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. CHRYSLER CANADA: DBRS Keeps Lease and Loan Securitizations Ratings ------------------------------------------------------------------ Dominion Bond Rating Service said that the current ratings remain unchanged for all outstanding retail lease and retail loan auto- backed securitization transactions supported by discrete pools of retail lease and retail loans originated by Chrysler Canada Inc. and its affiliates. Despite the bankruptcy filing by Chrysler LLC, certain positive factors exist to support the current ratings assigned to the various notes. DBRS also notes that at this time, neither Chrysler Canada nor any of its Canadian affiliates are included in the Chrysler LLC filing announced April 30, 2009. These factors include: (1) Performance on the lease and loan transactions evidencing a geographically diverse consumer base that continues to meet monthly payment obligations within the base loss expectations established at the outset of the transactions. (2) Enhancement levels that have in all cases increased since transaction inception. (3) Non-amortizing features of the enhancement that will allow the total level of enhancement available for losses to continue to grow as the note balances are repaid. (4) A diverse portfolio of vehicles that includes light-duty trucks, minivans, mid-sized passenger vehicles and fuel- efficient or economy cars. (5) Bankruptcy-remote transaction structures supported by opinions from nationally recognized legal counsel. DBRS will continue to monitor the status of the bankruptcy and its implications on the servicer, the servicers' operations and performance of the obligors in the transactions it rates and will take action, if warranted. CHRYSLER FINANCIAL: Moody's Takes Rating Actions on Dealer Notes ---------------------------------------------------------------- Moody's Investors Service has taken these ratings actions on dealer floorplan asset-backed notes issued by Chrysler Financial Services Americas LLC: Master Chrysler Financial Owner Trust 2006-A (formerly known as DaimlerChrysler Master Owner Trust 2006-A) -- Class A Notes, Downgraded from Baa3 to B2 and remain under review for further possible downgrade; previously on January 14, 2009, downgraded from A3 to Baa3 under review for further possible downgrade Master Chrysler Financial Owner Trust 2008-B (formerly known as DaimlerChrysler Master Owner Trust 2008-B) -- Class A Notes, Downgraded from A1 to Baa3 and remain under review for further possible downgrade; previously on January 14, 2009, downgraded from Aaa to A1 under review for further possible downgrade Both transactions are issued out of a single master trust whose assets consist of a revolving pool of receivables payable by dealers and secured primarily by the dealers' related inventory, which consists primarily of cars and light trucks manufactured by Chrysler LLC. The dealers' accounts were originated and are serviced by Chrysler Financial. The 2006-A Class A Notes will begin their accumulation phase in June. Rationale On April 21, Moody's downgraded the Corporate Family Ratings for Chrysler to C. The downgrade of the corporate rating was driven by the impact that the unprecedented erosion in the North American auto markets is having on Chrysler's ongoing viability, and on the value of its tangible assets and its various brands. The actions on the Chrysler floor plan securitizations also reflect the significant negative effect that a possible bankruptcy could have on key performance factors in the floorplan transactions. A potential Chrysler bankruptcy (reorganization or liquidation) could lead to high dealer default rates, depressed collateral recovery values, and could severely constrain the servicer's ability to monitor dealers and secure collateral if numerous dealers default in a short period of time. Since Moody's last rating actions on the floor plan transactions on January 14, 2009, the probability of a Chrysler bankruptcy has increased. The rating actions reflect the current bankruptcy probability and the significant event risk facing Chrysler's outstanding floorplan transactions caused by the near term uncertainty surrounding Chrysler's future. The notes remain on review for further possible downgrade due to significant uncertainty surrounding Chrysler in 2009. On March 31, the Obama administration rejected the restructuring plans submitted by Chrysler. The administration also affirmed its willingness to rely on the bankruptcy process to restructure the company unless it can formulate a new plan that the administration determines will be effective in restoring its competitiveness. Chrysler faces a significant burden in demonstrating its viability due to a narrow window for submitting a revised plan (by April 30, 2009) and therefore has a high risk of filing for bankruptcy, in Moody's view. The ratings are now consistent with Moody's expectation that a Chapter 11 filing is quite likely but that an immediate Chapter 7 filing is not likely. Moody's will continue to monitor developments and will further assess the potential impact on their rated outstanding floorplan transactions as necessary. The uncertainty related to potential developments, particularly the potential for a Chapter 7 filing by Chrysler later this year, underlies the continued review process for the transactions. Rating Methodology Moody's floorplan analysis is based on a joint-default probability analysis of both the manufacturer and dealers with loss given default determined by collateral at risk net of recoveries. The total collateral at risk with a joint-default is the remaining unpaid floorplan loan calculated based on the monthly payment rate prior to dealer default. The analysis is implemented through a simulation model, which simulates losses during a two year amortization period following an event of default based on a set of key modeled assumptions: * Manufacturer bankruptcy scenarios * Dealer default rates * Recovery rates * Payment rates In addition, Moody's includes other modeled assumptions in the simulation model such as linkage of default probability between manufacturer and dealer to macroeconomic activity, linkage between manufacturer and dealer default probability, and sold-out-of-trust assumptions. Modeled assumptions form the basis of the quantitative analysis executed through a simulation model. Manufacturer default is simulated, which is further specified into Chapter 11 and Chapter 7 bankruptcies. Manufacturer default probability is modeled based on committee assessment, often with reference to the manufacturer rating. Next, the simulation model simulates dealer default, which takes place randomly throughout the two year amortization period. The final step in simulation is to calculate total principal collections. For non-defaulting dealers, outstanding floorplan balances are assumed to be paid in full at the end of the two year amortization period and losses will be zero. For defaulted dealers, the model calculates total collateral at risk determined by payment rate prior to dealer default and then applies a recovery rate under different circumstances where the manufacturer is either in a non-bankrupt status, a Chapter 11 bankruptcy or a Chapter 7 bankruptcy. Each simulation run simulates a total loss and corresponding internal rate of return reduction for each bond. This IRR helps form the quantitative basis of Moody's rating assessment. Moody's also evaluates qualitative factors such as the quality of provided information, servicer strength, and dealership profile. Combining the qualitative and quantitative analysis, a final rating level is determined. Servicer Chrysler Financial is a wholly-owned indirect subsidiary of Chrysler Holding LLC and engages in providing consumer and dealer automotive financing for the products of Chrysler LLC and other manufacturers, including retail and lease financing for vehicles, dealer inventory and other financing needs. Chrysler Holding owns both Chrysler Financial and Chrysler. Long-term senior unsecured debt ratings for Chrysler Financial and Chrysler are Ca and C, respectively. The rating outlook for Chrysler Financial is negative. CHRYSLER FINANCIAL: Moody's Reviews Ratings on Five Tranches ------------------------------------------------------------ Moody's Investors Service has placed five subordinate tranches from three auto loan securitizations sponsored by Chrysler Financial Services Americas LLC on review for possible downgrade. On April 21, Moody's downgraded the Corporate Family Ratings for Chrysler LLC to C. The downgrade of the corporate rating was driven by the impact that the unprecedented erosion in the North American auto markets is having on Chrysler's ongoing viability, and on the value of its tangible assets and its various brands. The rating actions on the loan transactions were prompted by the additional stress that a possible bankruptcy of Chrysler LLC, the manufacturer of the underlying vehicles, could have on the recoveries of vehicles backing defaulted accounts. The ratings of the subordinate securities in these pools are more sensitive to recoveries than Chrysler-sponsored transactions issued prior to 2007 due to significantly higher than expected defaults relative to available credit enhancement. During its review, Moody's will continue to monitor developments and will further assess the potential impact of lower recoveries on the credit enhancement available to the securities affected. Complete rating actions are: Issuer: Chrysler Financial Auto Securitization Trust 2007-A -- Cl. B, Placed on Review for Possible Downgrade; previously on February 18, 2009, Downgraded to Baa3 from A2 -- Cl. C, Placed on Review for Possible Downgrade; previously on February 18, 2009, Upgraded to Ba2 from B1 Issuer: Chrysler Financial Auto Securitization Trust 2008-A -- Cl. B, Placed on Review for Possible Downgrade; previously on February 18, 2009, Downgraded to Baa3 from Aa3 -- Cl. C, Placed on Review for Possible Downgrade; previously on February 18, 2009, Downgraded to Ba3 from Baa2 Issuer: Chrysler Financial Auto Securitization Trust 2008-B -- Cl. B, Placed on Review for Possible Downgrade; previously on February 18, 2009, Downgraded to Ba1 from A2 Originator and Servicer Chrysler Financial is a wholly-owned indirect subsidiary of Chrysler Holding LLC and engages in providing consumer and dealer automotive financing for the products of Chrysler LLC and other manufacturers, including retail and lease financing for vehicles, dealer inventory and other financing needs. Chrysler Holding owns both Chrysler Financial and Chrysler LLC. The Corporate Family Ratings for Chrysler Financial and Chrysler LLC are Ca and C, respectively. The outlook for both ratings is negative. CHRYSLER FINANCIAL: Moody's Downgrades Ratings on Two Classes ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two classes of notes from two auto lease securitizations sponsored by Chrysler Financial Services Americas LLC. The transactions remain on review for further possible downgrade. On April 21, Moody's downgraded the Corporate Family Ratings for Chrysler LLC to C. The downgrade of the corporate rating was driven by the impact that the unprecedented erosion in the North American auto markets is having on Chrysler's ongoing viability, and on the value of its tangible assets and its various brands. The actions on the Chrysler Financial lease securitizations also reflect the impact that a possible bankruptcy of the manufacturer could have on the residual values of the vehicles backing the underlying lease pool. Vehicle residual values are crucial to the performance of auto lease transactions since they comprise a significant portion of the collateral value that is securitized. Moreover, exposure to residual values grows over time as leases near termination. Used vehicle prices, and hence residual values, have experienced unprecedented volatility at various points during the last twelve months for Chrysler as well as the auto industry as a whole; it is likely that a manufacturer bankruptcy would put further pressure on vehicle values. The rating actions reflect the current bankruptcy probability and the significant event risk facing Chrysler's outstanding lease transactions. The ratings are now consistent with Moody's expectation that a Chapter 11 filing is quite likely but that an immediate Chapter 7 filing is not likely. The notes remain on review for further possible downgrade due to significant uncertainty surrounding Chrysler in 2009. Moody's will continue to monitor developments and will further assess the potential impact on their rated outstanding lease transactions as necessary. On March 31, the Obama administration rejected as inadequate the restructuring plans submitted by Chrysler. The administration also affirmed its willingness to rely on the bankruptcy process to restructure the company unless it can formulate a new plan that the administration determines will be effective in restoring its competitiveness. Chrysler faces a difficult burden in demonstrating its viability due to a narrow window for submitting a revised plan (by April 30, 2009). The complete rating actions are: Issuer: Chrysler CA Lease Receivables Trust II, CALN2 Notes -- CALN2 Class A Note, Downgraded to Baa3 and Placed on Review for Possible Downgrade; previously on April 23, 2009, Baa1 Placed on Review for Possible Downgrade Issuer: Chrysler CA Lease Receivables Trust II, CALW2 Notes -- CALW2 Class A Note, Downgraded to Ba3 and Placed on Review for Possible Downgrade; previously on April 23, 2009, Baa2 Placed on Review for Possible Downgrade Originator and Servicer Chrysler Financial is a wholly-owned indirect subsidiary of Chrysler Holding LLC and engages in providing consumer and dealer automotive financing for the products of Chrysler LLC and other manufacturers, including retail and lease financing for vehicles, dealer inventory and other financing needs. Chrysler Holding owns both Chrysler Financial and Chrysler LLC. The Corporate Family Ratings for Chrysler Financial and Chrysler LLC are Ca and C, respectively. The outlook for both ratings is negative. CHRYSLER FINANCIAL: DBRS Puts Ratings on 2 Deals Under Review ------------------------------------------------------------- Dominion Bond Rating Service placed the ratings for two retail auto securitizations Under Review with Developing Implications: -- Chrysler Financial Auto Securitization Trust 2008-A; and -- Chrysler Financial Auto Securitization Trust 2008-B Details on the different classes of securities under the Trusts are available at http://bankrupt.com/misc/DBRSChrysler.PDF The current balance under CFAST 2008-A is $946,738,287. The current balance under CFAST 2008-B is $1,046,770,938. The ratings have been placed Under Review with Developing Implications as a result of the current performance of the transactions and the potential for further impact on the performance due to the filing by Chrysler LLC for protection under Chapter 11 of the U.S. Bankruptcy Code. Chrysler is the parent company of Chrysler Financial Services Americas LLC, the originator and servicer for both 2008 transactions. Certain positive factors are present to support the current ratings assigned to the notes. These factors include: a consistent yield which is provided by a structural discount mechanism, an increase in the credit support underlying the rated notes from the date of the initial issuance, an addition of $30 million placed in the reserve account for the 2008-A Trust, and stable delinquency statistics. Negative factors may arise from the bankruptcy filing, which could affect the abilities of the servicer and, consequently, the note ratings. These factors include the possibility of a further increase in the cumulative net losses above the DBRS base case loss and modeling assumptions, and lower- than-expected coverage multiples for the 2008-A Trust. Collateral performance may also be exacerbated by continued declining macroeconomic factors such as increasing unemployment levels. DBRS will continue to monitor the status of the bankruptcy filing and its implications on the servicer, the servicers' operations and the performance of the obligors in the trusts. DBRS expects to resolve the Under Review status as expeditiously as possible and will provide updates as warranted. CIFC FUNDING: No Rating Action on 2006-I Notes From Moody's ----------------------------------------------------------- Moody's Investors Service has not withdrawn, reduced, or taken any other adverse action with respect to its current ratings on these notes issued by CIFC Funding 2006-I, Ltd., as the "Issuer", as a result of the Issuer's execution on April 20, 2009 of the Second Supplemental Indenture, as the "Second Supplemental Indenture", to the indenture, dated as of August 3, 2006, as the "Indenture": -- US$100,000,000 Class A-1LR Variable Funding Notes due 2020, Aaa; previously on September 28, 2006 Assigned Aaa; -- US$293,000,000 Class A-1L Floating Rate Notes due 2020, Aaa; previously on September 28, 2006 Assigned Aaa; -- US$26,500,000 Class A-2L Floating Rate Notes due 2020, Aa2 Under Review for Possible Downgrade; previously on March 4, 2009 Placed Under Review for Possible Downgrade; -- US$30,500,000 Class A-3L Floating Rate Notes due 2020, Baa3 Under Review for Possible Downgrade; previously on March 23, 2009 Baa3 Placed Under Review for Possible Downgrade; -- US$20,000,000 Class B-1L Floating Rate Notes due 2020, Ba3 Under Review for Possible Downgrade; previously on March 23, 2009 Ba3 Placed Under Review for Possible Downgrade; -- US$23,000,000 Class B-2L Floating Rate Notes due 2020, B3 Under Review for Possible Downgrade; previously on March 23, 2009 B3 Placed Under Review for Possible Downgrade; The Second Supplemental Indenture is being entered into pursuant to Section 8.2 of the Indenture and primarily modifies the definition of "Discount Debt Obligation." The Second Supplemental Indenture introduces the ability for deep discount obligation substitutions into this transaction, the exercise of which by the manager is subject to certain limitations as described below. The mechanism of DDO substitution permits the collateral manager to sell an asset and substitute it with another even if the substitute asset would otherwise fit the description of deep discount and receive full par credit for the substitute asset for over collateralization test purposes. Under the terms of the Second Supplemental Indenture, the purchase price of the substituted asset must be equal or greater than that of the existing asset, but in any event cannot be lower than 0.50. The Moody's Rating of the substituted asset must be higher than that of the disposed asset, subject to a minimum rating of B3 and excludes any assets with a SGL-4 designation. The Moody's Recovery Rate of the substituted asset cannot be lower than 45%, and must be equal to or greater than the recovery rate of the disposed asset, unless the substituted asset has a higher Moody's Rating. In that case, the recovery rate of the substituted asset can be lower if it has a higher Moody's Rating,: (i) if Moody's Recovery Rate of the disposed asset is equal to or greater than 60% and Moody's Rating of the substituted asset is 2 notches higher, then Moody's Recovery Rate of the substituted asset can be equal to or greater than 45%; (ii) if Moody's Recovery Rate of the disposed asset is equal to or greater than 60% and Moody's Rating of the substituted asset is 1 notch higher, then Moody's Recovery Rate of the substituted asset can be equal to or greater than 50%; (iii) if Moody's Recovery Rate of the disposed asset is below 60% but equal to or greater than 50% and Moody's Rating of the substituted asset is 1 notch higher, then Moody's Recovery Rate of the substituted asset can be equal to or greater than 45%. From a credit perspective, DDO substitution has two primary risks as described in Moody's press release dated March 6, 2009: one, that the manager may unintentionally purchase a new asset that is worse than the existing asset, and two, that the manager may use DDO substitution to artificially build par to circumvent diversion of cash flows to senior notes upon par deterioration. Moody's concluded that the Second Supplemental Indenture does not have a ratings impact at this time due to the fact that the risks of DDO substitution are mitigated by the limitations described previous paragraph. The manager is only permitted to substitute one asset for another, and only if the substitution meets the restrictions in price, rating and recovery rate, which together provide objective indication that the substituted asset does not deteriorate the transaction's portfolio at the time that the substitution is made. Furthermore, the amount of DDO substitution that can be performed is limited to 20% at any point in time of the transaction, with a sub-limit of 10% on DDO substitutions made below a purchase price of 0.60. Compliance with these concentration limits, as well as with the limits on purchase price, recovery rate and rating will be evidenced by the trustee's monthly reports. Finally, the ability to effect these substitutions is strictly limited to a technical dislocation period, which is defined as a period starting from the time when the LSTA leveraged loan index trades below 90% of par for 30 consecutive days and ending when such index trades above 90% of par for 30 consecutive days. Many CLO documents (to which Moody's is never a party) specify that, in order to amend the documents, the issuer must obtain an opinion from the rating agencies that the proposed amendment would not in and of itself result in the related ratings being downgraded or withdrawn at the time of the amendment. This type of provision is typically referred to in the CLO indenture as a "rating agency confirmation" or "RAC". Moody's is never obligated to provide a RAC, and the decision whether or not to issue a RAC lies entirely within Moody's sole discretion. Before providing a RAC for an amendment, the proposal will be reviewed by a Moody's credit committee which will consider, among other things, the performance of the specific CLO and collateral manager and the specifics of the proposed amendment and the particular structure of the CLO. A RAC is purely an opinion, as of the point in time at which the RAC is provided, that the proposed amendment in isolation does not introduce sufficient additional credit risk so as to negatively impact the related ratings. In other words, it does not consider the impact of other factors on the ratings, such as collateral deterioration. Also, the RAC does not address any other, non-credit related impact that the amendment might have. Moody's further emphasizes that a RAC is not a substitute for noteholder consent or for independent analyses by noteholders of the impact on them of any proposed amendment. CIFC FUNDING: No Rating Actions on 2006-II Notes From Moody's ------------------------------------------------------------- Moody's Investors Service has not withdrawn, reduced, or taken any other adverse action with respect to its current ratings on these notes issued by CIFC Funding 2006-II, Ltd., as the "Issuer", as a result of the Issuer's execution on April 20, 2009 of the First Supplemental Indenture, as the "Supplemental Indenture", to the indenture, dated as of December 20, 2006, as the "Indenture": -- US$65,000,000 Class A-1L Floating Rate Notes due 2021, Aaa; previously on January 16, 2007 Assigned Aaa; -- US$260,000,000 Class A-1LAt Floating Rate Notes due 2021, Aaa; previously on January 16, 2007 Assigned Aaa; -- US$100,000,000 Class A-1LAr Variable Funding Notes due 2021, previously on January 16, 2007 Assigned Aaa; -- US$40,000,000 Class A-1LB Floating Rate Notes due 2021, Aa1 Under Review for Possible Downgrade; previously on March 4, 2009 Placed Under Review for Possible Downgrade; -- US$35,000,000 Class A-2L Floating Rate Notes due 2021, Aa2 Under Review for Possible Downgrade; previously on March 4, 2009 Placed Under Review for Possible Downgrade; -- US$36,000,000 Class A-3L Floating Rate Notes due 2021, Baa3 Under Review for Possible Downgrade; previously on March 23, 2009 Baa3 Placed Under Review for Possible Downgrade; -- US$23,000,000 Class B-1L Floating Rate Notes due 2021, Ba3 Under Review for Possible Downgrade; previously on March 23, 2009 Ba3 Placed Under Review for Possible Downgrade; -- US$25,000,000 Class B-2L Floating Rate Notes due 2021, B3 Under Review for Possible Downgrade; previously on March 23, 2009 B3 Placed Under Review for Possible Downgrade; -- US$20,000,000 Class I Combination Notes, Baa2 Under Review for Possible Downgrade; previously on March 4, 2009 Placed Under Review for Possible Downgrade The Supplemental Indenture is being entered into pursuant to Section 8.2 of the Indenture and primarily modifies the definition of "Discount Debt Obligation." The Supplemental Indenture introduces the ability for deep discount obligation substitutions into this transaction, the exercise of which by the manager is subject to certain limitations as described below. The mechanism of DDO substitution permits the collateral manager to sell an asset and substitute it with another even if the substitute asset would otherwise fit the description of deep discount and receive full par credit for the substitute asset for overcollateralization test purposes. Under the terms of the Supplemental Indenture, the purchase price of the substituted asset must be equal or greater than that of the existing asset, but in any event cannot be lower than 0.50. The Moody's Rating of the substituted asset must be higher than that of the disposed asset, subject to a minimum rating of B3 and excludes any assets with a SGL-4 designation. The Moody's Recovery Rate of the substituted asset cannot be lower than 45%, and must be equal to or greater than the recovery rate of the disposed asset, unless the substituted asset has a higher Moody's Rating. In that case, the recovery rate of the substituted asset can be lower if it has a higher Moody's Rating,: (i) if Moody's Recovery Rate of the disposed asset is equal to or greater than 60% and Moody's Rating of the substituted asset is 2 notches higher, then Moody's Recovery Rate of the substituted asset can be equal to or greater than 45%; (ii) if Moody's Recovery Rate of the disposed asset is equal to or greater than 60% and Moody's Rating of the substituted asset is 1 notch higher, then Moody's Recovery Rate of the substituted asset can be equal to or greater than 50%; (iii) if Moody's Recovery Rate of the disposed asset is below 60% but equal to or greater than 50% and Moody's Rating of the substituted asset is 1 notch higher, then Moody's Recovery Rate of the substituted asset can be equal to or greater than 45%. From a credit perspective, DDO substitution has two primary risks as described in Moody's press release dated March 6, 2009: one, that the manager may unintentionally purchase a new asset that is worse than the existing asset, and two, that the manager may use DDO substitution to artificially build par to circumvent diversion of cash flows to senior notes upon par deterioration. Moody's concluded that the Supplemental Indenture does not have a ratings impact at this time due to the fact that the risks of DDO substitution are mitigated by the limitations described previous paragraph. The manager is only permitted to substitute one asset for another, and only if the substitution meets the restrictions in price, rating and recovery rate, which together provide objective indication that the substituted asset does not deteriorate the transaction's portfolio at the time that the substitution is made. Furthermore, the amount of DDO substitution that can be performed is limited to 20% at any point in time of the transaction, with a sub-limit of 10% on DDO substitutions made below a purchase price of 0.60. Compliance with these concentration limits, as well as with the limits on purchase price, recovery rate and rating will be evidenced by the trustee's monthly reports. Finally, the ability to effect these substitutions is strictly limited to a technical dislocation period, which is defined as a period starting from the time when the LSTA leveraged loan index trades below 90% of par for 30 consecutive days and ending when such index trades above 90% of par for 30 consecutive days. Many CLO documents (to which Moody's is never a party) specify that, in order to amend the documents, the issuer must obtain an opinion from the rating agencies that the proposed amendment would not in and of itself result in the related ratings being downgraded or withdrawn at the time of the amendment. This type of provision is typically referred to in the CLO indenture as a "rating agency confirmation" or "RAC". Moody's is never obligated to provide a RAC, and the decision whether or not to issue a RAC lies entirely within Moody's sole discretion. Before providing a RAC for an amendment, the proposal will be reviewed by a Moody's credit committee which will consider, among other things, the performance of the specific CLO and collateral manager and the specifics of the proposed amendment and the particular structure of the CLO. A RAC is purely an opinion, as of the point in time at which the RAC is provided, that the proposed amendment in isolation does not introduce sufficient additional credit risk so as to negatively impact the related ratings. In other words, it does not consider the impact of other factors on the ratings, such as collateral deterioration. Also, the RAC does not address any other, non-credit related impact that the amendment might have. Moody's further emphasizes that a RAC is not a substitute for noteholder consent or for independent analyses by noteholders of the impact on them of any proposed amendment. CIFC FUNDING: No Rating Action on 2006-I B Notes From Moody's ------------------------------------------------------------- Moody's Investors Service has not withdrawn, reduced, or taken any other adverse action with respect to its current ratings on these notes issued by CIFC Funding 2006-I B, Ltd., as the "Issuer", as a result of the Issuer's execution on April 20, 2009 of the Second Supplemental Indenture, as the "Second Supplemental Indenture", to the indenture, dated as of October 11, 2006, as the "Indenture": -- US$75,000,000 Class A-1LR Variable Funding Notes due 2020, Aaa; previously on October 11, 2006 Assigned Aaa; -- US$224,000,000 Class A-1L Floating Rate Notes due 2020, Aaa; previously on October 11, 2006 Assigned Aaa; -- US$22,000,000 Class A-2L Floating Rate Notes due 2020, Aa2 Under Review for Possible Downgrade; previously on March 4, 2009 Placed Under Review for Possible Downgrade;; -- US$22,500,000 Class A-3L Floating Rate Notes due 2020, Baa3 Under Review for Possible Downgrade; previously on March 23, 2009 Baa3 Placed Under Review for Possible Downgrade; -- US$14,500,000 Class B-1L Floating Rate Notes due 2020, Ba3 Under Review for Possible Downgrade; previously on March 23, 2009 Ba3 Placed Under Review for Possible Downgrade; -- US$16,000,000 Class B-2L Floating Rate Notes due 2020, B3 Under Review for Possible Downgrade; previously on March 23, 2009 B3 Placed Under Review for Possible Downgrade; The Second Supplemental Indenture is being entered into pursuant to Section 8.2 of the Indenture and primarily modifies the definition of "Discount Debt Obligation." The Second Supplemental Indenture introduces the ability for deep discount obligation substitutions into this transaction, the exercise of which by the manager is subject to certain limitations as described below. The mechanism of DDO substitution permits the collateral manager to sell an asset and substitute it with another even if the substitute asset would otherwise fit the description of deep discount and receive full par credit for the substitute asset for over collateralization test purposes. Under the terms of the Second Supplemental Indenture, the purchase price of the substituted asset must be equal or greater than that of the existing asset, but in any event cannot be lower than 0.50. The Moody's Rating of the substituted asset must be higher than that of the disposed asset, subject to a minimum rating of B3 and excludes any assets with a SGL-4 designation. The Moody's Recovery Rate of the substituted asset cannot be lower than 45%, and must be equal to or greater than the recovery rate of the disposed asset, unless the substituted asset has a higher Moody's Rating. In that case, the recovery rate of the substituted asset can be lower if it has a higher Moody's Rating,: (i) if Moody's Recovery Rate of the disposed asset is equal to or greater than 60% and Moody's Rating of the substituted asset is 2 notches higher, then Moody's Recovery Rate of the substituted asset can be equal to or greater than 45%; (ii) if Moody's Recovery Rate of the disposed asset is equal to or greater than 60% and Moody's Rating of the substituted asset is 1 notch higher, then Moody's Recovery Rate of the substituted asset can be equal to or greater than 50%; (iii) if Moody's Recovery Rate of the disposed asset is below 60% but equal to or greater than 50% and Moody's Rating of the substituted asset is 1 notch higher, then Moody's Recovery Rate of the substituted asset can be equal to or greater than 45%. From a credit perspective, DDO substitution has two primary risks as described in Moody's press release "Moody's Comments on Deep Discount Substitution Amendments" dated March 6, 2009: one, that the manager may unintentionally purchase a new asset that is worse than the existing asset, and two, that the manager may use DDO substitution to artificially build par to circumvent diversion of cash flows to senior notes upon par deterioration. Moody's concluded that the Second Supplemental Indenture does not have a ratings impact at this time due to the fact that the risks of DDO substitution are mitigated by the limitations described. The manager is only permitted to substitute one asset for another, and only if the substitution meets the restrictions in price, rating and recovery rate, which together provide objective indication that the substituted asset does not deteriorate the transaction's portfolio at the time that the substitution is made. Furthermore, the amount of DDO substitution that can be performed is limited to 20% at any point in time of the transaction, with a sub-limit of 10% on DDO substitutions made below a purchase price of 0.60. Compliance with these concentration limits, as well as with the limits on purchase price, recovery rate and rating will be evidenced by the trustee's monthly reports. Finally, the ability to effect these substitutions is strictly limited to a technical dislocation period, which is defined as a period starting from the time when the LSTA leveraged loan index trades below 90% of par for 30 consecutive days and ending when such index trades above 90% of par for 30 consecutive days. Many CLO documents (to which Moody's is never a party) specify that, in order to amend the documents, the issuer must obtain an opinion from the rating agencies that the proposed amendment would not in and of itself result in the related ratings being downgraded or withdrawn at the time of the amendment. This type of provision is typically referred to in the CLO indenture as a "rating agency confirmation" or "RAC". Moody's is never obligated to provide a RAC, and the decision whether or not to issue a RAC lies entirely within Moody's sole discretion. Before providing a RAC for an amendment, the proposal will be reviewed by a Moody's credit committee which will consider, among other things, the performance of the specific CLO and collateral manager and the specifics of the proposed amendment and the particular structure of the CLO. A RAC is purely an opinion, as of the point in time at which the RAC is provided, that the proposed amendment in isolation does not introduce sufficient additional credit risk so as to negatively impact the related ratings. In other words, it does not consider the impact of other factors on the ratings, such as collateral deterioration. Also, the RAC does not address any other, non-credit related impact that the amendment might have. Moody's further emphasizes that a RAC is not a substitute for noteholder consent or for independent analyses by noteholders of the impact on them of any proposed amendment. CITIGROUP MORTGAGE: DBRS Junks Ratings on 5 Re-REMIC 2009-4 Certs. ------------------------------------------------------------------ Dominion Bond Rating Service assigned these ratings to the Re- REMIC Trust Certificates, Series 2009-4 issued by Citigroup Mortgage Loan Trust 2009-4 (the Trust): -- $3.8 million Class 1A2 rated at C -- $6.8 million Class 2A2 rated at B (high) -- $7.7 million Class 3A2 rated at B (high) -- $6.2 million Class 4A3 rated at C -- $10.9 million Class 5A2 rated at B (high) -- $18.7 million Class 6A3 rated at C -- $7.4 million Class 7A5* rated at B -- $2.4 million Class 7A6** rated at B (high) -- $1.3 million Class 7A7** rated at BB -- $1.8 million Class 7A8** rated at BB -- $1.9 million Class 7A9** rated at B -- $4.1 million Class 8A2 rated at B (high) -- $4.4 million Class 9A2 rated at BB (low) -- $10.4 million Class 11A2 rated at C -- $10.7 million Class 12A2 rated at C -- $2.0 million Class 13A3 rated at BB (low) The ratings on the certificates reflect the credit enhancement provided by subordination on the underlying certificates within their respective groups. The ratings also reflect the quality of the underlying assets, which consist of 19 senior residential mortgage-backed securities. The Class 7A5 certificates (Initial Exchangeable Certificate) for the purposes of distribution of interest and principal and allocation of losses consist of the Class 7A1, Class 7A2, Class 7A3 and Class 7A4 components, which are exchangeable for Class 7A6, Class 7A7, Class 7A8 and Class 7A9, respectively (Subsequent Exchangeable Certificates). The Class 13A3 certificates consist of the Class 13A3-1 and Class 13A3-2 components. The Class 1A1, Class 2A1, Class 3A1, Class 4A1, Class 4A2, Class 5A1, Class 6A1, Class 6A2, Class 7A1, Class 7A2, Class 7A3, Class 7A4, Class 8A1, Class 9A1 Class 10A1, Class 10A2, Class 11A1, Class 12A1, Class 13A1 and Class 13A2 certificates are not rated by DBRS. Interest and principal payments on the certificates will be made on the 25th day of each month, commencing in May 2009. Interest payments will be distributed on a pro rata basis to the certificates within their respective groups. Principal will be distributed on a sequential basis to the certificates within their respective groups, in numerical order, until the certificate principal balances thereof are reduced to zero. Any losses realized from the underlying securities will be allocated in a reverse numerical order to the certificates within their respective groups. The Trust is a resecuritization consisting of 19 senior pass- through certificates represented by 17 real estate mortgage investment conduits (REMICs). The REMICs are backed by pools of mostly prime fixed- and adjustable-rate mortgages secured by first liens on one- to four-family properties. CLEARWATER FUNDING: Moody's Junks Ratings on Two 2001-A Notes ------------------------------------------------------------- Moody's Investors Service has downgraded its ratings on these notes issued by Clearwater Funding 2001-A Ltd.: -- US$11,250,000 Class A-3 Notes Due 2013, Downgraded to Ba1, previously on November 18, 2008 Downgraded to Baa2; -- US$5,000,000 Class B-1 Notes Due 2013, Downgraded to Caa2, previously on November 18, 2008 Downgraded to B3; -- US$8,250,000 Class B-2 Notes Due 2013, Downgraded to Caa2, previously on November 18, 2008 Downgraded to B3. According to Moody's, the rating actions taken on the notes are a result of applying Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The actions also reflect consideration of credit deterioration of the underlying portfolio. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009. Credit deterioration of the collateral pool is observed in, among others, a decline in the average credit rating (as measured through the weighted average rating factor), an increase in both the dollar amount of defaulted securities and the proportion of securities from issuers rated below investment grade, and failure of the Class B Overcollateralization Test. Moody's also assessed the collateral pool's elevated concentration risk in a small number of industries. This includes a significant concentration in debt obligations of companies in the banking, finance, real estate, and insurance industries, which Moody's views to be more strongly correlated in the current market environment. COMM 2005-C6: Moody's Affirms Ratings on 10 Classes of Certs. ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 10 classes and downgraded 11 classes of COMM 2005-C6, Commercial Mortgage Pass- Through Certificates. The downgrades are due to higher expected losses for the pool resulting from higher leverage, increased credit quality dispersion and anticipated losses from loans in special servicing. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the April 10, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 2% to $2.23 billion from $2.27 billion at securitization. The Certificates are collateralized by 137 loans, ranging in size from less than 1% to 10% of the pool, with the top 10 non-defeased loans representing 42% of the pool. At securitization the pool included three loans with investment grade underlying ratings. The performance of the Lowe's Universal Hotel Portfolio ($65.0 million -- 2.9%) has declined and the loan no longer has an underlying rating. The pool now includes two loans with underlying ratings, representing 10% of the pool. Nine loans, representing 5% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has not realized any losses since securitization. Currently there are 10 loans, representing 8% of the pool, in special servicing. The specially serviced loans include two loans that are among the pool's top 10 loans. The largest loan is the Tropicana Center ($55.4 million -- 2.5%), which is secured by a 578,000 square foot retail center located in Las Vegas, Nevada. The loan was transferred to special servicing in March 2009 due to payment default. The center was 67% occupied as of March 2009 compared to 90% at securitization. The second largest specially serviced loan is the Communities at Southwood ($50 million -- 2.2%), which is secured by 1,286 unit apartment complex located in Richmond, Virginia. The loan was transferred to special servicing in February 2008 and became real estate owned in May 2008. The complex was 75% occupied as of December 2008 compared to 98% at securitization. Two other specially serviced loans, representing 0.5% of the pool, are also REO. The special servicer has recognized appraisal reductions totaling $32.9 million on three of the specially serviced loans. Moody's estimates an aggregate loss of $96.4 million for the specially serviced loans. Moody's was provided with year-end 2007 and 2008 operating results for 97% and 72% of the pool, respectively. Moody's weighted average loan to value ratio for the conduit component, excluding the specially serviced loans, is 104% compared to 101% at Moody's prior full review in July 2007. In addition to the overall increase in LTV, the pool has experienced increased LTV dispersion. Based on Moody's analysis, 21% of the pool has a LTV ratio in excess of 120% compared to less than 1% at last review. The largest loan with an underlying rating is the Lakewood Center Loan ($218.0 million -- 9.8%), which is secured by the borrower's interest in a 2.1 million square foot regional mall located in Lakewood (Los Angeles County), California. The mall is anchored by Macy's, J.C. Penney, Target, Costco and Forever 21, which occupies the space formerly occupied by Mervyn's. The center was 97% occupied as of December 2008 compared to 89% at last review. In addition to Forever 21, several other major tenants have signed leases since last review, including Costco and Nordstrom Rack. Moody's current underlying rating is Baa3, the same as at last review. The second loan with an underlying rating is the 9701 Apollo Drive Loan ($6.1 million -- 0.3%), which is secured by a 94,000 square foot office building located in Largo (Prince George's County), Maryland. The property was 97% occupied as of January 2009 compared to 100% at last review. The loan is structured with a 15-year amortization schedule and has amortized by approximately 11% since last review. Moody's current shadow rating is Aa1 compared to Aa2 at last review. The Loews Universal Hotel Portfolio Loan ($65.0 million -- 2.9%) no longer has an underlying rating because of a decline in performance. The loan is a pari passu interest in a $450.0 million first mortgage loan secured by three full service hotel properties. The three hotels are all located in Orlando, Florida and total 2,400 guest rooms. The portfolio's net operating income has declined 18% since securitization. According to Smith Travel, the Orlando hotel market year-to-date performance through March 2009 declined 24% from the same period in 2008. Moody's anticipates that the portfolio's performance will continue to weaken in 2009 due to continued declines in tourist and business travel. Moody's current LTV is 111% compared to 67% at last review. The top three conduit loans represent 16.9% of the pool. The largest conduit loan is the Kaiser Center Loan ($147.0 million -- 6.6%), which is secured by a 785,000 square foot Class A office building located in Oakland, California. The property was 95% occupied as of January 2009 compared to 93% at last review. The largest tenants are BART (35% NRA; lease expiration July 2014) and the Regents of the University of California (13% NRA; lease expiration April 2016). Performance has declined slightly due to increased expenses. Moody's LTV is 118% compared to 115% at last review. The second largest conduit loan is the Private Mini Storage Portfolio ($144.7 million -- 6.5%), which is secured by a portfolio of 38 self storage facilities totaling 22,863 units and located in six states. Performance has been stable. Moody's LTV is 92%, the same as at last review. The third largest conduit loan is the Longacre House Loan ($85.0 million -- 3.8%), which is secured by a 293-unit Class A multifamily property located in New York City. The property was 95% occupied as of October 2008 compared to 98% at last review. Although property performance has been stable since securitization, rental revenues are expected to decline due to the softening of New York City's apartment market. The current asking rent is approximately 5% lower than in-place rents at securitization. Moody's LTV is 132% compared to 111% at last review. Moody's rating action is: -- Class A-1, $11,506,264, affirmed at Aaa; previously affirmed at Aaa on 7/23/2007. -- Class A-1A, $505,503,158, affirmed at Aaa; previously affirmed at Aaa on 7/23/2007. -- Class A-2, $184,500,000, affirmed at Aaa; previously affirmed at Aaa on 7/23/2007. -- Class A-3, $59,100,000, affirmed at Aaa; previously affirmed at Aaa on 7/23/2007. -- Class A-4, $35,500,000, affirmed at Aaa; previously affirmed at Aaa on 7/23/2007. -- Class A-5A, $792,716,000, affirmed at Aaa; previously affirmed at Aaa on 7/23/2007. -- Class A-5B, $113,246,000, affirmed at Aaa; previously affirmed at Aaa on 7/23/2007. -- Class A-AB, $71,900,000, affirmed at Aaa; previously affirmed at Aaa on 7/23/2007. -- Class A-J, $170,438,000, downgraded to A2 from Aaa; previously affirmed at Aaa on 7/23/2007. -- Class X-C, Notional, affirmed at Aaa; previously affirmed at Aaa on 7/23/2007 -- Class X-P, Notional, affirmed at Aaa; previously affirmed at Aaa on 7/23/2007 -- Class B, $45,450,000, downgraded to Baa1 from Aa2; previously affirmed at Aa2 on 7/23/2007 -- Class C, $19,884,000, downgraded to Baa2 from Aa3; previously affirmed at Aa3 on 7/23/2007 -- Class D, $36,928,000, downgraded to Ba2 from A2; previously affirmed at A2 on 7/23/2007 -- Class E, $28,406,000, downgraded to B2 from A3; previously affirmed at A3 on 7/23/2007 -- Class F, $25,566,000, downgraded to Caa2 from Baa1; previously affirmed at Baa1 on 7/23/2007 -- Class G, $25,565,000, downgraded to Caa3 from Baa2; previously affirmed at Baa2 on 7/23/2007 -- Class H, $22,726,000, downgraded to Ca from Baa3; previously affirmed at Baa3 on 7/23/2007 -- Class J, $14,203,000, downgraded to Ca from Ba1; previously affirmed at Ba1 on 7/23/2007 -- Class K, $11,362,000, downgraded to Ca from Ba2; previously affirmed at Ba2 on 7/23/2007 -- Class L, $5,681,000, downgraded to Ca from Ba3; previously affirmed at Ba3 on 7/23/2007 CORDS 2004-4: Moody's Junks Ratings on Class IV Units from 'Ba2' ---------------------------------------------------------------- Moody's Investors Service has downgraded its rating of notes issued by CORDS 2004-4, a collateralized debt obligation transaction referencing 70 ABS entities and 15 bespoke corporate synthetic CDOs, each of which references a portfolio of corporate entities. Moody's explained that the rating action taken is the result of (i) the application of revised and updated key modeling parameter assumptions that Moody's uses to rate and monitor ratings of Corporate Synthetic CDOs and (ii) the deterioration in the credit quality of the transaction's reference portfolio. The revisions affect key parameters in Moody's model for rating Corporate Synthetic CDOs: default probability, asset correlation, and other credit indicators such as ratings reviews and outlooks. Moody's initially analyzed and continues to monitor this transaction using primarily the methodology for Corporate Synthetic CDOs as described in Moody's