/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/090830.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, August 30, 2009, Vol. 13, No. 240 Headlines ABACUS 2004-1: S&P Downgrades Ratings on Two Classes to 'D' ABACUS 2005-1: S&P Downgrades Ratings on Class B Notes to 'D' ABACUS 2006-11: S&P Downgrades Ratings on Class A Notes to 'D' ABN AMRO: Moody's Reviews 'B3' Rating on $850 Mil. Securities ACA ABS: Moody's Cuts Ratings on Three Classes of 2004-1 Notes ACA ABS: Moody's Downgrades Ratings on Two Classes of 2002-1 Notes ALADDIN SYNTHETIC: S&P Withdraws 'CCC-' Rating on Series A-1 Notes ALLENTOWN AREA: S&P Corrects Rating on 1998A Bonds to 'BB-' AMERICREDIT PRIME: Moody's Confirms Ratings on 2007-2-M Tranches ANSONIA CDO: Moody's Reviews Ratings on Eight 2006-1 Notes ARES IIIR/IVR: Moody's Downgrades Ratings on $565 Mil. Notes ARTUS LOAN: Moody's Downgrades Ratings on 2007-I Notes ASPEN VALLEY: S&P Raises Rating on 2003 Bonds to 'Aaa' From 'Ba3' AUCTION RATE: Moody's Reviews Ratings on Two 2007-1 Certs. AUCTION RATE: Moody's Reviews Ratings on Two 2007-2 Certificates AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two 2006-3 Certs. AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two 2006-4 Certs. AUCTION PASS-THROUGH: Moody's Reviews Ratings on 2006-12 Certs. AUCTION PASS-THROUGH: Moody's Reviews Ratings on 2007-3 Certs. AUCTION PASS-THROUGH: Moody's Reviews Ratings on 2007-4 Certs. AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two 2007-5 Certs. AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two Certificates BABSON CLO: Moody's Downgrades Ratings on Various 2005I Notes BAC AAH: Moody's Reviews Ratings on $70 Mil. Custodial Receipts BAC AAH: Moody's Reviews Ratings on Various Custodial Receipts BANC OF AMERICA: Fitch Affirms Ratings on Various 2007-1 Notes BANC OF AMERICA: Moody's Affirms Ratings on Seven 2005-2 Certs. BAYTEX ENERGY: Moody's Puts B3 Rating on Mulled C$150MM Notes BEAR STEARNS: Fitch Takes Rating Actions on 2006-PWR14 Certs. BEAR STEARNS: Moody's Affirms Ratings on 14 2004-PWR4 Certificates BEAR STEARNS: Moody's Reviews Ratings on Eight 2006-BBA7 Certs. BLACKROCK SENIOR: Moody's Upgrades Ratings on Class B Senior Notes CALLIDUS DEBT: Moody's Downgrades Ratings on Three Classes CAPITAL ONE: Fitch Affirms Ratings on Various Classes of Notes CAPMARK VI: Fitch Takes Rating Actions on Five Classes of Notes CENT CDO: Moody's Downgrades Ratings on Various Classes of Notes CLAREGOLD TRUST: Moody's Affirms Ratings on Seven 2007-2 Certs. COMM 2006-C7: Fitch Takes Various Rating Actions on 14 Certs. COSO GEOTHERMAL: Moody's Cuts Ratings on Trust Certs. to 'Ba1' CREDIT SUISSE: S&P Downgrades Ratings on 22 2007-C5 Securities FAIRWAY LOAN: Moody's Downgrades Ratings on Various Classes FENWAY I: Moody's Downgrades Ratings on Two Classes of Notes FORD CREDIT: S&P Assigns Initial Rating on $2.227 Bil. Notes FORE CLO: Moody's Downgrades Ratings on Two 2007-I Notes GALE FORCE: Moody's Downgrades Ratings on Four Classes of Notes GE COMMERCIAL: S&P Downgrades Ratings on 21 2007-C1 Securities GLACIER FUNDING: Moody's Downgrades Ratings on Three Classes GOLDENTREE CAPITAL: Moody's Upgrades Ratings on Various Classes GRANITE VENTURES: Moody's Downgrades Ratings on Two Classes GREENWICH CAPITAL: Moody's Keeps Ratings on Seven 2005-GG3 Certs. GREENWICH CAPITAL: S&P Cuts Ratings on 2006-RR1 Certs. to 'D' GRESHAM STREET: Moody's Downgrades Rating on Three Classes GS MORTGAGE: Fitch Affirms Ratings on 2007-GG10 Certificates GS MORTGAGE: Moody's Reviews Ratings on 13 2004-GG2 Certificates JERSEY STREET: Moody's Downgrades Ratings on Three Classes JP MORGAN: Moody's Downgrades Ratings on 11 Securities KATONAH 2007-I: Moody's Downgrades Ratings on 2007-1 Notes KATONAH X: Moody's Downgrades Ratings on Two Classes of Notes KIMBERLITE CDO: S&P Puts Ratings on CDOs on CreditWatch Negative LANDMARK V: Moody's Downgrades Ratings on Class A-2L Notes LB-UBS COMMERCIAL: S&P Downgrades Ratings on 15 2006-C7 Securities LITTLEFIELD: Fitch Downgrades Ratings on Tax COs to 'BB' MAINE EDUCATIONAL: Moody's Downgrades Ratings on Six Classes MAPS CLO: Moody's Downgrades Ratings on Various Classes of Notes MARQUETTE US/EUROPEAN: Moody's Downgrades Ratings on Various Notes MARLBOROUGH STREET: Moody's Downgrades Ratings on Various Notes MERRILL LYNCH: Moody's Affirms Ratings on 2000-Canada 3 Certs. MERRILL LYNCH: Moody's Affirms Ratings on Eight 2005-MCP1 Certs. MERRILL LYNCH: S&P Downgrades Ratings on 15 2006-C2 Securities MERRILL SERIES: Moody's Reviews Ratings on Two Certs. to 'B3' MIDWEST FAMILY: Moody's Reviews Ratings on Various Taxable Bonds MONUMENT PARK: Moody's Downgrades Ratings on Various Classes MORGAN STANLEY: Fitch Corrects Ratings on Class Q to 'B-/LS5' MORGAN STANLEY: Fitch Downgrades Ratings on 2006-HQ9 Certificates MORGAN STANLEY: Moody's Reviews Ratings on 19 2007-IQ14 Certs. MORGAN STANLEY: S&P Downgrades Ratings on 16 2007-TOP27 Securities MORGAN STANLEY: S&P Withdraws 'CCC+' Rating on Junior Notes NELSON RE: Moody's Continues Review on 'B3' Rating on Class G PASS-THROUGH AUCTION: Moody's Reviews Ratings on 2007-1 Certs. PHOENIX CDO: Moody's Downgrades Ratings on Two Classes of Notes PIONEER VALLEY: Moody's Cuts Rating on Class X Notes to 'Ba1' PREFERRED PASS-THROUGH: Moody's Reviews Ratings on Two Certs. PREFERRED WACHOVIA: Moody's Reviews Ratings on Two 2006-B Certs. PUTNAM STRUCTURED: Moody's Downgrades Rating on Class A-2 Notes RESTRUCTURED ASSET: S&P Withdraws Ratings on 2005-10-C Certs. SAN GABRIEL: Moody's Downgrades Ratings on Four Classes of Notes SASCO NET: Fitch Junks Ratings on Three Classes of 2003-BC2 Notes STANFIELD ARNAGE: Moody's Downgrades Ratings on Three Classes STEDMAN LOAN: Moody's Downgrades Ratings on Various Classes STEERS THAYER: Moody's Downgrades Ratings on Various Notes STONE TOWER: Moody's Downgrades Ratings on Various Classes STRUCTURED INVESTMENTS: Moody's Cuts Rating on $3 Mil. Notes STRUCTURED ASSET: Moody's Downgrades Ratings on 2002-4H Certs. STUYVESANT CDO: Moody's Cuts Ratings on $25 Mil. Notes to 'Ba1' TAYLOR BEAN: Moody's Reviews Ratings on 50 Tranches From Six Deals TEXAS STATE AFFORDABLE HOUSING: S&P Cuts Rating on Bonds to 'B' TCW GLOBAL: Fitch Downgrades Ratings on Two Tranches TCW SELECT: Moody's Downgrades Ratings on Three Classes of Notes VFN SERIES: Moody's Downgrades Ratings on Series 2008-2 Notes VINACASA CLO: Moody's Downgrades Ratings on Four Classes of Notes WACHOVIA BANK: Fitch Puts Ratings on 2005-C20 Certs. on Neg. Watch WHITEHORSE I: Moody's Downgrades Ratings on Various Classes * Moody's Reviews Ratings on 36 CMBS Deals for Likely Downgrades * S&P Changes CreditWatch on Two Emerging Market Synthetic SFs * S&P Downgrades Ratings on 14 Tranches From Four CDO Transactions * S&P Downgrades Ratings on 34 Classes From Five Prime Jumbo RMBS * S&P Downgrades Ratings on 251 Classes From 24 Prime Jumbo RMBS * S&P Downgrades Ratings on Nine Classes From Four re-Remic RMBS ********* ABACUS 2004-1: S&P Downgrades Ratings on Two Classes to 'D' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class B and C notes issued by ABACUS 2004-1 Ltd., and then withdrew its rating on the class C notes. The lowered ratings follow a number of recent credit events within the transaction's underlying portfolio. Specifically, write-downs in the underlying reference portfolio have caused the class B note to incur a partial principal loss. S&P lowered and withdrew its rating on the class C notes because they have incurred a full principal loss. Rating Lowered ABACUS 2004-1 Ltd. Rating ------ Class To From ----- -- ---- B D CCC- Rating Lowered And Withdrawn ABACUS 2004-1 Ltd. Rating ------ To Interim From -- ------- ---- C NR D CCC- ABACUS 2005-1: S&P Downgrades Ratings on Class B Notes to 'D' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on one class of notes issued by ABACUS 2005-1 CB1 Ltd. and withdrew its ratings on six other classes from the same transaction. The lowered rating follows a number of recent credit events within the transaction's underlying portfolio. Specifically, write-downs in the underlying reference portfolio have caused the class B note to incur a partial principal loss. S&P withdrew its ratings on six classes of notes as they have incurred full principal losses. Rating Lowered ABACUS 2005-1 CB1 Ltd. Rating ------ Class To From ----- -- ---- B D CCC- Ratings Withdrawn ABACUS 2005-1 CB1 Ltd. Rating ------ Class To From ----- -- ---- C NR D D NR D E-1 NR D E-2 NR D F NR D G NR D ABACUS 2006-11: S&P Downgrades Ratings on Class A Notes to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class A notes from Abacus 2006-11 Ltd. to 'D' from 'CCC-'. At the same time, S&P withdrew its 'D' ratings on classes A-2 ser1, A-2 ser2, B, B ser2, C, and D notes, as these classes have incurred full principal losses. The lowered rating follows a number of recent write-downs of underlying reference entities, which have caused the notes to incur a principal loss. Rating Lowered Abacus 2006-11 Ltd. Rating ------ Class To From ----- -- ---- A D CCC- Ratings Withdrawn Abacus 2006-11 Ltd. Rating Class To From A-2 ser1 NR D A-2 ser2 NR D B NR D B ser2 NR D C NR D D NR D NR - Not rated. ABN AMRO: Moody's Reviews 'B3' Rating on $850 Mil. Securities ------------------------------------------------------------- Moody's Investors Service announced that it has placed under review for possible upgrade these trust securities issued by ABN AMRO North America Holding Preferred Capital Repackaging Trust I: -- $850,000,000 6.523% Fixed/Floating Noncumulative Trust Securities, B3 placed under review for possible upgrade; previously on 4/14/2009 downgraded to B3; The transaction is a structured note whose rating changes with the rating of the Acquired Securities and the Swap Counterparty. The rating action is a result of the change of the rating of Floating Rate Non-Cumulative Company Preferred Securities each issued by Underlying Obligors. Each Underlying Obligor is an indirect subsidiary of ABN AMRO North America Holding Company. The Acquired Securities consisting of Floating Rate Non-Cumulative Company Preferred Securities placed under review for possible upgrade at B3 on 8/17/2009. ACA ABS: Moody's Cuts Ratings on Three Classes of 2004-1 Notes -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of three classes of notes issued by ACA ABS 2004-1, Limited. The notes affected by the rating action are: -- US$315,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2039, Downgraded to A1; previously on 12/22/2008 Downgraded to Aa2 Placed Under Review for Possible Downgrade -- US$49,500,000 Class A-2 Senior Secured Floating Rate Notes Due 2039, Downgraded to Ba1; previously on 2/4/2009 Downgraded to Baa1 -- US$47,250,000 Class B Senior Secured Floating Rate Notes Due 2039, Downgraded to Caa2; previously on 2/4/2009 Downgraded to B2 ACA ABS 2004-1, Limited is a collateralized debt obligation backed by a portfolio with the highest concentrations in Residential ABS Securities (56%). The rating downgrade actions reflect deterioration in the credit quality of the underlying portfolio due to the recent rating actions taken with respect to RMBS assets. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by an increase in the weighted average rating factor), an increase in the dollar amount of defaulted securities, and failure of the coverage tests, among other measures. The ratings of approximately 62% of the underlying assets have been downgraded since Moody's last review of the transaction in February 2009. The trustee reports that the WARF of the portfolio is 1149 as of June 30, 2009 and also reports defaulted assets in the amount of $16.8 million. In addition, the Trustee reports that the transaction is currently failing one or more coverage tests, including the Class A/B Overcollateralization Ratio Test. The actions also take into consideration the risk of the transaction experiencing an Event of Default. As provided in Section V of the Indenture dated May 27, 2004 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, including the sale and liquidation of the assets. The severity of losses of certain tranches may be different depending on the timing and outcome of liquidation. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. ACA ABS: Moody's Downgrades Ratings on Two Classes of 2002-1 Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of two classes of notes issued by ACA ABS 2002-1, Limited. The notes affected by the rating action are: -- Class A First Priority Senior Secured Floating Rate Notes, due August 1, 2034, Downgraded to A1; previously on 2/18/2009 Downgraded to Aa2 -- Class B Second Priority Senior Secured Floating Rate Notes, due August 1/37, Downgraded to Caa3; previously on 2/18/2009 Downgraded to Caa1 ACA ABS 2002-1, Limited is a collateralized debt obligation backed by a portfolio with the highest concentrations in Residential ABS Securities (51%). The rating downgrade actions reflect deterioration in the credit quality of the underlying portfolio due to the recent rating actions taken with respect to RMBS assets. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by an increase in the weighted average rating factor), an increase in the dollar amount of defaulted securities, and failure of the coverage tests, among other measures. The ratings of approximately 40% of the underlying assets have been downgraded since Moody's last review of the transaction in February 2009. The trustee reports that the WARF of the portfolio is 1398 as of June 30, 2009, and also reports defaulted assets in the amount of $7.5 million. In addition, the Trustee reports that the transaction is currently failing one or more coverage tests, including the Class A/B Overcollateralization Ratio Test. The actions also take into consideration the risk of the transaction experiencing an Event of Default. As provided in Section V of the Indenture dated July 29, 2002, 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, including the sale and liquidation of the assets. The severity of losses of certain tranches may be different depending on the timing and outcome of liquidation. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. ALADDIN SYNTHETIC: S&P Withdraws 'CCC-' Rating on Series A-1 Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services withdrew its 'CCC-' rating on the series A-1 notes issued by Aladdin Synthetic CDO II SPC, a synthetic collateralized debt obligation transaction. The rating was previously on CreditWatch with negative implications. The withdrawal follows the receipt of a zero redemption option notice, referencing the redemption of the notes as permitted by section 9.9 of the indenture dated Dec.19, 2006. Rating Withdrawn Aladdin Synthetic CDO II SPC Rating Balance (JPY) ------ ------------- Series To From Current Original ------ -- ---- ------- -------- A-1 NR CCC-/Watch Neg 0.00 2,000,000,000 NR - Not rated. ALLENTOWN AREA: S&P Corrects Rating on 1998A Bonds to 'BB-' ----------------------------------------------------------- Standard & Poor's Ratings Services corrected and lowered its long- term rating to 'BB-' from 'BB+' on Allentown Area Hospital Authority, Pennsylvania's series 1998A bonds, issued for Sacred Heart Hospital of Allentown. The outlook is negative. On Feb. 27, 2009, S&P lowered the underlying rating on the series 1998A bonds to 'BB-' from 'BB+'. Due to an administrative error, S&P did not revise its long-term rating on the series 1998A bonds, which are on parity with the other bonds issued by Allentown Area Hospital Authority. AMERICREDIT PRIME: Moody's Confirms Ratings on 2007-2-M Tranches ---------------------------------------------------------------- Moody's has confirmed ratings of three tranches from the AmeriCredit Prime Automobile Receivables Trust 2007-2-M auto loan transaction sponsored by AmeriCredit Financial Services, Inc. The decision considered the increase in the level of credit enhancement relative to future losses in addition to cash contribution by the depositor to the trust assets. Performance over the last six-months has demonstrated signs of stabilization. Cumulative losses as a percentage of the pool that has liquidated (original pool balance -- current pool balance), an indicator of projected lifetime loss trajectories, have also shown signs of leveling off. The rating actions conclude the review of the securities that were previously placed on review for possible downgrade on March 16, 2009. Although Moody's currently projects the transaction to incur cumulative lifetime net losses of 12.75% versus initial expectation of 4.00% to 5.50%, cash and over collateralization relative to future expected losses has increased as the transaction has paid down. Initial credit support in the form of cash reserve and overcollateralization comprised of 3.50% of the initial pool balance in addition to approximately 4.50% per annum of projected gross annual excess spread, compared to original future expected losses of 4.00%-5.50%. Currently credit support in the form of cash reserve and overcollateralization is approximately 7.50% compared to future expected losses of approximately 6.25%, both measured as a percentage of the initial pool balance. Gross excess spread is projected to be approximately 4.50% per annum. The pool factor of the transaction is approximately 52% and both the overcollateralization and the reserve account are at the required target levels. On June 4, 2009, amendments were made to the transaction that included credit performance triggers and to increase in the amount required in the spread (reserve) account from 3.5% to 4.0% of the initial pool balance. Moody's analysis included consideration of the above mentioned amendment including provisions in the transaction , that could give MBIA, as controlling party, the ability to change the cash flow allocation between the senior classes. Principal payments are currently allocated sequentially between the Class A notes. However, under certain circumstances, if an event of default occurs, the controlling party may elect to change the Class A notes to be paid pro-rata instead of sequentially. Such an event is considered unlikely, however, if it occurs, it could put more reliance on the claims paying ability of MBIA, the financial guarantor of the securities. The current tranche factor for the Class A-3 is approximately 80% and for Class A-4-A and A-4-B is 100%. Complete rating actions are: Issuer: AmeriCredit Prime Automobile Receivables Trust 2007-2-M -- Pool Current Expected Cumulative Net Losses: 12.75% (as a percentage of the original loan pool balance) Class Description: Cl A-3 -- Current Rating: Confirmed at Baa2; previously on 3/16/2009 Baa2 placed on Review for Possible Downgrade; -- Financial Guarantor: MBIA (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) -- Underlying Rating: Confirmed at Baa2; previously on 3/16/2009 Baa2 placed on Review for Possible Downgrade; Class Description: Cl A-4-A -- Current Rating: Confirmed at Baa2; previously on 3/16/2009 Baa2 placed on Review for Possible Downgrade; -- Financial Guarantor: MBIA (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) -- Underlying Rating: Confirmed at Baa2; previously on 3/16/2009 Baa2 placed on Review for Possible Downgrade; Class Description: Cl A-4-B -- Current Rating: Confirmed at Baa2; previously on 3/16/2009 Baa2 placed on Review for Possible Downgrade; -- Financial Guarantor: MBIA (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) -- Underlying Rating: Confirmed at Baa2; previously on 3/16/2009 Baa2 placed on Review for Possible Downgrade; ANSONIA CDO: Moody's Reviews Ratings on Eight 2006-1 Notes ---------------------------------------------------------- Moody's Investors Service downgraded one class and placed eight classes of Notes issued by Ansonia CDO 2006-1, Ltd., on review for possible downgrade due to an Event of Default caused by the non- payment of full interest on certain classes, deterioration in the credit quality of the underlying portfolio, and the uncertainty surrounding potential Collateral liquidation in the current environment. Ansonia CDO 2006-1, Ltd., is a collateralized debt obligation backed by a portfolio of cash collateral in commercial mortgage backed securities, commercial real estate collateralized debt obligations, and Real Estate Investment Trust debt. As of the July 28, 2009 payment date, CMBS collateral comprised approximately 94% of the portfolio with 19% of the CMBS concentrated in 2006 vintage securitizations. REIT debt comprises 5% of the portfolio with CRE CDO collateral constitutes the remaining 1%. As of the July 28, 2009 payment date, the Trustee reported that over 69% of the collateral was classified as Credit Impaired Securities, in sharp contrast to the less than 5% Credit Impaired Securities reported as of January 28, 2009. Per the Indenture, payments or recoveries of interest with respect to Credit Impaired Securities will be excluded from Interest Proceeds and will be re- classified as Principal Proceeds. Beginning on April 28, 2009, the significant increase in the percentage of Credit Impaired Securities has resulted in interest shortfalls to the accrued interest for the Class E Note, Class F Note, and Class G Note. Only the Class A Note received timely payment of its accrued interest and beginning on June 29, 2009, there was a interest payment default on the Class B Note, which Moody's rate, along with Class A, to timely payment of interest (i.e. Non-PIKable). As provided in Article V of the Indenture, during the occurrence and continuance of an Event of Default, certain parties to the transaction may be entitled to direct the Trustee to take particular actions with respect to the Collateral Debt Securities and the Notes, including liquidation. Moody's notes that the transaction is exposed to a significant concentration of CMBS assets, the majority of which have low speculative-grade ratings. It also has a limited exposed to CRE CDOs with low speculative- grade ratings. Both types of assets have shown depressed market valuations recently which could lead to low recovery rates were a sale and liquidation of the Collateral to occur. The downgrade action reflects the increased expected loss associated with Class B due to the non-payment of interest. In addition, all classes are being placed on review for possible downgrade due to the diminished credit quality on the underlying portfolio and the uncertainty surrounding the potential for the Trustee to be directed to liquidate the Collateral. The possibility that the Collateral may be liquidated in the current environment could result in much higher loss severities that in Moody's view would be inconsistent with the current ratings. -- Class A-FL, $205,087,643, Floating Rate Notes Due 2046, on review for possible downgrade; previously on 3/6/2009 downgraded to Ba3 from Aaa -- Class A-FX, $76,148,051, Fixed Rate Notes Due 2046, on review for possible downgrade; previously on 3/6/2009 downgraded to Ba3 from Aaa -- Class B, $57,479,000, Fixed Rate Notes Due 2046, downgraded to Caa1 from B2 and placed on review for further possible downgrade; previously on 3/6/2009 downgraded to B2 from Aa2 -- Class C, $34,285,000, Fixed Rate Notes Due 2046, on review for possible downgrade; previously on 3/6/2009 downgraded to Caa1 from A1 -- Class D, $16,134,000, Fixed Rate Notes Due 2046, on review for possible downgrade; previously on 3/6/2009 downgraded to Caa1 from A3 -- Class E, $18,151,000, Fixed Rate Notes Due 2046, on review for possible downgrade; previously on 3/6/2009 downgraded to Caa2 from Baa1 -- Class F, $24,201,000, Fixed Rate Notes Due 2046, on review for possible downgrade; previously on 3/6/2009 downgraded to Caa2 from Baa3 -- Class G, $30,252,000, Fixed Rate Notes Due 2046, on review for possible downgrade; previously on 3/6/2009 downgraded to Caa2 from Ba1 -- Class H, $26,218,000, Fixed Rate Notes Due 2046, on review for possible downgrade; previously on 3/6/2009 downgraded to Caa3 from Ba2 Moody's monitors transactions on both a monthly basis through a review of the available Trustee Reports and a periodic basis through a full review. Moody's prior review is summarized in a press release dated March, 6 2009. ARES IIIR/IVR: Moody's Downgrades Ratings on $565 Mil. Notes ------------------------------------------------------------ Moody's downgrades the ratings of $565 MM notes issued by Ares IIIR/IVR CLO Ltd.: -- US$50,000,000 Class A-1 Variable Funding Floating Rate Notes (current balance of $49,113,876), Downgraded to Aa3; previously on March 8, 2007 Assigned Aaa; -- US$446,300,000 Class A-2 Senior Secured Floating Rate Notes (current balance of $438,390,457), Downgraded to Aa3; previously on March 8, 2007 Assigned Aaa; -- US$42,000,000 Class B Senior Secured Floating Rate Notes, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$31,500,000 Class E Secured Deferrable Floating Rate Notes, Downgraded to Caa3; previously on March 13, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade; -- US$4,000,000 Combination Notes (current balance of $3,676,648), Downgraded to B1; previously on March 4, 2009 Baa2 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$42,000,000 Class C Senior Secured Deferrable Floating Rate Notes, Confirmed at Ba1; previously on March 13, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$35,000,000 Class D Secured Deferrable Floating Rate Notes, Confirmed at B1; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. Such credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class E overcollateralization test. In particular, the weighted average rating factor has increased over the last year and is currently 2825 as of the last trustee report, dated July 9, 2009. Based on the same report, defaulted securities total about $34 million, accounting for roughly 5% of the collateral balance, and securities rated Caa1 or lower make up approximately 13% of the underlying portfolio. The rating actions also reflect Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. These revised assumptions are described in the publication "Moody's Approach to Rating Collateralized Loan Obligations," dated August 12, 2009. Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Other assumptions used in Moody's CLO monitoring are described in the publication "CLO Ratings Surveillance Brief - Second Quarter 2009," dated July 17, 2009. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. Ares IIIR/IVR CLO Ltd., issued in March of 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. ARTUS LOAN: Moody's Downgrades Ratings on 2007-I Notes ------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Artus Loan Fund 2007-I, Ltd.: -- US$780,000,000 Class A-1L Floating Rate Notes Due 2018 (current balance of $763,211,914), Downgraded to A1; previously on November 15, 2007 Assigned Aaa; -- US$42,000,000 Class A-2L Floating Rate Notes Due 2018, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$52,000,000 Class A-3L Floating Rate Notes Due 2018, Downgraded to Ba2; previously on March 13, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$35,000,000 Class B-1L Floating Rate Notes Due 2018, Downgraded to B2; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$28,000,000 Class B-2L Floating Rate Notes Due 2018 (current balance of $27,490,495), Downgraded to Caa3; previously on March 13, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. Such credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class B-1L and Class B-2L overcollateralization tests. In particular, the weighted average rating factor has increased over the last year and is currently 3240 versus a test level of 2650 as of the last trustee report, dated August 5, 2009. Based on the same report, defaulted securities total about $60 million, accounting for roughly 6% of the collateral balance, and securities rated Caa1 or lower make up approximately 21% of the underlying portfolio. Moody's also assessed the collateral pool's elevated concentration risk 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. The rating actions also reflect Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. These revised assumptions are described in the publication "Moody's Approach to Rating Collateralized Loan Obligations," dated August 12, 2009. Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Other assumptions used in Moody's CLO monitoring are described in the publication "CLO Ratings Surveillance Brief - Second Quarter 2009," dated July 17, 2009. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. Artus Loan Fund 2007-I, Ltd., issued in November of 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. ASPEN VALLEY: S&P Raises Rating on 2003 Bonds to 'Aaa' From 'Ba3' ----------------------------------------------------------------- Moody's Investors Service has upgraded to Aaa/VMIG 1 from Ba3/S.G. the rating assigned to Aspen Valley Hospital District Variable Rate Demand Revenue Bonds Series 2003, in conjunction with the issuance of a confirming letter of credit, scheduled for August 27, 2009, provided by the Federal Home Loan Bank of Topeka to provide additional security to the Bonds. In addition, on August 27, 2009, the letter of credit currently securing the Bonds will be replaced with the delivery of alternate irrevocable direct pay letter of credit provided by Vectra Bank Colorado, N.A. Upon the delivery of the CLOC, the rating will reflect the credit quality of FHLB Topeka as provider of the CLOC and the structure and legal protections of the transaction, which ensures timely payment of debt service and purchase price payments to bondholders. The FHLB Topeka CLOC is confirming the Vectra Bank Colorado N.A. LOC. Moody's does not maintain a rating on Vectra Bank Colorado N.A. Moody's maintains a long-term rating of Aaa and short-term rating of P-1 on FHLB Topeka. Interest Rate Modes And Payment Upon the substitution of the underlying LOC and the delivery of the CLOC, the Bonds will continue to bear interest in the weekly rate mode and pay interest semiannually on each April 15 and October 15. Upon conversion, in whole, to the monthly, semi- annual, annual, five year or fixed rate modes the bonds will be subject to mandatory tender. Moody's rating applies to bonds in the weekly rate mode only. Flow of Funds For principal and interest, the paying agent is instructed to draw under the underlying letter of credit by 12 noon Pacific time on the second business day preceding each payment date. If the LOC bank does not honor a conforming draw or the LOC is repudiated, the paying agent is instructed to effect a mandatory tender of the Bonds on the payment date. The paying agent is further instructed to draw on the CLOC by 9:00 a.m., on the payment date for the payment of purchase price. For payment of purchase price, the paying agent is instructed to draw under the underlying letter of credit by 8:00 a.m., Pacific time on the business day preceding the purchase date, to the extent that remarketing proceeds receives are insufficient. If the LOC bank does not honor a conforming draw by 2:00 p.m., Pacific time or the LOC is repudiated, the paying agent is instructed to effect a mandatory tender of the Bonds on the payment date. The paying agent is further instructed to draw on the CLOC by 9:00 a.m., on the payment date for the payment of purchase price. The Underlying And Confirming Letters Of Credit The underlying letter of credit provided by Vectra Bank Colorado N.A. is sized for full principal plus up to 208 days of interest at the maximum rate of 8%, and will provide for sufficient coverage for the Bonds while they bear interest in the weekly mode. The letter of credit is governed by the Uniform Customs and Practice for Documentary Credits (2007 Revision), Publication No. 600 of the International Chamber of Commerce. The CLOC provided by FHLB Topeka is sized for full principal plus up to 208 days of interest at the maximum rate of 8%, and will provide for sufficient coverage for the Bonds while they bear interest in the weekly mode. The confirming letter of credit is subject to the International Standby Practices 1998 (ISP98). Draws on The Underlying And Confirming Letters Of Credit Conforming draws under the underlying letter of credit for principal, interest and purchase price received by Vectra Bank Colorado N.A. by 12:00 p.m., Los Angeles time on a business day, will be honored by 10:00 a.m., Los Angeles time, on the next business day. Conforming draws received after 12:00 p.m., Los Angeles time will be honored by the bank by 10:00 a.m., Los Angeles time the second succeeding business day. Conforming draws under the confirming letter of credit for principal, interest and purchase price received by FHLB Topeka by 9:00 am Topeka, Kansas time on a business day, will be honored by 2:00 p.m., Topeka, Kansas time, on the same business day. Reinstatement Of Interest Draws Draws made under the underlying letter of credit for interest shall be reinstated on the tenth business day following the honoring of an interest drawing unless the paying agent receives notice from the Bank within seven business days of such drawing that there will be no reinstatement. Upon receipt of such notice, the paying agent shall effect a mandatory tender four business days following the receipt of notice. The CLOC is not subject to reinstatement. Reimbursement Agreement Defaults Vectra Bank Colorado N.A. as the provider of the underlying letter of credit may deliver written notice to the trustee stating that an event of default has occurred and is continuing under the reimbursement agreement between Vectra Bank Colorado N.A. and the borrower (Aspen Valley Hospital District) and direct a mandatory purchase of the Bonds. Upon receipt of such notice, the trustee shall effect a mandatory tender of the Bonds not less than five business days nor more than twenty-nine days following the paying agent's receipt of such notice. Expiration/Termination Of The Letters Of Credit The letter of credit provided by Vectra Bank Colorado N.A. will expire on October 30, 2010. The confirming letter of credit provided by FHLB Boston expires upon the earliest of: of (a) November 5, 2010, the stated expiration date; (b) upon the termination or expiration of the underlying letter of credit; or (c) one year after (i) any form of insolvency, liquidation, receivership or conservatorship proceedings are commenced with respect to the bank providing the underlying letter of credit or (ii) a receiver, conservator or liquidator is appointed for bank providing the underlying letter of credit. Mandatory Tenders The Bonds are subject to mandatory tender: (i) on the date the interest rate on the Bonds is converted to another mode; (ii) on the earlier of (1) two business days or (2) 5 calendar days prior to delivery date of a substitute CLOC or LOC; (iii) four business days following the trustee's receipt of notice from the letter of credit bank stating that the interest component of the LOC will not be reinstated; (iv) within 60 days of the occurrence of any form of insolvency, liquidation, receivership or conservatorship proceedings with respect to the letter of credit bank or the appointment of a receiver, conservator or liquidator for the bank; (v) two business days following the repudiation of the letter of credit; (vi) not less than five business days and not more than twenty nine days following the paying agent's receipt of notice from the Bank of an event of default under the reimbursement agreement and directing a mandatory tender of the Bonds; and (vii) fifteen days preceding the stated expiration date of the letter of credit or confirming letter of credit. Mandatory Redemptions The Bonds are subject to mandatory sinking fund redemptions. The last rating action with respect to this transaction was on April 21, 2009, when the long-term rating was downgraded to Ba3 from A2. For more information, see the original new issue report dated October 9, 2003, or the rating update report for the substitution of the underlying letter of credit dated October 1, 2008. AUCTION RATE: Moody's Reviews Ratings on Two 2007-1 Certs. ---------------------------------------------------------- Moody's Investors Service announced that it has placed under review for possible upgrade these certificates issued by Auction Rate Securities Trust 2007-1: -- $60,000,000 Class A Auction Rate Trust Certificates, B3 placed under review for possible upgrade; previously on 4/15/2009 downgraded to B3; -- $15,000,000 Class B Leveraged Trust Certificates, B3 placed under review for possible upgrade; previously on 4/15/2009 downgraded to B3. The transaction is a structured note whose ratings change with the rating of the Preferred Shares. The rating actions are a result of the change of the rating of Merrill Lynch's Series 5 Floating Rate Non Cumulative Preferred Stock, which was placed under review for possible upgrade at B3 on 8/17/2009. AUCTION RATE: Moody's Reviews Ratings on Two 2007-2 Certificates ---------------------------------------------------------------- Moody's Investors Service announced that it has placed under review for possible upgrade these certificates issued by Auction Rate Securities Trust 2007-2: -- $40,000,000 Class A Auction Rate Trust Certificates, B3 placed under review for possible upgrade; previously on 4/15/2009 downgraded to B3; -- $10,000,000 Class B Leveraged Trust Certificates, B3 placed under review for possible upgrade; previously on 4/15/2009 downgraded to B3. The transaction is a structured note whose ratings change with the rating of the Preferred Shares. The rating actions are a result of the change of the rating of Bank of America's Series E Floating Rate Non-Cumulative Preferred Stock, which was placed under review for possible upgrade at B3 on 8/17/2009. AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two 2006-3 Certs. ------------------------------------------------------------------ Moody's Investors Service announced that it has placed under review for possible upgrade these certificates issued by Auction Pass-Through Trust 2006-3: -- $120,000,000 Class A Certificates, B3 placed under review for possible upgrade; previously on 4/14/2009 downgraded to B3; -- $30,000,000 Class B Certificates, B3 placed under review for possible upgrade; previously on 4/14/2009 downgraded to B3. The transaction is a structured note whose ratings change with the rating of the Preferred Shares. The rating actions are a result of the change of the rating of Merrill Lynch's Series 4 Floating Rate Non-Cumulative Preferred Stock, which was placed under review for possible upgrade at B3 on 8/17/2009. AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two 2006-4 Certs. ------------------------------------------------------------------ Moody's Investors Service announced that it has placed under review for possible upgrade these certificates issued by Auction Pass-Through Trust 2006-4: -- $120,000,000 Class A Certificates, B3 placed under review for possible upgrade; previously on 4/14/2009 downgraded to B3; -- $30,000,000 Class B Certificates, B3 placed under review for possible upgrade; previously on 4/14/2009 downgraded to B3. The transaction is a structured note whose ratings change with the rating of the Preferred Shares. The rating actions are a result of the change of the rating of Merrill Lynch's Series 4 Floating Rate Non-Cumulative Preferred Stock, which was placed under review for possible upgrade at B3 on 8/17/2009. AUCTION PASS-THROUGH: Moody's Reviews Ratings on 2006-12 Certs. --------------------------------------------------------------- Moody's Investors Service announced that it has placed under review for possible upgrade these certificates issued by Auction Pass-Through Trust 2006-12: -- $70,000,000 Class A Certificates, B3 placed under review for possible upgrade; previously on 4/14/2009 downgraded to B3; -- $35,000,000 Class B Certificates, B3 placed under review for possible upgrade; previously on 4/14/2009 downgraded to B3. The transaction is a structured note whose ratings change with the rating of the Preferred Shares. The rating actions are a result of the change of the rating of Bank of America's Series D Non- Cumulative Preferred Stock, which was placed under review for possible upgrade at B3 on 8/17/2009. AUCTION PASS-THROUGH: Moody's Reviews Ratings on 2007-3 Certs. -------------------------------------------------------------- Moody's Investors Service announced that it has placed under review for possible upgrade these certificates issued by Auction Pass-Through Trust 2007-3: -- $120,000,000 Class A Certificates, B3 placed under review for possible upgrade; previously on 4/14/2009 downgraded to B3; -- $30,000,000 Class B Certificates, B3 placed under review for possible upgrade; previously on 4/14/2009 downgraded to B3. The transaction is a structured note whose ratings change with the rating of the Preferred Shares. The rating actions are a result of the change of the rating of Merrill Lynch's Series 5 Floating Rate Non-Cumulative Preferred Stock, which was placed under review for possible upgrade at B3 on 8/17/2009. AUCTION PASS-THROUGH: Moody's Reviews Ratings on 2007-4 Certs. -------------------------------------------------------------- Moody's Investors Service announced that it has placed under review for possible upgrade these certificates issued by Auction Pass-Through Trust 2007-4: -- $120,000,000 Class A Certificates, B3 placed under review for possible upgrade; previously on 4/15/2009 downgraded to B3; -- $30,000,000 Class B Certificates, B3 placed under review for possible upgrade; previously on 4/15/2009 downgraded to B3. The transaction is a structured note whose ratings change with the rating of the Preferred Shares. The rating actions are a result of the change of the rating of Merrill Lynch & Co, Inc.'s Series 5 Floating Rate Non-Cumulative Preferred Stock, which was placed under review for possible upgrade at B3 on 8/17/2009. AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two 2007-5 Certs. ------------------------------------------------------------------ Moody's Investors Service announced that it has placed under review for possible upgrade these certificates issued by Auction Pass-Through Trust 2007-5: -- $112,000,000 Class A Certificates, B3 placed under review for possible upgrade; previously on 4/15/2009 downgraded to B3; -- $28,000,000 Class B Certificates, B3 placed under review for possible upgrade; previously on 4/15/2009 downgraded to B3. The transaction is a structured note whose ratings change with the rating of the Preferred Shares. The rating actions are a result of the change of the rating of Bank of America's Series E Floating Rate Non-Cumulative Preferred Stock, which was placed under review for possible upgrade at B3 on 8/17/2009. AUCTION PASS-THROUGH: Moody's Reviews Ratings on Two Certificates ----------------------------------------------------------------- Moody's Investors Service announced that it has placed under review for possible upgrade these certificates issued by Auction Pass-Through Trust 2007-2: -- $120,000,000 Class A Certificates, B3 placed under review for possible upgrade; previously on 4/15/2009 downgraded to B3; -- $30,000,000 Class B Certificates, B3 placed under review for possible upgrade; previously on 4/15/2009 downgraded to B3. The transaction is a structured note whose ratings change with the rating of the Preferred Shares. The rating actions are a result of the change of the rating of Merrill Lynch & Co, Inc.'s Series 5 Floating Rate Non-Cumulative Preferred Stock, which was placed under review for possible upgrade at B3 on 8/17/2009. BABSON CLO: Moody's Downgrades Ratings on Various 2005I Notes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Babson CLO Ltd. 2005-I: -- US$85,000,000 Class A-1A Revolving Senior Notes Due 2019, Downgraded to Aa2; previously on May 24, 2005 Assigned Aaa -- US$563,000,000 Class A-1B-1 Floating Rate Senior Notes Due 2019, Downgraded to Aa1; previously on May 24, 2005 Assigned Aaa -- US$15,000,000 Class A-1B-2 Fixed Rate Senior Notes Due 2019, Downgraded to A1; previously on May 24, 2005 Assigned Aaa -- US$34,000,000 Class A-2 Floating Rate Senior Notes Due 2019, Downgraded to A2; previously on Mar 4, 2009 Aa2 Placed Under Review for Possible Downgrade -- US$46,800,000 Class C-1 Deferrable Mezzanine Notes Due 2019 (current balance of $42,454,066), Downgraded to B2; previously on Mar 18, 2009 Downgraded to B1 and Remains On Review for Possible Downgrade -- US$9,200,000 Class C-2 Deferrable Mezzanine Notes Due 2019 (current balance of $8,345,671), Downgraded to B2; previously on Mar 18, 2009 Downgraded to B1 and Remains On Review for Possible Downgrade -- US$20,000,000 Class Q-1 Combination Notes Due 2019 (current balance of $13,678,112), Downgraded to Baa2; previously on Mar 4, 2009 A2 Placed Under Review for Possible Downgrade -- US$8,000,000 Class Q-2 Combination Notes Due 2019 (current balance of $4,283,602), Downgraded to Ba3; previously on Mar 4, 2009 Baa3 Placed Under Review for Possible Downgrade -- US$3,000,000 Class Q-3 Combination Notes Due 2019 (current balance of $1,702,991), Downgraded to Ba3; previously on Mar 4, 2009 Baa3 Placed Under Review for Possible Downgrade Additionally, Moody's has confirmed the ratings of these notes: -- US$30,000,000 Class B-1 Deferrable Floating Rate Mezzanine Notes Due 2019, Confirmed at Ba1; previously on Mar 18, 2009 Downgraded to Ba1 and Remains On Review for Possible Downgrade -- US$16,000,000 Class B-2 Deferrable Fixed Rate Mezzanine Notes Due 2019, Confirmed at Ba1; previously on Mar 18, 2009 Downgraded to Ba1 and Remains On Review for Possible Downgrade According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. Such credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class C overcollateralization test. In particular, the weighted average rating factor has increased over the last year and is currently 2988 versus a test level of 2530 as of the last trustee report, dated July 3, 2009. Based on the same report, defaulted securities currently held in the portfolio total about $66.5 million, accounting for roughly 7.6% of the collateral balance, and securities rated Caa1 or lower make up approximately 14% of the underlying portfolio. Moody's also assessed the collateral pool's elevated concentration risk 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. The rating actions also reflect Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. These revised assumptions are described in the publication "Moody's Approach to Rating Collateralized Loan Obligations," dated August 12, 2009. Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Other assumptions used in Moody's CLO monitoring are described in the publication "CLO Ratings Surveillance Brief - Second Quarter 2009," dated July 17, 2009. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. Babson CLO Ltd. 2005-I, issued in March of 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. BAC AAH: Moody's Reviews Ratings on $70 Mil. Custodial Receipts --------------------------------------------------------------- Moody's Investors Service announced that it has placed under review for possible upgrade these custodial receipts issued by BAC AAH Capital Funding LLC XI: $70,000,000 Money Market Preferred Stock Custodial Receipts, Bank of America Corporation, Series XI, relating to Floating Rate Noncumulative Company Preferred Securities XI issued by BAC AAH Capital Funding LLC XI, B3 placed under review for possible upgrade; previously on 5/28/2009 downgraded to B3. The transaction is a structured note whose rating is based on the rating of the Deposited Stock as well as the legal structure of the transaction. BAC AAH: Moody's Reviews Ratings on Various Custodial Receipts -------------------------------------------------------------- Moody's Investors Service announced that it has placed under review for possible upgrade these custodial receipts issued by BAC AAH Capital Funding LLC X: -- $70,000,000 Money Market Preferred Stock Custodial Receipts, Bank of America Corporation, Series X, relating to Floating Rate Noncumulative Company Preferred Securities X issued by BAC AAH Capital Funding LLC X, B3 placed under review for possible upgrade; previously on 5/28/2009 downgraded to B3. The transaction is a structured note whose rating is based on the rating of the Deposited Stock as well as the legal structure of the transaction. BANC OF AMERICA: Fitch Affirms Ratings on Various 2007-1 Notes -------------------------------------------------------------- Fitch Ratings affirms and assigns Loss Severity Ratings to Banc of America Commercial Mortgage Securities, Inc., series 2007-1: -- $15 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $293 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $444 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $68.5 million class A-AB at 'AAA/LS1'; Outlook Stable; -- $698.7 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $637 million class A-1A at 'AAA/LS1'; Outlook Stable; -- Interest-only class XW at 'AAA'; Outlook Stable; -- $214.5 million class A-MFX at 'AAA/LS3'; Outlook Stable; -- $100 million class A-MFL at 'AAA/LS3'; Outlook Stable; -- $259.5 million class A-J at 'BBB/LS3'; Outlook Negative; -- $27.5 million class B at 'BBB-/LS5'; Outlook Negative; -- $35.4 million class C at 'BB/LS5'; Outlook Negative; -- $27.5 million class D at 'BB/LS5'; Outlook Negative; -- $39.3 million class E at 'B/LS5'; Outlook Negative; -- $39.3 million class F at 'B/LS5'; Outlook Negative; -- $35.4 million class G at 'B-/LS5'; Outlook Negative; -- $35.4 million class H at 'B-/LS5'; Outlook Negative; -- $39.3 million class J at 'B-/LS5'; Outlook Negative; -- $7.9 million class K at 'B-/LS5'; Outlook Negative; -- $11.8 million class L at 'B-/LS5'; Outlook Negative; -- $7.9 million class M at 'B-/LS5'; Outlook Negative; -- $3.9 million class N at 'B-/LS5'; Outlook Negative; -- $7.9 million class O at 'B-/LS5'; Outlook Negative; -- $11.8 million class P at 'CCC/RR6'. Fitch does not rate the $39.3 million class Q. The Loss Severity Ratings are based on Fitch's recognized losses of 6.2%. BANC OF AMERICA: Moody's Affirms Ratings on Seven 2005-2 Certs. --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of seven classes, confirmed three classes and downgraded eleven classes of Banc of America, Commercial Mortgage Pass-Through Certificates, Series 2005-2. On July 30, 2009, Moody's placed 14 classes on review for possible downgrade due to concerns about a decline in the pool's credit quality. The action concludes that review. Classes A-J, B and C are confirmed based on the existing key parameters for the deal. Classes D through O are downgraded due to higher expected losses resulting from anticipated losses from loans in special servicing, increased leverage and increased loan concentration. On July 30, 2009, classes A-J through P were placed on review for possible downgrade. The action concludes that review. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the August 10, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 11% to $1.4 billion from $1.6 billion at securitization. The Certificates are collateralized by 85 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top 10 loans representing 47% of the pool. Four loans, representing 14% of the pool, had investment grade underlying ratings at securitization and last review. However, because of increased leverage, these loans no longer have underlying ratings and are now analyzed as part of the conduit pool. One loan, representing 0.7% of the pool, has defeased and is collateralized with U.S. Government securities. Fifteen loans, representing 16% 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. Not all loans on the watchlist are delinquent or have significant issues. The pool has not experienced any losses to date. Three loans, representing 4% of the pool, are currently in special servicing. Moody's estimates an aggregate loss of $13 million for the specially serviced loans (23% loss severity on average). Moody's was provided with full-year 2008 operating results for 99% of the pool. Moody's weighted average loan to value ratio for the total pool is 102% compared to 96% at last review. Moody's stressed debt service coverage ration for the pool is 1.0X compared to 1.03X at last review. Moody's stressed DSCR is based on Moody's net cash flow and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of the Herfindahl index to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstance. The credit neutral Herf score is 40. The pool has a Herf of 30 compared to 33 at last review. There were five loans with underlying ratings at last review. Fashion Mall ($160.4 million original balance) paid off at maturity in January 2008. The remaining four loans no longer have underlying ratings due to increased leverage and are now analyzed as part of the conduit pool. The largest loan that originally had an underlying rating is the Phoenix Plaza I & II Loan ($77.0 million -- 5.3%), which is secured by two office buildings totaling 834,826 square feet in Phoenix, Arizona. The property was 92% occupied as of December 2008 compared to 96% at last review. The downtown Phoenix office market has weakened since securitization, with the Class A vacancy rate increasing from 15% at securitization to 25% as of the second quarter of 2009. The loan is interest-only for the entire term and matures in October 2009. Moody's LTV and stressed DSCR are 81% and 1.24X, respectively, compared to 71% and 1.44X at last review. The remaining three loans that formerly had underlying ratings are each secured by a single tenant office building leased to American Express Travel Related Services Company, Inc. (Moody's senior unsecured rating of parent company is A3, negative outlook) through 2014 or 2015. Each loan is interest-only for the entire term and has an anticipated repayment date in early 2010, with a scheduled final maturity date, and balloon payment due, in late 2014 or early 2015. The performance of these properties has been stable. Moody's original valuation reflected the credit quality of the tenant as well as a lit/dark analysis based on then-current market conditions and a high probability of American Express renewing its leases, which would facilitate the refinancing of the properties. Moody's used the same approach in this valuation, however, weaker real estate market conditions, a lower credit rating for American Express and the expectation of a lower renewal probability has resulted in increased leverage. At ecuritization, American Express had a senior unsecured rating of A1, stable outlook. The largest loan secured by a building leased to American Express is the American Express Building - MN Loan ($56.1 million -- 3.8%), which is secured by a 541,542 square foot Class A office building located in Minneapolis, Minnesota. The building is leased by American Express through November 1, 2014. The ARD is January 1, 2010. Moody's LTV and stressed DSCR are 77% and 1.06X, respectively, compared to 65% and 1.06X at last review. The second largest loan is the American Express Building - UT Loan ($30.1 million -- 2.1%), which is secured by a 395,787 square foot office building located in Taylorsville, Utah. The building is leased by American Express through March 31, 2015. The ARD is April 1, 2010. Moody's LTV and stressed DSCR are 82% and 0.99X, respectively, compared to 70% and 0.99X at last review. The third largest loan is the American Express Building - ON Loan ($25.4 million -- 1.7%), which is secured by a 306,710 square foot office building located in Markham, Ontario. The building is leased by American Express through January 31, 2015. The ARD is March 1, 2010. Moody's LTV and stressed DSCR are 81% and 1.02X, respectively, compared to 68% and 1.02X at last review The three largest conduit loans represent 20% of the pool. The largest conduit loan is the New York University Housing Loan ($110.0 million -- 7.5%), which is secured by a 264-unit, 17-story student housing property located in the Tribeca sub-market of New York City. The Property is 100% master leased to New York University. Performance has been stable. Moody's LTV and stressed DSCR are 113% and 0.76X, respectively, compared to 113% and 0.81X at last review. The second largest conduit loan is the Canyon Ranch Loan ($95.0 million -- 5.9%), which is secured by two resort hotels containing a total of 315 rooms. The resorts are located in Arizona and Massachusetts. Performance has deteriorated due to declines in occupancy and revenues. Moody's LTV and stressed DSCR are 87% and 1.30X, respectively, compared to 78% and 1.40X at last review. The third largest conduit loan is the Regents Square I & II Loan ($88.6 million -- 5.5%), which is secured by a 307,450 square foot office portfolio located in the La Jolla sub-market of San Diego, California. The property was 75% occupied as of April 2009 compared to 96% at last review. Occupancy is expected to decline further in 2009 due to near-term lease expirations. The loan is interest-only for the entire term. Moody's LTV and stressed DSCR are 139% and 0.70X, respectively, compared to 134% and 0.75X at last review. Moody's rating action is: -- Class A-3, $226,758,616, affirmed at Aaa; previously affirmed at Aaa on 6/11/2007 -- Class A-4, $206,700,000, affirmed at Aaa; previously affirmed at Aaa on 6/11/2007 -- Class A-AB, $51,850,099,000, affirmed at Aaa; previously affirmed at Aaa on 6/11/2007 -- Class A-5, $478,931,000, affirmed at Aaa; previously affirmed at Aaa on 6/11/2007 -- Class A-M, $164,234,000, affirmed at Aaa; previously affirmed at Aaa on 6/11/2007 -- Class X-C, Notional, affirmed at Aaa; previously affirmed at Aaa on 6/11/2007 -- Class X-P, Notional, affirmed at Aaa; previously affirmed at Aaa on 6/11/2007 -- Class A-J, $108,805,000, confirmed at Aaa; previously placed on review for downgrade on 7/30/2009 -- Class B, $43,111,000, confirmed at Aa2; previously placed on review for possible downgrade on 7/30/2009 -- Class C, $16,423,000, confirmed at Aa3; previously placed on review for possible downgrade on 7/30/2009 -- Class D, $28,741,000, downgraded to A3 from at A2; previously placed on review for possible downgrade on 7/30/2009 -- Class E, $16,423,000, downgraded to Baa1 from A3; previously placed on review for possible downgrade on 7/30/2009 -- Class F, $20,530,000, downgraded to Baa2 from Baa1; previously placed on review for possible downgrade on 7/30/2009 -- Class G, $18,477,000, downgrade to Baa3 from Baa2; previously placed on review for possible downgrade on 7/30/2009 -- Class H, $18,476,000, downgraded to Ba2 from Baa3; previously placed on review for possible downgrade on 7/30/2009 -- Class J, $8,212,000, downgraded to Ba3 from Ba1; previously placed on review for possible downgrade on 7/30/2009 -- Class K, $6,159,000, downgraded to B1 from Ba2; previously placed on review for possible downgrade on 7/30/2009 -- Class L, $6,159,000, downgraded to B2 from Ba3; previously placed on review for possible downgrade on 7/30/2009 -- Class M, $4,106,000, downgraded to Caa2 from B1; previously placed on review for possible downgrade on 7/30/2009 -- Class N, $2,053,000, downgraded to Caa2 from B2; previously placed on review for possible downgrade on 7/30/2009 -- Class P, $10,265,000, downgraded to Caa3 from B3; previously placed on review for possible downgrade on 7/30/2009 BAYTEX ENERGY: Moody's Puts B3 Rating on Mulled C$150MM Notes ------------------------------------------------------------- Moody's Investors Service assigned a B3 rating to Baytex Energy Trust's proposed offering of C$150 million of senior subordinated notes due 2016. Moody's also affirmed Baytex Energy Ltd.'s B1 Corporate Family Rating and Probability of Default Rating, and the B3 rating on Baytex's existing US$180 million of senior subordinated notes. Concurrent with the bond issue, Moody's will move the CFR and PDR of Baytex Energy Ltd. to Baytex Energy Trust, as the trust will now be the top most legal entity within the corporate family having rated debt. The rating outlook is stable. Proceeds from the proposed notes offering, along with funds drawn from the company's revolver, will be used to fund the redemption price on these senior subordinated notes of its subsidiary, Baytex Energy Ltd.: 9.625% due July 15, 2010 and 10.5% due February 15, 2011. Upon full redemption, Moody's will withdraw the B3 rating on the 9.625% notes. While the new debt issue will not increase Baytex's overall debt burden, it will increase the proportion of secured debt relative to subordinated debt. However, the change in the ratio of secured debt to subordinated debt is not material enough to impact the debt ratings under Moody's Loss Given Default Methodology. The new notes will be issued at the Baytex Energy Trust level but will have substantially the same guarantee package as the existing Baytex Energy Ltd. notes, and the new subordinated notes and existing subordinated notes will rank pari-passu. Baytex's B1 Corporate Family Rating rating reflects its relatively small reserves, short reserve life in terms of proved developed reserves, exposure to light/heavy differentials given Baytex's heavy oil weighted production bias, and the near dated (June, 2010) maturity of its revolving facility. The CFR is supported by the company's favorable leverage on a both debt to average daily production and debt to PD reserves basis, its stable production profile and reasonable F&D costs, and the ability to maintain a solid leveraged full-cycle ratio even during a subdued oil price environment. The rating also considers Baytex's income trust structure, including substantial quarterly distributions, and the company's somewhat acquisitive nature. Baytex has made several small scale acquisitions in the past three years but has also used a significant amount of equity financing to maintain a relatively conservative capital structure. The stable outlook reflects Baytex's relatively steady-state production profile, reasonable leverage and Moody's expectation that the company will keep its financial policies and capital structure largely unchanged following its transition to a corporate legal entity structure from an income trust. Assignments: Issuer: Baytex Energy Trust -- Senior Subordinated Regular Bond/Debenture, Assigned B3, LGD5, 87% Moody's last rating action was on September 19, 2006 when the PDR was assigned. Baytex Energy Ltd. is a Calgary, Alberta-based independent exploration and production company focused on heavy oil with primary assets in Western Canada. BEAR STEARNS: Fitch Takes Rating Actions on 2006-PWR14 Certs. ------------------------------------------------------------- Fitch Ratings has downgraded, removed from Rating Watch Negative, and assigned Rating Outlooks and Loss Severity ratings to 14 classes of commercial mortgage pass-through certificates from Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14. A detailed list of rating actions follows at the end of this release. The downgrades are the result of loss expectations and reflect Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch foresees potential losses could reach as high as 6.23% for this transaction should market conditions not recover. The rating actions are based on losses of 5.73%, including 100% of the term losses and 25% of the losses anticipated to occur at maturity; the 5.73% recognizes all of the losses anticipated in the next five years. Of the recognized losses, 45.4% were on loans reviewed in detail. Given the significant remaining term to maturity, Fitch's actions do not account for the full magnitude of possible maturity losses. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for certain loans representing 62.6% of the pool and, in some cases, revised based on additional information and/or property characteristics. Approximately 12.8% of the mortgages mature within the next five years: 0% in 2010, 9.6% in 2011, 0.2% in 2012, 2.9% in 2013, and 0.1% in 2014. All losses associated with these loans are fully recognized in the rating actions. Fitch identified 47 Loans of Concern (19.9%) within the pool, 10 of which (5.9%) are specially serviced. Of the specially serviced loans, two (4.1%) are current. Of the current loans, Phillips at Sunrise Shopping Center is expected to be transferred back to the master servicer. Two (4.1%) of the specially serviced loans, including the Phillips at Sunrise, are within the transaction's top 15 loans (35%) by unpaid principal balance. Seven of the loans (13.2%) within the top 15 are expected to default during the term, with loss severities ranging from 18% to 31%. The largest contributors to loss are: Phillips at Sunrise Shopping Center (2.7%), Sycamore Center (2.7%) and Drury Inn Portfolio (1.4%) Phillips at Sunrise Shopping Center is a 414,082 sf retail center located in Massapequa, New York. The property was approximately 100% occupied at issuance but recently lost Circuit City following the company's bankruptcy. As of an April 2009 rent roll, the property was approximately 78.9% leased. The loan has been in special servicing since March 2009 after the borrower requested relief when a major tenant filed bankruptcy. Per the special servicer, the property is in good condition and the loan is expected to transfer back to the master servicer within 30-45 days. As of September 2008, the reported DSCR was approximately 1.29 times (x). The sponsors are Philip Pilevsky and Norman Stark. Sycamore Center is a 384,239 sf retail center located in Cincinnati, OH. At issuance the property was 100% occupied. As of a July 2009 rent roll, the property is approximately 88% leased. The loan was structured with five years interest only, followed by amortization on a 30-year schedule. As of the first quarter of 2009 1Q'09, the DSCR was 1.27x, compared to 1.46x as of YE 2008. The sponsors are Richard Pachulski, Isaac Pachulski, A. Stuart Rubin and Nathan Rubin. The Drury Inn Portfolio includes three hotels and 453 units under the Best Western and Drury Inn Flags. The hotels are located in San Antonio and Albuquerque. Performance and cash flow continue to decline. As of September 2008, the portfolio reported a DSCR of 1.93x compared to the current 1Q'09 DSCR of 0.99x. The occupancies for the first quarter 2009 range between 48.3% and 71.7%, all lower than first quarter 2008. Fitch has downgraded, removed from Rating Watch Negative and assigned Rating Outlooks, LS and Recovery Ratings as indicated: -- $222.1 million class A-J to 'BBB/LS3' from 'AAA'; Outlook Stable; -- $46.3 million class B to 'BB/LS5' from 'AA'; Outlook Negative; -- $24.7 million class C to 'BB/LS5' from 'AA-'; Outlook Negative; -- $37 million class D to 'B/LS5' from 'A'; Outlook Negative; -- $21.6 million class E to 'B/LS5' from 'A-'; Outlook Negative; -- $24.7 million class F to 'B-/LS5' from 'BBB+'; Outlook Negative; -- $24.7 million class G to 'B-/LS5' from 'BBB'; Outlook Negative; -- $24.7 million class H to 'B-/LS5' from 'BBB-'; Outlook Negative; -- $9.3 million class J to 'B-/LS5' from 'BB+'; Outlook Negative; -- $6.2 million class K to 'B-/LS5' from 'BB'; Outlook Negative; -- $9.3 million class L to 'B-/LS5' from 'BB-'; Outlook Negative; -- $3.1 million class M to 'B-/LS5' from 'B+'; Outlook Negative; -- $6.2 million class N to 'B-/LS5' from 'B'; Outlook Negative; -- $6.2 million class O to 'CCC/RR6' from 'B-'. Additionally, Fitch has affirmed these classes and Rating Outlooks and assigned LS ratings as indicated: -- $75.1 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $170.7 billion class A-2 at 'AAA/LS1'; Outlook Stable; -- $68.9 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $125.1 million class A-AB at 'AAA/LS1'; Outlook Stable; -- $950.9 billion class A-4 at 'AAA/LS1'; Outlook Stable; -- $295.6 million class A-1A at 'AAA/LS1'; Outlook Stable; -- $246.8 million class A-M at 'AAA/LS3'; Outlook Stable. Fitch does not rate these classes: -- $25 million class P. BEAR STEARNS: Moody's Affirms Ratings on 14 2004-PWR4 Certificates ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings of 14 classes and downgraded three classes of Bear Stearns Commercial Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-PWR4. The downgrades are due to realized losses and increased credit quality dispersion. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the August 11, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 11% to $845.7 million from $955.0 million at securitization. The Certificates are collateralized by 72 mortgage loans ranging in size from less than 1% to 16% of the pool, with the top 10 non- defeased loans representing 55% of the pool. The pool includes two loans with investment grade underlying ratings, representing 26% of the pool. Eight loans, representing 14% of the pool, have defeased and are collateralized by U.S. Government securities. Fifteen loans, representing 20% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the pool, resulting in a $3.0 million realized loss. There are currently no loans in special servicing. Moody's was provided with full-year 2008 operating results for 95% of the pool, excluding the defeased loans. Moody's weighted average loan to value ("LTV") ratio is 92%, compared to 89% at Moody's prior full review in February 2007. The pool has experienced increased credit quality dispersion since securitization. Based on Moody's analysis 32% of the pool has a LTV greater than 100% compared to 19% at last review and 9% at securitization. Approximately 3% of the pool has an LTV in excess of 120% compared to 0% at last review and securitization. Moody's stressed debt service coverage ratio is 1.21X, essentially the same as at last review. Moody's stressed DSCR is based on Moody's net cash flow and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of the Herfindahl index to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool, excluding defeased loans, has a Herf of 15 compared to 17 at last review. The largest loan with an underlying rating is the Shell Plaza Loan ($131.6 million -- 15.6%), which is secured by a 1.8 million square foot Class A office complex located in downtown Houston, Texas. The major tenants are Shell Oil Company (Moody's long term issuer rating Aa2 -- stable outlook; 69% of the net rentable area; lease expiration December 2015) and Baker Botts (16% NRA; lease expiration December 2027). As of December 2008 the property was 99% occupied compared to 98% at last review. The loan sponsor is Hines Sumisei U.S. Core Office Fund, a partnership between Hines and Sumitomo Life Realty, a subsidiary of Sumitomo Life. Performance has been stable. Moody's current underlying rating and stressed DSCR are Aaa and 2.37X, respectively, compared to Aaa and 2.30X at last review. The second largest loan with an underlying rating is the GIC Office Portfolio Loan ($84.4 million -- 10.0%), which is a pari passu interest in a $696.4 million first mortgage loan. The loan is secured by 12 office properties totaling 6.4 million square feet and located in seven states. The highest geographic concentrations are Chicago (39% of the NRA), suburban Philadelphia (17%), and San Francisco (12%). As of December 2008, the portfolio was 92% occupied, essentially the same as at last review. The Chicago concentration is comprised of two buildings - - the AT&T Corporate Center (1.5 million square feet; 24%) and the USG Building (928,000 square feet; 14%). The performance of these properties has declined significantly since last review due to the weakness of the Chicago office market. The portfolio's largest tenant, AT&T (10%), expired on March 31, 2009, and based on the most recent available information it appears that AT&T vacated their premises. The portfolio's reported 2008 year-end NOI was 6% lower than at securitization due to lower rental revenues and increased operating expenses and is expected to decline further in 2009 due to AT&T's lease expiration. The loan sponsor is Prime Plus Investments, Inc., a private REIT wholly owned by the Government of Singapore Investment Corporation (Realty) Pte Ltd. Moody's current underlying rating and stressed DSCR are Baa2 and 1.44X, respectively, compared to A2 and 1.55X at last review. The top three conduit loans represent 15% of the pool. The largest conduit loan is the 40 Landsdowne Street Loan ($51.9 million -- 6.1%), which is secured by a 215,000 square foot Class A office/biotechnology building located in an industrial park that abuts the main campus of the Massachusetts Institute of Technology in Cambridge, Massachusetts. The property is 100.0% leased to Millennium Pharmaceuticals, Inc. through July 2020. The loan was structured with a 25-year amortization schedule and has amortized by approximately 6% since last review. Moody's LTV and stressed DSCR are 79% and 1.35X, respectively, compared to 86% and 1.24X at last review. The second largest conduit loan is the One North State Street Loan ($40.6 million -- 4.8%), which is secured by a 168,000 square foot retail condominium unit situated in a 675,000 square foot mixed use property located in downtown Chicago, Illinois. The property was 100% occupied as of December 2008, similar to last review. Major tenants include TJ Maxx (42% GLA; lease expiration January 2012) and Filene's Basement (34% GLA; lease expiration January 2012). The loan is on the servicer's watchlist due to the bankrupcy of Filene's Basement. Filene's filed Chapter 11 bankruptcy in May 2009 but did not include this store in its initial list of store closings. Although the property's performance has been stable since securitization, Moody's analysis incorporates a stressed cash flow reflecting a potential increase in vacancy if Filene's closes this store. Moody's LTV and stressed DSCR are 116% and 0.93X, respectively, compared to 91% and 1.19X at last review. The third largest conduit loan is the Alexandria East Coast Portfolio Loan ($34.8 million -- 4.1%), which is secured by five office buildings located in Massachusetts, Pennsylvania and New Jersey. The portfolio totals 205,000 square feet and was 88% occupied as of December 2008 compared to 100% at last review. One property is 100% vacant (25,000 square feet) while the other properties are 100% occupied. The loan is on the servicer's watchlist due to November 30, 2009 lease expiration of Genaera Corporation, which occupies one of the buildings (21,000 square feet). Moody's analysis incorporates a stressed cash flow reflecting a potential increase in the portfolio's vacancy rate. Moody's LTV and stressed DSCR are 94% and 1.16X, respectively, compared to 75% and 1.46X at last review. Moody's rating action is: -- Class A-1, $811,030, affirmed at Aaa; previously affirmed at Aaa on 2/27/2007 -- Class A-2, $106,000,000, affirmed at Aaa; previously affirmed at Aaa on 2/27/2007 -- Class A-3, $630,914,000, affirmed at Aaa; previously affirmed at Aaa on 2/27/2007 -- Class X, Notional, affirmed at Aaa; previously affirmed at Aaa on 2/27/2007 -- Class B, $19,098,000, affirmed at Aa2; previously affirmed at Aa2 on 2/27/2007 -- Class C, $8,356,000, affirmed at Aa3; previously affirmed at Aa3 on 2/27/2007 -- Class D, $14,324,000, affirmed at A2; previously affirmed at A2 on 2/27/2007 -- Class E, $9,549,000, affirmed at A3; previously affirmed at A3 on 2/27/2007 -- Class F, $9,549,000, affirmed at Baa1; previously affirmed at Baa1 on 2/27/2007 -- Class G, $8,356,000, affirmed at Baa2; previously affirmed at Baa2 on 2/27/2007 -- Class H, $10,743,000, affirmed at Baa3; previously affirmed at Baa3 on 2/27/2007 -- Class J, $3,581,000, affirmed at Ba1; previously affirmed at Ba1 on 2/27/2007 -- Class K, $4,774,000, affirmed at Ba2; previously affirmed at Ba2 on 2/27/2007 -- Class L, $4,775,000, affirmed at Ba3; previously affirmed at Ba3 on 2/27/2007 -- Class M, $2,387,000, downgraded to B2 from B1; previously affirmed at B1 on 2/27/2007 -- Class N, $2,388,000, downgraded to B3 from B2; previously affirmed at B2 on 2/27/2007 -- Class P, $2,387,000, downgraded to Caa1 from B3; previously affirmed at B3 on 2/27/2007 BEAR STEARNS: Moody's Reviews Ratings on Eight 2006-BBA7 Certs. --------------------------------------------------------------- Moody's Investors Service placed eight classes of Bear Stearns Commercial Mortgage Securities Inc., Commercial Mortgage Pass- Through Certificates, Series 2006-BBA7 on review for possible downgrade due to the decline in performance of the two remaining loans, the Columbia Sussex Portfolio Loan ($549.0 million -- 93.1%) and the CPI Hilton Portfolio Loan ($40.5 million -- 6.9%). The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. The Columbia Sussex Loan is secured by fourteen full-service hotel properties in ten states, Washington, D.C. and Toronto, Canada with a total of 5,821 rooms. At securitization, ten of the properties in the portfolio had Wyndham flags. Currently, the portfolio is branded by six Westin flags, two Sheraton flags, three Hilton flags, two Marriott flags and one Wyndham flag. RevPAR for the portfolio declined approximately 16%, from $108.02 (year-to-date ending June 2008) to $87.55 (year-to-date ending June 2009), compared to Moody's RevPAR of $107.34 at securitization. Income from operations declined approximately 29% during the same periods. The properties have been negatively impacted by the world-wide recession, and the improvement in portfolio performance expected at securitization from re-branding all but one of the properties, in conjunction with extensive capital spending projects, has not materialized. The CPI Hilton Portfolio Loan is secured by five limited service hotel properties including four Hilton Garden Inns and one Homewood Suites. The properties are located in five states and have a total of 944 rooms. RevPAR for the portfolio declined approximately 20%, from $80.10 (year-too-date ending July 2008) to $63.73 (year-to-date ending July 2009). Moody's RevPAR at securitization was $71.10. Both remaining loans matured in October 2007, and with extension options have final maturies in October 2010. As of the August 17, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 16% to $589.5 million from $700.0 million at securitization as a result of the pay off of three loans originally in the pool and scheduled amortization. Based on Moody's preliminary analysis, the pool's weighted average loan to value ratio has increased since last review due to a decline in loan performance. Moody's review will focus on potential losses from the specially serviced loan and the overall pool performance. Moody's rating action is: -- Class B, $30,900,138, currently rated A1, on review for possible downgrade; previously downgraded to A1 from Aa1 on 2/24/2009 -- Class C, $22,799,698, currently rated A2, on review for possible downgrade; previously downgraded to A2 from Aa2 on 2/24/2009 -- Class D, $21,000,000, currently rated A3, on review for possible downgrade; previously downgraded to A3 from Aa3 on 2/24/2009 -- Class E, $21,000,000, currently rated Baa1, on review for possible downgrade; previously downgraded to Baa1 from A1 on 2/24/2009 -- Class F, $20,125,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from A2 on 2/24/2009 -- Class G, $36,823,448, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from Baa1 on 2/24/2009 -- Class H, $16,551,552, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from Baa2 on 2/24/2009 -- Class J, $8,803,668, currently rated Ba3, on review for possible downgrade; previously downgraded to Ba3 from Baa3 on 2/24/2009 BLACKROCK SENIOR: Moody's Upgrades Ratings on Class B Senior Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has upgraded its rating of this class of notes issued by BlackRock Senior Income Series III plc: -- US$8,600,000 Class B Second Senior Secured Notes, Upgraded to B2; previously on Oct. 23, 2008 Downgraded to Caa1 and Remained On Review for Possible Downgrade In taking this rating action, Moody's took into consideration the fact that (i) the Class B noteholders are now the controlling class of the transaction following the redemption in full of the senior credit facility and (ii) the execution by the Issuer of a waiver agreement with the required Class B noteholders and required Class C noteholders. According to the waiver agreement, the required noteholders have waived the events of default due to the failure of certain over-collateralization tests that occurred in October 2008. Pursuant to the waiver agreement, all proceeds from the underlying assets generated by their amortizations or by opportunistic sales and not used to pay certain expenses and interest on the most senior class of notes, will be used to repay the notes in full in order of priority. The waiver agreement has a termination date of December 31, 2009 and, at the controlling party's sole discretion, can be extended for up to three additional six-month periods ending on June 30, 2011. The rating action also took into consideration the revised modeling assumptions that were described in the publication noted below. As of July 31, 2009, Moody's Class B Over-Collateralization ratio for this transaction was 106%. BlackRock Senior Income Series III plc is a market value collateralized loan obligation backed primarily by bank loans. CALLIDUS DEBT: Moody's Downgrades Ratings on Three Classes ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Callidus Debt Partners CLO Fund II, Ltd.: -- US$246,000,000 Class A Senior Secured Floating Rate Notes Due 2015 (current balance of $204,991,748), Downgraded to A1; previously on Dec 17, 2008 Upgraded to Aaa; -- US$11,500,000 Class C-1 Secured Floating Rate Notes Due 2015 (current balance of $11,698,154), Downgraded to Ca; previously on Mar 20, 2009 Downgraded to B2 and Remains On Review for Possible Downgrade; -- US$10,000,000 Class C-2 Secured Fixed Rate Notes Due 2015 (current balance of $10,154,767), Downgraded to Ca; previously on Mar 20, 2009 Downgraded to B2 and Remains On Review for Possible Downgrade. Additionally, Moody's has confirmed the ratings of these notes: -- US$13,500,000 Class B Senior Secured Deferrable Floating Rate Notes Due 2015, Confirmed at Baa3; previously on Mar 20, 2009 Downgraded to Baa3 and Remains On Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect 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 revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. The rating actions reflect the adverse impact of the aforementioned stresses, as well as credit deterioration in the underlying portfolio. Such credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, and an increase in the proportion of securities from issuers rated Caa1 and below. In particular, the weighted average rating factor has increased over the last year and is currently 2698 versus a test level of 2595 as of the last trustee report, dated July 10, 2009. Based on the same report, defaulted securities total about $11.6 million, accounting for roughly 4.9% of the collateral balance, and securities rated Caa1 or lower make up approximately 12% of the underlying portfolio. (Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, may be different from the trustee's reported numbers.) Moody's also assessed the collateral pool's elevated concentration risk 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. The rating on Class A Notes reflects the actual underlying rating of the Class A Notes. This underlying rating is based solely on the intrinsic credit quality of the Class A Notes in the absence of the