Special Report: -- Moody's Approach to Rating Corporate Collateralized Synthetic Obligations (March 2009) The rating action is: -- Class IV Floating Rate Units, Downgraded to Ca; previously on 12/22/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade CORIOLANUS LIMITED: Moody's Cuts Rating on $125 Mil. Notes to 'C' ----------------------------------------------------------------- Moody's Investors Service has 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: C -- Prior Rating: Ca -- Prior Rating Date: 04/23/09 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. CORTS TRUST: S&P Cuts Rating on $100 Mil. Certificates to 'BB' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on CorTS Trust For J.C. Penny Debentures' US$100 million certificates to 'BB' from 'BBB-' and removed it from CreditWatch with negative implications. The rating action follows the April 16, 2009, lowering of the rating on the underlying securities, J.C. Penney Co. Inc.'s 7.625% debentures due March 1, 2097, to 'BB' from 'BBB-/Watch Neg'. The rating of the certificates is dependent on the rating on the underlying securities. COUNTRYWIDE HOME: Moody's Downgrades Ratings on 42 Tranches ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of forty two tranches issued in nine transactions from the CWABS Asset-Backed Certificates Trust, CWABS Asset-Backed Notes Trust and Countrywide Home Loan Trust shelves. The collateral backing each transaction consists of "hard money loans," or low loan-to-value loans to obligors with a blemished credit history. The loan mix includes primarily first lien, adjustable-rate and fixed-rate mortgage loans. The actions are triggered by higher than anticipated delinquency levels and severity of loss as well as slower than anticipated voluntary prepayments, resulting in higher updated loss expectation for the underlying collateral and lower coverage for the rated debt given available credit enhancement. The ratings on the securities are monitored by evaluating factors determined to be applicable to the credit profile of the securities, such as i) the nature, sufficiency, and quality of historical performance information regarding the asset class ii) an analysis of the collateral being securitized, iii) an analysis of the transaction's allocation of collateral cash flow and capital structure, and (iv) a comparison of these attributes against those of other similar transactions. General loss estimation methodology is outlined below, for recent as well as for more seasoned vintages. For recent vintages (2005 and later), Moody's calculates estimated losses for Scratch and Dent RMBS in a two-step process. First, serious delinquencies are projected through late 2009, primarily based upon recent performance. These projected delinquencies are converted into projected losses using lifetime roll rates (the probability of transition to default) averaging 60% for 60-day delinquencies, 90% for delinquencies greater than 90 days, 100% for foreclosure and 100% for REO, and severity assumption based on the higher of actual severities and 65%. The second step is to determine losses beyond 2009. Depending on a deal's performance, as well as collateral credit characteristics, such as loan type, or loan-to-value ratios and geographic concentrations of remaining current loans, Moody's assumes varying degrees of slowing in the loss rate (which is measured by loss-to- liquidation) for the remaining life of the deal. Typical degrees of slowing in loss rate after late 2009 range from 15% to 35%. For more seasoned vintages, Moody's calculates estimated losses for Scratch and Dent RMBS: -- Current delinquencies are used to project pipeline losses. -- Annual roll rates are assumed at 0% for 30 days, 15% for 60 days, 30% for 90 days, 65% for foreclosures and 90% for REO. -- Severities used are higher of 65% or actual historical severity for each transaction. -- Loss is calculated for the previous year. Expected annual loss is then derived from a weighted average of previous year loss and expected pipeline loss. The transaction expected loss is projected out over the deal's expected remaining life. Depending on a transaction's time of origination, a 75% weight can be applied to pipeline loss when it is considered to be more representative of future expected performance than the previous year's losses. - Expected loss is finally compared to credit enhancement to derive a rating. Loss estimates are subject to variability and, as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly if necessary. Complete rating actions are: Countrywide Home Loan Trust 2003-SD2 -- Cl. B-1, Downgraded to Caa3; previously on 11/30/2006 Downgraded to Ba3 Countrywide Home Loan Trust 2004-SD1 -- Cl. M-1, Downgraded to Aa3; previously on 2/12/2004 Assigned Aa2 -- Cl. M-2, Downgraded to Baa2; previously on 2/12/2004 Assigned A2 -- Cl. B-1, Downgraded to B1; previously on 11/27/2007 Downgraded to Ba1 -- Cl. B-2, Downgraded to Ca; previously on 11/27/2007 Downgraded to Caa1 Countrywide Home Loan Trust 2004-SD2 -- Cl. M-1, Downgraded to Aa3; previously on 6/10/2004 Assigned Aa2 -- Cl. M-2, Downgraded to Baa2; previously on 6/10/2004 Assigned A2 -- Cl. B-1, Downgraded to B3; previously on 11/27/2007 Downgraded to Ba3 -- Cl. B-2, Downgraded to C; previously on 11/27/2007 Downgraded to Ca CWABS Asset-Backed Notes Trust 2005-SD3 -- Cl. A-1, Downgraded to Baa3; previously on 11/21/2005 Assigned Aaa -- Cl. A-1-C, Downgraded to Baa3; previously on 11/21/2005 Assigned Aaa CWABS Asset-Backed Certificates Trust 2006-QH2 -- Cl. A-1-A, Downgraded to Caa2; previously on 1/8/2007 Assigned Aaa -- Cl. A-1-B, Downgraded to Caa3; previously on 1/8/2007 Assigned Aaa -- Cl. A-2, Downgraded to Ca; previously on 1/8/2007 Assigned Aaa -- Cl. M-1, Downgraded to C; previously on 6/25/2008 Downgraded to Baa1 -- Cl. M-2, Downgraded to C; previously on 6/25/2008 Downgraded to Caa1 -- Cl. M-3, Downgraded to C; previously on 6/25/2008 Downgraded to Caa3 -- Cl. B-1, Downgraded to C; previously on 6/25/2008 Downgraded to Ca CWABS Asset-Backed Certificates Trust 2007-QH1 -- Cl. A-1, Downgraded to B2; previously on 4/11/2007 Assigned Aaa -- Cl. M-1, Downgraded to C; previously on 4/11/2007 Assigned Aa1 -- Cl. M-2, Downgraded to C; previously on 4/11/2007 Assigned Aa2 -- Cl. M-3, Downgraded to C; previously on 6/25/2008 Downgraded to Ba3 -- Cl. M-4, Downgraded to C; previously on 6/25/2008 Downgraded to Caa3 -- Cl. B-1, Downgraded to C; previously on 6/25/2008 Downgraded to Ca CWABS Asset-Backed Certificates Trust 2007-QH2 -- Cl. A-1, Downgraded to Caa3; previously on 6/7/2007 Assigned Aaa -- Cl. M-1, Downgraded to C; previously on 6/7/2007 Assigned Aa1 -- Cl. M-2, Downgraded to C; previously on 6/7/2007 Assigned Aa2 -- Cl. M-3, Downgraded to C; previously on 6/25/2008 Downgraded to Caa1 -- Cl. M-4, Downgraded to C; previously on 6/25/2008 Downgraded to Ca CWABS Asset-Backed Certificates Trust 2007-QX1 -- Cl. A-1, Downgraded to Caa2; previously on 8/8/2007 Assigned Aaa -- Cl. M-1, Downgraded to C; previously on 8/8/2007 Assigned Aa1 -- Cl. M-2, Downgraded to C; previously on 8/8/2007 Assigned Aa2 -- Cl. M-3, Downgraded to C; previously on 6/25/2008 Downgraded to Baa3 -- Cl. M-4, Downgraded to C; previously on 6/25/2008 Downgraded to B2 -- Cl. M-5, Downgraded to C; previously on 6/25/2008 Downgraded to Caa1 CWABS Asset-Backed Certificates Trust 2007-SEA1 -- Cl. 2-A-1, Downgraded to Caa2; previously on 7/13/2007 Assigned Aaa -- Cl. 2-M-1, Downgraded to C; previously on 7/13/2007 Assigned Aa1 -- Cl. 2-M-2, Downgraded to C; previously on 7/13/2007 Assigned Aa2 -- Cl. 2-M-3, Downgraded to C; previously on 6/25/2008 Downgraded to Baa2 -- Cl. 2-M-4, Downgraded to C; previously on 6/25/2008 Downgraded to B2 -- Cl. 2-M-5, Downgraded to C; previously on 6/25/2008 Downgraded to Caa1 -- Cl. 2-M-6, Downgraded to C; previously on 6/25/2008 Downgraded to Ca CRESS 2008-1: Moody's Downgrades Ratings on Five Classes of Notes ----------------------------------------------------------------- Moody's Investors Service confirmed the ratings of one class and downgraded the ratings of five classes of Notes issued by CRESS 2008-1, Ltd. The rating actions are: -- Class A-1, $360,843,000, Floating Rate Notes Due 2042, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $120,282,000, Floating Rate Notes Due 2042, downgraded to A1 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $52,312,000, Floating Rate Notes Due 2042, downgraded to Baa1 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $15,000,000, Floating Rate Notes Due 2042, downgraded to Baa3 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $8,438,000, Floating Rate Notes Due 2042, downgraded to Ba1 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $10,312,000, Floating Rate Notes Due 2042, downgraded to Ba1 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded Classes A-2, B, C, D and E 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 10% concentration in CMBS collateral all of which was issued in 2007. The remaining collateral includes whole loans, subordinate debt and mezzanine debt. Moody's expects the aggregate default rate on CMBS loans (1.59% as of March 2009) to revert to its long-term historical average of 1.5% to 2.0% in 2009, and most likely to surpass this level as the market begins to form a bottom in 2010 and 2011. Commercial property values, which have declined about 21% from the peak reached in October 2007, are expected to decline an additional 5 to 15% over the next 18 to 24 months. Moody's has revised three key parameters in Moody's model for rating and monitoring commercial real estate collateralized debt obligations - asset correlation, default probability, and recovery rate. These revisions are generally consistent with recent revisions to the key parameter assumptions for rating and monitoring other collateralized debt obligation transactions backed by structured finance securities. Moody's has updated its asset correlation assumption for the commercial real estate sector to be consistent with one of Moody's CDO rating models, CDOROM v2.5 (released on February 3, 2009), which incorporates these new parameters. However, for CRE CDOs with non-CUSIP collateral, Moody's is reducing the maximum over concentration stress applied to correlation factors by half due to the diversity of tenants, property types, and geographic locations inherent in the collateral pools. Previously, the average asset correlations used for CMBS within CRE CDO deals ranged between 15% and 35%, depending on vintage and issuer diversity. In light of the systemic seizure of the credit markets, as well as higher intra industry and inter industry asset correlations, the updated correlation parameters for CRE CDOs will imply an average range of asset correlations of between 30% and 60% for the underlying collateral. Moody's has previously stated that CRE CDO deals with collateral concentrations in CMBS certificates will likely be among the first transactions to be affected by credit issues that arise, and that the additional leverage inherent in these deals creates the potential for greater ratings transitions compared to that of a first order transaction (i.e., those containing non-CUSIP assets). For CRE CDOs with CUSIP collateral, the additional default probability stress sometimes applied to resecuritization collateral will not be applied to Moody's review of conduit and fusion commercial mortgage backed securities collateral from the 2006 to 2008 vintages due to a recent ratings sweep of these transactions. Based on Moody's current expectations for commercial real estate performance, Moody's have migrated the ratings for recent vintage CMBS to levels that Moody's believe will remain relatively stable for the next 12 to 24 months. As such, Moody's has eliminated the vintage stress factor and default probability resecuritization stress from its analysis of deals with recent vintage CMBS collateral. For deals with pre-2006 CMBS collateral, Moody's is adopting the default probability resecuritization stress assumptions contained within CDOROM v2.5 to capture the leveraging effect and potential ratings volatility of the underlying collateral. For CMBS, this factor is equivalent to two times the probability of default for non-Aaa and six times the PD for Aaa-rated collateral. For CRE CDOs, this factor is equivalent to four times the probability of default for non-Aaa and twelve times the PD for Aaa-rated collateral. The lower stress for CMBS is due to the historical stable performance of this asset class. For CRE CDOs with non-CUSIP collateral, Moody's is eliminating the additional default probability stress in CDOROM v2.5 that is applied to corporate debt as Moody's anticipate that the underlying non-CMBS collateral will experience lower default rates and higher recovery rates. In addition, Moody's is reducing the maximum over concentration stress applied to correlation factors by half due to the diversity of tenants, property types, and geographic locations inherent in the collateral pools. For those deals that are significantly less diversified, Moody's will add back over concentration stress as warranted. In Moody's analysis of synthetic CRE CDOs, it historically employed a fixed recovery rate by the asset's original rating and tranche size. Moody's current analysis uses a simulation based mean recovery rate based on the asset's current rating and tranche size. This is consistent with the assumptions underlying CDOROM v2.5. With this more robust approach, Moody's expects to capture in Moody's ratings more of the tail risk associated with variability of recovery rates. As always, Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. The rating outcome may differ from the model output. Moody's monitors transactions on both a monthly basis through a review of the available Trustee Reports and a periodic basis through a full review. This is Moody's first review since securitization. Moody's review at securitization is summarized in a Press Release dated January 28, 2008. CW CAPITAL: Moody's Downgrades Ratings on 11 Classes of Notes ------------------------------------------------------------- Moody's Investors Service confirmed the ratings of three classes and downgraded the ratings of 11 classes of Notes issued by CW Capital COBALT II, Ltd. The rating actions are: -- Class A-1A, $270,800,000, Floating Rate Notes Due 2050, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-1AR, $100,000,000, Floating Rate Notes Due 2050, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2A, $51,530,000, Floating Rate Notes Due 2050, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-1B, $41,200,000, Floating Rate Notes Due 2050, downgraded to A1 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2B, $51,530,000, Floating Rate Notes Due 2050, downgraded to Aa2 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $46,760,000, Floating Rate Notes Due 2050, downgraded to Baa1 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $25,340,000, Floating Rate Notes Due 2050, downgraded to Baa3 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $11,340,000, Floating Rate Notes Due 2050, downgraded to Ba1 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $11,340,000, Floating Rate Notes Due 2050, downgraded to Ba2 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $14,910,000, Floating Rate Notes Due 2050, downgraded to Ba3 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $12,390,000, Floating Rate Notes Due 2050, downgraded to B1 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class H, $10,570,000, Floating Rate Notes Due 2050, downgraded to B2 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class J, $7,210,000, Floating Rate Notes Due 2050, downgraded to B3 from Ba1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class K, $9,800,000, Floating Rate Notes Due 2050, downgraded to Caa1 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's confirmed Classes A-1A, A-1AR and A-2A, and downgraded the remaining Classes due to deteriorating pool performance and revised modeling parameters. The pool contains a 57% concentration in CMBS collateral of which approximately 58% was issued between 2006 and 2008. The remaining collateral includes CDO securities, whole loans, loan participations, 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 its asset correlation assumption for the commercial real estate sector to be consistent with one of Moody's CDO rating models, CDOROM v2.5 (released on February 3, 2009), which incorporates these new parameters. However, for CRE CDOs with non-CUSIP collateral, Moody's is reducing the maximum over concentration stress applied to correlation factors by half due to the diversity of tenants, property types, and geographic locations inherent in the collateral pools. Previously, the average asset correlations used for CMBS within CRE CDO deals ranged between 15% and 35%, depending on vintage and issuer diversity. In light of the systemic seizure of the credit markets, as well as higher intra industry and inter industry asset correlations, the updated correlation parameters for CRE CDOs will imply an average range of asset correlations of between 30% and 60% for the underlying collateral. Moody's has previously stated that CRE CDO deals with collateral concentrations in CMBS certificates will likely be among the first transactions to be affected by credit issues that arise, and that the additional leverage inherent in these deals creates the potential for greater ratings transitions compared to that of a first order transaction (i.e., those containing non-CUSIP assets). For CRE CDOs with CUSIP collateral, the additional default probability stress sometimes applied to resecuritization collateral will not be applied to Moody's review of conduit and fusion commercial mortgage backed securities collateral from the 2006 to 2008 vintages due to a recent ratings sweep of these transactions. Based on Moody's current expectations for commercial real estate performance, Moody's have migrated the ratings for recent vintage CMBS to levels that Moody's believe will remain relatively stable for the next 12 to 24 months. As such, Moody's has eliminated the vintage stress factor and default probability resecuritization stress from its analysis of deals with recent vintage CMBS collateral. For deals with pre-2006 CMBS collateral, Moody's is adopting the default probability resecuritization stress assumptions contained within CDOROM v2.5 to capture the leveraging effect and potential ratings volatility of the underlying collateral. For CMBS, this factor is equivalent to two times the probability of default for non-Aaa and six times the PD for Aaa-rated collateral. For CRE CDOs, this factor is equivalent to four times the probability of default for non-Aaa and twelve times the PD for Aaa-rated collateral. The lower stress for CMBS is due to the historical stable performance of this asset class. For CRE CDOs with non-CUSIP collateral, Moody's is eliminating the additional default probability stress in CDOROM v2.5 that is applied to corporate debt as Moody's anticipate that the underlying non-CMBS collateral will experience lower default rates and higher recovery rates. In addition, Moody's is reducing the maximum over concentration stress applied to correlation factors by half due to the diversity of tenants, property types, and geographic locations inherent in the collateral pools. For those deals that are significantly less diversified, Moody's will add back over concentration stress as warranted. In Moody's analysis of synthetic CRE CDOs, it historically employed a fixed recovery rate by the asset's original rating and tranche size. Moody's current analysis uses a simulation based mean recovery rate based on the asset's current rating and tranche size. This is consistent with the assumptions underlying CDOROM v2.5. With this more robust approach, Moody's expects to capture in Moody's ratings more of the tail risk associated with variability of recovery rates. As always, Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. The rating outcome may differ from the model output. Moody's monitors transactions on both a monthly basis through a review of the available Trustee Reports and a periodic basis through a full review. Moody's prior full review is summarized in a press release dated July 14, 2008. CWABS INC: Moody's Downgrades Ratings on 145 Securities ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 145 securities issued by CWABS Asset-Backed Certificates Trust. Additionally, the ratings of 36 CWABS securities were placed on review for possible downgrade and 5 ratings were confirmed. These actions are part of an ongoing review of subprime RMBS transactions. The rating actions are the result of an analysis of credit enhancement relative to updated collateral loss projections. The revised loss projections generally result from deterioration in collateral performance in recent months. Additionally, most effected transactions have, at some point, passed performance triggers and released portions of credit enhancement. Moody's approach to analyzing seasoned subprime pools i.e. prior to 2H 2005 takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions, in this case averaging 67%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. The complete rating actions: CWABS Inc., Asset-Backed Certificates 2002-2 -- Cl. 1-A-1, Downgraded to Baa2; previously on 7/22/2002 Assigned Aaa -- Cl. 2-M-1, Downgraded to Baa3; previously on 2/6/2006 Upgraded to Aa1 -- Cl. M-2, Downgraded to Ba1; previously on 7/22/2002 Assigned A2 -- Cl. B-1, Downgraded to Ba2; previously on 7/22/2002 Assigned Baa2 CWABS Inc., Asset-Backed Certificates 2002-3 -- Cl. M-1, Downgraded to Baa2; previously on 10/21/2002 Assigned Aa2 -- Cl. M-2, Downgraded to Ba1; previously on 10/21/2002 Assigned A2 -- Cl. B-1, Downgraded to Ba1; previously on 10/21/2002 Assigned Baa2 CWABS Inc., Asset-Backed Certificates 2002-4 -- Cl. M-1, Downgraded to Baa2; previously on 1/29/2008 Downgraded to A2 CWABS, Inc., Asset-Backed Certificates 2002-6 -- Cl. AF-5, Downgraded to Aa3; previously on 1/23/2003 Assigned Aaa -- Cl. AF-6, Downgraded to Aa3; previously on 1/23/2003 Assigned Aaa -- Cl. M-1, Downgraded to Baa3; previously on 1/23/2003 Assigned Aa2 -- Cl. M-2, Downgraded to B3; previously on 1/23/2003 Assigned A2 -- Cl. B, Downgraded to B3; previously on 1/23/2003 Assigned Baa2 CWABS, Inc Asset-Backed Certificates 2002-BC1 -- Cl. A, Downgraded to Baa3; previously on 3/18/2002 Assigned Aaa -- Cl. A-IO, Downgraded to Baa3; previously on 3/18/2002 Assigned Aaa -- Cl. M-1, Downgraded to Ca; previously on 7/30/2007 Downgraded to A3 -- Cl. M-2, Downgraded to C; previously on 7/30/2007 Downgraded to B1 CWABS, Inc., Asset-Backed Ctfs 2002-BC2 -- Cl. A, Downgraded to Baa2; previously on 3/20/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-IO, Downgraded to Baa2; previously on 3/20/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3; previously on 3/20/2009 A1 Placed Under Review for Possible Downgrade CWABS, Inc., Asset-Backed Certificates 2002-BC3 -- Cl. M-2, Downgraded to B3; previously on 1/29/2008 Downgraded to Baa3 -- Cl. B-1, Downgraded to C; previously on 1/29/2008 Downgraded to Caa2 CWABS Inc., Asset-Backed Certificates 2003-1 -- Cl. M-1, Downgraded to A3; previously on 3/21/2003 Assigned Aa2 -- Cl. M-2, Downgraded to Ba1; previously on 3/21/2003 Assigned A2 -- Cl. B, Downgraded to Ba1; previously on 3/21/2003 Assigned Baa2 CWABS, Inc., Asset-Backed Certificates 2003-2 -- Cl. 3-A, Downgraded to Aa3; previously on 5/30/2003 Assigned Aaa -- Cl. M-1, Downgraded to Baa1; previously on 5/30/2003 Assigned Aa2 -- Cl. M-2, Downgraded to Ba1; previously on 5/30/2003 Assigned A2 CWABS, Inc. Asset-Bkd Ctfs, Ser 2003-3 -- Cl. 3-A, Downgraded to Aa2; previously on 7/31/2003 Assigned Aaa -- Cl. M-1, Downgraded to A1; previously on 7/31/2003 Assigned Aa2 -- Cl. M-2, Downgraded to A2; previously on 7/31/2003 Assigned Aa3 -- Cl. M-3, Downgraded to Baa1; previously on 7/31/2003 Assigned A1 -- Cl. M-4, Downgraded to Baa2; previously on 7/31/2003 Assigned A2 -- Cl. M-5, Downgraded to Baa3; previously on 7/31/2003 Assigned A3 -- Cl. M-6, Downgraded to Baa3; previously on 7/31/2003 Assigned Baa1 CWABS, Inc. Asset-Bkd Ctfs, Ser 2003-4 -- Cl. M-1, Downgraded to Baa1; previously on 11/30/2006 Upgraded to Aaa -- Cl. M-2, Downgraded to Baa2; previously on 11/30/2006 Upgraded to Aa1 -- Cl. M-3, Downgraded to Ba1; previously on 11/30/2006 Upgraded to A1 -- Cl. M-4, Downgraded to Ba3; previously on 9/3/2003 Assigned A3 -- Cl. M-5, Downgraded to B2; previously on 9/3/2003 Assigned Baa1 CWABS, Inc. Asset-Backed Certificates, 2003-5 -- Cl. MF-2, Downgraded to Aa3; previously on 11/30/2006 Upgraded to Aa1 -- Cl. MF-3, Downgraded to A1; previously on 11/30/2006 Upgraded to Aa2 -- Cl. MF-4, Downgraded to A3; previously on 11/30/2006 Upgraded to A1 -- Cl. MF-5, Downgraded to Baa2; previously on 11/30/2006 Upgraded to A2 -- Cl. BF, Downgraded to Baa3; previously on 11/30/2006 Upgraded to A3 -- Cl. MV-2, Aa3 Placed Under Review for Possible Downgrade; previously on 11/30/2006 Upgraded to Aa3 -- Cl. MV-3, A1 Placed Under Review for Possible Downgrade; previously on 11/30/2006 Upgraded to A1 -- Cl. MV-4, Baa1 Placed Under Review for Possible Downgrade; previously on 12/30/2003 Assigned Baa1 CWABS, Inc., Asset-Backed Ctfs 2003-BC1 -- Cl. A-1, Downgraded to Aa3; previously on 2/3/2003 Assigned Aaa -- Cl. M-1, Downgraded to A3; previously on 2/6/2006 Upgraded to Aa1 -- Cl. M-2, Downgraded to Baa2; previously on 10/24/2007 Downgraded to A2 -- Cl. B-1, Downgraded to Ba1; previously on 10/24/2007 Downgraded to Baa3 CWABS, Inc., Asset-Backed Ctfs 2003-BC2 -- Cl. M-1, Downgraded to Baa1; previously on 1/29/2008 Aa2 Placed Under Review for Possible Downgrade CWABS, Inc., Asset-Backed Ctfs 2003-BC4 -- Cl. M-2, Downgraded to A2; previously on 10/27/2003 Assigned Aa3 -- Cl. M-3, Downgraded to Baa1; previously on 10/27/2003 Assigned A1 -- Cl. M-4, Downgraded to Baa2; previously on 10/27/2003 Assigned A2 -- Cl. M-5, Downgraded to Ba1; previously on 10/27/2003 Assigned A3 -- Cl. M-6, Downgraded to B1; previously on 10/27/2003 Assigned Baa1 -- Cl. B, Downgraded to B2; previously on 10/27/2003 Assigned Baa2 CWABS, Inc., Asset-Backed Ctfs 2003-BC6 -- Cl. M-2, Downgraded to Aa3; previously on 11/30/2006 Upgraded to Aa1 -- Cl. M-3, Downgraded to A1; previously on 11/30/2006 Upgraded to Aa3 CWABS, Inc. Asset-Bkd Ctfs, Series 2004-2 -- Cl. M-3, Downgraded to A3; previously on 5/28/2004 Assigned A1 -- Cl. M-4, Downgraded to Baa1; previously on 5/28/2004 Assigned A2 -- Cl. M-5, Downgraded to Baa3; previously on 5/28/2004 Assigned A3 CWABS, Inc. Asset-Bkd Ctfs, Series 2004-3 -- Cl. M-5, Downgraded to Baa2; previously on 5/17/2004 Assigned A3 -- Cl. M-6, Downgraded to Baa3; previously on 5/17/2004 Assigned Baa1 CWABS, Inc. Asset-Bkd Ctfs, Series 2004-4 -- Cl. M-2, Downgraded to A2; previously on 5/20/2004 Assigned Aa3 -- Cl. M-3, Downgraded to Baa1; previously on 5/20/2004 Assigned A1 -- Cl. M-4, Downgraded to Baa2; previously on 5/20/2004 Assigned A2 -- Cl. M-5, Downgraded to Baa3; previously on 5/20/2004 Assigned A3 -- Cl. M-6, Downgraded to Ba2; previously on 5/20/2004 Assigned Baa1 -- Cl. M-7, Downgraded to B2; previously on 4/10/2008 Downgraded to Ba1 -- Cl. B, Downgraded to C; previously on 4/10/2008 Downgraded to B2 CWABS, Inc. Asset-Bkd Ctfs, Series 2004-5 -- Cl. M-6, Downgraded to Baa2; previously on 7/26/2004 Assigned Baa1 -- Cl. M-7, Downgraded to Baa3; previously on 7/26/2004 Assigned Baa2 -- Cl. B, Downgraded to Ba3; previously on 4/10/2008 Downgraded to Ba2 CWABS, Inc. Asset-Backed Ctfs, Series 2004-7 -- Cl. MF-4, Downgraded to Baa2; previously on 10/12/2004 Assigned Baa1 -- Cl. MF-5, Downgraded to Baa3; previously on 10/12/2004 Assigned Baa2 -- Cl. BF, Downgraded to Ba2; previously on 10/12/2004 Assigned Baa3 -- Cl. MV-5, A2 Placed Under Review for Possible Downgrade; previously on 10/12/2004 Assigned A2 -- Cl. MV-6, A3 Placed Under Review for Possible Downgrade; previously on 10/12/2004 Assigned A3 -- Cl. MV-7, Baa1 Placed Under Review for Possible Downgrade; previously on 10/12/2004 Assigned Baa1 -- Cl. MV-8, Ba1 Placed Under Review for Possible Downgrade; previously on 4/10/2008 Downgraded to Ba1 -- Cl. BV, Ba3 Placed Under Review for Possible Downgrade; previously on 4/10/2008 Downgraded to Ba3 CWABS, Inc. Asset-Backed Ctfs, Series 2004-9 -- Cl. MF-1, Downgraded to A1; previously on 4/10/2008 Upgraded to Aa1 -- Cl. MF-2, Downgraded to Baa1; previously on 4/10/2008 Upgraded to A1 -- Cl. MF-3, Downgraded to Baa2; previously on 10/7/2004 Assigned A3 -- Cl. MF-4, Downgraded to Baa3; previously on 10/7/2004 Assigned Baa1 -- Cl. MF-5, Downgraded to Ba3; previously on 10/7/2004 Assigned Baa2 -- Cl. BF, Downgraded to Caa2; previously on 10/7/2004 Assigned Baa3 -- Cl. MV-2, Aa2 Placed Under Review for Possible Downgrade; previously on 10/7/2004 Assigned Aa2 -- Cl. MV-3, Aa3 Placed Under Review for Possible Downgrade; previously on 10/7/2004 Assigned Aa3 -- Cl. MV-4, A1 Placed Under Review for Possible Downgrade; previously on 10/7/2004 Assigned A1 -- Cl. MV-5, A2 Placed Under Review for Possible Downgrade; previously on 10/7/2004 Assigned A2 -- Cl. MV-6, Baa2 Placed Under Review for Possible Downgrade; previously on 4/10/2008 Downgraded to Baa2 -- Cl. MV-7, Ba1 Placed Under Review for Possible Downgrade; previously on 4/10/2008 Downgraded to Ba1 -- Cl. MV-8, Ba2 Placed Under Review for Possible Downgrade; previously on 4/10/2008 Downgraded to Ba2 -- Cl. BV, B2 Placed Under Review for Possible Downgrade; previously on 4/10/2008 Downgraded to B2 CWABS, Inc., Asset-Backed Ctfs 2004-BC2 -- Cl. M-5, Downgraded to Baa3; previously on 5/18/2004 Assigned Baa2 -- Cl. B, Downgraded to B3; previously on 4/10/2008 Downgraded to B1 CWABS, Inc., Asset-Backed Ctfs 2004-BC3 -- Cl. M-3, Downgraded to Baa3; previously on 8/16/2004 Assigned Aa3 -- Cl. M-4, Downgraded to Ba1; previously on 8/16/2004 Assigned A1 -- Cl. M-5, Downgraded to Ba3; previously on 4/10/2008 Downgraded to Baa1 -- Cl. M-6, Downgraded to Caa3; previously on 4/10/2008 Downgraded to Baa2 -- Cl. M-7, Downgraded to C; previously on 4/10/2008 Downgraded to Ba1 -- Cl. M-8, Downgraded to C; previously on 4/10/2008 Downgraded to B1 -- Cl. B, Downgraded to C; previously on 4/10/2008 Downgraded to B1 CWABS Asset-Backed Certificates Tr 2004-BC5 -- Cl. M-5, Downgraded to Baa1; previously on 1/7/2005 Assigned A2 -- Cl. M-6, Downgraded to Baa2; previously on 1/7/2005 Assigned A3 -- Cl. M-7, Downgraded to Baa3; previously on 1/7/2005 Assigned Baa1 -- Cl. M-8, Downgraded to Ba3; previously on 1/7/2005 Assigned Baa2 -- Cl. B, Downgraded to Ca; previously on 1/7/2005 Assigned Baa3 CWABS, Inc., Asset-Backed Ctfs 2004-ECC1 -- Cl. M-4, Downgraded to Baa2; previously on 7/15/2004 Assigned A3 -- Cl. M-5, Downgraded to Baa3; previously on 7/15/2004 Assigned Baa1 CWABS, Inc. Asset-Backed Ctfs, Series 2004-10 -- Cl. MF-1, Downgraded to A1; previously on 10/12/2004 Assigned Aa2 -- Cl. MF-2, Downgraded to A2; previously on 10/12/2004 Assigned Aa3 -- Cl. MF-3, Downgraded to A3; previously on 10/12/2004 Assigned A1 -- Cl. MF-4, Downgraded to Baa1; previously on 10/12/2004 Assigned A2 -- Cl. MF-5, Downgraded to Baa2; previously on 10/12/2004 Assigned A3 -- Cl. MF-6, Downgraded to Baa3; previously on 10/12/2004 Assigned Baa1 -- Cl. MF-7, Downgraded to Ba1; previously on 10/12/2004 Assigned Baa2 -- Cl. BF, Downgraded to B2; previously on 10/12/2004 Assigned Baa3 -- Cl. MV-4, A1 Placed Under Review for Possible Downgrade; previously on 10/12/2004 Assigned A1 -- Cl. MV-5, A2 Placed Under Review for Possible Downgrade; previously on 10/12/2004 Assigned A2 -- Cl. MV-6, A3 Placed Under Review for Possible Downgrade; previously on 10/12/2004 Assigned A3 -- Cl. MV-7, Baa1 Placed Under Review for Possible Downgrade; previously on 10/12/2004 Assigned Baa1 -- Cl. MV-8, Ba1 Placed Under Review for Possible Downgrade; previously on 4/10/2008 Downgraded to Ba1 -- Cl. BV, Ba2 Placed Under Review for Possible Downgrade; previously on 4/10/2008 Downgraded to Ba2 CWABS Asset-Backed Certificates Trust 2004-12 -- Cl. MF-1, Downgraded to A1; previously on 1/10/2005 Assigned Aa2 -- Cl. MF-2, Downgraded to A2; previously on 1/10/2005 Assigned Aa3 -- Cl. MF-3, Downgraded to A3; previously on 1/10/2005 Assigned A1 -- Cl. MF-4, Downgraded to Baa1; previously on 1/10/2005 Assigned A2 -- Cl. MF-5, Downgraded to Baa2; previously on 1/10/2005 Assigned A3 -- Cl. MF-6, Downgraded to Baa3; previously on 1/10/2005 Assigned Baa1 -- Cl. MF-7, Downgraded to Ba2; previously on 1/10/2005 Assigned Baa2 -- Cl. BF, Downgraded to Caa1; previously on 1/10/2005 Assigned Baa3 -- Cl. MV-5, A2 Placed Under Review for Possible Downgrade; previously on 1/10/2005 Assigned A2 -- Cl. MV-6, A3 Placed Under Review for Possible Downgrade; previously on 1/10/2005 Assigned A3 -- Cl. MV-7, Baa1 Placed Under Review for Possible Downgrade; previously on 1/10/2005 Assigned Baa1 -- Cl. MV-8, Ba1 Placed Under Review for Possible Downgrade; previously on 4/10/2008 Downgraded to Ba1 -- Cl. BV, B2 Placed Under Review for Possible Downgrade; previously on 4/10/2008 Downgraded to B2 CWABS Asset-Backed Certificates Trust 2004-13 -- Cl. MF-2, Downgraded to A1; previously on 2/11/2005 Assigned Aa2 -- Cl. MF-3, Downgraded to A2; previously on 2/11/2005 Assigned Aa3 -- Cl. MF-4, Downgraded to A3; previously on 2/11/2005 Assigned A1 -- Cl. MF-5, Downgraded to Baa1; previously on 2/11/2005 Assigned A2 -- Cl. MF-6, Downgraded to Baa2; previously on 2/11/2005 Assigned A3 -- Cl. MF-7, Downgraded to Baa3; previously on 2/11/2005 Assigned Baa1 -- Cl. MF-8, Downgraded to B1; previously on 2/11/2005 Assigned Baa2 -- Cl. BF, Downgraded to Caa2; previously on 2/11/2005 Assigned Baa3 -- Cl. MV-6, A3 Placed Under Review for Possible Downgrade; previously on 2/11/2005 Assigned A3 -- Cl. MV-7, Baa1 Placed Under Review for Possible Downgrade; previously on 2/11/2005 Assigned Baa1 -- Cl. MV-8, Ba1 Placed Under Review for Possible Downgrade; previously on 4/10/2008 Downgraded to Ba1 -- Cl. BV, Ba3 Placed Under Review for Possible Downgrade; previously on 4/10/2008 Downgraded to Ba3 CWABS Asset-Backed Certificates Trust 2004-14 -- Cl. A-3, Confirmed at Aaa; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at Aaa; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Confirmed at Aaa; previously on 9/17/2008 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Confirmed at Aa1; previously on 9/17/2008 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Confirmed at Aa2; previously on 9/17/2008 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to A2; previously on 9/17/2008 Aa3 Placed Under Review for Possible Downgrade CWABS Asset-Backed Certificates Trust 2004-15 -- Cl. MF-4, Downgraded to A3; previously on 1/31/2005 Assigned A1 -- Cl. MF-5, Downgraded to Baa1; previously on 1/31/2005 Assigned A2 -- Cl. MF-6, Downgraded to Baa2; previously on 1/31/2005 Assigned A3 -- Cl. MF-7, Downgraded to Baa3; previously on 1/31/2005 Assigned Baa1 -- Cl. MF-8, Downgraded to Ba2; previously on 1/31/2005 Assigned Baa2 -- Cl. BF, Downgraded to B3; previously on 1/31/2005 Assigned Baa3 -- Cl. MV-5, A2 Placed Under Review for Possible Downgrade; previously on 1/31/2005 Assigned A2 -- Cl. MV-6, A3 Placed Under Review for Possible Downgrade; previously on 1/31/2005 Assigned A3 -- Cl. MV-7, Baa1 Placed Under Review for Possible Downgrade; previously on 1/31/2005 Assigned Baa1 -- Cl. MV-8, Baa2 Placed Under Review for Possible Downgrade; previously on 1/31/2005 Assigned Baa2 -- Cl. BV, Baa3 Placed Under Review for Possible Downgrade; previously on 1/31/2005 Assigned Baa3 CWABS, Inc. Asset-Backed Ctfs, Ser. 2004-AB1 -- Cl. M-1, Downgraded to A1; previously on 10/12/2004 Assigned Aa2 -- Cl. M-2, Downgraded to Baa3; previously on 10/12/2004 Assigned A1 -- Cl. M-3, Downgraded to Caa1; previously on 4/10/2008 Downgraded to A3 -- Cl. M-4, Downgraded to C; previously on 4/10/2008 Downgraded to Ba2 -- Cl. B, Downgraded to C; previously on 4/10/2008 Downgraded to Ca CWABS Asset-Backed Ctfs, Ser 2004-AB2 -- Cl. M-2, Downgraded to A3; previously on 2/11/2005 Assigned Aa2 -- Cl. M-3, Downgraded to Baa3; previously on 2/11/2005 Assigned Aa3 -- Cl. M-4, Downgraded to Ba1; previously on 2/11/2005 Assigned A1 -- Cl. M-5, Downgraded to B3; previously on 2/11/2005 Assigned A2 -- Cl. M-6, Downgraded to C; previously on 4/10/2008 Downgraded to Baa3 -- Cl. B, Downgraded to C; previously on 4/10/2008 Downgraded to Caa2 DALTON CDO: Fitch Downgrades Ratings on Six Classes of Notes ------------------------------------------------------------ Fitch Ratings downgrades six classes and affirms two classes of notes issued by Dalton CDO, Ltd.: -- $95,068,879 class A-1 a1 (undrawn TRS) notes downgraded to 'CCC' from 'BBB'; -- $50,000,000 class A-1 a2 notes downgraded to 'CC' from 'BBB- '; -- $36,000,000 class A-1 b1 notes downgraded to 'CC' from 'BB'; -- $40,000,000 class A-1 b2 notes downgraded to 'CC' from 'BB-'; -- $40,000,000 class A-2 notes downgraded to 'CC from 'B'; -- $57,400,000 class B notes downgraded to 'CC' from 'CCC'; -- $21,979,018 class C notes affirmed at 'C'; -- $20,734,751 class D notes affirmed at 'C'. Fitch has also removed the class A-1 a1, A-1 a2, A-1 b1, A-1 b2 and A-2 notes from Rating Watch Negative. Dalton declared an Event of Default as of Oct. 31, 2008 due to an Over collateralization Ratio Trigger Event when the class A-1 OC test ratio declined below 100%. According to the transaction's documents, a two-thirds majority of class A-1 a1 and class A-1 a2, voting separately, would have to vote to accelerate the transaction and end the reinvestment period. Until then, interest and principal collections will continue to be distributed according to the priority of payments. 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 88% of the portfolio to be rated below investment grade, of which 76.9% is considered rated 'CCC+' or lower. As of the March 31, 2009 trustee report, approximately 63.3% of the portfolio is now considered defaulted per the transaction's governing documents. Based on performance expectations for the portion of the portfolio rated 'CCC+' or lower, the class A-1 a1 notes are likely to experience principal shortfall. The class A-1 a2, A-1 b1, A-1 b2, A-2 and B notes are expected to continue receiving timely interest distributions, as they are paid prior to the first OC test, but are not expected to receive any principal repayment. The class C and D notes only received interest distributions on the first payment date in December 2007. The class A/B OC test has been failing since the March 2008 distribution date causing interest proceeds to be diverted to reduce the outstanding balance of the class A-1 a1 total return swap after paying class B accrued interest. The A/B OC test is 41.9% as of the March 31, 2009 trustee report, relative to a trigger of 108.6%, and it not expected to cure. Therefore the class C and D notes are not expected to receive any interest or principal distributions in the future. Dalton is a hybrid SF CDO that combines the use of synthetic and cash assets, and unfunded and funded liabilities. Dalton closed on June 28, 2007 and is managed by Dynamic Credit Partners, LLC. Dalton's reinvestment period will end in July 2011, unless voted to end earlier. The portfolio is comprised of SF CDOs (66.6%), residential mortgage-backed securities (18.7%), corporate CDOs (12.5%) and commercial mortgage-backed securities (2.2%). 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. DLJ COMMERCIAL: Fitch Affirms Ratings on 1999-CG1 Certificates -------------------------------------------------------------- Fitch Ratings affirms and assigns Rating Outlooks on DLJ commercial mortgage pass-through certificates, series 1999-CG1: -- $9.3 million class B-5 at 'BBB-'; Outlook Negative; -- $12.4 million class B-6 at 'B+'; Outlook Negative. -- $10.1 million class A-4 at 'AAA'; Stable Outlook; -- Interest-only class S at 'AAA'; Stable Outlook; -- $46.5 million class B-1 at 'AAA'; Stable Outlook; -- $15.5 million class B-2 at 'AAA'; Stable Outlook; -- $37.2 million class B-3 at 'AA+'; Stable Outlook; -- $21.7 million class B-4 at 'A-'; Stable Outlook; -- $12.4 million class B-7 at 'CCC/RR1'; -- $2.1 million class B-8 at 'C/RR6'. Fitch does not rate class C. Classes A-1A, A-1B, A-2, and A-3 have paid in full. Although credit enhancement has increased since Fitch's last review due to 71.5% pay down, an increase in Fitch expected losses and high concentration of specially serviced loans warrant affirmations. 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 collateral balance has been reduced 86.5%, to $167.2 million from $1.2 billion at issuance. Three loans (0.9%) have defeased. Fitch has identified 20 Loans of Concern (34.5%), including 18 assets (31.3%) that are in special servicing with significant losses expected. Eleven loans (25.3%) recently transferred to special servicing for maturity default. The largest specially serviced asset is an office property (8.0%) in Memphis, Tennessee. The borrower is making post-maturity scheduled payments while pursuing refinancing. The property is currently 71% occupied. The second through sixth largest specially serviced assets are secured by self storage properties in Michigan (4.0%). The loans are both cross-collateralized and cross-defaulted. The loan transferred in April 2009 for maturity default. The loans have an average occupancy of 72.0%. The seventh largest specially serviced asset is an industrial property (3.6%) located in Silver Spring, Maryland. The loan transferred in February 2009 for maturity default. The borrower negotiated a one-year loan extension with the servicer with a maturity date of March 2010. As of December 2008, the loan is 91.0% occupied. The largest Fitch Loan of Concern not in special servicing (2.5%) is secured by a retail plaza in Boca Raton, Florida. The property is 100% vacant. The former tenant is still making monthly rental payments. The largest remaining loan in the pool (15.5%) is secured by a 404,553 square foot retail plaza located in West Kendall, Florida. Occupancy as of December 2008 was 97.0%. The loan is scheduled to mature in February 2029. DPL CAPITAL: S&P Raises Ratings on 2002-1 SAT Units to 'BB+' ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on Structured Asset Trust Unit Repackagings DPL Capital Security Backed Series 2002-7's class A and B units to 'BBB' from 'BB+'. The rating actions follow the April 22, 2009, raising of S&P's rating on the underlying securities, DPL Capital Trust II's 8.125% trust preferred capital securities due Sept. 1, 2031, to 'BBB' from 'BB+'. The ratings on the units are dependent on the rating on the underlying securities. DPL CAPITAL: S&P Raises Ratings on 2002-3 SAT Units from 'BB+' -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on Structured Asset Trust Unit Repackagings DPL Capital Security Backed Series 2002-3's class A and B units to 'BBB' from 'BB+'. The rating actions follow the April 22, 2009, raising of S&P's rating on the underlying securities, DPL Capital Trust II's 8.125% trust preferred capital securities due Sept. 1, 2031, to 'BBB' from 'BB+'. The ratings on the units are dependent on the rating on the underlying securities. EMERALD INVESTMENT: Moody's Junks Ratings on $30 Mil. Notes ----------------------------------------------------------- Moody's Investors Service has downgraded its rating on these notes issued by Emerald Investment Grade CBO, Limited: -- US$30,000,000 Class III Mezzanine Secured Fixed Rate Notes Due 2011, Downgraded to Caa2; previously on December 21, 2006 Upgraded to B1. According to Moody's, the rating action taken on the notes is the result of applying Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The action also reflects consideration of credit deterioration of the underlying portfolio. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009. Credit deterioration of the collateral pool is observed in, among others, a decline in the average credit rating (as measured through the weighted average rating factor), an increase in the proportion of securities from issuers rated below investment grade, and failure of the Senior Interest Coverage Test and the Mezzanine Interest Coverage Test. Moody's also assessed the collateral pool's elevated concentration risk in a small number of industries. This includes a significant concentration in debt obligations of companies in the banking, finance, real estate, and insurance industries, which Moody's views to be more strongly correlated in the current market environment. EQUIFIRST MORTGAGE: Moody's Downgrades Rating on 15 Securities -------------------------------------------------------------- Moody's Investors Service has downgraded the rating of 15 securities from four transactions issued by EquiFirst. These actions are part of an ongoing review of subprime RMBS transactions. The rating actions are the result of an analysis of credit enhancement relative to updated collateral loss projections. The revised loss projections generally result from deterioration in collateral performance in recent months. Additionally, most effected transactions have, at some point, passed performance triggers and released portions of credit enhancement. Moody's approach to analyzing seasoned subprime pools i.e. prior to 2H 2005 takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions, in this case ranging from 75% to 80%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. The complete rating actions: Equifirst Mortgage Loan Trust 2003-1 -- Cl. M-3, Downgraded to Ca; previously on 11/28/2007 Downgraded to B3 Equifirst Mortgage Loan Trust 2004-1 -- Cl. B-1, Downgraded to C; previously on 11/28/2007 Downgraded to Caa3 Equifirst Mortgage Loan Trust 2004-2 -- Cl. M-5, Downgraded to Baa1; previously on 8/9/2004 Assigned A2 -- Cl. M-6, Downgraded to Baa2; previously on 8/9/2004 Assigned A3 -- Cl. M-7, Downgraded to Baa3; previously on 8/9/2004 Assigned Baa1 -- Cl. M-8, Downgraded to Ba3; previously on 11/28/2007 Downgraded to Ba1 -- Cl. M-9, Downgraded to C; previously on 11/28/2007 Downgraded to Ba3 -- Cl. B-1, Downgraded to C; previously on 11/28/2007 Downgraded to Caa3 Equifirst Mortgage Loan Trust 2004-3 -- Cl. M-5, Downgraded to A3; previously on 1/10/2005 Assigned A1 -- Cl. M-6, Downgraded to Baa2; previously on 1/10/2005 Assigned A2 -- Cl. M-7, Downgraded to Baa3; previously on 1/10/2005 Assigned A3 -- Cl. M-8, Downgraded to Ba1; previously on 11/28/2007 Downgraded to Baa2 -- Cl. M-9, Downgraded to B3; previously on 11/28/2007 Downgraded to Ba1 -- Cl. M-10, Downgraded to C; previously on 11/28/2007 Downgraded to Ba3 -- Cl. B-1, Downgraded to C; previously on 11/28/2007 Downgraded to B3 FINANCIAL GUARANTY: S&P Withdraws Ratings on Three Note Issues -------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on three Financial Guaranty Insurance Co. bond-insured medium-term note issues. The rating actions reflect the April 22, 2009, lowering of S&P's counterparty credit, financial strength, and financial enhancement ratings on FGIC to 'CC' from 'CCC', and the subsequent withdrawal of those ratings on FGIC and S&P's 'CC' counterparty credit rating on FGIC Corp., the holding company. S&P's outlook on FGIC is negative. Ratings Withdrawn Accent Texas Fund I L.P. US$22.792 mil CAPCO secd prom med-term nts ser 2005 due 03/01/2011 Rating ------ To From -- ---- NR CCC Accent Texas Fund II L.P. US$14.608 mil CAPCO nts med-term nts ser 2008 due 03/01/2015 Rating ------ To From -- ---- NR CCC Aegis New York Venture Fund L.P. US$6.126 mil CAPCO insured sr struct gtd nts med-term nts ser 2005 due 12/31/2016 Rating ------ CUSIP To From ----- -- ---- 00786*AA8 NR CCC NR -- Not rated. FLORIDA DEVELOPMENT: S&P Puts Neg Outlook on 'BB-' Bond Rating -------------------------------------------------------------- Standard & Poor's Ratings Services has revised the rating outlook on Florida Development Finance Corp.'s revenue bonds, issued on behalf of Palm Bay Academy Inc. Charter School, to negative from stable due to operating pressures placed on financial operations related to decreasing enrollment levels; the school expects it could need to use some trustee-held reserves in order to make debt service payments next year. With debt service expected to reach near maximum annual debt service levels in the next few years, additional pressure likely will be placed on the school to add and maintain enrollment; the uncertainty of Florida school funding fluctuations adds to this pressure. Standard & Poor's has affirmed its 'BB-' long-term rating on the bonds. "The negative outlook reflects our view of the considerable challenges facing the school regarding enrollment, which has a direct impact on its financial position," said Standard & Poor's credit analyst Jane Hudson Ridley. "If enrollment goals are met, and maintained, and structural balance is maintained, the outlook could be revised to stable. If enrollment levels negatively affect financial position and special reserves are needed to fund operations, the rating could be revised downward," she noted. The rating reflects a need, in Standard & Poor's view, to continue to increase student count in order to generate sufficient revenues to make debt service payments on the bonds; a recent midyear loss of enrollment that the school attributes to the troubled Florida economy, but that has resulted in lower enrollment figures this year and the sapping of the school's waiting list; a need to increase enrollment in grades Standard & Poor's views as more of a challenge to fill, such as middle school and the upper grades of the immersion program (grades one and two); and a trend of revising enrollment projections downward over time. Additional rating factors include the lack of a formal business plan to guide and ground decisions and expansion plans, without which the future direction and plans of the school appear likely to change from the current course; dependence on the founder and head of the school to continue to guide and operate the facility, which could be exacerbated by the addition of programs and campuses; a critical need, in Standard & Poor's view, to retain students in new curriculum-specific classes (specifically language immersion) where filling classes in the grades three to five could prove challenging; and the inherent uncertainty associated with charter renewals given that the final maturity of the bonds exceeds the time horizon of the existing charter. Offsetting factors include the length of the charter through 2012 following a 10-year renewal in 2002; good student demand, particularly in the lower grades; above-average test scores that are among the highest in the state; and adequate legal provisions, although the school can issue subordinate debt with a MADS test of 1x. A pledge of loan repayments by the borrower, Palm Bay Academy Inc. Charter School, secures the bonds. Securing the loan payments is a general full faith and credit pledge of the academy, including pledged revenues (fees, rentals, charges, and other income), with a first-lien mortgage on the property as additional security. A debt service reserve fund has been funded at the standard three- prong test. A separate restricted reserve was also established and funded with bond proceeds; it can be used for debt service. Per-pupil operating revenues flow through the county to the school before being remitted to the trustee for payment on the bonds. The school's operating revenues are based on 100% of the per-pupil revenues for the Brevard County schools, minus a 5% holdback fee kept by the district for administration of the school's charter. Palm Bay Academy was established in 1998 with an initial three- year charter granted by Brevard County Board of Education. The charter was renewed for a 10-year term in 2002 and runs through the 2012 school year. Palm Bay's focus is an academically rigorous alternative to the local public schools, and test scores demonstrate significant strengths in student achievement. Enrollment has grown to 505 students across grades K-8 in the 2008-2009 school year from 100 students in grades K-3 in the 1998- 1999 school year. Approximately $12 million in debt is affected. FOLEY SQUARE: Moody's Downgrades Ratings on 2007-1 Notes -------------------------------------------------------- Moody's Investors Service has downgraded its ratings of notes issued by Foley Square CDO 2007-1 Ltd., a collateralized debt obligation transaction referencing a portfolio of corporate entities. Moody's explained that the rating actions taken are the result primarily of the downgrade of the insurance financial strength rating of Ambac Assurance Corporation, which acts as Guarantor under the Investment Agreement in the transaction. On April 13, 2009 the insurance financial strength rating of Ambac Assurance Corporation was downgraded from Baa1 to Ba3. Moody's initially analyzed and continues to monitor this transaction using primarily the methodology for Corporate Synthetic CDOs as described in Moody's Special Report: -- Moody's Approach to Rating Corporate Collateralized Synthetic Obligations (April 2009) The rating actions are: Class Description: US$14,000,000 Class B Floating Rate Senior Notes Due 2014 -- Current Rating: B3 -- Prior Rating Date: 03/27/2009 -- Prior Rating: Ba1 Class Description: US$12,500,000 Class C Floating Rate Deferrable Senior Subordinate Notes Due 2014 -- Current Rating: Ca -- Prior Rating Date: 03/27/2009 -- Prior Rating: Caa3 FORD MOTOR: S&P Affirms 'CCC-' Rating on $59MM Corp. Backed Certs. ------------------------------------------------------------------ Standard & Poor's Ratings Services affirmed its 'CCC-' rating on Corporate Backed Trust Certificates Ford Motor Co. Debenture- Backed Series 2001-36 Trust's $59 million class A-1 Ford Motor Co. debenture-backed certificates series 2001-36. At the same time, Standard & Poor's corrected the rating history on the certificates. The rating actions reflect 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 series 2001-36 certificates is dependent on the rating on the underlying security. S&P is correcting the rating history on the certificates to reflect the lowering of S&P's rating on the underlying security to 'C' from 'CCC-' on March 4, 2009, and to 'D' from 'C' on April 6, 2009. The corresponding rating actions on the certificates were not publicly released due to a process delay. GMAC COMMERCIAL: Fitch Puts Ratings on 2004-C3 Notes on Neg. Watch ------------------------------------------------------------------ Fitch Ratings places these classes of GMAC Commercial Mortgage Securities, Inc., series 2004-C3, commercial mortgage pass-through certificates on Rating Watch Negative: -- $31.3 million class B 'AA'; Rating Watch Negative; -- $14.1 million class C 'AA-'; Rating Watch Negative; -- $20.3 million class D 'A'; Rating Watch Negative; -- $12.5 million class E 'A-'; Rating Watch Negative; -- $15.6 million class F 'BBB'; Rating Watch Negative; -- $10.9 million class G 'BBB-'; Rating Watch Negative; -- $20.3 million class H 'BB-'; Rating Watch Negative; -- $3.1 million class J 'B-'; Rating Watch Negative. The Rating Watch Negative placements are due to the recent transfer of the seventh largest loan in the transaction, International Tower (3.0%) to special servicing. The loan transferred on April 20, 2009 due to imminent default as a result of declining performance. The most recent servicer-reported debt service coverage ratio was 0.86 times (x) as of year-end 2008, and the occupancy was 60.8%. This compares to a reported DSCR of 1.32x and occupancy of 73.4% at year-end 2007. The International Tower loan is collateralized by a 302,992 square foot (sf) office property located in Chicago, Illinois. The three largest tenants are T-Mobile (17.6%), HDR Engineering, Inc (12.1%), and Alcoa, Inc (9.1%). The loan is sponsored by Rand A. Diamond and Lawrence A. Debb and is scheduled to mature Nov. 1, 2011. Fitch expects to resolve the Rating Watch status following an updated valuation of the property and additional information on potential resolutions. GS MORTGAGE: Moody's Affirms Ratings on 20 2005-GG4 Certificates ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 20 classes and downgraded seven classes of GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2005-GG4. The downgrades are due to higher expected losses for the pool resulting from higher leverage, increased credit quality dispersion and concerns about the refinance risk associated with five-year loans approaching maturity. Twelve non-defeased loans, representing 10% of the pool, mature within the next 12 months. Eight of these loans, representing 8% of the pool, have a Moody's stressed debt service coverage less than 1.0X. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the April 10, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 3% to $3.9 billion from $4.0 billion at securitization. The Certificates are collateralized by 187 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top 10 non- defeased loans representing 28% of the pool. At securitization the pool included three loans with investment grade underlying ratings. However, the performance of the Cascade Mall Loan ($38.6 million -- 1.0%) has declined and the loan no longer has an underlying rating. The remaining two loans with underlying ratings represent 5% of the pool. Ten loans, representing 8% of the pool, have defeased and are collateralized with U.S. Government securities. Twenty-nine loans, representing 17% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the pool since securitization, resulting in a realized loss of approximately $500,000. Currently two loans, representing 2% of the pool, are in special servicing. Moody's is estimating an aggregate loss of $12 million from the specially serviced loans. Moody's was provided with full-year 2007 and partial-year 2008 operating results for 92% and 77% of the pool, respectively. Moody's weighted average loan to value ratio for the conduit component is 105% compared to 99% at Moody's prior full review in May 2008. In addition to the overall increase in leverage, LTV dispersion has increased since last review. Based on Moody's analysis, 23% of the pool has a LTV ratio in excess of 120% compared to 3% at last review. The largest loan with an underlying rating is the Streets at Southpoint Loan ($159.9 million -- 4.1%), which is secured by the borrower's interest in a 1.3 million square foot regional mall located in Durham, North Carolina. The center is anchored by Macy's, Nordstrom, Hudson Belk, J.C. Penney and Sears. The in- line stores were 98% occupied as of December 2008, the same as at last review. The loan sponsor is General Growth Properties, Inc., which filed for Chapter 11 bankruptcy protection on April 16, 2009. This property was not included in the bankruptcy filing. Moody's analysis of this loan reflects a slight decline in the property's recent performance as well as concerns about the potential impact of GGP's bankruptcy on property operations. Moody's current underlying rating is Baa3 compared to Baa1 at last review. The second largest loan with an underlying rating is the 200 Madison Avenue Loan ($45.0 million -- 1.2%), which is secured by a 666,200 square foot office building located in the Midtown South submarket of New York City. The property was 98% occupied as of February 2009, essentially the same as at last review. The largest tenant is the Phillips Van Heusen Corporation (Moody's senior unsecured rating Ba3, positive outlook), which occupies 24% of the net rentable area through October 2023. The loan is interest only for its entire term. Moody's current underlying rating is Aa2, the same as at last review. The three largest conduit loans represent 12.9% of the pool. The largest conduit loan is the Wells Fargo Center Loan ($200.0 million -- 5.2%), which is secured by a 1.2 million square foot, 52-story office building located in the Denver CBD. The property was 96% occupied as of December 2008, essentially the same as at last review. The largest tenant is Wells Fargo Bank, N.A. (Moody's senior unsecured rating Aa2, stable outlook), which occupies 30% of the NRA through December 2020. The loan is interest only for its entire term. The loan sponsor is Maguire Properties, Inc. Moody's LTV is 119%, the same as at last review. The second largest conduit loan is the Mall at Wellington Green Loan ($200.0 million -- 5.2%), which is secured by the borrower's interest in a 1.3 million square foot regional mall located in West Palm Beach, Florida. The mall is anchored by Dillard's, Macy's, J.C. Penney and Nordstrom. The center was 95% occupied as of February 2009 compared to 100% at last review. Property performance has improved since last review due to increased revenues and stable expenses. The loan is interest only for its entire term. Moody's LTV is 96% compared to 99% at last review. The third largest conduit loan is the Latana Campus Loan ($98.0 million -- 2.5%), which is secured by three office buildings located in Santa Monica, California. The buildings total 332,000 square feet and were 64% occupied as of December 2008, essentially the same as at last review. The tenancy is primarily composed of firms in the entertainment industry and approximately 27% of the NRA has been demised as post-production space. Property performance has declined since last review due to lower rental revenue and increased operating expenses. The loan matures in January 2010. The loan sponsor is Maguire Properties, Inc. Moody's LTV is 117% compared to 106% at last review. Moody's rating action is: -- Class A-1, $54,510,610, affirmed at Aaa; previously affirmed at Aaa on 5/30/2008 -- Class A-1P, $27,255,305, affirmed at Aaa; previously affirmed at Aaa on 5/30/2008 -- Class A-DP, $101,148,581, affirmed at Aaa; previously affirmed at Aaa on 5/30/2008 -- Class A-2, $349,848,000, affirmed at Aaa; previously affirmed at Aaa on 5/30/2008 -- Class A-3, $288,705,000, affirmed at Aaa; previously affirmed at Aaa on 5/30/2008 -- Class A-ABA, $207,259,000, affirmed at Aaa; previously affirmed at Aaa on 5/30/2008 -- Class A-ABB, $29,609,000, affirmed at Aaa; previously affirmed at Aaa on 5/30/2008 -- Class A-4, $500,000,000, affirmed at Aaa; previously affirmed at Aaa on 5/30/2008 -- Class A-4A, $1,171,595,000, affirmed at Aaa; previously affirmed at Aaa on 5/30/2008 -- Class A-4B, $167,371,000, affirmed at Aaa; previously affirmed at Aaa on 5/30/2008 -- Class A-1A, $168,319,094, affirmed at Aaa; previously affirmed at Aaa on 5/30/2008 -- Class A-J, $300,060,000, affirmed at Aaa; previously affirmed at Aaa on 5/30/2008 -- Class X-P, Notional, affirmed at Aaa; previously affirmed at Aaa on 5/30/2008 -- Class X-C, Notional, affirmed at Aaa; previously affirmed at Aaa on 5/30/2008 -- Class B, $65,013,000, affirmed at Aa1; previously upgraded to Aa1 from Aa2 on 5/30/2008 -- Class C, $35,007,000, affirmed at Aa3; previously affirmed at Aa3 on 5/30/2008 -- Class D, $75,015,000, affirmed at A2; previously affirmed at A2 on 5/30/2008 -- Class E, $40,008,000, affirmed at A3; previously affirmed at A3 on 5/30/2008 -- Class F, $55,011,000, affirmed at Baa1; previously affirmed at Baa1 on 5/30/2008 -- Class G, $45,009,000, affirmed at Baa2; previously affirmed at Baa2 on 5/30/2008 -- Class H, $40,008,000, downgraded to Ba2 from Baa3; previously affirmed at Baa3 on 5/30/2008 -- Class J, $20,004,000, downgraded to B1 from Ba1; previously affirmed at Ba1 on 5/30/2008 -- Class K, $20,004,000, downgraded to B2 from Ba2; previously affirmed at Ba2 on 5/30/2008 -- Class L, $20,004,000, downgraded to B3 from Ba3; previously affirmed at Ba3 on 5/30/2008 -- Class M, $10,002,000, downgraded to Caa1 from B1; previously affirmed at B1 on 5/30/2008 -- Class N, $10,002,000, downgraded to Caa2 from B2; previously affirmed at B2 on 5/30/2008 -- Class O, $10,002,000, downgraded to Caa3 from B3; previously affirmed at B3 on 5/30/2008 HAMPDEN CBO: Moody's Downgrades Ratings on Various Classes ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of these notes issued by Hampden CBO Ltd: -- Class A-2-A Floating Rate Senior Notes Due 2013, Downgraded to A1; previously on 3/28/2001 Assigned Aa2; -- Class A-2-B Fixed Rate Senior Notes Due 2013, Downgraded to A1; previously on 3/28/2001 Assigned Aa2; -- Class B-1 Floating Rate Notes Due 2013, Downgraded to Ca; previously on 12/16/2005 Downgraded to Ba1; -- Class B-2 Fixed Rate Senior Subordinated Notes due 2013, Downgraded to Ca; previously on 12/16/2005 Downgraded to Ba1. According to Moody's, the rating actions taken on the notes are a result of applying Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," and the calculation of the Diversity Score. The actions also reflect consideration of credit deterioration of the underlying portfolio. The revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009. Credit deterioration of the collateral pool is observed in, among others, a decline in the average credit rating (as measured through the weighted average rating factor), a high concentration of below-investment grade securities, an increase in the dollar amount of defaulted securities, failure of the Senior Subordinate Principal Coverage Ratio, and failure of both the Senior Interest Coverage Ratio and the Senior Subordinate Interest Coverage Ratio. Moody's also noted that the transaction is negatively impacted by a large pay-fixed, receive-floating interest rate swap, the notional of which exceeds the current portfolio par. Due to this mismatch between the swap notional and the asset par, payments to the hedge counterparty absorb a large portion of the excess spread in the deal. HEARTLAND FUNDING: S&P Downgrades Ratings on Various Notes to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the notes from Heartland Funding PLC's series 2006-1, 2006-2, 2006-3, and 2007-1 to 'D' from 'CCC-'. The ratings were previously on CreditWatch with negative implications. The downgrades follow a number of credit events within the underlying portfolio. The credit events triggered losses in the underlying reference portfolio that have caused all classes to incur a principal loss. Ratings Lowered And Removed From Creditwatch Negative Heartland Funding PLC Series 2006-1 Rating ------ Class To From ----- -- ---- Notes D CCC-/Watch Neg Heartland Funding PLC Series 2006-2 Rating ------ Class To From ----- -- ---- Notes D CCC-/Watch Neg Heartland Funding PLC Series 2006-3 Rating ------ Class To From ----- -- ---- Notes D CCC-/Watch Neg Heartland Funding PLC Series 2007-1 Rating ------ Class To From ----- -- ---- Notes D CCC-/Watch Neg HEWETT'S ISLAND: No Rating Action on CLO III Notes From Moody's --------------------------------------------------------------- Moody's Investors Service has not withdrawn, reduced, or taken any other adverse action with respect to its current ratings on these notes issued by Hewett's Island CLO III, Ltd., as the "Issuer", as a result of the Issuer's execution of the Amendment, December 18, 2009, to the Indenture, as the "Amendment", dated as of August 9, 2005 as the "Indenture": -- US$321,500,000 Class A-1 Senior Secured Notes due 2017, Aaa; previously on August 9, 2005 Assigned Aaa; -- US$14,800,000 Class A-2 Senior Secured Notes due 2019, Aa2 Under Review for Possible Downgrade; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$12,700,000 Class B -1 Deferrable Amortizing Senior Secured Notes due 2017, Baa3Under Review for Possible Downgrade; previously on March 18, 2009 Baa3 Placed Under Review for Possible Downgrade; -- US$14,800,000 Class B-2 Deferrable Senior Secured Notes due 2017, Ba1 Under Review for Possible Downgrade; previously on March 18, 2009 Ba1 Placed Under Review for Possible Downgrade; -- US$14,800,000 Class C Deferrable Secured Notes due 2017, B1 Under Review for Possible Downgrade; previously on March 18, 2009 B1 Placed Under Review for Possible Downgrade; -- US$14,800,000 Class D Deferrable Subordinated Secured Notes due 2017, Caa3 Under Review for Possible Downgrade; previously on March 18, 2009 Caa3 Placed Under Review for Possible Downgrade; The Amendment is being entered into pursuant to Sections 8.6 and 12.5 of the Indenture and primarily modifies the definition of "Discount Debt Obligation." The amendment allows the Issuer to purchase certain obligations at discounted prices using proceeds from the sale of an obligation that was not a Discount Debt Obligation at the time it was purchased and, subject to certain conditions, to have such purchased obligations be excluded from treatment as Discount Obligations. These conditions include (but are not limited to) (x) the purchased obligation (i) being purchased at a price at least equal to the sale price of the obligation sold and not less than 65% of par and (ii) having a default probability rating at least equal to that of the obligation sold; and (y) the aggregate par amount of purchased obligations excluded from treatment as Discount Obligations is not more than (i) 5% of the pool par amount (or 2.5% of the pool par amount if such obligations have been purchased at an average price less than 75% of par) at the time of such measurement and (ii) $40 million (i.e. 10% of the initial pool par amount) when considering all such obligations purchased since the closing date up to the time of such measurement. The modification conforms in its entirety with Moody's methodology. See Moody's Special Report, "Haircuts for Excess Caa Assets and Deep Discount Obligations" dated June 24, 2004. This report is incorporated by reference into Moody's Rating Methodology Report, "Moody's Approach to Rating Collateralized Loan Obligations" dated December 31, 2008. In Moody's opinion, the amendment does not materially affect the credit risk posed to the noteholders. Many CLO documents (to which Moody's is never a party) specify that, in order to amend the documents, the issuer must obtain an opinion from the rating agencies that the proposed amendment would not in and of itself result in the related ratings being downgraded or withdrawn at the time of the amendment. This type of provision is typically referred to in the CLO indenture as a "rating agency confirmation" or "RAC". Moody's is never obligated to provide a RAC, and the decision whether or not to issue a RAC lies entirely within Moody's sole discretion. Before providing a RAC for an amendment, the proposal will be reviewed by a Moody's credit committee which will consider, among other things, the performance of the specific CLO and collateral manager and the specifics of the proposed amendment and the particular structure of the CLO. A RAC is purely an opinion, as of the point in time at which the RAC is provided, that the proposed amendment in isolation does not introduce sufficient additional credit risk so as to negatively impact the related ratings. In other words, it does not consider the impact of other factors on the ratings, such as collateral deterioration. Also, the RAC does not address any other, non-credit related impact that the amendment might have. Moody's further emphasizes that a RAC is not a substitute for noteholder consent or for independent analyses by noteholders of the impact on them of any proposed amendment. I-PREFERRED: A.M. Best Junks Rating on $6.2MM Class D Notes ----------------------------------------------------------- A.M. Best Co. has removed from under review with negative implications and assigned a stable outlook to the debt ratings on various senior and mezzanine notes. Concurrently, A.M. Best has affirmed the current ratings on eight tranches totaling $382.9 million and downgraded the ratings totaling $428.4 million on the remaining 14 tranches of debt. These rating actions were taken on three specific multi-tranche collateralized debt transactions co-issued by six special purpose vehicles (SPV), I-Preferred Term Securities I, Ltd. and I- Preferred Term Securities I, Inc., I-Preferred Term Securities III, Ltd. and I-Preferred Term Securities III, Inc., and I- Preferred Term Securities IV, Ltd. and I-Preferred Term Securities IV, Inc. (issuers). The $811.3 million current principal balance of the rated notes are collateralized by a pool of trust preferred securities, surplus notes and secondary market securities (collectively, the capital securities), primarily issued by small to medium-sized U.S. insurance entities and in one of the transactions deposit taking institutions. The capital securities are pledged as security to the notes. Interest paid by the issuers of the capital securities are the primary source of funds to pay operating expenses of the issuer and interest on the notes. Repayment of the note principal will be funded primarily from the redemption of the capital securities. Major considerations in rating the notes included collateral default risk and associated recoveries; structural protection through the "waterfall" and other mechanisms; counterparty swaps protection; legal documentation and ongoing monitoring of the transaction. These rating actions reflect (1) an increase in the number of [a] reported "defaulted securities," [b] capital securities in deferred interest mode, and [c] redemptions within the various capital securities pools, (2) increased stress upon credit support/enhancement mechanisms within the pools and (3) deterioration of issuer credit ratings of individual insurance companies and deposit taking institutions within the transaction pools. Collection of both principal and outstanding unpaid interest on "defaulted securities" is less than certain and will reduce the amount of cash flow available to service liabilities of the issuers. As a result, subordination levels -- credit support/enhancement for the various individual debt tranches of the three transactions -- are under stress, subjecting the lower rated tranches of each of the SPVs to greater risk. In addition, rising defaults and early redemption activity decrease the availability of excess spread (i.e., interest not directed towards specific payments), which also is a credit enhancement to the various tranches of debt. These debt ratings have been removed from under review with negative implications, assigned a stable outlook and affirmed: I-Preferred Term Securities I- -- "aaa" on $28.8 million floating rate Class A-1 senior notes, Due December 11, 2032 -- "aaa" on $12.0 million fixed/floating rate Class A-2 senior notes, due December 11, 2032 -- "aaa" on $24.0 million fixed/floating rate Class A-3 senior notes, due December 11, 2032 I-Preferred Term Securities III- -- "aaa" on $102.4 million floating rate Class A-1 senior notes, due November 5, 2033 -- "aaa" on $40.0 million floating rate Class A-2 senior notes, Due November 5, 2033 -- "aaa" on $15.0 million fixed/floating rate Class A-3 senior notes, due November 5, 2033 -- "aaa" on $10.0 million fixed/floating rate Class A-4 senior notes, due November 5, 2033 I-Preferred Term Securities IV- -- "aaa" on $150.7 million floating rate Class A-1 senior notes, due June 24, 2034 These debt ratings have been removed from under review with negative implications, assigned a stable outlook and downgraded: I-Preferred Term Securities I- -- to "bb" from "a-" on $40.6 million floating rate Class B-1 mezzanine notes, due December 11, 2032 -- to "bb" from "a-" on $33.2 million fixed/floating rate Class B-2 mezzanine notes, due December 11, 2032 -- to "bb" from "a-" on $28.2 million fixed/floating rate Class B-3 mezzanine notes, due December 11, 2032 -- to "b" from "bb" on $16.0 million floating rate Class C Mezzanine notes, due December 11, 2032 I-Preferred Term Securities III- -- to "bbb-" from "a-" on $51.0 million floating rate Class B-1 mezzanine notes, due November 5, 2033 -- to "bbb-" from "a-" on $27.7 million fixed/floating rate Class B-2 mezzanine notes, due November 5, 2033 -- to "bbb-" from "a-" on $57.5 million fixed/floating rate Class B-3 mezzanine notes, due November 5, 2033 -- to "b+" from "bbb" on $24.5 million fixed rate Class C Mezzanine notes, due November 5, 2033 I-Preferred Term Securities IV- -- to "aa" from "aaa" on $37.0 million floating rate Class A-2 senior notes, due June 24, 2034 -- to "aa" from "aaa" on $13.9 million fixed/floating rate Class A-3 senior notes, due June 24, 2034 -- to "bb" from "aa" on $54.7 million floating ate Class B-1 mezzanine notes, due June 24, 2034 -- to "bb" from "aa" on $25.5 million fixed/floating rate Class B-2 Mezzanine notes, due June 24, 2034 -- to "b-" from "a-" on $12.5 million fixed rate Class C Mezzanine notes, due June 24, 2034 -- to "ccc-" from "bb" on $6.2 million fixed rate Class D Mezzanine notes, due June 24, 2034 INDEPENDENCE II: Fitch Cuts Rating on Class B Notes to 'CC' ----------------------------------------------------------- Fitch Ratings has taken these rating actions on notes issued by Independence II CDO, Ltd.: -- $113,691,707 class A affirmed at 'A-'; Outlook Stable; -- $78,000,000 class B downgraded to 'CC' from 'CCC/DR3'. Fitch has also removed the class A notes from Rating Watch Negative. The rating actions are due to Fitch's recently adjusted default and recovery rate assumptions for analyzing structured finance collateralized debt obligations, in addition to negative credit migration in the underlying portfolio. The affirmation of the rating and assignment of a Stable Outlook on the class A notes is a result of the continued delevering of the class A notes. During the past 12 months, approximately $40.3 million, or 13.8%, of the outstanding principal of class A notes was paid down bringing its balance to $113.7 million, or 61% of its original balance. The class A notes currently comprise 49.9% of the capital structure of Independence II. On Feb. 2, 2006, Independence II declared an event of default (EOD) following a decline of the class A/B overcollateralization (OC) ratio below 100%. As of the latest Trustee report dated March 31, 2009, the class A/B OC ratio is 80.6%, versus its trigger of 103.3%. In December 2007, the majority of the class A noteholders elected to accelerate the transaction. Since the February 2008 distribution date, all collected interest proceeds have been used to pay transaction related fees and expenses, including management fees, to satisfy hedge counterparty payments, if any due for the period, and to pay current interest due on the class A notes. The remaining interest proceeds, if any, have been transferred to the principal collections account and used to amortize the class A notes until their principal is paid in full. Since the rating action in February 2007, the credit quality of the portfolio has experienced additional deterioration. Approximately 19.1% of the portfolio has been downgraded a weighted average of 4.5 notches, while 31.57% of the portfolio has been upgraded a weighted average of 2.4 notches. Although the number of upgrades outpaced the number of downgrades during that period, the magnitude of the downgrades had a greater effect on the overall credit quality of the pool. Assets rated below investment grade currently comprise 73.4% of the portfolio, of which assets rated 'CCC' or lower comprise 41.5% of the current portfolio, an increase from 24.4% during the last review. As a result of the acceleration, the class B notes have not received any interest and will not until the class A notes are paid in full. Given the composition and performance of the portfolio, Fitch expects the class B notes to receive some of its deferred interest in the future. It is possible that the class B notes could potentially receive some principal repayment once the class A notes and deferred interest is paid in full. Independence II is a cash flow CDO that closed on July 26, 2001 and is managed by Declaration Management & Research LLC. Presently 31% of the portfolio is composed of residential mortgage backed securities, of those 10.6% consists of subprime RMBS, 18.7% consists of Manufactured Housing RMBS, and 1.8% of prime RMBS. The remaining 68.9% of the portfolio consists of 37.2% commercial mortgage backed securities, 18.9% of various consumer and commercial asset-backed securities, 3.5% of commercial real estate loans, and 1.3% of corporate CDOs. These rating actions resolve the 'Under Analysis' status issued on Oct. 14, 2008 following Fitch's announcement of its proposed criteria revision for analyzing SF CDOs. The revised criteria report, 'Global Rating Criteria for Structured Finance CDOs' was published in its final form on Dec. 16, 2008 along with an updated version of the Fitch Portfolio Credit Model that includes additional functionality for analyzing SF CDOs. As part of this review, Fitch makes standard adjustments for any names on Rating Watch Negative or with a Negative Outlook, downgrading such ratings for default analysis purposes by three and one notches, respectively. Fitch will continue to monitor and review this transaction for future rating adjustments. INFINITI SPC: S&P Downgrades Ratings on Three Notes to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D' on the D-1, D-2, and 7D notes from Infiniti SPC Ltd.'s Aladdin Synthetic CDO 2006-1 and 2006-2. The ratings were previously on CreditWatch with negative implications. The downgrades follow a number of credit events within the underlying corporate reference entities. S&P received final valuations on the credit events in the underlying portfolio, which resulted in losses that caused the classes to incur a partial principal loss. Infiniti SPC Ltd. Aladdin Synthetic CDO 2006-1 Rating ------ Class To From ----- -- ---- D-1 D CCC-/Watch Neg D-2 D CCC-/Watch Neg Infiniti SPC Ltd. Aladdin Synthetic CDO 2006-2 Rating ------ Class To From ----- -- ---- 7D D CCC-/Watch Neg Other Ratings Outstanding Infiniti SPC Ltd. Aladdin Synthetic CDO 2006-1 Class Rating ----- ------ A CCC B CCC-/Watch Neg INMAN SQUARE: Moody's Downgrades Rating on Class I to 'B2' ---------------------------------------------------------- Moody's Investors Service has downgraded the rating of one class of notes issued by Inman Square Funding I, Ltd. The notes affected by the rating action are: -- US$165,000,000 Class I Senior Secured Floating Rate Notes Due 2034, Downgraded to B2; previously, on 1/30/2009, rating Downgraded to Baa2 The rating downgrade action reflects deterioration in the credit quality of the underlying portfolio, as well as the occurrence on April 13, 2009, as reported by the Trustee, of an event of default described in Section 5.1(i) of the Indenture dated October 20, 2004. Recent ratings downgrades on the underlying portfolio caused ratings-based haircuts to affect the calculation of over collateralization. Thus, the Class I/II Over collateralization Ratio failed to meet the required level, as set forth in Section 5.1(i) of the Indenture. As provided in Article V of the Indenture during the occurrence and continuance of an Event of Default, certain parties to the transaction may be entitled to direct the Trustee to take particular actions with respect to the Collateral and the Notes. The rating downgrades taken reflect the increased expected loss associated with each tranche. Losses are attributed to diminished credit quality on the underlying portfolio. The severity of losses of certain tranches may be different, however, depending on the timing and nature of a post event of default remedy. Inman Square Funding I, Ltd., Limited is a collateralized debt obligation backed primarily by a portfolio of RMBS securities. In addition, Moody's explained that the rating actions listed reflect certain updates and projections and recent rating actions on underlying assets that consist primarily of subprime securities. 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 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. JC PENNEY: S&P Downgrades Ratings on 2007-1 SAT Units to 'BB' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on Structured Asset Trust Unit Repackaging J.C. Penney Co. series 2007-1's debenture-backed class A and B units to 'BB' from 'BBB-' and removed them from CreditWatch with negative implications. The rating actions follow the April 16, 2009, lowering of S&P's rating on the underlying securities, J.C. Penney Co. Inc.'s 7.625% debentures due March 1, 2097, to 'BB' from 'BBB-' and its removal from CreditWatch negative. The ratings of the units are dependent on the rating on the underlying securities. JC PENNEY: S&P Cuts Rating on 2007-1 Corp. Backed Certs. to 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on Corporate Backed Callable Trust Certificates J.C. Penny Debenture Backed Series 2007-1 Trust's class A-1 and A-2 certificates to 'BB' from 'BBB-'. The rating actions follow the April 16, 2009, lowering of S&P's rating on J.C. Penney Co. Inc.'s 7.625% debentures due March 1, 2097, to 'BB' from 'BBB-', the underlying securities. The ratings on the certificates are dependent on the rating on the underlying securities. JC PENNEY: S&P Cuts Ratings on 2006-1 Corp. Backed Certs. to 'BB' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on Corporate Backed Callable Trust Certificates J C Penny Debenture- Backed Series 2006-1's class A-1 and A-2 certificates to 'BB' from 'BBB-'. The rating actions follow the April 16, 2009, lowering of S&P's rating on J.C. Penney Co. Inc.'s 7.625% debentures due March 1, 2097, to 'BB' from 'BBB-', the underlying securities. The ratings of the certificates are dependent on the rating on the underlying securities. JEFFERSON COUNTY: Failure to Make Payments Cue Moody's Junk Rating ------------------------------------------------------------------ Moody's Investors Service has downgraded to Caa1 from B3 the rating on Jefferson County's (Alabama) $270 million in outstanding general obligation debt and to Caa2 from Caa1 the rating on $86.7 million in outstanding lease revenue warrants issued through the Jefferson County Public Building Authority; both ratings have been removed from Watchlist and the outlooks have been revised to negative. At this time, Moody's has also confirmed the Caa3 rating on the county's approximately $3.2 billion in outstanding sewer revenue debt, removed the rating from Watchlist and revised the outlook to negative. Moody's has also confirmed the B3 rating on the county's $996.8 million in limited obligation school warrants secured by sales tax revenues and the B3 rating on $40.86 million in debt issued by the Birmingham-Jefferson Civic Center Authority secured by special revenues including a beverage tax and lodging tax; both ratings have been removed from Watchlist and the outlooks revised to negative. Please see Moody's report dated April 27, 2009 regarding the BJCCA's Special Tax Refunding Bonds, Series 2002. Moody's downgrade of the general obligation ratings reflects the county's continued failure to make full principal payments on general obligation Bank Warrants held by liquidity providers, the first of which was due on September 15, 2008, constituting an Event of Default under the Trust Indenture and the Liquidity Facilities. Based on the terms of repayment schedule outlined in the Standby Warrant Purchase Agreement, the second such payment was due on March 15, 2009, which the county failed to pay in full. Although the liquidity banks have entered into and extended a forbearance agreement with the county through June 20, 2009, in exchange for partial principal payments, Moody's believes that, given the continued lack of resolution of the county's fiscal crisis, it is more likely that GO Bank Warrant holders will face some loss of full repayment than at the time of Moody's last rating action in September, 2009. Moody's also believe that there is still a heightened risk that the county will avail itself of federal bankruptcy protection. For these reasons, Moody's have downgraded the general obligation rating to Caa1. The Caa2 rating on the lease revenue bonds reflects the nature of the security, which is subject to annual budget and appropriation of the county and therefore is weaker than the general obligation rating. Both ratings have been removed from Watchlist and assigned negative outlooks because it is not clear that a solution to the county's financial crisis, either through successful negotiation with creditors, bankruptcy or other means, will come within the Watchlist timeframe. Moody's has confirmed the Caa3 rating on the sewer revenue debt and removed it from Watchlist as the county, the liquidity banks, and bond insurers continue to actively negotiate terms of repayment of the outstanding sewer debt, of which approximately $800 million are in the form of variable rate demand obligations held by liquidity banks as Bank Warrants; the remainder of the sewer debt is in auction rate mode held by bondholders. The county has failed to make scheduled principal payments on the Bank Warrants required every three months since April of 2008, constituting an Event of Default under the Trust Indenture and the Liquidity Facilities, although interest payments continue to be made on all sewer debt. The county and liquidity banks have continued to extend forbearance agreements on the Bank Warrant principal payments; the latest agreement extends the forbearance through May 29, 2009. In addition, counterparties have terminated interest rate swaps associated with the county's sewer debt, for a total notional amount of $5.2 billion, requiring termination payments estimated of approximately $750 million. Moody's has removed the rating from Watchlist and assigned the negative outlook because it is not clear that a solution to the county's financial crisis, either through successful negotiation with creditors, bankruptcy or other means, will come within the Watchlist timeframe. Moody's has confirmed the B3 ratings on the sales tax-secured limited obligation school warrants and BJCCA debt secured by a beverage tax and lodging tax and removed both ratings from Watchlist, also reflecting the heightened risk that the county may file for bankruptcy. Given the lack of history of municipal bankruptcy, it is unclear which county revenues, assets and debt obligations could be affected by bankruptcy proceedings and that a bankruptcy filing could weaken the county's ability to meet these other debt obligations. Moody's has not downgraded these ratings, as it has with the general obligation ratings, because Moody's believe there is a lower risk, in the case of a disruption of payments to warrant holders due to a bankruptcy filing, that those warrant holders will face the loss of full repayment. While a portion of the sales tax-secured debt is currently held by a liquidity provider in the form of Bank Warrants, repayment of the warrants under the standby bond purchase agreement is not accelerated, reducing the risk of loss to warrant holders in the event of default. Given that the BJCCA debt is fixed rate, Moody's believe that the risk of loss under a bankruptcy scenario is also lower than the general obligation debt. JP MORGAN: Fitch Downgrades Ratings on 2004-PNC1 Certificates ------------------------------------------------------------- Fitch Ratings downgrades and revises the Rating Outlooks on J.P. Morgan Chase Commercial Mortgage Securities Corp., commercial mortgage pass-through certificates, series 2004-PNC1: -- $16.5 million class F to 'BBB' from 'BBB+'; Outlook to Negative from Stable; -- $11 million class G to 'BB+' from 'BBB'; Outlook to Negative from Stable; -- $20.6 million class H to 'CCC/RR1' from 'BBB-'; -- $2.7 million class J to 'C/RR6' from 'BB+'; -- $6.9 million class K to 'C/RR6' from 'BB-'; -- $4.1 million class L to 'C/RR6' from 'B+'; -- $5.5 million class M to 'C/RR6' from 'B-'; -- $2.7 million class N to 'C/RR6' from 'CCC/DR1'. In addition, Fitch affirms and revises the Rating Outlook on this class: -- $11 million class E at 'A-'; Outlook to Negative from Stable. Fitch also affirms and maintains the Rating Outlooks on these classes, as indicated: -- $228 million class A-1A at 'AAA'; Outlook Stable; -- $78.9 million class A-2 at 'AAA'; Outlook Stable; -- $98 million class A-3 at 'AAA'; Outlook Stable; -- $426.2 million class A-4 at 'AAA'; Outlook Stable; -- Interest-only class X at 'AAA'; Outlook Stable; -- $28.8 million class B at 'AA'; Outlook Stable; -- $13.7 million class C at 'AA-'; Outlook Stable; -- $17.8 million class D at 'A'; Outlook Stable; -- $2.7 million class P at 'C/RR6'. Fitch does not rate the $11.5 million class NR certificates. Class A-1 has paid in full. The downgrades are due to the expected losses on the four specially serviced loans (12.6%). One loan (3.3%) has transferred to special servicing since Fitch's last rating action in November 2008. The Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. Fitch has identified 15 Loans of Concern (20.3%), which include the four specially serviced loans, as well as other loans with weak performance. The largest specially serviced loan (5.1%) was originally collateralized by a portfolio of six retail centers encompassing a total of 683,846 square feet located in four states. The loan transferred to special servicing in July 2008 when the borrower, a subsidiary of Centro Properties Group, indicated an inability to refinance before the February 2009 maturity date. A loan modification was approved, extending the maturity date to February 2010 and allowing for the partial release of collateral. Two of the six retail centers have been sold, and the proceeds applied to pay down the loan amount. The remaining four properties are currently listed for sale. Fitch expects that the sale process could be prolonged in light of the restricted lending environment and losses are possible. The second largest specially serviced loan (3.3%) is secured by a portfolio of four office buildings and one industrial property located in New Hampshire and Massachusetts. The loan transferred to special servicing in March 2009 after the borrower indicated an inability to make the debt service payments due to the loss of three large tenants at the properties. The special servicer is currently exploring workout options. The third largest specially serviced loan, (2.5%), is secured by a 182,322 sf office in Melville, New York. The principal of the borrower, which is also a major tenant at the property (American Home Mortgage, 59% of net rentable area), filed for Chapter 11 bankruptcy. The borrowing entity has not filed Chapter 11 and has not been consolidated into the bankruptcy filing. The loan is currently 90+ days delinquent and the property is 95% physically vacant. An updated appraisal value has been received for the property and the value indicates significant losses upon disposition. The largest loan in the pool, Centro Retail Portfolio (13.7%), maintains its investment-grade shadow rating. The loan is secured by seven anchored retail properties, 54% located in southern California, and 46 % in northern CA. The weighted-average year- end 2008 occupancy was 93%, in-line with occupancy at issuance (95%). The properties are occupied by a diverse tenant base with minimal exposure to currently bankrupt tenants. Major tenants at the properties include Wal-Mart, Target, and Marshall's. The loan has a coupon of 4.85% and matures in 2014. Though collateral performance has been stable to date, Fitch is concerned about the declining financial condition of the loan sponsor, Centro Properties Group. Fitch will continue to monitor the loan. As of the April 2009 distribution date, the pool's collateral balance has decreased 10.1% to $986.6 million from $1.10 billion at issuance. Eighteen loans (24.9%) have defeased, including three (12.2%) of the top 10 loans. Two non-defeased loans (1.5%) are scheduled to mature in 2009, and both loans have a YE 2008 debt service coverage ratio above 3.45 times (x). The weighted average coupon for all of the transaction's non-defeased loans is 5.72% and the range is 4.44% to 9.50%. JP MORGAN: Fitch Downgrades Ratings on 2007-FL1 Certificates ------------------------------------------------------------ Fitch Ratings has downgraded the ratings of J.P. Morgan Chase Commercial Mortgage Securities Corp., pass-through certificates, series 2007-FL1 and revised the Rating Outlooks: -- $243.1 million class A-2 to 'AA' from 'AAA' to Outlook Negative from Outlook Stable; -- $53.7 million class B to 'A+' from 'AA+'; to Outlook Negative from Outlook Stable; -- $38.4 million class C to 'A' from 'AA'; to Outlook Negative from Outlook Stable; -- $36.4 million class D to 'A-' from 'AA-' to Outlook Negative from Outlook Stable; -- $44.1 million class E to 'BB' from 'A+', Outlook Negative; -- $30.7 million class F to 'B' from 'A'; Outlook Negative; -- $30.7 million class G to 'B-' from 'A-'; Outlook Negative; -- $42.2 million class H to 'CCC/RR1' from 'BBB+'; -- $38.4 million class J to 'CC/RR3' from 'BBB-'; -- $34.5 million class K to 'CC/RR5' from 'BB+'; -- $38.4 million class L to 'C/RR6' from 'BB-; -- $11.9 million class RS-1 to 'C/RR6'from 'BB-'; -- $12.8 million class RS-2 to 'C/RR6' from 'B+'; -- $15.6 million class RS-3 to 'C/RR6' from 'B'; -- $11.1 million class RS-4 to 'C/RR6' from 'B-'; -- $15.4 million class RS-5 to 'C/RR6' from 'B-'; -- $13.2 million class RS-6 to 'C/RR6' from 'B-'; -- $7.6 million class RS-7 to 'C/RR6' from 'B-'. In addition, Fitch affirms these classes: -- $873.6 million class A-1 at 'AAA'; Outlook Stable; -- Interest-only class X-1 at 'AAA'; Outlook Stable; -- Interest-only class X-2 at 'AAA'; Outlook Stable. The downgrades and Negative Outlook revisions reflect the continuing negative performance of the Resorts International Portfolio and Fitch's assessment of the portfolio's decline in value, as well as the large percentage of Fitch loans of concern. Fitch anticipates potentially significant losses on the Resorts International Portfolio due to declining cash flows and distressed market valuations for gaming properties, especially those located in Atlantic City. The ratings also reflect the high percentage of hotel, gaming and retail loans in addition to many transitional loans not meeting anticipated improvements in operating performance due to economic conditions. The Outlooks reflect the likely direction of rating changes over the next one to two years. One loan (0.60% of the pool) has transferred to the special servicer since Fitch's last rating action. The Okee Square loan is secured by a 124,000 square foot retail center located in West Palm Beach, Florida. The property transferred in March 2009 and has stabilized since converting vacant movie theater space to anchor space and repositioning in-line tenants. The borrower has been unable to extend their loan due to maximum loan-to-value restrictions being exceeded. Vacancy has increased since to approximately 34% as of Jan. 31, 2009, compared to 25% at issuance. Losses are possible upon disposition of the asset. Fitch has indentified 11 other loans of concern (60.2% of the senior trust balance), including Resorts International Portfolio, PHOV Portfolio, Marriott Waikiki, Felcor Hotel Portfolio, Loews Santa Monica, Sofitel Chicago, Stratford Mall, Hilton Alexandria Mark Center, Sofitel Lafayette Square, San Paloma Apartments, Sofitel Minneapolis, and 321 Ellis Street. These loans are in sectors more dependant upon discretionary consumer spending, and whose performance is below expectations at issuance or severely lagging their competitive set. These 12 loans no longer maintain their investment-grade shadow ratings. The downgrades also address the decline in performance and the expectation that the anticipated increased or stabilized net cash flow will not be attained. Resorts International, the fourth-largest loan, consists of a $120.2 million senior trust component and $87.7 million in subordinate rake classes. The loan is secured by one