guarantee from Ambac Assurance Corporation, whose insurance financial strength rating was downgraded from Ba3 to Caa2 on July 29, 2009. The above action is a result of, and is consistent with, Moody's modified approach to rating structured finance securities wrapped by financial guarantors as described in the press release dated November 10, 2008, titled "Moody's modifies approach to rating structured finance securities wrapped by financial guarantors." Callidus Debt Partners CLO Fund II, Ltd., issued in 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. CAPITAL ONE: Fitch Affirms Ratings on Various Classes of Notes -------------------------------------------------------------- Fitch Ratings has affirmed these classes of Capital One Multi- Asset Execution Note Trust: -- Class A notes at 'AAA'; Rating Outlook Stable; -- Class B notes at 'A'; Rating Outlook Negative; -- Class C notes at 'BBB'; Rating Outlook Negative; -- Class D notes at 'BB'; Rating Watch Negative. The affirmation is based on some notable changes in trust performance. The gross yield has improved for three consecutive months up to 20.69% for the July collection month after hitting a low of 18.05% in April. Although part of the improvement is driven by seasonality and day count, there seem to be sustainable benefits brought by the re-pricing initiatives implemented earlier 2009. Fitch expects the positive impact of pricing change on yield to continue through the second half of 2009. Monthly payment rate, a measure of how quickly consumers are paying off their debt, also exhibited some improvement. It was at 18.34% in the July collection month compared to 15.49% four months ago. Excluding seasonality, the improvement is largely driven by the addition of approximately $2 billion in small business credit card receivables in May. The small business assets had an average payment rate of 32% in 2008, almost twice that of the consumer card portfolio. Despite the improvement in gross yield and MPR, Fitch still has concerns about the trust's elevated charge-off and delinquency rate. The gross charge-off stood at 10.7% in July, and the percentage of receivables that are 60 or more days delinquent was 4.04% during this period after declining for three months, indicating that an elevated level of charge-offs will persist over the near-term. Fitch has performed stress testing using elevated charge-off rates when evaluating the existing ratings given the available credit enhancement and structural protections afforded to investors. Excess spread, a measure of a trust's ability to generate profitability, had experienced significant downward pressure in 2009. It bounced back to 6.15% in July due to the improving yield. At the end of the July collection month, the class D reserve account trapped a full 1% of the outstanding principal balances, while the deposit in the class C reserve account was released as the three-month average excess spread went back to 5.06%. The recent volatility in excess spread is not consistent with Fitch's original assumption, and class C and D notes may not derive as much enhancement as originally anticipated from the excess spread account. Therefore, despite the improvement in excess spread, the Rating Outlook for the class C notes remains Negative, and the class D Notes remain on Negative Watch. Fitch's analysis included a comparison of observed performance trends over the past few months to Fitch's base case expectations for each outstanding rating category. As part of its ongoing surveillance efforts, Fitch will continue to monitor the performance of these trusts. CAPMARK VI: Fitch Takes Rating Actions on Five Classes of Notes --------------------------------------------------------------- Fitch Ratings assigns Recovery Ratings, downgrades, and withdraws the ratings of five classes of notes issued by Capmark VI Ltd./Capmark VI Delaware Corp. A detailed list of rating actions follows at the end of the release. Capmark VI declared an event of default on Aug. 6, 2008 when the Principal Coverage Ratio fell below 100%. Subsequently, the revolving facility as the controlling class notified the trustee that they were exercising the right to direct the trustee to sell and liquidate the collateral. The Final Distribution occurred on July 20, 2009. The liquidation proceeds from the cash assets in the portfolio were insufficient to fully pay the credit default swap and interest rate swap termination payments. As a result, the Revolving Facility had to be drawn upon to fund the remaining swap termination payments, and make some credit protection payments. Prior to the final distribution date, a total of 67.0% of the original notional balance of the Revolving Facility had been drawn upon. On the final distribution date, there were insufficient proceeds to fully repay the drawn portion of the Revolving Facility. The unpaid portion of the drawn amount represents a loss to the tranche and corresponds to Fitch's Recovery Rating of 'RR5' (11-30%). The Revolving Facility, class A-1, and class A-2 received full commitment fee and interest payments due. Classes A-1, A-2, B, and C notes received no principal payments. Distributions received by classes A-1, A-2, B, and C notes are consistent with 'RR6' (0-10%). Capmark VI is a hybrid collateralized debt obligation that closed on July 26, 2006, with a portfolio selected by Capmark Investments L.P. The reference portfolio is composed of 55.3% residential mortgage-backed securities from the 2004-2007 vintages, 28.3% commercial mortgage-backed securities, 9.9% CDOs, 4.4% Real Estate Investment Trusts, 1.6% asset-backed securities, and 0.5% Alternative-A RMBS. Fitch has taken these rating actions: -- $245,368,967 Revolving Facility downgraded to 'D/RR5' from 'CCC'; withdrawn; -- $25,000,000 class A-1 notes downgraded to 'D/RR6' from 'CC'; withdrawn; -- $52,000,000 class A-2 notes downgraded to 'D/RR6' from 'CC'; withdrawn; -- $20,953,247 class B notes downgraded to 'D/RR6' from 'C'; withdrawn; -- $12,904,817 class C notes downgraded to 'D/RR6' from 'C'; withdrawn. CENT CDO: Moody's Downgrades Ratings on Various Classes of Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Cent CDO 12 Limited: -- US$459,600,000 Class A Floating Rate Senior Notes Due 2020; Downgraded to Aa2; previously on December 19, 2006 Assigned Aaa; -- US$28,800,000 Class B Floating Rate Senior Notes Due 2020, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$22,800,000 Class E Deferrable Floating Rate Junior Notes Due 2020, Downgraded to Caa3; previously on March 17, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$32,400,000 Class C Deferrable Floating Rate Mezzanine Notes Due 2020, Confirmed at Ba1; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$22,800,000 Class D Deferrable Floating Rate Mezzanine Notes Due 2020, Confirmed at B1; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect 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 revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities and an increase in the proportion of securities from issuers rated Caa1 and below. In particular, the weighted average rating factor has increased over the last year and is currently 2838 versus a test level of 2830 as of the last trustee report, dated July 10, 2009. Based on the same report, defaulted securities total about $43.5 million, accounting for roughly 7% of the collateral balance, and securities rated Caa1 or lower make up approximately 7.7% of the underlying portfolio (due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, may be different from the trustee's reported numbers). Cent CDO 12 Limited, issued in December of 2006, is a collateralized loan obligation senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. CLAREGOLD TRUST: Moody's Affirms Ratings on Seven 2007-2 Certs. --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of seven classes and downgraded six classes of ClareGold Trust Commercial Mortgage Pass-Through Certificates, Series 2007-2. Moody's is downgrading all the below-investment grade classes due to higher expected losses for the pool resulting from increased leverage. The pool's overall increase in leverage is largely due to the decline in performance of the pool's largest loan, the Holiday Portfolio, which represents 16% of the transaction. The investment grade rated classes are affirmed based on the existing key parameters of the deal, however, any further decline of the Holiday Portfolio loan could negatively impact the ratings of the investment grade rated classes despite the loan being full recourse to the sponsor. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the August 17, 2009 distribution date, the transaction's aggregate certificate balance has decreased by 4% to $455.3 million from $475.4 million at securitization. The Certificates are collateralized by 69 mortgage loans ranging in size from less than 1% to 16% of the pool, with the top 10 loans representing 56% of the pool. Three loans, representing 16% of the pool, have investment grade underlying ratings. Eight loans, representing 7% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has not experienced any losses since securitization and currently there are no loans in special servicing. Moody's was provided with full-year 2007 and 2008 operating results for 93% and 75% of the pool, respectively. Moody's weighted average loan to value ratio for the conduit component is 99% compared to 89% at securitization. Moody's stressed debt service coverage ratio is 1.03X compared to 1.08X at securitization. Moody's stressed DSCR is based on Moody's net cash flow and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of the Herfindahl index to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 19 compared to 20 at securitization. The largest loan with an underlying rating is The Grosvenor Building ($31.2 million -- 6.9%), which is secured by a Class A office building located in downtown Vancouver, British Columbia. The property was 93% occupied as of February 2009 compared to 98% at securitization. Performance has been stable despite the decline in occupancy. Moody's current underlying rating and stressed DSCR are Baa3 and 1.39X, respectively, compared to Baa3 and 1.24X at securitization. The second loan with an underlying rating is Wonderland Centre ($22.3 million -- 4.9%), which is secured by an anchored retail center located in London, Ontario. The property was 100% occupied as of September 2008, the same as at securitization. Moody's current underlying rating and stressed DSCR are Baa3 and 1.27X, respectively, compared to Baa3 and 1.17X at securitization. The third loan with an underlying rating is Victoria Place Shopping Centre ($18.3 million -- 4.0%), which is secured by a 139,600 square foot community shopping center located in London, Ontario. The property was 100% occupied as of February 2009 compared to 97% at securitization. The loan is full recourse to RioCan REIT, the largest real estate investment trust in Canada. Moody's current underlying rating and stressed DSCR are Baa2 and 0.98X, respectively, compared to Baa2 and 0.99X at securitization. The top three conduit exposures represent 28.3% of the pool. The largest conduit loan is the Holiday Portfolio ($71.6 million -- 15.7%), which is secured by four independent living properties located in different provinces in Canada. The portfolio was approximately 89% occupied as of December 2008 compared to 93% at securitization. The portfolio's performance has declined due to the drop in occupancy and increased expenses. The property's net operating income has declined 12% since securitization. The loan is interest-only throughout its entire five year term. Moody's LTV and stressed DSCR are 132% and 0.74X, respectively, compared to 98% and 0.95X at securitization. The second largest conduit loan is the Complexe University Loan ($41.2 million -- 9.0%), which is secured by two adjacent Class B office buildings located in downtown Montreal. The properties were 99% occupied as of April 2009, essentially the same as at securitization. Moody's LTV and stressed DSCR are 85% and 1.18X, respectively, compared to 87% and 1.15X at securitization. The third largest conduit loan is the Madison Centre Loan ($16.2 million -- 3.5%), which is secured by a grocery anchored shopping center located in Burnaby, British Columbia. The property was 99% occupied as of April 2009. The loan is currently on the watchlist due to a low DSCR which is being caused by rental concessions and increased operating expenses. Moody's LTV is and stressed DSCR are 119% and 0.80X, respectively, compared to 97% and 0.94X at last review. Moody's rating action is: -- Class A-1, $228,495,207 affirmed at Aaa; previously assigned Aaa on 7/26/2007 -- Class A-2, $177,835,000, affirmed at Aaa; previously assigned Aaa on 7/26/2007 -- Class X, notional, affirmed at Aaa; previously assigned Aaa on 7/26/2007 -- Class B, $ 9,745,000, affirmed at Aa2; previously assigned Aa2 on 7/26/2007 -- Class C, $ 8,913,000, affirmed at A2; previously assigned A2 on 7/26/2007 -- Class D, $ 11,884,000, affirmed at Baa2; previously assigned Baa2 on 7/26/2007 -- Class E, $ 2,377,000, affirmed at Baa3; previously assigned Baa3 on 7/26/2007 -- Class F, $ 4,160,000, downgraded to Ba3 from Ba1; previously assigned Ba1 on 7/26/2007 -- Class G, $ 1,783,000, downgraded to B2 from Ba2; previously assigned Ba2 on 7/26/2007 -- Class H, $ 1,188,000, downgraded to B3 from Ba3; previously assigned Ba3 on 7/26/2007 -- Class J, $ 1,188,000, downgraded to Caa2 from B1; previously assigned B1 on 7/26/2007 -- Class K, $ 594,000, downgraded to Caa2 from B2; previously assigned B2 on 7/26/2007 -- Class L, $ 2,139,000, downgraded to Caa3 from B3; previously assigned B3 on 7/26/2007 COMM 2006-C7: Fitch Takes Various Rating Actions on 14 Certs. ------------------------------------------------------------- Fitch Ratings has taken various rating actions on 14 classes of COMM 2006-C7, commercial mortgage pass-through certificates. In addition, Fitch has assigned Rating Outlooks, as applicable. A detailed list of rating actions follows at the end of this press release. The downgrades are the result of loss expectations and reflect Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch forecasts potential losses of 4.3% for this transaction, should market conditions not recover. The rating actions are based on losses of 2.8% including 100% of the losses associated with term defaults and any losses associated with maturities within the next five years. Given the significant term to maturity, Fitch's actions only account for 25% of the losses associated with maturities beyond five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end (YE) 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for loans representing 42.5% of the pool and, in certain cases, revised based on additional information and/or property characteristics. The loans in the reviewed sample accounted for 56.7% of the recognized loss in the deal. Approximately 6.3% of the mortgages are scheduled to mature within the next five years, with 4.9% maturing in 2011. In 2016, 84.5% of the pool is scheduled to mature. Fitch identified 23 Loans of Concern (13.2%) within the pool, eight of which (3.2%) are specially serviced. One of the specially serviced loans (1.7%) is in the transaction's top 15 loans (45.0%) by unpaid principal balance and five of the specially serviced loans are current (2.7%). Three of the Fitch Loans of Concern (4.8%) are within the transaction's top 15 loans. Fourteen of the top 15 loans (40.8%) are expected to default during the term or at maturity, with loss severities up to 48%. Three of the largest contributors to loss are: 1400 Eye Street NW (1.6% of the pool), Meadowood Napa Valley (1.5%) and Hampton Green Apartments (0.3%). 1400 Eye Street NW is collateralized by a 175,127 square foot office property in Washington DC. Most recent occupancy is 73% occupied, per the July 2009 rent roll, down from 88% at issuance. The most recent servicer reported debt service coverage ratio is 0.55 times (x) as of first quarter 2009 (1Q'09). 16% of the tenant's leases are scheduled to roll in 2011. Based on current performance and anticipated declines in performance, losses are expected prior to the loan's maturity in 2016. The Meadowood Resort is collateralized by a 98 room full service hotel in St. Helena, CA. As of YE 2008 the property had a 0.84x DSCR due to increasing operating expenses and stagnant revenue. The current average daily rate and revenue per available room are $514.36 and $233.45, respectively. Based on current performance and anticipated declines in performance, along with increasing vacancies in the area retail market, losses are expected prior to the loan's maturity in 2016. Hampton Green Apartments is a 293 unit multifamily complex located in San Antonio, TX that is currently in special servicing. The borrower has expressed hardship due to substantial violence as a result of rising crime, area job losses and ongoing freeway construction which have all caused negative cash flow. Occupancy in June 2009 was 73%. Based on current performance and anticipated declines in performance, losses are expected prior to the loan's maturity in 2016. Fitch downgrades, removes from Rating Watch Negative, and assigns Loss Severity ratings and Outlooks to these classes: -- $24.5 million class C to 'A/LS5 from 'AA-'; Outlook Negative; -- $21.4 million class E to 'BBB/LS5' from 'A-'; Outlook Negative; -- $30.6 million class F to 'BBB-/LS5' from 'BBB+'; Outlook Negative; -- $24.5 million class G to 'BB/LS5' from 'BBB'; Outlook Negative. -- $30.6 million class H to 'B/LS5' from 'BBB-'; Outlook Negative; -- $12.3 million class J to 'B-/LS5' from 'BB+'; Outlook Negative; -- $6.1 million class K to 'B-/LS5' from 'BB'; Outlook Negative; -- $9.2 million class L to 'B-/LS5' from 'BB-'; Outlook Negative; -- $3.1 million class M to 'B-/LS5' from 'B+'; Outlook Negative; -- $6.1 million class N to 'B-/LS5' from 'B'; Outlook Negative; Fitch has affirmed, removed from Rating Watch Negative, and assigned a Negative Outlook to these classes: -- $189.6 million class A-J to 'AAA/LS3'; -- $52.0 million class B to 'AA/LS4'; -- $36.7 million class D to 'A/LS5'; -- $9.2 million class O at 'B-/LS5'. Additionally, Fitch affirms, assigns LS ratings and a Stable Outlook to these classes: -- $29.7 million class A-1 at 'AAA/LS1; -- $108.0 million class A-2 at 'AAA/LS1; -- $40.1 million class A-3 at 'AAA/LS1'; -- $98.8 million class A-AB at 'AAA/LS1'; -- $1,052.7 million class A-4 at 'AAA/LS1'; -- $319.8 million class A-1A at 'AAA/LS1'; -- $244.7 million class A-M at 'AAA/LS2'; -- Interest-only class X at 'AAA'. Fitch does not rate the $33.6 million class P. COSO GEOTHERMAL: Moody's Cuts Ratings on Trust Certs. to 'Ba1' -------------------------------------------------------------- Moody's Investors Service downgraded Coso Geothermal Power Holding's pass through trust certificates to Ba1 from Baa3. The outlook is negative. This concludes the review for possible downgrade placed on May 29, 2009. The rating action reflects the much weaker than originally expected total rent coverage ratio for 2008 and the Project's updated projections that forecast total rent coverages below original expectations until 2012. According to Moody's calculations (which includes capital expenditures and associated equity contributions), total rent coverage ratio for year end 2008 and last twelve months ended June 2009 was around 1 times. Total electricity generation 13% and 20% lower than originally expected for 2008 and last twelve months ending June 2009, respectively, was the key driver for the weaker performance. Significantly higher than originally expected property taxes and higher than projected capital expenditures also contributed to lower cash flow. Over the next two years, the Project forecasts to have average total rent coverage ratio of approximately 1.2 times which is commensurate with the low end of the 'Ba' category according to Moody's Power Generation methodology. The Project expects total rent coverage improving to approximately 1.6 times by mid 2012 due to the benefits of the expanded and accelerated capital expenditure program. Moody's rating action incorporates concerns regarding potential execution risk with respect to CGPH's capital expenditure program, execution risk regarding funding sources for the capital expenditure program and conditions placed on the Inyo County conditional use permit (Inyo County permit) resulting in longer- term uncertainties regarding the Project's ability to achieve total rent coverage ratios in the Project's revised forecast. The Project encountered material difficulties with its drilling program in 2008 which resulted in production levels much lower than originally expected. While the Project has had success in the first six months of 2009 with its drilling program, Moody's believes significant execution risk continues to exist and that the Project could again incur material difficulties. For six months ending June 2009, total generation was approximately 7% below the 2009 budget. Terra-Gen (senior secured rating of Ba3), CGPH's owner, expects to source approximately $35 million of the remaining equity infusions into CGPH from a refinancing at the Dixie Valley project, a sister geothermal project of the Project. While Terra-Gen expects the refinancing of Dixie Valley to occur in 2010, the timing and net proceeds available to Terra-Gen remains uncertain. Lower than expected net proceeds or delays of the Dixie Valley refinancing could potentially have negative implications to the Project since it could lead to delays or reduced funding for the Project's capital expenditure program. Moody's recognizes that the Inyo County permit contains material restrictions and conditions including reduced water pumping by one-third in the first year, extensive monitoring of water levels, and triggers to stop pumping if water levels fall below a certain threshold. Based on a hydrological model of the area, the Project does not believe the Hay Ranch project will cause the local water levels to reach the trigger thresholds, however potential negative impact (if any) of the Hay Ranch project on the local water levels is only likely to be known once the water pumping is implemented. That said, the continuing sponsor support demonstrated by the approximately $36 million of equity contributed to fund capital expenditures as of June 30, 2009, remains a key factor supporting the Ba1 rating. Additionally, Moody's currently expects that CGPH's sponsor will fund the remainder of the specified capital expenditure program to the extent funds are available though CGPH's sponsor is not legally committed to make equity contributions. Also supporting the Ba1 rating is CGPH's substantial progress in obtaining necessary permits for the Hay Ranch project including the Bureau of Land Management permit obtained in August 2009 following on the Inyo County permit issued in May 2009. In June 2009, Little Lake Ranch filed an appeal of the Inyo County permit with the courts; however, a settlement was reached in August 2009. Moody's understands that the Project still requires an "incidental take permit" from the California Department of Fish and Game (Fish and Game Department) to build the portion of the Hay Ranch project on private land. Moody's also understands the Project has the necessary permits that should allow the Project to build the Hay Ranch project on federal land and construction on federal lands has already started. Extensive delays in receiving the incidental take permit from the Fish and Game Department could lead to delays in the Hay Ranch project from the current schedule. The current schedule anticipates pumping of water from the Hay Ranch by year- end 2009. The negative outlook considers continuing significant execution risk with CGPH's capital expenditure program, uncertainties to the ultimate sources of funding for the capital expenditure program, possible impediments caused by the Inyo County permit conditions and potential delays of the Game and Wildlife Department's incidental take permit. Over the next 12-18 months, the rating outlook could stabilize if the Project is able to resolve the uncertainties related to the above factors and achieves financial metrics according to the updated forecast. Coso Geothermal Power Holdings LLC is a special purpose company formed to effectuate a sale-leaseback transaction of the Project. The Project comprises of three linked geothermal plants with a nameplate capacity of 302 MW located in California and a 17.7 MW geothermal plant in Nevada. The California geothermal plants sell all their power to Southern California Edison (A3 senior unsecured) while the Nevada based plant sells its power to Sierra Pacific Power (Ba3 senior unsecured). CGPH is owned indirectly by Terra-Gen Power LLC. Terra-Gen is owned by private equity funds managed by ArcLight Capital Partners. The last rating action on CPGH occurred on May 29, 2009, when the outlook on Project's pass through trust certificates were placed under review for downgrade. CREDIT SUISSE: S&P Downgrades Ratings on 22 2007-C5 Securities -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 22 classes of commercial mortgage-backed securities from Credit Suisse Commercial Mortgage Trust Series 2007-C5 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its 'AAA' ratings on five classes from the same transaction. The downgrades follow S&P's analysis of the transaction using S&P's recently released U.S. conduit and fusion CMBS criteria, which was the primary driver of the rating actions. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.26x and a loan-to-value ratio of 118.0%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 0.80x and an LTV of 164.1%. The implied defaults and loss severity under the 'AAA' scenario were 81.0% and 42.7%, respectively. The DSC and LTV calculations exclude 15 of the 17 specially serviced loans (10.6%) and three loans that are credit impaired loans (1.9%). S&P estimated losses for these loans, which are included in the 'AAA' scenario implied default and loss figures. S&P lowered its ratings on classes P and Q to 'D' to reflect recurring interest shortfalls resulting from 10 appraisal reduction amounts totaling $50.1 million in effect on 10 assets with the special servicer. S&P expect the shortfalls to recur for the foreseeable future. S&P affirmed the ratings on the class A-SP and A-X interest-only certificates based on S&P's current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalize S&P's criteria review, S&P may revise its current criteria. Any change in S&P's criteria may impact outstanding ratings, including the ratings on the IO certificates S&P affirmed. Credit Concerns Seventeen assets ($298.6 million, 11.0%) in the pool, including one of the top 10 loans, are with the special servicer, Centerline Servicing Inc. The payment status of the loans are: one is REO ($2.4 million, 0.1%), four are in foreclosure ($53.1 million, 1.9%), eight are more than 90 days delinquent ($141.5 million, 5.2%), two are 30 days delinquent ($13.7 million, 0.5%) and two are current ($87.9 million, 3.2%). Ten of the specially serviced loans have appraisal reduction amounts in effect totaling $50.1 million. Four of the specially serviced assets have balances that are greater than 1.2% of the total pool balance, while the remaining 13 specially serviced loans have balances that are less than 1.0% of the total pool balance. The top 10 loan with the special servicer is discussed below. Transaction Summary As of the August 2009 remittance report, the collateral pool consisted of 194 loans with an aggregate trust balance of $2.71 billion, which represents approximately 99.7% of the trust balance at issuance. The master servicers for the transaction are KeyCorp Real Estate Capital Markets Inc. and Capmark Finance Inc. Financial information was provided for 94.5% of the pool, and 92.4% of the financial information was full-year 2008 or interim 2009 data. S&P calculated a weighted average DSC of 1.20x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.26x and 118.0%, respectively. The transaction has not experienced any principal losses to date. Fifty-five loans (36.1%) are on the master servicers' watchlists, including six of the top 10 loans. Fifty-five loans ($1.12 billion, 41.3%) have a reported DSC below 1.10x, and 37 of these loans ($751.5 million, 27.7%) have a reported DSC of less than 1.0x. Summary Of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $1.2 billion (44.5%). Using servicer-reported numbers, S&P calculated a weighted average DSC for the top 10 loans of 1.09x excluding one specially serviced loan, the Allanza at the Lakes loan, which is discussed below. Six of the top 10 loans in the pool ($628.1 million, 23.2%) appear on the master servicers' watchlists. S&P's adjusted DSC and LTV for the top 10 loans, excluding the specially serviced loan, were 1.20x and 123.0%, respectively. The Gulf Coast Town Center Phases I & II, the second-largest loan in pool ($190.8 million, 7.0%), is the largest loan on the watchlist due to a DSC below 1.10x. This loan is secured by a 991,027-sq.-ft. retail property in Fort Meyers, Fla. The reported DSC for the property for the 12 months ending June 30, 2009, was 0.94x and the reported occupancy as of June 11, 2009, was 93.0%, down from a DSC of 1.29x and occupancy of 98% at issuance. The Allanza at the Lakes loan, the sixth-largest loan in the pool, is the largest loan with the special servicer. This loan has a total exposure of $85.0 million and is secured by an 896-unit multifamily property in Las Vegas, Nev. The reported DSC for the property in 2008 was 1.01x, and the occupancy was 81.3%. The loan is current and was transferred to the special servicer on July 17, 2009, due to imminent default. Standard & Poor's expects a moderate loss upon the resolution of this asset. Standard & Poor's stressed the loans in the pool according to S&P's updated conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Credit Suisse Commercial Mortgage Trust Series 2007-C5 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-AB A- AAA/Watch Neg 30.09 A-4 A- AAA/Watch Neg 30.09 A-1-A A- AAA/Watch Neg 30.09 A-M BB+ AAA/Watch Neg 20.06 A-1-AM BB+ AAA/Watch Neg 20.06 A-J B+ AAA/Watch Neg 12.29 A-1-AJ B+ AAA/Watch Neg 12.29 B B AA+/Watch Neg 11.41 C B AA/Watch Neg 10.66 D B AA-/Watch Neg 9.40 E B- A+/Watch Neg 8.28 F B- A/Watch Neg 7.77 G CCC A-/Watch Neg 6.27 H CCC BBB+/Watch Neg 5.52 J CCC- BBB/Watch Neg 4.39 K CCC- BBB-/Watch Neg 3.51 L CCC- BB+/Watch Neg 3.13 M CCC- BB/Watch Neg 2.76 N CCC- BB-/Watch Neg 2.38 O CCC- B+/Watch Neg 1.76 P D B/Watch Neg 1.63 Q D B-/Watch Neg 1.25 Ratings Affirmed Credit Suisse Commercial Mortgage Trust Series 2007-C5 Commercial mortgage pass-through certificates Class Rating Credit Enhancement ----- ------ ------------------ A-1 AAA 30.09 A-2 AAA 30.09 A-3 AAA 30.09 A-SP AAA N/A A-X AAA N/A N/A - Not applicable. FAIRWAY LOAN: Moody's Downgrades Ratings on Various Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Fairway Loan Funding Company: -- US$510,000,000 (current balance of $502,068,932) Class A-1L Floating Rate Notes Due October 2018, Downgraded to Aa2, previously on July 18, 2006 Aaa; -- US$75,000,000 (current balance of $73,833,666) Class A-1LV Floating Rate Revolving Notes Due October 2018, Downgraded to Aa2, previously on July 18, 2006 Aaa; -- US$52,000,000 Class A-2L Floating Rate Notes Due October 2018; Downgraded to A3, previously on March 4, 2009 Aa2 and Placed Under Review for Possible Downgrade; -- US$32,000,000 Class B-1L Floating Rate Notes Due October 2018; Downgraded to B2, previously on March 17, 2009 B1 and Placed Under Review for Possible Downgrade; -- Class P-1 Combination Notes Due October 2018; Downgraded to Baa1, previously on March 4, 2009 Aa3 and Placed Under Review for Possible Downgrade; -- Class P-2 Combination Notes Due October 2018, Downgraded to Ba2, previously on March 4, 2009 A3 and Placed Under Review for Possible Downgrade; -- Class P-3 Combination Notes Due October 2018; Downgraded to Ca, previously on March 4, 2009 Ba3 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$49,000,000 Class A-3L Deferrable Floating Rate Notes Due October 2018, Confirmed at Ba1; previously on March 17, 2009 Ba1 and Under Review for Possible Downgrade; -- US$32,000,000 Class B-2L Floating Rate Notes Due October 2018; Confirmed at Caa3; previously on March 17, 2009 Caa3 and Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect 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 revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class B-2L Overcollateralization Test, Moody's Weighted Average Rating Factor Test and certain Eligibility Criteria. In particular, the weighted average rating factor has increased over the last year and is currently 2811 versus the trigger of 2600 as of the last trustee report, dated Augsut 5, 2009. Based on the same report, defaulted securities currently held in the portfolio total $54,385,427 million, accounting for roughly for 7% of the collateral balance, and securities rated Caa1 or lower as reported by trustee make up approximately 14% of the underlying portfolio. Additionally, interest payments on the Class B-2L Notes are presently being deferred as a result of the failure of the Class B-2L Overcollateralization Test. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, may be different from the trustee's reported numbers. Fairway Loan Funding Company, issued on July 18, 2006, is a collateralized loan obligation, backed primarily by a portfolio of [senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. FENWAY I: Moody's Downgrades Ratings on Two Classes of Notes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the rating of two classes of Notes issued by and a credit default swap entered into by Fenway I & II. The instruments affected by the rating action are: -- Credit Default Swap-Super Senior, Downgraded to Aa2; Previously on 3/6/2009 Aaa and Placed Under Review for Possible Downgrade -- Fenway I, Ltd., Downgraded to Baa2; Previously on 2/26/2009 Downgraded to A1 -- Fenway II, Ltd., Downgraded to Ba1; Previously on 2/26/2009 Downgraded to A2 -- Fenway I & II. is a synthetic collateralized debt obligation that references a portfolio of Collateralized Loan Obligations. The rating downgrade actions taken reflect deterioration in the credit quality of the underlying reference portfolio. The 12 securities in the portfolio were originally rated Aaa. Four of the 12 securities in the portfolio experienced recent rating actions and were downgraded to Aa levels. Moody's is currently in Stage II of its CLO rating surveillance process and is performing comprehensive analysis of each CLO transaction by updating the model of each CLO that it has rated. Additional rating actions may be taken with respect to the CLO tranches that are referenced by Fenway I & II as necessary. Moody's explained that in addition to the quantitative factors that are explicitly modeled, qualitative factors are part of the Moody's rating committee considerations. These qualitative factors include but are not limited to the structural protections in the transaction, the recent performance of the transaction in the current market environment, how legal risks and issues are addressed in transaction documentation, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions. FORD CREDIT: S&P Assigns Initial Rating on $2.227 Bil. Notes ------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Ford Credit Auto Owner Trust 2009-D's $2.227 billion asset-backed notes series 2009-D. The preliminary ratings are based on information as of Aug. 27, 2009. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's opinion of: * The availability of approximately 18.3%, 15.0%, 12.8%, and 10.2% credit support to the class A, B, C, and D notes, respectively, based on stressed break-even cash flow scenarios. These credit support levels provide more than 5x, 4x, 3x, and 2x S&P's expected net loss range of 2.95%-3.25% to the class A, B, C, and D notes, respectively; The transaction's ability to withstand more than 1.5x S&P's expected net loss level in S&P's "what-if" scenario analysis before the notes become vulnerable to a negative CreditWatch action and/or a potential downgrade; * The timely interest and principal payments made under stressed cash flow modeling scenarios appropriate to the preliminary rating categories; * The characteristics of the pool being securitized; * Ford Motor Credit Co. LLC's extensive securitization performance history, going back to 1989; and * The transaction's legal structure. Preliminary Ratings Assigned Ford Credit Auto Owner Trust 2009-D Interest Amount Expected legal Class Rating Type rate (mil. $)* final maturity date ----- ------ ---- -------- --------- ------------------- A-1 A-1+ Senior Fixed 640.00 September 2010 A-2 AAA Senior Fixed 409.00 January 2012 A-3 AAA Senior Fixed 805.00 October 2013 A-4 AAA Senior Fixed 219.80 August 2014 B AA Sub Fixed 65.50 December 2014 C A Sub Fixed 43.70 May 2015 D BB+ Sub Fixed 43.70 February 2016 * The actual size of these tranches will be determined on the pricing date. FORE CLO: Moody's Downgrades Ratings on Two 2007-I Notes -------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Fore CLO Ltd. 2007-I: -- US$38,500,000 Class A-2 Senior Notes Due 2019, Downgraded to A1; previously on Mar 4, 2009 Aa1 Placed Under Review for Possible Downgrade -- US$14,500,000 Class B Senior Notes Due 2019, Downgraded to A2; previously on Mar 4, 2009 Aa2 Placed Under Review for Possible Downgrade Additionally, Moody's has confirmed the ratings of these notes: -- US$31,000,000 Class C Deferrable Mezzanine Notes Due 2019, Confirmed at Ba1; previously on Mar 13, 2009 Downgraded to Ba1 and Remains On Review for Possible Downgrade -- US$29,500,000 Class D Deferrable Mezzanine Notes Due 2019 (current balance $28,219,542), Confirmed at B2; previously on Mar 13, 2009 Downgraded to B2 and Remains On Review for Possible Downgrade According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect 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 revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries will be below their historical averages, consistent with Moody's research. Moderate credit deterioration is observed through an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below. Based on the last trustee report, dated July 13, 2009, defaulted securities total about $20 million, accounting for roughly 4% of the collateral balance, and securities rated Caa1 or lower make up approximately 5.3% of the underlying portfolio. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, may be different from the trustee's reported numbers. Fore CLO Ltd. 2007-I., issued on June 27, 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. GALE FORCE: Moody's Downgrades Ratings on Four Classes of Notes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Gale Force 4 CLO, Ltd.: -- $310,320,000 Class A-1A First Priority Senior Secured Floating Rate Notes due 2021, Downgraded to Aa1; previously on August 16, 2007 Assigned Aaa; -- $34,480,000 Class A-1B Second Priority Senior Secured Floating Rate Notes due 2021, Downgraded to A1; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- $12,400,000 Class B Third Priority Senior Secured Floating Rate Notes due 2021, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- $17,900,000 Class E Sixth Priority Mezzanine Deferrable Floating Rate Notes due 2021, Downgraded to Caa3; previously on March 23, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. Additionally, Moody's has confirmed the ratings of these notes: -- $28,500,000 Class C Fourth Priority Senior Secured Deferrable Floating Rate Notes due 2021, Confirmed at Ba1; previously on March 23, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- $17,200,000 Class D Fifth Priority Mezzanine Deferrable Floating Rate Notes due 2021, Confirmed at B1; previously on March 23, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. Such credit deterioration is observed through an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below. Based on the August 10, 2009 trustee report, defaulted securities total about $14 million, accounting for roughly 3% of the collateral balance, and securities rated Caa1 or lower make up approximately 11% of the underlying portfolio. Moody's also assessed the collateral pool's elevated concentration risk 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. The rating actions also reflect Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. These revised assumptions are described in the publication "Moody's Approach to Rating Collateralized Loan Obligations," dated August 12, 2009. Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Other assumptions used in Moody's CLO monitoring are described in the publication "CLO Ratings Surveillance Brief - Second Quarter 2009," dated July 17, 2009. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. Gale Force 4 CLO, Ltd., issued in August 16, 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. GE COMMERCIAL: S&P Downgrades Ratings on 21 2007-C1 Securities -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 21 classes of commercial mortgage-backed securities from GE Commercial Mortgage Corp. Series 2007-C1 and removed them from CreditWatch, where they were last placed with negative implications on June 26, 2009. In addition, S&P affirmed its ratings on six classes from the same transaction. The downgrades follow S&P's analysis of the transaction using S&P's recently released U.S. conduit and fusion CMBS criteria, which was the primary driver of the rating actions. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, excluding loans that are stressed as credit concerns, S&P calculated an adjusted debt service coverage of 1.23x and a loan-to-value ratio of 131.3%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 0.74x and an LTV of 179.4%. The implied defaults and loss severity under the 'AAA' scenario were 83.6% and 48.2%, respectively. To maintain the consistency of this data for comparative purposes, the DSC and LTV calculations excluded seven specially serviced loans and two credit impaired loans (8.2%). S&P separately estimated losses for these loans, which are included in the 'AAA' scenario implied default and loss figures. S&P affirmed the ratings on the interest-only certificates based on S&P's current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its current IO criteria, which may impact outstanding ratings, including the ratings on the IO certificates S&P affirmed. Credit Concerns Ten assets ($311.9 million, 8.0%) in the pool, including the fifth-largest exposure in the pool, are with the special servicer, LNR Partners Inc. One of those assets ($7.8 million, 0.2%) is classified as real estate owned, two ($41.5 million, 1.1%) are in foreclosure, three ($26.2 million, 0.7%) are more than 90 days delinquent, two ($42.4 million, 1.1%) are 30 days delinquent, and two ($194.2 million, 5.0%) are less than 30 days delinquent or within their grace period. Appraisal reduction amounts are currently in effect for six assets ($75.2 million, 1.9%). The Manhattan Apartment Portfolio loan ($192.1 million, 4.9%) is the fifth-largest loan in the pool and is secured by a 33- property, 1,029-unit multifamily portfolio located primarily in the Harlem and Washington Heights neighborhoods of New York City. This loan was transferred to LNR on Feb. 27, 2009, due to imminent default; however, it is not currently delinquent. Most of the units in this portfolio are subject to rent-stabilization regulations, and it was the borrower's intention to convert these units into to market-rate units. Since origination, the pace of conversion has lagged behind projections, causing net cash flow to fall short of expectations. In addition, the interest reserve has declined to $7.9 million from $28.0 million at issuance. The master servicer, KeyBank Real Estate Capital Markets, reported a debt service coverage of 0.36x for the year ended Dec. 31, 2008, compared with 0.40x for the year ended Dec. 31, 2007. Standard & Poor's expects a substantial loss upon the resolution of this loan. Transaction Summary As of the August 2009 remittance report, the collateral pool consisted of 197 loans with an aggregate trust balance of $3.92 billion, compared with 198 loans with an aggregate balance of $3.95 billion at issuance. The master servicer for the transaction is KeyBank Real Estate Capital Markets Inc. The master servicer provided financial information for 99.4% of the pool, and 96.5% of the servicer-provided information was full-year 2008 or interim-2009 data. S&P calculated a weighted average DSC of 1.24x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.23x and 131.3%, respectively. To date, the transaction has not experienced any principal losses. Thirty-five loans are on the master servicer's watchlist, including four of the top 10 loans. Forty-two loans ($1.24 billion, 31.7%) have a reported DSC below 1.10x, and 32 of these loans ($1.11 billion, 28.3%) have a reported DSC of less than 1.0x. Summary Of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $1.78 billion (45.4%). Using servicer-reported numbers, S&P calculated a weighted average DSC for the top 10 loans of 1.15x. The fifth-largest loan in the pool ($192.1 million, 4.9%) is with the special servicer. The largest, sixth-, eighth-, and ninth- largest loans in the pool ($690.7 million, 17.6%) appear on the master servicer's watchlist. S&P's adjusted DSC and LTV for the top 10 loans were 1.11x and 150.1%, respectively. Standard & Poor's stressed the loans in the pool according to S&P's updated conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative GE Commercial Mortgage Corp. Series 2007-C1 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-1A BBB+ AAA/Watch Neg 30.25 A-4 BBB+ AAA/Watch Neg 30.25 A-M BB+ AAA/Watch Neg 20.17 A-MFL BB+ AAA/Watch Neg 20.17 A-J B+ AAA/Watch Neg 12.48 A-JFL B+ AAA/Watch Neg 12.48 B B AA+/Watch Neg 11.47 C B AA/Watch Neg 10.34 D B AA-/Watch Neg 9.33 E B- A+/Watch Neg 8.57 F B- A/Watch Neg 7.94 G B- A-/Watch Neg 6.68 H CCC+ BBB+/Watch Neg 5.55 J CCC+ BBB/Watch Neg 4.54 K CCC BB+/Watch Neg 3.15 L CCC BB/Watch Neg 2.90 M CCC BB-/Watch Neg 2.52 N CCC- B+/Watch Neg 2.27 O CCC- B/Watch Neg 2.02 P CCC- B-/Watch Neg 1.76 Q CCC- CCC+/Watch Neg 1.39 Ratings Affirmed GE Commercial Mortgage Corp. Series 2007-C1 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 30.25 A-2 AAA 30.25 A-AB AAA 30.25 A-3 AAA 30.25 X-C AAA N/A X-P AAA N/A GLACIER FUNDING: Moody's Downgrades Ratings on Three Classes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded ratings of three classes of Notes issued by Glacier Funding CDO I Limited. The Notes affected by the action are: -- US$190,000,000 Class A-1 First Priority Senior Floating Rate Notes Due 2039, Downgraded to Ba1; previously on 2/6/2009 Downgraded to Aa3 -- US$44,000,000 Class A-2 Second Priority Senior Floating Rate Notes Due 2039, Downgraded to B1; previously on 2/6/2009 Downgraded to Baa1 -- US$43,500,000 Class B Third Priority Senior Floating Rate Notes Due 2039, Downgraded to Caa3; previously on 2/62009 Downgraded to B1 Glacier Funding CDO I Limited is a collateralized debt obligation backed primarily by a portfolio of Residential Mortgage Backed Securities and other Asset Backed Securities. The rating downgrade actions reflect deterioration in the credit quality of the underlying portfolio. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by the weighted average rating factor), and failure of the coverage tests, among other measures. More than 30% of its assets have been downgraded since the last Moody's review of the transaction. The Trustee currently reports that the WARF of the portfolio is 968 as compared to 543 in January 2009. In addition, the Trustee reports that the transaction is currently failing one or more coverage tests, including the Class A/B Overcollateralization Ratio test. The actions also take into consideration the occurrence, as reported by the Trustee on August 10, 2009, of an Event of Default described in Section 5.1(i) of the Indenture dated March 10, 2004, due to the failure of the Class A/B Overcollateralization Ratio to be equal to or greater than 100% on a Measurement Date. 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, including directing the Trustee to undertake a sale and liquidation of the collateral. The severity of losses of certain tranches may be different, however, depending on the timing and outcome of a liquidation. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. GOLDENTREE CAPITAL: Moody's Upgrades Ratings on Various Classes --------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by GoldenTree Capital Opportunities, L.P.: -- US$19,400,000 Class C-1 Third Priority Floating Rate Secured Deferrable Notes Due 2020, Upgraded to Baa2; previously on March 23, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$10,000,000 Class C-2 Third Priority Fixed Rate Secured Deferrable Notes Due 2020, Upgraded to Baa2; previously on March 23, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$21,200,000 Class D-l Fourth Priority Floating Rate Secured Deferrable Notes Due 2020, Upgraded to Ba2; previously on March 23, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$5,000,000 Class D-2 Fourth Priority Fixed Rate Secured Deferrable Notes Due 2020, Upgraded to Ba2; previously on March 23, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade. -- US$16,800,000 Class E Fifth Priority Secured Deferrable Notes Due 2020, Upgraded to B3; previously on March 23, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$38,500,000 Class B-1 Second Priority Floating Rate Secured Notes Due 2020, Confirmed at Aa2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$3,000,000 Class B-2 Second Priority Fixed Rate Secured Notes Due 2020, Confirmed at Aa2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$5,294,000 Class X Principal Protected Notes Due 2030, (current Rated Balance of $3,176,463), Confirmed at A2; previously on March 4, 2009 A2 Placed Under Review for Possible Downgrade; Moody's notes that the upgrade actions on the Class C-1, Class C- 2, Class D-1, Class D-2 Notes and Class E Notes, and the rating confirmation on the Class B-1, Class B-2 and Class X Notes, largely reflect updated analysis indicating that the impact of certain assumption stresses incorporated in Moody's rating analysis (discussed below) is not as negative as previously assessed during Stage I of the deal review in March. The current conclusions stem from comprehensive deal-level analysis completed during Stage II of the ongoing CLO surveillance review, which included an in-depth assessment of results from Moody's quantitative CLO rating model along with an examination of deal- specific qualitative factors. By way of comparison, during Stage I Moody's took rating actions that were largely the result of a parameter-based approach. Additionally, the actions consider the positive implications of performance stabilization in certain deal collateral quality measurements since last year. Based on the last trustee report dated July 16, 2009, all the Collateral Quality Tests and Coverage Tests, except the Interest Diversion Test, are in compliance. According to Moody's, the rating actions also reflect Moody's revised assumptions as described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs," and the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. . Moody's also notes that a material proportion of the collateral pool includes debt obligations whose credit quality has been assessed through Moody's Credit Estimates, and that Moody's analysis reflects the application of certain stresses with respect to the default probabilities associated with such CEs. These additional stresses reflect the rapid pace of recent changes in credit market conditions and the default rate expectations in the current economic cycle that are higher than the historical averages. Specifically, the default probability stresses include (1) a 1.5 notch-equivalent assumed downgrade for CEs updated between 12-15 months ago; and (2) assuming an equivalent of Caa3 for CEs that were not updated within the last 15 months. Additionally, as CEs do not carry credit indicators such as ratings reviews and outlooks, a stress of a 0.5 notch-equivalent assumed downgrade for CEs is also applied to CEs provided between 6-12 months ago. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, may be different from the trustee's reported numbers. GoldenTree Capital Opportunities, L.P., issued in 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. GRANITE VENTURES: Moody's Downgrades Ratings on Two Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Granite Ventures III Ltd.: -- US$312,000,000 Class A-1 Floating Rate Senior Notes, Downgraded to Aa1; previously on May 16, 2006 Assigned Aaa; -- US$19,000,000 Class A-2 Floating Rate Senior Notes, Downgraded to A1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$20,000,000 Class B Deferrable Floating Rate Senior Subordinate Notes, Confirmed at Ba1; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$17,000,000 Class C Deferrable Floating Rate Subordinate Notes, Confirmed at B1; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$7,000,000 Class D Deferrable Floating Rate Subordinate Notes, Confirmed at Caa2; previously on March 17, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. The rating actions primarily reflect Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. These revised assumptions are described in the publication "Moody's Approach to Rating Collateralized Loan Obligations," dated August 12, 2009. Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Other assumptions used in Moody's CLO monitoring are described in the publication "CLO Ratings Surveillance Brief - Second Quarter 2009," dated July 17, 2009. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. According to Moody's, the rating actions taken on the notes also reflect the underlying portfolio's mild amount of credit deterioration. Based on the latest trustee report dated July 9, 2009, collateral par net of defaults has declined to $386.9 million from $393.1 million as of the trustee report dated March 16, 2009. Moody's also notes that as of the latest trustee report, the weighted average rating factor is 2323, defaulted securities total about $5.8 million, accounting for roughly 1.5% of the collateral balance, and securities rated Caa1 or lower make up approximately 5.3% of the underlying portfolio. Moody's also assessed the collateral pool's elevated concentration risk 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. Granite Ventures III Ltd., issued in May of 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. GREENWICH CAPITAL: Moody's Keeps Ratings on Seven 2005-GG3 Certs. ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of seven classes and downgraded 14 classes of Greenwich Capital Commercial Funding Corp., Commercial Mortgage Pass-Through Certificates, Series 2005- GG3. The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from loans in special servicing and increased credit quality dispersion. On July 9, 2009, Moody's placed 14 classes on review for possible downgrade due to an increase in the concentration of specially serviced loans. This action concludes the review. This action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the August 12, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 6% to $3.39 billion from $3.59 billion at securitization. The Certificates are collateralized by 134 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top 10 loans representing 49% of the pool. The pool includes three loans with underlying ratings, representing 18% of the pool. Ten loans, representing 4% of the pool, have defeased and are collateralized by U.S. Government securities. Thirty-two loans, representing 19% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the trust resulting in a loss of $1.8 million. Ten loans, representing 19% of the pool, are currently in special servicing. The top three loans in special servicing, representing 17.5% of the pool, are secured by malls owned by affiliates of General Growth Properties, Inc. These three loans were transferred to special servicing due to GGP's bankruptcy filing on April 16, 2009. The top two loans are performing as expected, but the third loan, secured by Mall St. Matthews, has experienced an increase in vacancy and a decline in cash flow. On a stand-alone basis, the mall has considerable refinance risk with only five months remaining on the loan term and a Moody's stressed DSCR of 0.88X. However, as it is part of a broader bankruptcy action, a loan extension with amortization is possible which would allow the loan to reduce its leverage. Moody's stressed DSCR is based on Moody's net cash flow and a 9.25% stressed rate applied to the loan balance. The remaining seven specially serviced loans collectively represent less than two percent of the pool and are mostly 90+ days delinquent. The tenth largest loan in the pool and the primary loan of concern is the Place Properties Portfolio Loan ($98.7 million -- 2.9%). The loan is secured by nine student housing properties located in various southern states. The loan was transferred to special servicing on May 21, 2009 due to imminent default. After the borrower declined to proceed with a loan modification, the loan transferred back to the master servicer on July 21, 2009. The loan is interest-only for the full term and matures in December 2009. Moody's stressed DSCR is 0.62X compared to 0.96X at last review. Moody's estimates an aggregate loss of $65 million (42% severity on average) for the loans in special servicing and the loan of concern. Moody's was provided with full-year 2008 operating results for 91% of the pool. Moody's weighted average loan to value ratio for the conduit component is 97% compared to 95% at last full review in May 2007. In addition to the increase in overall LTV, credit quality dispersion has increased since last review. Based on Moody's analysis, 12% of the pool has an LTV in excess of 120% compared to 1% at last review. However, some improvement in the pool cash flow has been recognized. Moody's stressed debt service coverage ratio for the conduit component is 1.09X compared to 1.04X at last review. Moody's uses a variation of the Herfindahl index to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40 and the pool has a Herf score of 30. The largest loan with an underlying rating is the North Star Mall Loan ($232.6 million -- 6.9%), which is secured by the borrower's interest in a 1.3 million square foot regional mall located in San Antonio, Texas. The property is the dominant mall in the region and is anchored by JC Penney, Macy's, Saks 5th Avenue, and Dillard's. The overall occupancy as of March 2009 was 97%, the same as at last review. The loan sponsor is GGP. Moody's analysis reflects the elimination of certain tranching benefits associated with the nature of the collateral and the sponsorship of the mall. Moody's no longer has an investment grade underlying rating for this loan. Moody's LTV and stressed DSCR are 76% and 1.13X, respectively, compared to 75% and 1.12X at last review. The second largest loan with an underlying rating is the Grand Canal Shops at the Venetian Loan ($218.5 million -- 6.4%), which represents a 55.5% participation interest in a first mortgage secured by a 537,000 square foot mall located within the Venetian Casino Resort in Las Vegas, Nevada. The mall shop occupancy as of March 2009 was 99% compared to 96% at last review. The comparable inline sales for the trailing twelve month period ending February 2009 were $932 per square foot compared to $1,046 PSF at last review. The loan sponsor is GGP. Moody's analysis reflects the elimination of certain tranching benefits associated with the nature of the collateral and the sponsorship of the mall. Moody's current underlying rating is A3, the same as at last review. Moody's stressed DSCR is 1.32X compared to 1.20X at last review. The third largest loan with an underlying rating is the Westin Kierland Loan ($135.0 million -- 4.0%), which is secured by a 732- room full service resort and spa hotel located in Phoenix, Arizona. The hotel's RevPAR for the trailing twelve month period ending June 2009 was $145, down 14% from the prior period. The loan sponsor, Host Hotels & Resorts, has recently announced that they intend to pay down the loan with proceeds from a recent senior unsecured debt offering. Moody's current underlying rating is Baa2, the same as at last review. Moody's stressed DSCR is 1.71X compared to 1.68X at last review. The loan that previously had an underlying rating was the Doral Arrowwood Hotel Loan ($68.8 million - 2.0%), which is secured by a 374-room full service conference resort hotel and 110,000 square foot conference center located in Rye Brook, New York. Pfizer Inc. uses the conference center as its global training facility for its field sales and marketing team. Pfizer is under contract through 2015 to lease the Resort's learning center and a minimum of 33,000 rooms annually, which Pfizer has historically exceeded by a large margin. In the past few years, however, the number of paid rooms by Pfizer has decreased significantly. As a result, the hotel's RevPAR for the trailing twelve month period ending June 2009 was $98, down 15% from the prior period and down from $150 in 2005. Due to a decline in performance, Moody's no longer has an underlying rating for this loan. Moody's LTV and stressed DSCR are 105% and 1.08X, respectively, compared to 79% and 1.37X at last review. The top three conduit loans represent 18% of the pool. The largest conduit loan is the 1440 Broadway Loan ($221.3 million -- 6.5%), which is secured by a 742,000 square foot office building located in the Times Square submarket of New York City. The property was 96% occupied as of June 2009, compared to 94% at last review. The property is on the master servicer's watchlist due to a low DSCR. Moody's LTV and stressed DSCR are 97% and 1.01X, respectively, compared to 98% and 0.96X at last review. The second largest conduit loan is The Crescent Loan ($214.8 million -- 6.3%), which is secured by a 1.3 million square foot mixed use office and retail complex located in Dallas, Texas. The property was 98% occupied as of December 2008 compared to 92% at last review. Moody's LTV and stressed DSCR are 82% and 1.18X, respectively, compared to 83% and 1.13X at last review. The third largest conduit loan is the 498 Seventh Avenue Loan ($181.5 million -- 5.4%), which is secured by an 877,000 square foot office building located in the Garment District submarket of New York City. The property was 100% occupied as of December 2008 compared to 95% at last review. Moody's LTV and stressed DSCR are 95% and 1.05X, respectively, compared to 94% and 1.03X at last review. Moody's rating action is: -- Class A-2, $1,032,885,332, affirmed at Aaa; previously affirmed at Aaa on 5/2/2007 -- Class A-3, $562,418,000, affirmed at Aaa; previously affirmed at Aaa on 5/2/2007 -- Class A-AB, $159,047,000, affirmed at Aaa; previously affirmed at Aaa on 5/2/2007 -- Class A-4, $783,022,000, affirmed at Aaa; previously affirmed at Aaa on 5/2/2007 -- Class A-1-A, $136,292,438, affirmed at Aaa; previously affirmed at Aaa on 5/2/2007 -- Class XP, Notional, affirmed at Aaa; previously affirmed at Aaa on 5/2/2007 -- Class XC, Notional, affirmed at Aaa; previously affirmed at Aaa on 5/2/2007 -- Class A-J, $228,986,000, downgraded to Aa2 from Aaa; previously placed on review for possible downgrade on 7/9/2009 -- Class B, $112,247,000, downgraded to A1 from Aa2; previously placed on review for possible downgrade on 7/6/2009 -- Class C, $40,410,000, downgraded to A2 from Aa3; previously placed on review for possible downgrade on 7/9/2009 -- Class D, $58,368,000, downgraded to Baa1 from A2; previously placed on review for possible downgrade on 7/9/2009 -- Class E, $35,920,000, downgraded to Baa2 from A3; previously placed on review for possible downgrade on 7/9/2009 -- Class F, $44,899,000, downgraded to Baa3 from Baa1; previously placed on review for possible downgrade on 7/9/2009 -- Class G, $35,919,000, downgraded to Ba2 from Baa2; previously placed on review for possible downgrade on 7/9/2009 -- Class H, $40,409,000, downgraded to Ba3 from Baa3; previously placed on review for possible downgrade on 7/9/2009 -- Class J, $8,980,000, downgraded to B2 from Ba1; previously placed on review for possible downgrade on 7/9/2009 -- Class K, $13,470,000, downgraded to B3 from Ba2; previously placed on review for possible downgrade on 7/9/2009 -- Class L, $17,960,000, downgraded to Caa2 from Ba3; previously placed on review for possible downgrade on 7/9/2009 -- Class M, $13,469,000, downgraded to Ca from B1; previously placed on review for possible downgrade on 7/9/2009 -- Class N, $8,980,000, downgraded to C from B2; previously placed on review for possible downgrade on 7/9/2009 -- Class O, $13,470,000, downgraded to C from B3; previously placed on review for possible downgrade on 7/9/2009 GREENWICH CAPITAL: S&P Cuts Ratings on 2006-RR1 Certs. to 'D' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class L and M commercial mortgage-backed securities pass-through certificates from Greenwich Capital Commercial Mortgage Trust 2006-RR1 to 'D' from 'CCC-' and removed them from CreditWatch with negative implications. The downgrades reflect interest shortfalls that S&P expects to continue for the foreseeable future. As of the Aug. 20, 2009, trustee report, the most recent interest shortfalls on classes L and M amounted to $24,577, and $16,386, respectively, which brought the cumulative eight-month interest shortfall amounts to $134,463 and $128,779. The shortfalls are due to interest shortfalls on the underlying CMBS collateral, which S&P expects to continue. GRESHAM STREET: Moody's Downgrades Rating on Three Classes ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of three classes of Notes issued by Gresham Street CDO Funding 2003-1, Ltd. The Notes affected by the rating action are: -- US$17,600,000 Class B Second Priority Floating Rate Deferrable interest Term Notes Due 11/7/33, Downgraded to A1; previously on 8/8/2003 Assigned Aaa -- US$8,600,000 Class C Third Priority Floating Rate Deferrable interest Term Notes Due 11/7/33, Downgraded to Ba1; previously on 2/24/2009 Downgraded to A1 -- US$5,300,000 Class D Fourth Priority Floating Rate Term Notes Due 11/7/33, Downgraded to Caa3; previously on 2/24/2009 Downgraded to Ba1 Gresham Street CDO Funding 2003-1, Ltd., is a collateralized debt obligation backed primarily by a portfolio of residential mortgage backed securities, collateralized debt obligations, and other types of assets backed securities. The rating downgrade actions reflect deterioration in the credit quality of the underlying portfolio. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by an increase in the weighted average rating factor). Moody's notes that in the case of Gresham Street CDO Funding 2003-1, Ltd., more than 65% of its assets have been the subject of ratings downgrade since Moody's last review of the transaction in February 2009. The trustee reports that WARF is 339 as compared to a WARF of 35 reported by the Trustee in February 2009. The action also takes into consideration the risk of the transaction experiencing an Event of Default. An Event of Default may occur due to a missed interest payment with respect to the Class B Notes. 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, including the sale and liquidation of the assets. The severity of losses of certain tranches may be different depending on the timing and outcome of a liquidation. Moody's explained that in addition to the quantitative factors that are explicitly modeled, qualitative factors are part of the Moody's rating committee considerations. These qualitative factors include but are not limited to the structural protections in the transaction, the recent performance of the transaction in the current market environment, how legal risks and issues are addressed in transaction documentation, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision GS MORTGAGE: Fitch Affirms Ratings on 2007-GG10 Certificates ------------------------------------------------------------ Fitch Ratings affirms and assigns Loss Severity Ratings to GS Mortgage Securities Corporation II, series 2007-GG10 commercial mortgage pass-through certificates. The LS Ratings are based on Fitch's recognized losses of 8.3%. Fitch takes these rating actions: -- $72.4 million class A-1 at 'AAA/LS2'; Outlook Stable; -- $725.3 million class A-2 at 'AAA/LS2'; Outlook Stable; -- $246.6 million class A-3 at 'AAA/LS2'; Outlook Stable; -- $72 million class A-AB at 'AAA/LS2'; Outlook Stable; -- $3,661 million class A-4 at 'AAA/LS2'; Outlook Stable; -- $514 million class A-1A at 'AAA/LS2'; Outlook Stable; -- $756.3 million class A-M at 'AAA/LS3'; Outlook Negative; -- Interest-only class X at 'AAA'; Outlook Stable; -- $519.9 million class A-J at 'BBB/LS4'; Outlook Negative; -- $75.6 million class B at 'BB/LS5'; Outlook Negative; -- $94.5 million class C at 'BB/LS5'; Outlook Negative; -- $56.7 million class D at 'B/LS5'; Outlook Negative; -- $56.7 million class E at 'B/LS5'; Outlook Negative; -- $75.6 million class F at 'B/LS5'; Outlook Negative; -- $75.6 million class G at 'B-/LS5'; Outlook Negative; -- $104 million class H at 'B-/LS5'; Outlook Negative; -- $94.5 million class J at 'B-/LS5'; Outlook Negative; -- $75.6 million class K at 'B-/LS5'; Outlook Negative; -- $37.8 million class L at 'B-/LS5'; Outlook Negative; -- $18.9 million class M at 'B-/LS5'; Outlook Negative; -- $28.4 million class N at 'CCC/RR1'; -- $18.9 million class O at 'CCC/RR6'; -- $18.9 million class P at 'CCC/RR6'; -- $18.9 million class Q at 'CCC/RR6'. Fitch does not rate the $141.8 million class S. GS MORTGAGE: Moody's Reviews Ratings on 13 2004-GG2 Certificates ---------------------------------------------------------------- Moody's Investors Service placed 13 classes of GS Mortgage Securities Corp. II, Commercial Mortgage Pass-Through Certificates, Series 2004-GG2 on review for possible downgrade due to higher expected losses for the pool resulting from anticipated losses from loans in special servicing and expected credit deterioration for the remainder of the pool. Since Moody's prior review in March 2007, six loans, representing 11% of the pool, have transferred to special servicing. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the August 12, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 13% to $2.3 billion from $2.6 billion at securitization. The Certificates are collateralized by 126 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top 10 loans representing 47% of the pool. The pool includes four loans with underlying ratings, representing 23% of the pool. Nine loans, representing 15% of the pool, have defeased and are collateralized by U.S. Government securities. Twenty-four loans, representing 16% 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. Six loans, representing 11% of the pool, are currently in special servicing. The top loan in special servicing, representing 8% of the pool, is secured by the Grand Canal Shoppes at the Venetian Loan, a mall owned by affiliates of General Growth Properties, Inc. This loan was transferred to special servicing due to GGP's bankruptcy filing on April 16, 2009. The second largest loan is special servicing is the University Mall Loan ($37.5 million -- 1.6%). The loan is secured by a mall in Carbondale, IL and was transferred to special servicing on July 25, 2008 due to imminent default. The two largest tenants at the mall were Steve and Barry's and Goody's, both of which filed for bankruptcy protection in 2008. The third largest loan in special servicing is the 1010 West North Ave Loan ($20.6 million -- 0.9%). The loan is secured by a retail center in Chicago, IL and was transferred to special servicing on March 29, 2008 due to imminent default. The largest tenant at the center, Circuit City (50% of the net rentable area), vacated and filed for bankruptcy protection in 2008. Moody's review will focus on the performance of the overall pool and potential losses from specially serviced loans. Moody's rating action is: -- Class B, $65,110,000, currently rated Aa1, on review for possible downgrade; previously upgraded to Aa1 from Aa2 on 3/30/2007 -- Class C, $29,299,000, currently rated Aa2, on review for possible downgrade; previously upgraded to Aa2 from Aa3 on 3/30/2007 -- Class D, $52,088,000, currently rated A2, on review for possible downgrade; previously affirmed at A2 on 3/30/2007 -- Class E, $29,300,000, currently rated A3, on review for possible downgrade; previously affirmed at A3 on 3/30/2007 -- Class F, $26,044,000, currently rated Baa1, on review for possible downgrade; previously affirmed at Baa1 on 3/30/2007 -- Class G, $22,789,000, currently rated Baa2, on review for possible downgrade; previously affirmed at Baa2 on 3/30/2007 -- Class H, $29,299,000, currently rated Baa3, on review for possible downgrade; previously affirmed at Baa3 on 3/30/2007 -- Class J, $6,511,000, currently rated Ba1, on review for possible downgrade; previously affirmed at Ba1 on 3/30/2007 -- Class K, $13,022,000, currently rated Ba2, on review for possible downgrade; previously affirmed at Ba2 on 3/30/2007 -- Class L, $13,022,000, currently rated Ba3, on review for possible downgrade; previously affirmed at Ba3 on 3/30/2007 -- Class M, $9,767,000, currently rated B1, on review for possible downgrade; previously affirmed at B1 on 3/30/2007 -- Class N, $6,511,000, currently rated B2, on review for possible downgrade; previously affirmed at B2 on 3/30/2007 -- Class O, $9,766,000, currently rated B3, on review for possible downgrade; previously affirmed at B3 on 3/30/2007 JERSEY STREET: Moody's Downgrades Ratings on Three Classes ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Jersey Street CLO, Ltd.: -- US$236,000,000 Class A Senior Secured Floating Rate Notes Due 2018, Downgraded to Aa3; previously on September 28, 2006 Assigned Aaa; -- US$14,000,000 Class B Senior Secured Floating Rate Notes Due 2018, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$11,250,000 Class D Secured Deferrable Floating Rate Notes Due 2018, Downgraded to Caa1; previously on March 17, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$20,250,000 Class C Secured Deferrable Floating Rate Notes Due 2018, Confirmed at Ba1; previously on March 17, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect 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 revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. The rating actions reflect the adverse impact of the aforementioned stresses, as well as credit deterioration in the underlying portfolio. Such credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of class D overcollateralization test. In particular, the weighted average rating factor has increased over the last year and is currently 2861 versus a test level of 2592 as of the last trustee report, dated July 9, 2009. Based on the same report, defaulted securities total about $16.8 million, accounting for roughly 5% of the collateral balance, and securities rated Caa1 or lower make up approximately 13% of the underlying portfolio (due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, may be different from the trustee's reported numbers). Jersey Street CLO, Ltd, issued in September 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. JP MORGAN: Moody's Downgrades Ratings on 11 Securities ------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 11 securities issued by J.P. Morgan. The collateral backing the transactions consists primarily of first-lien, fixed and adjustable-rate Alt-A mortgage loans. The downgrades relate to structural features, such as sequential pay structures, whereby certain senior bonds are entitled to receive more than their pro-rata share of principal payments. In the event that subordinate bonds are written down entirely, these bonds are subject to structural features that redirect principal payments to be paid pro rata to all senior bonds, and/or direct losses to be allocated pro rata to each of the outstanding senior bonds. In either of those cases, given the recent increase in the pace of credit support erosion relative to amortization of the bonds, there is an increased likelihood that the downgraded bonds may not be completely paid off before subordinate bonds are completely written down. In its analysis, Moody's has considered current available credit enhancement and recent CPR, CDR, and severity trends. The cashflows were run on the basis of pool loss expectations in line with those published in Q1 2009, although Moody's incorporated short-term cashflow stresses to assess the resiliency of the bonds impacted in the actions. The rating actions on the J.P. Morgan Alternative Loan Trust 2006- S2 transaction also reflect a correction to the excess spread benefit. As a result of a data error, the previous actions on this deal, announced on January 29, 2009, overestimated the benefit provided by excess spread to cover losses. The error came to light during the review of the short cash flow tranches and was addressed so that the current ratings on the deal reflect the correct spread benefit, which is significantly lower than was previously estimated. The actions on Class A-2 and Class A-3 are the result of a combination of reduced spread benefit and a revaluation of the support provided by the sequential pay structure. The actions on Classes A-4, A-5, A-6, and A-7 are the result of reduced spread benefit. It should be noted that, in general, Alt-A and Option ARM delinquency trends in the past six months have closely tracked Moody's Q1 projections. If the pace of modifications picks up, delinquencies may be lower than Moody's projections. Severity trends, however, have worsened, with current severities trending higher than Moody's lifetime average severity assumptions by 5-9 percentage points in many pools. Given that recent data on the housing markets has been mixed and there are early indications of home prices potentially bottoming, it is unclear whether the recent higher severities represent peak severities, and to what extent they might alter the average lifetime expected severity. Complete Rating Actions are: Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-WF1 -- Cl. A-2-A, Downgraded to Baa3; previously on Jan 29, 2009 Downgraded to Aa1 -- Cl. A-2-B, Downgraded to Baa3; previously on Jan 29, 2009 Downgraded to Aa1 -- Cl. A-3-A, Downgraded to Caa1; previously on Jan 29, 2009 Downgraded to Ba3 -- Cl. A-3-B, Downgraded to Caa1; previously on Jan 29, 2009 Downgraded to Ba3 Issuer: J.P. Morgan Alternative Loan Trust 2006-A2 -- Cl. 1-A-2, Downgraded to A3; previously on Jan 29, 2009 Confirmed at Aaa Issuer: J.P. Morgan Alternative Loan Trust 2006-S2 -- Cl. A-2, Downgraded to B2; previously on Jan 29, 2009 Downgraded to Aa2 -- Cl. A-3, Downgraded to B3; previously on Jan 29, 2009 Downgraded to Baa3 -- Cl. A-4, Downgraded to B3; previously on Jan 29, 2009 Downgraded to Ba1 -- Cl. A-5, Downgraded to B3; previously on Jan 29, 2009 Downgraded to Ba1 -- Cl. A-6, Downgraded to B3; previously on Jan 29, 2009 Downgraded to Ba1 -- Cl. A-7, Downgraded to Ca; previously on Jan 29, 2009 Downgraded to Caa1 KATONAH 2007-I: Moody's Downgrades Ratings on 2007-1 Notes ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Katonah 2007-I CLO Ltd.: -- US$227,000,000 Class A-1L Floating Rate Notes Due 2022, Downgraded to Aa2 previously on January 23, 2008 Assigned Aaa; -- US$26,000,000 Class A-2L Floating Rate Notes Due 2022, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$18,000,000 Class A-3L Floating Rate Notes Due 2022, Confirmed at Ba1; previously on March 20, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$11,000,000 Class B-1L Floating Rate Notes Due 2022, Confirmed at B1; previously on March 20, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$10,500,000 Class B-2L Floating Rate Notes Due 2022, Confirmed at Caa2; previously on March 20, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," the application of certain stresses with respect to the default probabilities associated with certain Moody's credit estimates, and the calculation of the Diversity Score. 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, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the WARF test, Structured Finance limitation, and Caa limitation. In particular, the weighted average rating factor has increased over the last year and is currently 2827 versus a test level of 2500 as of the last trustee report, dated July 13, 2009. Based on the same report, defaulted securities total about $10 million, accounting for roughly 3.3% of the collateral balance, and securities rated Caa1 or lower make up approximately 12.46% of the underlying portfolio (due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, may be different from the trustee's reported numbers). Moody's also observes that the transaction is exposed to a number of mezzanine and junior CLO tranches in the underlying portfolio. The majority of these CLO tranches are currently assigned low speculative-grade ratings and carry depressed market valuations that may herald poor recovery prospects in the event of default. Katonah 2007-I CLO Ltd., issued on January 23, 2008, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. KATONAH X: Moody's Downgrades Ratings on Two Classes of Notes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Katonah X CLO Ltd.: -- US$23,500,000 Class A-1b Floating Rate Notes Due 2020, Downgraded to Aa2; previously on March 4, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$40,000,000 Class B Floating Rate Notes Due 2020, Downgraded to A2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade. Additionally, Moody's has confirmed the ratings of these notes: -- US$25,000,000 Class C Deferrable Floating Rate Notes Due 2020, Confirmed at Ba1; previously on March 13, 2009 Downgraded to Ba1and Placed Under Review for Possible Downgrade; -- US$22,500,000 Class D Deferrable Floating Rate Notes Due 2020, Confirmed at B1; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$20,000,000 Class E Deferrable Floating Rate Notes Due 2020, Confirmed at Caa2; previously on March 13, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. Such credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, and an increase in the proportion of securities from issuers rated Caa1 and below. In particular, the weighted average rating factor has increased over the last year and is currently 2620 as of the last trustee report, dated July 15, 2009. Based on the same report, defaulted securities currently held in the portfolio total about $23.95 million, accounting for roughly 4.92% of the collateral balance, and securities rated Caa1 or lower make up approximately 13.5% of the underlying portfolio. Moody's also observes that the transaction is exposed to $25 million of CLO tranches in the underlying portfolio, accounting for 4.98% of the collateral balance as reported by the trustee on July 15, 2009. Some of these CLO tranches are currently assigned low speculative-grade ratings and carry depressed market valuations that may herald poor recovery prospects in the event of default. The rating actions also reflect Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. These revised assumptions are described in the publication "Moody's Approach to Rating Collateralized Loan Obligations," dated August 12, 2009. Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Other assumptions used in Moody's CLO monitoring are described in the publication "CLO Ratings Surveillance Brief - Second Quarter 2009," dated July 17, 2009. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. Katonah X CLO Ltd., issued on May 15, 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. KIMBERLITE CDO: S&P Puts Ratings on CDOs on CreditWatch Negative ---------------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on Kimberlite CDO I Ltd., a hybrid collateralized debt obligation of commercial mortgage-backed securities, on CreditWatch with negative implications. The CreditWatch placements primarily reflect the deterioration in the credit quality of the Kimberlite CDO I's underlying assets. In addition, because the transaction continues to fail its class A/B par value coverage test, all of the notes below class B have started to "PIK," or pay in kind. Standard & Poor's will review the results of current cash flow runs generated for all classes of notes in the transaction to determine the level of future defaults the rated notes can withstand under various stressed default timing and interest rate scenarios, while still paying all of the interest and principal due on the notes. S&P will compare the results of these cash flow runs with the projected default performance of the performing assets in the collateral pool to determine whether the ratings currently assigned to the notes remain consistent with the credit enhancement available. Ratings Placed On Creditwatch Negative Rating ------ Tranche To From ------- -- ---- Super senior AAA/Watch Neg AAA A AAA/Watch Neg AAA B AA/Watch Neg AA C A+/Watch Neg A+ D A/Watch Neg A E A-/Watch Neg A- F BBB+/Watch Neg BBB+ G BBB-/Watch Neg BBB- H BB/Watch Neg BB Combo notes BBB/Watch Neg BBB Transaction Information ----------------------- Issuer: Kimberlite CDO I Ltd. Co-issuer: Kimberlite CDO I LLC Collateral Manager: BlackRock Financial Management Inc. Transaction type: Hybrid CDO of CMBS LANDMARK V: Moody's Downgrades Ratings on Class A-2L Notes ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Landmark V CDO Ltd.: -- US$23MM Class A-2L Floating Rate Notes Due June 2017, Downgraded to A1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$22.5MM Class A-3L Floating Rate Notes Due June 2017, Confirmed at Baa3; previously on March 18, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$18MM Class B-1L Floating Rate Notes Due June 2017, Confirmed at Ba3; previously on March 18, 2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade; -- US$12MM Class B-2L Floating Rate Notes Due June 2017, Confirmed at B3; previously on March 18, 2009 Downgraded to B3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. Such credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class B-2L Overcollateralization Ratio Test. In particular, the weighted average rating factor has increased over the last year and is 2947 versus a test level of 2550 as of the last trustee report, dated July 22, 2009. Based on the same report, defaulted securities currently held in the portfolio total about $29 million, accounting for roughly 8.3% of the collateral balance, and securities rated Caa1 or lower make up approximately 16.8% of the underlying portfolio. The rating actions also reflect Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. These revised assumptions are described in the publication "Moody's Approach to Rating Collateralized Loan Obligations," dated August 12, 2009. Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Other assumptions used in Moody's CLO monitoring are described in the publication "CLO Ratings Surveillance Brief - Second Quarter 2009," dated July 17, 2009. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. Landmark V CDO Ltd., issued in March of 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. LB-UBS COMMERCIAL: S&P Downgrades Ratings on 15 2006-C7 Securities ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 15 classes of commercial mortgage-backed securities from the LB-UBS Commercial Mortgage Trust 2006-C7 transaction and removed them from CreditWatch with negative implications, where they were placed June 26, 2009. In addition, S&P affirmed its ratings on 10 classes from the same transaction and removed four of them from CreditWatch with negative implications, where they were also placed June 26, 2009. The downgrades follow S&P's analysis of the transaction using S&P's recently released criteria for rating U.S. conduit and fusion CMBS, which was the primary driver of the rating actions. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.40x and a loan-to-value ratio of 94.62%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 0.92x and an LTV of 134.4%. The implied defaults and loss severity under the 'AAA' scenario were 62.9% and 36%, respectively. The lowered ratings on the subordinate classes also reflect S&P's expectations for credit support erosion upon the eventual resolution of 17 loans ($174.4 million, 6%) with the special servicer. The affirmed ratings on the principal and interest certificates reflect credit enhancement levels that, in S&P's view, provide adequate credit support through various stress scenarios. S&P affirmed the ratings on the class X-CP, X-CL, and X-W interest- only certificates based on S&P's current criteria. S&P published a request for comment proposing changes to S&P's interest-only criteria on June 1, 2009. After finalizing S&P's criteria review, S&P may revise its current criteria. Any change in S&P's criteria may affect outstanding ratings, including those S&P affirmed. Credit Concerns Nineteen loans ($178.6 million, 6%) in the pool are currently with the special servicer, CW Capital Asset Management LLC. A breakdown of the specially serviced loans by payment status is: one asset is an REO ($7.7 million); one asset is in foreclosure ($7.7 million); 10 loans are 90-plus days delinquent ($136.5 million); and seven loans are less than 30 days delinquent ($23.3 million). Five loans have appraisal reduction amounts totaling $15.7 million in effect. One of the specially serviced assets has a balance greater than or equal to 1% of the total pool balance, while the remaining 18 loans have balances that are less than 0.5% of the total pool balance. The eighth-largest loan in the pool, the Arizona Retail Portfolio loan, ($86.0 million, 3%) was transferred to the special servicer in May 2009 due to monetary default and is more than 90 days delinquent. The loan is secured by 14 retail properties containing 600,178 square feet and located in or around Phoenix, Ariz.; 12 are unanchored, one is single tenanted and one is shadow anchored. Based on Dec. 31, 2008, rent rolls, the portfolio was 83.7% occupied. S&P expects a moderate loss upon the resolution of the loan. Transaction Summary As of the August 2009 remittance report, the collateral pool consisted of 184 loans with an aggregate trust balance of $3.00 billion, compared with 184 loans with an aggregate balance of $3.02 billion at issuance. The master servicer for the transaction is Wachovia Bank N.A. Financial information was provided for 98.6% of the pool; 97% of the servicer-provided information was full-year 2008 data. S&P calculated a weighted average DSC of 1.56x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.40x and 94.62%, respectively. Fourteen loans ($162.6 million, 5.4%) in the pool are delinquent, and 19 are currently with the special servicer. The transaction has not experienced any principal losses to date. Thirty-seven loans are on the master servicer's watchlist ($619.6 million, 21%). Thirty-one loans ($295.9 million, 10%) have reported DSC of less than 1.10x, and 21 of these loans ($194.8 million, 6%) have reported DSC of less than 1.0x. Summary of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $1.6 billion (54%). Using servicer-reported numbers, S&P calculated a weighted average DSC for the top 10 loans of 1.77x, down from to 1.85x at issuance. The eighth-largest loan in the pool, as previously discussed, is with the special servicer, and the ninth-largest loan ($65.0 million, 2%) is on the master servicer's watchlist. S&P's adjusted DSC and LTV for the top 10 loans were 1.66x and 94%, respectively. Standard & Poor's stressed the loans with the special servicer and the remaining loans in the pool according to S&P's updated conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative LB-UBS Commercial Mortgage Trust 2006-C7 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-M A AAA/Watch Neg 20.11 A-J BB+ AAA/Watch Neg 10.30 B BB AA+/Watch Neg 9.55 C BB- AA/Watch Neg 8.55 D B+ AA-/Watch Neg 7.54 E B+ A+/Watch Neg 6.66 F B A/Watch Neg 5.78 G B BBB+/Watch Neg 4.90 H B- BBB/Watch Neg 3.90 J CCC+ BBB-/Watch Neg 3.02 K CCC+ BB-/Watch Neg 2.14 L CCC+ B/Watch Neg 1.89 M CCC B-/Watch Neg 1.76 N CCC CCC+/Watch Neg 1.38 P CCC- CCC/Watch Neg 1.26 Ratings Affirmed And Removed From Creditwatch Negative LB-UBS Commercial Mortgage Trust 2006-C7 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-3 AAA AAA/Watch Neg 30.16 A-1A AAA AAA/Watch Neg 30.16 Q CCC- CCC-/Watch Neg 1.13 S CCC- CCC-/Watch Neg 1.01 Ratings Affirmed LB-UBS Commercial Mortgage Trust 2006-C7 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 30.16 A-2 AAA 30.16 A-AB AAA 30.16 X-CP AAA N/A X-CL AAA N/A X-W AAA N/A N/A - Not applicable. LITTLEFIELD: Fitch Downgrades Ratings on Tax COs to 'BB' -------------------------------------------------------- Fitch Ratings has downgraded to 'BB' from 'BBB-' the rating on Littlefield, Texas's outstanding $1.3 million combination tax and revenue certificates of obligation (COs), series 1997, and removed the ratings from Rating Watch Negative. The CO's constitute a general obligation of the city, payable from ad valorem taxes limited to $2.50 per $100 taxable assessed valuation. Additionally, the COs are secured by a pledge of surplus water and sewer revenues. The Rating Outlook is Negative. The downgrade reflects events related to the operation of the city's detention center facility, which accounts for the majority of outstanding debt (which was not rated by Fitch but is on parity with the series 1997 bonds). To the surprise of city officials, Idaho announced their plans to leave the Littlefield facility in January 2009, citing the need to consolidate all of its out-of- state prisoners into a larger facility in Oklahoma. In addition, the detention center's private operator, the Geo Group, unexpectedly announced termination of their agreement to manage the facility effective January 2009. The move to leave Littlefield by the Geo Group is significant, given that the established private operator had made sizable equity investments in the detention center reportedly totaling approximately $2 million. In the past, the ability of the Geo Group to quickly replace prisoners with little disruption in operations, as well as their investment in the Littlefield detention center were cited as credit strengths. On Dec. 9, 2008, Fitch placed the series 1997 bonds on Rating Watch Negative, reflecting the city's active pursuit of various alternatives to remedy the situation and possibly resolve it within the next several months. Funds to repay debt service on detention center COs through August 2010 had been identified through available city funds as well as a debt service reserve fund. The city indicated to Fitch in May 2009 that it was in negotiations with another established jail operator (the operator) to assume management of the Littlefield facility and that the operator was attempting to secure an agreement with a federal agency to house prisoners. Resolution or near resolution of this agreement was expected by August 2009. However, the operator has yet to secure a prisoner agreement and the timing for resolution remains uncertain. The downgrade to 'BB' reflects the uncertainty as to when and if the city can secure an operator for the detention center as well as the city's limited financial resources to repay the detention center debt. While the city continues to pursue an agreement with the operator (and other private companies in the event negotiations with the operator break down), the Negative Outlook reflects the potential financial hardship placed on the city if a long-term viable solution is not found. Although the detention center COs are also secured by an ad valorem tax pledge, the city levies a property tax for operations only. Officials report that the 2010 proposed budget does not include any property tax levy for debt service, but the city is investigating funding alternatives for future detention center debt service. In order to fully support the detention center COs, the ad valorem tax rate would have to double, which is not politically feasible. Littlefield, with a population of 6,500, is located approximately 35 miles northwest of Lubbock and serves as the county seat for Lamb County. The area is primarily rural in nature, with agriculture services, government, manufacturing, and trade as key components of the county's economy. The city's population and TAV had been flat until recently; over the past several years, the tax base has increased 13.4%, with another 4%-5% gain anticipated for the coming year. While there is moderate taxpayer concentration among the top 10 taxpayers, there is generally a good mix of industries within the list. General fund finances have stabilized over the past several years, benefitting from the recent imposition of a 0.25% increase in the sales tax rate as well as tax base growth. General fund reserves are modest, representing 6% of expenditures and transfers out. Sales tax collections for fiscal 2009 are reportedly on target, although recent large construction projects within the city may result in higher than anticipated sales taxes and an increase in the general fund balance. Historically, sewer system revenues have provided general fund and debt service support, although the sewer system's own operating and capital needs have risen as well. MAINE EDUCATIONAL: Moody's Downgrades Ratings on Six Classes ------------------------------------------------------------ Moody's Investors Service has downgraded six classes of senior bonds and one class of subordinate bonds issued by Maine Educational Loan Marketing Corporation, a company acquired by National Education Loan Network in 2000. The senior bonds are auction rate securities whereas the subordinate bonds are fixed rate securities. The underlying pool consists of government guaranteed (FFELP) loans. The ratings were placed under review on June 4, 2009. The action was prompted primarily by the liquidity constraint the trust is encountering in order to pay down the Series 94 bonds maturing on November 1, 2009. In addition, the trust experienced significant increase of funding costs due to the continuing and prolonged dislocation of the auction rate securities market. As most student loan collateral is indexed to the Financial Commercial Paper rate (CP rate), the trust has suffered significant excess spread compression as the yield on the assets has not increased in tandem with the cost of the liabilities. As of June 30, 2009, the outstanding balance of the maturing Series 1994 bonds was $36.8 million, but there was only approximately $11 million of cash in the trust's accounts. Moody's expects that even with additional collections during the next four months before the legal maturity date, in absence of restructuring, the maturing bonds would not be fully repaid by November 1, 2009. The transaction structure stipulates that a failure to repay any bonds by legal maturity represents an indenture event of default, which triggers a change in allocation of available funds from pro-rata to sequential. In that case senior bonds will receive principal payments before any subordinate bonds can get paid. Therefore, the subordinate bonds could suffer a substantial loss of principal. In addition, as of the same date, the total parity, or the ratio of total assets to total liabilities, was 104.24%. The senior parity or the ratio of total assets to the aggregate of total senior bonds outstanding balance and accrued liabilities was 108.08%. At the failed auction rate, the trust is currently expected to generate negative 20-40bps of excess spread per annum. However, under Moody's stress scenarios, the trust is expected to generate significantly negative excess spread, which could reduce parity levels overtime. The new ratings were assigned based on Moody's assessment of the recovery rate on each of the bonds, i.e. the historical principal pay down and the expected future principal payment. As of June 30, 2009, the outstanding balance of Series 1994 A-2 was $2.9 million or 9% of the original issuance whereas Series 1994 A- 3 still had $30.9 million outstanding or 94% of the original issuance. The complete rating actions are: Issuer: Maine Educational Loan Marketing Corporation, Master Trust Indenture Series 1994, Series 1996, Series 1997, Series 1999 -- Ser. 1994 A-2, Downgraded to B2; previously on Jun 4, 2009 Aa3 Placed Under Review for Possible Downgrade -- Ser. 1994 A-3, Downgraded to Caa2; previously on Jun 4, 2009 Aa3 Placed Under Review for Possible Downgrade -- Ser. 1996 A-2, Downgraded to Caa2; previously on Jun 4, 2009 Aa3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Caa2) -- Ser. 1997A-2, Downgraded to Caa1; previously on Jun 4, 2009 Aa3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Caa2) -- Ser. 1999A-2, Downgraded to Caa1; previously on Jun 4, 2009 Aa3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Caa2) -- Ser. 1999A-3, Downgraded to Caa2; previously on Jun 4, 2009 Aa3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Caa2) -- Ser. 1994 B-1, Downgraded to C; previously on Jun 4, 2009 A2 Placed Under Review for Possible Downgrade MAPS CLO: Moody's Downgrades Ratings on Various Classes of Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by MAPS CLO Fund II, Ltd.: -- US$186,250,000 Class A-1 Senior Secured Floating Rate Notes due 2022, Downgraded to Aa2; previously on June 27, 2007 Assigned Aaa -- US$18,750,000 Class A-1J Senior Secured Floating Rate Notes due 2022, Downgraded to Aa3; previously on March 4, 2009 Aaa Placed Under Review for Possible Downgrade -- US$18,000,000 Class A-2 Senior Secured Floating Rate Notes due 2022, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade -- US$16,000,000 Class D Secured Deferrable Floating Rate Notes due 2022, Downgraded to Caa3; previously on March 13, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade -- US$3,000,000 Composite Notes due 2022, Downgraded to B2; previously on March 4, 2009 Baa3 Placed Under Review for Possible Downgrade In addition, Moody's has confirmed the ratings of these notes: -- US$26,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2022, Confirmed at Ba1; previously on March 13, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade -- US$22,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2022, Confirmed at B1; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. Such credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, and an increase in the proportion of securities from issuers rated Caa1 and below. In particular, the weighted average rating factor has increased over the last year and is currently 3232 as of the last trustee report, dated August 10, 2009. Based on the same report, defaulted securities currently held in the portfolio total about $14 million, accounting for roughly 3.6% of the collateral balance, and securities rated Caa1 or lower make up approximately 19.7% of the underlying portfolio The rating actions also reflect Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. These revised assumptions are described in the publication "Moody's Approach to Rating Collateralized Loan Obligations," dated August 12, 2009. Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Other assumptions used in Moody's CLO monitoring are described in the publication "CLO Ratings Surveillance Brief - Second Quarter 2009," dated July 17, 2009. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. MAPS CLO Fund II, Ltd., issued in June 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The collateral pool includes about 30% of debt obligations whose credit quality has been assessed through Moody's Credit Estimates. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. MARQUETTE US/EUROPEAN: Moody's Downgrades Ratings on Various Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Marquette US/European CLO, P.L.C.: -- US$103,905,000 Class A-1A Senior Secured Floating Rate Dollar Notes Due 2020, Downgraded to A2; previously on July 20, 2006 Assigned Aaa; -- US$11,545,000 Class A-1B Senior Secured Floating Rate Dollar Notes Due 2020, Downgraded to Baa3; previously on July 20, 2006 Assigned Aaa; -- EUR86,151,000 Class A-2 Senior Secured Floating Rate Euro Notes Due 2020, Downgraded to Baa1; previously on July 20, 2006 Assigned Aaa; -- US$2,550,000 Class B-1 Senior Secured Floating Rate Dollar Notes Due 2020, Downgraded to Ba3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- EUR7,500,000 Class B-2 Senior Secured Floating Rate Euro Notes Due 2020, Downgraded to Ba3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$10,000,000 Class C-1 Secured Floating Rate Dollar Notes Due 2020, Downgraded to Caa2; previously on March 4, 2009 A2 Placed Under Review for Possible Downgrade; -- EUR7,937,000 Class C-2 Secured Floating Rate Euro Notes Due 2020, Downgraded to Caa2; previously on March 4, 2009 A2 Placed Under Review for Possible Downgrade; -- US$9,500,000 Class D-1 Secured Floating Rate Dollar Notes Due 2020, Downgraded to Ca; previously on March 4, 2009 Baa2 Placed Under Review for Possible Downgrade; -- EUR7,540,000 Class D-2 Secured Floating Rate Euro Notes Due 2020, Downgraded to Ca; previously on March 4, 2009 Baa2 Placed Under Review for Possible Downgrade; -- US$3,000,000 Class E-1 Secured Floating Rate Dollar Notes Due 2020 (current balance of $3,041,566), Downgraded to C; previously on March 4, 2009 Ba2 Placed Under Review for Possible Downgrade; -- EUR2,381,000 Class E-2 Secured Floating Rate Euro Notes Due 2020 (current balance of EUR2,415,818), Downgraded to C; previously on March 4, 2009 Ba2 Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," the application of certain stresses with respect to the default probabilities associated with certain Moody's credit estimates, and the calculation of the Diversity Score. 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, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the amount of defaulted securities, and an increase in the proportion of securities from issuers rated Caa1 and below. The weighted average rating factor has steadily increased over the last year and is currently 2615 versus a test level of 2591 as of the last trustee report, dated July 6, 2009. Based on the same report, defaulted securities total about $18 million, accounting for roughly 5.8% of the collateral balance, and securities rated Caa1 or lower make up approximately 11% of the underlying portfolio. Moody's notes that a significant proportion of the collateral pool is concentrated in non-U.S. dollar denominated obligations from issuers in a relatively limited number of industries. Moody's also notes that a material proportion of the collateral pool includes debt obligations whose credit quality has been assessed through Moody's Credit Estimates. Moody's analysis reflects the application of certain stresses with respect to the default probabilities associated with CEs. These additional stresses reflect the rapid pace of recent changes in credit market conditions and the default rate expectations in the current economic cycle that are higher than the historical averages. Specifically, the default probability stresses include (1) a 1.5 notch-equivalent assumed downgrade for certain CEs updated between 12-15 months ago; and (2) assuming an equivalent of Caa3 for certain CEs that were not updated within the last 15 months. Additionally, as CEs do not carry credit indicators such as ratings reviews and outlooks, a stress of a 0.25-0.5 notch- equivalent assumed downgrade was applied to certain estimates. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, may be different from the trustee's reported numbers. Marquette US/European CLO, P.L.C., issued on July 20, 2006, is a multi-currency collateralized loan obligation backed primarily by a portfolio of senior secured loans denominated in U.S. dollars, euros, and pounds sterling. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. MARLBOROUGH STREET: Moody's Downgrades Ratings on Various Notes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Marlborough Street CLO, Ltd.: -- US$93,000,000 Class A-1 Senior Secured Floating Rate Notes due 2019 (current balance of $91,438,661), Downgraded to Aa3; previously on 4/26/2007 Assigned Aaa; -- US$14,000,000 Class A-2B Senior Secured Floating Rate Notes due 2019, Downgraded to A1; previously on 3/04/2009 Aa1 Placed Under Review for Possible Downgrade; -- US$13,000,000 Class B Senior Secured Floating Rate Notes due 2019, Downgraded to Baa1; previously on 3/04/2009 Aa2 Placed Under Review for Possible Downgrade; -- US$15,000,000 Class D Secured Deferrable Floating Rate Notes due 2019, Downgraded to B2; previously on 3/13/2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$9,000,000 Class E Secured Deferrable Floating Rate Notes due 2019, Downgraded to Ca; previously on 3/13/2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. Additionally, Moody's has confirmed the ratings of these notes: -- US$15,000,000 Class C Secured Deferrable Floating Rate Notes due 2019, Confirmed at Ba1; previously on 3/13/2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. Such credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of Class C Overcollateralization Test, Class D Overcollateralization Test and Class E Overcollateralization Test. In particular, the weighted average rating factor has increased over the last year and is currently 2936. Based on the same report, defaulted securities total about $16.5million, accounting for roughly 6% of the collateral balance, and securities rated Caa1 or lower make up approximately 16% of the underlying portfolio. The rating actions also reflect Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. These revised assumptions are described in the publication "Moody's Approach to Rating Collateralized Loan Obligations," dated August 12, 2009. Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Other assumptions used in Moody's CLO monitoring are described in the publication "CLO Ratings Surveillance Brief - Second Quarter 2009," dated July 17, 2009. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. Marlborough Street CLO, Ltd., issued in April 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. MERRILL LYNCH: Moody's Affirms Ratings on 2000-Canada 3 Certs. -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of eight classes of Merrill Lynch Mortgage Loans Inc., Commercial Mortgage Pass- Through Certificates, Series 2000-Canada 3 due to overall stable pool performance. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the August 17, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 34% to $169.0 million from $257.6 million at securitization. The Certificates are collateralized by 35 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten non- defeased loans representing 50% of the pool. Eleven loans, representing 26% of the pool, have defeased and are collateralized with Canadian Government securities. Moody's was provided with partial or full-year 2008 operating results for 100% of the pool, excluding defeased loans. Moody's weighted average loan to value ratio is 63%, compared to 57% at Moody's prior review in July 2008. Moody's stressed debt service coverage ratio for the conduit component is 2.03X compared to 2.12X at last review. Moody's stressed DSCR is based on Moody's net cash flow and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of the Herfindahl index to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool, excluding defeased loans and loans with underlying ratings, has a Herf score of 17 compared to 18 at last review. One loan has been liquidated from the pool resulting in a minimal loss. Currently there are no loans in special servicing. Two loans, representing 3% 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 three largest conduit loans represent 23% of the outstanding pool balance. The largest conduit loan is the Woodside Square Shopping Center Loan Loan ($14.5 million -- 8.6%), which is secured by a 291,000 square foot retail center located in Scarborough, Ontario. The largest tenants are Food Basics (14.2% GLA; lease expiration August 2023) and The Best Buys (9.2%; month- to-month lease since April 2007). As of April 2009, the center was 97.4% occupied, essentially the same as at last review. Performance improved due to decrease in expenses and benefit from amortization. Moody's LTV and stressed DSCR are 50% and 2.11X, respectively, compared to 55% and 1.86X at last review. The second largest conduit loan is the Somerset House Loan ($14.2 million -- 8.4%), which is secured by a 138 unit healthcare property located in Victoria, British Columbia. The tenancy is 100% private pay. Performance has declined due to an increase in expenses. Moody's LTV and stressed DSCR are 84% and 1.35X, respectively, compared to 74% and 1.34X at last review. The third largest conduit loan is the Delta St. John's Loan ($9.9 million -- 5.9%), which is secured by a 276 room hotel located in St. John's, Newfoundland. RevPAR for calendar year 2008 was $101 compared to $96 at last review. The loan has amortized 20.7% since securitization. Performance has declined due to an increase in expenses. Moody's LTV and stressed DSCR are 64% and 1.98X, respectively, compared to 58% and 2.15X at last review. Moody's rating actions is: -- Class A-2, $122,680,029, affirmed at Aaa; previously affirmed at Aaa on 7/24/2008 -- Class X, Notional, affirmed at Aaa; previously affirmed at Aaa on 7/24/2008 -- Class B, $7,727,000, affirmed at Aaa; previously affirmed at Aaa on 7/24/2008 -- Class C, $8,372,000, affirmed at Aaa; previously affirmed at Aaa on 7/24/2008 -- Class D, $10,304,000, affirmed at A1; previously upgraded to A1 from A2 on 7/24/2008 -- Class E, $2,576,000, affirmed at Baa1; previously upgraded to Baal from Baa2 on 7/24/2008 -- Class F, $7,084,000, affirmed at Ba2; previously affirmed at Ba2 on 7/24/2008 -- Class G, $5,151,000, affirmed at B2; previously affirmed at B2 on 7/24/2008 MERRILL LYNCH: Moody's Affirms Ratings on Eight 2005-MCP1 Certs. ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of eight classes and downgraded 14 classes of Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-MCP1. The downgrades are due to higher expected losses for the pool resulting from a decline in the pool's overall credit quality, increased credit quality dispersion, anticipated losses from loans in special servicing and refinancing risk for five-year loans approaching maturity. Five loans, representing 9% of the pool, mature within the next 18 months. One of the loans, representing 5% of the pool, has a Moody's stressed debt service coverage ratio that is less than 1.0X. On August 6, 2009, Moody's placed 14 classes on review for possible downgrade because of concerns about a decline in the credit quality of the pool. This action concludes that review. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the August 12, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 5% to $1.66 billion from $1.74 billion at securitization. The Certificates are collateralized by 109 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top 10 loans representing 47% of the pool. The pool includes three loans with investment-grade underlying ratings, representing 15% of the pool. Four loans, representing 4% of the pool, have defeased and are collateralized by U.S. Government securities. Twenty four loans, representing 10% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has not experienced any losses to date. Nine loans, representing 11% of the pool, are currently in special servicing. The largest specially serviced loan is the HSA Industrial Portfolio ($61.3 million - 3.7%), which is secured by 10 industrial properties totaling 2.3 million square feet in Ohio and Kentucky. The loan has been in special servicing since June 2008 and is currently 90+ days delinquent. The portfolio was 49% occupied as of May 2009. In July 2009 the special servicer recognized an appraisal reduction of $17.0 million for this loan. The special servicer has also recognized appraisal reductions totaling $17.6 million for four other specially serviced loans. Of the specially serviced loans, three loans (6% of the pool) are 90+ days delinquent, two are 30 or 60 days delinquent (1%), one is in the process of foreclosure (0.3%) and two are current (1%). Moody's estimates an aggregate loss of $60.3 million (40% loss severity on average) for the specially serviced loans. Moody's was provided with partial or full-year 2008 operating results for 90% of the pool, excluding the defeased loans. Moody's weighted average loan to value ratio, excluding specially serviced loans with estimated losses, is 103% compared to 99% at Moody's prior full review in July 2008. In addition to an overall increase in leverage, the pool has experienced increased credit quality dispersion since last review. Based on Moody's analysis, 58% of the pool has a LTV greater than 100% compared to 41% at last review. Approximately 19% of the pool has an LTV in excess of 120% compared to 5% at last review. Moody's stressed DSCR is 1.00X compared to 1.09X at last review. Moody's stressed DSCR is based on Moody's net cash flow and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of the Herfindahl index to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool, excluding defeased loans, has a Herf of 28, the same as at last review. The largest loan with an underlying rating is the Westchester Mall Loan ($200.0 million -- 12.1%), which is a pari passu interest in a $300.0 million mortgage loan. The loan is secured by the borrower's interest in an 832,000 square foot regional mall located in White Plains, New York. The mall is anchored by Nordstrom and Neiman Marcus. The in-line space was 95% occupied as of March 2009, essentially the same as at last review. Performance has been stable. The loan matures in June 2010. Moody's current underlying rating and stressed DSCR are A2 and 1.33X, respectively, the same as at last review. The second largest loan with an underlying rating is the Tharaldson Hotel Pool B Loan ($30.3 million - 1.8%), which is secured by 10 limited service hotels totaling 853 rooms. The properties are located in five states with concentrations in Texas (47%), Illinois (17%) and Missouri (16%). The portfolio's financial performance has been stable since last review. The loan was structured with a 20-year amortization and has amortized by approximately 4% since last review. Moody's current underlying rating and stressed DSCR are A2 and 2.44X, respectively, compared to A2 and 2.09X at last review. The third largest loan with an underlying rating is the Tharaldson Hotel Pool A Loan ($19.7 million - 1.2%), which is secured by 10 limited service hotels totaling 726 rooms and the leased fee interests in three hotels. The properties are located in eight states with concentrations in Arizona (18%), Illinois (17%) and Oklahoma (16%). Performance has been stable. The loan was structured with a 20-year amortization and has amortized by approximately 4% since last review. Moody's current underlying rating and stressed DSCR are A2 and 2.33X, respectively, compared to A2 and 2.15X at last review. The top three conduit loans represent 18% of the pool. The largest conduit loan is the 711 Third Avenue Loan ($120.0 million - 7.2%), which is secured by a 551,000 square foot Class B office building located in New York City. The property was 94% occupied as of March 2009 compared to 95% at last review. The largest tenants are Ketchum, Inc. (18% NRA; lease expiration November 2015), Crain Communication (18%; lease expiration February 2014) and Parade Publications (15%; lease expiration August 2020). The property's financial performance has been negatively impacted by higher expenses. Moody's LTV and stressed DSCR are 116% and 0.84X, respectively, compared to 112% and 0.92X at last review. The second largest conduit loan is the Queen Ka'ahumanu Center Loan ($92.0 million - 5.5%), which is secured by the borrower's interest in a 556,000 square foot regional mall located in Kahulia, Hawaii. The collateral also includes a 16,500 square foot office building adjacent to the mall. The mall is anchored by two Macy's stores and Sears. The in-line space was 94% occupied as of March 2009 compared to 97% at last review. Performance has declined due to increased expenses. The loan matures in June 2010. Due to the low stressed DSCR, Moody's is concern about refinancing of this loan. Moody's LTV and stressed DSCR are 103% and 0.89X, respectively, compared to 94% and 1.04X at last review. The third largest conduit loan is the ACP Woodland Park I Loan ($88.5 million - 5.3%), which is secured by three office buildings located in Herndon, Virginia. The complex totals 479,000 square feet and was 100% occupied as of December 2008 compared to 98% at last review. Performance has been stable. Moody's LTV and stressed DSCR are 98% and 1.03X, respectively, compared to 98% and 1.05X at last review. Moody's rating action is: -- Class A-2, $340,139,744, affirmed at Aaa; previously affirmed at Aaa on 7/24/2008 -- Class A-3, $47,661,000, affirmed at Aaa; previously affirmed at Aaa on 7/24/2008 -- Class A-1A, $123,107,116, affirmed at Aaa; previously affirmed at Aaa on 7/24/2008 -- Class A-SB, $100,000,000, affirmed at Aaa; previously affirmed at Aaa on 7/24/2008 -- Class A-4, $526,039,000, affirmed at Aaa; previously affirmed at Aaa on 7/24/2008 -- Class XP, Notional, affirmed at Aaa; previously affirmed at Aaa on 7/24/2008 -- Class XC, Notional, affirmed at Aaa; previously affirmed at Aaa on 7/24/2008 -- Class AM, $173,800,000, affirmed at Aaa; previously affirmed at Aaa on 7/24/2008 -- Class A-J, $115,142,000, downgraded to Aa2 from Aaa; previously placed on review for possible downgrade on 8/6/2009 -- Class B, $36,932,000, downgraded to A1 from Aa2; previously placed on review for possible downgrade on 8/6/2009 -- Class C, $15,208,000, downgraded to A2 from Aa3; previously placed on review for possible downgrade on 8/6/2009 -- Class D, $32,587,000, downgraded to Baa1 from A2; previously placed on review for possible downgrade on 8/6/2009 -- Class E, $19,553,000, downgraded to Baa3 from A3; previously placed on review for possible downgrade on 8/6/2009 -- Class F, $28,242,000, downgraded to Ba2 from Baa1; previously placed on review for possible downgrade on 8/6/2009 -- Class G, $17,380,000, downgraded to B1 from Baa2; previously placed on review for possible downgrade on 8/6/2009 -- Class H, $21,725,000, downgraded to Caa1 from Baa3; previously placed on review for possible downgrade on 8/6/2009 -- Class J, $6,518,000, downgraded to Caa3 from Ba1; previously placed on review for possible downgrade on 8/6/2009 -- Class K, $8,690,000, downgraded to Ca from Ba2; previously placed on review for possible downgrade on 8/6/2009 -- Class L, $6,517,000, downgraded to Ca from Ba3; previously a placed on review for possible downgrade on 8/6/2009 -- Class M, $4,345,000, downgraded to Ca from B1; previously placed on review for possible downgrade on 8/6/2009 -- Class N, $4,345,000, downgraded to C from B2; previously placed on review for possible downgrade on 8/6/2009 -- Class P, $8,690,000, downgraded to C from B3; previously placed on review for possible downgrade on 8/6/2009 MERRILL LYNCH: S&P Downgrades Ratings on 15 2006-C2 Securities -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 15 classes of commercial mortgage-backed securities from Merrill Lynch Mortgage Trust 2006-C2 and removed them from CreditWatch with negative implications, where they were placed on April 7, 2009 and June 26, 2009. In addition, S&P affirmed its ratings on six classes from the same transaction and removed two of them from CreditWatch negative. The downgrades follow S&P's analysis of the transaction using S&P's recently released U.S. conduit and fusion CMBS criteria, which was the primary driver of the rating actions. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage (DSC) of 1.40x and a loan-to-value ratio of 102.3%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 0.91x and an LTV of 142.3%. The implied defaults and loss severity under the 'AAA' scenario were 82.9% and 38.7%, respectively. The DSC and LTV calculations exclude five of the nine specially serviced assets (3.2%). S&P estimated losses for these loans, which are included in the 'AAA' scenario implied default and loss figures. S&P affirmed the rating on the interest-only certificate based on S&P's current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its current criteria. Any change in S&P's criteria may impact outstanding ratings, including the rating on the IO certificate S&P affirmed. Credit Concerns Nine loans ($144.0 million, 10.8%) in the pool, including two of the top 10 loans, are with the special servicer, J.E. Robert Co. Inc. The payment statuses of the specially serviced loans are: six are more than 90 days delinquent ($50.5 million, 3.8%), one is 30 days delinquent ($5.9 million, 0.4%), and two are late, but less than 30 days delinquent ($87.6 million, 6.6%). Five of the specially serviced loans have appraisal reduction amounts in effect totaling $20.2 million. One of the specially serviced assets has a balance that is greater than 5.0% of the total pool balance. Both this loan, which is the third largest in the pool, and the tenth largest loan, which is also with the special servicer, are discussed below. Transaction Summary As of the Aug. 12, 2009, remittance report, the collateral pool consisted of 124 loans with an aggregate trust balance of $1.3 billion, down from 126 loans with an aggregate trust balance of $1.5 billion at issuance. The master servicers for the transaction are Wachovia Bank N.A. and Prudential Asset Resources. Financial information was provided for 100.0% of the pool, and 97.5% of the available financial information was full-year 2008 data. S&P calculated a weighted average DSC of 1.37x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.40x and 102.3%, respectively. The transaction has experienced one principal loss, in the amount of $4.1 million. Thirty-one loans ($229.5 million, 17.2%) are on the master servicers' watchlists, including one of the top 10 loans. Twenty-five loans ($216.2 million, 16.2%) have a reported DSC below 1.10x, and 16 of these loans ($126.3 million, 9.5%) have a reported DSC of less than 1.0x. Summary Of Top 10 Loans The top 10 exposures have an aggregate outstanding trust balance of $525.0 million (39.3%). Using servicer-reported numbers, S&P calculated a weighted average DSC for the top 10 loans of 1.46x, compared with 1.38x at issuance. The eighth-largest loan in the pool ($24.4 million, 1.8%) appears on Wachovia's watchlist. S&P's adjusted DSC and LTV for the top nine loans (i.e., top 10 loans, excluding The Shops of Fairlawn exposure, which is discussed below) are 1.54x and 95.0%, respectively. The Mall at Whitney Field loan is the third-largest exposure in the pool and the largest exposure with the special servicer. The loan is late, but less than 30 days delinquent. This loan has a balance of $74.8 million (5.6%) and is secured by a 664,974-sq.- ft. regional mall in Leominster, Mass. The loan was transferred to special servicing on April 29, 2009. The reported DSC for the 12 months ended Dec. 31, 2008, was 1.10x, while occupancy was 93.7% for the same period. A lockbox is currently in place. The Shops of Fairlawn loan is the 10th-largest loan in the pool and the second-largest exposure with the special servicer. The loan is 90-plus-days delinquent. This asset has a balance of $20.6 million (1.5%) and is secured by a 133,334-sq.-ft. retail property in Fairlawn, Ohio. The loan was transferred to the special servicer on Feb. 18, 2009. Year-end 2008 DSC was 0.78x, while occupancy was 60.9% at Jan. 2, 2009. The special servicer and borrower are negotiating a $2 million paydown, with a $10 million restructured note on a seven- to 10-year term. The loan has a $10.5 million ARA in effect. Standard & Poor's expects a significant loss upon the resolution of the loan. Standard & Poor's stressed the loans in the pool according to S&P's updated conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Merrill Lynch Mortgage Trust 2006-C2 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-M A AAA/Watch Neg 22.78 A-J BBB+ AAA/Watch Neg 14.56 B BBB AA/Watch Neg 12.25 C BBB- AA-/Watch Neg 11.09 D BB A/Watch Neg 9.07 E BB- A-/Watch Neg 7.78 F B+ BBB+/Watch Neg 5.90 G B BBB/Watch Neg 4.75 H B- BBB-/Watch Neg 3.59 J B- BB+/Watch Neg 2.87 K CCC+ BB/Watch Neg 2.58 L CCC+ BB-/Watch Neg 2.15 M CCC B+/Watch Neg 1.86 N CCC- B/Watch Neg 1.57 P CCC- B-/Watch Neg 1.28 Ratings Affirmed And Removed From Creditwatch Negative Merrill Lynch Mortgage Trust 2006-C2 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-4 AAA AAA/Watch Neg 34.33 A-1A AAA AAA/Watch Neg 34.33 Ratings Affirmed Merrill Lynch Mortgage Trust 2006-C2 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 34.33 A-2 AAA 34.33 A-3 AAA 34.33 X AAA N/A N/A - Not applicable. MERRILL SERIES: Moody's Reviews Ratings on Two Certs. to 'B3' ------------------------------------------------------------- Moody's Investors Service announced that it has placed under review for possible upgrade STARS custodial receipts, Merrill Series 2 and STRIPES custodial receipts, Merrill Series 2: -- $36,400,000 Structured Auction Rate Securities Stock Custodial Receipts, Merrill Series 2, B3 placed under review for possible upgrade; previously on 4/15/2009 downgraded to B3; -- $19,600,000 Structured Residual Interest Preferred Enhanced Securities Stock Custodial Receipts, Merrill Series 2, B3 placed under review for possible upgrade; previously on 4/15/2009 downgraded to B3; The transaction is a structured note whose ratings change with the rating of the Deposited Stock. The rating actions are a result of the change of the rating of Floating Rate Non-Cumulative Preferred Stock, Series 2 issued by Merrill Lynch & Co., Inc., which was placed under review for possible upgrade at B3 on 8/17/2009. MIDWEST FAMILY: Moody's Reviews Ratings on Various Taxable Bonds ---------------------------------------------------------------- Moody's Investors Service has placed the underlying Baa2 Class I, Ba3 Class II, B3 Class III, and B3 Class IV Midwest Family Housing LLC Military Housing Taxable Revenue Bonds (Navy Midwest Housing Privatization Project) Series 2006 A on watch for possible downgrade. This rating action is based on the recent downgrade of CIFG Assurance North America, Inc., to Caa2 from Ba3, and the funding of the Debt Service Reserve Funds for the bonds by way of a debt service reserve fund surety bond provided by CIFG. Moody's considers the Debt Service Reserve Fund to be an important component of support for the Bonds and therefore a key factor in the rating. The last rating action was on July 15, 2009 when Moody's affirmed the Baa2 rating assigned to the Series 2006 A Class I and downgraded the ratings assigned: to Ba3 from Ba2 on the 2006 Series A Class II; to B3 from B1 on the Class III Bonds; and to B3 from B2 on the Class IV bonds. MONUMENT PARK: Moody's Downgrades Ratings on Various Classes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Monument Park CDO Ltd.: -- US$847M Class A-1 Floating Rate Senior Delayed Funding Notes Due 2016, Downgraded to A3; previously on January 25, 2004 Assigned Aaa; -- US$60M Class A-2 Floating Rate Senior Revolving Notes Due 2016, Downgraded to A3; previously on January 25, 2004 Assigned Aaa; -- US$50M Class B Floating Rate Subordinated Delayed Funding Deferrable Notes Due 2016, Downgraded to Ba2; previously on March 18, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$7.9M Combination Securities Due 2016, Downgraded to B1; previously on January 25, 2004 Assigned Baa3. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. Such credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below. In particular, the weighted average rating factor has increased over the last year and is currently 2624 versus a test level of 2538, as of the last trustee report, dated August 2, 2009. Based on the same report, defaulted securities currently held in the portfolio total about $32.5million, accounting for roughly 3.3% of the collateral balance, and securities rated Caa1 or lower make up approximately 6.4% of the underlying portfolio. The downgrade action also reflects Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. These revised assumptions are described in the publication "Moody's Approach to Rating Collateralized Loan Obligations," dated August 12, 2009. Moody's analysis also reflects the expectation that recoveries for second lien loans and high-yield corporate bonds will be below their historical averages, consistent with Moody's research. Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Other assumptions used in Moody's CLO monitoring are described in the publication "CLO Ratings Surveillance Brief - Second Quarter 2009," dated July 17, 2009. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. Monument Park CDO Ltd., issued in January 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. MORGAN STANLEY: Fitch Corrects Ratings on Class Q to 'B-/LS5' ------------------------------------------------------------- This amends a press release originally published on Aug. 24. The $9.6 million class Q certificates were being affirmed at 'B-/LS5', not downgraded. Fitch Ratings has downgraded and removed from Rating Watch Negative 16 classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2006-HQ9. In addition, Fitch has assigned Rating Outlooks as applicable. A detailed list of rating actions follows at the end of this release. The downgrades are the result of loss expectations and reflect Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch forecasts potential losses of 4.5% for this transaction should market conditions not recover. The rating actions are based on losses of 3%, including 100% of the losses associated with term defaults and any losses associated with maturities within the next five years. Given the significant term to maturity, Fitch's actions only account for 25% of the losses associated with maturities beyond five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for certain loans representing 61.1% of the pool and, in some cases, revised based on additional information and/or property characteristics. The remaining 38.9% represent 17.3% of the total losses. Approximately 13.5% of the mortgages mature within the next five years: 2.4% in 2011, 2.7% in 2012, and 8.4% in 2013. In 2016, 82.5% of the pool is scheduled to mature. Fitch identified 35 Loans of Concern (9%) within the pool, thirteen of which (3.87%) are specially serviced. Of the specially serviced loans, one (0.53%) is current. One of the transactions top 15 loans (1.2%) is in special servicing. One loan (1.2%) in the top 15 is expected to default during the term, with a loss severity of 34.8%. The largest contributors to loss are: G&L Portfolio (5.6%), The Center Point Complex (1.2%), and Page Plaza (0.53%). The G&L Portfolio loan is cross-collateralized and cross-defaulted by seven properties located in in-fill submarkets of Los Angeles. Four of the seven properties are located within 'The Golden Triangle' of Beverly Hills. The properties are 93.2% occupied down from 98% at issuance and YE08 servicer reported DSCR was 1.32 times (x). Near-term lease expirations at the property include 13.3% in 2009, 20.1% in 2010 and 19.2% in 2011. The loan is sponsored by G&L Realty Partnership, a local health care property investor founded in 1976. The loan matures in August 2013. The Center Point Complex loan (1.2%) is collateralized by four retail properties located in High Point, NC. All tenants are in the furniture and home improvement sectors. The loan transferred to the special servicer, due to a decline in occupancy and a drop in market rents. The center suffered from several tenant defaults and bankruptcies which caused a drop in occupancy to 79.3%. According to the servicer, market rents have dropped approximately 36% and most landlords are offering significant concessions. The Page Plaza loan is collateralized by a 41,070 sf retail center in Hemet, CA. Major tenants at the property include; Walgreens, Payless Shoe Source and Pizza Factory. The loan transferred to the special servicer in May 2009 and the loan is currently 90+ days delinquent. The borrower missed payments from March to June due to an increase in vacancy (occupancy was 80% as of April 1, 2009) as well as an increase in the number of slow-pay / no-pay tenants. Additionally, the borrower granted rent reductions to several tenants. After meeting with the borrower in person and touring the property, the special servicer has agreed to enter into a 90-day forbearance agreement in order to further evaluate the property, and allow the borrower an opportunity to gain leasing momentum. Fitch downgrades, removes from Rating Watch Negative, and assigns Outlooks and Loss Severity (LS) ratings to these classes: -- $202 million class AJ to 'AA/LS3' from 'AAA'; Outlook Negative; -- $19.2 million class B to 'AA/LS5' from 'AA+'; Outlook Negative; -- $35.3 million class C to 'AA/LS5' from 'AA'; Outlook Negative; -- $28.9 million class D to 'A/LS5' from 'AA-'; Outlook Negative; -- $22.4 million class E to 'A/LS5' from 'A+'; Outlook Negative; -- $25.7 million class F to 'BBB/LS5' from 'A'; Outlook Negative; -- $25.7 million class G to 'BBB-/LS5' from 'A-'; Outlook Negative; -- $28.9 million class H to 'BB/LS5' from 'BBB+'; Outlook Negative; -- $32.1 million class J to 'B/LS5' from 'BBB'; Outlook Negative; -- $25.7 million class K to 'B-/LS5' from 'BBB-'; Outlook Negative; -- $9.6 million class L to 'B-/LS5' from 'BB+'; Outlook Negative; -- $3.2 million class M to 'B-/LS5' from 'BB'; Outlook Negative; -- $9.6 million class N to 'B-/LS5' from 'BB-'; Outlook Negative; -- $6.4 million class O to 'B-/LS5' from 'B+'; Outlook Negative; -- $3.2 million class P to 'B-/LS5' from 'B'; Outlook Negative. Fitch also affirms, removes from Rating Watch Negative, and assigns an Outlook and Loss Severity rating to this class: -- $9.6 million class Q at 'B-/LS5'; Outlook Negative. In addition, Fitch has affirmed these classes with Stable Outlooks: -- $60.6 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $159.4 million class A-1A at 'AAA/LS1'; Outlook Stable; -- $92.9 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $215 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $84.6 million class A-AB at 'AAA/LS1'; Outlook Stable; -- $784.2 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $350.0 million class A-4FL at 'AAA/LS1'; Outlook Stable; -- $256.5 million class A-M at 'AAA/LS1'; Outlook Stable; -- $433.5 thousand class ST-A at 'BBB-'; Outlook Stable; -- $2.9 million class ST-B at 'BB'; Outlook Stable; -- $1.1 million class ST-C at 'BB-'; Outlook Stable; -- $2.3 million class ST-D at 'B'; Outlook Stable; -- $1.3 million class ST-E at 'B-'; Outlook Stable. The ST classes are related to the non-pooled B-note that is secured by 633 Indiana Avenue NW. Fitch does not rate the $25.7 million class S, $18.5 million class DP, and $10 million class ST-F certificates. The Interest-only class X-RC has been paid in full. MORGAN STANLEY: Fitch Downgrades Ratings on 2006-HQ9 Certificates ----------------------------------------------------------------- Fitch Ratings has downgraded and removed from Rating Watch Negative 16 classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2006-HQ9. In addition, Fitch has assigned Rating Outlooks as applicable. A detailed list of rating actions follows at the end of this release. The downgrades are the result of loss expectations and reflect Fitch's prospective views regarding commercial real estate market value and cash flow declines. Fitch forecasts potential losses of 4.5% for this transaction should market conditions not recover. The rating actions are based on losses of 3%, including 100% of the losses associated with term defaults and any losses associated with maturities within the next five years. Given the significant term to maturity, Fitch's actions only account for 25% of the losses associated with maturities beyond five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. Fitch analyzed the transaction and calculated expected losses by assuming cash flows on each of the properties decline 15% from year-end (YE) 2007 and property values decline 35% from issuance. These loss estimates were reviewed in more detail for certain loans representing 61.1% of the pool and, in some cases, revised based on additional information and/or property characteristics. The remaining 38.9% represent 17.3% of the total losses. Approximately 13.5% of the mortgages mature within the next five years: 2.4% in 2011, 2.7% in 2012, and 8.4% in 2013. In 2016, 82.5% of the pool is scheduled to mature. Fitch identified 35 Loans of Concern (9%) within the pool, thirteen of which (3.87%) are specially serviced. Of the specially serviced loans, one (0.53%) is current. One of the transactions top 15 loans (1.2%) is in special servicing. One loan (1.2%) in the top 15 is expected to default during the term, with a loss severity of 34.8%. The largest contributors to loss are: G&L Portfolio (5.6%), The Center Point Complex (1.2%), and Page Plaza (0.53%). The G&L Portfolio loan is cross-collateralized and cross-defaulted by seven properties located in in-fill submarkets of Los Angeles. Four of the seven properties are located within 'The Golden Triangle' of Beverly Hills. The properties are 93.2% occupied down from 98% at issuance and YE08 servicer reported DSCR was 1.32 times (x). Near-term lease expirations at the property include 13.3% in 2009, 20.1% in 2010 and 19.2% in 2011. The loan is sponsored by G&L Realty Partnership, a local health care property investor founded in 1976. The loan matures in August 2013. The Center Point Complex loan (1.2%) is collateralized by four retail properties located in High Point, NC. All tenants are in the furniture and home improvement sectors. The loan transferred to the special servicer, due to a decline in occupancy and a drop in market rents. The center suffered from several tenant defaults and bankruptcies which caused a drop in occupancy to 79.3%. According to the servicer, market rents have dropped approximately 36% and most landlords are offering significant concessions. The Page Plaza loan is collateralized by a 41,070 sf retail center in Hemet, CA. Major tenants at the property include; Walgreens, Payless Shoe Source and Pizza Factory. The loan transferred to the special servicer in May 2009 and the loan is currently 90+ days delinquent. The borrower missed payments from March to June due to an increase in vacancy (occupancy was 80% as of April 1, 2009) as well as an increase in the number of slow-pay / no-pay tenants. Additionally, the borrower granted rent reductions to several tenants. After meeting with the borrower in person and touring the property, the special servicer has agreed to enter into a 90-day forbearance agreement in order to further evaluate the property, and allow the borrower an opportunity to gain leasing momentum. Fitch downgrades, removes from Rating Watch Negative, and assigns Outlooks and Loss Severity ratings to these classes: -- $202 million class AJ to 'AA/LS3' from 'AAA'; Outlook Negative; -- $19.2 million class B to 'AA/LS5' from 'AA+'; Outlook Negative; -- $35.3 million class C to 'AA/LS5' from 'AA'; Outlook Negative; -- $28.9 million class D to 'A/LS5' from 'AA-'; Outlook Negative; -- $22.4 million class E to 'A/LS5' from 'A+'; Outlook Negative; -- $25.7 million class F to 'BBB/LS5' from 'A'; Outlook Negative; -- $25.7 million class G to 'BBB-/LS5' from 'A-'; Outlook Negative; -- $28.9 million class H to 'BB/LS5' from 'BBB+'; Outlook Negative; -- $32.1 million class J to 'B/LS5' from 'BBB'; Outlook Negative; -- $25.7 million class K to 'B-/LS5' from 'BBB-'; Outlook Negative; -- $9.6 million class L to 'B-/LS5' from 'BB+'; Outlook Negative; -- $3.2 million class M to 'B-/LS5' from 'BB'; Outlook Negative; -- $9.6 million class N to 'B-/LS5' from 'BB-'; Outlook Negative; -- $6.4 million class O to 'B-/LS5' from 'B+'; Outlook Negative; -- $3.2 million class Q to 'B-/LS5' from 'B'; Outlook Negative; -- $9.6 million class P to 'B-/LS5' from 'B-'; Outlook Negative. In addition, Fitch has affirmed these classes with Stable Outlooks: -- $60.6 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $159.4 million class A-1A at 'AAA/LS1'; Outlook Stable; -- $92.9 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $215 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $84.6 million class A-AB at 'AAA/LS1'; Outlook Stable; -- $784.2 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $350.0 million class A-4FL at 'AAA/LS1'; Outlook Stable; -- $256.5 million class A-M at 'AAA/LS1'; Outlook Stable; -- $433.5 thousand class ST-A at 'BBB-'; Outlook Stable; -- $2.9 million class ST-B at 'BB'; Outlook Stable; -- $1.1 million class ST-C at 'BB-'; Outlook Stable; -- $2.3 million class ST-D at 'B'; Outlook Stable; -- $1.3 million class ST-E at 'B-'; Outlook Stable. The ST classes are related to the non-pooled B-note that is secured by 633 Indiana Avenue NW. Fitch does not rate the $25.7 million class S, $18.5 million class DP, and $10 million class ST-F certificates. The Interest-only class X-RC has been paid in full. MORGAN STANLEY: Moody's Reviews Ratings on 19 2007-IQ14 Certs. -------------------------------------------------------------- Moody's Investors Service placed 19 classes of Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-IQ14 on review for possible downgrade due to interest shortfalls and higher expected losses for the pool resulting from anticipated losses from loans in special servicing and increased loss estimates on other loans of concern. Since Moody's prior review in February 2009, the pool's exposure to specially serviced loans has increased from 6% to 8%. Moody's is also concerned about five year loans approaching maturity in an adverse environment. Excluding specially serviced loans, eleven loans, representing 24% of the pool, mature within the next three years and have a Moody's stressed debt service coverage ratio below 1.00X. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the August 17, 2009 distribution date, the transaction's aggregate certificate balance has decreased by less than 1% to $4.87 billion from $4.90 billion at securitization. The Certificates are collateralized by 424 mortgage loans ranging in size from less than 1% to 16% of the pool, with the top 10 loans representing 41% of the pool. Eighty-one loans, representing 32% 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. Fifteen loans, representing 8% of the pool, are currently in special servicing. The largest specially serviced loan is the New York City Portfolio ($195.0 million -- 4.0%), which is secured by 1,200 units in 37 multifamily properties located in New York City. The loan has been in special servicing since June 2008 due to the bankruptcy of its guarantors. The loan is less than 30 days delinquent. The remaining specially serviced loans are a mix of retail, multifamily, mixed use and self storage. The special servicer has recognized an aggregate appraisal reduction of $80 million for five of the specially serviced loans. Of the remaining 13 specially serviced loans, seven are 90+ days delinquent, two are either real estate owned or in the process of foreclosure and four are current. Moody's review will focus on the performance of the overall pool and potential losses from specially serviced loans. Moody's rating action is: -- Class A-M, $420,487,000, currently rated Aaa, on review for possible downgrade; previously affirmed Aaa on 2/12/2009 -- Class A-MFL, $70,000,000, currently rated Aaa, on review for possible downgrade; previously affirmed Aaa on 2/12/2009 -- Class A-J, $200,000,000, currently rated A2, on review for possible downgrade, previously downgraded to A2 from Aaa on 2/12/2009 -- Class A-JFL, $192,389,000, currently rated A2, on review for possible downgrade; previously downgraded to A2 from Aaa on 2/12/2009 -- Class B, $18,394,000, currently rated A3, on review for possible downgrade; previously downgraded to A3 from Aa1 on 2/12/2009 -- Class C, $79,704,000, currently rated Baa1, on review for possible downgrade; previously downgraded to Baa1 from Aa2 on 2/12/2009 -- Class D, $55,179,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from Aa3 on 2/12/2009 -- Class E, $12,263,000, currently rated Baa3, on review for possible downgrade; previously downgraded to Baa3 from A1 on 2/12/2009 -- Class F, $42,917,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from A2 on 2/12/2009 -- Class G, $42,918,000, currently rated Ba3, on review for possible downgrade; previously downgraded to Ba3 from A3 on 2/12/2009 -- Class H, $73,573,000, currently rated B1, on review for possible downgrade; previously downgraded to B1 from Baa1 on 2/12/2009 -- Class J, $49,049,000, currently rated B3, on review for possible downgrade; previously downgraded to B3 from Baa3 on 2/12/2009 -- Class K, $55,179,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from Ba2 on 2/12/2009 -- Class L, $18,394,000, currently rated Ca, on review for possible downgrade; previously downgraded to Ca from Ba3 on 2/12/2009 -- Class M, $12,262,000, currently rated Ca, on review for possible downgrade; previously downgraded to Ca from B2 on 2/12/2009 -- Class N, $24,524,000, currently rated Ca, on review for possible downgrade; previously downgraded to Ca from B3 on 2/12/2009 -- Class O, $12,262,000, currently rated Ca, on review for possible downgrade; previously downgraded to Ca from Caa1 on 2/12/2009 -- Class P, $12,262,000, currently rated Ca, on review for possible downgrade; previously downgraded to Ca from Caa2 on 2/12/2009 -- Class Q, $18,394,000, currently rated Ca, on review for possible downgrade; previously downgraded to Ca from Caa3 on 2/12/2009 MORGAN STANLEY: S&P Downgrades Ratings on 16 2007-TOP27 Securities ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 16 classes of commercial mortgage-backed securities from Morgan Stanley Capital I Trust 2007-TOP27 and removed them from CreditWatch with negative implications, where they were placed on June 26, 2009. S&P affirmed its ratings on six classes from the same transaction and removed them from CreditWatch with negative implications. S&P also affirmed the ratings on class X and the AW34 raked certificate class. A raked certificate represents a subordinate, nonpooled component of the senior participation interest in a particular loan. The downgrades follow S&P's analysis of the transaction using its recently released U.S. conduit and fusion CMBS criteria, which was the primary driver of the rating actions. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, excluding loans that S&P stressed as credit concerns, S&P calculated an adjusted debt service coverage of 1.63x and a loan-to-value ratio of 100.0%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 0.98x and an LTV of 137.8%. The implied defaults and loss severity under the 'AAA' scenario were 73.2% and 34.4%, respectively. The DSC and LTV calculations exclude five specially serviced loans (1.2%). S&P estimated losses for these loans, which are included in the 'AAA' scenario implied default and loss figures. The affirmations of the ratings on classes A-1 through A-4 reflect credit enhancements that adequately support the existing ratings. The affirmation of the class 'AW34' rake certificate reflects S&P's analysis of the credit characteristics of the 330 West 34th Street loan, which is the sole source of cash flow for the class. S&P affirmed the ratings on the interest-only class X certificate based on S&P's current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its current criteria. Any change in S&P's criteria may affect outstanding ratings, including the ratings on the IO certificates S&P affirmed. Credit Concerns Seven assets ($52.3 million, 1.90%) in the pool are with the special servicer, Centerline Servicing Inc. (Centerline). Six of those assets ($50.6 million, 1.84%) are more than 90 days delinquent and one ($1.7 million, 0.06%) is classified as real estate owned. Five of the specially serviced loans have appraisal reduction amounts in effect totaling $9.6 million. All seven specially serviced assets have balances below $15 million. Transaction Summary As of the August 2009 remittance report, the collateral pool consisted of 226 loans with an aggregate trust balance of $2.75 billion, which is a slight decline since issuance ($2.77 billion). None of the original 226 loans have paid off or been liquidated. The master servicer for the transaction is Wells Fargo Bank N.A. The master servicer provided financial information for 98.7% of the pool, and 97.8% of the servicer- provided information was full-year 2008 data. S&P calculated a weighted average DSC of 1.75x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.63x and 100.0%, respectively. The transaction has not experienced any principal losses to date. Eighteen loans ($183.4 million, 6.7%) are on the master servicer's watchlist. Two loans ($10.6 million, 0.4%) have reported DSC between 1.10x and 1.0x, and six loans ($55.2 million, 2.0%) have reported DSC of less than 1.0x. Summary Of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $794.8 million (28.9%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.84x for the top 10 loans. S&P's adjusted DSC and LTV for the top 10 loans were 1.68x and 93.5%, respectively. Standard & Poor's stressed the loans in the pool according to S&P's updated conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative - Pooled Certificates Morgan Stanley Capital I Trust 2007-TOP27 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-M A AAA/Watch Neg 17.14 A-MFL A AAA/Watch Neg 17.14 A-J BBB AAA/Watch Neg 10.08 B BBB- AA/Watch Neg 8.06 C BB+ AA-/Watch Neg 6.93 D BB A/Watch Neg 5.80 E BB- A-Watch Neg 4.91 F B+ BBB+/Watch Neg 4.03 G B BBB/Watch Neg 2.90 H B- BBB-/Watch Neg 2.02 J B- BB+/Watch Neg 1.89 K CCC+ BB/Watch Neg 1.76 L CCC BB-/Watch Neg 1.51 M CCC B+/Watch Neg 1.26 N CCC- B/Watch Neg 1.01 O CCC- B-/Watch Neg 0.88 Ratings Affirmed And Removed From Creditwatch Negative - Pooled Certificates Morgan Stanley Capital I Trust 2007-TOP27 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-1 AAA AAA/Watch Neg 27.22 A-2 AAA AAA/Watch Neg 27.22 A-3 AAA AAA/Watch Neg 27.22 A-AB AAA AAA/Watch Neg 27.22 A-4 AAA AAA/Watch Neg 27.22 A-1A AAA AAA/Watch Neg 27.22 Ratings Affirmed - Pooled Certificates Morgan Stanley Capital I Trust 2007-TOP27 Class Rating Credit enhancement (%) ----- ------ ---------------------- X AAA N/A Rating Affirmed-Non - Pooled Certificates Morgan Stanley Capital I Trust 2007-TOP27 Class Rating Credit enhancement (%) ----- ------ ---------------------- AW34 AAA N/A N/A - Not applicable. MORGAN STANLEY: S&P Withdraws 'CCC+' Rating on Junior Notes ----------------------------------------------------------- Standard & Poor's Ratings Services withdrew its 'CCC+' rating on the junior super-senior notes issued by Morgan Stanley Managed ACES SPC's series 2006-11, a synthetic collateralized debt obligation of investment-grade corporate bonds transaction. The rating withdrawal follows the complete redemption of the notes, pursuant to the notice dated Aug. 6, 2009. Rating Withdrawn Morgan Stanley Managed ACES SPC Series 2006-11 Rating Balance (mil.$) ------ --------------- Class To From Current Previous ----- -- ---- ------- -------- Junior super-senior NR CCC+ 0.000 30.000 NR - Not rated. NELSON RE: Moody's Continues Review on 'B3' Rating on Class G ------------------------------------------------------------- Moody's Investors Service will continue its review for possible downgrade of Nelson Re Ltd.'s Class G Notes (rated B3), pending information from the sponsor (Glacier Reinsurance AG). Moody's review will focus on the sponsor's loss estimates by line and state, what portion of losses qualify as Subject Business (as deemed by Glacier Re), and what Loss Adjustment Factor(s) will be applied to subject losses. Moody's initially placed the notes on review for possible downgrade on March 6, 2009 after Glacier Re revised its Hurricane Ike gross claim estimates from $65 million to $100 million. At that time Glacier Re notified Class G note holders that it was evaluating potential loss payment obligations from Nelson Re. Nelson Re issued the Class G notes in June 2008 as a way for note holders to provide per occurrence excess-of-loss reinsurance to Glacier Re for U.S. hurricane or U.S. earthquake events. The notes attach if the product of subject losses and Loss Adjustment Factors exceed $145 million. Hurricane Ike caused losses in nine states ranging from Texas to Pennsylvania. Various sources estimate that onshore insured losses could range as high as $18 billion and offshore losses could be as high as $6 billion. Moody's does not rate Glacier Re. This rating remains on review for downgrade: * Nelson Re Ltd. -- $67.5 million Class G Series 2008-I Principal- at-Risk Variable Rate Notes at B3. The last rating action occurred on March 6, 2009, when Moody's placed the Class G notes under review. PASS-THROUGH AUCTION: Moody's Reviews Ratings on 2007-1 Certs. -------------------------------------------------------------- Moody's Investors Service announced that it has placed under review for possible upgrade these certificates issued by Pass- Through Auction Market Preferred Securities, Series 2007-1: -- $65,000,000 Class A Certificates, B3 placed under review for possible upgrade; previously on 4/08/2009 downgraded to B3; -- $16,250,000 Class B Certificates, B3 placed under review for possible upgrade; previously on 4/08/2009 downgraded to B3. The transaction is a structured note whose ratings change with the rating of the Preferred Shares. The rating actions are a result of the change of the ratings of Floating Rate Non-Cumulative Preferred Stock, Series 2 issued by Merrill Lynch & Co., Inc., and Floating Rate Non-Cumulative Preferred Stock, Series 5 issued by Merrill Lynch & Co., Inc., which were both placed under review for possible upgrade at B3 on 8/17/2009. PHOENIX CDO: Moody's Downgrades Ratings on Two Classes of Notes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of two classes of Notes issued by Phoenix CDO II, Ltd. The notes affected by the rating action are: -- Class A First Priority Senior Secured Floating Rate Notes, Due 2035, Downgraded to Ba1; previously on 5/4/2004 Downgraded to Aa2 -- Class B Second Priority Senior Secured Floating Rate Notes, Due 2035, Downgraded to B1; previously on 5/4/2004 Downgraded to Ba2 Phoenix CDO II, Limited is a collateralized debt obligation backed primarily by a portfolio of Residential ABS Securities and Commercial Mortgage Backed Securities. RMBS and CMBS are approximately 36% and 35%, respectively, of the underlying portfolio the majority of which is from 1996-2000 vintages. The rating downgrade actions reflect deterioration in the credit quality of the underlying portfolio. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by an increase in the weighted average rating factor), an increase in the dollar amount of defaulted securities, and an increase in the proportion of securities rated Caa1 and below. More than 31% of the underlying assets have been downgraded since Moody's last review of the transaction in May 2004. The trustee reports that the WARF of the portfolio is 1,001 as of July 31, 2009, and also reports defaulted assets in the amount of $22.7 million. Securities rated Caa1 or lower make up approximately 6.4% of the underlying portfolio. The Class B and Class C Overcollateralization Tests are currently failing. The actions also take into consideration the occurrence, as reported by the Trustee on August 15, 2003, of an Event of Default described in Section 5.1 (j) of the Indenture dated May 16, 2000. The Trustee also reports that the Controlling Party declared the principal of all of the Secured Notes to be immediately due and payable. The actions also take into consideration the risk that liquidation of the Collateral may be selected as the post-Event of Default remedy. The liquidation of the CDO collateral may result in a probability of repayment and a severity of loss that are inconsistent with an investment-grade rating. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. PIONEER VALLEY: Moody's Cuts Rating on Class X Notes to 'Ba1' ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of one class of Notes issued by Pioneer Valley Structured Credit CDO I Ltd. The Notes affected by the rating action are: -- Class X Notes Due 2010 (with a Class X Fixed Notional Amount of $23,478,000), Downgraded to Ba1; previously on 3/27/2009 Downgraded to Ba1 The actions take into consideration the occurrence on March 18, 2009, as reported by the Trustee, of an Event of Default described in Section 5.1(h) of the Indenture dated July 28, 2005 as well as an Acceleration of Maturity as directed by the Majority of the Controlling Class on March 20, 2009. The Event of Default was declared because of the failure, on the most recent Measurement Date, of the Overcollateralization Percentage for the Super Senior Notes was less than 100%. 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. Under Sections 5.4(a) and 5.5(a)(ii) of the Indenture the Majority of the Controlling Class has the option to direct the Trustee to execute a full or partial liquidation of the assets. The severity of losses of certain tranches may be different depending on the timing and outcome of a liquidation. Moody's explained that in addition to the quantitative factors that are explicitly modeled, qualitative factors are part of the Moody's rating committee considerations. These qualitative factors include but are not limited to the structural protections in the transaction, the recent performance of the transaction in the current market environment, how legal risks and issues are addressed in transaction documentation, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision PREFERRED PASS-THROUGH: Moody's Reviews Ratings on Two Certs. ------------------------------------------------------------- Moody's Investors Service announced that it has placed under review for possible upgrade these certificates issued by Preferred Pass-Through Trust 2007-A: -- $50,000,000 Class A Auction Rate Trust Certificates, B3 placed under review for possible upgrade; previously on 4/08/2009 downgraded to B3; -- $10,000,000 Class B Leveraged Trust Certificates, B3 placed under review for possible upgrade; previously on 4/08/2009 downgraded to B3. The transaction is a structured note whose ratings change with the rating of the Preferred Shares. The rating actions are a result of the change of the rating of Floating Rate Non-Cumulative Preferred Stock, Series 5 issued by Merrill Lynch & Co., Inc. which was placed under review for possible upgrade at B3 on 8/17/2009. PREFERRED WACHOVIA: Moody's Reviews Ratings on Two 2006-B Certs. ---------------------------------------------------------------- Moody's Investors Service announced that it has placed under review for possible upgrade these certificates issued by Preferred Wachovia Preferred Pass-Through Trust 2006-B: -- $124,000,000 Class A Money Market Preferred Trust Certificates, B3 placed under review for possible upgrade; previously on 4/08/2009 downgraded to B3; -- $31,000,000 Class B Leveraged Preferred Trust Certificates, B3 placed under review for possible upgrade; previously on 4/08/2009 downgraded to B3. The transaction is a structured note whose ratings change with the rating of the Preferred Shares. The rating actions are a result of the change of the rating of Floating Rate Non-Cumulative Preferred Stock, Series E issued by Bank of America Corporation which was placed under review for possible upgrade at B3 on 8/17/2009. PUTNAM STRUCTURED: Moody's Downgrades Rating on Class A-2 Notes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of one class of notes issued by Putnam Structured Product Funding 2003-1, Limited. The class of notes affected by the rating action is: -- US$85,250,000 Class A-2 Floating Rate Notes, Due 2038, Downgraded to Caa2; previously on 3/20/2009 Downgraded to B3 Putnam Structured Product Funding 2003-1, Limited is a collateralized debt obligation backed primarily by a portfolio of Commercial Mortgage Backed Securities and Residential ABS Securities. CMBS and RMBS are approximately 32% and 29%, respectively, of the underlying portfolio. The majority of the portfolio is from the 2003, 2006, and 2007 vintages. The rating downgrade actions reflect deterioration in the credit quality of the underlying portfolio as reflected in part by the recent rating actions taken with regard to seasoned (pre-2005) RMBS. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by an increase in the weighted average rating factor), an increase in the dollar amount of defaulted securities, and an increase in the proportion of securities rated Caa1 and below. Approximately 10% of the underlying assets have been downgraded since Moody's last review of the transaction in March 2009. The trustee reports that the WARF of the portfolio is 2,109 as of August 10, 2009, and also reports defaulted assets in the amount of $19.7 million. Securities rated Caa1 or lower make up approximately 21.1% of the underlying portfolio. The Class A/B and Class C Overcollateralization Tests are currently failing. The actions also take into consideration the risk of the transaction experiencing an Event of Default. 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, including the sale and liquidation of the assets. The severity of losses of certain tranches may be different depending on the timing and outcome of a liquidation. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. RESTRUCTURED ASSET: S&P Withdraws Ratings on 2005-10-C Certs. ------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its rating on Restructured Asset Certificates with Enhanced Returns Series 2005- 10-C Certificates following the paydown of the notes in-kind. The rating was previously on CreditWatch with negative implications. S&P withdrew the rating after receiving recent information from the trustee that the notes were paid in-kind. Rating Withdrawn Restructured Asset Certificates with Enhanced Returns Series 2005-10-C Certificates Rating ------ Class To From ----- -- ---- 2005-10-C NR CCC-/Watch Neg NR - Not rated. SAN GABRIEL: Moody's Downgrades Ratings on Four Classes of Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by San Gabriel CLO I Ltd.: -- US$273,000,000 Class A-1L Floating Rate Notes Due 2021 (current balance of $268,499,907), Downgraded to Aa1; previously on July 10, 2007 Assigned Aaa; -- US$40,000,000 Class A-1LV Floating Rate Notes Due 2021 (current balance of $39,340,646), Downgraded to Aa1; previously on July 10, 2007 Assigned Aaa; -- US$25,000,000 Class A-2L Floating Rate Notes Due 2021, Downgraded to A2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$16,500,000 Class B-2L Floating Rate Notes Due 2021, Downgraded to Caa3; previously on March 23, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. Additionally, Moody's has confirmed the ratings of these notes: -- US$29,000,000 Class A-3L Floating Rate Notes Due 2021, Confirmed at Ba1; previously on March 23, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$15,000,000 Class B-1L Floating Rate Notes Due 2021, Confirmed at B1; previously on March 23, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio and the latest portfolio information. Such credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, and an increase in the proportion of securities from issuers rated Caa1 and below. In particular, the weighted average rating factor has increased over the last year and currently stands at 2990 as of the last trustee report, dated July 30, 2009. Based on the same report, defaulted securities total about $34.1 million, accounting for roughly 8.1% of the collateral balance, and securities rated Caa1 or lower make up approximately 11.9% of the underlying portfolio. Moody's also assessed the collateral pool's elevated concentration risk 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. Finally, Moody's notes that a material proportion of the collateral pool includes debt obligations whose credit quality has been assessed through Moody's Credit Estimates. The rating actions also reflect Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. These revised assumptions are described in the publication "Moody's Approach to Rating Collateralized Loan Obligations," dated August 12, 2009. Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Moody's has also applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Other assumptions used in Moody's CLO monitoring are described in the publication "CLO Ratings Surveillance Brief - Second Quarter 2009," dated July 17, 2009. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. San Gabriel CLO I Ltd., issued in July 2007, is a small and middle market collateralized loan obligation, backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. SASCO NET: Fitch Junks Ratings on Three Classes of 2003-BC2 Notes ----------------------------------------------------------------- Fitch Ratings has downgraded and assigned Recovery Ratings to SASCO Net Interest Margin Trust 2003-BC2: -- $848,787 class B notes downgraded to 'C/RR2 from 'BB'; -- $2,755,000 class C notes downgraded to 'C/RR6' from 'BB'; -- $2,017,052 class D notes downgraded to 'C/RR6' from 'B'. The notes are secured primarily by mortgage pass-through certificates in Structured Asset Securities Corporation mortgage pass-through certificates, series 2003-BC2. The class B and C (Group 2) notes are backed by the class M4 and B1 certificates. The class D (Group 3) is backed by the class B2 certificate. Both the Group 2 and Group 3 certificates also have a subordinate interest in payments received on the Group 1 notes. Since there is no expected cashflow generated from the Group 1 notes the rating actions taken are based primarily on the performance of the underlying bonds and a review of the structure of the transaction. The underlying class M4 bond is rated 'C/RR2', and the class B1 bond is rated 'D' since it is incurring principal writedowns. The underlying class B2 bond is also rated 'D' and has been completely written off due to losses. The ratings on the NIM bonds were not lowered to 'D' because the notes do not get written down and do not default due to writedowns on the underlying bonds. The 'C' rating on these transactions indicates that Fitch projects the bonds will not receive enough cashflow from the underlying supporting transaction to pay off the outstanding balance of the NIM bond. In this instance the underlying transaction has suffered significant losses throughout the capital structure and there will be no additional excess cashflow available to the Group 2 and Group 3 NIM notes. In addition to the long-term rating for each bond, Fitch assigns Recovery Ratings for bonds rated below 'B'. The Recovery Rating scale is based upon the expected relative recovery characteristics of an obligation. For structured finance, Recovery Ratings are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money. STANFIELD ARNAGE: Moody's Downgrades Ratings on Three Classes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Stanfield Arnage CLO, Ltd.: -- US$120,200,000 Class A-1L Floating Rate Notes Due August 2021, Downgraded to Aa2; previously on December 6, 2007 Assigned Aaa; -- US$44,800,000 Class A-1LB Floating Rate Notes Due August 2021, Downgraded to Aa3; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade; -- US$30,000,000 Class A-2L Floating Rate Notes Due August 2021, Downgraded to A2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade. In addition, Moody's has confirmed the ratings of these notes: -- US$26,000,000 Class A-3L Floating Rate Notes Due August 2021, Confirmed at Ba1; previously on March 13, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$21,000,000 Class B-1L Floating Rate Notes Due August 2021, Confirmed at B1; previously on March 13, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- US$20,000,000 Class B-2L Floating Rate Notes Due August 2021, Confirmed at Caa2; previously on March 13, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. Such credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of certain overcollateralization tests. In particular, the weighted average rating factor has increased over the last year and is currently 2507 as of the last trustee report, dated July 15, 2009. Based on the same report, defaulted securities total about 9.6 million, accounting for roughly 1.7% of the collateral balance, and securities rated Caa1 or lower make up approximately 8.12% of the underlying portfolio. Additionally, the Class B-2L overcollateralization test is currently failing. The rating actions also reflect Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. These revised assumptions are described in the publication "Moody's Approach to Rating Collateralized Loan Obligations," dated August 12, 2009. Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Other assumptions used in Moody's CLO monitoring are described in the publication "CLO Ratings Surveillance Brief - Second Quarter 2009," dated July 17, 2009. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. Stanfield Arnage CLO, Ltd., issued in December 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. STEDMAN LOAN: Moody's Downgrades Ratings on Various Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Stedman Loan Fund II, Ltd.: -- US$404,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due May 15, 2015 (current balance of $300,271,431), Downgraded to Aa3; previously on March 28, 2008 Assigned Aaa; -- US$21,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due May 15, 2015, Downgraded to Baa2; previously on March 20, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$22,000,000 Class B Third Priority Mezzanine Secured Deferrable Floating Rate Notes Due May 15, 2015, Downgraded to B1; previously on March 20, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. Such credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class B overcollateralization test. In particular, the weighted average rating factor has increased over the last year and is currently 2899 versus a test level of 2350 as of the last trustee report, dated August 6, 2009. Based on the same report, defaulted securities currently held in the portfolio total about $5.8 million, accounting for roughly 1.4% of the collateral balance, and securities rated Caa1 or lower make up approximately 9.1% of the underlying portfolio. The rating actions also reflect Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. These revised assumptions are described in the publication "Moody's Approach to Rating Collateralized Loan Obligations," dated August 12, 2009. Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Other assumptions used in Moody's CLO monitoring are described in the publication "CLO Ratings Surveillance Brief - Second Quarter 2009," dated July 17, 2009. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. Stedman Loan Fund II, Ltd., issued in March of 2008, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. STEERS THAYER: Moody's Downgrades Ratings on Various Notes ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded its ratings of notes issued by Steers Thayer Gate CDO Trust 2006-1, 2, 4, and 5, managed collateralized debt obligation transactions referencing a portfolio of corporate entities. Moody's explained that the rating actions taken are the result of the deterioration of the credit quality of the reference portfolio. According to the trustee reports, the weighted average rating factor of the portfolio has deteriorated from 775 to 1038 since the last rating action on February 12, 2009, equivalent to an average rating of the current portfolio of Ba1. The reference portfolio includes an exposure to CIT Group, Inc., and Ambac Financial Group which have experienced substantial credit migration in the past few months, and are now rated Ca. Since the last rating action on February 12, 2009, the subordination of the rated tranches has been reduced due to credit events on The Rouse Company LP, Idearc, Inc., Bowater, Inc., and Station Casinos, Inc. These credit events lead to a decrease of approximately 1% of the subordination of all of the series. The current reference portfolio has the highest industry concentration in Sovereign & Public Finance (18.11%), Banking (13.7%), Finance (12.1%), and Insurance (11.6%). Moody's monitors these transactions using primarily the methodology for Corporate Synthetic Obligations as described in Moody's Special Report below: -- Moody's Approach to Rating Corporate Collateralized Synthetic Obligations (April 2009) In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the strength of the legal framework as well as specific documentation features, the collateral manager's impact and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. The rating actions are: Issuer: Thayer Gate CDO Trust, Series 2006-1 -- US$20,000,000 STEERS Thayer Gate CDO Trust, Series 2006-1, Downgraded to Ca; previously on Feb. 12, 2009 Downgraded to Caa2 Issuer: Thayer Gate CDO Trust, Series 2006-2 -- US$23,000,000 Trust Units Due 2013, Downgraded to Ca; previously on Feb. 12, 2009 Downgraded to Caa2 Issuer: Thayer Gate CDO Trust, Series 2006-4 -- US$5,000,000 Trust Certificates Due 2013, Downgraded to Ca; previously on Feb. 12, 2009 Downgraded to Caa3 Issuer: Thayer Gate CDO Trust, Series 2006-5 -- US$25,000,000 STEERS Thayer Gate CDO Trust, Series 2006-5, Downgraded to Ca; previously on Feb. 12, 2009 Downgraded to Caa3 STONE TOWER: Moody's Downgrades Ratings on Various Classes ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Stone Tower CDO II LTD.: -- US$185,000,000 Class A-1LA Floating Rate Notes due 2040 (current balance of $157,370,418), Downgraded to Ba2; previously on March 25, 2009 Downgraded to Ba1 and Placed Under Review for Possible Downgrade; -- US$45,000,000 Class A-1LB Floating Rate Notes due 2040, Downgraded to Ca; previously on March 25, 2009 Downgraded to Caa1 and Placed Under Review for Possible Downgrade; -- US$21,000,000 Class A-2L Floating Rate Notes due 2040, Downgraded to C; previously on March 25, 2009 Downgraded to Ca; -- US$14,000,000 Class A-3L Floating Rate Notes due 2040, Downgraded to C; previously on March 25, 2009 Downgraded to Ca; -- US$15,000,000 Class B-1L Floating Rate Notes due 2040 (current balance of $13,290,286), Downgraded to C; previously on March 25, 2009 Downgraded to Ca. In addition, Moody's has confirmed the ratings of these notes: -- US$5,000,000 Class X Notes due 2010 (current balance of $1,301,289), Confirmed at Baa2; previously on March 25, 2009 Downgraded to Baa2 and Placed Under Review for Possible Downgrade. As reported by the trustee, on July 27, 2009, the transaction experienced an "Event of Default" caused by a failure of the overcollateralization ratio with respect to the Class A Notes to be at least equal to 95%, as required under Section 5.1(f) of the indenture dated October 12, 2005. Holders of at least 66 2/3% of the controlling class have also directed the trustee to declare the notes to be immediate due and payable. This Event of Default is continuing. Under Article V of the indenture, during the occurrence of an Event of Default relating to a failure of the overcollateralization ratio with respect to the Class A Notes to be at least equal to 95%, if liquidation proceeds will not equal the aggregate par of the portfolio sold, then 100% of the noteholders may direct the trustee to proceed with the sale and liquidation of the collateral. In such a case, the severity of losses may depend on the timing and choice of remedy to be pursued. While Moody's believes the likelihood of liquidation is small due to the voting requirement for liquidation, the rating actions result in part from increased concerns about potential losses arising from liquidation. According to Moody's, the rating actions taken on the notes reflect the impact of the Event of Default-based acceleration, the increased concerns relating to liquidation, as well as continued credit deterioration of the underlying portfolio. The actions also reflect Moody's revised assumptions with respect to default probability, the treatment of ratings on "Review for Possible Downgrade" or with a "Negative Outlook," the application of certain stresses with respect to the default probabilities associated with certain Moody's credit estimates, and the calculation of the Diversity Score. 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, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also incorporates the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Moreover Moody's has applied resecuritization stress factors to default probability assumptions for structured finance asset collateral as described in the press release titled "Moody's updates its key assumptions for rating structured finance CDOs," published on December 11, 2008. Credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Class A Overcollateralization and the Class B Overcollateralization tests. In particular, the weighted average rating factor has increased over the last year and is currently 2829 versus a test level of 1490 as of the last trustee report, dated July 10, 2009. Based on the same report, defaulted securities total about $37 million, accounting for roughly 14% of the collateral balance, and securities rated Caa1 or lower make up approximately 20% of the underlying portfolio (due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, may be different from the trustee's reported numbers). Moody's observes that the transaction is exposed to a significant concentration of structured finance assets in the underlying portfolio, including mezzanine and junior CLO tranches. Based on the last trustee report, they make up approximately 34% of the underlying portfolio. The majority of these consist of CLO tranches that are currently assigned low speculative-grade ratings and carry depressed market valuations that may herald poor recovery prospects in the event of default, or limited proceeds in the event of a liquidation. Stone Tower CDO II LTD., issued on October 12, 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans, with a significant concentration in structured finance securities. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. STRUCTURED INVESTMENTS: Moody's Cuts Rating on $3 Mil. Notes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded its rating of these notes issued by Structured Investments Corporation Series 71: -- US$3,000,000 Notes due November 25, 2013, Downgraded to Ba3; previously on September 24, 2003 Assigned Baa2. The transaction is a repackaged security whose rating is based primarily upon the transaction's structure and the credit quality of the Term Assets, which consist of $1,500,000 in the Class C Floating Rate Subordinate Notes due 2013 and $1,500,000 in the Preferred Shares, both issued by Pro Rata Funding Ltd., a synthetic CLO referencing primarily a portfolio of senior secured loans. The Class C Notes were downgraded from Baa2 to Baa3 on June 16, 2009. STRUCTURED ASSET: Moody's Downgrades Ratings on 2002-4H Certs. -------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one tranche from Structured Asset Securities Corporation Mortgage Pass-Through Certificates, Series 2002-4H. The collateral backing this transaction consists primarily of first-lien, fixed-rate, Alt-A residential mortgage loans. This action is a result of updated loss expectations on the underlying collateral relative to available credit enhancement. Moody's methodology for rating securities for more seasoned Alt-A pools, takes into account the annualized loss rate from last 12 months and the projected loss rate over next 12 months, and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal- specific severity assumptions ranging from 40% to 55%. The results of these two calculations -- Recent Losses and Pipeline Losses -- are weighted to arrive at the lifetime cumulative loss projection. Additionally, Moody's further stresses the default rate assumptions for deals with extremely low pool factors to account for volatility arising from the small number of loans backing these transactions. Once expected losses have been determined, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is weighed against projected future losses to ultimately arrive at an updated rating. List of actions: Issuer: Structured Asset Securities Corporation Mortgage Pass- Through Certificates, Series 2002-4H -- Cl. B3, Downgraded to Ba1; previously on Nov 30, 2005 Confirmed at Baa2 STUYVESANT CDO: Moody's Cuts Ratings on $25 Mil. Notes to 'Ba1' --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of one class of Notes issued by Stuyvesant CDO V, Ltd. The instruments affected by the rating action are: -- US$25,000,000 Class A Floating Rate Notes, Downgraded to Ba1; Previously on 4/9/2009 Downgraded to Baa2 Under Review for Possible Downgrade Stuyvesant CDO V, Limited is a synthetic collateralized debt obligation that references primarily by a portfolio of Collateralized Loan Obligations. The rating downgrade actions taken reflect deterioration in the credit of the 22 securities in the reference portfolio each of which were originally rated Aaa. Approximately 12 securities in the portfolio have experienced rating actions and were downgraded to a Aa or A level. Moody's is currently in Stage II of its CLO rating surveillance process and is performing comprehensive analysis of each CLO transaction by updating the model of each CLO that it has rated. Additional rating actions may be taken with respect to the CLO tranches that are referenced by Stuyvesant CDO V, Ltd., as necessary. Moody's explained that in addition to the quantitative factors that are explicitly modeled, qualitative factors are part of the Moody's rating committee considerations. These qualitative factors include but are not limited to the structural protections in the transaction, the recent performance of the transaction in the current market environment, how legal risks and issues are addressed in transaction documentation, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions. TAYLOR BEAN: Moody's Reviews Ratings on 50 Tranches From Six Deals ------------------------------------------------------------------ Moody's Investors Service has placed on review for possible downgrade the ratings of 50 tranches from 6 transactions issued by Taylor, Bean & Whitaker Mortgage Corp. The bonds are being placed on review for possible downgrade because no interest or principal was paid on these bonds during the August 2009 payment cycle. Wells Fargo Bank, the master servicer on the 6 transactions, reported that no remittance was received from TBW on August 18, 2009, because its accounts, including the Collection Account, were frozen by government regulators. Wells Fargo Bank states that it is currently working with TBW and government regulators to lift the freeze on the Collection Account and is also working to organize a transfer of servicing. Wells Fargo Bank expects that the collections, once received, will be distributed to investors. Earlier, on August 5, 2009, TBW announced that it would cease all mortgage lending activity. TBW, however, stated that it planned to continue with its servicing operations. However, on August 13, 2009, Wells Fargo Bank, acting as Master Servicer terminated TBW as servicer for an Event of Default. On August 24, 2009, TBW filed for Chapter 11 bankruptcy protection. In its analysis during the review period, Moody's will evaluate the probable timing of the potential release of funds from the Collection Account that are currently frozen and the possibility of any loss to the bonds as a result of these events. Detailed rating actions are: Issuer: TBW Mortgage-Backed Trust 2007-1, Mortgage Pass-Through Certificates, Series 2007-1 -- Cl. A-1, Aaa Placed Under Review for Possible Downgrade; previously on March 15, 2007 Assigned Aaa -- Cl. A-2, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. nA-3, Caa2 Placed Under Review for Possible Downgrade; previously on Aug. 17, 2009 Downgraded to Caa2 -- Cl. A-4, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. A-5, Caa2 Placed Under Review for Possible Downgrade; previously on Aug. 17, 2009 Downgraded to Caa2 -- Cl. A-6, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. A-7B, Ca Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Ca -- Cl. A-8, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 Issuer: TBW Mortgage-Backed Trust 2007-2, Mortgage Pass-Through Certificates, Series 2007-2 -- Cl. A-1-A, B3 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to B3 -- Cl. A-1-B, Caa1 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa1 -- Cl. A-2-A, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. A-2-B, Ca Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Ca -- Cl. A-3-A, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. A-3-B, Ca Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Ca -- Cl. A-6-A, Caa1 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa1 -- Cl. A-6-B, Ca Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Ca Issuer: TBW Mortgage-Backed Trust Series 2006-3 -- Cl. 1-A, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. 2-A1, Caa1 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa1 -- Cl. 2-A2, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. 3-A, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. 4-A1, Caa1 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa1 -- Cl. 4-A2, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. 4-A3, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. 5-A1, Caa1 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa1 -- Cl. 5-A2, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. 5-A3, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. AP, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. AX, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 Issuer: TBW Mortgage-Backed Trust Series 2006-4 -- Cl. A-1-A, Aaa Placed Under Review for Possible Downgrade; previously on Sept. 15, 2006 Assigned Aaa -- Cl. A-1-B, Aaa Placed Under Review for Possible Downgrade; previously on Sept. 15, 2006 Assigned Aaa -- Cl. A-2, Aaa Placed Under Review for Possible Downgrade; previously on Aug. 5, 2009 Upgraded to Aaa -- Cl. A-3, A3 Placed Under Review for Possible Downgrade; previously on Aug. 5, 2009 Upgraded to A3 -- Cl. A-4, Ba3 Placed Under Review for Possible Downgrade; previously on Aug. 5, 2009 Upgraded to Ba3 -- Cl. A-5, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. A-6, Ca Placed Under Review for Possible Downgrade; previously on Aug. 5, 2009 Downgraded to Ca -- Cl. A-7, Ca Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Ca Issuer: TBW Mortgage-Backed Trust Series 2006-5 -- Cl. A-1, Aaa Placed Under Review for Possible Downgrade; previously on Nov. 13, 2006 Assigned Aaa -- Cl. A-2-A, Aaa Placed Under Review for Possible Downgrade; previously on Aug. 5, 2009 Upgraded to Aaa -- Cl. A-2-B, Aaa Placed Under Review for Possible Downgrade; previously on Aug. 5, 2009 Upgraded to Aaa -- Cl. A-3, Baa3 Placed Under Review for Possible Downgrade; previously on Aug. 5, 2009 Upgraded to Baa3 -- Cl. A-4, Ba3 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Ba3 -- Cl. A-5-A, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. A-5-B, Ca Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Ca -- Cl. A-6, Ba3 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Ba3 Issuer: TBW Mortgage-Backed Trust Series 2006-6 -- Cl. A-1, Aaa Placed Under Review for Possible Downgrade; previously on Jan. 5, 2007 Assigned Aaa -- Cl. A-2A, Caa3 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa3 -- Cl. A-2B, Caa3 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa3 -- Cl. A-3, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 -- Cl. A-5B, Caa3 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa3 -- Cl. A-6A, Caa2 Placed Under Review for Possible Downgrade; previously on Feb. 20, 2009 Downgraded to Caa2 TEXAS STATE AFFORDABLE HOUSING: S&P Cuts Rating on Bonds to 'B' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its underlying rating on Texas State Affordable Housing Corp.'s (South Texas Affordable Housing Corp.) $48.5 million multifamily housing revenue bonds (South Texas Apartment Portfolio) series 2002A to 'B' from 'BB'. The outlook is negative. "The downgrade reflects the declining debt service coverage levels and low occupancy of the project," said Standard & Poor's credit analyst Raymond Kim. In S&P's opinion, the 'B' rating reflects the decline in debt service coverage levels to 1.08x maximum annual debt service based on audited financial statements for the fiscal ended 2008, with year-to-date financial statements indicating lower coverage; high loan-to-value ratio of 124%; and low occupancy at the project. Standard & Poor's also withdrew its 'D' rating on the series 2002C bonds. The series 2002C bonds defaulted in September 2008, and to date the default has not been cured. TCW GLOBAL: Fitch Downgrades Ratings on Two Tranches ---------------------------------------------------- Fitch Ratings has downgraded two and affirmed six tranches of TCW Global Project Fund II. GPF II's five-year investment period recently ended June 2009. Although the fund enhanced its profile in terms of diversification, the fund has several assets with maturity dates longer than the final maturity of the fund's debt obligations. In aggregate, approximately 15% of the funds outstanding asset balance will mature after the GPF II's maturity date of June 2016. Rating actions to the class C and class D tranches primarily reflect Fitch's view of the associated market value risks. Rating action on the class D notes also reflects a small degree of credit enhancement relative to the fund's exposure to a large single asset, Oceanografia. Fitch recently downgraded Oceanografia's senior secured debt rating to 'CCC' from 'B' which remains on Rating Watch Negative. GPF II is a securitization of project finance loans, the majority of which are senior secured obligations. By the end of June 2009 there were 22 assets in the portfolio. Approximately 40% of the fund's assets are domiciled in the United States while 46% stem from emerging market countries. TCW Asset Management Company is the portfolio manager. The majority of investments are in the energy, oil and gas, and infrastructure project finance sectors. The ratings of the various tranches of TCW's GPF II are assigned consistent with Fitch's methodologies on CDOs, primarly 'Global Rating Criteria for Collateralised Debt Obligations with Emerging Market Exposure', published March, 2009 and 'Global Rating Criteria for Corporate CDOs', published April, 2008. Rating Outlooks have also been assigned as part of Fitch's greater effort to increase transparency in ratings and to provide more forward- looking information to the market. Fitch has taken these rating actions: -- $330 million revolving senior notes affirmed at 'AAA'; Outlook Stable; -- $70 million class A-1 floating-rate notes affirmed at 'AAA'; Outlook Stable; -- $64 million class A-2-A floating-rate notes affirmed at 'AA'; Outlook Stable; -- $6 million class A-2-B fixed-rate notes affirmed at 'AA'; Outlook Stable; -- $61 million class B-1 floating-rate notes affirmed at 'BBB'; Outlook Stable; -- $14 million class B-2 fixed-rate notes affirmed at 'BBB''; Outlook Stable; -- $33 million class C floating-rate notes downgraded to 'B' from 'BB'; Outlook Stable; -- $27 million class D floating-rate notes downgraded to 'CCC' from 'B+'. TCW SELECT: Moody's Downgrades Ratings on Three Classes of Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by TCW Select Loan Fund, Limited: -- US$11,000,000 Class D-1 Senior Secured Floating Rate Notes, Due 2013, Downgraded to B1; previously on March 4, 2009 Ba1 Placed Under Review for Possible Downgrade; -- US$5,000,000 Class D-2 Senior Secured Floating Rate Notes, Due 2013, Downgraded to B1; previously on March 4, 2009 Ba1 Placed Under Review for Possible Downgrade; -- US$5,000,000 Composite Obligations, Downgraded to B1; previously on May 2, 2001 Assigned Ba3. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. Such credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, and an increase in the proportion of securities from issuers rated Caa1 and below. In particular, the weighted average rating factor has increased over the last year and is currently 2923 versus a test level of 2300 as of the last trustee report, dated July 31, 2009. Based on the same report, defaulted securities total about $17.9 million, accounting for roughly 14.5% of the collateral balance, and securities rated Caa1 or lower make up approximately 13.6% of the underlying portfolio. The downgrade actions taken on the Class D-1 and D-2 Notes, and the Composite Obligations also reflect Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. These revised assumptions are described in the publication "Moody's Approach to Rating Collateralized Loan Obligations," dated August 12, 2009. Other assumptions used in Moody's CLO monitoring are described in the publication "CLO Ratings Surveillance Brief - Second Quarter 2009," dated July 17, 2009. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In addition, Moody's has upgraded the rating of these notes: -- US$62,000,000 A-2 Senior Secured Floating Rate Notes, Due 2013, Upgraded to Aaa; previously on March 4, 2009 Aa1 Placed Under Review for Possible Downgrade. Finally, Moody's has confirmed the ratings of these notes: -- US$25,000,000 Class B Senior Secured Floating Rate Notes, Due 2013, Confirmed at Aa2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$15,000,000 Class C Senior Secured Floating Rate Notes, Due 2013, Confirmed at A3; previously on March 4, 2009 A3 Placed Under Review for Possible Downgrade. Moody's notes that the upgrade actions on the Class A-2 Notes and the rating confirmation on the Class B and C Notes have incorporated the aforementioned stresses as well as credit deterioration in the underlying portfolio. However, the actions reflect updated analysis indicating that the impact of these factors on the ratings of the Class A-2, B and C Notes is not as negative as previously assessed during Stage I of the deal review in March. The current conclusions stem from comprehensive deal- level analysis completed during Stage II of the ongoing CLO surveillance review, which included an in-depth assessment of results from Moody's quantitative CLO rating model along with an examination of deal-specific qualitative factors. By way of comparison, during Stage I Moody's took rating actions that were largely the result of a parameter-based approach. Additionally, the actions consider the positive implications of performance stabilization in certain deal collateral quality measurements since the time of the previous rating actions. In particular, the Class A overcollateralization ratio is 201.5% based on the last trustee report dated July 31, 2009. In addition, the ongoing delevering of the transaction is benefiting the Class A-2 Notes. As reported in the last trustee report, the Class A-1 Notes have currently paid down by about 99%. The Class A-2 Notes will be the senior most notes once the Class A-1 Notes have fully paid down. TCW Select Loan Fund, Limited, issued in May of 2001, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. VFN SERIES: Moody's Downgrades Ratings on Series 2008-2 Notes ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on the VFN Series 2008-2 notes and confirmed the ratings on the Series 2007-1 notes issued out of the First National Master Note Trust. These rating actions conclude the review initiated on May 20, 2009. The notes are backed by $2.5 billion of consumer credit card receivables originated and serviced by First National Bank of Omaha and its affiliates. Rationale VFN SERIES 2008-2 The downgrade of the VFN Series 2008-2 classes is primarily driven by deterioration in some of the Trust's key performance metrics, primarily the charge-off and delinquency rates. Furthermore, FNBO's relatively small credit card program ($4.4 billion on a managed basis) lacks the economies of scale of larger bank card issuers and makes competing in the commoditized credit card market more difficult, especially in the current recessionary environment. In fact, many card companies are struggling to maintain the profitability of their card programs. If the long-term profitability of this business line is called into question, FNBO could choose to sell or liquidate all or a portion of its credit card portfolio (e.g. by selectively closing card accounts). Liquidation, in particular, could cause adverse Trust collateral performance. FNBO has grown their portfolio mainly by competing on price with the larger, national-scale card issuers using balance transfer and promotional "teaser rate" offers. Moody's acknowledge that FNBO's portfolio has a relatively high proportion of accounts with high credit scores (and a relatively low proportion of accounts with low credit scores); however, that difference in credit profile has not made a meaningful distinction in the Trust's credit performance relative to the Moody's Credit Card Index. In the initial stage of the current economic cycle, several of the Trust's key collateral performance measures compared favorably to the industry as measured by Moody's Credit Card Indices. That comparative advantage was attributable, in part, to a portfolio consisting of mostly prime credit card receivables as measured by credit score. However, the Trust has grown approximately 25% since early 2007. Moody's believe that the credit quality for those card originations from the 2007 and 2008 vintages (i.e. those originations made during the peak of the credit expansion) are generally weaker and will therefore under-perform originations from previous vintages over the next year. Furthermore, these originations are entering the peak loss period typical of new credit card originations. The positive performance differential between the Trust and the industry average has substantially diminished in the last 12 months. Like other credit card issuers, collateral performance has deteriorated in the current economic environment. For example, the Trust's charge-off rate, which in July 2009 reached 9.7%, has essentially doubled since July 2008. Similarly, the Trust's delinquency rate, a harbinger of near-term charge-offs, has also increased by a similar magnitude from a year ago and reached 4.8% in July 2009. Moreover, the Trust's principal payment rate has maintained a steady negative decline, falling to 12.6% in July 2009 from 14.9% a year earlier. The principal payment rate is a measure of cardholders' willingness and ability to repay their credit card balances. It is also a measure of the speed by which securitized investors will be repaid if an amortization event is triggered; therefore, a drop in this rate may have negative consequences for securitized noteholders. SERIES 2007-1 The confirmation of the Series 2007-1 note ratings is driven primarily by the expectation that principal collections will be accumulated for the benefit of these notes in the very near term. Starting in September and for each month thereafter until maturity, available principal collections totaling up to 12.5% of the initial invested amount of the Series 2007-1 notes will be allocated to an accumulation account. These amounts essentially mitigate the Series 2007-1 notes exposure to the credit risk associated with the performance of the Trust's credit card receivables. The greater the amounts accumulated, the greater the credit risk mitigation. The Series 2007-1 notes are expected to mature in April 2010. The Series 2007-1 has considerably less credit enhancement than the more recent series of notes issued out the trust. For example, the Series 2007-1, Aaa-rated Class A note benefits from 17.75% of subordination compared to 24.0% available to the senior class (also rated Aaa) in the recently issued Series 2009-3. In Moody's view, the accumulation of principal collections, leveraged by the transaction's other structural features, outweighs the lower available credit enhancement for this Series. The complete rating actions are: Issuer: First National Master Note Trust, Series 2007-1 Ratings Confirmed -- Cl. A, Confirmed at Aaa; previously on May 20, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. B, Confirmed at A2; previously on May 20, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. C, Confirmed at Baa2; previously on May 20, 2009 Baa2 Placed Under Review for Possible Downgrade Ratings Downgraded Issuer: First National Master Note Trust, VFN Series 2008-2 -- Cl. B - VFN, Downgraded to A3; previously on May 20, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. C - VFN, Downgraded to Ba2; previously on May 20, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. D - VFN, Downgraded to B3; previously on May 20, 2009 Ba2 Placed Under Review for Possible Downgrade FNBO, based in Omaha, Nebraska, reported total assets of $9.2 billion as of June 30, 2009. FNBO's long-term bank deposits are rated A3 and its Bank Financial Strength rating is C. The ratings are currently under review for possible downgrade. VINACASA CLO: Moody's Downgrades Ratings on Four Classes of Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Vinacasa CLO, Ltd.: -- US$477,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2015 (current balance of $412,384,467), Downgraded to Aa2; previously on March 14, 2008 Assigned Aaa; -- US$33,975,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2015, Downgraded to A3; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$30,600,000 Class B Third Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2015, Downgraded to Ba1; previously on March 20, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$22,600,000 Class C Fourth Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2015 (current balance of $23,757,097), Downgraded to Caa1; previously on March 20, 2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. The actions also reflect 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 revised assumptions that have been applied to all corporate credits in the underlying portfolio are described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." Moody's analysis also reflects the expectation that recoveries for high-yield corporate bonds and second lien loans will be below their historical averages, consistent with Moody's research. Credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of certain overcollateralization tests. In particular, the weighted average rating factor has increased over the last year and is currently 3334 versus a test level of 2743 as of the last trustee report, dated July 3, 2009. Based on the same report, defaulted securities total about $25 million, accounting for roughly 4% of the collateral balance, and securities rated Caa1 or lower make up approximately 12.8% of the underlying portfolio. Additionally, interest payments on the Class C Notes are presently being deferred as a result of the failure of the Class B and C overcollateralization tests. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, may be different from the trustee's reported numbers. Vinacasa CLO, Ltd., issued in March 2008, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. WACHOVIA BANK: Fitch Puts Ratings on 2005-C20 Certs. on Neg. Watch ------------------------------------------------------------------ Fitch Ratings has placed these classes of Wachovia Bank Commercial Mortgage Trust, series 2005-C20, commercial mortgage pass-through certificates on Rating Watch Negative: -- $274.8 million class A-J 'AAA'; -- $77.9 million class B 'A-'; -- $27.5 million class C 'BBB+'; -- $68.7 million class D 'BBB-'; -- $41.2 million class E 'BB+'; -- $41.2 million class F 'BB-'; -- $32.1 million class G 'B-'. The Rating Watch Negative placements are due to the transfer to special servicing of the ninth largest loan (2.6%) for monetary default. The specially serviced loan is the Forum at Carlsbad, which is secured by a 264,199 square foot retail property located in Carlsbad, CA. A planned assumption of the loan was not completed and the loan is delinquent. Once more information is known including valuations, workout strategies, lease status and the status of store operations, Fitch will revisit the ratings. Downgrades are possible if losses are expected or the loan is expected to perform significantly below the level at issuance. WHITEHORSE I: Moody's Downgrades Ratings on Various Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Whitehorse I Ltd.: -- US$30,000,000 Class A-1LB Floating Rate Notes Due September 2016 Notes, Downgraded to Aa3; previously on March 4, 2009 Aaa Placed Under Review for Possible Downgrade; -- US$14,000,000 Class A-2L Floating Rate Notes Due September 2016 Notes, Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- US$10,000,000 Class A-3L Floating Rate Notes Due September 2016 Notes, Downgraded to Ba1; previously on March 18, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- US$5,000,000 Class B-1L Floating Rate Notes Due September 2016 Notes, Downgraded to B1; previously on March 18, 2009 Downgraded to Ba3 and Placed Under Review for Possible Downgrade. According to Moody's, the rating actions taken on the notes are a result of credit deterioration of the underlying portfolio. Such credit deterioration is observed through a decline in the average credit rating (as measured by the weighted average rating factor), an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below. In particular, the weighted average rating factor is currently 2562 versus a test level of 2390 as of the last trustee report, dated August 2, 2009. Based on the same report, defaulted securities currently held in the portfolio total about $13 million, accounting for roughly 6.6% of the collateral balance, and securities rated Caa1 or lower make up approximately 10% of the underlying portfolio. The rating actions also reflect Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. These revised assumptions are described in the publication "Moody's Approach to Rating Collateralized Loan Obligations," dated August 12, 2009. Moody's analysis also reflects the expectation that recoveries for second lien loans will be below their historical averages, consistent with Moody's research. Other assumptions used in Moody's CLO monitoring are described in the publication "CLO Ratings Surveillance Brief - Second Quarter 2009," dated July 17, 2009. Due to the impact of all aforementioned stresses, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. Whitehorse I Ltd., issued in July 29, 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. * Moody's Reviews Ratings on 36 CMBS Deals for Likely Downgrades ---------------------------------------------------------------- Moody's Investors Service placed 36 classes from two commercial mortgage backed securities transactions on review for possible downgrade due to concerns about the 666 Fifth Avenue Loan as well as anticipated losses from loans in special servicing. Moody's is particularly concerned about the ability of this pro-forma loan to achieve forecast cash flow prior to the depletion of up-front reserves. Recent decreases in property performance, weakening office market fundamentals and increased vacancy have prompted this action. The rating action is the result of Moody's on-going surveillance of CMBS transactions. The 666 Fifth Avenue Loan represents a $1.2 billion ($836 PSF) pari passu first mortgage that is spread among three CMBS deals. The property is also encumbered by $200 million ($138 PSF) of mezzanine debt. The loan is secured by a 39-story Class A office building occupying the full block between 52nd and 53rd Streets on Fifth Avenue in Midtown Manhattan. The borrower purchased the property for $1.8 billion ($1,238 PSF) in 2007 and planned to maximize its value by increasing rents as tenant leases came up for renewal. Due to the increased market vacancy and the decreased market rents, the borrower has not been able to achieve the results originally anticipated. Recently, Citigroup vacated 80,000 square feet (6% of NRA) at the property and Orrick Herrington & Sutcliffe is expected to vacate 232,000 square feet (16% NRA) in March 2010. At securitization, the property was 98% occupied compared to 88% as of March 2009. The occupancy rate, excluding the Orrick Herrington & Sutcliffe space as leased space, would decrease to 71%. In addition, the softening Manhattan office market has contributed to lower effective rents which have been further reduced by the substantial increase in capital costs necessary to attract and retain tenants in the current market. The property's operating income does not cover the mortgage payment, with an actual first mortgage debt service coverage ratio ("DSCR") of 0.58X and a total debt DSCR (including mezzanine debt) of 0.48X for the full year 2008. At securitization, a $100 million interest reserve was established to cover interest shortfalls. As of August 3, 2009, approximately $76 million of these reserves remain, which will likely be depleted in 2010. Moody's expects the loan to be transferred to special servicing at the latest when the interest reserve runs out. Moody's rating action is: Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2007-C33 (7.9% exposure) -- Class A-M, $360,212,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 2/11/2009 -- Class A-J, $247,646,000, currently rated A1, on review for possible downgrade; previously downgraded to A1 from Aaa on 2/11/2009 -- Class B, $36,022,000, currently rated A2, on review for possible downgrade; previously downgraded to A2 from Aa1 on 2/11/2009 -- Class C, $40,523,000, currently rated A3, on review for possible downgrade; previously downgraded to A3 from Aa2 on 2/11/2009 -- Class D, $36,022,000, currently rated Baa1, on review for possible downgrade; previously downgraded to Baa1 from Aa3 on 2/11/2009 -- Class E, $31,518,000, currently rated Baa2, on review for possible downgrade; previously downgraded to Baa2 from A1 on 2/11/2009 -- Class F, $27,016,000, currently rated Baa3, on review for possible downgrade; previously downgraded to Baa3 from A2 on 2/11/2009 -- Class G, $36,021,000, currently rated Ba1, on review for possible downgrade; previously downgraded to Ba1 from A3 on 2/11/2009 -- Class H, $40,524,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from Baa1 on 2/11/2009 -- Class J, $49,530,000, currently rated B1, on review for possible downgrade; previously downgraded to B1 from Baa2 on 2/11/2009 -- Class K, $36,021,000, currently rated B3, on review for possible downgrade; previously downgraded to B3 from Baa3 on 2/11/2009 -- Class L, $27,016,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from Ba1 on 2/11/2009 -- Class M, $13,508,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from Ba2 on 2/11/2009 -- Class N, $9,005,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from Ba3 on 2/11/2009 -- Class O, $13,508,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B1 on 2/11/2009 -- Class P, $9,005,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B2 on 2/11/2009 -- Class Q, $9,006,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B3 on 2/11/2009 Moody's prior review of WBCMT 2007-C33 is summarized in a Press Release dated February 11, 2009. GE Commercial Mortgage Corporation, Commercial Mortgage Pass- Through Certificates, Series 2007-C1 (6.3% exposure) -- Class A-M, $354,346,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 2/12/2009 -- Class A-MFL, $41,000,000, currently rated Aaa, on review for possible downgrade; previously affirmed at Aaa on 2/12/2009 -- Class A-J, $239,453,000, currently rated A1, on review for possible downgrade; previously downgraded to A1 from Aaa on 2/12/2009 -- Class A-JFL, $62,000,000, currently rated A1, on review for possible downgrade; previously downgraded to A1 from Aaa on 2/12/2009 -- Class B, $39,534,000, currently rated A2, on review for possible downgrade; previously downgraded to A2 from Aa1 on 2/12/2009 -- Class C, $44,477,000, currently rated A3, on review for possible downgrade; previously downgraded to A3 from Aa2 on 2/12/2009 -- Class D, $39,534,000, currently rated Baa1, on review for possible downgrade; previously downgraded to Baa1 from Aa3 on 2/12/2009 -- Class E, $29,651,000, currently rated Baa2, on review for possible downgrade, previously downgraded to Baa2 from A1 on 2/12/2009 -- Class F, $24,710,000, currently rated Baa3, on review for possible downgrade; previously downgraded to Baa3 from A2 on 2/12/2009 -- Class G, $49,418,000, currently rated Ba2, on review for possible downgrade; previously downgraded to Ba2 from A3 on 2/12/2009 -- Class H, $44,476,000, currently rated B1, on review for possible downgrade; previously downgraded to B1 from Baa1 on 2/12/2009 -- Class J, $39,535,000, currently rated B2, on review for possible downgrade; previously downgraded to B2 from Baa2 on 2/12/2009 -- Class K, $54,360,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from Baa3 on 2/12/2009 -- Class L, $9,884,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from Ba1 on 2/12/2009 -- Class M, $14,825,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from Ba2 on 2/12/2009 -- Class N, $9,884,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from Ba3 on 2/12/2009 -- Class O, $9,884,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B1 on 2/12/2009 -- Class P, $9,883,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B2 on 2/12/2009 -- Class Q, $14,826,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B3 on 2/12/2009 Moody's prior review of GECMC 2007-C1 is summarized in a Press Release dated February 12, 2009. The third CMBS deal with exposure to the 666 Fifth Avenue Loan is Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2007-C31 which has a 6.8% exposure. However, nineteen classes from that transaction are already currently on review for possible downgrade due to the significant credit uncertainty surrounding the ultimate resolution of the Peter Cooper Village and Stuyvesant Town Loan. Moody's note this loan as an added concern in that transaction. * S&P Changes CreditWatch on Two Emerging Market Synthetic SFs -------------------------------------------------------------- Standard & Poor's Ratings Services revised its CreditWatch implications on two emerging markets synthetic structured financing securitizations to developing from negative, where they were placed March 10, 2009. The rating actions follow the Aug. 12, 2009, revision of S&P's CreditWatch implications on S&P's 'B-' long-term corporate credit rating on Cemex S.A.B. de C.V. to developing from negative. Emblem Finance Co. No. 2 Ltd.'s series 3 notes and UDICX Bonos' series 2008-1 certificates are synthetic structured financings with a first-to-default structure that is credit-linked to Cemex. The series 3 notes are collateralized by Chilean peso-denominated and inflation-adjusted Republic of Chile (foreign currency rating A+/Stable/A-1; local currency rating AA/Stable/A-1+) sovereign bonds and have exposure to JPMorgan Chase Bank N.A. (AA- /Negative/A-1+), the swap counterparty. The series 2008-1 certificates have exposure to Merrill Lynch & Co. Inc. (A/Stable/A-1), the issuer of the underlying collateral and the swap guarantor. If a credit event occurs regarding Cemex, the series 3 noteholders and the series 2008-1 certificateholders will receive a cash settlement amount that is calculated according to the market value of the reference obligation and the swap, and the amount of liquidation proceeds realized from the collateral. S&P will continue to surveil the ratings on these asset-backed transactions and revise the ratings as necessary to reflect any changes in the transactions' underlying credit quality. Creditwatch Implications Revised To Developing From Negative Emblem Finance Co. No. 2 Ltd. Rating ------ Series To From ------ -- ---- 3 B-/Watch Dev B-/Watch Neg UDICX Bonos Rating ------ Series To From ------ -- ---- 2008-1 mxBB/Watch Dev mxBB/Watch Neg * S&P Downgrades Ratings on 14 Tranches From Four CDO Transactions ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 14 tranches from four U.S. cash flow collateralized debt obligation transactions. S&P also withdrew its ratings on one tranche from ARES VII CLO Ltd., which was redeemed in full. The ratings on 11 of the downgraded tranches are on CreditWatch with negative implications, indicating a significant likelihood of further downgrades. The CDO downgrades reflect a number of factors, including an increase in the amount of defaulted assets in the transaction's collateral pools, as well as deterioration in the overall credit quality of the performing assets within the respective collateral pools. An increase in downgrades of speculative-grade U.S. companies has resulted in an increase in the proportion of 'CCC' and 'CC' rated assets in the underlying portfolios held within the collateral pools. The 14 downgraded U.S. cash flow CDO tranches have a total issuance amount $753.95 million. Three of the four affected transactions are CDOs of CDOs that were collateralized at origination primarily by notes from CLO transactions. The other transaction is a cash flow collateralized loan obligation transaction. Standard & Poor's will continue to monitor the transactions it rates and take rating actions, including CreditWatch placements, when appropriate. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- ARES VII CLO Ltd Rmkd Certs NR/NR AAA/A-1+ Marylebone Road CBO 3 BV A-1 B/Watch Neg AAA Marylebone Road CBO 3 BV A-2 CCC-/Watch Neg AA Marylebone Road CBO 3 BV A-3 CC BB+ Tricadia CDO 2005-4 Ltd. A-1LA AA/Watch Neg AAA Tricadia CDO 2005-4 Ltd. A-1LB A/Watch Neg AAA Tricadia CDO 2005-4 Ltd. A-2L BBB/Watch Neg AA/Watch Neg Tricadia CDO 2005-4 Ltd. A-3L BB/Watch Neg A/Watch Neg Tricadia CDO 2005-4 Ltd. B-1L B/Watch Neg BBB/Watch Neg Vertical CDO 2004-1 Ltd. A CC BBB-/Watch Neg Vertical CDO 2004-1 Ltd. B CC B+/Watch Neg ZAIS Investment Grade Ltd V A-1 BBB/Watch Neg AAA/Watch Neg ZAIS Investment Grade Ltd V A-2 BB+/Watch Neg AA/Watch Neg ZAIS Investment Grade Ltd V B-1 B-/Watch Neg A-/Watch Neg ZAIS Investment Grade Ltd V B-2 B-/Watch Neg A-/Watch Neg Other Ratings Outstanding Transaction Class Rating ----------- ----- ------ ARES VII CLO Ltd A-1a AAA ARES VII CLO Ltd A-1b AAA ARES VII CLO Ltd B A/Watch Neg ARES VII CLO Ltd Combo Secs BBB/Watch Neg * S&P Downgrades Ratings on 34 Classes From Five Prime Jumbo RMBS ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 34 classes from five U.S. prime jumbo and subprime residential mortgage-backed securities transactions issued in 2004, 2005, and 2007. S&P removed 18 of the lowered ratings from CreditWatch with negative implications. Additionally, S&P affirmed its ratings on 10 classes from four of the transactions and removed five of the affirmed ratings from CreditWatch negative. The downgrades, affirmations, and CreditWatch resolutions incorporate S&P's current and projected losses based on the dollar amounts of loans currently in the transactions' delinquency, foreclosure, and real estate owned pipelines, as well as S&P's projection of future defaults. S&P also incorporated cumulative losses to date in S&P's analysis when assessing rating outcomes. For information on how S&P derives its loss assumptions, S&P's use of loss curve forecasting methodology, and how S&P incorporate each transaction's current delinquency (including 60- and 90-day delinquencies), default, and loss trends into S&P's analysis, please see the articles list in the Related Research section below. As part of its analysis, S&P considered the characteristics of the underlying mortgage collateral as well as macroeconomic influences. For example, S&P's assessment of the risk profile of the underlying mortgage pools influences S&P's default projections, while S&P's outlook for housing price declines and the health of the housing market influence S&P's loss severity assumptions. Furthermore, for each deal, S&P adjusted its loss expectations based on upward trends in delinquencies. Standard & Poor's has established loss projections for each prime jumbo transaction rated in 2005 based on a forward-looking default curve. S&P's lifetime projected losses have changed for one of the transactions in this release: Original Loss Transaction Bal. (mil. $) proj. (%) ----------- ------------- --------- Bear Stearns ARM Trust 2005-9 1,127.9 2.89 The lowered ratings reflect S&P's belief that the amount of credit enhancement available for the downgraded classes is not sufficient to cover losses at the previous rating levels, given out current projected losses. The affirmations reflect S&P's belief that there is sufficient credit enhancement to support the ratings at their current levels. Certain senior classes also benefit from senior-support classes that would provide support to a certain extent before any applicable losses could affect the super-senior certificates. The subordination of classes within each structure provides credit support for the affected transactions. To maintain a 'AAA' rating, S&P considers whether a class in a subprime transaction is able to withstand approximately 150% of S&P's base-case loss assumptions, subject to individual caps and qualitative factors assumed on specific transactions. For a class for which we've affirmed a 'B' rating, S&P consider whether a bond is able to withstand S&P's base-case loss assumption. Other rating categories are dispersed, approximately equally, between these two loss assumptions. For example, to maintain a 'BB' rating on one class, S&P may consider whether the class is able to withstand approximately 110% of S&P's base-case loss assumptions, while, in connection with a different class, S&P may consider whether it is able to withstand approximately 120% of S&P's base- case loss assumptions to maintain a 'BBB' rating. For prime jumbo transactions, a class may have to withstand approximately 127% of S&P's base-case loss assumptions in order to maintain a 'BB' rating, while a different class may have to withstand approximately 154% of S&P's base-case loss assumptions to maintain a 'BBB' rating. An affirmed 'AAA' rating reflects S&P's opinion that the class can withstand approximately 235% of S&P's base-case loss assumptions. The collateral backing these deals originally consisted predominantly of either subprime, first-lien, fixed-rate, adjustable-rate, negative-amortization residential mortgage loans, or prime jumbo fixed- and adjustable-rate mortgage loans secured by one- to four-family properties. S&P monitors these transactions to incorporate updated losses and delinquency pipeline performance to assess whether, in S&P's view, the applicable credit enhancement features are sufficient to support the current ratings. S&P will continue to monitor these transactions and take additional rating actions as S&P deem appropriate. Rating Actions Bear Stearns ARM Trust 2004-6 Series 2004-6 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 07384MW40 AA AAA I-A-2 07384MW57 A+ AAA II-A-2 07384MW73 A+ AAA III-A 07384MW81 AA- AAA B-1 07384MX31 B AA+ B-2 07384MX49 CCC BBB B-3 07384MX56 CC B B-4 07384MX64 CC CCC Bear Stearns ARM Trust 2005-9 Series 2005-9 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 07387AEG6 AA AAA A-2 07387AEH4 BB A X 07387AEJ0 AA AA+ B-3 07387AEM3 CC CCC First Franklin Mortgage Loan Trust 2004-FF11 Series 2004-FF11 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A1 32027NMS7 AAA AAA/Watch Neg I-A2 32027NMT5 AAA AAA/Watch Neg II-A3 32027NMW8 AAA AAA/Watch Neg M-1 32027NMX6 AA+ AA+/Watch Neg M-2 32027NMY4 AA+ AA+/Watch Neg M-3 32027NMZ1 AA- AA/Watch Neg M-4 32027NNA5 B+ AA-/Watch Neg M-5 32027NNB3 CCC A+/Watch Neg M-6 32027NNC1 CC BB/Watch Neg Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-H1 Series 2007-H1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 59025TAA1 BB+ AAA/Watch Neg 1-A2 59025TAB9 CCC AAA/Watch Neg 1-A3 59025TAC7 CCC AAA/Watch Neg 2-A1 59025TAD5 BB AAA/Watch Neg 2-A2 59025TAE3 CCC AAA/Watch Neg 2-A3A 59025TAF0 CCC AAA/Watch Neg 2-A3B 59025TAW3 CCC AAA/Watch Neg X-A 59025TAG8 BB+ AAA/Watch Neg M-1 59025TAH6 CCC AA+/Watch Neg M-2 59025TAJ2 CCC AA/Watch Neg M-3 59025TAK9 CCC AA-/Watch Neg M-4 59025TAL7 CC A+/Watch Neg M-5 59025TAM5 CC A/Watch Neg M-6 59025TAN3 CC A-/Watch Neg Wells Fargo Mortgage Backed Securities 2004-C Trust Series 2004-C Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 94980AAG9 BBB- A B-3 94980AAH7 B BBB B-4 94980AAA2 CCC BB B-5 94980AAB0 CC CCC Ratings Affirmed Bear Stearns ARM Trust 2004-6 Series 2004-6 Class CUSIP Rating ----- ----- ------ II-A-1 07384MW65 AAA Bear Stearns ARM Trust 2005-9 Series 2005-9 Class CUSIP Rating ----- ----- ------ B-1 07387AEK7 CCC B-2 07387AEL5 CCC Wells Fargo Mortgage Backed Securities 2004-C Trust Series 2004-C Class CUSIP Rating ----- ----- ------ A-1 94980AAD6 AAA B-1 94980AAF1 AA * S&P Downgrades Ratings on 251 Classes From 24 Prime Jumbo RMBS ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 251 classes from 24 U.S. prime jumbo residential mortgage-backed securities transactions issued from 2005 to 2007 and removed 179 of the ratings from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on 133 classes from 22 of these transactions, and removed 29 of the ratings from CreditWatch negative. The downgrades reflect S&P's opinion that the projected credit support for the affected classes is insufficient to maintain the previous ratings, given S&P's current projected losses. To assess the creditworthiness of each class, S&P review the respective transaction's ability to withstand additional credit deterioration, and the impact that projected losses will have on each class. In order to maintain a 'B' rating on a class, S&P assess whether the class can withstand the base-case loss assumptions S&P use in its analysis. To maintain an 'AAA' rating, S&P assess whether the class can withstand approximately 235% of S&P's base-case loss assumptions, subject to individual caps and qualitative factors applied to specific transactions. To maintain a rating in categories between 'B' (the base case) and 'AAA', S&P assess whether the class can withstand losses exceeding the base- case assumption at a percentage specific to each rating category, up to 235% for a 'AAA' rating. For example, S&P would assess whether one class could withstand approximately 130% of S&P's base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 155% of S&P's base-case loss assumptions to maintain a 'BBB' rating. S&P also lowered its ratings on certain senior classes due to principal shortfalls/write-downs in the final period of particular cash flow scenarios. These classes may not have experienced any principal shortfalls/write-downs in any of the prior periods of the particular stress scenario; however, the structural mechanics of the transaction created circumstances in which one or more classes within a transaction may have relied on principal proceeds to satisfy interest amounts due in earlier periods, thus resulting in a write-down in the final period. The use of principal to satisfy interest obligations is generally created within structures that utilize cross-collateralization and contain multiple loan groups. Based on certain stress scenarios, if a particular group is performing worse than another group or set of groups, that group can become undercollateralized when S&P compare the group collateral balance with the related senior class balance(s). Based on the defined interest amount needed to satisfy the interest liability of the related class(es), interest shortfalls may occur due to a group collateral balance that is insufficient to produce the necessary interest obligations of the related liabilities. Generally, cross-collateralization is designed to allow overcollateralized groups to provide cash flow to undercollateralized groups in order to mitigate this issue. However, if the overcollateralized group has a pass-through rate that is lower than the pass-through rate of the undercollateralized group, available interest may not be sufficient to satisfy the undercollateralized group's interest requirement. Therefore, the principal portion of available funds may be used to satisfy interest obligations based on the interest-principal payment priority within the structure. In the final period, a situation may occur in which available funds are not sufficient to satisfy the interest and principal requirements necessary to pay the bond in full, as principal in prior periods was used to satisfy interest obligations. Additionally, in some cases, even super-senior certificates can be exposed to this issue due to the fact that structures may pay principal pro rata with senior support classes. Although the senior class was not exposed to a write-down in any of the prior periods, the senior class could be susceptible to a write-down in the final period due to the aforementioned issues. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. Subordination provides credit support for the affected transactions. The underlying pool of loans backing these transactions consists of fixed- and adjustable-rate, first-lien, prime jumbo mortgage loans. Rating Actions Banc of America Funding 2006-3 Trust Series 2006-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 058931AB2 BBB+ AAA 2-A-1 058931AD8 BBB AAA 3-A-1 058931AF3 A+ AAA 4-A-15 058931AX4 AA+ AAA 5-A-1 058931BD7 A AAA Citicorp Mortgage Securities Trust, Series 2006-5 Series 2006-5 Rating ------ Class CUSIP To From ----- ----- -- ---- IA-4 17310FAD7 AAA AAA/Watch Neg IA-14 17310FAP0 A+ AA+/Watch Neg Citicorp Mortgage Securities Trust, Series 2007-2 Series 2007-2 Rating ------ Class CUSIP To From ----- ----- -- ---- IA-1 173107AA1 A+ AAA/Watch Neg IA-2 173107AB9 A+ AAA/Watch Neg IA-3 173107AC7 A+ AAA/Watch Neg IA-4 173107AD5 A+ AAA/Watch Neg IA-5 173107AE3 A+ AAA/Watch Neg IA-6 173107AF0 A+ AAA/Watch Neg IA-7 173107AG8 A+ AAA/Watch Neg IA-IO 173107AJ2 A+ AAA/Watch Neg IIA-1 173107AK9 AAA AAA/Watch Neg IIA-IO 173107AL7 AAA AAA/Watch Neg IIIA-1 173107AM5 AA- AAA/Watch Neg IIIA-IO 173107AN3 AA- AAA/Watch Neg A-PO 173107AP8 A+ AAA/Watch Neg Citicorp Mortgage Securities Trust, Series 2007-5 Series 2007-5 Rating ------ Class CUSIP To From ----- ----- -- ---- IA-1 17312KAA0 BB- AAA/Watch Neg IA-2 17312KAB8 B+ AAA/Watch Neg IA-3 17312KAC6 B+ AAA/Watch Neg IA-4 17312KAD4 B+ AAA/Watch Neg IA-5 17312KAE2 A+ AAA/Watch Neg IA-6 17312KAF9 A+ AAA/Watch Neg IA-8 17312KAH5 B+ AAA/Watch Neg IA-9 17312KAJ1 A+ AAA/Watch Neg IA-10 17312KAK8 B+ AAA/Watch Neg IA-11 17312KAL6 B+ AAA/Watch Neg I-AIO 17312KAM4 A+ AAA/Watch Neg IIA-1 17312KAN2 BB- AAA/Watch Neg II-AIO 17312KAP7 BB- AAA/Watch Neg IIIA-1 17312KAQ5 AAA AAA/Watch Neg III-AIO 17312KAR3 AAA AAA/Watch Neg A-PO 17312KAS1 B+ AAA/Watch Neg Citicorp Mortgage Securities Trust, Series 2007-7 Series 2007-7 Rating ------ Class CUSIP To From ----- ----- -- ---- IA-2 173104AB6 BBB AAA A-PO 173104AH3 BBB AAA Credit Suisse First Boston Mortgage Securities Corp. Series 2005-7 Rating ------ Class CUSIP To From ----- ----- -- ---- II-A-4 225458F78 BB- AAA II-X 225458G93 BB- AAA CSMC Mortgage-Backed Trust 2007-1 Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1A 126378AA6 CCC BB-/Watch Neg 1-A-1B 126378AB4 CCC BB-/Watch Neg 1-A-1C 126378AC2 CCC BB-/Watch Neg 1-A-1D 126378AD0 CCC B/Watch Neg 1-A-2A 126378AE8 CCC B+/Watch Neg 1-A-2B 126378AF5 CCC B+/Watch Neg 1-A-2C 126378AU2 CCC B+/Watch Neg 1-A-3 126378AG3 CCC B+/Watch Neg 1-A-4 126378AH1 CCC B+/Watch Neg 1-A-5A 126378AJ7 CCC B+/Watch Neg 1-A-6A 126378AL2 CCC B/Watch Neg 1-M-1 126378AN8 CC CCC 1-M-2 126378AP3 D CCC 2-A-1 126378AV0 CC B/Watch Neg 3-A-1 126378AW8 CCC BBB/Watch Neg 3-A-2 126378AX6 CC B/Watch Neg 4-A-1 126378AY4 CC B/Watch Neg 5-A-1 126378AZ1 CCC A/Watch Neg 5-A-2 126378BA5 CCC A/Watch Neg 5-A-3 126378BB3 CCC A/Watch Neg 5-A-4 126378BC1 CCC BBB/Watch Neg 5-A-5 126378BD9 CC B/Watch Neg 5-A-6 126378BE7 CC B/Watch Neg 5-A-7 126378BF4 CCC A/Watch Neg 5-A-8 126378BG2 CC B/Watch Neg 5-A-9 126378BH0 CCC A/Watch Neg 5-A-10 126378BJ6 CCC BBB/Watch Neg 5-A-11 126378BK3 CCC BBB/Watch Neg 5-A-12 126378BL1 CC B/Watch Neg 5-A-13 126378BM9 CCC A/Watch Neg 5-A-14 126378BN7 CCC BBB/Watch Neg 5-A-15 126378BP2 CC B/Watch Neg 5-A-16 126378BQ0 CC B/Watch Neg A-X 126378BR8 CCC A/Watch Neg C-X 126378BS6 CC B/Watch Neg First Horizon Mortgage Pass Through Trust 2005-5 Series 2005-5 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A1 32051GUK9 AAA AAA/Watch Neg I-A-2 32051GUL7 A AAA/Watch Neg I-A-3 32051GUM5 A AAA/Watch Neg I-A-4 32051GUN3 A+ AAA/Watch Neg I-A-5 32051GUP8 A AAA/Watch Neg I-A-6 32051GUQ6 A+ AAA/Watch Neg I-A-7 32051GUR4 A AAA/Watch Neg I-A-9 32051GUT0 AAA AAA/Watch Neg 1-A-10 32051GUU7 A AAA/Watch Neg 1-A-11 32051GUV5 A AAA/Watch Neg 1-A-12 32051GUW3 A AAA/Watch Neg I-A-PO 32051GUX1 A AAA/Watch Neg II-A-1 32051GUZ6 AAA AAA/Watch Neg II-A-PO 32051GVA0 AAA AAA/Watch Neg First Horizon Mortgage Pass Through Trust 2006-2 Series 2006-2 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 32052LAA1 BB+ AAA/Watch Neg I-A-2 32052LAB9 BB+ AAA/Watch Neg I-A-3 32052LAC7 AAA AAA/Watch Neg I-A-4 32052LAD5 BBB- AAA/Watch Neg I-A-5 32052LAE3 BBB- AAA/Watch Neg I-A-6 32052LAF0 AAA AAA/Watch Neg I-A-7 32052LAG8 AAA AAA/Watch Neg I-A-8 32052LAH6 A AAA/Watch Neg I-A-9 32052LAJ2 BB+ AAA/Watch Neg I-A-10 32052LAK9 BBB- AAA/Watch Neg I-A-11 32052LAL7 BBB- AAA/Watch Neg I-A-12 32052LAM5 AAA AAA/Watch Neg I-A-13 32052LAN3 AAA AAA/Watch Neg I-A-14 32052LAP8 AAA AAA/Watch Neg I-A-15 32052LAQ6 BBB- AAA/Watch Neg I-A-16 32052LAZ6 AAA AAA/Watch Neg I-A-PO 32052LBA0 BB+ AAA/Watch Neg II-A-1 32052LAR4 AAA AAA/Watch Neg II-A-PO 32052LAS2 AAA AAA/Watch Neg First Horizon Mortgage Pass-Through Trust 2007-2 Series 2007-2 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 320520AA7 CCC B I-A-2 320520AB5 CCC B I-A-4 320520AD1 CCC B I-A-7 320520AG4 CCC B I-A-PO 320520AH2 CCC B I-A-5 320520AE9 CCC B GSR Mortgage Loan Trust 2005-AR6 Series 2005-AR6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A4 362341RW1 AA AAA GSR Mortgage Loan Trust 2007-1F Series 2007-1F Rating ------ Class CUSIP To From ----- ----- -- ---- 3A-6 3622MPAV0 A AAA/Watch Neg GSR Mortgage Loan Trust 2007-4F Series 2007-4F Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1 362669AA1 CCC A/Watch Neg 2A-1 362669AB9 CCC A/Watch Neg 2A-2 362669AC7 CCC A/Watch Neg 2A-3 362669AD5 CCC A/Watch Neg 2A-4 362669AE3 CCC A/Watch Neg 2A-5 362669AF0 CCC A/Watch Neg 2A-6 362669AG8 CCC A/Watch Neg 2A-7 362669AH6 BBB- AAA/Watch Neg 2A-8 362669AJ2 CCC A/Watch Neg 3A-1 362669AK9 B+ AAA/Watch Neg 3A-2 362669AL7 CCC A/Watch Neg 3A-3 362669AM5 CCC A/Watch Neg 3A-4 362669AN3 CCC A/Watch Neg 3A-5 362669AP8 CCC A/Watch Neg 3A-6 362669AQ6 BBB AAA/Watch Neg 3A-7 362669AR4 CCC A/Watch Neg 3A-8 362669BJ1 CCC A/Watch Neg 3A-9 362669BK8 CCC A/Watch Neg 3A-10 362669BL6 CCC A/Watch Neg 3A-11 362669BM4 CCC A/Watch Neg 4A-1 362669AS2 CCC A/Watch Neg 4A-2 362669AT0 CCC A/Watch Neg 5A-1 362669AU7 CCC A/Watch Neg 6A-1 362669AV5 CCC A/Watch Neg 7A-1 362669AW3 CCC A/Watch Neg A-P 362669AX1 CCC A/Watch Neg A-X 362669AY9 BBB- AAA/Watch Neg HSI Asset Loan Obligation Trust 2007-AR1 Series 2007-AR1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 40431LAA6 B B/Watch Neg II-A-1 40431LAB4 CCC BBB/Watch Neg II-A-2 40431LAC2 CCC B/Watch Neg III-A-1 40431LAD0 CCC BBB/Watch Neg III-A-2 40431LAE8 CCC B/Watch Neg IV-A-1 40431LAF5 CCC BBB/Watch Neg IV-A-2 40431LAG3 CCC B/Watch Neg JPMorgan Mortgage Trust 2005-A6 Series 2005-A6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 466247TL7 A- AAA/Watch Neg 1-A-2 466247TM5 BBB+ AAA/Watch Neg 1-A-3 466247TN3 AAA AAA/Watch Neg 1-A-4 466247TP8 BBB+ AAA/Watch Neg 2-A-1 466247TQ6 AA+ AAA/Watch Neg 2-A-2 466247TR4 AAA AAA/Watch Neg 2-A-3 466247TS2 AA+ AAA/Watch Neg 2-A-4 466247TT0 AA+ AAA/Watch Neg 2-A-5 466247TU7 BBB+ AAA/Watch Neg 3-A-2 466247TW3 A+ AAA/Watch Neg 3-A-3 466247TX1 A+ AAA/Watch Neg 3-A-4 466247TY9 BBB+ AAA/Watch Neg 4-A-1 466247TZ6 A- AAA/Watch Neg 5-A-1 466247UA9 A- AAA/Watch Neg 6-A-1 466247UB7 AAA AAA/Watch Neg 6-A-2 466247UC5 AAA AAA/Watch Neg 7-A-1 466247UG6 BB AAA/Watch Neg I-B-1 466247UD3 CCC AA/Watch Neg II-B-1 466247UH4 CCC AA/Watch Neg I-B-2 466247UE1 CCC A/Watch Neg II-B-2 466247UJ0 CCC A/Watch Neg I-B-3 466247UF8 CCC BBB/Watch Neg II-B-3 466247UK7 CC BBB/Watch Neg I-B-4 466247TE3 CC BB/Watch Neg II-B-4 466247TH6 CC BB/Watch Neg I-B-5 466247TF0 CC B/Watch Neg II-B-5 466247TJ2 CC B/Watch Neg JPMorgan Mortgage Trust 2005-S3 Series 2005-S3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 466247ZN6 CCC BBB 1-A-2 466247ZP1 B- B 1-A-3 466247ZQ9 CCC B 1-A-4 466247ZR7 CCC B 1-A-5 466247ZS5 CCC B 1-A-6 466247ZT3 CCC B 1-A-7 466247ZU0 CCC B 1-A-8 466247ZV8 CCC B 1-A-9 466247ZW6 CCC BBB 1-A-10 466247ZX4 CCC BBB 1-A-11 466247ZY2 CCC BBB 1-A-12 466247ZZ9 CCC B 1-A-13 466247A29 CCC B 1-A-14 466247A37 CCC B 1-A-15 466247A45 CCC B 1-A-16 466247A52 CCC B 1-A-17 466247A60 CCC B 1-A-19 466247A86 CCC B 1-A-20 466247A94 CCC B 1-A-21 466247B28 CCC B 1-A-22 466247B36 CCC B 2-A-1 466247B44 CCC B 2-A-2 466247B51 CCC B A-X 466247B77 B BBB A-P 466247B85 CCC B Lehman Mortgage Trust 2007-3 Series 2007-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 52521JAA7 CCC BB 1-A2 52521JAB5 CCC AAA 1-A3 52521JAC3 CCC AAA 1-A4 52521JAD1 CCC BB 1-A5 52521JAP4 CCC AAA 1-A6 52521JAQ2 CCC AAA 2-A1 52521JAE9 CCC BB B1 52521JAF6 CC CCC B2 52521JAG4 CC CCC MASTR Adjustable Rate Mortgage Trust 2006-2 Series 2006-2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 576438AA3 BBB AAA/Watch Neg 1-A-2 576438AB1 BB AAA/Watch Neg 2-A-1 576438AC9 BB AAA/Watch Neg 3-A-1 576438AD7 AA AAA/Watch Neg 3-A-2 576438AE5 BB AAA/Watch Neg 4-A-1 576438AF2 AAA AAA/Watch Neg 4-A-2 576438AG0 BB AAA/Watch Neg 5-A-1 576438AH8 BBB AAA/Watch Neg 5-A-2 576438AJ4 BB AAA/Watch Neg B-1 576438AM7 CCC BBB/Watch Neg B-2 576438AN5 CC BB/Watch Neg B-3 576438AP0 CC B-/Watch Neg B-4 576438AQ8 CC CCC MASTR Asset Securitization Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 57643MLX0 AA+ AAA/Watch Neg 1-A-2 57643MLY8 BBB AAA/Watch Neg 1-A-3 57643MLZ5 BBB AAA/Watch Neg 1-A-4 57643MMA9 BBB AAA/Watch Neg 1-A-5 57643MMB7 BBB AAA/Watch Neg 1-A-6 57643MMC5 BBB AAA/Watch Neg 1-A-7 57643MMD3 BBB AAA/Watch Neg 1-A-8 57643MME1 BBB AAA/Watch Neg 1-A-9 57643MMF8 BBB AAA/Watch Neg 1-A-11 57643MMH4 BBB AAA/Watch Neg 1-A-12 57643MMJ0 BBB AAA/Watch Neg 1-A-13 57643MMK7 BBB AAA/Watch Neg 1-A-14 57643MML5 BBB AAA/Watch Neg 2-A-1 57643MMM3 BBB AAA/Watch Neg 2-A-2 57643MMN1 BBB AAA/Watch Neg 3-A-1 57643MMP6 AAA AAA/Watch Neg 3-A-2 57643MNE0 BBB AAA/Watch Neg 4-A-1 57643MMQ4 BBB AAA/Watch Neg 15-A-X 57643MMT8 BBB AAA/Watch Neg 30-A-X 57643MMU5 AAA AAA/Watch Neg 15-PO 57643MMV3 BBB AAA/Watch Neg 30-PO 57643MMW1 BBB AAA/Watch Neg B-1 57643MMX9 CCC A/Watch Neg B-2 57643MMY7 CCC BB/Watch Neg B-3 57643MMZ4 CC B/Watch Neg B-4 57643MNA8 CC CCC Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A4 Series 2005-A4 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A 59020UXH3 BB- AAA/Watch Neg II-A-1 59020UXJ9 A AAA/Watch Neg II-A-2 59020UXK6 BB- AAA/Watch Neg II-A-IO 59020UXV2 BB- AAA/Watch Neg III-A 59020UXL4 BB- AAA/Watch Neg IV-A 59020UXM2 AAA AAA/Watch Neg M-1 59020UXN0 CCC AA/Watch Neg M-2 59020UXP5 CCC A/Watch Neg M-3 59020UXQ3 CC BBB/Watch Neg RFMSI Series 2007-S9 Trust Series 2007-S9 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 74958VAA6 CCC BB I-A-2 74958VAB4 CCC B I-A-P 74958VAF5 CCC B I-A-V 74958VAG3 CCC BB RFMSI Series 2007-SA4 Trust Series 2007-SA4 Rating ------ Class CUSIP To From ----- ----- -- ---- II-A 74959AAR4 CCC B III-A-1 74959AAB9 CCC B+ III-A-2 74959AAC7 CCC B IV-A-1 74959AAD5 CCC B+ IV-A-2 74959AAE3 CCC B V-A-1 74959AAF0 CCC B+ V-A-2 74959AAG8 CCC B Thornburg Mortgage Securities Trust 2006-5 Series 2006-5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 88522RAA2 AAA AAA/Watch Neg A-2 88522RAB0 A AAA/Watch Neg A-X 88522RAC8 AAA AAA/Watch Neg Thornburg Mortgage Securities Trust 2007-3 Series 2007-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 2A-2 88522XAD3 CCC B 3A-2 88522XAF8 CCC B 4A-2 88522XAH4 CCC B 4A-4 88522XAS0 CCC B B-2 88522XAL5 CC CCC B-3 88522XAM3 CC CCC B-4 88522XAN1 CC CCC Ratings Affirmed Banc of America Funding 2006-3 Trust Series 2006-3 Class CUSIP Rating ----- ----- ------ 1-A-2 058931AC0 BB 2-A-2 058931AE6 BB 3-A-2 058931AG1 BB 4-A-1 058931AH9 BB 4-A-2 058931AJ5 BB 4-A-3 058931AK2 BB 4-A-4 058931AL0 BB 4-A-5 058931AM8 BB 4-A-6 058931AN6 BB 4-A-7 058931AP1 BB 4-A-8 058931AQ9 BB 4-A-9 058931AR7 BB 4-A-10 058931AS5 BB 4-A-11 058931AT3 BB 4-A-12 058931AU0 BB 4-A-13 058931AV8 BB 4-A-14 058931AW6 BB 4-A-16 058931AY2 BB 4-A-17 058931AZ9 AAA 4-A-18 058931BA3 BB 4-A-19 058931BB1 BB 4-A-20 058931BC9 BB 5-A-2 058931BE5 BB 5-A-3 058931BF2 BB 5-A-4 058931BG0 BB 5-A-5 058931BH8 BB 5-A-6 058931BJ4 BB 5-A-7 058931BK1 BBB 5-A-8 058931BL9 BB 5-A-9 058931BM7 BB X-IO 058931BP0 AAA X-PO 058931BQ8 BB 6-A-1 058931BN5 BB M 058931BR6 CCC Citicorp Mortgage Securities Trust, Series 2007-7 Series 2007-7 Class CUSIP Rating ----- ----- ------ IA-1 173104AA8 AAA IA-IO 173104AC4 AAA IIA-1 173104AD2 AAA IIA-IO 173104AE0 AAA IIIA-1 173104AF7 AAA IIIA-IO 173104AG5 AAA Credit Suisse First Boston Mortgage Securities Corp. Series 2005-7 Class CUSIP Rating ----- ----- ------ I-A-1 225458E46 BB I-A-2 225458E53 BB I-A-3 225458E61 BB I-A-4 225458E79 BB I-A-5 225458E87 AAA I-A-6 225458E95 BB I-A-7 225458F29 BB I-A-8 225458F37 AAA I-A-9 225458L48 BB I-A-10 225458L55 BB I-A-11 225458L63 BB I-A-12 225458L71 BB A-P 225458H35 BB I-X 225458G85 AAA IV-A-1 225458G36 AAA IV-A-2 225458G44 AAA IV-A-3 225458G51 AAA V-A-1 225458G69 AAA VI-A-1 225458G77 AAA C-X 225458H27 AAA C-P 225458H43 B II-A-1 225458F45 B II-A-2 225458F52 B II-A-3 225458F60 B II-A-5 225458F86 B II-A-6 225458F94 B III-A-1 225458G28 B I-B-1 225458J33 CCC D-B-1 225458H84 CCC C-B-2 225458H68 CCC CSMC Mortgage-Backed Trust 2007-1 Series 2007-1 Class CUSIP Rating ----- ----- ------ 1-A-6B 126378AM0 CCC 1-A-5B 126378AK4 CCC First Horizon Mortgage Pass-Through Trust 2007-2 Series 2007-2 Class CUSIP Rating ----- ----- ------ I-A-3 320520AC3 B I-A-6 320520AF6 B II-1 320520AK5 B GSR Mortgage Loan Trust 2005-AR6 Series 2005-AR6 Class CUSIP Rating ----- ----- ------ 1A1 362341RT8 AAA 1A2 362341RU5 AA 2A1 362341RX9 AAA 2A2 362341RY7 AA 3A1 362341RZ4 AAA 3A2 362341SA8 AA 4A1 362341SB6 AAA 4A2 362341SC4 AA 4A3 362341SD2 AA 4A4 362341SE0 AA 4A5 362341SF7 AA B1 362341SG5 CCC JPMorgan Mortgage Trust 2005-S3 Series 2005-S3 Class CUSIP Rating ----- ----- ------ 1-A-18 466247A78 B 2-A-3 466247B69 B B-1 466247B93 CCC RFMSI Series 2007-S9 Trust Series 2007-S9 Class CUSIP Rating ----- ----- ------ II-A-1 74958VAC2 BB II-A-2 74958VAD0 B II-A-3 74958VAE8 B II-A-P 74958VAH1 B II-A-V 74958VAJ7 BB RFMSI Series 2007-SA4 Trust Series 2007-SA4 Class CUSIP Rating ----- ----- ------ I-A 74959AAA1 BB Thornburg Mortgage Securities Trust 2007-3 Series 2007-3 Class CUSIP Rating ----- ----- ------ 1A-1 88522XAA9 A 1A-2 88522XAB7 B 2A-1 88522XAC5 B+ 3A-1 88522XAE1 B+ 4A-1 88522XAG6 B+ 4A-3 88522XAR2 BB A-X 88522XAJ0 A B-1 88522XAK7 CCC * S&P Downgrades Ratings on Nine Classes From Four re-Remic RMBS ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on nine classes from four U.S. re-REMIC (real estate mortgage investment conduit) residential mortgage-backed securities transactions issued in 2004, 2006, and 2007. In addition, S&P removed seven of the lowered ratings from CreditWatch with negative implications. The downgrades reflect S&P's opinion that projected credit support for the underlying certificates is insufficient to maintain the previous ratings, given S&P's projected losses on the underlying transactions. S&P is taking rating actions on these re-REMIC certificates because of deteriorating performance on the underlying transactions. One of the classes is bond insured. The downgrade reflected S&P's criteria, which states that the long-term rating assigned to a fully insured class is the higher of the rating on the insurer and the SPUR (Standard & Poor's underlying rating) on the affected class. The collateral supporting the underlying certificates consists primarily of Alternative-A and prime jumbo mortgage loans, which are secured by first liens on one- to four-family residential properties. Additionally, the underlying certificates were predominately subordinate in the capital structure. Rating Actions Banc of America Funding Corporation 2006-R2 Trust Series 2006-R2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 05950SAA5 CC B/Watch Neg CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-IND1 Series 2004-IND1 Rating ------ Class CUSIP To From ----- ----- -- ---- M 22541SS41 CCC BBB B 22541SS58 D BB Lehman Structured Securities Corp. Series 2004-2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 52518RBW5 CCC AA/Watch Neg M-2 52518RBX3 CC A/Watch Neg Lehman Structured Securities Corp. Pass Through Certificates Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 52521PAA3 CCC AA+/Watch Neg M-2 52521PAB1 CCC AA/Watch Neg M-3 52521PAC9 CCC AA-/Watch Neg M-4 52521PAD7 CC A+/Watch Neg ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers' public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors' Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland, USA. Danilo Munnoz, Joseph Medel C. Martirez, Denise Marie Varquez, Philline Reluya, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 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 ***