casino/hotel property located in Atlantic City, NJ and two casino/hotel properties located in Tunica, Mississippi. The total debt on the portfolio, including the trust portion, totals $506.3 million. In September 2007, the Resorts East Chicago property was released from the portfolio, paying down the senior trust component by approximately 47%. The loan recently was extended and matures on Nov. 9, 2009, with two one-year extension options remaining. Current estimations of value based on lower net cash flow and stressed market conditions indicate a significant drop in value since issuance. As of June 30, 2008, the Resorts International Portfolio's servicer reported annualized NCF declined approximately 36% from year-end 2007 reported servicer NCF, driven by the negative performance of the AC Hilton. The decrease in the AC Hilton's cash flow is attributed to multiple factors: increased competition, a smoking ban introduced throughout the entire Atlantic City gaming market, and the overall negative performance of the gaming industry due to general macro-economic conditions throughout the U.S. For the year ended Dec. 31, 2008, the Atlantic City gaming market recorded a 24.6% decrease in gross operating profit compared to 2007. In October 2008, the Atlantic City City Council voted to extend the current smoking ban until October of 2009, continuing to allow smoking within 25% of the gaming square footage. The second-largest loan is secured by the Marriott Waikiki (12.9%), a full-service hotel located along Kalakaua Avenue, across from Waikiki Beach in Honolulu, Hawaii. The property completed a $28 million renovation that at issuance was expected to increase net cash flow. As of February 2009, the trailing 12- month occupancy, average daily rate and revenue per available room were 78%, $183 and $143, respectively, compared to issuance expectations of 85.5%, $209 and $179, respectively. The loan matures on May 9, 2009, and has three one-year extension options. The ratings and Outlook reflect the potential for further decline in performance given the expected stresses to the property sector and location. The third-largest loan is secured by the PHOV Portfolio (11.4%), a portfolio of 11 full-service hotels located in Florida, Louisiana, South Carolina, Illinois and New Jersey. Four of the hotels were affected by Hurricanes Katrina and Wilma in 2006-2007, with the hotels coming back on line in late 2006 and mid-2007. As of January 2009, the occupancy, ADR and RevPAR were approximately 66.1%, $129 and $86, respectively, and have improved from the last Fitch rating action. The ratings and Outlook reflect the current expected economic stresses. As of the March 2009 remittance report, the transaction has paid down by approximately 12.3% (including the subordinate rake classes). All of the original 22 loans remain in the trust. In addition to the Resorts International loan, the PHOV Portfolio (11.3%) has exercised a partial release, and as a result has paid down by 17.6%. Fitch reviewed the most recent servicer provided operating statement analysis reports for all of the loans. Nine of the senior pooled notes that remain in the transaction maintain investment-grade shadow ratings. The transaction consists of loans collateralized by hotel properties (72.1%), retail (19.6%), office (5.6%), multifamily (1.6%) and industrial/warehouse (1.1%). The largest loan is secured by the Walden Galleria (15.4% of the senior trust components), a mall located in Buffalo, New York. The property completed the addition of the 300,000 sf ThEATery in the fall of 2007, adding national retailers such as Barnes & Noble, Urban Outfitters and the Cheesecake Factory. As of December 2008, the mall was approximately 95% occupied. The sponsor is Pyramid. The loan matures on May 9, 2009 and has three one-year extension options. KENT HOSPITAL: S&P Downgrades Rating on $135 Mil. Bonds to 'BB+' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its long-term rating to 'BB+' from 'BBB' on Kent Hospital Finance Authority, Michigan's $135 million series 2005A hospital revenue bonds, issued for Metropolitan Health Corp. The downgrade is based on a weak balance sheet that is stressed further by very low liquidity as reflected by 29 days' cash on hand for the eight months ended Feb. 28, 2009. Additionally, Metro Health experienced large operating losses in fiscal 2008, but year-to-date results are tracking more positively compared with the same period last year since the implementation of a cost- savings plan. Nevertheless, fiscal year-end 2009 is still tracking slightly weaker compared with operating performance in Metro Health's more profitable years. The 'BB+' rating further reflects weak balance sheet measures with a high debt-to-capitalization ratio of 64%, anemic liquidity and very low cash-to-debt ratio of 18.4%; and sizable operating losses for the fiscal year ended June 30, 2008, higher than Metro Health's projected loss of $1.3 million. Offsetting factors include Metro Health's move into its newly constructed replacement facility on time and within the projected budget. Management also reports market share growth since relocation and even in its competitive market, Metro Health has demonstrated immediate volume growth, which it expects to enhance through strategic partnerships with area providers. "The negative rating outlook reflects our concern regarding the sustainability of Metro Health's year-to-date operating improvement," said Standard & Poor's credit analyst Antionette Maxwell. "As Metro Health enhances its service offerings and begins to realize the operational efficiencies of the new hospital fully, S&P expected a dip in fiscal 2008 operating margins, but the losses were larger than projected," said Ms. Maxwell. In addition, the weak liquidity position provides little or no flexibility in this challenging economic environment. S&P will base a lower rating on weaker operating performance and a further drop in liquidity. No new debt is expected in the near future. KLEROS PREFERRED: Fitch Junks Rating on Two Classes of Notes ------------------------------------------------------------ Fitch Ratings downgrades $755.6 million and affirms $19.3 million from five classes of notes issued by Kleros Preferred Funding Ltd.: -- $649,440,513 class A-1 notes downgraded to 'B' from 'BBB'; -- $60,614,986 class A-2 notes downgraded to 'CCC' from 'BB'; -- $45,571,851 class B notes downgraded to 'CC' from 'CCC'; -- $11,624,702 class C notes affirmed at 'C'; -- $7,688,575 class D notes affirmed at 'C'. The class A-1and A-2 notes are also removed from Rating Watch Negative. In addition, Fitch assigned the class A-1 notes a Negative Outlook due to the concentration of residential mortgage-backed security assets as well as indirect exposure to RMBS through other structured finance collateralized debt obligations in the portfolio, which are expected to continue to face negative rating migration until the housing market stabilizes. The rating actions are due to Fitch's recently adjusted default and recovery rate assumptions for analyzing SF CDOs, in addition to negative credit migration in the underlying portfolio. Since the last rating action in September 2008, 52.3% of the portfolio has been downgraded. Assets rated below investment grade comprise 27.6% of the portfolio, of which 12.2% of the portfolio is considered 'CCC' or below. Par coverage to all of the notes has continued to erode due to defaulted and distressed assets, specifically RMBS. According to the March 2009 trustee report, the class A/B and C/D over collateralization tests are failing. The class A/B OC test level has dropped to 88.21% versus a trigger of 101.7% and the class C/D OC ratio is 86.1% compared to the 100.3% trigger. There are no Events of Default triggered by OC test failures, but the transaction switched to sequential payments of principal from pro- rata when the class C/D OC test first failed in March 2008. Principal payments can revert back to pro-rata once the coverage tests are cured, but that is unlikely given the continuing deterioration of the collateral. As a result of the coverage test failures, interest proceeds otherwise available to pay subordinated notes are being used to pay down the senior notes sequentially until all of the OC tests are cured. Currently, the class A-1 notes are benefiting from the class A/B OC test failure as they are the only class receiving principal payments. The class A-1 notes have delevered 23.6% since closing and 7.9% since the last rating action, but credit enhancement to the class A-1 notes may easily be eroded by losses on below investment grade collateral. In addition, the deterioration of the portfolio decreases the likelihood of full principal repayment to class A-1 as the transaction remains undercollateralized. Furthermore, the continued credit deterioration of the portfolio decreases the likelihood of full principal and interest payments to the class A-2, B, C, and D notes. The transaction's ability to repay the class A-2 notes is highly dependent upon the performance of 'CCC' and lower rated collateral. The class B notes are currently receiving full interest payments and are expected to continue to receive future interest payments, but principal payments are not expected. The class C and D notes have and will continue to pay in kind, whereby the principal balances of the notes are written up by the amount of interest owed due to the class A/B OC test failure. Fitch does not expect any future interest or principal payments to the class C or D notes. Kleros I is a static CDO which closed in June 2005 with a portfolio selected by Strategos Capital Management, LLC. Kleros I is composed of 82.9% RMBS, 13.7% SF CDOs, and 3.5% corporate CDOs, all primarily from the 2004 and 2005 vintages. The rating actions resolve the 'Under Analysis' status issued on Oct. 14, 2008 following Fitch's announcement of its proposed criteria revision for analyzing structured finance CDOs. The revised criteria report, 'Global Rating Criteria for Structured Finance CDOs,' was published in its final form on Dec. 16, 2008 along with an updated version of the Fitch Portfolio Credit Model that includes additional functionality for analyzing SF CDOs. As part of this review, Fitch makes standard adjustments for any names on Rating Watch Negative or with a Negative Outlook, downgrading such ratings for default analysis purposes by three and one notches, respectively. Fitch will continue to monitor and review this transaction for future rating adjustments. KLEROS PREFERRED: Fitch Junks Ratings on Four Classes of Notes -------------------------------------------------------------- Fitch Ratings downgrades $852.2 million and affirms $29.2 million from seven classes of notes issued by Kleros Preferred Funding II, Ltd.: -- $218,573 class A-1V notes downgraded to 'CCC' from 'BB'; -- $760,416,989 class A-1NV notes downgraded to 'CCC' from 'BB'; -- $58,429,929 class A-2 notes downgraded to 'CC' from 'B'; -- $33,110,293 class B notes downgraded to 'CC' from 'CCC'; -- $7,790,657 class C notes affirmed at 'CC'; -- $9,966,435 class D notes affirmed at 'C'; -- $11,395,420 class E notes affirmed at 'C'. The class A-1V, A-1NV, and A-2 notes are also removed from Rating Watch Negative. The rating actions are due to Fitch's recently adjusted default and recovery rate assumptions for analyzing structured finance collateralized debt obligations, in addition to negative credit migration in the underlying portfolio. Since the last rating action in May 2008, 48.8% of the portfolio has been downgraded. Assets rated below investment grade comprise 39.1% of the portfolio, of which 22.7% of the portfolio is considered 'CCC+' or below. Par coverage to all of the notes has continued to erode due to defaulted and distressed assets, specifically residential mortgage-backed securities. According to the March 2009 trustee report, the class A/B/C, D, and E over collateralization tests are all failing, in addition to the class A sequential pay test. There are no Events of Default triggered by OC test failures. The class A/B/C OC test level has dropped to 77.8% versus a trigger of 101.6%. As a result of the coverage test failures, interest proceeds otherwise available to pay subordinated notes are being used to pay down the senior notes sequentially until all of the OC tests are cured. In addition, the failure of the class A sequential pay test permanently switches principal payments to sequential from pro-rata until the transaction's maturity. The pro-rata class A-1V and class A-1NV (together, class A-1) notes have amortized 12.6% since closing and still represent 85.5% of the remaining rated notes. Credit enhancement to the class A-1 notes may easily be eroded by losses on below investment grade collateral, and even though the class A-1 notes are the only notes receiving any principal payments due to the class A/B/C OC test failure, the continued deterioration of the portfolio decreases the likelihood of full principal repayment to class A-1. Furthermore, the continued credit deterioration of the portfolio decreases the likelihood of full principal and interest payments to the class A-2, B, C, D and E notes. The class A-2, B, and C notes are currently receiving full interest payments and are expected to continue to receive future interest payments, but principal payments are not expected as all principal payments are going to the class A-1 notes. The class D and E notes have and will continue to pay in kind, whereby the principal balances of the notes are written up by the amount of interest owed due to the class A/B/C OC test failure. Fitch does not expect any future interest or principal payments to the class D or E notes. Kleros II is a static CDO which closed in January 2006 with a portfolio selected by Strategos Capital Management, LLC. Kleros II is composed of 84.9% RMBS primarily from the 2005 vintage, 13.7% SF CDOs from the 2004 and 2005 vintages, 0.9% corporate CDOs, and 0.6% commercial mortgage-backed securities. The rating actions resolve the 'Under Analysis' status issued on Oct. 14, 2008 following Fitch's announcement of its proposed criteria revision for analyzing structured finance CDOs. The revised criteria report, 'Global Rating Criteria for Structured Finance CDOs,' was published in its final form on Dec. 16, 2008 along with an updated version of the Fitch Portfolio Credit Model that includes additional functionality for analyzing SF CDOs. As part of this review, Fitch makes standard adjustments for any names on Rating Watch Negative or with a Negative Outlook, downgrading such ratings for default analysis purposes by three and one notches, respectively. Fitch will continue to monitor and review this transaction for future rating adjustments. LAS VEGAS MONORAIL: Moody's Cuts Ratings on $439MM Bonds to 'Caa2' ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on the Nevada Department of Business and Industry Las Vegas Monorail Project's (Monorail Project) $439 million 1st Tier Series 2000 Revenue Bonds from Caa2 to Ca and assigned a negative outlook to the rating. The downgrade reflects the continued weak performance of the Monorail Project and Moody's opinion that bondholders are exposed to a significant loss in principal. As a result, Moody's expects that Ambac Assurance Corporation (insurance financial strength rating of Ba3) will be required to perform under the surety bond and its financial guarantee. Given the low operating revenues, Las Vegas Monorail Company has not complied with the rate covenant requirement since 2005. The rate covenant requires that the first tier debt service coverage ratio equal 1.40 times (x) debt service and 1.10x debt service for all debt, including the second tier and subordinate bonds. The first tier debt service coverage ratio in 2008 equaled approximately 0.30. Based on the 2009 budget and unaudited financials, the 2009 total operating revenue is expected to be approximately 2% lower than that achieved in 2008. According to LVMC, the reduction in revenues is a result of the reduction in ridership, which is a function of the number of visitors to Las Vegas, as well as a reduction in investment income due to the draw down in the reserves. According to the Las Vegas Convention and Visitor Authority, total visitors to Las Vegas are expected to equal 37.5 million in 2009, down 4.5% compared to that in 2008. Since 2007, Wells Fargo Bank, National Association, the Trustee, has withdrawn funds from the first tier and second tier debt service reserve funds to pay debt service. This was required because operating revenues, after covering operating expenses, were not sufficient to cover the first tier and second tier debt service payments. It is likely that the cash portion of the 1st tier and 2nd tier debt service reserve funds will both be depleted in July 2009 and that the Trustee will have to make a demand on Ambac Assurance Corporation to cover the remaining shortfall. The 1st Tier Series 2000 project revenue bond ratings were assigned by evaluating factors believed to be relevant to the credit profile of the Project such as i) the business risk and competitive position of the issuer versus others within its industry or sector, ii) the capital structure and financial risk of the issuer, iii) the projected performance of the issuer over the near to intermediate term, and iv) the issuer's history of achieving consistent operating performance and meeting budget or financial plan goals. These attributes were compared against other issuers both within and outside of the Monorail Project's core peer group and the 1st Tier Series 2000 project revenue bond ratings are believed to be comparable to ratings assigned to other issuers of similar credit risk. The last rating action was on January 29, 2008 when the 1st Tier Series 2000 bonds were downgraded from B3 to Caa2. LSP BATESVILLE: S&P Puts 'B' Rating on $246.2 Mil. Senior Bonds --------------------------------------------------------------- Standard & Poor's Ratings Services placed the 'B' rating on LSP Batesville Funding Corp.'s two tranches of senior secured bonds currently totaling $246.2 million on CreditWatch with negative implications. The bonds helped to develop, design, build, finance, own, operate, and maintain an 837 megawatt, natural-gas- fired, combined-cycle plant in Batesville, Mississippi. LSP Batesville Funding was established to co-issue the bonds with LSP Energy. The CreditWatch placement follows S&P's increased concern that cash from operations may be insufficient to achieve the minimum 1.1x coverage S&P views as appropriate for the 'B' rating on this credit. Despite markedly improved operating performance for the first quarter of 2009, cash flows have been pressured by penalties for the 2007 outage (which have now rolled off), lower J. Aron payments under the relevant PPA as a result of the units' call option repurchase, and, most recently, higher starts expenses incurred under the recently executed long-term parts agreement with Siemens Power Generation which are not fully offset by starts-related payments under the project's two PPAs. LUBBOCK HOUSING: Moody's Affirms 'Ba3' Rating on Refunding Bonds ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings for the Lubbock Housing Finance Corporation Multi-family Revenue Refunding Bonds (Las Colinas, Quail Creek and Parkridge Place Apartment projects), Series 2002 A&B at Ba3 and Subordinate Series 2002C bonds at B1. The outlook is changed to positive. The rating affirmation reflects significant increases in rental revenue and strengthened debt service coverage. The positive outlook reflects the potential for an upgrade if the trend of strength is maintained in 2009. All of the properties were built in 1983 and are located approximately six miles southwest of the Lubbock central business district. The neighborhood is largely residential, with development along the South Loop 289 thoroughfare. Texas Tech University is located within one to two miles of the submarket. Legal Security: The bonds are limited obligations payable solely from the revenues, receipts and security pledged in the Trust Indenture. Recent Developments/Results After competition from newer complexes had a negative impact on occupancy at the projects in recent years, occupancy and revenues greatly improved in 2008. The weighted average monthly occupancy for the three properties was 93% in 2008 after a weak at 88% in December 2007. Quail creek continues to perform well with 96.3% occupancy (2008 monthly average), while Las Colinas and Parkridge are weaker with occupancies of 93% and 89% respectively. The debt service coverage ratio derived from 2007 financial statements was 1.17 for senior debt and 1.12x for subordinate debt. This improved substantially to 1.34x and 1.29x for 2008 due largely to a sharp 8.2% increase in rental revenues over 2007. The owner has been making substantial contributions to the reserve and replacement fund in excess of the Indenture requirement. The owner contributed $481,847 in 2007 and $225,389 in 2008. Moody's considers the owner's investment in the property a strength as it improves the property's attractiveness. Moody's also recognizes this is not a requirement and the contributions cannot be counted on in the future. Outlook The outlook for senior and subordinate debt is positive reflecting the potential for an upgrade if the trend of financial strength is maintained in 2009. MESA WEST: Moody's Downgrades Ratings on 10 2007-1 Notes -------------------------------------------------------- Moody's Investors Service confirmed the rating of one class and downgraded the ratings of ten classes of Notes issued by Mesa West Capital CDO, Ltd. 2007-1. The rating actions are: -- Class A-1, $330,000,000, Floating Rate Notes Due 2047, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $91,500,000, Floating Rate Notes Due 2047, downgraded to Aa3 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $34,500,000, Floating Rate Notes Due 2047, downgraded to Baa1 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $24,000,000, Floating Rate Notes Due 2047, downgraded to Ba1 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $11,250,000, Floating Rate Notes Due 2047, downgraded to Ba2 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $13,500,000, Floating Rate Notes Due 2047, downgraded to Ba3 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $12,750,000, Floating Rate Notes Due 2047, downgraded to B2 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $13,500,000, Fixed Rate Notes Due 2047, downgraded to B3 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class H, $10,500,000, Floating Rate Notes Due 2047, downgraded to Caa1 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class J, $7,500,000, Floating Rate Notes Due 2047, downgraded to Caa2 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class K, $7,500,000, Floating Rate Notes Due 2047, downgraded to Caa3 from B2; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded Classes A-1, A-2, B, C, D, E, F, G, H, J and K due to 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 97.0% concentration in Whole Loans and 3.0% in 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 pre-sale report dated January 24, 2007. MERRILL LYNCH: Moody's Downgrades Ratings on 15 Securities ---------------------------------------------------------- Moody's Investors Service has downgraded the rating of 15 securities from seven transactions issued by Merrill Lynch. Additionally, two ratings were placed under review for possible downgrade. These actions are part of an ongoing review of subprime RMBS transactions. The rating actions are the result of an analysis of credit enhancement relative to updated collateral loss projections. The revised loss projections generally result from deterioration in collateral performance in recent months. Additionally, most effected transactions have, at some point, passed performance triggers and released portions of credit enhancement. Moody's approach to analyzing seasoned subprime pools i.e. prior to 2H 2005 takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions, in this case ranging from 40% to 60%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. The complete rating actions: Merrill Lynch Mortgage Investors Tr 2002-AFC1 -- Cl. BF-1, Baa2 Placed Under Review for Possible Downgrade; previously on 2/21/2002 Assigned Baa2 -- Cl. BV-1, Downgraded to B1 and Placed Under Review for Possible Downgrade; previously on 2/21/2002 Assigned Baa2 Merrill Lynch Mortgage Investors Tr 2003-OPT1 -- Cl. M-2, Downgraded to A1; previously on 5/31/2007 Upgraded to Aa2 -- Cl. B-2, Downgraded to Baa3; previously on 1/18/2008 Baa2 Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to Ba2; previously on 1/18/2008 Ba1 Placed Under Review for Possible Downgrade Merrill Lynch Mortgage Investors Tr 2004-FM1 -- 2004-FM1-B3, Downgraded to Ba2; previously on 8/13/2004 Assigned Baa3 Merrill Lynch Mortgage Investors Tr 2004-WMC3 -- Cl. B-2, Downgraded to Ba1; previously on 5/17/2004 Assigned Baa2 -- Cl. B-3, Downgraded to Ba3; previously on 11/14/2007 Downgraded to Ba2 -- Cl. B-4, Downgraded to Caa2; previously on 11/14/2007 Downgraded to Ba3 Merrill Lynch Mtge Investors Trust 2002-HE1 -- Cl. M-1, Downgraded to Aa3; previously on 9/23/2005 Upgraded to Aaa -- Cl. M-2, Downgraded to Baa1; previously on 9/23/2005 Upgraded to Aa3 Merrill Lynch Mtge Investors, Inc. 2003-WMC2 -- Cl. B-1, Downgraded to B2; previously on 4/21/2003 Assigned Baa1 -- Cl. B-2, Downgraded to C; previously on 8/15/2007 Downgraded to B1 Merrill Lynch Mtge Investors, Inc. 2003-WMC3 -- Cl. B-1, Downgraded to Baa3; previously on 9/26/2003 Assigned Baa1 -- Cl. B-2, Downgraded to Ba1; previously on 9/26/2003 Assigned Baa2 -- Cl. B-3, Downgraded to B2; previously on 8/15/2007 Downgraded to Ba1 MEZZ CAP: Fitch Downgrades Ratings on 2005-C3 Certificates ---------------------------------------------------------- Fitch Ratings has downgraded six classes of Mezz Cap Commercial Mortgage Trust's commercial mortgage pass-through certificates, series 2005-C3: -- $41 million class A to 'A' from 'AAA'; Outlook Negative; -- $1.8 million class B to 'BBB+' from 'AA'; Outlook Negative; -- $1.9 million class C to 'BBB' from 'A'; Outlook Negative; -- $3.2 million class D to 'BB-' from 'BB'; Outlook Negative; -- $1.8 million class E to 'B' from 'BB-'; Outlook Negative; -- $1.6 million class F to 'B-' from 'B+'; Outlook Negative. Fitch has downgraded and assigned a Recovery Rating (RR) to this class: -- $1.7 million class G to 'CCC/RR1' from 'B'. Fitch has revised the rating of this class: -- $4.9 million class H to 'C/RR5' from 'CC/DR2'. In addition, Fitch affirms and revises Rating Outlooks, as applicable, on these classes: -- Interest-only class X at 'AAA'; Outlook to Stable from Negative; -- $0.6 million class J at 'C/RR6'. Fitch does not rate the $3.4 million class K certificates. The downgrades are the result of an increase in Fitch's loss expectations due to the transfer of five specially serviced assets (4.5%) as well as the addition of 24 Fitch Loans of Concern (LOCs, 29.4%) subsequent to Fitch's last rating action. The Rating Outlooks reflect the likely direction of any changes to the ratings over the next one to two years. The Negative Rating Outlooks reflect the possibility for additional loans to default in the future and the likelihood for little to no recoveries thereon. Each mortgage loan consists of two notes: the A note, or senior component, which is not included in this trust's mortgage assets, and the B note. The B notes in this pool consist of subordinate interests in the first mortgage loans. All loans are secured by traditional commercial real estate property types and are subject to standard intercreditor agreements that limit the rights and remedies of the B note holder in the event of default and upon refinancing. Due to their subordinate positions, B notes which default and incur a loss are typically 100% non-recoverable. In total, 15 assets (13.9%) are currently in special servicing with losses expected. In addition to the specially serviced assets, two loans (0.6%) are at least 30 days delinquent and have a high probability of default with potential future losses to the trust. Including the specially serviced assets and other delinquent loans (14.5%), Fitch has identified a total of 43 LOCs (45.3%). The transaction's delinquencies and LOC concentration far exceed those of typical CMBS transactions. As of the April 2009 remittance, the pool's aggregate certificate balance has decreased 2.4% to $61.9 million, from $63.4 million at issuance. Three loans (3.2%) have defeased. No loans are scheduled to mature throughout the remainder of 2009. In 2010, six non-defeased loans (4.7%) mature. MORGAN STANLEY: Fitch Affirms Ratings on 2005-TOP19 Notes --------------------------------------------------------- Fitch Ratings affirms and assigns Rating Outlooks to these classes of Morgan Stanley Capital I Trust 2005-TOP19: -- $30.1 million class A-1 at 'AAA'; Outlook Stable; -- $84.6 million class A-2 at 'AAA'; Outlook Stable; -- $44.7 million class A-3 at 'AAA'; Outlook Stable; -- $84.1 million class A-AB at 'AAA'; Outlook Stable; -- $642.8 million class A-4A at 'AAA'; Outlook Stable; -- $88.1 million class A-4B at 'AAA'; Outlook Stable; -- $87.5 million class A-J at 'AAA'; Outlook Stable; -- Interest only class X-1 at 'AAA'; Outlook Stable; -- Interest only class X-2 at 'AAA'; Outlook Stable; -- $23 million class B at 'AA'; Outlook Stable; -- $12.3 million class C at 'AA-'; Outlook Stable; -- $15.4 million class D at 'A'; Outlook Stable; -- $12.3 million class E at 'A-'; Outlook Stable; -- $9.2 million class F at 'BBB+'; Outlook Stable; -- $9.2 million class G at 'BBB'; Outlook Stable; -- $10.7 million class H at 'BBB-'; Outlook Stable; -- $3.1 million class J at 'BB+'; Outlook Stable; -- $3.1 million class K at 'BB'; Outlook Negative; -- $6.1 million class L at 'BB-'; Outlook Negative; -- $1.5 million class M at 'B+'; Outlook Negative; -- $3.1 million class N at 'B'; Outlook Negative; -- $3.1 million class O at 'B-'; Outlook Negative. Fitch does not rate the $9.2 million class P certificates. The affirmations reflect stable pool performance and scheduled amortization since the last rating action. The Rating Outlooks reflect the likely direction of any rating changes over the next one or two years. As of the April 2009 distribution date, the pool's aggregate principal balance has decreased 3.7% to $1.18 billion from $1.23 billion at issuance. To date seven loans (5.7%) have been defeased, including The Brooks Brothers Building (2.4%), the largest shadow rated loan. Sixteen loans, representing 15.8% of the transaction continue to maintain their investment grade shadow ratings. Fitch's reviewed the most recent servicer provided operating statement analysis reports for the 15 non-defeased shadow rated loans. The largest shadow rated loan, Port Covington Shopping Center (1.7%), is secured by the leasehold interest in two long-term ground leases to Wal-Mart Stores, Inc. and Sam's Club. The leases are guaranteed by Wal-Mart Stores, Inc (rated 'AA' by Fitch). Four of the retail shadow rated loans have experienced declines in occupancy since issuance; Woodfield Plaza (1.0%), Schaumburg Promenade I & II (1.0%), Lansing Square (0.9%) and Eastgate Shopping Center (0.3%), primarily due to the loss of larger tenants. Woodfield Plaza's occupancy has dropped from 94% at issuance to 78% as of September 2009, Shaumburg Promenade has seen occupancy fall to 93% from 100%, Lansing Square occupancy is 87% as compared to 96% at issuance and Eastgate Shopping Center occupancy as of September 2008 is down to 81.0% from 93% at issuance. While Fitch will continue to monitor the occupancy levels at these properties, net operating income has not yet dropped significantly, as compared to issuance, due to previous rental income growth at the properties. The remaining shadow rated loans, Oak Tree Village Apartments (1.4%), The Hotel Metro (1.3%), JL Holdings Portfolio (1.2%), Georgetown Suites and Harbour Hotel (1.1%), Valley View Apartments (0.9%), Centerpoint Mall (0.6%), Academy Sports San Antonio (0.3%), Academy Sports Houma (0.3%), Academy Sports Port Arthur (0.2%) and Academy Sports Midland (0.2%) have all experienced stable to improved performance since issuance. MORGAN STANLEY: Fitch Affirms Rating on 2000-LIFE2 Certificates --------------------------------------------------------------- Fitch Ratings has affirmed and assigned Rating Outlooks to Morgan Stanley Dean Witter Capital I Trust's commercial mortgage pass- through certificates, series 2000-LIFE2: -- $337.4 million class A-2 at 'AAA'; Stable Outlook; -- Interest-only class X at 'AAA'; Stable Outlook; -- $23 million class B at 'AAA'; Stable Outlook; -- $24.9 million class C at 'AAA'; Stable Outlook; -- $6.9 million class D at 'AAA'; Stable Outlook; -- $18.8 million class E at 'A+'; Stable Outlook; -- $7.7 million class F at 'A-'; Stable Outlook; -- $3.1 million class G at 'BBB+'; Stable Outlook; -- $9.6 million class H at 'BBB-'; Negative Outlook; -- $9.2 million class J at 'BB+'; Negative Outlook; -- $3.1 million class K at 'BB'; Negative Outlook; -- $4 million class L at 'B+'; Negative Outlook; -- $6.7 million class M at 'B'; Negative Outlook; -- $2.9 million class N at 'B-'; Negative Outlook; -- $1 million class O at 'CCC'; Negative Outlook. Fitch does not rate the $5.6 million class P certificates. Class A-1 has been paid in full. The rating affirmations reflect the stable performance of the pool since Fitch's last rating action. The Negative Outlooks reflect the overall high percentage of Fitch Loans of Concern (19.3%) and increased concentration of loans scheduled to mature in the next two years. 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 has paid down 39.4% to $463.6 million from $765.3 million at issuance. In total, 18 loans are defeased (19.6%). Fitch has identified 17 Loans of Concern (19.3%), including one loan in special servicing (0.8%). The asset is an office building in Omaha, NE and the sponsor is an affiliate of DBSI, a tenant-in- common sponsor that filed for bankruptcy protection in 2008. The loan transferred to special servicing for monetary default. The TIC entity is attempting to fund the required tenant improvements to re-tenant the building. The largest Fitch Loan of Concern (4.9%) is secured by a warehouse distribution facility located in Edison, New Jersey. The servicer reported debt service coverage ratio as of December 2008 was 1.08 times (x). A large tenant occupying 30.5% of the net rentable area renewed their lease through 2010. The loan is scheduled to mature in August 2010. The second largest Fitch Loan of Concern (2.7%) is secured by an office property located in Englewood, Colorado. The servicer reported DSCR as of December 2008 was 0.43. Occupancy has increased to 87% in 2008 from 53% in 2006; however, the property has experienced several tenant roll-overs the past few years. The loan is scheduled to mature in July 2010. The largest remaining loan in the pool (5.6%) is collateralized by a 648-unit multifamily property located in South Brunswick, New Jersey. The last servicer reported occupancy as of December 2007 was 96% with a DSCR of 1.65x. The loan is scheduled to mature in April 2010. Of the remaining loans that are not defeased, 1.8% and 73.3% are scheduled to mature in 2009 and 2010, respectively. MORGAN STANLEY: Moody's Downgrades Ratings on 94 Tranches --------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 94 tranches from 8 Alt-A RMBS transactions issued by Morgan Stanley. The collateral backing these transactions consists primarily of first-lien, fixed and adjustable-rate, Alt-A residential mortgage loans. These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Once expected losses have been determined, Moody's assesses available credit enhancement from subordination, over collateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. Morgan Stanley Mortgage Loan Trust 2004-10AR -- Cl. 1-A, Downgraded to A2; previously on 11/29/2004 Assigned Aaa -- Cl. 2-A-1, Downgraded to A2; previously on 11/29/2004 Assigned Aaa -- Cl. 2-A-2, Downgraded to Aa3; previously on 11/29/2004 Assigned Aaa -- Cl. 2-A-3, Downgraded to A3; previously on 11/29/2004 Assigned Aa1 -- Cl. 3-A, Downgraded to A2; previously on 11/29/2004 Assigned Aaa -- Cl. 3-X, Downgraded to A2; previously on 11/29/2004 Assigned Aaa -- Cl. 4-A, Downgraded to A2; previously on 11/29/2004 Assigned Aaa -- Cl. B-1, Downgraded to Baa3; previously on 11/29/2004 Assigned Aa2 -- Cl. B-2, Downgraded to B2; previously on 11/29/2004 Assigned A2 -- Cl. B-3, Downgraded to Caa2; previously on 10/30/2008 Downgraded to Ba1 Morgan Stanley Mortgage Loan Trust 2004-11AR -- Cl. 1-A-1, Downgraded to A3; previously on 1/27/2005 Assigned Aaa -- Cl. 1-A-2A, Downgraded to Aa3; previously on 1/27/2005 Assigned Aaa -- Cl. 1-A-2B, Downgraded to A3; previously on 1/27/2005 Assigned Aaa -- Cl. 1-X-2, Downgraded to Aa3; previously on 1/27/2005 Assigned Aaa -- Cl. 1-X-B, Downgraded to B2; previously on 1/27/2005 Assigned Aaa Morgan Stanley Mortgage Loan Trust 2004-4 -- Cl. 1-A-2, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 1-A-3, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 1-A-4, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 1-A-5, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 1-A-8, Downgraded to Aa3; previously on 9/10/2004 Assigned Aa1 -- Cl. 1-A-9, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 1-A-10, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 1-A-11, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 1-A-12, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 1-A-13, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 1-A-14, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 1-A-15, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 1-A-P, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 1-A-X, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 2-A, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 3-A, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 3-A-P, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa -- Cl. 3-A-X, Downgraded to Aa3; previously on 9/10/2004 Assigned Aaa Morgan Stanley Mortgage Loan Trust 2004-5AR -- Cl. 1-A-1, Downgraded to Aa3; previously on 7/23/2004 Assigned Aaa -- Cl. 1-A-2, Downgraded to Aa3; previously on 7/23/2004 Assigned Aaa -- Cl. 1-A-3, Downgraded to Aa3; previously on 7/23/2004 Assigned Aaa -- Cl. 2-A, Downgraded to Aa3; previously on 7/23/2004 Assigned Aaa -- Cl. 3-A-1, Downgraded to Aa2; previously on 7/23/2004 Assigned Aaa -- Cl. 3-A-2, Downgraded to Aa3; previously on 7/23/2004 Assigned Aaa -- Cl. 3-A-3, Downgraded to Aa3; previously on 7/23/2004 Assigned Aa1 -- Cl. 3-A-4, Downgraded to Aa1; previously on 7/23/2004 Assigned Aaa -- Cl. 3-A-5, Downgraded to Aa2; previously on 7/23/2004 Assigned Aaa -- Cl. 4-A, Downgraded to Aa3; previously on 7/23/2004 Assigned Aaa -- Cl. B-1, Downgraded to A3; previously on 7/23/2004 Assigned Aa2 -- Cl. B-2, Downgraded to Ba1; previously on 7/23/2004 Assigned A2 -- Cl. B-3, Downgraded to Caa2; previously on 7/23/2004 Assigned Baa2 Morgan Stanley Mortgage Loan Trust 2004-6AR -- Cl. 1-A, Downgraded to Aa2; previously on 8/16/2004 Assigned Aaa -- Cl. 1-M-1, Downgraded to A1; previously on 8/16/2004 Assigned Aa2 -- Cl. 1-M-2, Downgraded to A3; previously on 8/16/2004 Assigned A2 -- Cl. 1-M-3, Downgraded to Baa1; previously on 8/16/2004 Assigned A3 -- Cl. 2-A-1, Downgraded to A3; previously on 8/16/2004 Assigned Aaa -- Cl. 2-A-2, Downgraded to A2; previously on 8/16/2004 Assigned Aaa -- Cl. 2-A-3, Downgraded to A3; previously on 8/16/2004 Assigned Aa1 -- Cl. 3-A, Downgraded to A3; previously on 8/16/2004 Assigned Aaa -- Cl. 4-A, Downgraded to A3; previously on 8/16/2004 Assigned Aaa -- Cl. 5-A, Downgraded to A3; previously on 8/16/2004 Assigned Aaa -- Cl. 6-A, Downgraded to A3; previously on 8/16/2004 Assigned Aaa Morgan Stanley Mortgage Loan Trust 2004-7AR -- Cl. 1-A, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 2-A-1, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 2-A-2, Downgraded to A1; previously on 9/20/2004 Assigned Aaa -- Cl. 2-A-3, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 2-A-4, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 2-A-5, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 2-A-6, Downgraded to Aa3; previously on 9/20/2004 Assigned Aaa -- Cl. 2-A-7, Downgraded to A2; previously on 9/20/2004 Assigned Aa1 -- Cl. 3-A, Downgraded to A2; previously on 9/20/2004 Assigned Aaa -- Cl. 4-A, Downgraded to A2; previously on 9/20/2004 Assigned Aaa Morgan Stanley Mortgage Loan Trust 2004-8AR -- Cl. 1-A, Downgraded to Baa3; previously on 10/15/2004 Assigned Aaa -- Cl. 1-X, Downgraded to Baa3; previously on 10/15/2004 Assigned Aaa -- Cl. 2-A, Downgraded to Baa3; previously on 10/15/2004 Assigned Aaa -- Cl. 2-X, Downgraded to Baa3; previously on 10/15/2004 Assigned Aaa -- Cl. 3-A, Downgraded to Baa1; previously on 10/15/2004 Assigned Aaa -- Cl. 4-A-1, Downgraded to Baa1; previously on 10/15/2004 Assigned Aaa -- Cl. 4-A-2, Downgraded to A1; previously on 10/15/2004 Assigned Aaa -- Cl. 4-A-4, Downgraded to Baa1; previously on 10/15/2004 Assigned Aaa -- Cl. 4-A-5, Downgraded to Baa1; previously on 10/15/2004 Assigned Aa1 -- Cl. S-B-1, Downgraded to Ca; previously on 10/15/2004 Assigned Aa2 -- Cl. S-B-2, Downgraded to Ca; previously on 10/30/2008 Downgraded to Baa2 -- Cl. S-B-3, Downgraded to C; previously on 10/30/2008 Downgraded to B3 -- Cl. S-B-4, Downgraded to C; previously on 10/30/2008 Downgraded to Ca Morgan Stanley Mortgage Loan Trust 2004-9 -- Cl. 1-A, Downgraded to A3; previously on 11/29/2004 Assigned Aaa -- Cl. 2-A, Downgraded to A3; previously on 11/29/2004 Assigned Aaa -- Cl. 3-A-1, Downgraded to A1; previously on 11/29/2004 Assigned Aaa -- Cl. 3-A-2, Downgraded to A3; previously on 11/29/2004 Assigned Aa1 -- Cl. 3-A-3, Downgraded to A3; previously on 11/29/2004 Assigned Aaa -- Cl. 3-A-4, Downgraded to A3; previously on 11/29/2004 Assigned Aaa -- Cl. 3-A-5, Downgraded to A3; previously on 11/29/2004 Assigned Aaa -- Cl. 3-A-6, Downgraded to A1; previously on 11/29/2004 Assigned Aaa -- Cl. 3-A-P, Downgraded to A3; previously on 11/29/2004 Assigned Aaa -- Cl. 3-A-X, Downgraded to A1; previously on 11/29/2004 Assigned Aaa -- Cl. 4-A, Downgraded to A3; previously on 11/29/2004 Assigned Aaa -- Cl. 5-A, Downgraded to A3; previously on 11/29/2004 Assigned Aaa -- Cl. 5-A-P, Downgraded to A3; previously on 11/29/2004 Assigned Aaa -- Cl. 5-A-X, Downgraded to A3; previously on 11/29/2004 Assigned Aaa MORGAN STANLEY: Moody's Downgrades Ratings on Three Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of three tranches issued in one transaction from the Morgan Stanley ABS Capital I Inc. Trust shelf. The collateral backing the transaction consists primarily of first lien adjustable-rate and fixed-rate "scratch and dent" mortgage loans. Scratch and dent loans in the Morgan Stanley shelf include loans which were delinquent before closing and / or at closing, loans under bankruptcy or modified loans. The actions are triggered by higher than anticipated delinquency levels and severity of loss as well as slower than anticipated voluntary prepayments, resulting in higher updated loss expectation for the underlying collateral and lower coverage for the rated debt given available credit enhancement. The ratings on the securities are monitored by evaluating factors determined to be applicable to the credit profile of the securities, such as i) the nature, sufficiency, and quality of historical performance information regarding the asset class ii) an analysis of the collateral being securitized, iii) an analysis of the transaction's allocation of collateral cash flow and capital structure, and (iv) a comparison of these attributes against those of other similar transactions. General loss estimation methodology is outlined below. For seasoned vintages (before 2005), Moody's calculates estimated losses for Scratch and Dent RMBS: -- Current delinquencies are used to project pipeline losses. -- Annual roll rates are assumed at 0% for 30 days, 15% for 60 days, 30% for 90 days, 65% for foreclosures and 90% for REO. -- Severities used are higher of 65% or actual historical severity for each transaction. -- Loss is calculated for the previous year. Expected annual loss is then derived from a weighted average of previous year loss and expected pipeline loss. The transaction expected loss is projected out over the deal's expected remaining life. Depending on a transaction's time of origination, a 75% weight can be applied to pipeline loss when it is considered to be more representative of future expected performance than the previous year's losses. -- Expected loss is finally compared to credit enhancement to derive a rating. Loss estimates are subject to variability and, as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly if necessary. Complete rating actions are: Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-SD1 -- Cl. M-2, Downgraded to Ba2; previously on 8/22/2008 Downgraded to Baa3 -- Cl. B-1, Downgraded to Ca; previously on 8/22/2008 Downgraded to Caa3 -- Cl. B-2, Downgraded to C; previously on 8/22/2008 Downgraded to Ca MORGAN STANLEY: S&P Junks Rating on $3 Mil. Class A-9 Notes ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Morgan Stanley ACES SPC's $3 million class A-9 secured fixed-rate notes series 2006-8 to 'CCC+' from 'B-' and removed the rating from CreditWatch with negative implications, where it was placed Feb. 20, 2009. The rating action reflects the April 16, 2009, lowering of S&P's rating on the reference obligation, Neiman Marcus Group Inc.'s 10.375% senior subordinated notes due Oct. 15, 2015, to 'CCC+' from 'B-' and S&P's removal of that rating from CreditWatch negative, where it was placed Feb. 5, 2009. The rating on the class A-9 notes is dependent on the lowest of the rating on the reference obligation; Morgan Stanley (A/Negative/A-1), the guarantor of the counterparty to the credit default swap, interest rate swap, and contingent forward agreement; and BA Master Credit Card Trust II's class A certificates series 2001-B due 2013 ('AAA'), the underlying security. MORGAN STANLEY: S&P Cuts Rating on $3 Mil. Class A-5 Notes to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Morgan Stanley ACES SPC's $3.0 million class A-5 secured, fixed-rate notes series 2006-8 to 'D' from 'C'. The rating was previously on CreditWatch with negative implications. The rating action follows the April 16, 2009, lowering of S&P's rating on the reference obligation, Bowater Inc.'s senior unsecured debt notes, to 'D' from 'C/Watch Neg'. The rating on the class A-5 notes is dependent on the lowest of: (i) the rating on Bowater Inc.'s $400 million 6.5% senior unsecured notes due June 15, 2013 ('D'); (ii) the rating on Morgan Stanley as guarantor under the swap and forward agreements (A/Negative/A-1); and (iii) the rating on the underlying security, BA Master Credit Card Trust II's class A certificates series 2001-B due 2013 ('AAA'). OCEANVIEW CBO: Moody's Downgrades Ratings on Two Classes to 'Ca' ---------------------------------------------------------------- Moody's Investors Service has downgraded these notes issued by Oceanview CBO I, Ltd: -- Class A-1B Floating Rate Notes due June 2032, Downgraded to Ca; previously on 1/20/2009 Downgraded to Caa2 and remains on Review for Possible Downgrade -- $12,500,000 Combination Securities, Downgraded to Ca; previously on 1/20/2009 Downgraded to Caa1 and remains on Review for Possible Downgrade Moody's explained that the rating action reflects certain updates and projections and recent rating actions on the transaction's underlying collateral pool consisting of exposure to Alt-A, Option-ARM and subprime RMBS securities, ABS CDOs, CMBS and Corporate bonds. 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. PARCS MASTER: S&P Downgrades Ratings on 2007-24 Notes to 'D' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on the units issued by PARCS Master Trust's series 2007-24 to 'D' from 'CCC-'. The rating was on CreditWatch with negative implications before the downgrade. The downgrade follows a number of recent credit events within the underlying portfolio. Upon receiving final valuations on the reference names that triggered credit events, S&P determined that losses in the underlying portfolio have caused the units to incur a principal loss. Rating Lowered PARCS Master Trust 2007-24 Rating ------ Class To From ----- -- ---- Units D CCC-/Watch Neg PNC MORTGAGE: Fitch Downgrades Ratings on 2000-C1 Certificates -------------------------------------------------------------- Fitch Ratings downgrades and assigns a Rating Outlook to PNC Mortgage Acceptance Corp.'s commercial mortgage pass-through certificates, series 2000-C1: -- $7.0 million class K to 'BB-' from 'BB'; Negative Outlook; Fitch downgrades and assigns Recovery Rating to this class: -- $8.0 million class L to 'C/RR5' from 'B-/DR1'; Fitch also revises the Recovery Rating on this class: -- $2.0 million class M to 'C/RR6' from 'C/DR6'. In addition, Fitch affirms and assigns Rating Outlooks to these classes: -- $219.9 million class A-2 at 'AAA'; Stable Outlook; -- Interest-only class X at 'AAA'; Stable Outlook; -- $34.0 million class B at 'AAA'; Stable Outlook; -- $34.0 million class C at 'AAA'; Stable Outlook; -- $10.0 million class D at 'AAA'; Stable Outlook; -- $26.0 million class E at 'AAA'; Stable Outlook; -- $12.0 million class F at 'AA+'; Stable Outlook; -- $12.0 million class G at 'A+'; Negative Outlook; -- $18.0 million class H at 'BBB'; Negative Outlook; -- $8.0 million class J at 'BBB-'; Negative Outlook. Class A-1 has paid in full. The downgrades are due to expected losses on the specially serviced assets. 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 collateral balance has been reduced by 50.6%, to $395.8 million from $801.0 million at issuance. Twenty-nine loans (34.6%) are currently defeased, including four (15.1%) of the top 10 loans in the pool. Twenty-two loans (16.8%) mature in 2009. Fitch has identified 17 Loans of Concern (14.1%), including four assets (4.1%) that are in special servicing with losses expected. The largest specially serviced loan (2.2%) is secured by a 212,000 square foot retail center located in Manchester, New Hampshire. The asset was transferred to the special service in July 2008 due to imminent default. The loan does not mature until, Aug. 1, 2028, but had an Anticipated Repayment Date of Aug. 1, 2008. Due to unremedied environmental issues, the borrower has been unable to refinance the outstanding debt. The second largest specially serviced asset is an office property (1.1%) located in Newport News, Virginia. The loan transferred in March 2009 for monetary default. It is currently 59% occupied. The third largest specially serviced asset is an industrial property (0.6%) located in Statesville, North Carolina. The loan transferred in February 2009 and is currently in foreclosure. The property is currently 100% occupied. The fourth specially serviced asset (0.4%) is a retail center in Auburn Hills, Michigan. This asset was transferred to special servicing in October 2008 for monetary default. It is currently 82% occupied. The largest Fitch Loan of Concern not in special servicing (4.2%) is secured by a single tenant industrial property in Auburn Hills, Michigan. The loan is scheduled to mature in December 2009 and 100% occupied. The tenant's lease is set to expire in December 2010. PNC MORTGAGE: Fitch Downgrades Ratings on 1999-CM1 Certificates --------------------------------------------------------------- Fitch Ratings downgrades and assigns Rating Outlooks to PNC Mortgage Acceptance Corp.'s commercial mortgage pass-through certificates, series 1999-CM1: -- $10.5 million class B-6 to 'BB-' from 'BBB-'; Negative Outlook; -- $5.7 million class B-8 to 'CC/RR4' from 'B+'. In addition, Fitch affirms and assigns Rating Outlooks to these classes: -- $182.6 million class A-1B at 'AAA'; Stable Outlook; -- Interest-only class S at 'AAA'; Stable Outlook; -- $39.9 million class A-2 at 'AAA'; Stable Outlook; -- $34.2 million class A-3 at 'AAA'; Stable Outlook; -- $13.3 million class A-4 at 'AAA'; Stable Outlook; -- $24.7 million class B-1 at 'AAA'; Stable Outlook; -- $9.5 million class B-2 at 'AAA'; Stable Outlook. Fitch does not rate classes B-3, B-4, B-5, B-7, C, and D. Class A- 1A has paid in full. Although credit enhancement has increased since Fitch's last review due to pay down, the downgrades reflect significant expected losses on the specially serviced assets. Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. As of the April 2008 distribution date, the pool's aggregate collateral balance has been reduced 50.1%, to $379.7 million from $760.4 million at issuance. Thirty-three loans (26.7%) have defeased, including five (12.1%) of the top 10 loans in the pool. Fitch has identified 35 Loans of Concern (21.3%), including five assets (5.1%) that are in special servicing with significant losses expected. The largest specially serviced asset is a 327- unit real-estate owned apartment complex (1.6%) in Waco, Texas. The borrower filed for bankruptcy in September 2007. The property is being marketed for sale by the special servicer. The second largest specially serviced asset is an office property (1.2%) located in Colorado Springs, CO that is REO. The property is currently 10% occupied and is being marketed for lease or sale by the special servicer. The third largest specially serviced asset is an office property (1.2%) located in Upper Dublin Township, Pennsylvania and is in foreclosure. The property is currently 50% occupied. The fourth largest specially serviced asset is an industrial warehouse facility (0.8%) located in Saginaw, Michigan. The loan transferred to special servicing for payment default. The property is 100% vacant. The fifth specially serviced asset (0.7%) is a retail center in Waterford, Connecticut. The borrower has indicated they are unable to refinance pending the scheduled maturity in August 2009 and are seeking a loan extension. The largest Fitch Loan of Concern not in special servicing (1.4%) is secured by a retail plaza in Pittsfield, Massachusetts. The loan is scheduled to mature in June 2009 and occupancy has declined to 82%. A tenant that leased 20% of the net rentable area vacated its space, however, the former tenant continues to pay rent. The largest remaining loan in the pool (10.8%) is secured by a 540,021 square foot retail mall located in Saratoga Springs, New York. Occupancy as of December 2008 was 88.6%. The loan has an anticipated repayment date of November 2009. In 2009, 58.9% of the remaining loans are scheduled to mature. These loans are not defeased and have a weighted average coupon and debt service coverage ratio of 8.17% and 1.57 times (x), respectively. PURSUIT RESECURITIZATION: Moody's Cuts Rating on 2006-1 Notes ------------------------------------------------------------- Moody's Investors Service has downgraded the notes issued by Pursuit Resecuritization Trust 2006-1, Series 2006-1: The rating actions are: Pursuit Resecuritization Trust 2006-1, Series 2006-1 -- US$11,000,000 Pursuit Resecuritization Trust 2006-1 Notes Due 2037, Downgraded to Ca; previously on 8/5/2008 Downgraded to Baa3 and remains on Review for Possible Downgrade The Repack Notes are repacks of the Class A-2 Floating Rate Notes originally issued by Oceanview CBO I, Ltd., a multisector CDO that closed in June 2002. Class A-2 Notes were downgraded on 03/26/2008 to Ca. RAFFLES PLACE: S&P Downgrades Ratings on Three Notes to 'CC' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on the class A-1M, A-1Q, and A-2 notes issued by Raffles Place II Funding Ltd., a cash flow collateralized debt obligation of corporate loans managed by UOB Asset Management Ltd. The lowered ratings reflect continued credit deterioration in the underlying collateral pool since the last rating action in March 2008. Based on the Jan. 30, 2009, monthly report, 63.96% ($559.49 mil.) of the total securities in the transaction's underlying collateral pool have ratings of 'CCC+' and below, up from 35.90% ($358.85 mil.) in March 2008. Rating Actions Raffles Place II Funding Ltd. Rating ------ Class To From ----- -- ---- A-1M CC CCC A-1Q CC CCC A-2 CC CCC- Other Ratings Outstanding Raffles Place II Funding Ltd. Class Rating ----- ------ A-3 CC A-4 CC B CC C-1 CC C-2 CC RAMP SERIES: Moody's Downgrades Ratings on 57 RAMP-RZ RMBS Deals ---------------------------------------------------------------- Moody's Investors Service has downgraded 57 ratings from 10 RAMP- RZ subprime residential mortgage-backed securities transactions. The collateral backing these transactions consists primarily of first-lien, fixed- and adjustable-rate, subprime residential mortgage loans with higher than average loan-to-value ratios. The actions are triggered by a combination of factors that can include increased delinquencies, higher loss severities, slower prepayments and mounting losses in the underlying collateral. Additionally, the continued deterioration of the housing market has also contributed to the increased loss expectations for subprime pools. Moody's final rating actions are based on collateral performance and updated pool-level loss expectations relative to current levels of tranche-specific credit enhancement. Moody's took into account credit enhancement provided by subordination, cross- collateralization, excess spread, time tranching, and other structural features. Moody's approach to analyzing more seasoned pools (prior to the 2nd half of 2005) takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses annualized roll rates of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO, respectively. Moody's then applies deal- specific severity assumptions to arrive at projected losses. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. Moody's Investors Service also reviewed underlying ratings of insured certificates as noted below. The underlying rating reflects the intrinsic credit quality of the certificate in the absence of the guarantee. The current ratings are consistent with Moody's practice of rating insured securities at the higher of the guarantor's insurance financial strength rating and the underlying rating based on Moody's modified approach to rating structured finance securities wrapped by financial guarantors. Complete rating actions are: RAMP Series 2005-RZ1 Trust -- Cl. M-4, Downgraded to A2; previously on 4/21/2005 Assigned Aa3 -- Cl. M-5, Downgraded to Baa1; previously on 4/21/2005 Assigned A1 -- Cl. M-6, Downgraded to Baa2; previously on 4/21/2005 Assigned A2 -- Cl. M-7, Downgraded to Baa3; previously on 4/21/2005 Assigned A3 -- Cl. M-8, Downgraded to Ba1; previously on 4/21/2005 Assigned Baa2 -- Cl. M-9, Downgraded to B1; previously on 4/21/2005 Assigned Ba1 RAMP SERIES 2005-RZ2 TRUST -- Cl. M-2, Downgraded to Aa2; previously on 8/24/2005 Assigned Aa1 -- Cl. M-3, Downgraded to A2; previously on 8/24/2005 Assigned Aa2 -- Cl. M-4, Downgraded to Baa2; previously on 8/24/2005 Assigned Aa3 -- Cl. M-5, Downgraded to Ba2; previously on 12/18/2008 Downgraded to A3 -- Cl. M-6, Downgraded to Caa2; previously on 12/18/2008 Downgraded to Ba2 -- Cl. M-7, Downgraded to C; previously on 12/18/2008 Downgraded to Caa3 RAMP Series 2005-RZ3 Trust -- Cl. A-3, Downgraded to Aa2; previously on 10/17/2005 Assigned Aaa -- Cl. M-1, Downgraded to A2; previously on 10/17/2005 Assigned Aa1 -- Cl. M-2, Downgraded to Baa3; previously on 10/17/2005 Assigned Aa2 -- Cl. M-3, Downgraded to Ba2; previously on 10/17/2005 Assigned Aa3 -- Cl. M-4, Downgraded to Ba3; previously on 10/17/2005 Assigned A1 -- Cl. M-5, Downgraded to Caa2; previously on 12/18/2008 Downgraded to Baa2 -- Cl. M-6, Downgraded to C; previously on 12/18/2008 Downgraded to B1 RAMP Series 2005-RZ4 Trust -- Cl. A-2, Downgraded to Aa2; previously on 12/16/2005 Assigned Aaa -- Cl. A-3, Downgraded to A1; previously on 12/16/2005 Assigned Aaa -- Cl. M-1, Downgraded to Baa1; previously on 12/16/2005 Assigned Aa1 -- Cl. M-2, Downgraded to Baa3; previously on 12/16/2005 Assigned Aa2 -- Cl. M-3, Downgraded to Ba3; previously on 12/18/2008 Downgraded to A1 -- Cl. M-4, Downgraded to Caa3; previously on 12/18/2008 Downgraded to Ba1 -- Cl. M-5, Downgraded to C; previously on 12/18/2008 Downgraded to B3 RAMP Series 2006-RZ1 Trust -- Cl. A-2, Downgraded to Aa1; previously on 3/10/2006 Assigned Aaa -- Cl. A-3, Downgraded to Aa3; previously on 3/10/2006 Assigned Aaa -- Cl. M-1, Downgraded to A2; previously on 3/10/2006 Assigned Aa1 -- Cl. M-2, Downgraded to Baa3; previously on 3/10/2006 Assigned Aa2 -- Cl. M-3, Downgraded to Ba3; previously on 3/10/2006 Assigned Aa3 -- Cl. M-4, Downgraded to Ba1; previously on 12/18/2008 Downgraded to A2 -- Cl. M-5, Downgraded to Caa2; previously on 12/18/2008 Downgraded to Baa3 -- Cl. M-6, Downgraded to C; previously on 12/18/2008 Downgraded to B2 RAMP Series 2006-RZ2 Trust -- Cl. A-2, Downgraded to Baa1; previously on 12/18/2008 Downgraded to Aa2 -- Cl. A-3, Downgraded to Baa2; previously on 12/18/2008 Downgraded to A1 -- Cl. M-1, Downgraded to Caa2; previously on 12/18/2008 Downgraded to Baa3 -- Cl. M-2, Downgraded to C; previously on 12/18/2008 Downgraded to Caa1 RAMP Series 2006-RZ3 Trust -- Cl. A-2, Downgraded to Baa2; previously on 8/14/2006 Assigned Aaa -- Cl. A-3, Downgraded to Baa3; previously on 12/18/2008 Downgraded to Aa1 -- Cl. M-1, Downgraded to B2; previously on 12/18/2008 Downgraded to Baa1 -- Cl. M-2, Downgraded to Ca; previously on 12/18/2008 Downgraded to B1 -- Cl. M-3, Downgraded to C; previously on 12/18/2008 Downgraded to Caa2 RAMP Series 2006-RZ4 Trust -- Cl. A-2, Downgraded to Baa3; previously on 12/18/2008 Downgraded to Aa2 -- Cl. A-3, Downgraded to Ba1; previously on 12/18/2008 Downgraded to A1 -- Cl. M-1, Downgraded to B3; previously on 12/18/2008 Downgraded to Baa2 -- Cl. M-2, Downgraded to C; previously on 12/18/2008 Downgraded to B2 -- Cl. M-3, Downgraded to C; previously on 12/18/2008 Downgraded to Caa2 RAMP Series 2006-RZ5 Trust -- Cl. A-2, Downgraded to Baa2; previously on 12/18/2008 Downgraded to Aa1 -- Cl. A-3, Downgraded to Baa3; previously on 12/18/2008 Downgraded to Aa3 -- Cl. M-1, Downgraded to Caa2; previously on 12/18/2008 Downgraded to Ba1 -- Cl. M-2, Downgraded to C; previously on 12/18/2008 Downgraded to Caa2 RAMP Series 2007-RZ1 Trust -- Cl. A-1, Downgraded to Baa2; previously on 3/8/2007 Assigned Aaa -- Cl. A-2, Downgraded to Ba2; previously on 12/18/2008 Downgraded to Baa2 -- Cl. A-3, Downgraded to Ba3; previously on 12/18/2008 Downgraded to Baa3 -- Cl. M-1S, Downgraded to Caa2; previously on 12/18/2008 Downgraded to B1 -- Cl. M-2S, Downgraded to C; previously on 12/18/2008 Downgraded to Caa2 RESTRUCTURED ASSET: Moody's Junks Ratings on 2003-1 Certificates ---------------------------------------------------------------- Moody's Investors Service has downgraded its rating of Restructured Asset Backed Securities, Series 2003-1 Certificates due July 2030 issued by Restructured Asset Backed Securities Series 2003-1 Trust. The rating action is: Class Description: Restructured Asset Backed Securities, Series 2003-1 Certificates due July 2030 -- Current Rating: C -- Prior Rating: Baa3 -- Prior Rating Date: 05/16/03 The transaction is a repackaged security whose rating is based primarily upon the transaction's structure and the credit quality of the Underlying Assets. RESTRUCTURED ASSET: Moody's Junks Rating on 2003-2EP Certificates ----------------------------------------------------------------- Moody's Investors Service has downgraded its rating of Restructured Asset Certificates with Enhanced Returns, Series 2003-2-EP Certificates due July 2032 issued by Restructured Asset Certificates with Enhanced Returns Series 2003-2-EP Trust. The rating action is: Class Description: Restructured Asset Certificates with Enhanced Returns, Series 2003-2-EP Certificates -- Current Rating: C -- Prior Rating: Baa3 -- Prior Rating Date: 01/16/03 The transaction is a repackaged security whose rating is based primarily upon the transaction's structure and the credit quality of the Underlying Assets. REVELSTOKE CDO: DBRS Junks Rating on Class A-1 Notes ---------------------------------------------------- Dominion Bond Rating Service has downgraded the rating of the Class A-1 Senior Variable Rate Secured Notes due 2020 (the Class A-1 Notes) issued by Revelstoke CDO I Limited (Revelstoke or the Transaction). The rating on the Class A-1 Notes has been downgraded to CCC (low) from BBB and has been removed from Under Review with Negative Implications, where it was placed on January 5, 2009. The ratings on the Class A-2 Senior Variable Rate Secured Notes due 2026 (the Class A-2 Notes) and the Class A-3 Senior Variable Rate Secured Notes due 2033 (the Class A-3 Notes) have been confirmed at CC and C, respectively. The Transaction is exposed to pools of U.S. non-prime residential mortgages, as well as other collateralized debt obligations (CDOs) backed by residential mortgages, among other assets. The Class A-1 Notes, Class A-2 Notes and Class A-3 Notes (collectively, the Notes) had approximate initial enhancement levels of 40%, 20% and 9%, respectively. As part of its analysis of residential mortgage-backed securities (RMBS) held by Revelstoke, DBRS reviews all of the underlying RMBS and provides a credit assessment based on each security's pipeline of existing defaults, likely defaults and various delinquency statistics, as well as on cash flow modelling using different assumptions for prepayments and interest rates. In the past several months, performance has continued to deterioriate significantly for many of the RMBS held by the Transaction. As a result, DBRS expects that a higher percentage of the underlying RMBS will default, which has negatively affected the credit quality of the Class A-1 Notes. Of the current Revelstoke RMBS assets, 50% were assigned an assessment of C (weighted by principal amount). In addition, many of the underlying CDOs are expected to default, with little recovery value. The Class A-1 Notes, Class A-2 Notes and Class A-3 Notes are now rated CCC (low), CC and C, respectively. DBRS expects that holders of both the Class A-2 Notes and Class A-3 Notes will likely not receive any return of initial principal over the term of the Transaction. However, they will continue to receive interest payments on an ongoing basis; the interest payments on the Class A-2 Notes and Class A-3 Notes rank senior to the principal payments on the Class A-1 Notes in the Transaction's priority of payments. DBRS expects that holders of the Class A-1 Notes will likely experience a first-dollar loss and not have their full initial investment returned. The Transaction issued approximately $494 million of Notes that were swapped to U.S. dollars at inception. There is a cross- currency U.S. dollar (USD)/Canadian dollar (CAD) swap in place to hedge the currency risk for these Notes, which were issued in Canadian dollars, for both ongoing interest payments and for principal re-exchange at the maturity of the Notes. Pursuant to the Transaction documentation, Canadian Imperial Bank of Commerce (CIBC or the Hedge Counterparty) has the option to terminate the principal portion of the Class A-2 Notes hedge agreement swapping USD for CAD provided the termination will not result in an immediate downgrade of the Class A-2 Notes. Consistent with DBRS's view that the Class A-2 Notes will likely not return any principal, any request by the Hedge Counterparty to terminate the principal portion of the cross-currency swap on the Class A-2 Notes would likely be acceptable. Eliminating the principal portion of the Class A-2 Notes hedge would prevent the Transaction from being exposed to currency risk based on the expectation that there will not be any asset proceeds to exchange at maturity. RICHMOND REDEVELOPMENT: Moody's Affirms 'Ba3' Rating on Bonds ------------------------------------------------------------- Moody's Investors Service has affirmed the Ba3 rating on the Richmond Redevelopment and Housing Authority's $5.2 million of outstanding Multi-Family Housing Revenue Bonds (Berkeley Place/Warwick Place Apartments) Series 1995A and changed the outlook to negative from stable. The rating affirmation is reflective of debt service coverage that is thin but remains above 1.0x. The negative outlook reflects recent occupancy declines within the context of thin debt service coverage and a debt service reserve sized to half a year of debt service. Legal Security: The bonds are limited obligations payable solely from the revenues, receipts and security pledged in the Trust Indenture. Recent Developments/Results Debt service coverage of 1.14x, which was derived from for the full-year, unaudited 2008 financial statements, is sufficient for this rating category. In summer 2008 occupancy declined to a range of 85%-87%, where it remained for the rest of year. March 2009 occupancy is weak at 86.4%. Market data provided by Torto Wheaton Research indicate that multi-family occupancy in Central Richmond for 2008 was 95%. TWR forecasts that occupancy in the Richmond market will decline slightly to 94.4% for 2009 and rent inflation will be weak at 1.0%. Moody's believes that the debt service coverage in 2008 warrants a rating affirmation but the decline in occupancy combined with a debt service reserve structured at half of a year's debt service warrants a negative outlook. The last rating action was on December 11, 2007 when the Ba3 rating was affirmed. Outlook The outlook for the bonds is negative based upon recent occupancy declines and a weak rent growth forecast for 2009. RUTLAND RATED: Moody's Downgrades Ratings on Notes to 'C' --------------------------------------------------------- Moody's Investors Service has downgraded these notes issued by Rutland Rated Investments Series 31 (Millbrook 2006-4): -- Series 31 (Millbrook 2006-4) US$15,500,000 Asset Backed Securities Class A Variable Rate Credit-Linked Notes ("Class A Notes") due May 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade Moody's explained that the rating action reflects certain updates and projections and recent rating actions on the transaction's underlying collateral pool consisting primarily of subprime RMBS securities. The Class A Notes has a notional balance equals to 2% of the total collateral balance with a credit enhancement that equals to 12.45% of the total collateral balance. As of April 27, 2009, 72.9% of the collateral pool is rated Ca or C. Moody's revised loss projections for subprime RMBS issued from 2005 to 2007 were described in a press release titled 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. SALOMON BROTHERS: Moody's Affirms Ratings on 13 2002-KEY2 Notes --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of thirteen classes and upgraded five classes of Salomon Brothers Mortgage Securities VII, Inc., Commercial Mortgage Pass-Through Certificates, Series 2002-KEY2. The upgrades are due to increased subordination due to amortization and payoffs, overall stable pool performance and increased defeasance. The pool balance has decreased by 16% 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 20, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 36% to $597.0 million from $932.8 million at securitization. The Certificates are collateralized by 56 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top 10 non- defeased loans representing 51% of the pool. At securitization the pool included three loans with investment grade underlying ratings. However, the performance of the Westgate Mall ($48.8 million -- 8.2%) has declined and no longer has an underlying rating. The pool currently includes two loans with investment grade underlying ratings, representing 19% of the pool. Twelve loans, representing 19% of the pool, have defeased and are secured by U.S. Government securities. Six loans, representing 7% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of approximately $2.8 million. Currently there are no loans in special servicing. Moody's was provided with full-year 2007 and full or partial-year 2008 operating results for approximately 93% and 95% of the pool, respectively. Moody's loan to value ratio for the conduit component is 83%, essentially the same as at Moody's prior full review in March 2007. The largest loan with an underlying rating is the Westfarms Mall Loan ($71.9 million -- 12.0%), which represents a 50% participation interest in a $143.7 million first mortgage loan. The loan is secured by the borrower's interest in a 1.3 million square foot super-regional mall located in Farmington, Connecticut. The property is anchored by Filene's (two stores), J.C. Penney, Lord & Taylor and Nordstrom and contains approximately 520,000 square feet of in-line GLA. The center was 95% occupied as of February 2009. Performance has been stable. The loan sponsor is Taubman Centers Inc. (Moody's preferred stock rating B1, stable outlook), a publicly traded REIT. Moody's current underlying rating is Aa3, the same as at last review. The second loan with an underlying rating is the Jefferson Mall Loan ($39.3 million -- 6.6%), which is secured by the borrower's interest in a 875,000 square foot regional mall located in Louisville, Kentucky. The property is anchored by Sears, Macy's, J.C. Penney and Dillard's. All the anchors own their own land and improvements. The collateral for the loan consists of 270,000 square feet of in-line space. The in-line space was 90% occupied as of December 2008 compared to 94% at last review. The loan amortizes on a 25-year schedule and has amortized by approximately 5% since last review. The loan sponsor is CBL & Associates Properties, a publicly traded REIT. Moody's current underlying rating is Baa2, the same as at last review. The top three conduit loans represent 20% of the outstanding pool balance. The largest conduit loans is the Westgate Mall Loan ($48.8 million -- 8.2%), which is secured by the borrower's interest in a 1.1 million square foot regional mall located in Spartanburg, South Carolina. The property is anchored by Sears, Belk, Dillard's and J.C. Penney and contains approximately 315,500 square feet of in-line gross leasable area. The in-line stores were 94% occupied as of December 2008 compared to 92% at last review. The property's performance has declined since last review due to a decline in rental income and increased operating expenses. The loan amortizes on a 25-year schedule and has amortized by approximately 5% since last review. The loan sponsor is CBL & Associates Properties. Moody's current LTV is 82% compared to 80% at last review. The second largest conduit loan is the Northland Multifamily Portfolio Loan ($37.3 million -- 6.3%), which is secured by five Class B garden style apartment complexes totaling 1,056 units. The properties are located in Florida (3) and Texas (2). The portfolio was 90% leased as of December 2008 compared to 98% at last review. Despite the decline in occupancy, performance has been stable. Moody's LTV is 85%, essentially the same as at last review. The third largest conduit loan is the Regency Mall Loan ($30.8 million -- 5.2%), which is secured by the borrower's interest in a 924,000 square foot regional mall located in Racine, Wisconsin. The property is anchored by J.C. Penney, Boston Store, Burlington Coat Factory, Sears and Target. All the anchors own their respective land and improvements. The collateral for the loan consists of 269,000 square feet of in-line space. The in-line space was 90% occupied as of December 2008 compared to 83% at last review. Performance has declined since last review due to a decline in rental income and increased expenses. The loan amortizes on a 25-year schedule and has amortized by approximately 5% since last review. The loan sponsor is CBL & Associates Properties. Moody's current LTV is 87% compared to 71% at last review. Moody's rating action is: -- Class A-2, $179,622,586, affirmed at Aaa; previously affirmed at Aaa on 3/15/2007 -- Class A-3, $252,265,000, affirmed at Aaa; previously affirmed at Aaa on 3/15/2007 -- Class X-1, Notional, affirmed at Aaa; previously affirmed at Aaa on 3/15/2007 -- Class X-2, Notional, affirmed at Aaa; previously affirmed at Aaa on 3/15/2007 -- Class B, $39,643,000, affirmed at Aaa; previously upgraded to Aaa from Aa1 on 3/15/2007 -- Class C, $9,327,000, affirmed at Aaa; previously upgraded to Aaa from Aa2 on 3/15/2007 -- Class D, $9,328,000, affirmed at Aaa; previously upgraded to Aaa from Aa3 on 3/15/2007 -- Class E, $13,991,000, upgraded to Aa1 from Aa3; previously upgraded to Aa3 from A2 on 3/15/2007 -- Class F, $9,328,000, upgraded to Aa2 from A1; previously upgraded to A1 from A3 on 3/15/2007 -- Class H, $6,996,000, upgraded to A1 from A2; previously upgraded to A2 from Baa1 on 3/15/2007 -- Class J, $13,992,000, upgraded to A3 from Baa1; previously upgraded to Baa1 from Baa2 on 3/15/2007 -- Class K, $9,327,000, upgraded to Baa2 from Baa3; previously affirmed at Baa3 on 3/15/2007 -- Class L, $13,991,000, affirmed at Ba1; previously affirmed at Ba1 on 3/15/2007 -- Class M, $9,328,000, affirmed at Ba2; previously affirmed at Ba2 on 3/15/2007 -- Class N, $4,663,000, affirmed at Ba3; previously affirmed at Ba3 on 3/15/2007 -- Class P, $2,332,000, affirmed at B1; previously affirmed at B1 on 3/15/2007 -- Class Q, $6,996,000, affirmed at B2; previously affirmed at B2 on 3/15/2007 -- Class S, $6,996,000, affirmed at B3; previously affirmed at B3 on 3/15/2007 SANDELMAN REALTY: Moody's Downgrades Ratings on 12 Classes ---------------------------------------------------------- Moody's Investors Service downgraded the ratings of twelve classes of Notes and confirmed one class of Notes issued by Sandelman Realty CRE CDO I. The rating actions are: -- Class S, $1,400,000, Fixed Rate Notes Due 2012, confirmed at Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-1, $250,000,000, Floating Rate Notes Due 2051, downgraded to A2 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class A-2, $61,000,000, Floating Rate Notes Due 2051; downgraded to Ba3 from Aaa; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class B, $37,250,000, Floating Rate Notes Due 2051, downgraded to B2 from Aa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class C, $26,000,000, Floating Rate Notes Due 2051, downgraded to B3 from A1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class D, $11,250,000, Floating Rate Notes Due 2051, downgraded to Caa3 from A2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class E, $11,750,000, Floating Rate Notes Due 2051, downgraded to Caa3 from A3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class F, $13,000,000, Floating Rate Notes Due 2051, downgraded to Caa3 from Baa1; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class G, $11,750,000, Floating Rate Notes Due 2051, downgraded to Caa3 from Baa2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class H, $9,249,000, Floating Rate Notes Due 2051, downgraded to Caa3 from Baa3; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class J, $17,125,000, Fixed Rate Notes Due 2051, downgraded to Caa3 from Ba2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class K, $19,375,000, Fixed Rate Notes Due 2051, downgraded to Caa3 from B2; previously on 3/12/2009 Placed Under Review for Possible Downgrade -- Class L, $3,500,000, Fixed Rate Notes Due 2051, downgraded to Ca from B3; previously on 3/12/2009 Placed Under Review for Possible Downgrade Moody's downgraded Classes A-1, A-2, B, C, D, E, F, G H, J, K, and L 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 28.0% concentration in commercial mortgage backed securities collateral with the remaining balance comprised of whole loans, B-Notes, mezzanine debt, and bank 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 19, 2007. SASCO 2008-C2: Moody's Junks Rating on $1,639,621,398 Notes ----------------------------------------------------------- Moody's Investors Service downgraded the rating of one class of Notes issued by SASCO 2008-C2, LLC: -- $1,639,621,398 SASCO 2008-C2, LLC floating rate term notes due 2038, downgraded to Ca from B3; previously on 3/12/2009 placed on watch for downgrade The Note is being downgraded to reflect continuing uncertainty relating to the bankruptcy filing by Lehman Brothers Holdings Inc. The transaction was issued with a Master Participation agreement, but without a "true sale" opinion relating to the transfer of the participation interests, which then largely ties the interests in the collateral backing the Note to the senior unsecured rating of LBHI. LBHI filed for bankruptcy protection on September 15, 2008. On December 8, 2008, Moody's Investors Service downgraded the senior unsecured ratings of LBHI, and those of certain guaranteed subsidiaries, to C and subsequently on December 10, 2008 withdrew the ratings of LBHI. While the Note issued by Sasco 2008-C2, LLC is currently outstanding and performing, Moody's are downgrading the Note to Ca pending further developments in the bankruptcy proceedings and determination of the bankruptcy filing's impact on recoveries under the Note. As always, Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. The rating outcome may differ from the model output. Moody's monitors transactions on both a monthly basis through a review of the available Trustee Reports and a periodic basis through a full review. Moody's prior full review is summarized in a press release dated September 18, 2008. Ratings List Ratings Placed On CreditWatch With Negative Implications Harman International Industries Inc. To From -- ---- BB+/Watch Neg/-- BB+/Negative/-- Johnson Controls Inc. BBB/Watch Neg/A-2 BBB/Stable/A-2 Magna International Inc. BBB/Watch Neg/-- BBB/Negative/-- Shiloh Industries Inc. BB-/Watch Neg/-- BB-/Negative/-- Stoneridge Inc. B+/Watch Neg/-- B+/Negative/-- TRW Automotive Inc. B+/Watch Neg/-- B+/Negative/-- SATURNS TRUST: S&P Raises Ratings on 2002-4 Units from 'BB+' ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on SATURNS Trust No. 2002-4's class A and B units to 'BBB' from 'BB+'. The rating actions follow the April 22, 2009, raising of S&P's rating on the underlying securities, DPL Capital Trust II's 8.125% trust preferred capital securities due Sept. 1, 2031, to 'BBB' from 'BB+'. The ratings on the units are dependent on the rating on the underlying securities. SIGNATURE 5: Moody's Has Not Taken Rating Actions on Notes ---------------------------------------------------------- Moody's Investors Service has not withdrawn, reduced, or taken any other adverse action with respect to its current ratings on these notes issued by Signature 5 L.P. as a result of the Issuer's execution on April 21, 2009 of the Optional Redemption in part of the Class A Floating Rate Notes: -- US$355,000,000 Class A Floating Rate Notes due 2012, Aaa; previously on January 9, 2001 Assigned Aaa; -- US$57,000,000 Class B-1 Floating Rate Notes due 2012, Baa1; previously on January 9, 2001 Assigned Baa1; -- US$28,000,000 Class B-2 Fixed Rate Notes due 2012, Baa1; previously on January 9, 2001 Assigned Baa1; -- US$20,000,000 Class C Fixed Rate Notes due 2012, B2; previously on February 8, 2006 Assigned B2; The Co-Issuers elected to redeem 6.67% of the aggregate outstanding principal amount of the Class A Floating Rate Notes due 2012 on April 27, 2009. On the Redemption Date, 6.67% of the aggregate outstanding principal amount of the Securities became due and payable at the redemption price equal to 100% of the principal amount being redeemed, plus accrued and unpaid interest thereon to, April 27, 2009. The Securities were repaid using the sale proceeds from the sale of one underlying asset (U.S. Treasury with CUSIP 9128277L0). Moody's believes that the sale of the aforementioned underlying asset and the subsequent pay down of the Securities using the sale proceeds from such sale have no material credit impact on ratings of the remaining outstanding notes. Many CDO documents (to which Moody's is never a party) specify that, in order to execute an optional redemption, the issuer must obtain an opinion from the rating agencies that the execution of the optional redemption would not in and of itself result in the related ratings being downgraded or withdrawn at the time of the execution. This type of provision is typically referred to in the CDO indenture as a "rating agency confirmation" or "RAC". Moody's is never obligated to provide a RAC, and the decision whether or not to issue a RAC lies entirely within Moody's sole discretion. Before providing a RAC regarding an optional redemption, the proposal will be reviewed by a Moody's credit committee which will consider, among other things, the performance of the specific CDO and portfolio manager and the specifics of the optional redemption and the particular structure of the CDO. A RAC is purely an opinion, as of the point in time at which the RAC is provided, that the optional redemption in isolation does not introduce sufficient additional credit risk so as to negatively impact the related ratings. In other words, it does not consider the impact of other factors on the ratings, such as collateral deterioration. Also, the RAC does not address any other, non-credit related impact that the optional redemption might have. Moody's further emphasizes that a RAC is not a substitute for noteholder consent or for independent analyses by noteholders of the impact on them of any optional redemption. SOUNDVIEW HOME: Moody's Downgrades Rating on 14 Securities ---------------------------------------------------------- Moody's Investors Service has downgraded the rating of fourteen securities from three transactions issued by Soundview. These actions are part of an ongoing review of subprime RMBS transactions. The rating actions are the result of an analysis of credit enhancement relative to updated collateral loss projections. The revised loss projections generally result from deterioration in collateral performance in recent months. Additionally, most effected transactions have, at some point, passed performance triggers and released portions of credit enhancement. Moody's approach to analyzing seasoned subprime pools i.e. prior to 2H 2005 takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions, in this case ranging from 60% to 70%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection. The complete rating actions: Soundview Home Equity Loan Trust 2001-2 -- Cl. AF, Downgraded to Aa2; previously on 6/29/2001 Assigned Aaa -- Cl. M-1, Downgraded to A2; previously on 6/29/2001 Assigned Aa2 -- Cl. M-2, Downgraded to Ba1; previously on 2/5/2008 Downgraded to Baa2 Soundview Home Loan Trust 2004-1 -- Cl. M-9, Downgraded to Ba1; previously on 10/12/2004 Assigned Baa3 -- Cl. B-1, Downgraded to Ca; previously on 11/7/2007 Downgraded to B1 -- Cl. B-2, Downgraded to C; previously on 11/7/2007 Downgraded to Caa1 Soundview Home Loan Trust 2004-WMC1 -- Cl. M-3, Downgraded to A3; previously on 1/27/2005 Assigned Aa3 -- Cl. M-4, Downgraded to Baa2; previously on 1/27/2005 Assigned A1 -- Cl. M-5, Downgraded to Baa3; previously on 1/27/2005 Assigned A2 -- Cl. M-6, Downgraded to Ba2; previously on 1/27/2005 Assigned A3 -- Cl. M-7, Downgraded to Caa2; previously on 1/27/2005 Assigned Baa1 -- Cl. M-8, Downgraded to C; previously on 1/27/2005 Assigned Baa2 -- Cl. M-9, Downgraded to C; previously on 1/27/2005 Assigned Baa3 -- Cl. M-10, Downgraded to C; previously on 11/14/2007 Downgraded to Ba3 TANEY COUNTY: S&P Downgrades Rating on $40.63 Mil. Bonds to 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its long-term rating to 'BB' from 'BBB' on Taney County Industrial Development Authority's, Missouri's $40.63 million series 1998A and 2005B revenue bonds, issued for Skaggs Community Health Center. The 'BB' rating reflects the health system's operational challenges that produced a negative 5.1% operating margin for the 10-month period ended Feb. 28, 2009, versus a negative 1.0% for the same period in 2008. Management also reports challenged balance sheet metrics, with 37 days' cash on hand, cash to debt of 40%, and leverage of 49% as of the 10 months ended Feb. 28, 2009, which is primarily attributable to investment portfolio performance. In addition, the system reports open CEO and CFO positions, which is an added credit concern during this challenging economic environment. "The negative outlook reflects the magnitude of the challenged operations, covenant violations, and the need for permanent senior management to help transition the organization," said Mr. Williamson. Skaggs Community Health Center is a 152-bed acute-care hospital located in Branson, Missouri. The hospital is a sole community provider serving Taney and Stone counties. The market share remains dominant (61.0% of Taney County in 2008), although it has decreased slightly from 63.6% in 2005. In S&P's opinion, maximum annual debt service coverage was weak for the 10 months of fiscal 2009 at just 0.7x compared with 2.3x for fiscal 2008. Liquidity at Skaggs has always been thin, in S&P's view, and remains weak with only 37 days' cash on hand as of Feb. 28, 2009 (56 days at the end of fiscal 2008). Standard & Poor's has assigned the system a Debt Derivative Profile score of '2' on a scale of '1' to '4', with '1' representing the lowest risk and '4', the highest risk. The overall score of '2' indicates that the swap issued by Branson Ortho/Neuro Center, a subsidiary of Skaggs Community Health Center, represents a low risk at this time. TRADEWINDS II: Moody's Junks Rating on Class A 2006-1 Notes ----------------------------------------------------------- Moody's Investors Service has downgraded its rating of Class A notes issued by Tradewinds II CDO SPC for the account of the Series 2006-1 Segregated Portfolio, a repackaged CDO security. The US$60M transaction has three components; (i) $47.25M credit default swap referencing corporate obligations, (ii) $42.75M Lehman Brothers Treasury Co. BV Floating Rate European Medium-Term Notes dated March 30, 2006 due June 20, 2011, ISIN: XS0249955930 as permitted investment, and (iii) $29M ML CBO XXI Class B1 and Class B2 notes of which the cashflow is used to repay the principal of the Class A notes in the transaction. According to the trustee note valuation report dated as of April 14, 2009, the aggregate outstanding amount of the Class A notes outstanding was $40,066,239.07. Moody's explained that the rating action taken is the result of the impairment of the $42.75M of Lehman Brothers Treasury Co. BV Floating Rate European Medium-Term Notes. Moody's Investors Service downgraded the senior ratings of Lehman Brothers Holdings Inc., and those of certain guaranteed subsidiaries, to C from B3 on December 8,2008. The rating of the LBT, a Lehman subsidiary, is based solely upon the quality of the guarantee from LBHI. Lehman Brothers Holdings Inc. filed for protection under Chapter 11 of the U.S. Bankruptcy Code on September 15, 2008. Although the transaction continues to receive cashflow from the two classes of notes from ML CBO XXI for principal repayment, such cashflow will not be sufficient to cover the full par amount of the transaction. Moody's explained that the rating action has also taken into account (i) the application of revised and updated key modeling parameter assumptions that Moody's uses to rate and monitor ratings of corporate synthetic CDOs and (ii) the deterioration in the credit quality of the transaction's reference portfolio. The revisions affect key parameters in Moody's model for rating corporate synthetic CDOs: default probability, asset correlation, and other credit indicators such as ratings reviews and outlooks. Moody's initially analyzed and continues to monitor this transaction using primarily the methodology for CDO Repacks and Corporate synthetic CDOs as described in Moody's Special Reports: -- Rating CDO Repacks: An Application of The Structured Note Methodology (February 2004) -- Moody's Approach to Rating Corporate Collateralized Synthetic Obligations (March 2009) The rating action is: 1) Class Description: Class A Notes -- Current Rating: C -- Prior Rating: Baa3 -- Prior Rating Date: March 31, 2006 TRANSFERABLE CUSTODIAL: Moody's Lifts Rating on Receipts from Ba3 ----------------------------------------------------------------- Moody's Investors Service has upgraded its rating of a Note issued by Transferable Custodial Receipts. The rating actions are: Transferable Custodial Receipts -- Transferable Custodian Receipts Notes, Upgraded to A1; Previously on 1/22/2009 Upgraded to Ba3 The Note is a repack of the Class A-2 Floating Rate Notes issued by Bristol CDO I Ltd., a multisector CDO that closed in October 2002 and is insured by CIFG Assurance North America, Inc currently rated Ba3. The Class A-2 Floating Rate Notes are currently rated A1. The A-2 notes were downgraded to A1 from Aaa on 02/26/2009. These rating actions are a result of Moody's modified approach to rating structured finance securities wrapped by financial guarantors. Please see the press release dated November 10, 2008, titled "Moody's modifies approach to rating structured finance securities wrapped by financial guarantors". The rating of these securities is equal to the higher of (i) the guarantor's insurance financial strength rating and (ii) the underlying rating (i.e., absent consideration of the guaranty) on the security. TRUST CERTIFICATES: S&P Raises Rating on $32 Mil. Certs. to 'CCC-' ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its rating on Trust Certificates Series 2002-1 Trust's $32 million trust certificates series 2002-1 to 'CCC-' from 'D'. At the same time, Standard & Poor's corrected the rating history on the certificates. The rating actions reflect 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 certificates is dependent on the rating on the underlying security. S&P is correcting the rating history on the certificates to reflect the lowering of S&P's rating on the underlying security to 'C' from 'CCC-' on March 4, 2009, and to 'D' from 'C' on April 6, 2009. The corresponding rating actions on the certificates were not publicly released due to a process delay. UBS 2007-FL1: Fitch Downgrades Ratings on Various Classes of Notes ------------------------------------------------------------------ Fitch Ratings downgrades and removes from Rating Watch Negative this class of UBS 2007-FL1 commercial mortgage pass-through certificates and revises the Rating Outlook: -- $3 million class O-BH to 'BB-' from 'BBB-'; Outlook Negative. Additionally Fitch downgrades and revises Rating Outlooks as indicated on these classes: -- $309.5 million class A-2 to 'AA' from 'AAA'; to Outlook Negative from Stable; -- $57.3 million class B to 'A+' from 'AA+'; to Outlook Negative from Stable; -- $31 million class C to 'A' from 'AA'; to Outlook Negative from Stable; -- $27.2 million class D to 'A-' from 'AA-'; to Outlook Negative from Stable; -- $27.2 million class E to 'BBB' from 'A+'; to Outlook Negative from Stable; -- $27.2 million class F to 'BB+' from 'A'; to Outlook Negative from Stable; -- $27.2 million class G to 'BB-' from 'A-'; to Outlook Negative from Stable; -- $29.1 million class H to 'B+' from 'BBB+'; to Outlook Negative from Stable; -- $27.1 million class J to 'B' from 'BBB'; Outlook Negative; -- $27.1 million class K to 'B-' from 'BBB-'; Outlook Negative; -- $35 million class L to 'CCC/RR1' from 'BBB-'; -- $6.7 million class M-MP to 'B-' from 'BBB+'; Outlook Negative; -- $7 million class N-MP to 'B-' from 'BBB'; Outlook Negative; -- $16.3 million class O-MP to 'B-' from 'BBB-'; Outlook Negative; -- $4.5 million class O-WC to 'BB-' from 'BBB-'; Outlook Negative. Fitch also affirms and revises the Rating Outlooks as indicated on these classes: -- $901,683,821 A-1 at 'AAA'; Outlook Stable; -- Interest-only class X at 'AAA'; Outlook Stable; -- $5 million class O-HW at 'BBB-'; to Outlook Negative from Stable; -- $1.9 million class O-MD at 'BBB-'; to Outlook Negative from Stable. Fitch does not rate classes O-SA or O-HA. The downgrades are due to certain loans which may not have sufficient time to stabilize prior to maturity or have stabilization plans which have become less feasible in the current economic climate. The loans which are not stabilizing as expected consist of these: four loans secured by land intended for development, four loans secured by office properties with significant vacancies, seven loans secured by hotels, two loans secured by multi-family properties and one loan secured by a portfolio of skilled nursing facilities. There are four loans (15.3%) which are secured by land parcels intended for development. Fitch believes that the current economic climate, combined with a decline in land values, may make the original development plans for these properties unfeasible and refinancing the loans will be difficult. The largest of the land loans is the Maui Prince Resort (12.22%) which is secured by a 310 room resort hotel, two golf courses and approximately 1,200 acres of land in Maui, Hawaii. The borrower is in the process of obtaining zoning and entitlement changes to develop a luxury residential and resort community. The loan included a $55 million future funding component to fund debt service for the life of the loan of which approximately $19 million remains. The loan matures Sept. 9, 2009 and has three one-year extension options. The future funding component is expected to be sufficient to cover debt service until maturity at which point the borrower will have to contribute additional debt service reserves in order for the loan to extend. Two of the three other land loans RexCorp NJ/Long Island Land (0.88%) and RexCorp Plainview Land (0.85%) have exercised partial releases. Those loans have paid down 8.08% and 32.86% respectively. Four loans (12.48%) are secured by office properties with significant vacancies. At issuance the sponsors' business plans envisioned leasing up the vacant space at market rates. The downturn and the economy and subsequent softening of the leasing markets make the successful realization of those plans unlikely. Two properties are located in Reston and Fairfax, Virginia (7.8%), Princeton, New Jersey (3%) and Boston, Massachusetts (1.7%). Currently the properties have occupancy rates which range from 26.7% to 58.5%. Seven loans (23%) are secured by hotel properties which Fitch considers unlikely to meet the stabilized performance levels predicted at issuance. The largest of these loans and the second largest loan in the pool is the Essex House (12%) which is secured by a 515 room hotel and five condominium units located in New York City on Central Park. Twenty-six condominium units were included in the collateral at issuance of which 21 have been sold and the loan paid down by 9.3%. The ultra-luxury segment of the hotel market to which the property caters has been especially hard hit by the economic downturn. Of the remaining six properties, two are located in California (5.5%), two in Texas (2.6%), one in Florida (1.3%) and one in New Jersey (1.1%). Two loans (10.8%) are secured by multi-family properties which Fitch does not expected to stabilize as originally projected at issuance. The Magazine Multifamily Portfolio (7%) is secured by six properties totaling 2,120 units located in Florida. As of March the properties were 91% occupied compared to 95% at issuance. The Waterstone and Copper Canyon loan is secured by two properties totaling 924 units, located in Corona and Riverside, California. As of February 2009 the properties were 85% occupied compared to 95% at issuance. The Beverley Healthcare Portfolio loan (2.2%) is secured by six skilled nursing facilities in Indiana and Wisconsin containing a total of 810 beds. The properties have experienced a significant increase in operating expenses since issuance. As of the April 2009 distribution date, the transaction has paid down approximately 1.5% to $1.57 billion from $1.6 billion at issuance. Nearly all of the loans (93.72%) mature in 2009. All of the the loans which matured in January through April 2009 used existing extension options. The servicer has indicated that the borrowers have expressed their intentions to extend loans which mature in May and June 2009. All of the loans which have remaining 2009 maturities have extension options ranging from one to three years. Generally loans require certain debt service coverage ratio tests or posting of additional debt service reserves to be extended. WACHOVIA BANK: Fitch Downgrades Ratings on 2007-WHALE 8 Certs. -------------------------------------------------------------- Fitch Ratings downgrades and revises Outlooks as indicated on these classes of Wachovia Bank Commercial Mortgage Trust, series 2007-WHALE 8, commercial mortgage pass-through certificates: -- $345,361,000 class A-2 to 'AA' from 'AAA'; Outlook Stable; -- $61,593,000 class B to 'AA-' from 'AA+'; Outlook Stable; -- $47,506,000 class C to 'A+' from 'AA+'; to Outlook Negative from Outlook Stable; -- $71,159,000 class D to 'A' from 'AA'; to Outlook Negative from Outlook Stable; -- $46,604,000 class E to 'A-' from 'AA-'; to Outlook Negative from Outlook Stable; -- $46,604,000 class F to 'BBB+' from 'A+'; to Outlook Negative from Outlook Stable; -- $46,605,000 class G to 'BBB' from 'A'; to Outlook Negative from Outlook Stable; -- $30,448,000 class H to 'BBB-' from 'A-'; to Outlook Negative from Outlook Stable; -- $1,917,065 class AP-1 to 'B-' from 'BBB'; to Outlook Negative from Outlook Stable; -- $4,970,993 class AP-2 to 'B-' from 'BBB-'; to Outlook Negative from Outlook Stable; -- $3,800,000 class LP-1 to 'BB' from 'BBB'; to Outlook Negative from Outlook Stable; -- $9,100,000 class LP-2 to 'BB-' from 'BBB-'; to Outlook Negative from Outlook Stable; -- $2,100,000 class LP-3 to 'B+' from 'BB+'; to Outlook Negative from Outlook Stable; In addition, Fitch downgrades and removes from Rating Watch Negative these classes: -- $10,138,000 class J to 'BB' from 'BBB+'; Outlook Negative; -- $5,197,000 class K to 'B+' from 'BBB'; Outlook Negative; -- 12,503,000 class L to 'B' from 'BBB-'; Outlook Negative; -- $53,020,858 class LXR-1 to 'BB-' from 'BBB+'; Outlook Negative; -- $70,759,454 class LXR-2 to 'BB-' from 'BBB-'; Outlook Negative; In addition, this class is downgraded and remains on Rating Watch Negative: -- $3,300,000 class FSN-1 to 'B-' from 'BB+'. In addition, Fitch affirms and revises Outlooks as indicated on these classes: -- $776,288,203 class A-1 'AAA'; Outlook Stable; -- Interest only class X-1B 'AAA'; Outlook Stable; -- $3,800,000 class HH-1 'BBB-'; to Outlook Negative from Outlook Stable; -- $3,600,000 class MH-1 'BBB-'; Outlook Negative. Fitch does not rate the non-pooled AP-3, AP-4, HH-2, FSN-2 and MH- 2 classes. Classes FA and X-1A have paid in full. The downgrades and Negative Outlooks reflect the continuing concern surrounding the stabilization of LXR Hospitality Pool (63.9%), the largest loan in the pool, as well as the high percentage (88.1%) of Fitch loans of concern. Six of the nine loans no longer maintain their investment-grade shadow ratings. The downgrades also address the decline in performance and the expectation that the anticipated increased or stabilized net cash flow will not be attained. The ratings also reflect the high percentage of hotel loans (94.8%). The Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. The Four Seasons Nevis (3.5%) remains in special servicing. The property suffered damage and flooding from Hurricane Omar on Oct. 15, 2008 and is currently closed. The loan had a scheduled maturity date of Oct. 9, 2008; however, it transferred to special servicing on Oct. 23, 2008 after failing to meet the extension conditions in light of the hotel's closure. The special servicer is currently moving forward with foreclosure. Fitch has identified five other loans of concern (84.6% of the pool), including LXR Hospitality Pool (63.9%), Longhouse Hospitality Pool (9.8%), Ashford Hospitality Pool (5.7%), The James Hotel (3.3%) and Troon North Golf (1.9%). The performance of these loans is below expectations from issuance as revenues are dependent on discretionary consumer spending. LXR Hospitality Portfolio, the largest loan, has paid down principal due to the release of collateral. The loan is currently collateralized by a portfolio of 12 hotels representing 4,742 rooms located in Florida, California, Arizona, New York, Puerto Rico and Jamaica. The unadjusted servicer provided combined occupancy for year-end 2008 was 67.5%, with an average daily rate (ADR) of $214.6 and RevPAR of $144.9. While the portfolio's performance continues to improve post-renovations, cash flow increases have been modest and stabilization has fallen behind schedule. The three casino properties, located in Puerto Rico, have not met casino revenue expectations from issuance. Updated Fitch estimations of value based on lower net cash flow and stressed market conditions indicate that the current portfolio value may be lower than the value determined at issuance. The loan has a May 9, 2009 maturity date with three one-year extension options. Longhouse Portfolio, the second largest loan, is secured by 42 extended-stay hotels representing 5,600 rooms located in 11 states. The year-end 2008 servicer provided portfolio occupancy was 63.5% with an ADR of $45 and RevPAR of $28. The loan, which continues to perform below expectations, has a June 9, 2009 maturity with three one-year extension options. The ratings and Outlook reflect the potential for further decline in performance given the expected stresses to the property sector and locations. The third largest loan, Hudson Hotel, is collateralized by an 805- room hotel located in New York, New York. The year-end 2008 servicer provided portfolio occupancy was 91%, ADR was $283, and RevPAR was $256, compared with 87.1%, $262, and $229, respectively, at issuance. The loan has a July 12, 2010 maturity with one 15-month extension option. As of the April 2009 distribution date, the transaction's aggregate certificate balance has decreased 14.8% to $1.678 billion from $1.968 billion at issuance. The nine remaining loans in the transaction are interest-only, and the 14.8% pay-down is due to the fourth largest loan, 717 Fifth Avenue paying in full along with the release of collateral from three loans: LXR Hospitality, Ashford Hospitality and Southeast Multifamily Pool. Fitch reviewed the most recent servicer provided operating statement analysis reports for all of the loans. Currently, hotel assets collateralize seven loans or 95% of the pool, and a portfolio of multifamily properties and a golf course represent 3% and 2% of the pool, respectively. The non-pooled participation interest of seven loans in the trust, LXR Hospitality Pool, Ashford Hospitality Pool, Longhouse Hospitality Pool, Hudson Hotel, Four Seasons Nevis, and Mondrian Hotel, are structured as rake classes. The remaining balance of the scheduled maturities is 79.4% in 2009 and 17.1% in 2010, and all have extension options, except Troon North Golf (2%) which matures in 2010. WASHINGTON MUTUAL: Moody's Affirms Ratings on 2003-C1 Notes ----------------------------------------------------------- Moody's Investors Service affirmed the ratings of 13 classes and downgraded two classes of Washington Mutual Asset Securities Corp., Series 2003-C1. The downgrades are due to higher expected losses for the pool resulting from higher leverage, anticipated losses from loans in special servicing, and concerns about the refinance risk associated with loans approaching maturity. Six loans, representing 10.7% of the pool, mature within the next 12 months. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the April 27, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 76% to $138.3 million from $571.9 million at securitization. The Certificates are collateralized by 74 seasoned mortgage loans ranging in size from less than 1% to 12% of the pool, with the top 10 loans representing 46% of the pool. Fifteen loans, representing 25% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. The majority of the watchlisted loans have significant performance issues, such as low occupancy or low debt service coverage. One of the larger watchlisted loans of concern is the Onyx Pharmaceutical Building loan ($3.8 million -- 2.8%), which is secured by an industrial building located in Richmond, California. Although the loan is current, the property has been vacant for the past two years. One loan has been liquidated from the pool resulting in a minimal realized loss. Currently there is one loan, representing 1% of the pool, in special servicing. Moody's is estimating a $490,000 loss from this specially serviced loan. Moody's was provided with full-year 2007 and partial-year 2008 operating results for 100% and 79% of the pool respectively. Moody's loan to value ratio is 73% compared to 65% at Moody's prior full review in March 2008. The top three loans represent 24.1% of the outstanding pool balance. The largest loan is the Center Pointe Plaza Loan ($16.6 million -- 12.0%), which is secured by a 252,400 square foot power center located in Christiana (suburban Wilmington), Delaware. The center was 100% occupied as of March 2009, the same as at last review. Major tenants include Home Depot (lease expiration December 2016), Babies 'R Us (lease expiration January 2013) and T.J. Maxx (lease expiration February 2013). The loan has amortized 7% since last review. Moody's LTV is 51% compared to 53% at last review. The second largest loan is the 33 Irving Place Loan ($10.0 million -- 7.2%), which is secured by a 166,300 square foot class B office building located in the East Midtown South submarket of New York City. The loan has amortized 3% since last review. Moody's LTV is 44% compared to 43% at last review. The third largest loan is the Laurel Vista Apartments Loan ($6.8 million -- 4.9%), which is secured by a 62 unit multifamily property located in Los Angeles, California. The property was 90% occupied as of December 2008 compared to 100% at last review. Property performance has declined due to the deterioration in occupancy. The loan has amortized by 2% since last review. Moody's LTV is 86% compared to 78% at last review. Moody's rating action is: -- Class A, $ 142,475,563, affirmed at Aaa; previously affirmed at Aaa on 3/20/2008 -- Class B, $11,438,000, affirmed at Aaa; previously affirmed at Aaa on 3/20/2008 -- Class C, $2,859,000, affirmed at Aaa; previously affirmed at Aaa on 3/20/2008 -- Class D, $12,867,000, affirmed at Aaa; previously affirmed at Aaa on 3/20/2008 -- Class E, $2,860,000, affirmed at Aaa; previously upgraded to Aaa from Aa1 on 3/20/2008 -- Class F, $4,289,000, affirmed at Aaa; previously upgraded to Aaa from Aa3 on 3/20/2008 -- Class G, $5,718,000, affirmed at Aa2; previously upgraded to Aa2 from A2 on 3/20/2008 -- Class H, $2,860,000, affirmed at A1; previously upgraded to A1 from Baa1 on 3/20/2008 -- Class J, $5,718,000, affirmed at Baa1; previously upgraded to Baa1 from Ba1 on 3/20/2008 -- Class K, $4,289,000, affirmed at Ba1; previously upgraded to Ba1 from Ba2 on 3/20/2008 -- Class L, $1,430,000, affirmed at Ba2; previously upgraded to Ba2 from Ba3 on 3/20/2008 -- Class M, $2,859,000, affirmed at B1; previously affirmed at B1 on 3/20/2008 -- Class N, $2,860,000, downgraded to Caa1 from B2; previously affirmed at B2 on 3/20/2008 -- Class O, $1,429,000, downgraded to Caa1 from B3; previously affirmed at B3 on 3/20/2008 -- Class X, Notional, affirmed at Aaa; previously affirmed at Aaa on 3/20/2008 WELLS FARGO: Moody's Downgrades Rating on Securities to 'B2' ------------------------------------------------------------ Moody's Investors Service downgraded to B2 from A3 the ratings on Preferred Purchase Securities issued by Wells Fargo Capital XIII and Wells Fargo Capital XV and on Wachovia Income Trust Securities issued by Wachovia Capital Trust III. All three entities are trusts created by Wells Fargo. The rating outlook is "developing". All other ratings of Wells Fargo were affirmed. Senior debt issued by Wells Fargo & Company is rated A1, subordinated debt is rated A2, junior subordinated debt is rated A3 and preferred stock is rated B2. Wells Fargo Bank N.A.'s bank financial strength rating is D+, and the bank is rated Aa2 for deposits. The outlook on all senior and subordinate debt ratings is stable, while the outlook on the BFSR and the PPS, WITs and preferred stock is "developing". PPS and WITS securities were issued by trusts that hold junior subordinated notes of Wells Fargo plus a forward purchase contract that obligates the trust to purchase non-cumulative perpetual preferred stock from Wells Fargo in five years. Beginning in 2011 for the WITS and 2013 for PPS, the junior subordinated notes will be remarketed to new investors and the proceeds of the remarketing will be used to satisfy the original investors' obligations to purchase the non-cumulative preferred stock under the terms of the forward contract. If the remarketing is not successful, the trust is obligated to exchange the junior subordinated notes for non- cumulative preferred stock from Wells Fargo no later than March 2012 for the WITS and March and September 2014 for the PPS issued by Wells Fargo Capital XIII and Wells Fargo Capital XV, respectively. This process can be accelerated only if Wells Fargo's regulatory capital ratios fall below "well capitalized" or its regulator determines that the company is at risk of falling below "well capitalized." The B2 rating and developing outlook on the PPS and WITS brings them to the same level as the rating on Wells Fargo's other preferred securities. It is Moody's normal practice to rate such instruments at the preferred rating level because the hybrid's ultimate claim on the bank is a preferred stock claim. In addition, Wells Fargo's current tangible common equity ratio and Tier 1 regulatory capital ratio are comparatively low and its holding of non-TARP preferred is relatively modest. As a result, if its non-TARP preferred stock were to be exchanged into common equity, the resulting new layer of equity would not likely be sufficient to address Wells Fargo's capital levels. This makes the PPS and WITS more susceptible to an early acceleration of the forward contract and potential exchange into common equity. The developing rating outlook on the preferred stock rating and the BFSR is in response to their sensitivity to both capital and asset quality trends for Wells Fargo. If Wells Fargo can build capital through earnings or attract capital, then positive ratings pressures could emerge for both the BFSR and preferred stock. In contrast, if Wells Fargo's capital ratios fall and there is no compensating action taken, then negative ratings pressures would likely emerge for both ratings. Finally, the two ratings could move in opposite directions. If Wells Fargo's capital ratios fall and, in response, the bank suspends preferred dividends and/or initiates an exchange of preferred stock into equity while accelerating the conversion of the PPS and WITS to non-cumulative preferred stock, there could be negative pressure on the ratings of the preferred stock and on the PPS and WITS. However, the resulting improvement in common equity could be positive for the BFSR at the completion of this initiative. The latest rating action on Wells Fargo Capital XIII, Wells Fargo Capital XV, and Wachovia Capital Trust III was on March 25, 2009 when Moody's lowered the rating to A3 from A1. Wells Fargo & Company is headquartered in San Francisco. Its reported assets were $1.3 trillion as of March 31st, 2009. Issuer: Wachovia Capital Trust III Downgrades: -- Preferred Stock Preferred Stock, Downgraded to B2 from A3 -- Preferred Stock Shelf, Downgraded to (P)B2 from (P)A3 Outlook Actions: -- Outlook, Changed To Developing From Stable Issuer: Wells Fargo Capital XIII Downgrades: -- Preferred Stock Preferred Stock, Downgraded to B2 from A3 -- Preferred Stock Shelf, Downgraded to (P)B2 from (P)A3 Outlook Actions: -- Outlook, Changed To Developing From Stable Issuer: Wells Fargo Capital XV Downgrades: -- Preferred Stock Preferred Stock, Downgraded to B2 from A3 Outlook Actions: -- Outlook, Changed To Developing From Negative WELLS FARGO: Moody's Downgrades Ratings on 94 Tranches ------------------------------------------------------ Moody's Investors Service has downgraded 94 tranches and confirmed 1 tranche from 15 deals issued by Wells Fargo Mortgage Backed Securities Trust in 2006 and 2007. The collateral backing these transactions consists primarily of first-lien, adjustable rate, Jumbo mortgage loans. The actions are triggered by the quickly deteriorating performance -- marked by rising delinquencies and loss severities, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions reflect Moody's updated expected losses on the jumbo sector announced in a press release on March 19th, 2009, and are part of Moody's on-going review process. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the senior note waterfalls. Loss estimates are subject to variability and are sensitive to assumptions used; as a result, realized losses could ultimately turn out higher or lower than Moody's current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly as necessary. Complete rating actions are: Wells Fargo Mortgage Backed Sec 2007-AR7 Trust -- Cl. A-1, Downgraded to Caa2; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade Wells Fargo Mortgage Backed Sec 2007-AR8 Trust -- Cl. A-1, Downgraded to Caa1; previously on 3/19/2009 Ba2 Placed Under Review for Possible Downgrade Wells Fargo Mortgage Backed Sec 2007-AR9 Trust -- Cl. A-1, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-IO, Downgraded to Baa2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge Backed Securities 2006-8 Trust -- Cl. I-A-1, Downgraded to Ba1; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade Wells Fargo Mtge Backed Securities 2006-AR1 Trust -- Cl. I-A-1, Downgraded to Caa1; previously on 3/19/2009 Baa1 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 B2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to B3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to B3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to B3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to Ca; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C; previously on 3/19/2009 B3 Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C; previously on 3/19/2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C; previously on 3/19/2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C; previously on 3/19/2009 Caa3 Placed Under Review for Possible Downgrade Wells Fargo Mtge Backed Securities 2006-AR12 Trust -- Cl. I-A-1, Downgraded to B3; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to B3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Ca; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade Wells Fargo Mtge Backed Securities 2006-AR14 Trust -- Cl. I-A-1, Downgraded to Caa1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to B3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to B3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to Caa1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. I-A-5, Downgraded to B3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to B3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-7, Downgraded to B3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. I-A-8, Downgraded to Ca; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. I-A-9, Downgraded to B3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. I-A-10, Downgraded to B3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa1; previously on 3/19/2009 A3 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 Caa1; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to B3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to Ca; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. III-A-3, Downgraded to B3; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade Wells Fargo Mtge Backed Securities 2006-AR15 Trust -- Cl. A-1, Downgraded to B2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ca; previously on 3/19/2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-IO, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge Backed Securities 2006-AR16 Trust -- Cl. A-1, Downgraded to B3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ca; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-IO, Downgraded to B3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade Wells Fargo Mtge Backed Securities 2006-AR18 Trust -- Cl. I-A-1, Downgraded to B2; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Ca; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. I-A-IO, Downgraded to B2; previously on 3/19/2009 Aa2 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 Ba3 Placed Under Review for Possible Downgrade -- Cl. II-A-IO, Downgraded to B3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade Wells Fargo Mtge Backed Securities 2006-AR19 Trust -- Cl. A-1, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ba3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Ca; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Ba2; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-IO, Downgraded to Ba1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade Wells Fargo Mtge Backed Securities 2006-AR5 Trust -- Cl. I-A-1, Downgraded to Caa1; previously on 3/19/2009 Baa3 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 Caa1; previously on 3/19/2009 Baa1 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. B-1, Downgraded to C; previously on 3/19/2009 Caa3 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 Wells Fargo Mtge Backed Securities 2006-AR6 Trust -- Cl. I-A-1, Downgraded to B3; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to B3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Caa1; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to B2; previously on 3/19/2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to Caa1; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to A1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. IV-A-2, Downgraded to B3; previously on 3/19/2009 A2 Placed Under Review for Possible Downgrade -- Cl. V-A-1, Downgraded to A3; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. V-A-2, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. VI-A-1, Confirmed at Aaa; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. VI-A-2, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. VII-A-1, Downgraded to Baa1; previously on 3/19/2009 Aaa Placed Under Review for Possible Downgrade -- Cl. VII-A-2, Downgraded to B3; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade Wells Fargo Mtge Backed Securities 2006-AR7 Trust -- Cl. I-A-1, Downgraded to Caa1; previously on 3/19/2009 A3 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to B3; previously on 3/19/2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Ca; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Caa1; previously on 3/19/2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to Caa1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to Caa1; previously on 3/19/2009 A1 Placed Under Review for Possible Downgrade -- Cl. II-A-7, Downgraded to Ca; previously on 3/19/2009 Ba3 Placed Under Review for Possible Downgrade Wells Fargo Mtge Backed Securities 2007-AR3 Trust -- Cl. A-1, Downgraded to Caa1; previously on 3/19/2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa1; previously on 3/19/2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ca; previously on 3/19/2009 B3 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. WILMINGTON TRUST: Moody's Cuts Multiple Shelf Rating to 'Ba1' ------------------------------------------------------------- Moody's Investors Service downgraded the ratings of Wilmington Trust Corporation (long-term issuer rating to Baa3 from Baa1) and its operating bank subsidiary, Wilmington Trust Company (bank financial strength rating to C- from C; long-term deposits to Baa2 from A3). The short-term deposit rating of Prime-2 was affirmed. The rating outlook is negative. This concludes the review for possible downgrade initiated on March 12, 2009. Wilmington Trust Corporation and its bank subsidiary are referred to hereafter as "Wilmington." Moody's downgrade and negative outlook reflect the rating agency's view that Wilmington's capital position, both its regulatory capital and tangible common equity, could come under pressure over the next 12 to 18 months because of its large real estate lending concentration, as well as its investments in bank trust preferred securities. Although Moody's had previously incorporated this concentration into Wilmington's ratings, its loss expectations for CRE have increased sharply, especially for construction and land, as indicated in Moody's Structured Finance Rating Methodology dated February 5, 2009. In this methodology, Moody's states that commercial property values declined sharply in 2008 and are expected to continue falling over the next 12 to 24 months. Wilmington's true CRE, excluding owner occupied, equals approximately $3.3 billion, or over 4 times TCE, including hybrid equity credit. Wilmington's land and development exposure is more than one-third of this amount, which Moody's considers an elevated level. Over the last five quarters, Wilmington's nonperforming assets, including 90 days past due, have increased by almost three times to $281 million, or 30% of TCE and reserves, at March 31, 2009. About half of Wilmington's nonperforming loans are construction-related. The deterioration in Wilmington's portfolio was especially sharp in the latter part of 2008. The rating agency noted that Wilmington's asset quality performance has benefited somewhat from its mid Atlantic footprint, which has not experienced the same severity of real estate market deterioration as many other areas of the country, and where unemployment has been below the national average through 2008. However as the credit cycle unfolds, Moody's expects further deterioration in Wilmington's markets and its loan portfolio. Another factor in the downgrade was Wilmington's bank preferred investments, which were $160 million (amortized cost) as of December 31, 2008, of which $103 million were trust preferred CDOs. Moody's notes the correlation between CRE and bank trust preferred CDOs, and expects the further deterioration in the residential construction sector will result in continued write- downs of Wilmington's CDO portfolio. Moody's analysis of the loss content of this portfolio incorporates Moody's recent downgrade of these securities. On March 27, 2009, Moody's Structured Finance Group concluded its review of all bank and insurance trust preferred CDOs at which time most of the super senior Aaa notes were downgraded to A/Baa and most of the junior Aaa notes were downgraded to below investment grade. Wilmington's sound capital ratios support its current ratings. Tier 1 was 9.4% as of March 31, 2009. This rating action incorporates the flexibility Wilmington has in reducing its common dividend again to support capital should elevated credit costs threaten to weaken its internal capital generation. The rating agency pointed out that in the first quarter the company's capital ratios improved as a result of balance sheet management and positive earnings. The company's liquidity profile has also improved over the last two quarters because it reduced its wholesale funding. The rating action is consistent with Moody's announcement that it is recalibrating some of the weights and relative importance attached to certain rating factors within its current bank rating methodologies. Capital adequacy, in particular, takes on increasing importance in determining the bank financial strength rating in the current environment. Moody's last rating action was on March 12, 2009 when Wilmington's ratings were placed on review for possible downgrade. Wilmington Trust Corporation, which is headquartered in Wilmington, Delaware, reported total assets of $11.5 billion as of March 31, 2009. Issuer: Wilmington Trust Company Downgrades: -- Bank Financial Strength Rating, Downgraded to C- from C -- Senior Unsecured Deposit Rating, Downgraded to Baa2 from A3 -- Issuer Rating, Downgraded to Baa2 from A3 -- OSO Senior Unsecured OSO Rating, Downgraded to Baa2 from A3 Outlook Actions: -- Outlook, Changed To Negative From Rating Under Review Issuer: Wilmington Trust Corporation Downgrades: -- Issuer Rating, Downgraded to Baa3 from Baa1 -- Multiple Seniority Shelf, Downgraded to a range of (P)Ba1 to (P)Baa3 from a range of (P)Baa2 to (P)Baa1 -- Subordinate Regular Bond/Debenture, Downgraded to Ba1 from Baa2 Outlook Actions: -- Outlook, Changed To Negative From Rating Under Review WINGS CBO: Moody's Downgrades Rating on 2004-2 Notes to 'Ca' ------------------------------------------------------------ Moody's Investors Service has downgraded these notes issued by CBO Holdings XIV Ltd., Series WINGS CBO 2004-2: The rating actions are: -- US$7,200,000 Class A Notes Due June 2037(the "Class A Notes), Downgraded to Ca; previously on 8/5/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade The Class A Notes are repacks of the Class A-2 Floating Rate Notes originally issued by Oceanview CBO I, Ltd., a multisector CDO that closed in June 2002. Class A-2 Notes were downgraded on 04/29/2009 to Ca. * Fitch Downgrades Ratings on 84 Classes from Action Rate Reviews ----------------------------------------------------------------- Fitch Ratings on April 29 announced the results of the bulk of its auction rate review. Fitch had downgraded 84 classes consisting of 36 senior and 48 subordinate or junior subordinate classes from 25 trusts. With less than 10 trusts remaining to be reviewed in the near future, any transactions not reported have either been affirmed or not yet reviewed. Fitch will publish a list of all rating actions taken over the next few days. Academic Finance Corp, 2005 Indenture -- Series 2005 B-1 downgraded to 'BB' from 'A'. Access to Loans for Learning Student Loan Corp. - 1998 Master Trust IV (CA) -- Series IV-C-1 bonds downgraded to 'BBB' from 'A'; -- Series IV-C-2 bonds downgraded to 'BBB' from 'A'. Brazos Higher Education Authority, Inc. - 1999 Indenture of Trust -- Series 2006 B-1 downgraded to 'B' from 'A'. Brazos Higher Education Authority, Inc. - Amended and Restated 2002 Indenture Trust (1993A/C) -- Series 2000B-1 downgraded to 'BB' from 'A'; -- Series 2000C-1 downgraded to 'BB' from 'A'; -- Series 2001C-1 downgraded to 'BB' from 'A'; -- Series 2002C-1 downgraded to 'BB' from 'A'; -- Series 2002C-2 downgraded to 'BB' from 'A'; -- Series 2004C-1 downgraded to 'BB' from 'A'. Brazos Higher Education Authority, Inc. - Amended and Restated 2003 Indenture Trust (1992C) (TX) -- Series 2001 B-1 downgraded to 'BB' from 'A'. Brazos Higher Education Authority, Inc. - Amended and Restated 2004 Indenture Trust (1993B) (TX) -- Series 1999B-1 downgraded to 'B' from 'A'; -- Series 2001B-2 downgraded to 'B' from 'A'; -- Series 2003B-1 downgraded to 'B' from 'A'; -- Series 2003B-2 downgraded to 'B' from 'A'; -- Series 2004B-1 downgraded to 'B' from 'A'. Brazos Student Finance Corp. - 2001 Indenture of Trust -- Series 2004 B-1 downgraded to 'BB' from 'A' -- Series 2004 B-2 downgraded to 'BB' from 'A' Brazos Student Finance Corp. - 2003 Indenture of Trust -- Series 2003 B-1 downgraded to 'BB' from 'A'. Brazos Student Finance Corp. - 2003-2 Trust -- Series 2003 B-2 downgraded to 'BB' from 'A'; -- Series 2003 B-3 downgraded to 'BB' from 'A'. Brazos Student Finance Corp. - Amended and Restated 1995 Indenture of Trust (1995) -- Series 2006 B-1 downgraded to 'B' from 'A'. EdInvest - Amended and Restated 2006 Indenture of Trust (2003) -- Series 2003 B-1 to 'B' from 'A'; -- Series 2004 B-1 to 'B' from 'A'; -- Series 2005 B-1 to 'B' from 'A'. Education Funding Services, Inc. - 2005 Indenture of Trust -- -Series 2007 B-1, downgraded to 'B' from 'A' Education Loans Inc. - 1998 Indenture Trust -- -Class 1998-1K downgraded to 'A' from 'AAA' Education Loans Inc 1999-1 -- Series 1999-1A downgraded to 'A' from 'AAA'; -- Series 2001-1A downgraded to 'A' from 'AAA'; -- Series 2001-1B downgraded to 'A' from 'AAA'; -- Series 2002-1A downgraded to 'A' from 'AAA'; -- Series 2002-1B downgraded to 'A' from 'AAA'; -- Series 2003-1B downgraded to 'A' from 'AAA'; -- Series 2003-1C downgraded to 'A' from 'AAA' -- Series 1999-1C downgraded to 'B' from 'A'; -- Series 2001-1C downgraded to 'B' from 'A'. -- Series 2002-1C downgraded to 'B' from 'A' -- Series 2003-1D downgraded to 'B' from 'A'. Education Loans Inc. 2004-1 -- Series 2004-A1 downgraded to 'AA' from 'AAA'; -- Series 2004-A3 downgraded to 'AA' from 'AAA'; -- Series 2004-A4 downgraded to 'AA' from 'AAA'; -- Series 2004-B1 downgraded to 'B' from 'A' Education Loans Inc. 2004-CD -- Series 2004-C1 downgraded to 'AA-' from 'AAA'; -- Series 2004-C2 downgraded to 'AA-' from 'AAA'; -- Series 2004-C5 downgraded to 'AA-' from 'AAA'; -- Series 2004-D downgraded to 'B' from 'A'; EFSI - Amended and Restated 2006 Indenture of Trust (2003) -- Series 2003 B-1 downgraded to 'BB' from 'A'; -- Series 2004 B-1 downgraded to 'BB' from 'A'; -- Series 2005 B-1 to downgraded to 'BB' from 'A' Education Lending Group, Inc. - Education Funding Capital Trust - II -- Subordinate Series B-1 downgraded to 'A' from 'AAA'. Education Lending Group, Inc. - Education Funding Capital Trust - III -- Subordinate Series B-1 downgraded to 'A' from 'AAA'. Education Lending Group, Inc. - Education Funding Capital Trust - IV -- Subordinate Series B-1 downgraded to 'A' from 'AA'. Federated Student Finance Corporation - Amended and Restated 2006 Indenture of Trust (2003) -- Series 2003 B-1 downgraded to 'BB' from 'A'; -- Series 2004 B-1 downgraded to 'BB' from 'A'; -- Series 2005 B-1 downgraded to 'BB' from 'A'. FinanSure Student Loan Master Trust I 2007-1 -- Class C-1 downgraded to 'BB' from 'BBB' and is on Rating Watch Negative Mississippi Higher Education Assistance Corp. - 2004 Indenture of Trust (MS) -- 2004 B-1 downgraded to 'BB' from 'A' -- 2007 B-1 downgraded to 'BB' from 'A' NextStudent Master Trust I -- Series 2006A-1 downgraded to 'BBB' from 'AAA'; -- Series 2006A-2 downgraded to 'BBB' from 'AAA'; -- Series 2006A-3 downgraded to 'BBB' from 'AAA'; -- Series 2006A-4 downgraded to 'BBB' from 'AAA'; -- Series 2006A-5 downgraded to 'BBB' from 'AAA'; -- Series 2006A-6 downgraded to 'BBB' from 'AAA'; -- Series 2006A-7 downgraded to 'BBB' from 'AAA'; -- Series 2006A-8 downgraded to 'BBB' from 'AAA'; -- Series 2007A-1 downgraded to 'BBB' from 'AAA'; -- Series 2007A-2 downgraded to 'BBB' from 'AAA'; -- Series 2007A-3 downgraded to 'BBB' from 'AAA'; -- Series 2007A-4 downgraded to 'BBB' from 'AAA'; -- Series 2007A-5 downgraded to 'BBB' from 'AAA'; -- Series 2007A-6 downgraded to 'BBB' from 'AAA'; -- Series 2007A-7 downgraded to 'BBB' from 'AAA'; -- Series 2007A-8 downgraded to 'BBB' from 'AAA'; -- Series 2007A-9 downgraded to 'BBB' from 'AAA'; -- Series 2007A-10 downgraded to 'BBB' from 'AAA'; -- Series 2007A-11 downgraded to 'BBB' from 'AAA'; -- Series 2007A-12 downgraded to 'BBB' from 'AAA'; -- Series 2007A-13 downgraded to 'BBB' from 'AAA'; -- Series 2007A-14 downgraded to 'BBB' from 'AAA'; -- Series 2007A-15 downgraded to 'BBB' from 'AAA'. -- Series 2006B-1 downgraded to 'B' from 'A'; -- Series 2007B-1 downgraded to 'B' from 'A'. Trinity Higher Education Authority, Inc. - 2004 Indenture -- Series 2004B-1 downgraded to 'BB' from 'A' * Fitch Releases Results on Rating Review of Student Loan ABS ------------------------------------------------------------- Fitch Ratings has completed the bulk of its review of all student loan ABS with auction rate exposures. Fitch initiated the review of its student loan ABS transactions with auction rate bonds following the disruption in the auction rate market. Fitch's analysis focused on transactions that utilized auction rate debt to finance FFELP and private student loan collateral. While most trusts were structured to withstand the market freeze, several were affected significantly by the market dislocation. The review consisted of 109 trusts and as of March 31, 2009, both senior and subordinate bonds of over 70 trusts were affirmed. Fitch downgraded 84 classes consisting of 36 senior and 48 subordinate or junior subordinate classes from 25 trusts. The downgrade results are: Senior bonds rated AAA: -- 7 bonds downgraded to 'A'; -- 3 bonds downgraded to 'AA'; -- 3 bonds downgraded to 'AA-'; -- 23 bonds downgraded to 'BBB'. Subordinate bonds: -- 3 bonds downgraded to 'A' from 'AAA'; -- 1 bond downgraded to 'A' from 'AA'; -- 2 bonds downgraded to 'BBB' from' A'; -- 22 bonds downgraded to 'BB' from 'A'; -- 19 bonds downgraded to 'B' from 'A'; -- 1 bond downgraded to 'BB' from 'BBB'. Classes downgraded to 'BB' and 'B' could experience principal losses but are expected to receive timely interest payments for a number of years depending on the transaction structure and interest rate environment. There are less than ten trusts remaining to be reviewed, and Fitch expects that the review will be fully completed in the coming weeks. Fitch's auction rate review was primarily focused on the direction and speed of parity change, the transaction structure and the generation of excess spread. A declining parity ratio indicated that the trust was not generating sufficient income to cover its interest and expenses. The maximum auction rate definition was a critical factor in Fitch's analysis as this rate dictated the amount of bond interest paid to investors. For most tax-exempt trusts, definitions were based on an index such as 91-day t-bill, SIFMA or the Kenny Index, and 90-day CP. For most trusts with taxable ARS, the definition was based on LIBOR plus a spread or the net loan rate, which is typically the student loan rate minus fees. Fitch's analysis revealed that, due to the current interest rate environment, those trusts with maximum rate definitions based on 91-day t-bill, 90-day CP, SIFMA and the Kenny Index were able to build parity as these indices either declined or remained relatively low for most of 2008. As a result, the ratings of these trusts were affirmed. Additionally, the debt structure of many of the trusts that were affirmed were mixed funded with debt having a lower cost of funds which positively impacted parity. It is important to note that although these trusts were able to survive the current interest rate environment, there is latent basis risk, and a change in interest rates could cause issues in the future. The majority of rating downgrades occurred in trusts that were under-collateralized, and where the maximum auction rate was held at the net loan rate. In most cases, the imbalance between the assets and liabilities created a mismatch between the earnings received on the assets and the interest expense paid on the bonds. As a result, principal receipts were used to pay bond interest. Further, some of these trusts also contained a significant percentage of private student loans that were experiencing higher than expected defaults, thus adding to the parity deterioration. * Moody's Downgrades Rating on 19 Combination Note Securities ------------------------------------------------------------- Moody's Investors Service has downgraded 19 combination note securities whose underlying components are significantly linked to bank and insurance Trust Preferred CDO tranches. The ratings of the combination notes' underlying components were updated on March 27, 2009. The rating actions are the result of an analysis primarily based on the weighted average rating of the component ratings. ALESCO Preferred Funding IV, Inc. -- Series I Combination Notes, Downgraded to Ca; previously on 5/28/2004 Assigned Ba3 -- Series III Combination Notes, Downgraded to Ca; previously on 5/28/2004 Assigned Baa3 ALESCO Preferred Funding XI, Ltd. -- US$27,000,000 Combination Notes Due 2036, Downgraded to Ca; previously on 6/30/2006 Assigned A2 Preferred CPO Limited -- $1,000,000 Certificates due 7/26/30, Downgraded to Ba2; previously on 8/11/2000 Assigned Baa1 -- $20,000,000 Certificates due 7/26/30, Downgraded to Ba2; previously on 8/11/2000 Assigned A3 -- $500,000 Certificates due 7/26/30, Downgraded to Ba2; previously on 8/11/2000 Assigned A3 PreTSL Combination Series P XXV Trust -- Series 2, Downgraded to Ca; previously on 3/26/2007 Assigned A3 Preferred Term Securities XXVI, Ltd. -- PreTSL US$11,500,000 Combination Series P XXVI-2 Certificates, Downgraded to Ca; previously on 6/29/2007 Assigned A3 PreTSL Combination Certificates -- PreTSL Combination Series P XVIII-3 Certificates, Downgraded to Caa3; previously on 8/29/2007 Assigned Baa2 -- PreTSL Combination Series P XIX-4 Certificates, Downgraded to Caa3; previously on 8/29/2007 Assigned Baa2 PreTSL Combination Trust I (for PTS XV) -- US$10,000,000 Combination Certificates, Series P XV-1 due 2034, Downgraded to Caa2; previously on 9/24/2004 Assigned Baa2 PreTSL Combination Trust I (for PTS XVI) -- US$5,000,000 Combination Certificates, Series P XVI-1 due 2035, Downgraded to Caa2; previously on 12/30/2004 Assigned Baa1 Regional Diversified Funding 2005-1 -- Series Trust I -- US$13,000,000 Series A Trust Units, Downgraded to Ca; previously on 4/29/2005 Assigned Baa2 Regional Diversified Funding 2005-1 -- Series Trust II -- US$15,500,000 Series N Trust Units, Downgraded to Ca; previously on 4/29/2005 Assigned Baa2 In these transactions, Moody's also considered the methodology for structured notes as described in Moody's Special Reports listed: -- Moody's Refines Its Approach to Rating Structured Notes (July 1997) -- Using the Structured Note Methodology to Rate CDO Combo-Notes (February 2004) Preferred Term Securities XXVI, Ltd. -- PreTSL US$500,000 Combination Series P XXVI-1 Certificates, Downgraded to Aa1; previously on 6/29/2007 Assigned Aaa PreTSL Combination Trust I -- US$15,200,000 Combination Certificates, Series P XIX-1 due 2035, Downgraded to Aa1; previously on 9/27/2005 Assigned Aaa PreTSL Combination Trust I -- US$10,000,000 Combination Certificates, Series P XX-2 due 2038, Downgraded to Aa1; previously on 12/22/2005 Assigned Aaa PreTSL Combination -- US$500,000 Combination Certificates, Series P XXII-1, Downgraded to Aa1; previously on 6/29/2006 Assigned Aaa PreTSL Combination Certificates -- US$500,000 Combination Certificates, Series P XXIII-1, Downgraded to Aa1; previously on 9/29/2006 Assigned Aaa * Moody's Downgrades Ratings on 94 Notes by 23 CDO Transactions --------------------------------------------------------------- Moody's Investors Service has downgraded its ratings of 94 Notes issued by 23 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 as described below. Some of the deals have also experienced an Event of Default. According to a 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 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: -- Moody's Approach to Rating SF CDOs (March 2009) The rating actions are: Adams Square Funding II, Ltd. -- US$600,000,000 Class A1 Floating Rate Notes Due 2047, Downgraded to C; previously on 8/26/2008 Downgraded to Ca ARLO VII Series 2007-1 (SABS) -- EUR21,000,000 Variable Secured Limited Recourse Credit- Linked Notes due 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and Placed Under Review for Possible Downgrade Bernoulli High Grade CDO I, Ltd. -- Class A1-A First Priority Senior Secured Floating Rate Notes, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class A-1B First Priority Senior Secured Floating Rate Notes, Downgraded to B3; previously on 12/16/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- Class A-2 Second Priority Senior Secured Floating Rate Notes, Downgraded to C; previously on 10/27/2008 Downgraded to Ca -- Class B Third Priority Senior Secured Floating Rate Notes, Downgraded to C; previously on 10/27/2008 Downgraded to Ca Cairn Mezz ABS CDO III Limited -- US$550,000,000 Class A1-VF 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$75,000,000 Class A2A Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Ca -- US$148,000,000 Class A2B Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Ca -- US$67,000,000 Class B1 Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 5/21/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$11,000,000 Class B2 Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 5/21/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$13,000,000 Class C1 Mezzanine Secured Deferrable Interest Floating Rate Notes Due 2047, Downgraded to C; previously on 5/21/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$18,750,000 Class C2 Mezzanine Secured Deferrable Interest Floating Rate Notes Due 2047, Downgraded to C; previously on 5/21/2008 Downgraded to Ca -- US$17,000,000 Class C3 Mezzanine Secured Deferrable Interest Floating Rate Notes Due 2047, Downgraded to C; previously on 5/21/2008 Downgraded to Ca -- US$17,000,000 Class D1 Mezzanine Secured Deferrable Interest Floating Rate Notes Due 2047, Downgraded to C; previously on 5/21/2008 Downgraded to Ca -- US$17,000,000 Class D2 Mezzanine Secured Deferrable Interest Floating Rate Notes Due 2047, Downgraded to C; previously on 5/21/2008 Downgraded to Ca -- US$17,000,000 Class D3 Mezzanine Secured Deferrable Interest Floating Rate Notes Due 2047, Downgraded to C; previously on 5/21/2008 Downgraded to Ca -- US$9,250,000 Class E Mezzanine Secured Deferrable Interest Floating Rate Notes Due 2047, Downgraded to C; previously on 5/21/2008 Downgraded to Ca C-BASS CBO XVIII Ltd. -- US$346,000,000 Class A-1 First 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$150,000,000 Class A-2 First Priority Senior Secured Fixed Rate Notes Due 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$46,500,000 Class B Second Priority Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 4/22/2008 Downgraded to Ca Charles Fort CDO I, Ltd. -- US$220,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes due July 9, 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$60,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due July 9, 2047, Downgraded to C; previously on 4/22/2008 Downgraded to Ca -- US$50,000,000 Class B Third Priority Senior Secured Floating Rate Notes due July 9, 2047, Downgraded to C; previously on 4/22/2008 Downgraded to Ca -- US$24,000,000 Class C Fourth Priority Mezzanine Secured Floating Rate Deferrable Interest Notes due July 9, 2047, Downgraded to C; previously on 4/22/2008 Downgraded to Ca Clifton I CDO, Ltd. -- US$1,200,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2052, Downgraded to C; previously on 12/11/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$55,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2052, Downgraded to C; previously on 6/3/2008 Downgraded to Ca -- US$65,000,000 Class A-3 Third Priority Senior Secured Floating Rate Notes Due 2052, Downgraded to C; previously on 6/3/2008 Downgraded to Ca -- US$67,000,000 Class A-4 Fourth Priority Senior Secured Floating Rate Notes Due 2052, Downgraded to C; previously on 6/3/2008 Downgraded to Ca -- US$65,000,000 Class B Fifth Priority Senior Secured Floating Rate Notes Due 2052, Downgraded to C; previously on 6/3/2008 Downgraded to Ca Cookson SPC Series 2007-2LAC -- EUR10,000,000 Series 2007-2LAC Notes Due 2046, Downgraded to C; previously on 5/8/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade HG-COLL 2007-1 Ltd. -- US$830,000,000 Class A-1LA Floating Rate Notes Due April 2052, Downgraded to C; previously on 12/11/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$95,000,000 Class A-1LB Floating Rate Notes Due April 2052, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$37,000,000 Class A-2L Floating Rate Notes Due April 2052, Downgraded to C; previously on 5/9/2008 Downgraded to Ca Istana High Grade ABS CDO I, Ltd. -- US$600,000,000 Class A-1 First Priority Delayed Draw Floating Rate Notes Due 2048, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Ixion 2007 Series 31 -- US$13,000,000 Floating Rate Portfolio Credit Linked Secured Notes due 2037, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and Placed Under Review for Possible Downgrade Kleros Preferred Funding VIII, Ltd. -- US$2,400,000,000 Class A-1A First Priority Senior Secured Delayed Draw Floating Rate Notes Due 2052, Downgraded to Ca; previously on 12/11/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$150,000,000 Class A-1B Second Priority Senior Secured Floating Rate Notes Due 2052, Downgraded to C; previously on 12/11/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$180,000,000 Class A-2 Third Priority Senior Secured Floating Rate Notes Due 2052, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$144,000,000 Class A-3 Fourth Priority Senior Secured Floating Rate Notes Due 2052, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$52,500,000 Class B Fifth Priority Senior Secured Floating Rate Notes Due 2052, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$19,500,000 Class X Senior Secured Floating Rate Notes Due 2013, Downgraded to C; previously on 5/30/2008 Downgraded to Ca Lexington Capital Funding V Ltd. -- US$246,000,000 Class A-1 First 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$123,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$91,500,000 Class A-3 Third Priority Senior Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$42,000,000 Class B Fourth Priority Senior Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$40,000,000 Class C Fifth Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2051, Downgraded to C; previously on 3/26/2008 Downgraded to Ca -- US$28,000,000 Class D Sixth Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2051, Downgraded to C; previously on 3/26/2008 Downgraded to Ca -- US$14,225,000 Class E Seventh Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2051, Downgraded to C; previously on 3/26/2008 Downgraded to Ca Libertas Preferred Funding V, Ltd. -- US$360,000,000 Class A-1 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$30,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 5/23/2008 Downgraded to Ca -- US$66,000,000 Class A-3 Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 5/23/2008 Downgraded to Ca -- US$40,500,000 Class B Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 5/23/2008 Downgraded to Ca -- US$31,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes Due 2047, Downgraded to C; previously on 5/23/2008 Downgraded to Ca -- US$23,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes Due 2047, Downgraded to C; previously on 5/23/2008 Downgraded to Ca -- US$22,000,000 Class E Mezzanine Secured Deferrable Floating Rate Notes Due 2047, Downgraded to C; previously on 5/23/2008 Downgraded to Ca -- US$20,000,000 Class X Senior Secured Floating Rate Notes Due 2013, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Magnolia Finance II plc., Series 2006-5 -- Series 2006-5A, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade -- Series 2006-5B, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Series 2006-5CE, Downgraded to C; previously on 4/30/2008 Downgraded to Ca -- Series 2006-5CG, Downgraded to C; previously on 4/30/2008 Downgraded to Ca -- Series 2006-5CU, Downgraded to C; previously on 4/30/2008 Downgraded to Ca Parapet 2006 Ltd. -- US$137,500,000 Class A Floating Rate Notes Due 2045, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade Ridgeway Court Funding I, Ltd. -- Class A1M Notes, Downgraded to C; previously on 12/16/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- Class A1Q Notes, Downgraded to C; previously on 12/16/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- Class A2 Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- Class A3 Notes, Downgraded to C; previously on 2/5/2008 Downgraded to Ca Silver Elms CDO II Limited -- US$873,600,000 Class A-1M Floating Rate Senior Secured Notes due 2051, Downgraded to C; previously on 12/11/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$151,400,000 Class A-1Q Floating Rate Senior Secured Notes due 2051, Downgraded to C; previously on 12/11/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$87,500,000 Class A-2 Floating Rate Senior Secured Notes due 2051, Downgraded to C; previously on 5/29/2008 Downgraded to Ca -- US$74,000,000 Class A-3 Floating Rate Senior Secured Notes due 2051, Downgraded to C; previously on 5/29/2008 Downgraded to Ca -- US$28,000,000 Class B Floating Rate Subordinate Secured Notes due 2051, Downgraded to C; previously on 5/29/2008 Downgraded to Ca South Coast Funding IX Ltd -- $250,000,000 Class A-1B First Priority Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 5/18/2008 Downgraded to Ca -- $47,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 5/18/2008 Downgraded to Ca -- $37,500,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 5/18/2008 Downgraded to Ca -- $34,500,000 Class C Fourth Priority Mezzanine Secured Floating Rate Deferrable Notes Due 2047, Downgraded to C; previously on 3/26/2008 Downgraded to Ca -- Super Senior Swap, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade STACK 2007-2 Ltd. -- US$330,000,000 Class A-1 Senior Variable Funding Floating Rate Notes Due 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$138,000,000 Class A-2 Floating Rate Notes Due 2047, Downgraded to C; previously on 6/9/2008 Downgraded to Ca -- US$46,800,000 Class B Floating Rate Notes Due 2047, Downgraded to C; previously on 6/9/2008 Downgraded to Ca Toro ABS CDO II, LLC -- US$885,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes Due June 2043, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$56,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due June 2043, Downgraded to C; previously on 7/9/2008 Downgraded to Ca -- US$24,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due June 2043, Downgraded to C; previously on 5/9/2008 Downgraded to Ca -- US$7,000,000 Class C Fourth Priority Senior Secured Floating Rate Notes Due June 2043, Downgraded to C; previously on 5/9/2008 Downgraded to Ca UBS Euro Note Programme AMPST 2007-1 -- US$20,000,000 Floating Rate Credit Linked Notes due 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade West Coast Funding I, Ltd. -- US$ 1,187,950,000 Class A-1a Floating Rate Notes Due 2041, Downgraded to Ca; previously on 12/16/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- US$ 1,187,950,000 Class A-1b Floating Rate Notes Due 2041, Downgraded to Ca; previously on 12/16/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- US$100,000 Class A-1v Floating Rate Notes Due 2041, Downgraded to Ca; previously on 12/16/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- US$81,000,000 Class A-2 Floating Rate Notes Due 2041, Downgraded to C; previously on 12/16/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- US$81,000,000 Class A-3 Floating Rate Notes Due 2041, Downgraded to C; previously on 12/16/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- US$54,000,000 Class B Floating Rate Notes Due 2041, Downgraded to C; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$60,750,000 Class C Deferrable Floating Rate Notes Due 2041, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$33,750,000 Class D Deferrable Floating Rate Notes Due 2041, Downgraded to C; previously on 5/8/2008 Downgraded to Caa3 and Placed Under Review for Possible Downgrade -- US$10,000,000 Combination Notes Due 2041, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade * Moody's Downgrades Ratings on 122 Notes by 41 CDO Transactions ---------------------------------------------------------------- Moody's Investors Service has downgraded its ratings of 122 Notes issued by 41 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 as described below. Some of the deals have also experienced an Event of Default. According to a 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 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: -- Moody's Approach to Rating SF CDOs (March 2009) The rating actions are: Abacus 2006-12, Inc. -- US$95,000,000 Class A-1 Floating Rate Notes, Due 2038, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$44,900,000 Class A-2 Floating Rate Notes, Due 2038, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$20,100,000 Class B Floating Rate Notes, Due 2038, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$37,500,000 Class C Floating Rate Notes, Due 2038, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$8,750,000 Class D Floating Rate Notes, Due 2038, Downgraded to C; previously on 5/30/2008 Downgraded to Ca ABSpoke 2006-IIC Segregated Portfolio -- US$15,000,000 Variable Floating Rate Notes Due 2037, Downgraded to C; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade ABSpoke 2006-IIIC Segregated Portfolio -- US$30,000,000 Variable Floating Rate Notes Due 2045, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade ART CDO 2006-1, Ltd. -- US$865,000,000 Class A1S Senior Floating Rate Notes Due August 2046, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Baldwin 2006-II Segregated Portfolio -- US$25,500,000 Variable Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Baldwin 2006-III Segregated Portfolio -- US$18,000,000 Variable Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Baldwin 2006-IV Segregated Portfolio -- US$51,000,000 Variable Floating Rate Notes Due 2038, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Baldwin 2006-V Segregated Portfolio -- US$7,000,000 Variable Floating Rate Notes Due 2046, Downgraded to C; previously on 7/29/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Baldwin 2006-VI Segregated Portfolio -- US$15,000,000 Class A Variable Floating Rate Notes Due 2046, Downgraded to C; previously on 7/29/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Baldwin 2006-VII Segregated Portfolio -- Class A-1 Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class A-2 Notes, Downgraded to C; previously on 7/29/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Citius I Funding, Ltd. -- Class A LT, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- Class A ST, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- Class A-1, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- Class A-2, Downgraded to C; previously on 4/23/2008 Downgraded to Ca -- Class B, Downgraded to C; previously on 4/3/2008 Downgraded to Ca -- Class C, Downgraded to C; previously on 4/3/2008 Downgraded to Ca -- Class D, Downgraded to C; previously on 4/3/2008 Downgraded to Ca -- Class E, Downgraded to C; previously on 4/3/2008 Downgraded to Ca Coldwater CDO, Ltd. -- US$290,000,000 Class A-1 Floating Rate Senior Secured Notes due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- U.S. 32,000,000 Class A-2 Floating Rate Senior Secured Notes due 2046, Downgraded to C; previously on 5/8/2008 Downgraded to Ca -- US$29,000,000 Class A-3 Floating Rate Senior Secured Notes due 2046, Downgraded to C; previously on 5/8/2008 Downgraded to Ca Diversey Harbor ABS CDO, Ltd. -- US$1,250,000,000 Class A-1M Floating Rate Senior Secured Notes due 2046, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$675,000,000 Class A-1Q Floating Rate Senior Senior Secured Notes due 2046, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade E*TRADE ABS CDO V, Ltd. -- US$30,000,000 Class A-1J Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 5/18/2008 Downgraded to Ca -- US$201,000,000 Class A-1S 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$25,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 5/18/2008 Downgraded to Ca Eirles Two Limited Series 242 -- Class B, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Eirles Two Limited Series 243 -- Class B, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Eirles Two Limited Series 244 -- Class B, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Eirles Two Limited Series 245 -- Class B, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Eirles Two Limited Series 247 -- Class B, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade FAB US 2006-1 PLC -- US$215,800,000 Class A1 Floating Rate Notes Due 2047, Downgraded to Ca; previously on 12/22/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- US$59,000,000 Class A2 Floating Rate Notes Due 2047, Downgraded to C; previously on 12/22/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$31,000,000 Class A3 Floating Rate Notes Due 2047, Downgraded to C; previously on 5/19/2008 Downgraded to Ca -- US$8,650,000 Class S Floating Rate Notes Due 2015, Downgraded to Ca; previously on 12/22/2008 Downgraded to B2 and remains on Review for Possible Downgrade Grand Avenue CDO II, Ltd. -- US$1,128,000,000 Class A-1A Floating Rate Notes Due 2046, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$150,000,000 Class A-1B Floating Rate Notes Due 2046, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$42,000,000 Class A-2 Floating Rate Notes Due 2046, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$61,500,000 Class A-3 Floating Rate Notes Due 2046, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$66,000,000 Class B Floating Rate Notes Due 2046, Downgraded to C; previously on 6/2/2008 Downgraded to Ca IMAC CDO 2006-1, Ltd. -- US$75,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes due 2051, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$110,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due 2051, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$16,000,000 Class B Third Priority Senior Secured Floating Rate Notes due 2051, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$35,000,000 Class C Fourth Priority Senior Secured Floating Rate Notes due 2051, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$5,500,000 Class D Fifth Priority Senior Secured Floating Rate Notes due 2051, Downgraded to C; previously on 5/30/2008 Downgraded to Ca IXIS ABS CDO 3 Ltd. -- Class A-1LA Investor Swap, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$76,000,000 Class A-1LB Floating Rate Notes Due December 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$28,000,000 Class A-2L Floating Rate Notes Due December 2046, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$30,000,000 Class A-3L Floating Rate Notes Due December 2046, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$22,000,000 Class B-1L Floating Rate Notes Due December 2046, Downgraded to C; previously on 3/26/2008 Downgraded to Ca -- US$8,000,000 Class B-2L Floating Rate Notes Due December 2046, Downgraded to C; previously on 11/6/2007 Downgraded to Ca -- US$16,000,000 Class X Notes Due December 2013, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Jupiter High-Grade CDO IV, Ltd. -- A-1A, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- A-1B, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- A-2, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- B, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- C, Downgraded to C; previously on 6/2/2008 Downgraded to Ca Klio III Funding, Ltd. -- US$205,000,000 Class A-1 Floating Rate Notes Due 2040, Downgraded to C; previously on 12/4/2008 Downgraded to Ca -- US$75,000,000 Class A-2 Floating Rate Subordinate Notes Due 2040, Downgraded to C; previously on 12/4/2008 Downgraded to Ca -- US$3,583,142,000 Class F Float Rate Funded Note Due 11/1/2040, Downgraded to Ca; previously on 12/17/2008 Downgraded to B2 and remains on Review for Possible Downgrade LOCHSONG, LTD. -- US$ 1,032,000,000 Notional Outstanding Amount Senior Swap, Downgraded to C; previously on 9/3/2008 Downgraded to Ca -- US$ 18,000,000 Class A Floating Rate Notes Due 2046, Downgraded to C; previously on 9/3/2008 Downgraded to Ca -- US$ 12,100,000 Class S Floating Rate Notes Due 2010, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade Madaket Funding I Ltd -- US$500,000,000 Class A1M Floating Rate Notes Due 2046, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$300,000,000 Class A1Q Floating Rate Notes Due 2046, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$50,000,000 Class A2 Floating Rate Notes Due 2046, Downgraded to C; previously on 10/17/2008 Downgraded to Ca -- US$80,000,000 Class A3 Floating Rate Notes Due 2046, Downgraded to C; previously on 10/17/2008 Downgraded to Ca -- US$28,000,000 Class A4 Floating Rate Notes Due 2046, Downgraded to C; previously on 10/17/2008 Downgraded to Ca Magnolia Finance II Series 2006-8B -- US$17,500,000 ABS Portfolio Variable Rate Notes due November 2044, Downgraded to C; previously on 4/24/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Mercury CDO III, Ltd. -- US$900,000,000 Class A-1 First Priority Delayed Draw Senior Secured Floating Rate Notes Due 2048, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$30,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2048, Downgraded to C; previously on 6/9/2008 Downgraded to Ca -- US$40,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2048, Downgraded to C; previously on 6/9/2008 Downgraded to Ca Millstone III CDO, Ltd. -- US$2,000,000,000 Class A-1A Floating Rate Term Notes Due 2046, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$71,500,000 Class A-1B Floating Rate Delayed Draw Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$70,000,000 Class A-2 Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- U.S$20,000,000 Class B Floating Rate Notes Due 2046, Downgraded to C; previously on 5/30/2008 Downgraded to Ca Montauk Point CDO II, Ltd -- Class A-1J, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- Class A-1S, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class A-2, Downgraded to C; previously on 4/24/2008 Downgraded to Ca -- Class A-3, Downgraded to C; previously on 4/24/2008 Downgraded to Ca Monterey CDO, Ltd. -- US$240,000,000 Class A-1A First Priority Senior Secured Floating Rate Delayed Draw Notes Due September 2042, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$560,000,000 Class A-1B First Priority Senior Secured Floating Rate Notes Due September 2042, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$80,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due September 2042, Downgraded to C; previously on 10/28/2008 Downgraded to Ca -- US$51,000,000 Class A-3 Third Priority Senior Secured Floating Rate Notes Due September 2042, Downgraded to C; previously on 10/28/2008 Downgraded to Ca -- US$34,000,000 Class B Fourth Priority Senior Secured Floating Rate Notes Due September 2042, Downgraded to C; previously on 6/9/2008 Downgraded to Ca -- US$7,000,000 Class C Fifth Priority Senior Secured Floating Rate Notes Due September 2042, Downgraded to C; previously on 6/9/2008 Downgraded to Ca Mount Skylight CDO Ltd. -- $890,000,000 Class A-1 Floating Rate Notes Due Nov, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- $51,500,000 Class A-2 Floating Rate Notes Due Nove, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- $30,000,000 Class B Floating Rate Notes Due Novemb, Downgraded to C; previously on 12/16/2008 Downgraded to Ca Nassau CDO I, Ltd. -- US$600,000,000 Class A-1A First Priority Senior Secured Delayed Draw Floating Rate Notes Due 2051, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$600,000,000 Class A-1B First Priority 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$120,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 6/5/2008 Downgraded to Ca -- US$111,000,000 Class A-3 Third Priority Senior Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 6/5/2008 Downgraded to Ca -- US$36,000,000 Class B Fourth Priority Senior Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 6/5/2008 Downgraded to Ca Neptune CDO III, Ltd. -- Class A-1, Downgraded to C; previously on 10/6/2008 Downgraded to Ca -- Class A-2, Downgraded to C; previously on 10/6/2008 Downgraded to Ca -- Class A-3, Downgraded to C; previously on 10/6/2008 Downgraded to Ca -- Class S, Downgraded to C; previously on 12/16/2008 Downgraded to B1 and remains on Review for Possible Downgrade NORTH COVE CDO III, LTD. -- Unfunded supersenior tranche, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Pacific Pinnacle CDO Ltd -- Class X Interest Only Notes Due January 2019, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$800,000,000 Class A-1LA Floating Rate Notes Due January 2052, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Static Residential CDO 2006-B Ltd. -- Class A-1(a) Floating Rate Notes, due 2037, Downgraded to C; previously on 6/9/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class A-1(b) Floating Rate Notes, due 2037, Downgraded to C; previously on 6/9/2008 Downgraded to Ca -- Class A-2 Floating Rate Notes, due 2037, Downgraded to C; previously on 6/9/2008 Downgraded to Ca -- Class B-1 Floating Rate Notes, due 2037, Downgraded to C; previously on 6/9/2008 Downgraded to Ca -- Class B-2 Deferrable Interest Floating Rate Notes, due 2037, Downgraded to C; previously on 4/9/2008 Downgraded to Ca Tierra Alta Funding I, Ltd. -- US$90,000,000 Class A1 Floating Rate Notes Due 2046, Downgraded to C; previously on 10/28/2008 Downgraded to Ca -- US$155,000,000 Class A2 Floating Rate Notes Due 2046, Downgraded to C; previously on 10/28/2008 Downgraded to Ca -- US$47,600,000 Class A3A Floating Rate Notes Due 2046, Downgraded to C; previously on 10/28/2008 Downgraded to Ca -- US$2,400,000 Class A3B Floating Rate Notes Due 2046, Downgraded to C; previously on 10/28/2008 Downgraded to Ca -- US$6,000,000 Class Q Combination Notes Due 2046, Downgraded to C; previously on 10/28/2008 Downgraded to Ca -- Class F Notes, Downgraded to Ca; previously on 12/16/2008 Downgraded to B2 and remains on Review for Possible Downgrade UBS CDS Ref. #37395430 -- First Loss Tranche, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Vertical ABS CDO 2006-2, Ltd. -- Class A1, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- Class A2, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- Class A3, Downgraded to C; previously on 5/9/2008 Downgraded to Ca -- Class A-S1VF, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade * Moody's Downgrades Ratings on 99 Notes by 38 CDO Transactions --------------------------------------------------------------- Moody's Investors Service has downgraded its ratings of 99 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 as described below. 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 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: -- Moody's Approach to Rating SF CDOs (March 2009) The rating actions are: ABACUS 2006-15, Ltd. -- US$70,000,000 Class A-2 Variable Rate Notes Due 2045, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Abacus 2006-HGS1, Ltd. -- US$99,000,000 Class A-1 Variable Rate Notes Due 2039, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade ABSpoke 2006-IIIA Segregated Portfolio -- US$20,000,000 Variable Floating Rate Notes Due 2045, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade ABSpoke 2006-IIIB Segregated Portfolio -- US$30,000,000 Variable Floating Rate Notes Due 2045, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Acacia CDO 11, Ltd. -- US$398,000,000 Class A First 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$35,000,000 Class B Second Priority Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 7/17/2008 Downgraded to Ca ARLO VI Limited 2006-3 (SABS) -- US$ 10,000,000 Initial Tranche Notional Amount Credit Default Swap with Barclays Bank plc, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade ARLO VI Limited 2006-4 (SABS) -- US$15,000,000 Variable Secured Limited Recourse Credit- Linked Notes due 2040, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade ARLO VI Limited 2006-5 (SABS) -- US$15,000,000 Variable Secured Limited Recourse Credit- Linked Notes due 2040, Downgraded to C; previously on 4/24/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade ARLO VI Limited Series 2006 (Zander II) -- US$40,000,000 Variable Secured Limited Recourse Credit- Linked Notes due May 3, 2046, Downgraded to C; previously on 5/9/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade ARLO VI Limited Series 2006 (Zander III) -- US$19,000,000 Variable Secured Limited Recourse Credit- Linked Notes due May 3, 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Barramundi CDO I Ltd. -- US$540,400,000 Class A-1 Senior Secured Floating Rate Notes Due December 2051, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$56,000,000 Class A-2 Senior Secured Floating Rate Notes Due December 2051, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- US$76,000,000 Class B Senior Secured Floating Rate Notes Due December 2051, Downgraded to C; previously on 12/16/2008 Downgraded to Ca Blue Edge ABS CDO Ltd. -- US$1,076,250,000 Class A-1 Floating Rate Notes Due 2050, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$50,000,000 Class A-2 Floating Rate Notes Due 2050, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$61,875,000 Class A-3 Floating Rate Notes Due 2050, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$8,322,222 Class B-1 Floating Rate Notes Due 2050, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$4,177,778 Class B-2 Fixed Rate Notes Due 2050, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$6,527,778 Class II Combination Notes Due 2050, Downgraded to C; previously on 6/2/2008 Downgraded to Ca Buchanan 2006-I Segregated Portfolio -- US$115,000,000 Variable Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Buchanan 2006-II Segregated Portfolio -- US$72,000,000 Variable Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Buchanan 2006-III Segregated Portfolio -- US$10,000,000 Variable Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Buchanan 2006-IV Segregated Portfolio -- US$4,000,000 Variable Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Buckingham CDO III Ltd. -- US$1,350,000,000 Class A LT Notes Due 2051, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$1,350,000,000 Class A ST Notes Due 2051, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$67,500,000 Class B Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 5/8/2008 Downgraded to Ca -- US$37,500,000 Class C Secured Floating Rate Notes Due 2051, Downgraded to C; previously on 5/8/2008 Downgraded to Ca Caldecott CDO 1, Ltd. -- US$200,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2048, Downgraded to C; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$125,000,00 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2048, Downgraded to C; previously on 6/2/2008 Downgraded to Ca CAMBER 5 Ltd. -- Class A-1, Downgraded to C; previously on 10/28/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class A-2, Downgraded to C; previously on 10/28/2008 Downgraded to Ca Citius II Funding, Ltd. -- US$95,000,000 Class A Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 4/23/2008 Downgraded to Ca -- US$50,000,000 Class B Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 4/23/2008 Downgraded to Ca -- US$1,800,000,000 aggregate Principal Component of commercial paper notes/Class A ST Notes Due 2047, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade Grand Avenue CDO I, Ltd. -- Class A-1A Floating Rate Term Notes, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class A-1B Floating Rate Delayed Draw Notes, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class A-2 Floating Rate Notes, Downgraded to C; previously on 12/17/2008 Downgraded to Ca -- Class B Floating Rate Notes, Downgraded to C; previously on 5/23/2008 Downgraded to Ca GSC ABS CDO 2005-1, LTD. -- A1J, Downgraded to C; previously on 10/9/2008 Downgraded to Ca -- A1S, Downgraded to C; previously on 10/9/2008 Downgraded to Ca -- A2, Downgraded to C; previously on 10/9/2008 Downgraded to Ca -- Senior Swap, Downgraded to C; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade Hudson Mezzanine Funding 2006-2, Ltd. -- US$240,000,000 Class A-1 Floating Rate Notes due 2042, Downgraded to C; previously on 9/25/2008 Downgraded to Ca Ixion plc -- Series 1 HELD 2006 - 1 US$242,000,000 Floating Rate Credit Linked Secured Notes due 2041, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Series 2 HELD 2006 - 1 US$80,000,000 Floating Rate Credit Linked Secured Notes due 2041, Downgraded to C; previously on 4/23/2008 Downgraded to Ca -- Series 3 HELD 2006 - 1 US$15,000,000 Floating Rate Credit Linked Secured Notes due 2041, Downgraded to C; previously on 4/23/2008 Downgraded to Ca Ixion plc 2006-11 Series 16 -- US$15,000,000 Floating Rate Portfolio Credit Linked Secured Notes due 2037, Downgraded to C; previously on 4/24/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Jupiter High-Grade CDO VI, Ltd. -- US$750,000,000 Class A-1 First Priority Senior Secured 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$525,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2053, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$75,000,000 Class A-3 Third Priority Senior Secured Floating Rate Notes Due 2053, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$85,500,000 Class A-4 Fourth Priority Senior Secured Floating Rate Notes Due 2053, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$17,000,000 Class B Fifth Priority Senior Secured Floating Rate Notes Due 2053, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$12,500,000 Class C Sixth Priority Senior Secured Floating Rate Notes Due 2053, Downgraded to C; previously on 6/2/2008 Downgraded to Ca Lexington Capital Funding III Ltd. -- US$480,000,000 Class A-1 First Priority Senior Floating Rate Notes Due April 2047, Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$240,000,000 Class A-2 Second Priority Senior Floating Rate Notes Due April 2047, Downgraded to C; previously on 5/16/2008 Downgraded to Ca -- US$160,500,000 Class A-3 Third Priority Senior Floating Rate Notes Due April 2047, Downgraded to C; previously on 5/16/2008 Downgraded to Ca -- US$70,725,000 Class B Fourth Priority Senior Floating Rate Notes Due April 2047, Downgraded to C; previously on 5/16/2008 Downgraded to Ca -- US$50,200,000 Class C Fifth Priority Senior Floating Rate Notes Due April 2047, Downgraded to C; previously on 5/16/2008 Downgraded to Ca -- US$40,000,000 Class D Sixth Priority Mezzanine Deferrable Floating Rate Notes Due April 2047, Downgraded to C; previously on 3/26/2008 Downgraded to Ca -- US$35,650,000 Class E Seventh Priority Mezzanine Deferrable Floating Rate Notes Due April 2047, Downgraded to C; previously on 3/26/2008 Downgraded to Ca -- US$47,850,000 Class F Eighth Priority Mezzanine Deferrable Floating Rate Notes Due April 2047, Downgraded to C; previously on 3/26/2008 Downgraded to Ca -- US$12,000,000 Class G Ninth Priority Mezzanine Deferrable Floating Rate Notes Due April 2047, Downgraded to C; previously on 3/26/2008 Downgraded to Ca -- US$35,250,000 Class H Tenth Priority Mezzanine Deferrable Floating Rate Notes due April 2047, Downgraded to C; previously on 3/26/2008 Downgraded to Ca LUNAR FUNDING V PLC -- Series 2006-27 Secured Floating Rate Credit-linked Notes due 2052, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Series 2006-28 Secured Floating Rate Credit-linked Notes due 2052, Downgraded to C; previously on 4/29/2008 Downgraded to Ca -- Series 2006-29 Secured Floating Rate Credit-linked Notes due 2052, Downgraded to C; previously on 4/29/2008 Downgraded to Ca Magnolia Finance II plc -- Series 2006-9A US$55,000,000 ABS Portfolio Variable Rate Notes due March 2045, Downgraded to C; previously on 4/24/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade MKP CBO V, LTD -- US$ 486,500,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due January 2046, Downgraded to C; previously on 12/17/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$ 94,500,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due January 2046, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$ 56,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due January 2046, Downgraded to C; previously on 6/18/2008 Downgraded to Ca Newbury Street CDO, Ltd. -- US$800,000,000 Class A-2 Second Priority Senior Secured Floating Rate Delayed Draw Notes Due 2053, Downgraded to C; previously on 10/6/2008 Downgraded to Ca -- US$50,625,000 Class A-3 Third Priority Senior Secured Floating Rate Notes Due 2053, Downgraded to C; previously on 10/6/2008 Downgraded to Ca -- US$59,375,000 Class A-4 Fourth Priority Senior Secured Floating Rate Notes Due 2053, Downgraded to C; previously on 10/6/2008 Downgraded to Ca -- US$48,000,000 Class B Fifth Priority Senior Secured Floating Rate Notes Due 2053, Downgraded to C; previously on 3/17/2008 Downgraded to Ca Orion 2006-2, Ltd. -- US$900,000,000 Class A-1A Senior Secured Floating Rate Variable Funding Notes Due 2051, Downgraded to C; previously on 8/26/2008 Downgraded to Ca -- US$34,000,000 Class S Senior Secured Floating Rate Notes Due 2014, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Rockville CDO I Ltd. -- US$680,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes due 2048, Downgraded to C; previously on 10/28/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Rutland Rated Investments Series 32 (Millbrook 2006-4) -- Series 32 (Millbrook 2006-4) US$42,000,000 Asset Backed Securities Class B Variable Rate Credit-Linked Notes due May 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Silver Elms CDO plc -- $490,000,000 Class A-1a Floating Rate Notes, Due 2051, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- $133,000,000 Class A-1b Delayed Draw Floating Rate Notes, Due 2051, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- $42,500,000 Class A-2 Floating Rate Notes, Due 2051, Downgraded to C; previously on 5/29/2008 Downgraded to Ca -- $40,000,000 Class A-3 Floating Rate Notes, Due 2051, Downgraded to C; previously on 5/29/2008 Downgraded to Ca -- $16,500,000 Class B Floating Rate Notes, Due 2051, Downgraded to C; previously on 5/29/2008 Downgraded to Ca -- $15,000,000 Combination Notes, Due 2051, Downgraded to C; previously on 5/29/2008 Downgraded to Ca Skybox CDO, Ltd. -- US$38,000,000 Class A 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 -- US$61,000,000 Class B Senior Secured Floating Rate Notes Due 2040, Downgraded to C; previously on 12/17/2008 Downgraded to Ca -- US$54,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2040, Downgraded to C; previously on 12/17/2008 Downgraded to Ca -- US$5,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2040, Downgraded to C; previously on 12/17/2008 Downgraded to Ca -- Super Senior Swap, Downgraded to C; previously on 12/17/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade WEST TRADE FUNDING CDO I LTD. -- US$1,350,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes due June 2044, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$60,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due June 2044, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- US$52,500,000 Class B Third Priority Senior Secured Floating Rate Notes due June 2044, Downgraded to C; previously on 5/30/2008 Downgraded to Ca West Trade Funding CDO II -- US$900,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes due 2051, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$375,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due 2051, Downgraded to C; previously on 5/29/2008 Downgraded to Ca -- US$50,000,000 Class A-3 Third Priority Senior Secured Floating Rate Notes due 2051, Downgraded to C; previously on 5/29/2008 Downgraded to Ca Ltd. -- US$103,000,000 Class A-4 Fourth Priority Senior Secured Floating Rate Notes due 2051, Downgraded to C; previously on 5/29/2008 Downgraded to Ca -- US$26,000,000 Class B Fifth Priority Senior Secured Floating Rate Notes due 2051, Downgraded to C; previously on 5/29/2008 Downgraded to Ca -- US$11,000,000 Class C Sixth Priority Senior Secured Floating Rate Notes due 2051, Downgraded to C; previously on 5/29/2008 Downgraded to Ca * Moody's Downgrades Ratings on 126 Notes by 42 CDO Transactions ---------------------------------------------------------------- Moody's Investors Service has downgraded its ratings of 126 Notes issued by 42 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 as described below. 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 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: -- Moody's Approach to Rating SF CDOs (March 2009) The rating actions are: ABSpoke 2005-IC, Ltd. -- Fixed Rate Notes due 2042, Downgraded to Ca; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade ABSpoke 2005-IC2, Ltd. -- Variable Floating Rate Notes, Downgraded to Ca; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade ABSpoke 2005-IVA, Ltd. -- Variable Floating Rate Notes due 2039, Downgraded to Ca; previously on 12/17/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade ACA ABS 2003-1, Limited -- US$15,000,000 Class B Floating Rate Term Notes, due June 10, 2038, Downgraded to C; previously on 5/8/2008 Downgraded to Ca -- US$30,000,000 Class A-M Foating Rate Term Notes, due June 10, 2038, Downgraded to C; previously on 5/8/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$80,000,000 Class A-R Floating Rate Revolving Notes, due June 10, 2038, Downgraded to Ca; previously on 12/23/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$210,000,000 Class A-T Floating Rate Term Notes, due June 10, 2038, Downgraded to Ca; previously on 12/23/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade Alexander Park CDO I, Ltd. -- Class A-1 Floating Rate Term Notes, Due 2039, Downgraded to B3; previously on 12/22/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade -- Class A-2 Floating Rate Term Notes, Due 2039, Downgraded to Ca; previously on 12/22/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class B Floating Rate Term Notes, Due 2039, Downgraded to C; previously on 11/20/2008 Downgraded to Ca -- Class C Fixed Rate Term Notes, Due 2039, Downgraded to C; previously on 11/20/2008 Downgraded to Ca ARLO VI Limited Series 2006 (Zander I) -- Zander I, Downgraded to C; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade Belle Haven ABS CDO 2005-1, Ltd. -- Class A-1, Downgraded to Ca; previously on 12/17/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- Class A-2, Downgraded to C; previously on 10/31/2008 Downgraded to Ca -- Class B, Downgraded to C; previously on 10/31/2008 Downgraded to Ca Belle Haven ABS CDO 2006-1, Ltd. -- Class A-1, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade BFC Genesee CDO Ltd. -- Class A-1LA, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class A-1LB, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- Class A2L, Downgraded to C; previously on 5/29/2008 Downgraded to Ca Blue Heron Funding V Ltd. -- US$85,000,000 Class B Blue Heron Funding V Cash Flow Contingent Interest Notes, Series 2003-1, due February 25, 2041, Downgraded to Ca; previously on 12/23/2008 Downgraded to Caa3 and Placed Under Review for Possible Downgrade C-BASS CBO XVI Ltd. -- Class A, Downgraded to C; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- Class B, Downgraded to C; previously on 5/23/2008 Downgraded to Ca Commodore CDO V, Ltd. -- US$75,000,000 Class A-1A First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2047, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$225,000,000 Class A-1B 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$50,000,000 Class A-2 Third Priority Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 6/2/2008 Downgraded to -- US$25,000,000 Class A-3 Fourth Priority Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 6/2/2008 Downgraded to Ca -- US$70,000,000 Class B Fifth Priority Senior Secured Floating Rate Notes Due 2047, Downgraded to C; previously on 6/2/2008 Downgraded to Ca Dallaglio CDO 2005-2 LTD -- Class B Floating Rate Notes, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class C Floating Rate Notes, Downgraded to C; previously on 12/17/2008 Downgraded to Ca -- Class D Floating Rate Notes, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 Duke Funding VII, Ltd -- US$382,000,000 Class I-A1 Senior Secured Floating Rate Notes Due 2034, Downgraded to Caa2; previously on 12/22/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- US$129,900,000 Class I-A2 Senior Secured Floating Rate Notes Due 2034, Downgraded to Caa2; previously on 12/22/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- US$100,000 Class I-A2v Senior Secured Floating Rate Notes Due 2034, Downgraded to Caa2; previously on 12/22/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade -- U.S. 98,500,000 Class II Senior Secured Floating Rate Notes Due 2039, Downgraded to Caa3; previously on 12/22/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$61,000,000 Class III-A 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$3,500,000 Class III-B Senior Secured Fixed Rate Notes Due 2039, Downgraded to C; previously on 12/22/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$39,500,000 Class IV-A Mezzanine Secured Floating Rate Notes Due 2039, Downgraded to C; previously on 4/24/2008 Downgraded to Ca -- US$5,500,000 Class IV-B Mezzanine Secured Fixed Rate Notes Due 2039, Downgraded to C; previously on 4/24/2008 Downgraded to Ca -- US$10,000,000 Class X Combination Notes Due 2039, Downgraded to Caa3; previously on 12/22/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$4,000,000 Class Y Combination Notes Due 2039, Downgraded to Ca; previously on 12/22/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$7,000,000 Class Z Combination Notes Due 2039, Downgraded to C; previously on 12/22/2008 Downgraded to Ca Duke Funding X, Ltd. -- Class A1 Senior Secured Floating Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- Class A2 Senior Secured Floating Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- Class A3 Senior Deferrable Interest Floating Rate Notes, Downgraded to C; previously on 5/1/2008 Downgraded to Ca -- Senior Swap, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade Duke Funding XI, Ltd. -- $132,000,000 Class A-1E Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- $88,000,000 Class A-2E Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- $48,000,000 Class A-3E Deferrable Interest Floating Rate Notes Due 2046, Downgraded to C; previously on 5/1/2008 Downgraded to Ca -- $67,000,000 Class B-1E Deferrable Interest Floating Rate Notes Due 2046, Downgraded to C; previously on 5/1/2008 Downgraded to Ca -- $704,000,000 Senior Swap, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- $33,000,000 Class X Floating Rate Notes Due 2013, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade Fox Trot CDO Ltd. -- Class A, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- Class B, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Galleria CDO IV, Ltd. -- $160,500,000 Class A-1 Senior Secured Floating Rate Revolving Notes, Due 2034, Downgraded to Caa3; previously on 5/18/2008 Downgraded to Caa1 and Placed Under Review for Possible Downgrade -- $160,500,00 Class A-2 Senior Secured Floating Rate Revolving Notes, Due 2034, Downgraded to Caa3; previously on 5/18/2008 Downgraded to Caa1 and Placed Under Review for Possible Downgrade Gemstone CDO IV Ltd. -- Class A-1 Floating Rate Notes Due February 2041, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class A-2 Floating Rate Notes Due February 2041, Downgraded to C; previously on 10/1/2008 Downgraded to Ca -- Class A-3 Floating Rate Notes Due February 2041, Downgraded to C; previously on 10/1/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class B Floating Rate Notes Due February 2041, Downgraded to C; previously on 10/1/2008 Downgraded to Ca Ipswich Street CDO, LLC -- US$1,530,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes, Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$60,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- US$62,000,000 Class B Third Priority Senior Secured Floating Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Ca Ischus CDO II, Ltd. -- US$214,000,000 Class A-1A First Priority Senior Secured Floating Rate Notes Due 2040 (the " Class A-1A Notes"), Downgraded to Ca; previously on 12/17/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$50,000,000 Class A-1B First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2040 (the "Class A-1B Notes"), Downgraded to Ca; previously on 12/17/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$28,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2040 (the "Class A-2 Notes"), Downgraded to C; previously on 10/28/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$55,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2040 (the "Class B Notes"), Downgraded to C; previously on 10/28/2008 Downgraded to Ca Kenmare 2005-I, Ltd. -- Variable Floating Rate Notes due 2048, Downgraded to C; previously on 12/17/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade Kent Funding, Ltd. -- Class A-1 Notes, Downgraded to Ca; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade -- Class A-2 Notes, Downgraded to C; previously on 10/28/2008 Downgraded to Caa3 and Placed Under Review for Possible Downgrade -- Funding Notes, Downgraded to Ca; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade McKinley II Funding, Ltd. -- US$71,000,000 Class A-1 Floating Rate Notes Due 2045, Downgraded to Ca; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$17,500,000 Class A-2 Floating Rate Notes Due 2045, Downgraded to C; previously on 7/9/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$10,000,000 Class A-3A Pass-Through Notes Due 2045, Downgraded to C; previously on 7/9/2008 Downgraded to Ca -- US$15,000,000 Class A-3B Pass-Through Notes Due 2045, Downgraded to C; previously on 7/9/2008 Downgraded to Ca MID OCEAN CBO 2000-1 LTD. -- Class A-1L Floating Rate Notes, Downgraded to Caa3; previously on 5/30/2008 Downgraded to Caa2 and Placed Under Review for Possible Downgrade -- Class A-2 7.7254% Notes, Downgraded to C; previously on 4/7/2008 Downgraded to Ca -- Class A-2L Floating Rate Notes, Downgraded to C; previously on 4/7/2008 Downgraded to Ca Mid Ocean CBO 2001-1 Ltd. -- Class A-1 6.5563% Notes Due November 2036, Downgraded to Caa3; previously on 6/2/2008 Downgraded to Caa2 and Placed Under Review for Possible Downgrade -- Class A-1L Floating Rate Notes Due November 2036, Downgraded to Caa3; previously on 6/2/2008 Downgraded to Caa2 and Placed Under Review for Possible Downgrade -- Class A-2L Floating Rate Notes Due November 2036, Downgraded to C; previously on 12/27/2007 Downgraded to Ca Millstone Funding Ltd. -- Cl. A-1, Downgraded to Ca; previously on 12/22/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- Cl. A-2, Downgraded to C; previously on 12/22/2008 Downgraded to Ca Millstone II CDO Ltd. -- Class A-1M, Downgraded to Ca; previously on 10/20/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class A-1Q, Downgraded to Ca; previously on 10/20/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class A-2, Downgraded to C; previously on 10/20/2008 Downgraded to Ca -- Class B, Downgraded to C; previously on 10/20/2008 Downgraded to Ca MKP CBO I, Ltd./MKP CBO Delaware Corp. -- Class A-1L Floating Rate Notes Due February 2036, Downgraded to Ca; previously on 6/25/2007 Downgraded to Caa1 -- Class A-2L Floating Rate Notes February 2036, Downgraded to C; previously on 7/27/2006 Downgraded to Ca Montauk Point CDO, Ltd. -- Class A-1 First Priority Senior Secured Floating Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- Class A-2 Second Priority Senior Secured Floating Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- Class B Third Priority Senior Secured Floating Rate Notes, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- Class C Fourth Priority Senior Secured Floating Rate Notes, Downgraded to C; previously on 5/30/2008 Downgraded to Ca Orchid Structured Finance CDO III, Inc. -- US$350,000,000 Class A-1 First 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$65,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded to Ca -- US$40,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2046, Downgraded to C; previously on 5/30/2008 Downgraded to Ca Pillars CDO I Transaction -- Class A Tranche, Downgraded to Ca; previously on 12/22/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade Pinnacle Point Funding Ltd. -- Class A-1 Notes, Downgraded to C; previously on 12/22/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- Class A-2 Notes, Downgraded to C; previously on 12/22/2008 Downgraded to Ca PPM America Structured Finance CBO I Ltd. -- Class A-1 Floating Rate Senior Notes, Downgraded to Caa3; previously on 10/18/2005 Downgraded to Caa1 -- Class A-2A Fixed Rate Senior Notes, Downgraded to C; previously on 3/16/2005 Downgraded to Ca -- Class A-2B Floating Rate Senior Subordinated Notes, Downgraded to C; previously on 3/16/2005 Downgraded to Ca Pyxis Libertas 2006-11 -- US$135,000,000 Class 2006-11 Units issued by PY, Downgraded to C; previously on 12/11/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade SFA Collateralized Asset-Backed Securities 1Trust -- Class A Floating Rate Notes due 20305, Downgraded to Ca; previously on 8/16/2006 Downgraded to Caa3 -- Class B-1 Floating Rate Notes due 2035, Downgraded to C; previously on 8/16/2006 Downgraded to Ca -- Class B-2 8.575% Notes due 2035, Downgraded to C; previously on 8/16/2006 Downgraded to Ca SHERWOOD FUNDING CDO II, LTD. -- A-1, Downgraded to C; previously on 12/17/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- A-2, Downgraded to C; previously on 12/17/2008 Downgraded to Ca -- B, Downgraded to C; previously on 12/17/2008 Downgraded to Ca -- C, Downgraded to C; previously on 5/30/2008 Downgraded to Ca -- Combo Note, Downgraded to C; previously on 12/17/2008 Downgraded to Ca -- D, Downgraded to C; previously on 5/30/2008 Downgraded to Ca SUMMER STREET 2005-1, LTD. -- US$279,000,000 Class A-1 Floating Bate Senior Secured Notes due 2045, Downgraded to Ca; previously on 12/17/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- US$38, 000,000 Class A-2 Floating Rate Senior Secured Notes due 2045, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$33, 000,000 Class A-3 Floating Rate Senior Secured Notes due 2045, Downgraded to C; previously on 12/17/2008 Downgraded to Ca TABS 2005-3, Ltd. -- US$195,000,000 Class A-1 Senior Secured Floating Rate Delayed Draw Term Notes Due 2045, Downgraded to C; previously on 12/17/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$35,000,000 Class A-2 Senior Secured Floating Rate Term Notes Due 2045, Downgraded to C; previously on 12/17/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$33,000,000 Class B Senior Secured Floating Rate Term Notes Due 2045, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade TOPANGA CDO, LTD. -- US$49,000,000 Class A-1 Floating Rate Senior Secured Notes Due 2045, Downgraded to Ca; previously on 12/16/2008 Downgraded to B2 and remains on Review for Possible Downgrade -- US$37,000,000 Class A-2 Floating Rate Senior Secured Notes Due 2045, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- US$26,000,000 Class B Floating Rate Deferrable Subordinate Secured Notes Due 2045, Downgraded to C; previously on 5/9/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade -- US$20,000,000 Class C Floating Rate Deferrable Junior Subordinate Secured Notes Due 2045, Downgraded to C; previously on 5/9/2008 Downgraded to Ca TORO ABS CDO I, LTD. -- US$895,000,000 Class A First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2042, Downgraded to Ca; previously on 12/17/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade -- US$76,000,000 Class B Second Priority Senior Secured Floating Rate Notes Due 2042, Downgraded to C; previously on 11/21/2008 Downgraded to Ca Zenith Funding, Ltd. -- A-1, Downgraded to Ca; previously on 12/22/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade -- A-2, Downgraded to C; previously on 6/17/2008 Downgraded to Ca -- Combo Note, Downgraded to C; previously on 5/30/2008 Downgraded to Caa3 * S&P Downgrades Ratings on Four Classes of Mortgage Certs. to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings to 'D' on four classes of mortgage pass-through certificates from four U.S. residential mortgage-backed securities transactions from various issuers. One class is from a first-lien high loan-to-value transaction, two are from transactions backed by seasoned loan collateral, and the fourth is from a transaction backed by prime conforming collateral. S&P removed one of the lowered ratings from CreditWatch with negative implications. In addition, 10 ratings from Morgan Stanley Mortgage Loan Trust 2005-3AR, the prime conforming deal, remain on CreditWatch with negative implications. The downgrades reflect S&P's assessment of principal write-downs on the affected classes during recent remittance periods. S&P lowered three of the ratings on the defaulted classes from the 'CCC' or 'CC' rating categories, and all four ratings were lowered from a speculative-grade rating category. S&P expects to resolve the CreditWatch placements affecting the Morgan Stanley Mortgage Loan Trust 2005-3AR transaction after S&P complete S&P's review 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. Rating Actions First Franklin Mortgage Loan Trust 2004-FFH3 Series 2004-FFH3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-7 32027NLX7 D CC MASTR Seasoned Securitization Trust 2004-1 Series 2004-1 Rating ------ Class CUSIP To From ----- ----- -- ---- C-B-5 55265WBX0 D CC Morgan Stanley Mortgage Loan Trust 2005-3AR Series 2005-3AR Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 61745M4Z3 D BB/Watch Neg RAMP Series 2004-SL2 Trust Series 2004-SL2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 7609856U0 D CCC Ratings Remaining On Creditwatch Negative Morgan Stanley Mortgage Loan Trust 2005-3AR Series 2005-3AR Class CUSIP Rating ----- ----- ------ 1-A 61745M4M2 AAA/Watch Neg 2-A-1 61745M4N0 AAA/Watch Neg 2-A-2 61745M4P5 AAA/Watch Neg 2-A-3 61745M4Q3 AAA/Watch Neg 3-A 61745M4R1 AAA/Watch Neg 4-A 61745M4S9 AAA/Watch Neg 5-A 61745M4T7 AAA/Watch Neg B-1 61745M4U4 AA/Watch Neg B-2 61745M4V2 A/Watch Neg B-3 61745M4W0 BBB/Watch Neg * S&P Downgrades Ratings on Nine Classes of Mortgage Certs. to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings to 'D' on nine classes of mortgage pass-through certificates from nine U.S. scratch-and-dent residential mortgage-backed securities transactions from various issuers. S&P removed four of the lowered ratings from CreditWatch with negative implications. Of the nine affected classes, five are from transactions backed by outside-the-guidelines collateral, and four are from transactions backed by reperforming collateral. Concurrently, S&P placed 32 other ratings on CreditWatch with negative implications, and the ratings on 26 additional classes remain on CreditWatch negative. The downgrades reflect S&P's assessment of principal write-downs on the affected classes during recent remittance periods. S&P lowered one of the nine ratings from 'CC' and lowered five 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 deems appropriate. * S&P Downgrades Ratings on 75 Classes from Seven Alt-A RMBS ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 75 classes from seven U.S. Alternative-A and prime jumbo residential mortgage-backed securities transactions issued in 2005 and 2006. S&P removed 59 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 22 classes from the same transactions and removed 18 of the affirmed ratings from CreditWatch negative. (see list). Thirty-four of the downgrades and 18 of the affirmations affected four U.S. prime jumbo transactions. The remaining rating actions affected various U.S. Alt-A RMBS transactions. To assess the creditworthiness of each class in the prime jumbo deals, S&P reviewed the individual delinquency and loss trends of the transactions for changes, if any, in risk characteristics, servicing, and the expected ability to withstand additional credit deterioration. In order to maintain a rating higher than 'B', S&P considered whether a class absorbed losses in excess of the base- case assumptions S&P made in its analysis. For example, S&P assess whether a class can withstand approximately 130% of S&P's base-case loss assumptions in order to maintain a 'BB' rating, while S&P consider whether a different class can withstand approximately 160% of S&P's base-case loss assumptions to maintain a 'BBB' rating. An affirmed 'AAA' rating reflects S&P's opinion that the class can withstand approximately 235% of S&P's base-case loss assumptions. The downgrades affecting the prime jumbo transactions 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. The collateral for these deals consists of prime jumbo fixed- and adjustable-rate mortgage loans secured by one- to four-family residential properties. The lowered ratings on the Alt-A transactions reflect S&P's belief that the amount of credit enhancement available for the downgraded classes is insufficient to cover losses at the previous rating levels. Although cumulative losses were generally low in comparison with S&P's projected lifetime losses for the transactions reviewed, S&P is projecting an increase in losses due to increases in delinquencies and the current negative condition of the housing market. Certain senior classes also benefit from senior support classes that would provide support, to a certain extent, before any applicable losses could affect the super-senior certificates. The affirmed ratings on the prime jumbo and Alt-A transactions reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. The downgrades, affirmations, and CreditWatch resolutions on both the prime jumbo and Alt-A transactions incorporate S&P's current and projected losses based on the dollar amounts of loans currently in the transactions' delinquency, foreclosure, and real estate owned pipelines, as well as S&P's projection of future defaults. S&P also incorporated cumulative losses to date in S&P's analysis when determining rating outcomes. For the Alt-A deals, subordination of the more-junior classes within each structure provides credit support for the affected transactions. The collateral backing these deals originally consisted predominantly of Alt-A, first-lien, negative- amortization residential mortgage loans secured by one- to four- family properties. For the Alt-A deals, 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 monitors these transactions to incorporate updated losses and delinquency pipeline performance to assess whether S&P believe 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 American Home Mortgage Investment Trust 2005-2 Series 2005-2 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 02660TEK5 AAA AAA/Watch Neg I-A-2 02660TEL3 AAA AAA/Watch Neg I-A-3 02660TEM1 A AAA/Watch Neg II-A-1 02660TEN9 A AAA/Watch Neg II-A-2 02660TFN8 A AAA/Watch Neg II-A-3 02660TFP3 A AAA/Watch Neg III-A 02660TEP4 A AAA/Watch Neg IV-A-1 02660TEQ2 A AAA/Watch Neg IV-A-2 02660TFG3 AAA AAA/Watch Neg IV-A-3 02660TFH1 A AAA/Watch Neg M-1 02660TEW9 B AA+/Watch Neg M-2 02660TEX7 CCC AA/Watch Neg M-3 02660TEY5 CCC AA/Watch Neg M-4 02660TEZ2 CCC AA/Watch Neg M-5 02660TFA6 CC A/Watch Neg Bear Stearns ALT-A Trust 2005-9 Series 2005-9 Rating ------ Class CUSIP To From ----- ----- -- ---- I-1A-1 07386HXN6 BBB AAA/Watch Neg I-1A-2 07386HXP1 B AAA/Watch Neg I-M-1 07386HXQ9 CC BB/Watch Neg I-M-2 07386HXR7 CC B/Watch Neg II-1A-1 07386HXZ9 BB AAA/Watch Neg II-1A-2 07386HYA3 CCC BB/Watch Neg II-2A-1 07386HYB1 CCC BB/Watch Neg II-3A-1 07386HYC9 BB AAA/Watch Neg II-3A-2 07386HYD7 CCC BB/Watch Neg II-4A-1 07386HYE5 CCC BB/Watch Neg II-5A-1 07386HYF2 BB AAA II-5A-2 07386HYG0 CCC BB/Watch Neg II-6A-1 07386HYH8 BB AA/Watch Neg II-6A-2 07386HYJ4 CCC BB/Watch Neg II-M-1 07386HYK1 CC B/Watch Neg II-M-2 07386HYL9 CC CCC II-M-3 07386HYM7 CC CCC II-M-4 07386HYN5 CC CCC II-M-5 07386HYP0 CC CCC II-B-3 07386HYS4 D CC CHL Mortgage Pass-Through Trust 2005-HYB7 Series 2005-HYB7 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 126694FW3 BB AAA/Watch Neg 1-A-2 126694FX1 B AAA/Watch Neg 1-A-IO 126694FY9 BB AAA 2-A 126694FZ6 B AAA/Watch Neg 3-A-1 126694GC6 BB AAA/Watch Neg 3-A-2 126694GD4 B AAA/Watch Neg 3-A-IO 126694GE2 BB AAA 4-A-1 126694GF9 BB AAA/Watch Neg 4-A-2 126694GG7 B AAA/Watch Neg 4-A-IO 126694GM4 BB AAA 5-A-1 126694GR3 BB AAA/Watch Neg 5-A-2 126694GS1 B AAA/Watch Neg 5-A-IO 126694GT9 BB AAA 6-A-1 126694MH8 BB AAA/Watch Neg 6-A-2 126694MJ4 B AAA/Watch Neg M 126694GN2 CC AA/Watch Neg B-1 126694GP7 CC BBB/Watch Neg B-2 126694GQ5 CC B/Watch Neg IndyMac INDX Mortgage Loan Trust 2005-AR27 Series 2005-AR27 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 45660LN88 B AAA/Watch Neg 2-A-1 45660LN96 B AAA/Watch Neg 2-A-2 45660LP29 AA AAA/Watch Neg 2-A-3 45660LP37 B AAA/Watch Neg 3-A-2 45660LS67 B AAA/Watch Neg 3-A-3 45660LS75 B AAA/Watch Neg 4-A-1 45660LP52 AAA AAA/Watch Neg 4-A-2 45660LP60 B AAA/Watch Neg B-1 45660LP86 CC AA/Watch Neg B-2 45660LP94 CC A+/Watch Neg Lehman Mortgage Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 3-A3 52520MFJ7 BB AAA 3-A6 52520MFM0 BB AAA 3B1 52520MGD9 CCC B 3B2 52520MGE7 CC CCC 3B3 52520MGF4 CC CCC Thornburg Mortgage Securities Trust 2006-2 Series 2006-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1-A 885220KS1 AAA AAA/Watch Neg A-1-B 885220KT9 AAA AAA/Watch Neg A-1-C 885220KU6 AAA AAA/Watch Neg A-2-A 885220KV4 AAA AAA/Watch Neg A-2-B 885220KW2 AAA AAA/Watch Neg A-2-C 885220KX0 AAA AAA/Watch Neg B-1 885220LB7 BBB AA/Watch Neg B-2 885220LC5 B BBB/Watch Neg B-3 885220LD3 CCC B/Watch Neg B-4 885220LE1 CC CCC WaMu Mortgage Pass-Through Certificates Series 2005-AR16 Trust Series 2005-AR16 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 92922F6W3 AAA AAA/Watch Neg 1-A2 92922F6X1 AAA AAA/Watch Neg 1-A3 92922F6Y9 AAA AAA/Watch Neg 1-A4A 92922F6Z6 AAA AAA/Watch Neg 1-A4B 92922F7A0 AAA AAA/Watch Neg 1-A5 92922F7B8 BBB AAA/Watch Neg 2-A1 92922F7C6 AAA AAA/Watch Neg 2-A2 92922F7D4 AAA AAA/Watch Neg 2-A3 92922F7E2 AAA AAA/Watch Neg 2-A4 92922F7F9 BBB AAA/Watch Neg B-1 92922F7G7 CCC AA/Watch Neg B-2 92922F7H5 CC A/Watch Neg B-3 92922F7J1 CC BBB/Watch Neg B-4 92922F7L6 CC BB/Watch Neg B-5 92922F7M4 CC B/Watch Neg Ratings Affirmed Lehman Mortgage Trust 2006-1 Series 2006-1 Class CUSIP Rating ----- ----- ------ 3-A1 52520MFG3 AAA 3-A2 52520MFH1 AAA 3-A4 52520MFK4 AAA 3-A5 52520MFL2 AAA * S&P Downgrades Ratings on 39 Tranches from 10 Hybrid CDOs ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 39 tranches from 10 U.S. cash flow and hybrid collateralized debt obligation transactions. At the same time, S&P removed five of the lowered ratings from CreditWatch with negative implications. The ratings on 30 of the downgraded tranches are on CreditWatch with negative implications, indicating a significant likelihood of further downgrades. 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 $4.834 billion. All 10 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 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 ----------- ----- -- ---- Ayresome CDO I, Ltd. A-1a AA-/Watch Neg AAA Ayresome CDO I, Ltd. A-1b BB-/Watch Neg BBB+/Watch Neg Ayresome CDO I, Ltd. A-2 CC CCC Ayresome CDO I, Ltd. A-3 CC CCC Collybus CDO I Ltd A-2 CCC BBB/Watch Neg Collybus CDO I Ltd A-3 CC BB-/Watch Neg Collybus CDO I Ltd B CC CCC- Duke Funding VIII Ltd A-1S BBB-/Watch Neg A+/Watch Neg Duke Funding VIII Ltd A-1J CCC/Watch Neg BBB-/Watch Neg Duke Funding VIII Ltd A-2 CC B+/Watch Neg Fortius I Funding, Ltd. A-1 CCC/Watch Neg B/Watch Neg Fortius I Funding, Ltd. A-2 CCC-/Watch Neg B-/Watch Neg Gemstone CDO II Ltd. A-2 AA/Watch Neg AAA/Watch Neg Gemstone CDO II Ltd. A-3 AA/Watch Neg AAA/Watch Neg Gemstone CDO II Ltd. B A-/Watch Neg A+/Watch Neg Gemstone CDO II Ltd. C BB/Watch Neg BBB/Watch Neg Gemstone CDO II Ltd. D B-/Watch Neg BB+/Watch Neg Gemstone CDO II Ltd. E CC CCC- Long Hill 2006-1 Ltd S1VF B/Watch Neg BBB-/Watch Neg Long Hill 2006-1 Ltd S2T CC B-/Watch Neg Nautilus RMBS CDO I Ltd A-1S A/Watch Neg AA-/Watch Neg Nautilus RMBS CDO I Ltd A-1J BBB/Watch Neg A-/Watch Neg Nautilus RMBS CDO I Ltd A-2 BBB-/Watch Neg BBB+/Watch Neg Nautilus RMBS CDO I Ltd A-3 BB-/Watch Neg BBB-/Watch Neg Nautilus RMBS CDO I Ltd BF B-/Watch Neg BB/Watch Neg Nautilus RMBS CDO I Ltd BV B-/Watch Neg BB/Watch Neg Nautilus RMBS CDO I Ltd CF CCC/Watch Neg B/Watch Neg Nautilus RMBS CDO I Ltd CV CCC/Watch Neg B/Watch Neg Saturn Ventures 2004 - Fund A-1 A+/Watch Neg AAA America Investors III, Limited Saturn Ventures 2004 - Fund A-2 BB+/Watch Neg AAA America Investors III, Limited Saturn Ventures 2004 - Fund A-3 B+/Watch Neg A+ America Investors III, Limited Saturn Ventures 2004 - Fund B CCC/Watch Neg BB+ America Investors III, Limited Saturn Ventures 2004 - Fund C CCC-/Watch Neg B- America Investors III, Limited Saturn Ventures 2005-1, Ltd. A-1 BBB-/Watch Neg AAA Saturn Ventures 2005-1, Ltd. A-2 B-/Watch Neg BBB-/Watch Neg Saturn Ventures 2005-1, Ltd. A-3 CC CCC/Watch Neg Trainer Wortham First A-1 AA/Watch Neg AAA Republic CBO V Ltd. Trainer Wortham First A-2 BBB+/Watch Neg A+/Watch Neg Republic CBO V Ltd. Trainer Wortham First B CCC/Watch Neg B-/Watch Neg Republic CBO V Ltd. Other Ratings Reviewed Transaction Class Rating ----------- ----- ------ Ayresome CDO I, Ltd. B CC Ayresome CDO I, Ltd. C CC Ayresome CDO I, Ltd. D CC Ayresome CDO I, Ltd. Combo Secs CC Collybus CDO I Ltd C CC Collybus CDO I Ltd D CC Duke Funding VIII Ltd A-3F CC Duke Funding VIII Ltd A-3V CC Duke Funding VIII Ltd B CC Duke Funding VIII Ltd Sub Nts CC Duke Funding VIII Ltd Comb Sec 1 CC Duke Funding VIII Ltd Comb Sec 2 CC Duke Funding VIII Ltd Comb Sec 3 CC Fortius I Funding, Ltd. S AAA Fortius I Funding, Ltd. B CC Fortius I Funding, Ltd. C CC Fortius I Funding, Ltd. D CC Fortius I Funding, Ltd. E CC Gemstone CDO II Ltd. A-1 AAA/Watch Neg Gemstone CDO II Ltd. F CC Long Hill 2006-1 Ltd A1 CC Long Hill 2006-1 Ltd A2 CC Long Hill 2006-1 Ltd A3 CC Long Hill 2006-1 Ltd B CC Long Hill 2006-1 Ltd C CC Long Hill 2006-1 Ltd Combo Nts CC Saturn Ventures 2005-1, Ltd. B CC Saturn Ventures 2005-1, Ltd. C CC Trainer Wortham First C CC Republic CBO V Ltd. Trainer Wortham First D CC Republic CBO V Ltd. * S&P Downgrades Ratings on 67 Tranches from 19 Hybrid CDO Deals ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 67 tranches from 19 U.S. cash flow and hybrid collateralized debt obligation transactions. At the same time, S&P removed 17 of the lowered ratings from CreditWatch with negative implications. The ratings on 45 of the downgraded tranches are on CreditWatch with negative implications, indicating a significant likelihood of further downgrades. In addition, S&P placed the 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 67 downgraded U.S. cash flow and hybrid tranches have a total issuance amount of $5.301 billion. Fourteen of the 19 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. Three of the 19 transactions are CDOs of CDOs that were collateralized at origination primarily by notes from other CDOs, as well as by tranches from RMBS and other SF transactions. The other two transactions are retranchings from another CDO transaction that is part of the rating actions. The CDO downgrades reflect a number of factors, including credit deterioration and recent negative rating actions on U.S. subprime RMBS. In addition, Standard & Poor's reviewed the rating assigned to Clydesdale CBO I Class B Restructured CDO, Ltd. and based on the current credit support available to the tranche, has left the rating at its current level. 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 5, Ltd. B BBB+/Watch Neg AA/Watch Neg Acacia CDO 5, Ltd. C BB+/Watch Neg A/Watch Neg Acacia CDO 5, Ltd. D BB-/Watch Neg A-/Watch Neg Acacia CDO 5, Ltd. E B-/Watch Neg BBB/Watch Neg Acacia CDO 7 Ltd A A+/Watch Neg AA+/Watch Neg Acacia CDO 7 Ltd B BB+/Watch Neg A-/Watch Neg Acacia CDO 7 Ltd C B-/Watch Neg BBB/Watch Neg Acacia CDO 7 Ltd D CC B+/Watch Neg Acacia CDO 7 Ltd E CC CCC Alexander Park CDO I, Ltd. A-1 AA/Watch Neg AAA/Watch Neg Alexander Park CDO I, Ltd. A-2 CCC+/Watch Neg BBB-/Watch Neg Class V Funding II Ltd A-1 CCC- B/Watch Neg Crystal River CDO 2005-1, Ltd. B A/Watch Neg AA+/Watch Neg Crystal River CDO 2005-1, Ltd. C BBB-/Watch Neg AA-/Watch Neg Crystal River CDO 2005-1, Ltd. D-1 CCC/Watch Neg BBB-/Watch Neg Crystal River CDO 2005-1, Ltd. D-2 CCC/Watch Neg BBB-/Watch Neg Crystal River CDO 2005-1, Ltd. E CC BB+/Watch Neg Crystal River CDO 2005-1, Ltd. F CC B-/Watch Neg Crystal River CDO 2005-1, Ltd. G CC CCC+/Watch Neg Crystal River CDO 2005-1, Ltd. H CC CCC/Watch Neg Dunhill ABS CDO Ltd A-1NV AA/Watch Neg AAA Dunhill ABS CDO Ltd A-1VA AA/Watch Neg AAA Dunhill ABS CDO Ltd A-1VB AA/Watch Neg AAA Dunhill ABS CDO Ltd A-2 B/Watch Neg BBB-/Watch Neg Huntington CDO Ltd A-1A AA/Watch Neg AAA/Watch Neg Huntington CDO Ltd A-1B AA/Watch Neg AAA/Watch Neg Huntington CDO Ltd A-2 BBB+/Watch Neg AA/Watch Neg Huntington CDO Ltd B CCC/Watch Neg BBB/Watch Neg Huntington CDO Ltd C-1 CC BB/Watch Neg Huntington CDO Ltd C-2 CC BB/Watch Neg Ischus CDO I Ltd A-2 AA-/Watch Neg AAA Ischus CDO I Ltd B BB/Watch Neg A/Watch Neg Ischus CDO I Ltd C-1 CCC/Watch Neg BB/Watch Neg Ischus CDO I Ltd C-2 CCC/Watch Neg BB/Watch Neg Ischus CDO I Ltd Combo Secs CC BB-/Watch Neg Mid Ocean CBO 2000-1 Ltd. A-1L CCC B+ MKP CBO IV, Ltd. A-2 BB/Watch Neg BBB-/Watch Neg Orchid Structured Finance CDO A-1 CC BB-/Watch Neg III, Ltd. Orchid Structured Finance CDO A-2 CC CCC-/Watch Neg III, Ltd. Pioneer Valley Structured A-1A A+/Watch Neg AA+/Watch Neg Credit CDO I Ltd Pioneer Valley Structured A-2 BB/Watch Neg A+/Watch Neg Credit CDO I Ltd Pioneer Valley Structured B CCC-/Watch Neg B/Watch Neg Credit CDO I Ltd Restructured Asset 2006-2-E B+ BBB Certificates with Enhanced Returns Series 2007-2-E Certificates Structured Investments A BBB AA Corporation Structured Investments B B+ A- Corporation Summit RMBS CDO I Ltd A-1S AA+/Watch Neg AAA Summit RMBS CDO I Ltd A-1J A/Watch Neg AA- Summit RMBS CDO I Ltd A-2 BB+/Watch Neg A- Summit RMBS CDO I Ltd A-3F CCC+/Watch Neg BBB-/Watch Neg Summit RMBS CDO I Ltd A-3V CCC+/Watch Neg BBB-/Watch Neg Summit RMBS CDO I Ltd BF CCC-/Watch Neg BB/Watch Neg Summit RMBS CDO I Ltd BV CCC-/Watch Neg BB/Watch Neg Summit RMBS CDO I Ltd Comb I CCC-/Watch Neg BB-/Watch Neg Summit RMBS CDO I Ltd Comb II CC BB/Watch Neg Summit RMBS CDO I Ltd Pref Share CC B+/Watch Neg Vermeer Funding II, Ltd. A-2A A+/Watch Neg AAA/Watch Neg Vermeer Funding II, Ltd. A-2B A+/Watch Neg AAA/Watch Neg Vermeer Funding II, Ltd. B B+/Watch Neg BBB+/Watch Neg Vermeer Funding II, Ltd. C-1 CCC-/Watch Neg B+/Watch Neg Vermeer Funding II, Ltd. C-2 CCC-/Watch Neg B+/Watch Neg Vermeer Funding II, Ltd. Combo Secs CC B/Watch Neg Vertical ABS CDO 2005-1, Ltd. A-1 CCC B/Watch Neg Vertical ABS CDO 2006-1 Ltd A-S1VF CC B+/Watch Neg Vertical ABS CDO 2006-1 Ltd A-1 CC CCC+/Watch Neg Zais Investment Grade Limited A-1A BBB/Watch Neg AA-/Watch Neg VII Zais Investment Grade Limited A-1B BBB/Watch Neg AA-/Watch Neg VII Zais Investment Grade Limited A-2 BB-/Watch Neg BBB/Watch Neg VII Ratings Placed On Creditwatch Negative Rating ------ Transaction Class To From ----------- ----- -- ---- Acacia CDO 5, Ltd. A AAA/Watch Neg AAA Ischus CDO I Ltd A-1 AAA/Watch Neg AAA Other Ratings Reviewed Transaction Class Rating ----------- ----- ------ Alexander Park CDO I, Ltd. B CC Alexander Park CDO I, Ltd. C CC Alexander Park CDO I, Ltd. D-1 CC Alexander Park CDO I, Ltd. D-2 CC Class V Funding II Ltd A-2A CC Class V Funding II Ltd A-2B CC Class V Funding II Ltd B CC Class V Funding II Ltd C CC Class V Funding II Ltd D CC Clydesdale CBO I Class B C BB Restructured CDO, Ltd. Crystal River CDO 2005-1, Ltd. A AAA/Watch Neg Dunhill ABS CDO Ltd B CC Dunhill ABS CDO Ltd C CC MKP CBO IV, Ltd. A-1 AAA/Watch Neg MKP CBO IV, Ltd. B CC MKP CBO IV, Ltd. C CC Orchid Structured Finance CDO B CC III, Ltd. Orchid Structured Finance CDO C CC III, Ltd. Orchid Structured Finance CDO Combo Nts AAA III, Ltd. Orchid Structured Finance CDO D CC III, Ltd. Orchid Structured Finance CDO E CC III, Ltd. Pioneer Valley Structured C CC Credit CDO I Ltd Pioneer Valley Structured D CC Credit CDO I Ltd Pioneer Valley Structured X AAA Credit CDO I Ltd Restructured Asset Backed A-1-A AAA Securities Series 2003-2 Trust Restructured Asset Backed A-1-B AAA Securities Series 2003-2 Trust Vermeer Funding II, Ltd. A-1 AAA/Watch Neg Vertical ABS CDO 2005-1, Ltd. A-2 CC Vertical ABS CDO 2005-1, Ltd. B CC Vertical ABS CDO 2005-1, Ltd. C CC Vertical ABS CDO 2005-1, Ltd. Combo Sec AAA Vertical ABS CDO 2005-1, Ltd. D CC Vertical ABS CDO 2006-1 Ltd A-2 CC Vertical ABS CDO 2006-1 Ltd A-3 CC Vertical ABS CDO 2006-1 Ltd B CC Vertical ABS CDO 2006-1 Ltd Cl 1 Combo AAA Vertical ABS CDO 2006-1 Ltd Cl 2 Combo AAA Zais Investment Grade Ltd VII A-3 CC Zais Investment Grade Ltd VII B-1A CC Zais Investment Grade Ltd VII B-1B CC * S&P Downgrades Ratings on 329 Classes from 303 Alt-A RMBS to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings to 'D' on 329 classes of mortgage pass-through certificates from 303 U.S. Alternative-A residential mortgage-backed securities transactions from various issuers. S&P removed 45 of the lowered ratings from 44 of the affected transactions from CreditWatch with negative implications. In addition, S&P placed 151 ratings from 14 of the affected transactions and one additional transaction on CreditWatch with negative implications. The ratings on 417 additional classes from 45 of these transactions remain on CreditWatch with negative implications. The downgrades reflect S&P's assessment of principal write-downs on the affected classes during recent remittance periods. S&P lowered approximately 82.12% of the ratings on the 329 defaulted classes from the 'CCC' or 'CC' rating categories, and S&P lowered approximately 96.07% of the ratings from a speculative-grade category. 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 think appropriate. * S&P Downgrades Ratings on 39 Classes from 35 Prime RMBS Deals --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 39 classes of mortgage pass-through certificates from 35 U.S. prime jumbo residential mortgage-backed securities transactions from various issuers to 'D'. S&P removed eight of the lowered ratings from CreditWatch with negative implications. S&P placed 24 ratings from four of the affected transactions on CreditWatch with negative implications. The ratings on 118 additional classes from seven of these transactions remain on CreditWatch negative. The negative rating actions reflect S&P's assessment of principal write-downs on the 39 affected classes during recent remittance periods. S&P lowered approximately 76.92% of the ratings on the 39 defaulted classes from the 'CCC' or 'CC' rating categories and lowered 100% of the ratings from a speculative-grade category. S&P expects to resolve the CreditWatch placements affecting these transactions after S&P completes its reviews of the underlying credit enhancement. S&P will continue to monitor S&P's ratings on securities that experience principal write-downs and adjust the ratings as S&P deem appropriate. Rating Actions Banc of America Funding 2006-F Trust Series 2006-F Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 05950HAM3 D CC Bear Stearns ARM Trust 2004-7 Series 2004-7 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 07384MZ39 D CC Bear Stearns ARM Trust 2005-3 Series 2005-3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-7 07387ABJ3 D CCC CHL Mortgage Pass-Through Trust 2003-27 Series 2003-27 Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 12669EHS8 D CCC B-4 12669EHT6 D CCC Citigroup Mortgage Loan Trust 2006-AR1 Series 2006-AR1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-B5 17307G3Q9 D CC CSMC Mortgage Backed Trust 2007-7 Series 2007-7 Rating ------ Class CUSIP To From ----- ----- -- ---- C-B-4 12638DAT3 D BB/Watch Neg C-B-5 12638DBC9 D B/Watch Neg CSMC Mortgage-Backed Trust Series 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- D-B-5 225470WR0 D CC CSMC Mortgage-Backed Trust Series 2006-2 Series 2006-2 Rating ------ Class CUSIP To From ----- ----- -- ---- D-B-5 225470A45 D CC First Horizon Mortgage Pass-Through Trust 2007-6 Series 2007-6 Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 32056QAH1 D CC HarborView Mortgage Loan Trust 2004-5 Series 2004-5 Rating ------ Class CUSIP To From ----- ----- -- ---- B5 41161PFG3 D CCC HSI Asset Loan Obligation Trust 2007-AR2 Series 2007-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 44329EAN1 D B/Watch Neg IndyMac IMJA Mortgage Loan Trust 2007-A3 Series 2007-A3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 456669AK6 D CC JPMorgan Mortgage Trust 2005-S3 Series 2005-S3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 466247C68 D CC JPMorgan Mortgage Trust 2006-A1 Series 2006-A1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 466247G64 D CC JPMorgan Mortgage Trust 2007-A4 Series 2007-A4 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 46631JAY4 D CCC Lehman Mortgage Trust 2005-3 Series 2005-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A2 52520MDN0 AAA/Watch Neg AAA 1-A8 52520MDU4 AAA/Watch Neg AAA 1-A9 52520MDV2 AAA/Watch Neg AAA 2-A4 52520MEC3 AAA/Watch Neg AAA 2-A6 52520MEE9 AAA/Watch Neg AAA AX 52520MEN9 AAA/Watch Neg AAA PAX 52520MEP4 AAA/Watch Neg AAA B7 52520MDJ9 D B/Watch Neg Lehman Mortgage Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 3B4 52520MGA5 D CC 3B5 52520MGB3 D CC MASTR Adjustable Rate Mortgage Trust 2006-2 Series 2006-2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 576438AR6 D CC MASTR Adjustable Rate Mortgages Trust 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 576433MR4 D CC MASTR Asset Securitization Trust 2006-3 Series 2006-3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 55274SBC4 D CC Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A10 Series 2005-A10 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 59020U2B0 D BB/Watch Neg Merrill Lynch Mortgage Investors Trust Series 2005-A9 Series 2005-A9 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 59020UX59 D CCC RFMSI Series 2005-SA2 Trust Series 2005-SA2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 76111XVW0 D BB/Watch Neg RFMSI Series 2006-SA4 Trust Series 2006-SA4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 74958CAM2 D CC RFMSI Series 2007-SA2 Trust Series 2007-SA2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 74958XAP9 D CC RFMSI Series 2007-SA4 Trust Series 2007-SA4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 74959AAL7 D CC Sequoia Mortgage Trust 2007-1 Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 81744HAR4 D CC STARM Mortgage Loan Trust 2007-3 Series 2007-3 Rating ------ Class CUSIP To From ----- ----- -- ---- II-B-5 85554NAE0 D CC Structured Adjustable Rate Mortgage Loan Trust Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- B5 86359BPK1 D CCC Structured Adjustable Rate Mortgage Loan Trust Series 2004-5 Rating ------ Class CUSIP To From ----- ----- -- ---- B5 86359BQH7 D CCC Structured Adjustable Rate Mortgage Loan Trust Series 2004-20 Rating ------ Class CUSIP To From ----- ----- -- ---- B10 863579JA7 D CCC Structured Adjustable Rate Mortgage Loan Trust Series 2005-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 3-AX 863579MF2 AAA/Watch Neg AAA B1X 863579LJ5 AA+/Watch Neg AA+ B2X 863579LL0 AA+/Watch Neg AA+ B3X 863579LN6 AA+/Watch Neg AA+ B4X 863579LQ9 AA/Watch Neg AA B5X 863579LS5 A+/Watch Neg A+ B7X 863579LV8 A-/Watch Neg A- B10X 863579LX4 BBB-/Watch Neg BBB- B11 863579MB1 D BB/Watch Neg B11X 863579ME5 D BB Structured Asset Securities Corp. Trust 2005-15 Series 2005-15 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A3 86359DNF0 AAA/Watch Neg AAA 2-A3 86359DNM5 AAA/Watch Neg AAA AX 86359DPD3 AAA/Watch Neg AAA PAX 86359DPE1 AAA/Watch Neg AAA B6 86359DMA2 D B/Watch Neg WaMu Mortgage Pass-Through Certificates Series 2002-AR14 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 939336CZ4 AAA/Watch Neg AAA A-2 939336DH3 AAA/Watch Neg AAA B-1 939336DA8 AAA/Watch Neg AAA B-2 939336DB6 AA+/Watch Neg AA+ B-3 939336DC4 BBB/Watch Neg BBB WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- L-B-5 93363EAX3 D CC WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- 1-B-5 93363PAV2 D CC Ratings Remaining On Creditwatch Negative CSMC Mortgage Backed Trust 2007-7 Series 2007-7 Class CUSIP Rating ----- ----- ------ 2-A-1 12638DAD8 AAA/Watch Neg 2-A-2 12638DAE6 AAA/Watch Neg 2-A-3 12638DAF3 AAA/Watch Neg 2-A-4 12638DBL9 AAA/Watch Neg 3-A-1 12638DAG1 AAA/Watch Neg 3-A-2 12638DAH9 AAA/Watch Neg 3-A-3 12638DAJ5 AAA/Watch Neg 3-A-4 12638DBM7 AAA/Watch Neg AM 12638DBN5 AAA/Watch Neg 2-X 12638DBE5 AAA/Watch Neg 3-X 12638DBF2 AAA/Watch Neg 2-P 12638DBH8 AAA/Watch Neg 3-P 12638DBJ4 AAA/Watch Neg C-B-1 12638DAQ9 AA/Watch Neg C-B-2 12638DAR7 A/Watch Neg C-B-3 12638DAS5 BBB/Watch Neg HSI Asset Loan Obligation Trust 2007-AR2 Series 2007-AR2 Class CUSIP Rating ----- ----- ------ I-A-1 44329EAA9 AAA/Watch Neg I-A-2 44329EAB7 AAA/Watch Neg II-A-1 44329EAC5 AAA/Watch Neg II-A-2 44329EAD3 AAA/Watch Neg III-A-1 44329EAE1 AAA/Watch Neg III-A-2 44329EAF8 AAA/Watch Neg IV-A-1 44329EAG6 AAA/Watch Neg IV-A-2 44329EAH4 AAA/Watch Neg B-1 44329EAJ0 AA/Watch Neg B-2 44329EAK7 A/Watch Neg B-3 44329EAL5 BBB/Watch Neg B-4 44329EAM3 BB/Watch Neg Lehman Mortgage Trust 2005-3 Series 2005-3 Class CUSIP Rating ----- ----- ------ 1-A1 52520MDM2 AAA/Watch Neg 1-A3 52520MDP5 AAA/Watch Neg 1-A4 52520MDQ3 AAA/Watch Neg 1-A5 52520MDR1 AAA/Watch Neg 1-A6 52520MDS9 AAA/Watch Neg 1-A7 52520MDT7 AAA/Watch Neg 1-A10 52520MDW0 AAA/Watch Neg 1-A11 52520MDX8 AAA/Watch Neg 1-A12 52520MDY6 AAA/Watch Neg 2-A1 52520MDZ3 AAA/Watch Neg 2-A2 52520MEA7 AAA/Watch Neg 2-A3 52520MEB5 AAA/Watch Neg 2-A5 52520MED1 AAA/Watch Neg 2-A7 52520MEF6 AAA/Watch Neg 2-A8 52520MEG4 AAA/Watch Neg 2-A9 52520MEH2 AAA/Watch Neg 3-A1 52520MEJ8 AAA/Watch Neg 4-A1 52520MEK5 AAA/Watch Neg 4-A2 52520MEL3 AAA/Watch Neg AP 52520MEM1 AAA/Watch Neg B1 52520MEQ2 AA/Watch Neg B2 52520MER0 AA-/Watch Neg B3 52520MES8 A/Watch Neg B4 52520MET6 A-/Watch Neg B5 52520MEU3 BBB/Watch Neg B6 52520MEV1 BBB-/Watch Neg Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A10 Class CUSIP Rating ----- ----- ------ A 59020UZ65 AAA/Watch Neg A-IO 59020UZ73 AAA/Watch Neg M-1 59020UZ81 AA/Watch Neg M-2 59020UZ99 A/Watch Neg M-3 59020U2A2 BBB/Watch Neg M-IO 59020U2J3 BBB/Watch Neg RFMSI Series 2005-SA2 Trust Series 2005-SA2 Class CUSIP Rating ----- ----- ------ I-A 76111XVE0 AAA/Watch Neg II-A-1 76111XVF7 AAA/Watch Neg II-A-2 76111XVG5 AAA/Watch Neg III-A-1 76111XVH3 AAA/Watch Neg III-A-3 76111XVK6 AAA/Watch Neg IV-A 76111XVL4 AAA/Watch Neg V-A 76111XVM2 AAA/Watch Neg VI-A-1 76111XVN0 AAA/Watch Neg VI-A-2 76111XVP5 AAA/Watch Neg M-1 76111XVS9 AA/Watch Neg M-2 76111XVT7 A/Watch Neg M-3 76111XVU4 BBB+/Watch Neg M-4 76111XVV2 BBB-/Watch Neg III-A-2 76111XVJ9 AAA/Watch Neg Structured Adjustable Rate Mortgage Loan Trust Series 2005-1 Class CUSIP Rating ----- ----- ------ 1-A1 863579KY3 AAA/Watch Neg 1-A2 863579KZ0 AAA/Watch Neg 2-A 863579LA4 AAA/Watch Neg 3-A 863579LB2 AAA/Watch Neg 4-A1 863579LC0 AAA/Watch Neg 4-A2 863579LD8 AAA/Watch Neg 5-A1 863579LE6 AAA/Watch Neg 5-A2 863579LF3 AAA/Watch Neg 6-A 863579LG1 AAA/Watch Neg B1 863579LH9 AA+/Watch Neg B2 863579LK2 AA+/Watch Neg B3 863579LM8 AA+/Watch Neg B4 863579LP1 AA/Watch Neg B5 863579LR7 A+/Watch Neg B6 863579LT3 A/Watch Neg B7 863579LU0 A-/Watch Neg B8 863579LW6 BBB+/Watch Neg B9 863579LY2 BBB/Watch Neg B10 863579LZ9 BBB-/Watch Neg Structured Asset Securities Corp. Trust 2005-15 Series 2005-15 Class CUSIP Rating ----- ----- ------ 1-A1 86359DND5 AAA/Watch Neg 1-A2 86359DNE3 AAA/Watch Neg 1-A4 86359DNG8 AAA/Watch Neg 1-A5 86359DNH6 AAA/Watch Neg 1-A6 86359DNJ2 AAA/Watch Neg 2-A1 86359DNK9 AAA/Watch Neg 2-A2 86359DNL7 AAA/Watch Neg 2-A4 86359DNN3 AAA/Watch Neg 2-A5 86359DNP8 AAA/Watch Neg 2-A6 86359DNQ6 AAA/Watch Neg 2-A7 86359DNR4 AAA/Watch Neg 2-A8 86359DNS2 AAA/Watch Neg 2-A9 86359DNT0 AAA/Watch Neg 3-A1 86359DNU7 AAA/Watch Neg 3-A2 86359DNV5 AAA/Watch Neg 4-A1 86359DNW3 AAA/Watch Neg 4-A2 86359DNX1 AAA/Watch Neg 5-A1 86359DNY9 AAA/Watch Neg AP 86359DPC5 AAA/Watch Neg M 86359DPF8 AA+/Watch Neg B1 86359DPG6 AA/Watch Neg B2 86359DPH4 A/Watch Neg B3 86359DPJ0 BBB/Watch Neg B4 86359DPK7 BBB-/Watch Neg B5 86359DLZ8 BB/Watch Neg * S&P Downgrades Ratings on 17 Classes from 16 Closed-End RMBS -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D' on 17 classes of mortgage pass-through certificates from 16 U.S. closed-end second-lien residential mortgage-backed securities transactions from various issuers. In addition, S&P placed nine ratings from two of the affected transactions on CreditWatch with negative implications. The ratings on five additional classes from one of these transactions remain on CreditWatch with negative implications. The downgrades reflect S&P's assessment of principal write-downs on the affected classes during recent remittance periods. S&P lowered approximately 82.35% of the ratings on the 17 defaulted classes from the 'CCC' or 'CC' rating categories, and S&P lowered approximately 94.12% of the ratings from a speculative-grade category. 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 S&P's ratings as S&P deem appropriate. Rating Actions Bear Stearns Second Lien Trust 2007-SV1 Series 2007-SV1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-6 07401UAH6 D CC Home Equity Mortgage Trust 2004-3 Series 2004-3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2A 22541SLY2 D CCC B-2F 22541SLZ9 D CCC Home Equity Mortgage Trust 2005-4 Series 2005-4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-3 2254584V7 AAA/Watch Neg AAA A-4 2254584W5 AAA/Watch Neg AAA M-1 2254584D7 AA+/Watch Neg AA+ M-2 2254584E5 A/Watch Neg A M-3 2254584F2 BB/Watch Neg BB M-4 2254584G0 D B Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-A Rating ------ Class CUSIP To From ----- ----- -- ---- M-5 59025QAH2 D CC Morgan Stanley Mortgage Loan Trust 2005-8SL Series 2005-8SL Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 61748HQM6 D CC Morgan Stanley Mortgage Loan Trust 2006-14SL Series 2006-14SL Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 61749SAE6 D CC Morgan Stanley Mortgage Loan Trust 2006-4SL Series 2006-4SL Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 61748HYD7 D CC Morgan Stanley Mortgage Loan Trust 2007-9SL Series 2007-9SL Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 61754TAD8 D CC Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-S4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 65535VQS0 D CCC Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2006-S4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 65537DAA4 D CCC SACO I Trust, 2005-7 Series 2005-7 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 785778KP5 D CC Soundview Home Loan Trust 2005-B Series 2005-B Rating ------ Class CUSIP To From ----- ----- -- ---- M-7 83611MHS0 D CCC Structured Asset Securities Corporation Mortgage Loan Trust 2005-S6 Series 2005-S6 Rating ------ Class CUSIP To From ----- ----- -- ---- M4 86359DTU1 D CC Structured Asset Securities Corporation Mortgage Loan Trust 2005-S7 Series 2005-S7 Rating ------ Class CUSIP To From ----- ----- -- ---- M7 863576EA8 D CC Terwin Mortgage Trust 2005-11 Series 2005-11 Rating ------ Class CUSIP To From ----- ----- -- ---- II-A-2 881561C69 AAA/Watch Neg AAA II-A-X 881561A38 AAA/Watch Neg AAA II-G 881561B86 AAA/Watch Neg AAA II-M-1 881561A46 BBB/Watch Neg BBB II-M-2 881561A53 D BB Terwin Mortgage Trust 2005-9HGS Series 2005-9HGS Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 881561WV2 D BBB/Watch Neg Ratings Remaining On Creditwatch Negative Terwin Mortgage Trust 2005-9HGS Series 2005-9HGS Class CUSIP Rating ----- ----- ------ A-1 881561WQ3 AAA/Watch Neg A-X 881561WR1 AAA/Watch Neg M-1 881561WS9 AA/Watch Neg M-2 881561WT7 AA-/Watch Neg M-3 881561WU4 A/Watch Neg * S&P Downgrades Ratings on 151 Classes from 17 RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 151 classes from 17 residential mortgage-backed securities transactions backed by U.S. Alternative-A mortgage loan collateral, including one Alt-A deal containing a single prime structure, issued between 2003 and 2007. S&P removed 112 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed 140 ratings on these and five additional transactions and removed four of them from CreditWatch negative (see list). The lowered ratings reflect S&P's belief that the amount of credit enhancement available to support 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. S&P's lifetime projected losses for the CSMC Mortgage Backed Trust 2007-7 transaction, rated in 2007, are: Original Loss Transaction bal. (mil. $) projection (%) ----------- ------------- -------------- CSMC Mortgage Backed Trust 2007-7 142.1 27.89 CSMC Mortgage Backed Trust 2007-7 147.8 4.96 The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. The downgrades, affirmations, and CreditWatch resolutions incorporate S&P's current and projected losses based on the dollar amounts of loans currently in the transactions' delinquency, foreclosure, and real estate owned pipelines, as well as S&P's projection of future defaults. S&P also incorporated cumulative losses to date in S&P's analysis when determining rating outcomes. The subordination from the more-junior classes within each structure provides credit support for the affected transactions. The collateral backing these deals originally consisted predominantly of Alt-A, first-lien, fixed-rate, adjustable-rate, or negative-amortization residential mortgage loans secured by one- to four-family properties. To maintain a 'AAA' rating, S&P consider whether a bond is able to withstand approximately 150% of S&P's base-case loss assumptions, subject to individual caps and qualitative factors assumed on specific transactions. For a class for which we've affirmed a 'B' rating, S&P consider whether a bond is able to withstand S&P's base-case loss assumptions. Other rating categories are dispersed, approximately equally, between these two loss assumptions. For example, to maintain a 'BB' rating on one class, S&P may consider whether the class is able to withstand approximately 110% of S&P's base-case loss assumptions, while, in connection with a different class, S&P may consider whether it is able to withstand approximately 120% of S&P's base-case loss assumptions to maintain a 'BBB' rating. S&P monitors these transactions to incorporate updated losses and delinquency pipeline performance to assess whether, in S&P's view, the applicable credit enhancement features are sufficient to support the current ratings. S&P will continue to monitor these transactions and take additional rating actions as S&P think appropriate. Rating Actions Alternative Loan Trust 2006-J7 Series 2006-J7 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 23244FAV6 CCC AAA/Watch Neg 1-A-2 23244FAW4 CCC AAA/Watch Neg 1-A-3 23244FAX2 CCC AAA/Watch Neg 1-A-4 23244FAY0 CCC AAA/Watch Neg 1-A-5 23244FAZ7 CCC AAA/Watch Neg 1-A-6 23244FBA1 CCC AAA/Watch Neg 1-A-7 23244FBB9 CCC AAA/Watch Neg 1-A-8 23244FBC7 CCC AAA/Watch Neg 1-A-9 23244FBD5 CCC AAA/Watch Neg 1-A-10 23244FBE3 CCC AAA/Watch Neg 1-A-11 23244FBF0 CCC AAA/Watch Neg 1-A-12 23244FBG8 CCC AAA/Watch Neg 1-A-13 23244FBH6 CCC AAA/Watch Neg 1-X 23244FBK9 CCC AAA/Watch Neg 1-PO 23244FBJ2 CCC AAA/Watch Neg 1-M 23244FBL7 CC AA/Watch Neg 1-B-1 23244FBM5 CC A/Watch Neg 1-B-2 23244FBN3 CC BBB/Watch Neg 2-A-1 23244FAA2 B+ AAA 2-A-2 23244FAB0 B AAA/Watch Neg 2-X-1 23244FAC8 B+ AAA 2-X-2A 23244FAD6 B AAA 2-X-2B 23244FAU8 B AAA/Watch Neg 2-M-1 23244FAE4 CCC AA+/Watch Neg 2-M-2 23244FAF1 CCC AA/Watch Neg 2-M-3 23244FAG9 CCC AA-/Watch Neg 2-M-4 23244FAH7 CCC A+/Watch Neg 2-M-5 23244FAJ3 CCC BBB/Watch Neg 2-M-6 23244FAK0 CC BB/Watch Neg 2-M-7 23244FAL8 CC B/Watch Neg 2-M-8 23244FAM6 CC CCC 2-M-9 23244FAN4 CC CCC Alternative Loan Trust 2007-OH1 Series 2007-OH1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2-A 02150KAB5 B AAA/Watch Neg A-2-B 02150KBB4 B AAA/Watch Neg A-2-C 02150KBC2 B AAA/Watch Neg A-2-D 02150KBD0 B AAA/Watch Neg A-3 02150KAC3 CCC AAA/Watch Neg M-1 02150KAD1 CCC AA+/Watch Neg M-2 02150KAE9 CCC BBB/Watch Neg M-3 02150KAF6 CCC BB/Watch Neg M-4 02150KAG4 CC B+/Watch Neg M-5 02150KAH2 CC B/Watch Neg M-6 02150KAJ8 CC B-/Watch Neg M-7 02150KAK5 CC CCC M-8 02150KAL3 CC CCC M-9 02150KAM1 CC CCC American Home Mortgage Assets Trust 2007-5 Series 2007-5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 026936AA2 AA AAA A-2 026936AC8 B AAA A-3 026936AE4 CCC BB/Watch Neg X-P 026936AU8 AA AAA Banc of America Funding 2004-4 Trust Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 30-B-5 05946XLM3 CCC B Bear Stearns Asset Backed Securities I Trust 2007-AC5 Series 2007-AC5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 07388BAA0 B- B/Watch Neg A-2 07388BAB8 CCC B/Watch Neg A-3 07388BAC6 CCC B/Watch Neg A-4 07388BAD4 CCC B/Watch Neg A-5 07388BAE2 B- B/Watch Neg A-6 07388BAF9 B- B A-7 07388BAU6 CCC B/Watch Neg PO 07388BAG7 CCC B/Watch Neg X 07388BAH5 B- AAA B-3 07388BAL6 CC CCC B-4 07388BAQ5 CC CCC Chevy Chase Funding LLC Series 2004-A Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 16678RBP1 B+ BBB B-4 16678RBQ9 CCC BB B-5 16678RBR7 CCC B Chevy Chase Funding LLC Series 2004-B Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 16678RCQ8 CCC BB B-5 16678RCR6 CCC B Citigroup Mortgage Loan Trust Inc. Series 2004-HYB4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-A 17307GMC9 AAA AAA/Watch Neg A-X 17307GMD7 AAA AAA/Watch Neg 1-B1 17307GLY2 CCC A 2-B1 17307GME5 AA AA/Watch Neg 1-B2 17307GLZ9 CC BB 2-B2 17307GMF2 B A/Watch Neg 1-B3 17307GMA3 CC B 2-B3 17307GMG0 CC BBB/Watch Neg CSFB Mortgage-Backed Trust Series 2003-29 Series 2003-29 Rating ------ Class CUSIP To From ----- ----- -- ---- D-B-5 22541Q3R1 CCC BB- CSMC Mortgage Backed Trust 2007-7 Series 2007-7 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12638DAA4 BB AAA/Watch Neg 1-A-2 12638DAB2 B AAA/Watch Neg 1-A-3 12638DAC0 B AAA 1-P 12638DBG0 B AAA/Watch Neg 1-X 12638DBD7 BB AAA D-B-3 12638DAP1 CC BBB/Watch Neg D-B-4 12638DAW6 CC BB/Watch Neg D-B-5 12638DAX4 CC B/Watch Neg 2-A-1 12638DAD8 A AAA/Watch Neg 2-A-2 12638DAE6 B+ AAA/Watch Neg 2-A-3 12638DAF3 B AAA/Watch Neg 2-A-4 12638DBL9 B+ AAA/Watch Neg 3-A-1 12638DAG1 A AAA/Watch Neg 3-A-2 12638DAH9 B+ AAA/Watch Neg 3-A-3 12638DAJ5 B AAA/Watch Neg 3-A-4 12638DBM7 B+ AAA/Watch Neg AM 12638DBN5 B AAA/Watch Neg 2-X 12638DBE5 A AAA/Watch Neg 3-X 12638DBF2 A AAA/Watch Neg 2-P 12638DBH8 B AAA/Watch Neg 3-P 12638DBJ4 B AAA/Watch Neg C-B-1 12638DAQ9 CCC AA/Watch Neg C-B-2 12638DAR7 CC A/Watch Neg C-B-3 12638DAS5 CC BBB/Watch Neg Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2003-3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 251510CN1 CCC B DSLA Mortgage Loan Trust 2004-AR2 Series 2004-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 23332UAX2 B BBB B-3 23332UAY0 CCC B B-4 23332UAZ7 CC CCC GSAA Trust 2004-CW1 Series 2004-CW1 Rating ------ Class CUSIP To From ----- ----- -- ---- B3 36228FU38 CCC BBB B4 36228FV52 CC BB GSR Mortgage Loan Trust 2007-OA2 Series 2007-OA2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1 3622NCAA4 B+ AAA 2A-1 3622NCAB2 B+ AAA A-2 3622NCAC0 B AAA/Watch Neg 1X 3622NCAD8 B+ AAA 2X 3622NCAE6 B+ AAA B-1 3622NCAF3 CCC AA+/Watch Neg B-2 3622NCAG1 CCC AA/Watch Neg B-3 3622NCAH9 CCC AA/Watch Neg B-4 3622NCAJ5 CC A+/Watch Neg B-5 3622NCAK2 CC BBB/Watch Neg Homestar Mortgage Acceptance Corp. Series 2004-3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-5 437690BC3 BBB BBB/Watch Neg MASTR Alternative Loan Trust 2007-HF1 Series 2007-HF1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 55291YAA5 B+ AAA/Watch Neg 1-A-2 55291YAB3 B AAA/Watch Neg 2-A-1 55291YAC1 B+ AAA/Watch Neg 2-A-2 55291YAD9 B AAA/Watch Neg 3-A-1 55291YAE7 B+ AAA/Watch Neg 3-A-2 55291YAF4 B AAA/Watch Neg 4-A-1 55291YAG2 B AAA/Watch Neg 4-A-2 55291YAH0 B AAA/Watch Neg 4-A-3 55291YAJ6 B AAA/Watch Neg 4-A-4 55291YAK3 B AAA/Watch Neg 5-A-1 55291YAL1 B AAA/Watch Neg 4-PO 55291YAN7 B AAA/Watch Neg 4-AX 55291YAP2 B AAA/Watch Neg 2-A-3 55291YBD8 B AAA/Watch Neg 4-A-5 55291YBE6 B AAA/Watch Neg 4-A-6 55291YBF3 B AAA/Watch Neg 4-A-7 55291YBG1 B AAA/Watch Neg B-1 55291YAQ0 CCC AA/Watch Neg B-2 55291YAR8 CCC AA-/Watch Neg B-3 55291YAS6 CCC A/Watch Neg B-4 55291YAT4 CC BBB/Watch Neg B-5 55291YAU1 CC BBB-/Watch Neg B-6 55291YAV9 CC BB/Watch Neg B-7 55291YAW7 CC B/Watch Neg RALI Series 2007-QH9 Trust Series 2007-QH9 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 749241AA3 B+ AAA/Watch Neg A-2 749241AB1 B AAA/Watch Neg X 749241AC9 B+ AAA M-1 749241AF2 CCC AA/Watch Neg M-2 749241AG0 CC A/Watch Neg M-3 749241AH8 CC BBB/Watch Neg Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA5 Trust Series 2007-OA5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1B 93936RAB0 A AAA/Watch Neg A-1C 93936RAC8 B AAA/Watch Neg A-1D 93936RAD6 B- AAA/Watch Neg B-1 93936RAF1 CCC BBB-/Watch Neg B-2 93936RAG9 CCC BB/Watch Neg B-3 93936RAH7 CCC BB-/Watch Neg B-4 93936RAJ3 CCC B/Watch Neg B-5 93936RAK0 CC CCC Ratings Affirmed Alternative Loan Trust 2007-OH1 Series 2007-OH1 Class CUSIP Rating ----- ----- ------ A-1-A 02150KAA7 AAA A-1-B 02150KAX7 AAA A-1-C 02150KAY5 AAA A-1-D 02150KAZ2 AAA X-P 02150KAS8 AAA American Home Mortgage Assets Trust 2007-5 Series 2007-5 Class CUSIP Rating ----- ----- ------ M-1 026936AG9 CCC M-2 026936AH7 CCC M-3 026936AJ3 CCC M-4 026936AK0 CCC M-5 026936AL8 CCC M-6 026936AM6 CCC Banc of America Funding 2004-4 Trust Series 2004-4 Class CUSIP Rating ----- ----- ------ 1-A-1 05946XKP7 AAA 1-A-2 05946XKQ5 AAA 1-A-3 05946XKR3 AAA 1-A-4 05946XKS1 AAA 1-A-5 05946XKT9 AAA 1-A-6 05946XKU6 AAA 1-A-7 05946XKV4 AAA 30-IO 05946XKW2 AAA 2-A-1 05946XKZ5 AAA 3-A-1 05946XLA9 AAA 15-IO 05946XLB7 AAA X-PO 05946XLC5 AAA 15-PO 05946XLD3 AAA 30-B-1 05946XLE1 AA 30-B-2 05946XLF8 A 30-B-3 05946XLG6 BBB 30-B-4 05946XLL5 BB 15-B-1 05946XLH4 AA 15-B-3 05946XLK7 BBB Bear Stearns Asset Backed Securities I Trust 2007-AC5 Series 2007-AC5 Class CUSIP Rating ----- ----- ------ B-1 07388BAJ1 CCC B-2 07388BAK8 CCC Chevy Chase Funding LLC Series 2004-A Class CUSIP Rating ----- ----- ------ A-1 16678RBL0 AAA A-NA 16678RBM8 AAA A-IO AAA B-1 16678RBT3 AA+ B-2 16678RBN6 A+ Chevy Chase Funding LLC Series 2004-B Class CUSIP Rating ----- ----- ------ A-1 16678RCL9 AAA A-NA AAA IO AAA B-1 16678RCM7 AA B-2 16678RCN5 A B-3 16678RCP0 BBB Citigroup Mortgage Loan Trust Inc. Series 2004-HYB4 Class CUSIP Rating ----- ----- ------ H-AI 17307GLW6 AAA H-AII 17307GLX4 AAA 1-M 17307GMP0 AA+ CSFB Mortgage-Backed Trust Series 2003-29 Series 2003-29 Class CUSIP Rating ----- ----- ------ I-A-1 22541Q3U4 AAA II-A-1 22541Q3V2 AAA II-A-2 22541Q3W0 AAA II-A-3 22541Q3X8 AAA II-A-4 22541Q3Y6 AAA III-A-1 22541Q3Z3 AAA IV-A-1 22541Q4A7 AAA V-A-1 22541Q4B5 AAA VI-A-1 22541Q4C3 AAA VII-A-1 22541Q4D1 AAA VIII-A-1 22541Q4E9 AAA D-P-1 22541Q4H2 AAA D-P-2 22541Q4J8 AAA D-P-3 22541Q4K5 AAA D-X-1 22541Q4F6 AAA D-X-2 22541Q4G4 AAA D-X-3 22541Q4S8 AAA D-B-1 22541Q4L3 AA+ D-B-2 22541Q4M1 A+ D-B-3 22541Q4N9 BBB+ D-B-4 22541Q4P4 BBB- Deutsche Alt-A Securities, Inc. Alternative Loan Trust, Series 2003-1 Class CUSIP Rating ----- ----- ------ A-1 251510AA1 AAA A-2 251510AB9 AAA A-3 251510AC7 AAA A-PO 251510AD5 AAA A-X 251510AE3 AAA M 251510AF0 AA+ B-1 251510AG8 A+ B-2 251510AH6 BBB B-3 251510AK9 BB B-4 251510AL7 B Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2003-3 Class CUSIP Rating ----- ----- ------ I-A-1 251510BC6 AAA I-A-X 251510BE2 AAA II-A-1 251510BF9 AAA II-A-5 251510BK8 AAA II-A-6 251510BL6 AAA II-A-7 251510BM4 AAA II-A-X 251510BY8 AAA A-PO-1 251510BD4 AAA III-A-1 251510BZ5 AAA IV-A-1 251510BR3 AAA A-PO-2 251510BQ5 AAA M-X 251510BT9 AAA M 251510BV4 AA B-1 251510BW2 A B-2 251510BX0 BBB B-3 251510CM3 BB DSLA Mortgage Loan Trust 2004-AR2 Series 2004-AR2 Class CUSIP Rating ----- ----- ------ A-1A 23332UAP9 AAA A-1B 23332UAQ7 AAA A-2A 23332UAR5 AAA A-2B 23332UAS3 AAA B-1 23332UAW4 AA+ GSAA Trust 2004-CW1 Series 2004-CW1 Class CUSIP Rating ----- ----- ------ I-A-1 36228FT48 AAA II-A-1 36228FT55 AAA II-A-2 36228FT63 AAA II-A-3 36228FV45 AAA A-P 36228FT71 AAA A-X 36228FT89 AAA B1 36228FT97 AA B2 36228FU20 A Homestar Mortgage Acceptance Corp. Series 2004-3 Class CUSIP Rating ----- ----- ------ AV-1 437690AT7 AAA AV-2C 437690AW0 AAA AV-3 437690AX8 AAA M-1 437690AY6 AA M-2 437690AZ3 A M-3 437690BA7 A- M-4 437690BB5 BBB+ Residential Asset Securitization Trust 1999-A3 Series 1999-C Class CUSIP Rating ----- ----- ------ A-1 12669BAA0 AAA PO 12669BAB8 AAA X 12669BAC6 AAA B-1 12669BAE2 AAA B-2 12669BAF9 AAA B-3 12669BAG7 AA Residential Asset Securitization Trust 2002-A15 Series 2002-O Class CUSIP Rating ----- ----- ------ A-11 45660NKH7 AAA PO 45660NKJ3 AAA A-X 45660NKK0 AAA B-1 45660NKM6 AAA B-2 45660NKN4 AA B-3 45660NKP9 BBB Residential Asset Securitization Trust 2003-A4 Series 2003-D Class CUSIP Rating ----- ----- ------ A-1 45660NPF6 AAA A-2 45660NPG4 AAA A-3 45660NPH2 AAA A-4 45660NPJ8 AAA A-9 45660NPP4 AAA PO 45660NPQ2 AAA A-X 45660NPR0 AAA B-1 45660NPT6 AA B-2 45660NPU3 A B-3 45660NPV1 BBB Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA5 Trust Series 2007-OA5 Class CUSIP Rating ----- ----- ------ A-1A 93936RAA2 AAA ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers' public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors' Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland, USA. Ma. Theresa Amor J. Tan Singco, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G. Patalinghug, Frauline S. Abangan, and Peter A. Chapman, Editors. Copyright 2009. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $775 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Christopher Beard at 240/629-3300. *** End of Transmission ***